/// <summary> /// Creates a trade representing the CDS at the node. /// <para> /// This uses the observed market data to build the CDS 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 CdsCalibrationTrade 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); if (quoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD)) { return(CdsCalibrationTrade.of(template.createTrade(legalEntityId, valuationDate, buySell, notional, quoteValue, refData), quote)); } double coupon = FixedRate.Value; // always success return(CdsCalibrationTrade.of(template.createTrade(legalEntityId, valuationDate, buySell, notional, coupon, refData), quote)); }
internal virtual LegalEntitySurvivalProbabilities calibrate(IList <CdsIsdaCreditCurveNode> curveNodes, CurveName name, MarketData marketData, ImmutableCreditRatesProvider ratesProvider, DayCount definitionDayCount, Currency definitionCurrency, bool computeJacobian, bool storeTrade, ReferenceData refData) { //JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter: //JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter: IEnumerator <StandardId> legalEntities = curveNodes.Select(CdsIsdaCreditCurveNode::getLegalEntityId).collect(Collectors.toSet()).GetEnumerator(); //JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops: StandardId legalEntityId = legalEntities.next(); //JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops: ArgChecker.isFalse(legalEntities.hasNext(), "legal entity must be common to curve nodes"); //JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter: IEnumerator <Currency> currencies = curveNodes.Select(n => n.Template.Convention.Currency).collect(Collectors.toSet()).GetEnumerator(); //JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops: Currency currency = currencies.next(); //JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops: ArgChecker.isFalse(currencies.hasNext(), "currency must be common to curve nodes"); ArgChecker.isTrue(definitionCurrency.Equals(currency), "curve definition currency must be the same as the currency of CDS"); //JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter: IEnumerator <CdsQuoteConvention> quoteConventions = curveNodes.Select(n => n.QuoteConvention).collect(Collectors.toSet()).GetEnumerator(); //JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops: CdsQuoteConvention quoteConvention = quoteConventions.next(); //JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops: ArgChecker.isFalse(quoteConventions.hasNext(), "quote convention must be common to curve nodes"); LocalDate valuationDate = marketData.ValuationDate; ArgChecker.isTrue(valuationDate.Equals(marketData.ValuationDate), "ratesProvider and marketDate must be based on the same valuation date"); CreditDiscountFactors discountFactors = ratesProvider.discountFactors(currency); ArgChecker.isTrue(definitionDayCount.Equals(discountFactors.DayCount), "credit curve and discount curve must be based on the same day count convention"); RecoveryRates recoveryRates = ratesProvider.recoveryRates(legalEntityId); int nNodes = curveNodes.Count; double[] coupons = new double[nNodes]; double[] pufs = new double[nNodes]; //JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java: //ORIGINAL LINE: double[][] diag = new double[nNodes][nNodes]; double[][] diag = RectangularArrays.ReturnRectangularDoubleArray(nNodes, nNodes); ImmutableList.Builder <ResolvedCdsTrade> tradesBuilder = ImmutableList.builder(); for (int i = 0; i < nNodes; i++) { CdsCalibrationTrade tradeCalibration = curveNodes[i].trade(1d, marketData, refData); ResolvedCdsTrade trade = tradeCalibration.UnderlyingTrade.resolve(refData); tradesBuilder.add(trade); double[] temp = getStandardQuoteForm(trade, tradeCalibration.Quote, valuationDate, discountFactors, recoveryRates, computeJacobian, refData); coupons[i] = temp[0]; pufs[i] = temp[1]; diag[i][i] = temp[2]; } ImmutableList <ResolvedCdsTrade> trades = tradesBuilder.build(); NodalCurve nodalCurve = calibrate(trades, DoubleArray.ofUnsafe(coupons), DoubleArray.ofUnsafe(pufs), name, valuationDate, discountFactors, recoveryRates, refData); if (computeJacobian) { LegalEntitySurvivalProbabilities creditCurve = LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, nodalCurve)); ImmutableCreditRatesProvider ratesProviderNew = ratesProvider.toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), creditCurve)).build(); System.Func <ResolvedCdsTrade, DoubleArray> sensiFunc = quoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD) ? getParSpreadSensitivityFunction(ratesProviderNew, name, currency, refData) : getPointsUpfrontSensitivityFunction(ratesProviderNew, name, currency, refData); DoubleMatrix sensi = DoubleMatrix.ofArrayObjects(nNodes, nNodes, i => sensiFunc(trades.get(i))); sensi = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(diag), sensi); JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(name, nNodes)), MATRIX_ALGEBRA.getInverse(sensi)); nodalCurve = nodalCurve.withMetadata(nodalCurve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian)); } ImmutableList <ParameterMetadata> parameterMetadata; if (storeTrade) { parameterMetadata = IntStream.range(0, nNodes).mapToObj(n => ResolvedTradeParameterMetadata.of(trades.get(n), curveNodes[n].Label)).collect(Guavate.toImmutableList()); } else { parameterMetadata = IntStream.range(0, nNodes).mapToObj(n => curveNodes[n].metadata(trades.get(n).Product.ProtectionEndDate)).collect(Guavate.toImmutableList()); } nodalCurve = nodalCurve.withMetadata(nodalCurve.Metadata.withParameterMetadata(parameterMetadata)); return(LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, nodalCurve))); }