/**
* Imply a single (pseudo) credit curve for an index that will give the same index values
* at a set of terms (supplied via pillarCDS) as the intrinsic value.
*
* @param pillarCDS Point to build the curve
* @param indexCoupon The index coupon
* @param yieldCurve The current yield curves
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return A (pseudo) credit curve for an index
*/
public PiecewiseconstantHazardRate impliedIndexCurve(
CDS[] pillarCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
int n = pillarCDS.Length;
double[] puf = new double[n];
double indexFactor = intrinsicData.getIndexFactor();
for (int i = 0; i < n; i++)
{
// PUF are always given for full index
puf[i] = indexPV(pillarCDS[i], indexCoupon, yieldCurve, intrinsicData) / indexFactor;
}
CreditCurveCalibrator calibrator = new CreditCurveCalibrator(pillarCDS, yieldCurve);
double[] coupons = new double[n];
Array.ConvertAll <double, double>(coupons, b => b = indexCoupon);
return(calibrator.calibrate(coupons, puf));
}
/**
* The average spread of a CDS portfolio (index), defined as the weighted average of the
* (implied) par spreads of the constituent names.
*
* @see #intrinsicIndexSpread
* @param indexCDS representation of the index cashflows (seen from today).
* @param yieldCurve The current yield curves
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return The average spread
*/
public double averageSpread(
CDS indexCDS,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
CDS cds = indexCDS.withRecoveryRate(0.0);
int n = intrinsicData.getIndexSize();
double sum = 0;
for (int i = 0; i < n; i++)
{
if (!intrinsicData.isDefaulted(i))
{
double protLeg = intrinsicData.getLGD(i) * _pricer.protectionLeg(cds, yieldCurve, intrinsicData.getCreditCurve(i));
double annuity = _pricer.annuity(cds, yieldCurve, intrinsicData.getCreditCurve(i));
double s = protLeg / annuity;
sum += intrinsicData.getWeight(i) * s;
}
}
sum /= intrinsicData.getIndexFactor();
return(sum);
}
/**
* The Points-Up-Front (PUF) of an index. This is the (clean) price of a unit notional index.
* The actual clean price is this multiplied by the (current) index notional
* (i.e. the initial notional times the index factor).
*
* @param indexCDS analytic description of a CDS traded at a certain time
* @param indexCoupon The coupon of the index (as a fraction)
* @param yieldCurve The yield curve
* @param intrinsicData credit curves, weights and recover
* @return PUF of an index
*/
public double indexPUF(
CDS indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
return(indexPV(indexCDS, indexCoupon, yieldCurve, intrinsicData) / intrinsicData.getIndexFactor());
}
/**
* The intrinsic index spread. this is defined as the ratio of the intrinsic protection leg to the intrinsic annuity.
*
* @see #averageSpread
* @param indexCDS analytic description of a CDS traded at a certain time
* @param yieldCurve The yield curve
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return intrinsic index spread (as a fraction)
*/
public double intrinsicIndexSpread(
CDS indexCDS,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
double prot = indexProtLeg(indexCDS, yieldCurve, intrinsicData);
double annuity = indexAnnuity(indexCDS, yieldCurve, intrinsicData);
return(prot / annuity);
}