public static object CreateHazzardCurveFromCDSs(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "CDSs")] object[,] CDSs,
[ExcelArgument(Description = "Recovery Rate")] double RecoveryRate,
[ExcelArgument(Description = "Discount Curve")] string DiscountCurve)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cdsObjects = ExcelHelper.GetAnyFromCache <CDS>(CDSs);
var disco = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Could not find discount curve {DiscountCurve}");
var solver = new NewtonRaphsonCreditCurveSolver();
var hzCurve = solver.Solve(cdsObjects.ToList(), RecoveryRate, disco.Value, OriginDate);
return ExcelHelper.PushToCache(hzCurve, ObjectName);
}));
}
public void CDSStripperFacts()
{
var origin = new DateTime(2020, 06, 15);
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var df = new ConstantRateIrCurve(0.05, origin, "LIBOR", usd);
var data = new Tuple <Frequency, double>[]
{
new Tuple <Frequency, double>(1.Years(), 0.01),
new Tuple <Frequency, double>(2.Years(), 0.012),
new Tuple <Frequency, double>(3.Years(), 0.013),
new Tuple <Frequency, double>(4.Years(), 0.0135),
new Tuple <Frequency, double>(5.Years(), 0.014),
};
var cdses = data.Select(d => new CDS()
{
Basis = DayCountBasis.ACT365F,
Currency = usd,
OriginDate = origin,
Tenor = d.Item1,
Spread = d.Item2,
Notional = 1e6
}).ToList();
foreach (var cds in cdses)
{
cds.Init();
}
var sut = new NewtonRaphsonCreditCurveSolver
{
UseSmallSteps = true
};
var hz = sut.Solve(cdses, 0.4, df, origin);
var pz = cdses.Select(c => hz.GetSurvivalProbability(c.FinalSensitivityDate));
foreach (var p in pz)
{
Assert.True(!double.IsNaN(p));
}
}
