public virtual void test_createTrade_withFee()
{
TenorCdsTemplate base1 = TenorCdsTemplate.of(TENOR_10Y, CONV1);
TenorCdsTemplate base2 = TenorCdsTemplate.of(AccrualStart.NEXT_DAY, TENOR_2Y, CONV2);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
AdjustablePayment payment1 = AdjustablePayment.of(EUR, NOTIONAL_2M, CONV1.SettlementDateOffset.adjust(tradeDate, REF_DATA));
AdjustablePayment payment2 = AdjustablePayment.of(USD, NOTIONAL_2M, CONV2.SettlementDateOffset.adjust(tradeDate, REF_DATA));
LocalDate startDate1 = date(2015, 3, 20);
LocalDate endDate1 = date(2025, 6, 20);
LocalDate startDate2 = date(2015, 5, 6);
LocalDate endDate2 = date(2017, 6, 20);
CdsTrade test1 = base1.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, payment1, REF_DATA);
CdsTrade test2 = base2.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, payment2, REF_DATA);
Cds expected1 = Cds.of(BUY, LEGAL_ENTITY, CONV1.Currency, NOTIONAL_2M, startDate1, endDate1, Frequency.P3M, CONV1.SettlementDateOffset.Calendar, 0.05d);
PeriodicSchedule sch1 = expected1.PaymentSchedule;
expected1 = expected1.toBuilder().paymentSchedule(sch1.toBuilder().startDateBusinessDayAdjustment(sch1.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build();
Cds expected2 = Cds.of(BUY, LEGAL_ENTITY, CONV2.Currency, NOTIONAL_2M, startDate2, endDate2, Frequency.P3M, CONV2.SettlementDateOffset.Calendar, 0.05d);
PeriodicSchedule sch2 = expected2.PaymentSchedule;
expected2 = expected2.toBuilder().paymentSchedule(sch2.toBuilder().startDateBusinessDayAdjustment(sch2.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build();
assertEquals(test1.Info.TradeDate, tradeDate);
assertEquals(test1.UpfrontFee, payment1);
assertEquals(test1.Product, expected1);
assertEquals(test2.Info.TradeDate, tradeDate);
assertEquals(test2.UpfrontFee, payment2);
assertEquals(test2.Product, expected2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean(PRODUCT_STD);
Cds other = Cds.builder().buySell(SELL).legalEntityId(StandardId.of("OG", "EFG")).currency(JPY).notional(1d).fixedRate(0.01).dayCount(ACT_365F).paymentSchedule(PeriodicSchedule.builder().businessDayAdjustment(BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, JPTO)).startDate(LocalDate.of(2014, 1, 4)).endDate(LocalDate.of(2020, 11, 20)).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.SHORT_FINAL).build()).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).stepinDateOffset(DaysAdjustment.NONE).settlementDateOffset(DaysAdjustment.NONE).build();
coverBeanEquals(PRODUCT_STD, other);
}
public virtual void parSpreadQuoteTest()
{
int nPillars = MATURITIES.Length;
IList <Cds> products = new List <Cds>(nPillars);
IList <CdsQuote> quotes = new List <CdsQuote>(nPillars);
double[] parSpreads = new double[] { 0.00769041167742121, 0.010780108645654813, 0.014587245777777417, 0.017417253343028126, 0.01933997409465104, 0.022289540511698912, 0.025190509434219924 };
for (int i = 0; i < nPillars; ++i)
{
products.Add(Cds.of(BUY, LEGAL_ENTITY, GBP, 1.0e6, START_DATE, MATURITIES[i], Frequency.P3M, DEFAULT_CALENDAR, parSpreads[i]));
quotes.Add(CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, parSpreads[i]));
}
TradeInfo info = TradeInfo.builder().tradeDate(TODAY).settlementDate(products[0].SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
IList <ResolvedCdsTrade> trades = products.Select(p => CdsTrade.builder().product(p).info(info).build().resolve(REF_DATA)).ToList();
IList <CdsQuote> pufsComp = CONV.quotesFromParSpread(trades, quotes, RATES_PROVIDER, CdsQuoteConvention.POINTS_UPFRONT, REF_DATA);
IList <CdsQuote> pufsMfComp = CONV_MARKIT_FIX.quotesFromParSpread(trades, quotes, RATES_PROVIDER, CdsQuoteConvention.POINTS_UPFRONT, REF_DATA);
