public virtual void test_resolve()
{
BusinessDayAdjustment bussAdj = BusinessDayAdjustment.of(FOLLOWING, SAT_SUN);
ResolvedCds test = PRODUCT_STD.resolve(REF_DATA);
int nDates = 44;
LocalDate[] dates = new LocalDate[nDates];
for (int i = 0; i < nDates; ++i)
{
dates[i] = START_DATE.plusMonths(3 * i);
}
IList <CreditCouponPaymentPeriod> payments = new List <CreditCouponPaymentPeriod>(nDates - 1);
for (int i = 0; i < nDates - 2; ++i)
{
LocalDate start = i == 0 ? dates[i] : bussAdj.adjust(dates[i], REF_DATA);
LocalDate end = bussAdj.adjust(dates[i + 1], REF_DATA);
payments.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end).unadjustedStartDate(dates[i]).unadjustedEndDate(dates[i + 1]).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end.minusDays(1)).paymentDate(end).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end)).build());
}
LocalDate start = bussAdj.adjust(dates[nDates - 2], REF_DATA);
LocalDate end = dates[nDates - 1];
payments.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end.plusDays(1)).unadjustedStartDate(dates[nDates - 2]).unadjustedEndDate(end).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end).paymentDate(bussAdj.adjust(end, REF_DATA)).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end.plusDays(1))).build());
ResolvedCds expected = ResolvedCds.builder().buySell(BUY).legalEntityId(LEGAL_ENTITY).dayCount(ACT_360).paymentOnDefault(ACCRUED_PREMIUM).paymentPeriods(payments).protectionStart(BEGINNING).protectionEndDate(END_DATE).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
CreditCouponPaymentPeriod test1 = CreditCouponPaymentPeriod.builder().currency(USD).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).effectiveStartDate(EFF_START_DATE).effectiveEndDate(EFF_END_DATE).paymentDate(END_DATE).fixedRate(COUPON).yearFraction(YEAR_FRACTION).build();
coverImmutableBean(test1);
CreditCouponPaymentPeriod test2 = CreditCouponPaymentPeriod.builder().currency(Currency.JPY).notional(5.0e6).startDate(START_DATE.minusDays(7)).endDate(END_DATE.minusDays(7)).effectiveStartDate(EFF_START_DATE.minusDays(7)).effectiveEndDate(EFF_END_DATE.minusDays(7)).paymentDate(END_DATE.minusDays(7)).fixedRate(0.01).yearFraction(0.25).build();
coverBeanEquals(test1, test2);
}
public double rpv01(NodalCurve creditCurve, PriceType cleanOrDirty)
{
double pv = 0.0;
for (int i = startPeriodIndex; i < nPayments; i++)
{
CreditCouponPaymentPeriod coupon = cds.PaymentPeriods.get(i);
double yc = offsetAccEnd[i];
double q = Math.Exp(-creditCurve.yValue(yc) * yc);
pv += coupon.YearFraction * paymentDF[i] * q;
}
if (cds.PaymentOnDefault.AccruedInterest)
{
double accPV = 0.0;
for (int i = startPeriodIndex; i < nPayments; i++)
{
accPV += calculateSinglePeriodAccrualOnDefault(i, creditCurve);
}
pv += accPV;
}
pv /= valuationDF;
if (cleanOrDirty == PriceType.CLEAN)
{
pv -= accYearFraction;
}
return(pv);
}
public virtual void test_contains()
{
CreditCouponPaymentPeriod test = CreditCouponPaymentPeriod.builder().currency(USD).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).effectiveStartDate(EFF_START_DATE).effectiveEndDate(EFF_END_DATE).paymentDate(END_DATE).fixedRate(COUPON).yearFraction(YEAR_FRACTION).build();
assertTrue(test.contains(START_DATE));
assertTrue(test.contains(START_DATE.plusMonths(1)));
assertFalse(test.contains(END_DATE));
assertFalse(test.contains(START_DATE.minusDays(1)));
}
public virtual void test_builder()
{
CreditCouponPaymentPeriod test = CreditCouponPaymentPeriod.builder().currency(USD).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).effectiveStartDate(EFF_START_DATE).effectiveEndDate(EFF_END_DATE).paymentDate(END_DATE).fixedRate(COUPON).yearFraction(YEAR_FRACTION).build();
assertEquals(test.Currency, USD);
assertEquals(test.EffectiveStartDate, EFF_START_DATE);
assertEquals(test.EffectiveEndDate, EFF_END_DATE);
assertEquals(test.StartDate, START_DATE);
assertEquals(test.EndDate, END_DATE);
assertEquals(test.FixedRate, COUPON);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentDate, END_DATE);
assertEquals(test.YearFraction, YEAR_FRACTION);
}
/// <summary>
/// Calculates the accrued premium per fractional spread for unit notional.
