/**
* Bootstrapper the credit curve from a single market CDS quote. Obviously the resulting credit (hazard)
* curve will be flat.
*
* @param calibrationCDS The single market CDS - this is the reference instruments used to build the credit curve
* @param marketQuote The market quote of the CDS
* @param yieldCurve The yield (or discount) curve
* @return The credit curve
*/
public PiecewiseconstantHazardRate calibrateCreditCurve(
CDS calibrationCDS,
CdsQuoteConvention marketQuote,
YieldTermStructure yieldCurve)
{
double puf = 0.0;
double coupon = 0.0;
if (marketQuote is CdsParSpread)
{
puf = 0.0;
coupon = marketQuote.getCoupon();
}
else if (marketQuote is CdsQuotedSpread)
{
puf = 0.0;
coupon = ((CdsQuotedSpread)marketQuote).getQuotedSpread();
}
else if (marketQuote is PointsUpFront)
{
PointsUpFront temp = (PointsUpFront)marketQuote;
puf = temp.getPointsUpFront();
coupon = temp.getCoupon();
}
return(calibrateCreditCurve(
new CDS[] { calibrationCDS }, new double[] { coupon }, yieldCurve, new double[] { puf }));
}
/**
* Put any CDS market quote into the form needed for the curve builder,
* namely coupon and points up-front (which can be zero).
*
* @param calibrationCDS
* @param marketQuote
* @param yieldCurve
* @return The market quotes in the form required by the curve builder
*/
private double[] getStandardQuoteForm(
CDS calibrationCDS,
CdsQuoteConvention marketQuote,
YieldTermStructure yieldCurve)
{
AnalyticalCdsPricer pricer = new AnalyticalCdsPricer();
double[] res = new double[2];
if (marketQuote is CdsParSpread)
{
res[0] = marketQuote.getCoupon();
}
else if (marketQuote is CdsQuotedSpread)
{
CdsQuotedSpread temp = (CdsQuotedSpread)marketQuote;
double coupon = temp.getCoupon();
double qSpread = temp.getQuotedSpread();
PiecewiseconstantHazardRate cc = calibrateCreditCurve(
new CDS[] { calibrationCDS }, new double[] { qSpread }, yieldCurve, new double[1]);
res[0] = coupon;
res[1] = pricer.pv(calibrationCDS, yieldCurve, cc, coupon, CdsPriceType.CLEAN);
}
else if (marketQuote is PointsUpFront)
{
PointsUpFront temp = (PointsUpFront)marketQuote;
res[0] = temp.getCoupon();
res[1] = temp.getPointsUpFront();
}
return(res);
}
