/// <summary>
/// Make a set of CDSCouponDes.
/// </summary>
/// <param name="leg"> the schedule of the accrual periods </param>
/// <param name="accrualDCC"> the day count used for the accrual </param>
/// <returns> a set of CDSCouponDes </returns>
public static CdsCouponDes[] makeCoupons(IsdaPremiumLegSchedule leg, Enums.DayCount accrualDCC)
{
int n = leg.NumPayments;
CdsCouponDes[] coupons = new CdsCouponDes[n];
for (int i = 0; i < n; i++)
{
coupons[i] = new CdsCouponDes(leg.getAccStartDate(i), leg.getAccEndDate(i), leg.getPaymentDate(i), accrualDCC);
}
return coupons;
}
/// <summary>
/// Make a set of CDSCoupon used by <seealso cref="CdsAnalytic"/> given a trade date and a set of <seealso cref="CdsCouponDes"/>.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="couponsDes"> Description of CDS accrual periods with DateTime </param>
/// <param name="protectionFromStartOfDay"> If true the protection is from the start of day and the effective accrual
/// start and end dates are one day less. The exception is the accrual end date which should have one day
/// added (if protectionFromStartOfDay = true) in the CDSCouponDes to compensate for this, so the
/// accrual end date is just the CDS maturity.
/// The effect of having protectionFromStartOfDay = true is to add an extra day of protection. </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
/// <returns> A set of CDSCoupon </returns>
public static CdsCoupon[] makeCoupons(DateTime tradeDate, CdsCouponDes[] couponsDes, bool protectionFromStartOfDay, Enums.DayCount curveDCC)
{
int n = couponsDes.Length;
int count = 0;
while (DateTime.Compare(tradeDate, couponsDes[count].getPaymentDate()) > 0)
{
count++;
}
int nCoupons = n - count;
CdsCoupon[] coupons = new CdsCoupon[nCoupons];
for (int i = 0; i < nCoupons; i++)
{
coupons[i] = new CdsCoupon(tradeDate, couponsDes[i + count], protectionFromStartOfDay, curveDCC);
}
return(coupons);
}
/// <summary>
/// Make a set of CDSCoupon used by <seealso cref="CdsAnalytic"/> given a trade date and the schedule of the accrual periods.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="leg"> schedule of the accrual periods </param>
/// <param name="protectionFromStartOfDay"> If true the protection is from the start of day and the effective accrual
/// start and end dates are one day less. The exception is the accrual end date which has one day
/// added (if protectionFromStartOfDay = true) in ISDAPremiumLegSchedule to compensate for this, so the
/// accrual end date is just the CDS maturity.
/// The effect of having protectionFromStartOfDay = true is to add an extra day of protection. </param>
/// <param name="accrualDCC"> The day count used to compute accrual periods </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
/// <seealso cref= CdsAnalytic </seealso>
/// <returns> A set of CDSCoupon </returns>
public static CdsCoupon[] makeCoupons(DateTime tradeDate, IsdaPremiumLegSchedule leg, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC)
{
int n = leg.NumPayments;
CdsCoupon[] res = new CdsCoupon[n];
for (int i = 0; i < n; i++)
{
DateTime[] dates = leg.getAccPaymentDateTriplet(i);
res[i] = new CdsCoupon(tradeDate, dates[0], dates[1], dates[2], protectionFromStartOfDay, accrualDCC, curveDCC);
}
return(res);
}
private static double[] toDoubles(DateTime tradeDate, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC,
params DateTime[] premDates)
{
DateTime accStart = premDates[0];
DateTime accEnd = premDates[1];
DateTime paymentDate = premDates[2];
DateTime effStart = protectionFromStartOfDay ? accStart.AddDays(-1) : accStart;
DateTime effEnd = protectionFromStartOfDay ? accEnd.AddDays(-1) : accEnd;
double[] res = new double[5];
// *@param protectionFromStartOfDay true if protection is from the start of day (true for standard CDS)
// *@param accrualDCC The day - count - convention used for calculation the accrual period(ACT / 360 for standard CDS)
// *@param curveDCC The day - count - convention used for converting dates to time intervals along curves - this should be ACT / 365F
Actual365 dc = new Actual365();
Actual360 accrualDCC_ = new Actual360();
res[0] = DateTime.Compare(effStart, tradeDate) < 0 ? -dc.YearFraction(effStart, tradeDate) : dc.YearFraction(tradeDate, effStart);
res[1] = dc.YearFraction(tradeDate, effEnd);
res[2] = dc.YearFraction(tradeDate, paymentDate);
res[3] = accrualDCC_.YearFraction(accStart, accEnd);
res[4] = res[3] / dc.YearFraction(accStart, accEnd);
return(res);
}
/// <summary>
/// Setup a analytic description (i.e. involving only doubles) of a single CDS premium payment period
/// seen from a particular trade date.
