/// <summary>
/// Gets all the discount factors
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the discount factors </returns>
public static IList <IsdaCreditDiscountFactors> getAllDiscountFactors(LocalDate valuationDate)
{
IsdaCreditDiscountFactors ycUsd = IsdaCreditDiscountFactors.of(USD, valuationDate, NODAL_YC_USD);
IsdaCreditDiscountFactors ycJpy = IsdaCreditDiscountFactors.of(JPY, valuationDate, NODAL_YC_JPY);
IsdaCreditDiscountFactors ccUs = IsdaCreditDiscountFactors.of(USD, valuationDate, NODAL_CC_US);
IsdaCreditDiscountFactors ccJp = IsdaCreditDiscountFactors.of(JPY, valuationDate, NODAL_CC_JP);
return(ImmutableList.of(ycUsd, ycJpy, ccUs, ccJp));
}
// return correct instance of CreditDiscountFactors
private CreditDiscountFactors createCreditDiscountFactors(CreditDiscountFactors originalDsc, Curve bumpedCurve)
{
if (originalDsc is IsdaCreditDiscountFactors && bumpedCurve is NodalCurve)
{
IsdaCreditDiscountFactors isdaDsc = (IsdaCreditDiscountFactors)originalDsc;
return(isdaDsc.withCurve((NodalCurve)bumpedCurve));
}
throw new System.ArgumentException("Not supported");
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates credit rates provider with valuation date specified.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <returns> the rates provider </returns>
public static ImmutableCreditRatesProvider createCreditRatesProvider(LocalDate valuationDate)
{
IsdaCreditDiscountFactors ycUsd = IsdaCreditDiscountFactors.of(USD, valuationDate, NODAL_YC_USD);
IsdaCreditDiscountFactors ycJpy = IsdaCreditDiscountFactors.of(JPY, valuationDate, NODAL_YC_JPY);
IsdaCreditDiscountFactors ccUs = IsdaCreditDiscountFactors.of(USD, valuationDate, NODAL_CC_US);
IsdaCreditDiscountFactors ccJp = IsdaCreditDiscountFactors.of(JPY, valuationDate, NODAL_CC_JP);
ConstantRecoveryRates rrUs = ConstantRecoveryRates.of(LEGAL_ENTITY_US, valuationDate, RECOVERY_RATE_US);
ConstantRecoveryRates rrJp = ConstantRecoveryRates.of(LEGAL_ENTITY_JP, valuationDate, RECOVERY_RATE_JP);
return(ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_US, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_US, ccUs), Pair.of(LEGAL_ENTITY_JP, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_JP, ccJp))).discountCurves(ImmutableMap.of(USD, ycUsd, JPY, ycJpy)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_US, rrUs, LEGAL_ENTITY_JP, rrJp)).build());
}
public virtual void test_bondDiscountingProvider()
{
LocalDate valDate = LocalDate.of(2015, 6, 30);
Curve ccAUsd = ConstantNodalCurve.of(Curves.zeroRates(CC_A_USD.CurveName, ACT_365F), 0.5d, 1.5d);
Curve ccBGbp = ConstantNodalCurve.of(Curves.zeroRates(CC_B_GBP.CurveName, ACT_365F), 0.5d, 2d);
Curve ccAGbp = ConstantNodalCurve.of(Curves.zeroRates(CC_A_GBP.CurveName, ACT_365F), 0.5d, 3d);
Curve dcGbp = ConstantNodalCurve.of(Curves.zeroRates(DC_GBP.CurveName, ACT_365F), 0.5d, 0.1d);
Curve dcUsd = ConstantNodalCurve.of(Curves.zeroRates(DC_USD.CurveName, ACT_365F), 0.5d, 0.05d);
Curve rcA = ConstantCurve.of(Curves.recoveryRates(RC_A.CurveName, ACT_365F), 0.5d);
Curve rcB = ConstantCurve.of(Curves.recoveryRates(RC_B.CurveName, ACT_365F), 0.4234d);
IDictionary <CurveId, Curve> curveMap = new Dictionary <CurveId, Curve>();
curveMap[CC_A_USD] = ccAUsd;
curveMap[CC_B_GBP] = ccBGbp;
curveMap[CC_A_GBP] = ccAGbp;
curveMap[DC_USD] = dcUsd;
curveMap[DC_GBP] = dcGbp;
curveMap[RC_A] = rcA;
curveMap[RC_B] = rcB;
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.copyOf(curveMap));
CreditRatesProvider provider = LOOKUP_WITH_SOURCE.creditRatesProvider(md);
assertEquals(provider.ValuationDate, valDate);
assertEquals(provider.findData(CC_A_USD.CurveName), ccAUsd);
assertEquals(provider.findData(DC_USD.CurveName), dcUsd);
assertEquals(provider.findData(RC_B.CurveName), rcB);
assertEquals(provider.findData(CurveName.of("Rubbish")), null);
// check credit curve
LegalEntitySurvivalProbabilities cc = provider.survivalProbabilities(ISSUER_A, GBP);
IsdaCreditDiscountFactors ccUnder = (IsdaCreditDiscountFactors)cc.SurvivalProbabilities;
assertEquals(ccUnder.Curve.Name, ccAGbp.Name);
assertThrowsRuntime(() => provider.survivalProbabilities(ISSUER_B, USD));
assertThrowsRuntime(() => provider.survivalProbabilities(ISSUER_C, USD));
// check discount curve
IsdaCreditDiscountFactors dc = (IsdaCreditDiscountFactors)provider.discountFactors(USD);
assertEquals(dc.Curve.Name, dcUsd.Name);
assertThrowsRuntime(() => provider.discountFactors(EUR));
// check recovery rate curve
ConstantRecoveryRates rc = (ConstantRecoveryRates)provider.recoveryRates(ISSUER_B);
assertEquals(rc.RecoveryRate, rcB.getParameter(0));
assertThrowsRuntime(() => provider.recoveryRates(ISSUER_C));
}