IList <CdsQuote> qssComp = CONV.quotesFromParSpread(trades, quotes, RATES_PROVIDER, CdsQuoteConvention.QUOTED_SPREAD, REF_DATA);
IList <CdsQuote> qssMfComp = CONV_MARKIT_FIX.quotesFromParSpread(trades, quotes, RATES_PROVIDER, CdsQuoteConvention.QUOTED_SPREAD, REF_DATA);
for (int i = 0; i < nPillars; ++i)
{
assertEquals(pufsComp[i].QuotedValue, 0d, TOL);
assertTrue(pufsComp[i].QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT));
assertEquals(pufsMfComp[i].QuotedValue, 0d, TOL);
assertTrue(pufsMfComp[i].QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT));
}
for (int i = 0; i < nPillars; ++i)
{
CdsQuote qsRe = CONV.quotedSpreadFromPointsUpfront(trades[i], pufsComp[i], RATES_PROVIDER, REF_DATA);
CdsQuote qsMfRe = CONV_MARKIT_FIX.quotedSpreadFromPointsUpfront(trades[i], pufsMfComp[i], RATES_PROVIDER, REF_DATA);
assertEquals(qsRe.QuotedValue, qssComp[i].QuotedValue, TOL);
assertEquals(qsMfRe.QuotedValue, qssMfComp[i].QuotedValue, TOL);
}
}
private CdsTrade(TradeInfo info, Cds product, AdjustablePayment upfrontFee)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.upfrontFee = upfrontFee;
}
//
// GET: /Movies/random
public ActionResult Random()
{
var cds = new Cds()
{
nome = "Black Album", estilo = " Metal"
};
return(View(cds));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
CdsTrade test1 = sut();
coverImmutableBean(test1);
Cds product = Cds.of(BUY, LEGAL_ENTITY, USD, 1.e9, START_DATE, END_DATE, P3M, SAT_SUN, 0.067);
CdsTrade test2 = CdsTrade.builder().product(product).info(TradeInfo.empty()).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedCdsTrade test1 = ResolvedCdsTrade.builder().product(PRODUCT).upfrontFee(UPFRONT).info(TRADE_INFO).build();
coverImmutableBean(test1);
ResolvedCds product = Cds.of(BUY, LEGAL_ENTITY, USD, 1.e9, START_DATE, END_DATE, Frequency.P6M, SAT_SUN, 0.067).resolve(REF_DATA);
ResolvedCdsTrade test2 = ResolvedCdsTrade.builder().product(product).info(TradeInfo.empty()).build();
coverBeanEquals(test1, test2);
}
public ActionResult Details(int libraryId, int cdId)
{
Cds cd = Cds.Find(cdId);
Dictionary <string, object> model = new Dictionary <string, object>();
Library library = Library.Find(libraryId);
model.Add("cd", cd);
model.Add("library", library);
return(View(cd));
}
void UpdateEntityImageFields(Models.Entity entity)
{
Log.Progress($"Updating fields for {entity.Name} entity type.");
var attributesRequest = new RetrieveEntityRequest
{
EntityFilters = EntityFilters.Entity,
LogicalName = entity.Name
};
var meta = ((RetrieveEntityResponse)Cds.Execute(attributesRequest)).EntityMetadata;
var imageField = entity.Fields.Get("entityimage");
var imageIdField = entity.Fields.Get("entityimageid");
if (!string.IsNullOrEmpty(meta.PrimaryImageAttribute))
{
if (imageField == null)
{
// Add field.
Log.Information($"Field {Field.EntityImage.Name} being ADDED to schema.");
entity.Fields.Add(Field.EntityImage);
}
else
{
// Update field.
Log.Verbose($"Field {imageField.Name} being UPDATED in schema.");
entity.Fields.Set(Field.EntityImage);
}
if (imageIdField == null)
{
// Add field.
Log.Information($"Field {Field.EntityImageId.Name} being ADDED to schema.");
entity.Fields.Add(Field.EntityImageId);
}
else
{
// Update field.
Log.Verbose($"Field {imageIdField.Name} being UPDATED in schema.");
entity.Fields.Set(Field.EntityImageId);
}
}
else
{
if (imageField != null)
{
// Feature not enabled connected environment.
Log.Warning($"Field {imageField.Name} being REMOVED from schema because this feature is not in the connected environment.");
entity.Fields.Remove(imageField);
}
if (imageIdField != null)
{
// Feature not enabled connected environment.
