public static object CreateCDS(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Tenor rate")] string Tenor,
[ExcelArgument(Description = "Spread")] double Spread,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "Currency")] string Currency,
[ExcelArgument(Description = "Notional, default 1,000,000")] object Notional,
[ExcelArgument(Description = "Schedule type, default Basic")] object ScheduleType,
[ExcelArgument(Description = "Basis, default Act365F")] object Basis)
{
return(ExcelHelper.Execute(_logger, () =>
{
var basis = Basis.OptionalExcel("Act365F");
var scheduleType = ScheduleType.OptionalExcel("Basic");
var notional = Notional.OptionalExcel(1.0e6);
if (!Enum.TryParse(basis, out DayCountBasis dayCountBasis))
{
throw new Exception($"Could not parse basis type - {basis}");
}
if (!Enum.TryParse(scheduleType, out CdsScheduleType shed))
{
throw new Exception($"Could not parse cds schedule type - {scheduleType}");
}
var ccy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var cdsObj = new CDS()
{
Basis = dayCountBasis,
Currency = ccy,
Notional = notional,
Tenor = new Frequency(Tenor),
OriginDate = OriginDate,
Spread = Spread,
ScheduleType = shed
};
cdsObj.Init();
return ExcelHelper.PushToCache(cdsObj, ObjectName);
}));
}
public void CDSBasicFacts_LinearApprox()
{
var origin = new DateTime(2020, 06, 15);
var hzi = new ConstantHazzardInterpolator(0.0);
var hz = new HazzardCurve(origin, DayCountBasis.ACT365F, hzi);
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var df = new ConstantRateIrCurve(0.00, origin, "LIBOR", usd);
var sut = new CDS()
{
Basis = DayCountBasis.ACT365F,
Currency = usd,
OriginDate = origin,
Tenor = new Frequency("1y"),
Spread = 0.01,
Notional = 1e6
};
sut.Init();
var pv = sut.PV_LinearApprox(hz, df, 0.4, false);
Assert.Equal(-sut.Notional * sut.Spread, pv);
}
