public double pvPremiumLegCreditSensitivity(
CDS cds,
YieldTermStructure yieldCurve,
PiecewiseconstantHazardRate creditCurve,
int creditCurveNode)
{
if (cds.getProtectionEnd() <= 0.0)
{ //short cut already expired CDSs
return(0.0);
}
int n = cds.getNumPayments();
double pvSense = 0.0;
for (int i = 0; i < n; i++)
{
CdsCoupon c = cds.getCoupon(i);
double paymentTime = c.getPaymentTime();
double creditObsTime = c.getEffEnd();
double dqdh = creditCurve.getSingleNodeDiscountFactorSensitivity(creditObsTime, creditCurveNode);
if (dqdh == 0)
{
continue;
}
double p = Math.Exp(-yieldCurve.getRT_(paymentTime));
pvSense += c.getYearFrac() * p * dqdh;
}
if (cds.isPayAccOnDefault())
{
double start = cds.getNumPayments() == 1 ? cds.getEffectiveProtectionStart() : cds.getAccStart();
double[] integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(start, cds.getProtectionEnd(), yieldCurve, creditCurve);
double accPVSense = 0.0;
for (int i = 0; i < n; i++)
{
accPVSense += calculateSinglePeriodAccrualOnDefaultCreditSensitivity(
cds.getCoupon(i),
cds.getEffectiveProtectionStart(), integrationSchedule, yieldCurve, creditCurve, creditCurveNode);
}
pvSense += accPVSense;
}
double df = Math.Exp(-yieldCurve.getRT_(cds.getCashSettleTime()));
pvSense /= df;
return(pvSense);
}
public double rpv01(PiecewiseconstantHazardRate creditCurve, CdsPriceType cleanOrDirty)
{
double pv = 0.0;
for (int i = 0; i < _nPayments; i++)
{
CdsCoupon c = _cds.getCoupon(i);
double q = Math.Exp(-creditCurve.getRT_(c.getEffEnd()));
pv += c.getYearFrac() * _paymentDF[i] * q;
}
if (_cds.isPayAccOnDefault())
{
double accPV = 0.0;
for (int i = 0; i < _nPayments; i++)
{
accPV += calculateSinglePeriodAccrualOnDefault(i, creditCurve);
}
pv += accPV;
}
pv /= _valuationDF;
if (cleanOrDirty == CdsPriceType.CLEAN)
{
pv -= _cds.getAccruedYearFraction();
}
return(pv);
}
public Pricer(
CDS cds,
YieldTermStructure yieldCurve,
double[] creditCurveKnots,
double fractionalSpread,
double pointsUpfront)
{
_cds = cds;
_fracSpread = fractionalSpread;
_pointsUpfront = pointsUpfront;
// protection leg
_proLegIntPoints = DoublesScheduleGenerator.getIntegrationsPoints(
cds.getEffectiveProtectionStart(),
cds.getProtectionEnd(),
yieldCurve.t.ToArray(),
creditCurveKnots);
_nProPoints = _proLegIntPoints.Length;
double lgd = cds.getLGD();
_valuationDF = Math.Exp(-yieldCurve.getRT_(cds.getCashSettleTime()));
_lgdDF = lgd / _valuationDF;
_proYieldCurveRT = new double[_nProPoints];
_proDF = new double[_nProPoints];
for (int i = 0; i < _nProPoints; i++)
{
_proYieldCurveRT[i] = yieldCurve.getRT_(_proLegIntPoints[i]);
_proDF[i] = Math.Exp(-_proYieldCurveRT[i]);
}
// premium leg
_nPayments = cds.getNumPayments();
_paymentDF = new double[_nPayments];
for (int i = 0; i < _nPayments; i++)
{
_paymentDF[i] = Math.Exp(-yieldCurve.getRT_(cds.getCoupon(i).getPaymentTime()));
}
if (cds.isPayAccOnDefault())
{
double tmp = cds.getNumPayments() == 1 ? cds.getEffectiveProtectionStart() : cds.getAccStart();
double[] integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(
tmp, cds.getProtectionEnd(), yieldCurve.t.ToArray(), creditCurveKnots);
_accRate = new double[_nPayments];
_offsetAccStart = new double[_nPayments];
_premLegIntPoints = new double[_nPayments][];
_premDF = new double[_nPayments][];
_rt = new double[_nPayments][];
_premDt = new double[_nPayments][];
for (int i = 0; i < _nPayments; i++)
{
CdsCoupon c = cds.getCoupon(i);
_offsetAccStart[i] = c.getEffStart();
double offsetAccEnd = c.getEffEnd();
_accRate[i] = c.getYFRatio();
double start = Math.Max(_offsetAccStart[i], cds.getEffectiveProtectionStart());
if (start >= offsetAccEnd)
{
continue;
}
_premLegIntPoints[i] = DoublesScheduleGenerator.truncateSetInclusive(start, offsetAccEnd, integrationSchedule);
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.getRT_(_premLegIntPoints[i][k]);
_premDF[i][k] = Math.Exp(-_rt[i][k]);
}
_premDt[i] = new double[n - 1];
for (int k = 1; k < n; k++)
{
double dt = _premLegIntPoints[i][k] - _premLegIntPoints[i][k - 1];
_premDt[i][k - 1] = dt;
}
}
}
else
{
_accRate = null;
_offsetAccStart = null;
_premDF = null;
_premDt = null;
_rt = null;
_premLegIntPoints = null;
}
}