/// </summary>
/// <param name="tradeDate"> The trade date (this is the base date that discount factors and survival probabilities are measured from) </param>
/// <param name="accStart"> The start of the accrual period </param>
/// <param name="accEnd"> The end of the accrual period </param>
/// <param name="paymentDate"> The date of the premium payment </param>
/// <param name="protectionFromStartOfDay"> true if protection is from the start of day (true for standard CDS) </param>
/// <param name="accrualDCC"> The day-count-convention used for calculation the accrual period (ACT/360 for standard CDS) </param>
/// <param name="curveDCC"> The day-count-convention used for converting dates to time intervals along curves - this should be ACT/365F </param>
public CdsCoupon(DateTime tradeDate, DateTime accStart, DateTime accEnd, DateTime paymentDate, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC) :
this(toDoubles(tradeDate, protectionFromStartOfDay, accrualDCC, curveDCC, accStart, accEnd, paymentDate))
{
}
/// <summary>
/// Setup a analytic description (i.e. involving only doubles) of a single CDS premium payment period
/// seen from a particular trade date.
/// </summary>
/// <param name="tradeDate"> The trade date (this is the base date that discount factors and survival probabilities are measured from) </param>
/// <param name="premiumDateTriplet"> The three dates: start and end of the accrual period and the payment time </param>
/// <param name="protectionFromStartOfDay"> true if protection is from the start of day (true for standard CDS) </param>
/// <param name="accrualDCC"> The day-count-convention used for calculation the accrual period (ACT/360 for standard CDS) </param>
/// <param name="curveDCC"> The day-count-convention used for converting dates to time intervals along curves - this should be ACT/365F </param>
public CdsCoupon(DateTime tradeDate, DateTime[] premiumDateTriplet, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC) :
this(toDoubles(tradeDate, protectionFromStartOfDay, accrualDCC, curveDCC, premiumDateTriplet))
{
}
/// <summary>
/// Turn a date based description of a CDS accrual period (<seealso cref="CdsCouponDes"/>) into an analytic description
/// (<seealso cref="CdsCoupon"/>). This uses ACT/360 for the accrual day count.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="coupon"> A date based description of a CDS accrual period </param>
/// <param name="protectionFromStartOfDay"> If true the protection is from the start of day and the effective accrual
/// start and end dates are one day less. The exception is the accrual end date which should have one day
/// added (if protectionFromStartOfDay = true) in the CDSCouponDes to compensate for this, so the
/// accrual end date is just the CDS maturity.
