//Constructor
public Index_Pricing()
{
//User Input of Trade Date
TRADE_DATE = new DateTime(2014, 2, 13);
NOTIONAL = 1.0e6;
//Contract Detail
Read_Contract();
//Index Market Data
PRICES = CDSIndexProvider.CDX_NA_HY_20140213_PRICES;
PILLAR_PUF = new PointsUpFront[PRICES.Length];
//Build the Interest Rate Curve
Build_yield_curve(TRADE_DATE);
//Read constituent features, build credit curves
Build_credit_curves(TRADE_DATE);
//Build Index data bundle
INTRINSIC_DATA = new IntrinsicIndexDataBundle(CREDIT_CURVES, RECOVERY_RATES);
//Create CDX class
CdsAnalyticFactory FACTORY = new CdsAnalyticFactory(INDEX_RECOVERY);
CDX = FACTORY.makeCdx(TRADE_DATE, CDSIndexProvider.INDEX_TENORS);
}
public Index_Pricing_725()
{
TRADE_DATE = new DateTime(2016, 7, 25);
NOTIONAL = 1.0e6;
//Contract Detail
Read_Contract();
//Index Market Data
PRICES = CDSIndexProvider.CDX_NA_HY_20160725_PRICES;
PILLAR_PUF = new PointsUpFront[PRICES.Length];
//Build the Interest Rate Curve
Build_yield_curve(TRADE_DATE);
//Read constituent features, build credit curves
Build_credit_curves(TRADE_DATE);
//Build Index data bundle
INTRINSIC_DATA = new IntrinsicIndexDataBundle(CREDIT_CURVES, RECOVERY_RATES);
weights_ = new double[component_num];
weights_ = Enumerable.Repeat((double)1.0 / component_num, component_num).ToArray();
INTRINSIC_DATA._weights = weights_;
//Create CDX class
CdsAnalyticFactory FACTORY = new CdsAnalyticFactory(INDEX_RECOVERY);
int[] CDX_Tenor = new int[] { 12, 24, 36, 60, 84, 120 };
CDX = FACTORY.makeCdx(TRADE_DATE, CDX_Tenor);
}
/**
* Bootstrapper the credit curve from a single market CDS quote. Obviously the resulting credit (hazard)
* curve will be flat.
*
* @param calibrationCDS The single market CDS - this is the reference instruments used to build the credit curve
* @param marketQuote The market quote of the CDS
* @param yieldCurve The yield (or discount) curve
* @return The credit curve
*/
public PiecewiseconstantHazardRate calibrateCreditCurve(
CDS calibrationCDS,
CdsQuoteConvention marketQuote,
YieldTermStructure yieldCurve)
{
double puf = 0.0;
double coupon = 0.0;
if (marketQuote is CdsParSpread)
{
puf = 0.0;
coupon = marketQuote.getCoupon();
}
else if (marketQuote is CdsQuotedSpread)
{
puf = 0.0;
coupon = ((CdsQuotedSpread)marketQuote).getQuotedSpread();
}
else if (marketQuote is PointsUpFront)
{
PointsUpFront temp = (PointsUpFront)marketQuote;
puf = temp.getPointsUpFront();
coupon = temp.getCoupon();
}
return(calibrateCreditCurve(
new CDS[] { calibrationCDS }, new double[] { coupon }, yieldCurve, new double[] { puf }));
}
/**
* Put any CDS market quote into the form needed for the curve builder,
* namely coupon and points up-front (which can be zero).
*
* @param calibrationCDS
* @param marketQuote
* @param yieldCurve
* @return The market quotes in the form required by the curve builder
*/
private double[] getStandardQuoteForm(
CDS calibrationCDS,
CdsQuoteConvention marketQuote,
YieldTermStructure yieldCurve)
{
AnalyticalCdsPricer pricer = new AnalyticalCdsPricer();
double[] res = new double[2];
if (marketQuote is CdsParSpread)
{
res[0] = marketQuote.getCoupon();
}
else if (marketQuote is CdsQuotedSpread)
{
CdsQuotedSpread temp = (CdsQuotedSpread)marketQuote;
double coupon = temp.getCoupon();
double qSpread = temp.getQuotedSpread();
PiecewiseconstantHazardRate cc = calibrateCreditCurve(
new CDS[] { calibrationCDS }, new double[] { qSpread }, yieldCurve, new double[1]);
res[0] = coupon;
res[1] = pricer.pv(calibrationCDS, yieldCurve, cc, coupon, CdsPriceType.CLEAN);
}
else if (marketQuote is PointsUpFront)
{
PointsUpFront temp = (PointsUpFront)marketQuote;
res[0] = temp.getCoupon();
res[1] = temp.getPointsUpFront();
}
return(res);
}
public void testMethod()
{
for (int i = 0; i < PRICES.Length; i++)
{
PILLAR_PUF[i] = new PointsUpFront(INDEX_COUPON, 1 - PRICES[i]);
}
int pos = 1; // target CDX is 5Y
CDS targentCDX = CDX[pos];
int n = PILLAR_PUF.Length;
double[] indexPUF = new double[n];
for (int i = 0; i < n; i++)
{
indexPUF[i] = PILLAR_PUF[i].getPointsUpFront();
}
int accrualDays = targentCDX.getAccuredDays();
double accruedPremium = targentCDX.getAccruedPremium(INDEX_COUPON) * INTRINSIC_DATA.getIndexFactor() * NOTIONAL; // indexFactor = (initialIndexSize - numDefaults) / initialIndexSize
/*
* Using credit curves for constituent single name CDSs.