Log.Warning($"Field {imageIdField.Name} being REMOVED from schema because this feature is not in the connected environment.");
entity.Fields.Remove(imageIdField);
}
}
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(CdsTrade trade, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
Cds product = trade.Product;
StandardId legalEntityId = product.LegalEntityId;
Currency currency = product.Currency;
// use lookup to build requirements
CreditRatesMarketDataLookup lookup = parameters.getParameter(typeof(CreditRatesMarketDataLookup));
return(lookup.requirements(legalEntityId, currency));
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
DatesCdsTemplate @base = DatesCdsTemplate.of(START, END, CONV1);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
CdsTrade test = @base.createTrade(LEGAL_ENTITY, tradeDate, BUY, NOTIONAL_2M, 0.05d, REF_DATA);
Cds expected = Cds.of(BUY, LEGAL_ENTITY, CONV1.Currency, NOTIONAL_2M, START, END, Frequency.P3M, CONV1.SettlementDateOffset.Calendar, 0.05d);
PeriodicSchedule sch1 = expected.PaymentSchedule;
expected = expected.toBuilder().paymentSchedule(sch1.toBuilder().startDateBusinessDayAdjustment(sch1.BusinessDayAdjustment).rollConvention(RollConventions.DAY_20).build()).build();
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
assertEquals(test.UpfrontFee, null);
}
public ActionResult CreateCds(int libraryId, string title)
{
Dictionary <string, object> model = new Dictionary <string, object>();
Library foundLibrary = Library.Find(libraryId);
Cds newCd = new Cds(title);
foundLibrary.AddCd(newCd);
List <Cds> libraryCds = foundLibrary.GetCds();
model.Add("cds", libraryCds);
model.Add("library", foundLibrary);
return(View("Details", model));
}
public virtual void pricePufTest()
{
double premium = 150d * ONE_BP;
Cds product = Cds.of(BUY, LEGAL_ENTITY, GBP, 1.0e6, START_DATE, END_DATE, Frequency.P3M, DEFAULT_CALENDAR, premium);
TradeInfo info = TradeInfo.builder().tradeDate(TODAY).settlementDate(product.SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
ResolvedCdsTrade trade = CdsTrade.builder().product(product).info(info).build().resolve(REF_DATA);
NodalCurve cc = CALIB.calibrate(ImmutableList.of(trade), DoubleArray.of(0.0123), DoubleArray.of(0.0), CurveName.of("test"), TODAY, DSC_CURVE, REC_RATES, REF_DATA);
CreditRatesProvider rates = RATES_PROVIDER.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, GBP), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY, IsdaCreditDiscountFactors.of(GBP, TODAY, cc)))).build();
double pointsUpFront = CONV.pointsUpfront(trade, rates, REF_DATA);
double cleanPrice = CONV.cleanPrice(trade, rates, REF_DATA);
double cleanPriceRe = CONV.cleanPriceFromPointsUpfront(pointsUpFront);
assertEquals(cleanPrice, cleanPriceRe, TOL);
}
public virtual void standardQuoteTest2()
{
double quotedSpread = 143.4 * ONE_BP;
double expectedPuf = -0.2195134271137960; // taken from Excel-ISDA 1.8.2
double premium = 500d * ONE_BP;
Cds product = Cds.of(SELL, LEGAL_ENTITY, GBP, 1.0e8, START_DATE, END_DATE, Frequency.P6M, DEFAULT_CALENDAR, premium);
TradeInfo info = TradeInfo.builder().tradeDate(TODAY).settlementDate(product.SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
ResolvedCdsTrade trade = CdsTrade.builder().product(product).info(info).build().resolve(REF_DATA);
CdsQuote quotedSpreadQuoted = CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, quotedSpread);
CdsQuote derivedPuf = CONV.pointsUpFrontFromQuotedSpread(trade, quotedSpreadQuoted, RATES_PROVIDER, REF_DATA);
assertEquals(derivedPuf.QuotedValue, expectedPuf, 5e-13);
assertTrue(derivedPuf.QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT));
CdsQuote derivedQuotedSpread = CONV.quotedSpreadFromPointsUpfront(trade, derivedPuf, RATES_PROVIDER, REF_DATA);
assertEquals(derivedQuotedSpread.QuotedValue, quotedSpread, 1e-15);
assertTrue(derivedQuotedSpread.QuoteConvention.Equals(CdsQuoteConvention.QUOTED_SPREAD));
}
public virtual void standardQuoteTest()
{
double pointsUpFront = 0.007;
double expectedParSpread = 0.011112592882846; // taken from Excel-ISDA 1.8.2
double premium = 100d * ONE_BP;
Cds product = Cds.of(BUY, LEGAL_ENTITY, GBP, 1.0e6, START_DATE, END_DATE, Frequency.P3M, DEFAULT_CALENDAR, premium);
TradeInfo info = TradeInfo.builder().tradeDate(TODAY).settlementDate(product.SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
ResolvedCdsTrade trade = CdsTrade.builder().product(product).info(info).build().resolve(REF_DATA);