/// The effect of having protectionFromStartOfDay = true is to add an extra day of protection. </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
public CdsCoupon(DateTime tradeDate, CdsCouponDes coupon, bool protectionFromStartOfDay, Enums.DayCount curveDCC)
{
DateTime effStart = protectionFromStartOfDay ? coupon.getAccStart().AddDays(1) : coupon.getAccStart();
DateTime effEnd = protectionFromStartOfDay ? coupon.getAccEnd().AddDays(-1) : coupon.getAccEnd();
Actual365 dc = new Actual365();
_effStart = DateTime.Compare(effStart, tradeDate) < 0 ? -dc.YearFraction(effStart, tradeDate) : dc.YearFraction(tradeDate, effStart);
_effEnd = dc.YearFraction(tradeDate, effEnd);
_paymentTime = dc.YearFraction(tradeDate, coupon.getPaymentDate());
_yearFrac = coupon.getYearFrac();
_ycRatio = _yearFrac / dc.YearFraction(coupon.getAccStart(), coupon.getAccEnd());
}
/// <summary>
/// Turn a date based description of a CDS accrual period (<seealso cref="CdsCouponDes"/>) into an analytic description
/// (<seealso cref="CdsCoupon"/>). This has protection from start of day and uses ACT/360 for the accrual day count.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="coupon"> A date based description of a CDS accrual period </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
public CdsCoupon(DateTime tradeDate, CdsCouponDes coupon, Enums.DayCount curveDCC) :
this(tradeDate, coupon, PROTECTION_FROM_START, curveDCC)
{
}
/**
* Set up a strip of increasing maturity CDSs that have some coupons in common. The trade date, step-in date and valuation date and
* accrual start date are all common, as is the payment frequency. The maturities are expressed as integer multiples of the
* payment interval from a reference date (the next IMM date after the trade date for standard CDSs) - this guarantees that premiums
* will be the same across several CDSs.
* @param tradeDate The trade date
* @param stepinDate (aka Protection Effective sate or assignment date). Date when party assumes ownership. This is usually T+1. This is when protection
* (and risk) starts in terms of the model. Note, this is sometimes just called the Effective Date, however this can cause
* confusion with the legal effective date which is T-60 or T-90.
* @param cashSettlementDate The cash settlement date. The date that values are PVed to. Is is normally today + 3 business days.
* @param accStartDate Accrual Start Date. This is when the CDS nominally starts in terms of premium payments. i.e. the number
* of days in the first period (and thus the amount of the first premium payment) is counted from this date.
* @param maturityReferanceDate A reference date that maturities are measured from. For standard CDSSs, this is the next IMM date after
* the trade date, so the actually maturities will be some fixed periods after this.
* @param maturityIndexes The maturities are fixed integer multiples of the payment interval, so for 6M, 1Y and 2Y tenors with a 3M
* payment interval, would require 2, 4, and 8 as the indices
* @param payAccOnDefault Is the accrued premium paid in the event of a default
* @param paymentInterval The nominal step between premium payments (e.g. 3 months, 6 months).
* @param stubType the stub convention
* @param protectStart If protectStart = true, then protections starts at the beginning of the day, otherwise it is at the end.
* @param recoveryRate The recovery rate
* @param businessdayAdjustmentConvention How are adjustments for non-business days made
* @param calendar HolidayCalendar defining what is a non-business day
* @param accrualDayCount Day count used for accrual
* @param curveDayCount Day count used on curve (NOTE ISDA uses ACT/365 and it is not recommended to change this)
*/
public MultiCdsAnalytic(
DateTime tradeDate,
DateTime stepinDate,
DateTime cashSettlementDate,
DateTime accStartDate,
DateTime maturityReferanceDate,
int[] maturityIndexes,
Boolean payAccOnDefault,
int paymentInterval,
StubConvention stubType,
Boolean protectStart,
double recoveryRate,
QLNet.BusinessDayConvention businessdayAdjustmentConvention,
QLNet.Calendar calendar,
Enums.DayCount accrualDayCount,
Enums.DayCount curveDayCount)
{
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
_nMaturities = maturityIndexes.Length;
_payAccOnDefault = payAccOnDefault;
_accStart = DateTime.Compare(accStartDate, tradeDate) < 0 ?