* The curves are adjusted by using only the target CDX.
*/
IntrinsicIndexDataBundle adjCurves = PSA.adjustCurves(indexPUF[pos], CDX[pos], INDEX_COUPON, YIELD_CURVE,
INTRINSIC_DATA);
double cleanPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves) * NOTIONAL; // should be consistent with 1 - PRICES[pos]
double dirtyPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves, CdsPriceType.DIRTY) * NOTIONAL;
double expectedLoss = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), adjCurves) * NOTIONAL;
double cleanRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurves);
double dirtyRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurves, CdsPriceType.DIRTY);
double durationWeightedAverageSpread = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, adjCurves) *
TEN_THOUSAND;
double parallelIR01 = INDEX_CAL.parallelIR01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves) * NOTIONAL;
double[] jumpToDefault = INDEX_CAL.jumpToDefault(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves);
for (int i = 0; i < jumpToDefault.Length; ++i)
{
jumpToDefault[i] *= NOTIONAL;
}
double[] recovery01 = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves);
for (int i = 0; i < recovery01.Length; ++i)
{
recovery01[i] *= NOTIONAL;
}
}
public void testMethod1()
{
for (int i = 0; i < PRICES.Length; i++)
{
PILLAR_PUF[i] = new PointsUpFront(INDEX_COUPON, 1 - PRICES[i]);
}
int pos = 1; // target CDX is 5Y
CDS targentCDX = CDX[pos];
int n = PILLAR_PUF.Length;
double[] indexPUF = new double[n];
for (int i = 0; i < n; i++)
{
indexPUF[i] = PILLAR_PUF[i].getPointsUpFront();
}
IntrinsicIndexDataBundle dataDefaulted = INTRINSIC_DATA;
int accrualDays = targentCDX.getAccuredDays();
double accruedPremium = targentCDX.getAccruedPremium(INDEX_COUPON) * NOTIONAL * dataDefaulted.getIndexFactor();
/*
* Using credit curves for constituent single name CDSs.
* The curves are adjusted by using only the target CDX.
*/
double cleanPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted) * NOTIONAL;
double dirtyPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted, CdsPriceType.DIRTY) * NOTIONAL; // should be consistent with 1 - PRICES[pos]
double expectedLoss = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), dataDefaulted) * NOTIONAL;
double cleanRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, dataDefaulted);
double dirtyRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, dataDefaulted, CdsPriceType.DIRTY);
double durationWeightedAverageSpread = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, dataDefaulted) *
TEN_THOUSAND;
double parallelIR01 = INDEX_CAL.parallelIR01(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted) * NOTIONAL;
double[] jumpToDefault = INDEX_CAL.jumpToDefault(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted);
for (int i = 0; i < jumpToDefault.Length; ++i)
{
jumpToDefault[i] *= NOTIONAL;
}
double[] recovery01 = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted);
for (int i = 0; i < recovery01.Length; ++i)
{
recovery01[i] *= NOTIONAL;
}
IntrinsicIndexDataBundle adjCurvesAll = PSA.adjustCurves(indexPUF, CDX, INDEX_COUPON, YIELD_CURVE,
dataDefaulted);
double cleanPVAll = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll) * NOTIONAL;
double dirtyPVAll = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll, CdsPriceType.DIRTY) *
NOTIONAL; // should be consistent with 1 - PRICES[pos]
double expectedLossAll = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), adjCurvesAll) *
NOTIONAL;
double cleanRPV01All = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurvesAll);
double dirtyRPV01All = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurvesAll, CdsPriceType.DIRTY);
double durationWeightedAverageSpreadAll = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, adjCurvesAll) *
TEN_THOUSAND;