CdsQuote pufQuote = CdsQuote.of(CdsQuoteConvention.POINTS_UPFRONT, pointsUpFront);
CdsQuote quotedSpread = CONV.quotedSpreadFromPointsUpfront(trade, pufQuote, RATES_PROVIDER, REF_DATA);
assertEquals(quotedSpread.QuotedValue, expectedParSpread, 1e-14);
assertTrue(quotedSpread.QuoteConvention.Equals(CdsQuoteConvention.QUOTED_SPREAD));
CdsQuote derivedPuf = CONV.pointsUpFrontFromQuotedSpread(trade, quotedSpread, RATES_PROVIDER, REF_DATA);
assertEquals(derivedPuf.QuotedValue, pointsUpFront, 1e-15);
assertTrue(derivedPuf.QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT));
}
public virtual void test_of()
{
BusinessDayAdjustment bussAdj = BusinessDayAdjustment.of(FOLLOWING, SAT_SUN);
PeriodicSchedule expected = PeriodicSchedule.builder().startDate(START_DATE).endDate(END_DATE).businessDayAdjustment(bussAdj).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(P3M).rollConvention(RollConventions.NONE).stubConvention(SMART_INITIAL).build();
assertEquals(PRODUCT_STD.PaymentSchedule, expected);
assertEquals(PRODUCT_STD.BuySell, BUY);
assertEquals(PRODUCT_STD.Currency, USD);
assertEquals(PRODUCT_STD.DayCount, ACT_360);
assertEquals(PRODUCT_STD.FixedRate, COUPON);
assertEquals(PRODUCT_STD.LegalEntityId, LEGAL_ENTITY);
assertEquals(PRODUCT_STD.Notional, NOTIONAL);
assertEquals(PRODUCT_STD.PaymentOnDefault, ACCRUED_PREMIUM);
assertEquals(PRODUCT_STD.ProtectionStart, BEGINNING);
assertEquals(PRODUCT_STD.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(PRODUCT_STD.StepinDateOffset, STEPIN_DAY_ADJ);
Cds test = Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, START_DATE, END_DATE, P3M, SAT_SUN, COUPON);
assertEquals(test, PRODUCT_STD);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (TradeInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (Cds)newValue;
break;
case 963468344: // upfrontFee
this.upfrontFee_Renamed = (AdjustablePayment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_builder()
{
LocalDate startDate = LocalDate.of(2014, 12, 20);
LocalDate endDate = LocalDate.of(2020, 10, 20);
PeriodicSchedule sch = PeriodicSchedule.of(startDate, endDate, P3M, BusinessDayAdjustment.NONE, SHORT_INITIAL, RollConventions.NONE);
Cds test = Cds.builder().paymentSchedule(sch).buySell(SELL).currency(JPY).dayCount(ACT_365F).fixedRate(COUPON).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test.PaymentSchedule, sch);
assertEquals(test.BuySell, SELL);
assertEquals(test.Currency, JPY);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.FixedRate, COUPON);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentOnDefault, PaymentOnDefault.NONE);
assertEquals(test.ProtectionStart, ProtectionStartOfDay.NONE);
assertEquals(test.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(test.StepinDateOffset, STEPIN_DAY_ADJ);
assertEquals(test.CrossCurrency, false);
assertEquals(test.allPaymentCurrencies(), ImmutableSet.of(JPY));
assertEquals(test.allCurrencies(), ImmutableSet.of(JPY));
}
//-------------------------------------------------------------------------
public virtual void test_toTrade()
{
LocalDate tradeDate = LocalDate.of(2015, 12, 21); // 19, 20 weekend
LocalDate startDate = LocalDate.of(2015, 12, 20);
LocalDate endDate = LocalDate.of(2020, 12, 20);
LocalDate settlementDate = LocalDate.of(2015, 12, 24);
TradeInfo info = TradeInfo.builder().tradeDate(tradeDate).settlementDate(settlementDate).build();
Tenor tenor = Tenor.TENOR_5Y;
ImmutableCdsConvention @base = ImmutableCdsConvention.of(NAME, GBP, ACT_360, P3M, BUSI_ADJ_STD, SETTLE_DAY_ADJ_STD);
Cds product = Cds.builder().legalEntityId(LEGAL_ENTITY).paymentSchedule(PeriodicSchedule.builder().startDate(startDate).endDate(endDate).frequency(P3M).businessDayAdjustment(BUSI_ADJ_STD).startDateBusinessDayAdjustment(BUSI_ADJ_STD).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).stubConvention(StubConvention.SMART_INITIAL).rollConvention(RollConventions.DAY_20).build()).buySell(BUY).currency(GBP).dayCount(ACT_360).notional(NOTIONAL).fixedRate(COUPON).paymentOnDefault(PaymentOnDefault.ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.BEGINNING).stepinDateOffset(STEPIN_DAY_ADJ).settlementDateOffset(SETTLE_DAY_ADJ_STD).build();
CdsTrade expected = CdsTrade.builder().info(info).product(product).build();
CdsTrade test1 = @base.createTrade(LEGAL_ENTITY, tradeDate, tenor, BUY, NOTIONAL, COUPON, REF_DATA);
assertEquals(test1, expected);