-curveDCC.YearFraction(accStartDate, tradeDate) :
curveDCC.YearFraction(tradeDate, accStartDate);
DateTime temp = DateTime.Compare(stepinDate, accStartDate) > 0 ? stepinDate : accStartDate;
DateTime effectiveStartDate = protectStart ? temp.AddDays(-1) : temp;
_cashSettlementTime = curveDCC.YearFraction(tradeDate, cashSettlementDate);
_effectiveProtectionStart = curveDCC.YearFraction(tradeDate, effectiveStartDate);
_lgd = 1 - recoveryRate;
DateTime[] maturities = new DateTime[_nMaturities];
_protectionEnd = new double[_nMaturities];
int period = paymentInterval;
for (int i = 0; i < _nMaturities; i++)
{
int tStep = period * maturityIndexes[i];
maturities[i] = maturityReferanceDate.AddMonths(tStep);
_protectionEnd[i] = curveDCC.YearFraction(tradeDate, maturities[i]);
}
IsdaPremiumLegSchedule fullPaymentSchedule = new IsdaPremiumLegSchedule(accStartDate, maturities[_nMaturities - 1], period,
stubType, businessdayAdjustmentConvention, calendar, protectStart);
//remove already expired coupons
IsdaPremiumLegSchedule paymentSchedule = fullPaymentSchedule.truncateSchedule(stepinDate);
int couponOffset = fullPaymentSchedule.getNumPayments() - paymentSchedule.getNumPayments();
_totalPayments = paymentSchedule.getNumPayments();
_standardCoupons = new CdsCoupon[_totalPayments - 1];
for (int i = 0; i < (_totalPayments - 1); i++)
{ //The last coupon is actually a terminal coupon, so not included here
_standardCoupons[i] = new CdsCoupon(
tradeDate, paymentSchedule.getAccPaymentDateTriplet(i), protectStart, accrualDayCount, curveDayCount);
}
//find the terminal coupons
_terminalCoupons = new CdsCoupon[_nMaturities];
_matIndexToPayments = new int[_nMaturities];
_accruedDays = new int[_nMaturities];
_accrued = new double[_nMaturities];
long secondJulianDate = stepinDate.Ticks;
for (int i = 0; i < _nMaturities; i++)
{
int index = fullPaymentSchedule.getNominalPaymentDateIndex(maturities[i]);
//maturity is unadjusted, but if protectionStart=true (i.e. standard CDS) there is effectively an extra day of accrued interest
DateTime accEnd = protectStart ? maturities[i].AddDays(1) : maturities[i];
_terminalCoupons[i] = new CdsCoupon(
tradeDate, fullPaymentSchedule.getAccStartDate(index), accEnd,
fullPaymentSchedule.getPaymentDate(index), protectStart);
_matIndexToPayments[i] = index - couponOffset;
//This will only matter for the edge case when the trade date is 1 day before maturity
DateTime tDate2 = _matIndexToPayments[i] < 0 ?
fullPaymentSchedule.getAccStartDate(couponOffset - 1) : paymentSchedule.getAccStartDate(0);
long firstJulianDate = tDate2.Ticks;
_accruedDays[i] = secondJulianDate > firstJulianDate ? (int)(secondJulianDate - firstJulianDate) : 0;
_accrued[i] = DateTime.Compare(tDate2, stepinDate) < 0 ? swapDCC.YearFraction(tDate2, stepinDate) : 0.0;
}
}
/// <summary>
/// A date based description of a CDS accrual period.
/// </summary>
/// <param name="accStart"> the start date of the period </param>
/// <param name="accEnd"> the end date of the period </param>
/// <param name="paymentDate"> the payment date for the period </param>
/// <param name="accrualDCC"> the day count used for the accrual </param>
public CdsCouponDes(DateTime accStart, DateTime accEnd, DateTime paymentDate, Enums.DayCount accrualDCC)
{
_accStart = accStart;
_accEnd = accEnd;
_paymentDate = paymentDate;
OMLib.Conventions.DayCount.Actual360 accDCC = new OMLib.Conventions.DayCount.Actual360();
_yearFrac = accDCC.YearFraction(accStart, accEnd);
}