/// </summary>
/// <param name="stepinDate"> the step-in date </param>
/// <returns> the accrued year fraction </returns>
public double accruedYearFraction(LocalDate stepinDate)
{
if (stepinDate.isBefore(AccrualStartDate))
{
return(0d);
}
if (stepinDate.isEqual(AccrualEndDate))
{
return(paymentPeriods.get(paymentPeriods.size() - 1).YearFraction);
}
CreditCouponPaymentPeriod period = findPeriod(stepinDate).orElseThrow(() => new System.ArgumentException("Date outside range"));
return(dayCount.relativeYearFraction(period.StartDate, stepinDate));
}
static ResolvedCdsIndexTest()
{
int nDates = 44;
LocalDate[] dates = new LocalDate[nDates];
for (int i = 0; i < nDates; ++i)
{
dates[i] = START_DATE.plusMonths(3 * i);
}
for (int i = 0; i < nDates - 2; ++i)
{
LocalDate start = i == 0 ? dates[i] : BUSS_ADJ.adjust(dates[i], REF_DATA);
LocalDate end = BUSS_ADJ.adjust(dates[i + 1], REF_DATA);
PAYMENTS.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end.minusDays(1)).paymentDate(end).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end)).build());
}
LocalDate start = BUSS_ADJ.adjust(dates[nDates - 2], REF_DATA);
LocalDate end = dates[nDates - 1];
PAYMENTS.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end.plusDays(1)).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end).paymentDate(BUSS_ADJ.adjust(end, REF_DATA)).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end.plusDays(1))).build());
}
public virtual void test_serialization()
{
CreditCouponPaymentPeriod test = CreditCouponPaymentPeriod.builder().currency(USD).notional(NOTIONAL).startDate(START_DATE).endDate(END_DATE).effectiveStartDate(EFF_START_DATE).effectiveEndDate(EFF_END_DATE).paymentDate(END_DATE).fixedRate(COUPON).yearFraction(YEAR_FRACTION).build();
assertSerialization(test);
}
public Pricer(FastCreditCurveCalibrator outerInstance, ResolvedCds nodeCds, CreditDiscountFactors yieldCurve, DoubleArray creditCurveKnots, double fractionalSpread, double pointsUpfront, double lgd, LocalDate stepinDate, LocalDate effectiveStartDate, LocalDate settlementDate, double accruedYearFraction)
{
this.outerInstance = outerInstance;
accYearFraction = accruedYearFraction;
cds = nodeCds;
fracSpread = fractionalSpread;
puf = pointsUpfront;
productEffectiveStart = yieldCurve.relativeYearFraction(effectiveStartDate);
double protectionEnd = yieldCurve.relativeYearFraction(cds.ProtectionEndDate);
// protection leg
proLegIntPoints = DoublesScheduleGenerator.getIntegrationsPoints(productEffectiveStart, protectionEnd, yieldCurve.ParameterKeys, creditCurveKnots).toArray();
nProPoints = proLegIntPoints.Length;
valuationDF = yieldCurve.discountFactor(settlementDate);
lgdDF = lgd / valuationDF;
proYieldCurveRT = new double[nProPoints];
proDF = new double[nProPoints];
for (int i = 0; i < nProPoints; i++)
{
proYieldCurveRT[i] = yieldCurve.zeroRate(proLegIntPoints[i]) * proLegIntPoints[i];
proDF[i] = Math.Exp(-proYieldCurveRT[i]);
}
// premium leg