CdsTrade test2 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, tenor, BUY, NOTIONAL, COUPON, REF_DATA);
assertEquals(test2, expected);
CdsTrade test3 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, endDate, BUY, NOTIONAL, COUPON, REF_DATA);
assertEquals(test3, expected);
CdsTrade test4 = @base.toTrade(LEGAL_ENTITY, info, startDate, endDate, BUY, NOTIONAL, COUPON);
assertEquals(test4, expected);
AdjustablePayment upfront = AdjustablePayment.of(CurrencyAmount.of(GBP, 0.1 * NOTIONAL), settlementDate);
CdsTrade expectedWithUf = CdsTrade.builder().info(info).product(product).upfrontFee(upfront).build();
CdsTrade test5 = @base.createTrade(LEGAL_ENTITY, tradeDate, tenor, BUY, NOTIONAL, COUPON, upfront, REF_DATA);
assertEquals(test5, expectedWithUf);
CdsTrade test6 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, tenor, BUY, NOTIONAL, COUPON, upfront, REF_DATA);
assertEquals(test6, expectedWithUf);
CdsTrade test7 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, endDate, BUY, NOTIONAL, COUPON, upfront, REF_DATA);
assertEquals(test7, expectedWithUf);
CdsTrade test8 = @base.toTrade(LEGAL_ENTITY, info, startDate, endDate, BUY, NOTIONAL, COUPON, upfront);
assertEquals(test8, expectedWithUf);
}
/// <summary>
/// Creates a trade representing the CDS index at the node.
/// <para>
/// This uses the observed market data to build the CDS index trade that the node represents.
/// The resulting trade is not resolved.
/// The notional of the trade is taken from the 'quantity' variable.
/// The quantity is signed and will affect whether the trade is Buy or Sell.
/// The valuation date is defined by the market data.
///
/// </para>
/// </summary>
/// <param name="quantity"> the quantity or notional of the trade </param>
/// <param name="marketData"> the market data required to build a trade for the instrument, including the valuation date </param>
/// <param name="refData"> the reference data, used to resolve the trade dates </param>
/// <returns> a trade representing the instrument at the node </returns>
public CdsIndexCalibrationTrade trade(double quantity, MarketData marketData, ReferenceData refData)
{
BuySell buySell = quantity > 0 ? BuySell.BUY : BuySell.SELL;
LocalDate valuationDate = marketData.ValuationDate;
double quoteValue = marketData.getValue(observableId);
CdsQuote quote = CdsQuote.of(quoteConvention, quoteValue);
double notional = Math.Abs(quantity);
CdsTrade cdsTrade = null;
if (quoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD))
{
cdsTrade = template.createTrade(cdsIndexId, valuationDate, buySell, notional, quoteValue, refData);
}
else
{
double coupon = FixedRate.Value; // always success
cdsTrade = template.createTrade(cdsIndexId, valuationDate, buySell, notional, coupon, refData);
}
Cds cdsProduct = cdsTrade.Product;
CdsIndexTrade cdsIndex = CdsIndexTrade.builder().info(cdsTrade.Info).product(CdsIndex.builder().buySell(cdsProduct.BuySell).currency(cdsProduct.Currency).notional(cdsProduct.Notional).cdsIndexId(cdsIndexId).legalEntityIds(legalEntityIds).dayCount(cdsProduct.DayCount).paymentSchedule(cdsProduct.PaymentSchedule).fixedRate(cdsProduct.FixedRate).paymentOnDefault(cdsProduct.PaymentOnDefault).protectionStart(cdsProduct.ProtectionStart).settlementDateOffset(cdsProduct.SettlementDateOffset).stepinDateOffset(cdsProduct.StepinDateOffset).build()).build();
return(CdsIndexCalibrationTrade.of(cdsIndex, quote));
}
public ActionResult DeleteAll()
{
Cds.ClearAll();
return(View());
}
public ActionResult Details(int id)
{
Cds cd = Cds.Find(id);
return(View(cd));
}
public int PageCount()
{
return(Convert.ToInt32(Math.Ceiling(Cds.Where(p => p.Product.Available > 0).Count() / (double)Constants.PRODUCTS_PER_PAGE)));
}
public List <Cd> PaginatedCds()
{
int start = (CurrentPage - 1) * Constants.PRODUCTS_PER_PAGE;
return(Cds.OrderBy(p => p.ProductId).Skip(start).Take(Constants.PRODUCTS_PER_PAGE).ToList());
}
void UpdateRelationships(Models.Entity entity, bool intelligently = false)
{
Log.Progress($"Updating relationships for {entity.Name} entity type.");
var relationshipsRequest = new RetrieveEntityRequest
{
EntityFilters = EntityFilters.Relationships,
LogicalName = entity.Name
};
var relationships = ((RetrieveEntityResponse)Cds.Execute(relationshipsRequest)).EntityMetadata.ManyToManyRelationships
.Where(r => r.Entity1LogicalName == entity.Name)
.ToArray();
// NOTE: CMT doesn't capture SchemaName as name for relationship - but probably should. It uses IntersectEntityName instead.