double parallelIR01All = INDEX_CAL.parallelIR01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll) * NOTIONAL;
double[] jumpToDefaultAll = INDEX_CAL.jumpToDefault(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll);
for (int i = 0; i < jumpToDefaultAll.Length; ++i)
{
jumpToDefaultAll[i] *= NOTIONAL;
}
double[] recovery01All = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll);
for (int i = 0; i < recovery01All.Length; ++i)
{
recovery01All[i] *= NOTIONAL;
}
PiecewiseconstantHazardRate indexCurve = (new Commons.FastCreditCurveBuilder()).calibrateCreditCurve(targentCDX,
INDEX_COUPON, YIELD_CURVE, indexPUF[pos]); // single node index curve, indexFactors cancel out
double cleanPriceIndexCurve = PRICER_OG_FIX.pv(targentCDX, YIELD_CURVE, indexCurve, INDEX_COUPON) *
dataDefaulted.getIndexFactor() * NOTIONAL;
double dirtyPriceIndexCurve = PRICER_OG_FIX.pv(targentCDX, YIELD_CURVE, indexCurve, INDEX_COUPON,
CdsPriceType.DIRTY) * dataDefaulted.getIndexFactor() * NOTIONAL;
double cleanRPV01IndexCurve = PRICER_OG_FIX.annuity(targentCDX, YIELD_CURVE, indexCurve) *
dataDefaulted.getIndexFactor();
double dirtyRPV01IndexCurve = PRICER_OG_FIX.annuity(targentCDX, YIELD_CURVE, indexCurve, CdsPriceType.DIRTY) *
dataDefaulted.getIndexFactor();
double spreadIndexCurve = PRICER_OG_FIX.parSpread(targentCDX, YIELD_CURVE, indexCurve) * TEN_THOUSAND;
}
public void Pricing()
{
for (int i = 0; i < PRICES.Length; i++)
{
PILLAR_PUF[i] = new PointsUpFront(INDEX_COUPON, 1 - PRICES[i]);
}
int pos = 1; // target CDX is 5Y
CDS targentCDX = CDX[pos];
int n = PILLAR_PUF.Length;
double[] indexPUF = new double[n];
for (int i = 0; i < n; i++)
{
indexPUF[i] = PILLAR_PUF[i].getPointsUpFront();
}
defaultedNames = new int[] { 2, 15, 37, 51 };
IntrinsicIndexDataBundle dataDefaulted = INTRINSIC_DATA.withDefault(defaultedNames);
int accrualDays = targentCDX.getAccuredDays();
double accruedPremium = targentCDX.getAccruedPremium(INDEX_COUPON) * NOTIONAL * dataDefaulted.getIndexFactor();
/*
* Using credit curves for constituent single name CDSs.
* The curves are adjusted by using only the target CDX.
*/
IntrinsicIndexDataBundle adjCurves = PSA.adjustCurves(indexPUF[pos], CDX[pos], INDEX_COUPON, YIELD_CURVE,
dataDefaulted);
cleanPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves) * NOTIONAL;
dirtyPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves, CdsPriceType.DIRTY) * NOTIONAL; // should be consistent with 1 - PRICES[pos]
expectedLoss = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), adjCurves) * NOTIONAL;
cleanRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurves);
dirtyRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurves, CdsPriceType.DIRTY);
durationWeightedAverageSpread = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, adjCurves) *
TEN_THOUSAND;
parallelIR01 = INDEX_CAL.parallelIR01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves) * NOTIONAL;
double[] jumpToDefault = INDEX_CAL.jumpToDefault(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves);
for (int i = 0; i < jumpToDefault.Length; ++i)
{
jumpToDefault[i] *= NOTIONAL;
}
recovery01 = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves);
//Build Cash flow
QLNet.UnitedStates cal = new QLNet.UnitedStates();
CdsCoupon[] coupons = targentCDX.getCoupons();
int npayments = coupons.Count();
cashflow = new List <CouponPayment>();
for (int i = 0; i < npayments; i++)
{
CouponPayment cf = new CouponPayment();
cf.Amount = (-coupons[i].getEffStart() + coupons[i].getEffEnd()) * NOTIONAL * INDEX_COUPON;
cf.Amount = Math.Round(cf.Amount, 2);
double days = coupons[i].getEffEnd() * 365;
cf.CashFlowDate = i == 0? CdsAnalyticFactory.getNextIMMDate(TRADE_DATE):
CdsAnalyticFactory.getNextIMMDate(cashflow[i - 1].CashFlowDate);
cf.CashFlowDate = cal.adjust(cf.CashFlowDate);
cashflow.Add(cf);
}
for (int i = 0; i < recovery01.Length; ++i)
{
recovery01[i] *= NOTIONAL;
}
}