nPayments = cds.PaymentPeriods.size();
paymentDF = new double[nPayments];
int indexTmp = -1;
for (int i = 0; i < nPayments; i++)
{
if (stepinDate.isBefore(cds.PaymentPeriods.get(i).EndDate))
{
paymentDF[i] = yieldCurve.discountFactor(cds.PaymentPeriods.get(i).PaymentDate);
}
else
{
indexTmp = i;
}
}
startPeriodIndex = indexTmp + 1;
// accrual on default
if (cds.PaymentOnDefault.AccruedInterest)
{
LocalDate tmp = nPayments == 1 ? effectiveStartDate : cds.AccrualStartDate;
DoubleArray integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(yieldCurve.relativeYearFraction(tmp), protectionEnd, yieldCurve.ParameterKeys, creditCurveKnots);
accRate = new double[nPayments];
offsetAccStart = new double[nPayments];
offsetAccEnd = new double[nPayments];
premLegIntPoints = new double[nPayments][];
premDF = new double[nPayments][];
rt = new double[nPayments][];
premDt = new double[nPayments][];
for (int i = startPeriodIndex; i < nPayments; i++)
{
CreditCouponPaymentPeriod coupon = cds.PaymentPeriods.get(i);
offsetAccStart[i] = yieldCurve.relativeYearFraction(coupon.EffectiveStartDate);
offsetAccEnd[i] = yieldCurve.relativeYearFraction(coupon.EffectiveEndDate);
accRate[i] = coupon.YearFraction / yieldCurve.DayCount.relativeYearFraction(coupon.StartDate, coupon.EndDate);
double start = Math.Max(productEffectiveStart, offsetAccStart[i]);
if (start >= offsetAccEnd[i])
{
continue;
}
premLegIntPoints[i] = DoublesScheduleGenerator.truncateSetInclusive(start, offsetAccEnd[i], integrationSchedule).toArray();
int n = premLegIntPoints[i].Length;
rt[i] = new double[n];
premDF[i] = new double[n];
for (int k = 0; k < n; k++)
{
rt[i][k] = yieldCurve.zeroRate(premLegIntPoints[i][k]) * premLegIntPoints[i][k];
premDF[i][k] = Math.Exp(-rt[i][k]);
}
premDt[i] = new double[n - 1];
for (int k = 1; k < n; k++)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double dt = premLegIntPoints[i][k] - premLegIntPoints[i][k - 1];
double dt = premLegIntPoints[i][k] - premLegIntPoints[i][k - 1];
premDt[i][k - 1] = dt;
}
}
}
else
{
accRate = null;
offsetAccStart = null;
offsetAccEnd = null;
premDF = null;
premDt = null;
rt = null;
premLegIntPoints = null;
}
}
private Pair <double, PointSensitivityBuilder> singlePeriodAccrualOnDefaultSensitivity(CreditCouponPaymentPeriod coupon, LocalDate effectiveStartDate, DoubleArray integrationSchedule, CreditDiscountFactors discountFactors, LegalEntitySurvivalProbabilities survivalProbabilities)
{
LocalDate start = coupon.EffectiveStartDate.isBefore(effectiveStartDate) ? effectiveStartDate : coupon.EffectiveStartDate;
if (!start.isBefore(coupon.EffectiveEndDate))
{
return(Pair.of(0d, PointSensitivityBuilder.none())); //this coupon has already expired
}
DoubleArray knots = DoublesScheduleGenerator.truncateSetInclusive(discountFactors.relativeYearFraction(start), discountFactors.relativeYearFraction(coupon.EffectiveEndDate), integrationSchedule);
// pv