var relationshipsCorrelatedLeft = from meta in relationships
join schema in entity.Relationships
on meta.IntersectEntityName equals schema.Name into joinGroup
from j in joinGroup.DefaultIfEmpty()
select(meta, j);
var relationshipsCorrelatedRight = from schema in entity.Relationships
join meta in relationships
on schema.Name equals meta.IntersectEntityName into joinGroup
from j in joinGroup.DefaultIfEmpty()
select(j, schema);
var relationshipsCorrelated = relationshipsCorrelatedRight
.Union(relationshipsCorrelatedLeft)
.OrderBy(x => x.Item1 != null ? x.Item1.IntersectEntityName : x.Item2.Name)
.ToArray();
foreach (var(meta, schema) in relationshipsCorrelated)
{
if (meta == null)
{
// Relationship does not exist in connected environment.
Log.Warning($"Relationship {schema.Name} being REMOVED from schema.");
entity.Relationships.Remove(schema);
}
else if (schema == null)
{
if (intelligently)
{
if (meta.IsCustomRelationship != true)
{
// Check if this is a foreign relationship.
var isForeignRelationship = !CurrentDocument.Entities.Exists(e => e.Name == meta.Entity2LogicalName);
if (isForeignRelationship)
{
// Check if schema already includes relationships with entities not included in schema.
var entityHasForeignRelationshipsInSchema = entity.Relationships.Any(r => !CurrentDocument.Entities.Exists(e => e.Name == r.TargetEntity));
if (!entityHasForeignRelationshipsInSchema)
{
// Assuming that non-custom foreign relationships are not appropriate for automatic inclusion.
Log.Information($"Relationship {meta.SchemaName} being IGNORED.");
continue;
}
}
}
}
// Relationship does not exist in schema.
Log.Information($"Relationship {meta.SchemaName} being ADDED to schema.");
entity.Relationships.Add(Copy.Metadata.ToRelationship(meta));
}
else
{
// Update relationship.
Log.Verbose($"Relationship {meta.SchemaName} being UPDATED in schema.");
Copy.Metadata.ToRelationship(meta, schema);
}
}
}
void UpdateFields(Models.Entity entity, bool intelligently = false)
{
if (intelligently)
{
if (entity.Fields?.Any() != true && entity.Relationships?.Any() == true)
{
// Assuming only the associations are wanted.
Log.Progress($"Skip updating fields for {entity.Name} entity type.");
return;
}
}
Log.Progress($"Updating fields for {entity.Name} entity type.");
var attributesRequest = new RetrieveEntityRequest
{
EntityFilters = EntityFilters.Attributes,
LogicalName = entity.Name
};
var attributes = ((RetrieveEntityResponse)Cds.Execute(attributesRequest)).EntityMetadata.Attributes;
var fields = entity.Fields
.Where(f => f.Name != Field.EntityImage.Name && f.Name != Field.EntityImageId.Name)
.ToArray();
var attributesCorrelatedLeft = from a in attributes
join f in fields
on a.LogicalName equals f.Name into joinGroup
from j in joinGroup.DefaultIfEmpty()
select(a, j);
var attributesCorrelatedRight = from f in fields
join a in attributes
on f.Name equals a.LogicalName into joinGroup
from j in joinGroup.DefaultIfEmpty()
select(j, f);
var attributesCorrelated = attributesCorrelatedLeft
.Union(attributesCorrelatedRight)
.OrderBy(x => x.Item1 != null ? x.Item1.LogicalName : x.Item2.Name)
.ToArray();
foreach (var(attribute, field) in attributesCorrelated)
{
if (attribute == null)
{
// Attribute does not exist in connected environment.
