public PiecewiseconstantHazardRate adjustCreditCurve(
PiecewiseconstantHazardRate creditCurve,
double amount,
int firstKnot,
int lastKnot)
{
double[] rt = creditCurve.rt.ToArray();
double[] rtAdj = rt;
for (int i = firstKnot; i < lastKnot; i++)
{
rtAdj[i] = rt[i] * amount;
}
PiecewiseconstantHazardRate hazard = new PiecewiseconstantHazardRate(creditCurve.latestReference_, null, null, null, null);
return(hazard.makeFromRT(creditCurve.t, rtAdj));
}
public PiecewiseconstantHazardRate adjustCreditCurve(PiecewiseconstantHazardRate creditCurve, double amount)
{
if (creditCurve == null)
{
return(creditCurve);
}
int nKnots = creditCurve.t.Count;
double[] rt = creditCurve.rt.ToArray();
double[] rtAdj = new double[nKnots];
for (int i = 0; i < nKnots; i++)
{
rtAdj[i] = rt[i] * amount;
}
PiecewiseconstantHazardRate hazard = new PiecewiseconstantHazardRate(creditCurve.latestReference_, null, null, null, null);
return(hazard.makeFromRT(creditCurve.t, rtAdj));
}
public IntrinsicIndexDataBundle adjustCurves(
double[] indexPUF,
CDS[] indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
int nIndexTerms = indexCDS.Length;
if (nIndexTerms == 1)
{
return(adjustCurves(indexPUF[0], indexCDS[0], indexCoupon, yieldCurve, intrinsicData));
}
double[] indexKnots = new double[nIndexTerms];
for (int i = 0; i < nIndexTerms; i++)
{
indexKnots[i] = indexCDS[i].getProtectionEnd();
}
PiecewiseconstantHazardRate[] creditCurves = intrinsicData.getCreditCurves();
int nCurves = creditCurves.Length;
//we cannot assume that all the credit curves have knots at the same times or that the terms of the indices fall on these knots.
PiecewiseconstantHazardRate[] modCreditCurves = new PiecewiseconstantHazardRate[nCurves];
int[,] indexMap = new int[nCurves, nIndexTerms];
for (int i = 0; i < nCurves; i++)
{
if (creditCurves[i] == null)
{
modCreditCurves[i] = null; //null credit curves correspond to defaulted names, so are ignored
}
else
{
double[] ccKnots = creditCurves[i].t.ToArray();
double[] comKnots = DoublesScheduleGenerator.combineSets(ccKnots, indexKnots);
int nKnots = comKnots.Length;
if (nKnots == ccKnots.Length)
{
modCreditCurves[i] = creditCurves[i];
}
else
{
double[] rt = new double[nKnots];
for (int j = 0; j < nKnots; j++)
{
rt[j] = creditCurves[i].getRT_(comKnots[j]);
}
PiecewiseconstantHazardRate hazard = new PiecewiseconstantHazardRate(creditCurves[i].latestReference_, null, null, null, null);
modCreditCurves[i] = hazard.makeFromRT(comKnots.ToList(), rt);
}
for (int j = 0; j < nIndexTerms; j++)
{
int index = Array.BinarySearch(modCreditCurves[i].t.ToArray(), indexKnots[j]);
indexMap[i, j] = index;
}
}
}
int[] startKnots = new int[nCurves];
int[] endKnots = new int[nCurves];
double alpha = 1.0;
for (int i = 0; i < nIndexTerms; i++)
{
if (i == (nIndexTerms - 1))
{
for (int jj = 0; jj < nCurves; jj++)
{
if (modCreditCurves[jj] != null)
{
endKnots[jj] = modCreditCurves[jj].t.Count;
}
}
}
else
{
for (int jj = 0; jj < nCurves; jj++)
{
if (modCreditCurves[jj] != null)
{
endKnots[jj] = indexMap[jj, i] + 1;
}
}
}
IntrinsicIndexDataBundle modIntrinsicData = intrinsicData.withCreditCurves(modCreditCurves);
Func <double, double> func = getHazardRateAdjFunction(indexPUF[i], indexCDS[i], indexCoupon, yieldCurve,
modIntrinsicData, startKnots, endKnots);
alpha = ROOTFINDER.getRoot(func, alpha);
modCreditCurves = adjustCurves(modCreditCurves, alpha, startKnots, endKnots);
startKnots = endKnots;
}
return(intrinsicData.withCreditCurves(modCreditCurves));
}