double pv = 0d;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nItems = knots.size();
int nItems = knots.size();
double[] dhrtBar = new double[nItems - 1];
double[] dhtBar = new double[nItems - 1];
double[] bBar = new double[nItems];
double[] p = new double[nItems];
double[] q = new double[nItems];
double t = knots.get(0);
double ht0 = survivalProbabilities.zeroRate(t) * t;
double rt0 = discountFactors.zeroRate(t) * t;
q[0] = Math.Exp(-ht0);
p[0] = Math.Exp(-rt0);
double b0 = q[0] * p[0];
double effStart = discountFactors.relativeYearFraction(coupon.EffectiveStartDate);
double t0 = t - effStart + omega;
for (int i = 1; i < nItems; ++i)
{
t = knots.get(i);
double ht1 = survivalProbabilities.zeroRate(t) * t;
double rt1 = discountFactors.zeroRate(t) * t;
q[i] = Math.Exp(-ht1);
p[i] = Math.Exp(-rt1);
double b1 = q[i] * p[i];
double dt = knots.get(i) - knots.get(i - 1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
double tPv;
if (formula == AccrualOnDefaultFormula.MARKIT_FIX)
{
if (Math.Abs(dhrt) < SMALL)
{
double eps = epsilonP(-dhrt);
tPv = dht * dt * b0 * eps;
dhtBar[i - 1] = dt * b0 * eps;
dhrtBar[i - 1] = -dht *dt *b0 *epsilonPP(-dhrt);
bBar[i - 1] += dht * eps;
}
else
{
tPv = dht * dt / dhrt * ((b0 - b1) / dhrt - b1);
dhtBar[i - 1] = dt / dhrt * ((b0 - b1) / dhrt - b1);
dhrtBar[i - 1] = dht * dt / (dhrt * dhrt) * (b1 - 2d * (b0 - b1) / dhrt);
bBar[i - 1] += dht * dt / (dhrt * dhrt);
bBar[i] += -dht * dt / dhrt * (1d + 1d / dhrt);
}
}
else
{
double t1 = t - effStart + omega;
if (Math.Abs(dhrt) < SMALL)
{
double eps = epsilon(-dhrt);
double epsp = epsilonP(-dhrt);
tPv = dht * b0 * (t0 * eps + dt * epsp);
dhtBar[i - 1] = b0 * (t0 * eps + dt * epsp);
dhrtBar[i - 1] = -dht * b0 * (t0 * epsp + dt * epsilonPP(-dhrt));
bBar[i - 1] += dht * (t0 * eps + dt * epsp);
}
else
{
tPv = dht / dhrt * (t0 * b0 - t1 * b1 + dt / dhrt * (b0 - b1));
dhtBar[i - 1] = (t0 * b0 - t1 * b1 + dt / dhrt * (b0 - b1)) / dhrt;
dhrtBar[i - 1] = dht / (dhrt * dhrt) * (-2d * dt / dhrt * (b0 - b1) - t0 * b0 + t1 * b1);
bBar[i - 1] += dht / dhrt * (t0 + dt / dhrt);
bBar[i] += dht / dhrt * (-t1 - dt / dhrt);
}
t0 = t1;
}
pv += tPv;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
double yfRatio = coupon.YearFraction / discountFactors.DayCount.relativeYearFraction(coupon.StartDate, coupon.EndDate);
// pv sensitivity
PointSensitivityBuilder qSensiFirst = survivalProbabilities.zeroRatePointSensitivity(knots.get(0)).multipliedBy(yfRatio * ((dhrtBar[0] + dhtBar[0]) / q[0] + bBar[0] * p[0]));
PointSensitivityBuilder pSensiFirst = discountFactors.zeroRatePointSensitivity(knots.get(0)).multipliedBy(yfRatio * (dhrtBar[0] / p[0] + bBar[0] * q[0]));
PointSensitivityBuilder pvSensi = pSensiFirst.combinedWith(qSensiFirst);
for (int i = 1; i < nItems - 1; ++i)
{
PointSensitivityBuilder qSensi = survivalProbabilities.zeroRatePointSensitivity(knots.get(i)).multipliedBy(yfRatio * (-(dhrtBar[i - 1] + dhtBar[i - 1]) / q[i] + (dhrtBar[i] + dhtBar[i]) / q[i] + bBar[i] * p[i]));