Log.Warning($"Field {field.Name} being REMOVED from schema because it does not exist in the connected environment.");
entity.Fields.Remove(field);
}
else if (Copy.Metadata.IsUnsupported(attribute))
{
Log.Silently($"Attribute {attribute.LogicalName} being IGNORED because it is not supported.");
if (field != null)
{
Log.Warning($"Field {field.Name} being REMOVED from schema because it is not supported.");
entity.Fields.Remove(field);
}
}
else if (!Copy.Metadata.IsWritable(attribute))
{
Log.Silently($"Attribute {attribute.LogicalName} being IGNORED because it is not writable.");
if (field != null)
{
Log.Warning($"Field {field.Name} being REMOVED from schema because it is not writable.");
entity.Fields.Remove(field);
}
}
else if (field == null)
{
// Attribute does not exist in schema.
Log.Information($"Attribute {attribute.LogicalName} being ADDED to schema.");
entity.Fields.Add(Copy.Metadata.ToField(attribute));
}
else
{
// Update field.
Log.Verbose($"Attribute {attribute.LogicalName} being UPDATED in schema.");
Copy.Metadata.ToField(attribute, field);
}
}
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(CdsTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.upfrontFee_Renamed = beanToCopy.upfrontFee;
}
static IsdaCompliantCreditCurveCalibratorBase()
{
ImmutableList.Builder <IsdaCreditCurveNode> dscNodeBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MM; i++)
{
Tenor tenor = Tenor.ofMonths(MM_MONTHS[i]);
dscNodeBuilder.add(DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, ACT_360));
}
for (int i = NUM_MM; i < NUM_INSTRUMENTS; i++)
{
Tenor tenor = Tenor.ofYears(SWAP_YEARS[i - NUM_MM]);
dscNodeBuilder.add(SwapIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P12M));
}
DSC_NODES = dscNodeBuilder.build();
EXP_NODE_CDS = new ResolvedCdsTrade[NUM_TESTS][];
NODE_CDS = new CdsIsdaCreditCurveNode[NUM_TESTS][];
CDS_MARKET_DATA = new ImmutableMarketData[NUM_TESTS];
SPREADS = new double[NUM_TESTS][];
YIELD_CURVES = new ImmutableCreditRatesProvider[NUM_TESTS];
// case0
LocalDate tradeDate0 = LocalDate.of(2011, 6, 19);
LocalDate startDate0 = LocalDate.of(2011, 3, 21);
YIELD_CURVES[0] = createRatesProvider(tradeDate0, tradeDate0, 1d, 0.4);
Period[] tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
int nTenors = tenors.Length;
EXP_NODE_CDS[0] = new ResolvedCdsTrade[nTenors];
NODE_CDS[0] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit0 = ImmutableMarketData.builder(tradeDate0);
SPREADS[0] = new double[] { 0.00886315689995649, 0.00886315689995649, 0.0133044689825873, 0.0171490070952563, 0.0183903639181293, 0.0194721890639724 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), Frequency.P3M, DEFAULT_CALENDAR, SPREADS[0][i]);
EXP_NODE_CDS[0][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate0, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[0][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit0.addValue(id, SPREADS[0][i]);
}
CDS_MARKET_DATA[0] = builderCredit0.build();
// case1
LocalDate tradeDate1 = LocalDate.of(2011, 3, 21);
LocalDate snapDate1 = LocalDate.of(2011, 3, 18);
LocalDate effDate1 = LocalDate.of(2011, 3, 20); //note this is a Sunday - for a standard CDS this would roll to the Monday.