PointSensitivityBuilder pSensi = discountFactors.zeroRatePointSensitivity(knots.get(i)).multipliedBy(yfRatio * (-dhrtBar[i - 1] / p[i] + dhrtBar[i] / p[i] + bBar[i] * q[i]));
pvSensi = pvSensi.combinedWith(pSensi).combinedWith(qSensi);
}
if (nItems > 1)
{
PointSensitivityBuilder qSensiLast = survivalProbabilities.zeroRatePointSensitivity(knots.get(nItems - 1)).multipliedBy(yfRatio * (-(dhrtBar[nItems - 2] + dhtBar[nItems - 2]) / q[nItems - 1] + bBar[nItems - 1] * p[nItems - 1]));
PointSensitivityBuilder pSensiLast = discountFactors.zeroRatePointSensitivity(knots.get(nItems - 1)).multipliedBy(yfRatio * (-dhrtBar[nItems - 2] / p[nItems - 1] + bBar[nItems - 1] * q[nItems - 1]));
pvSensi = pvSensi.combinedWith(pSensiLast).combinedWith(qSensiLast);
}
return(Pair.of(yfRatio * pv, pvSensi));
}
// computes accrual-on-default pv per unit notional for a single payment period
private double singlePeriodAccrualOnDefault(CreditCouponPaymentPeriod coupon, LocalDate effectiveStartDate, DoubleArray integrationSchedule, CreditDiscountFactors discountFactors, LegalEntitySurvivalProbabilities survivalProbabilities)
{
LocalDate start = coupon.EffectiveStartDate.isBefore(effectiveStartDate) ? effectiveStartDate : coupon.EffectiveStartDate;
if (!start.isBefore(coupon.EffectiveEndDate))
{
return(0d); // this coupon has already expired
}
DoubleArray knots = DoublesScheduleGenerator.truncateSetInclusive(discountFactors.relativeYearFraction(start), discountFactors.relativeYearFraction(coupon.EffectiveEndDate), integrationSchedule);
double t0Knot = knots.get(0);
double ht0 = survivalProbabilities.zeroRate(t0Knot) * t0Knot;
double rt0 = discountFactors.zeroRate(t0Knot) * t0Knot;
double b0 = Math.Exp(-rt0 - ht0);
double effStart = discountFactors.relativeYearFraction(coupon.EffectiveStartDate);
double t0 = t0Knot - effStart + omega;
double pv = 0d;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nItems = knots.size();
int nItems = knots.size();
for (int j = 1; j < nItems; ++j)
{
double t = knots.get(j);
double ht1 = survivalProbabilities.zeroRate(t) * t;
double rt1 = discountFactors.zeroRate(t) * t;
double b1 = Math.Exp(-rt1 - ht1);
double dt = knots.get(j) - knots.get(j - 1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
double tPV;
if (formula == AccrualOnDefaultFormula.MARKIT_FIX)
{
if (Math.Abs(dhrt) < SMALL)
{
tPV = dht * dt * b0 * Epsilon.epsilonP(-dhrt);
}
else
{
tPV = dht * dt / dhrt * ((b0 - b1) / dhrt - b1);
}
}
else
{
double t1 = t - effStart + omega;
if (Math.Abs(dhrt) < SMALL)
{
tPV = dht * b0 * (t0 * epsilon(-dhrt) + dt * Epsilon.epsilonP(-dhrt));
}
else
{
tPV = dht / dhrt * (t0 * b0 - t1 * b1 + dt / dhrt * (b0 - b1));
}
t0 = t1;
}
pv += tPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
double yearFractionCurve = discountFactors.DayCount.relativeYearFraction(coupon.StartDate, coupon.EndDate);
return(coupon.YearFraction * pv / yearFractionCurve);
}