YIELD_CURVES[1] = createRatesProvider(tradeDate1, snapDate1, 1d, 0.4);
tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
nTenors = tenors.Length;
NODE_CDS[1] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit1 = ImmutableMarketData.builder(tradeDate1);
EXP_NODE_CDS[1] = new ResolvedCdsTrade[nTenors];
SPREADS[1] = new double[] { 0.027, 0.018, 0.012, 0.009, 0.007, 0.006 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[1][i]);
EXP_NODE_CDS[1][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate1, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_360).paymentFrequency(P3M).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[1][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit1.addValue(id, SPREADS[1][i]);
}
CDS_MARKET_DATA[1] = builderCredit1.build();
// case2
LocalDate tradeDate2 = LocalDate.of(2011, 5, 30);
LocalDate snapDate2 = LocalDate.of(2011, 5, 29);
YIELD_CURVES[2] = createRatesProvider(tradeDate2, snapDate2, 1d, 0.25);
LocalDate[] matDates2 = new LocalDate[] { LocalDate.of(2011, 6, 20), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 6, 20), LocalDate.of(2016, 6, 20), LocalDate.of(2018, 6, 20) };
int nMatDates2 = matDates2.Length;
NODE_CDS[2] = new CdsIsdaCreditCurveNode[nMatDates2];
ImmutableMarketDataBuilder builderCredit2 = ImmutableMarketData.builder(tradeDate2);
EXP_NODE_CDS[2] = new ResolvedCdsTrade[nMatDates2];
SPREADS[2] = new double[] { 0.05, 0.05, 0.05, 0.05, 0.05 };
for (int i = 0; i < nMatDates2; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, tradeDate2.plusDays(1), matDates2[i], P3M, DEFAULT_CALENDAR, SPREADS[2][i]).toBuilder().dayCount(THIRTY_U_360).build();
EXP_NODE_CDS[2][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate2, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(THIRTY_U_360).paymentFrequency(P3M).rollConvention(RollConventions.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(tradeDate2.plusDays(1), matDates2[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates2[i].ToString()));
NODE_CDS[2][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit2.addValue(id, SPREADS[2][i]);
}
CDS_MARKET_DATA[2] = builderCredit2.build();
// case3
LocalDate tradeDate3 = LocalDate.of(2011, 5, 30);
LocalDate snapDate3 = LocalDate.of(2011, 5, 29);
LocalDate effDate3 = LocalDate.of(2011, 7, 31);
YIELD_CURVES[3] = createRatesProvider(tradeDate3, snapDate3, 1d, 0.25);
LocalDate[] matDates3 = new LocalDate[] { LocalDate.of(2011, 11, 30), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 5, 30), LocalDate.of(2016, 5, 30), LocalDate.of(2018, 5, 30), LocalDate.of(2021, 5, 30) };
int nMatDates3 = matDates3.Length;
NODE_CDS[3] = new CdsIsdaCreditCurveNode[nMatDates3];
ImmutableMarketDataBuilder builderCredit3 = ImmutableMarketData.builder(tradeDate3);
EXP_NODE_CDS[3] = new ResolvedCdsTrade[nMatDates3];
SPREADS[3] = new double[] { 0.07, 0.06, 0.05, 0.055, 0.06, 0.065 };
for (int i = 0; i < nMatDates3; ++i)
{
Cds product = Cds.builder().buySell(BUY).legalEntityId(LEGAL_ENTITY).currency(EUR).dayCount(ACT_365F).fixedRate(SPREADS[3][i]).notional(1d).paymentSchedule(PeriodicSchedule.builder().businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).startDate(effDate3).endDate(matDates3[i]).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).build()).paymentOnDefault(PaymentOnDefault.ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.BEGINNING).stepinDateOffset(DaysAdjustment.ofCalendarDays(1)).settlementDateOffset(CDS_SETTLE_STD).build();
EXP_NODE_CDS[3][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate3, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_365F).paymentFrequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate3, matDates3[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates3[i].ToString()));
NODE_CDS[3][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit3.addValue(id, SPREADS[3][i]);
}
CDS_MARKET_DATA[3] = builderCredit3.build();
// case4: designed to trip the low rates/low spreads branch
LocalDate tradeDate4 = LocalDate.of(2014, 1, 14);
LocalDate snapDate4 = LocalDate.of(2014, 1, 13);
YIELD_CURVES[4] = createRatesProvider(tradeDate4, snapDate4, 1d / 1000d, 0.4);
int nSpreads4 = 6;
NODE_CDS[4] = new CdsIsdaCreditCurveNode[nSpreads4];
ImmutableMarketDataBuilder builderCredit4 = ImmutableMarketData.builder(tradeDate4);
SPREADS[4] = new double[nSpreads4];
Arrays.fill(SPREADS[4], 1.0e-4);
EXP_NODE_CDS[4] = new ResolvedCdsTrade[nSpreads4];
for (int i = 0; i < nSpreads4; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[4][i]);
EXP_NODE_CDS[4][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate4, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[4][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit4.addValue(id, SPREADS[4][i]);
}
CDS_MARKET_DATA[4] = builderCredit4.build();
}
/// <summary>
/// Sets the CDS product that was agreed when the trade occurred.
/// <para>
/// The product captures the contracted financial details of the trade.
/// </para>
/// </summary>
/// <param name="product"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder product(Cds product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
private void Delete()
{
dataContext.Cds.Remove(SelectedCd);
Cds.Remove(SelectedCd);
}
