//-------------------------------------------------------------------------
public virtual void test_jumpToDefault()
{
JumpToDefault computed = PRICER.jumpToDefault(TRADE, RATES_PROVIDER, REF_DATA);
JumpToDefault expected = PRICER_PRODUCT.jumpToDefault(PRODUCT, RATES_PROVIDER, SETTLEMENT_DATE, REF_DATA);
assertEquals(computed, expected);
}
public virtual void endedTest()
{
LocalDate valuationDate = PRODUCT.ProtectionEndDate.plusDays(1);
CreditRatesProvider provider = createCreditRatesProviderSingle(valuationDate, false);
double price = PRICER.price(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(price, 0d);
CurrencyAmount pv = PRICER.presentValue(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(pv, CurrencyAmount.zero(USD));
assertThrowsIllegalArg(() => PRICER.parSpread(PRODUCT, provider, SETTLEMENT_STD, REF_DATA));
CurrencyAmount rpv01 = PRICER.rpv01(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);
assertEquals(rpv01, CurrencyAmount.zero(USD));
CurrencyAmount recovery01 = PRICER.recovery01(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(recovery01, CurrencyAmount.zero(USD));
PointSensitivityBuilder sensi = PRICER.presentValueSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(sensi, PointSensitivityBuilder.none());
PointSensitivityBuilder sensiPrice = PRICER.priceSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(sensiPrice, PointSensitivityBuilder.none());
assertThrowsIllegalArg(() => PRICER.parSpreadSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA));
JumpToDefault jumpToDefault = PRICER.jumpToDefault(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);
assertEquals(jumpToDefault, JumpToDefault.of(USD, ImmutableMap.of(INDEX_ID, 0d)));
CurrencyAmount expectedLoss = PRICER.expectedLoss(PRODUCT, provider);
assertEquals(expectedLoss, CurrencyAmount.zero(USD));
}
public virtual void test_of()
{
JumpToDefault test = JumpToDefault.of(GBP, ImmutableMap.of(ID_ABC, 1.1d, ID_DEF, 2.2d));
assertEquals(test.Currency, GBP);
assertEquals(test.Amounts.size(), 2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
JumpToDefault test = JumpToDefault.of(GBP, ImmutableMap.of(ID_ABC, 1.1d, ID_DEF, 2.2d));
coverImmutableBean(test);
JumpToDefault test2 = JumpToDefault.of(USD, ImmutableMap.of(ID_DEF, 2.3d));
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void jumpToDefaultTest()
{
JumpToDefault computed = PRICER.jumpToDefault(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, REF_DATA);
LocalDate stepinDate = PRODUCT.StepinDateOffset.adjust(VALUATION_DATE, REF_DATA);
double dirtyPvMod = PRICER.presentValue(PRODUCT, RATES_PROVIDER, SETTLEMENT_STD, PriceType.DIRTY, REF_DATA).Amount / INDEX_FACTOR;
double accrued = PRODUCT.accruedYearFraction(stepinDate) * PRODUCT.FixedRate * PRODUCT.BuySell.normalize(NOTIONAL);
double protection = PRODUCT.BuySell.normalize(NOTIONAL) * (1d - RECOVERY_RATE);
double expected = (protection - accrued - dirtyPvMod) / ((double)LEGAL_ENTITIES.size());
assertEquals(computed.Currency, USD);
assertTrue(computed.Amounts.size() == 1);
assertEquals(computed.Amounts.get(INDEX_ID), expected, NOTIONAL * TOL);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the jump-to-default of the CDS product.
/// <para>
/// The jump-to-default is the value of the product in case of immediate default.
///
/// </para>
/// </summary>
/// <param name="cds"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="referenceDate"> the reference date </param>
/// <param name="refData"> the reference data </param>
/// <returns> the jump-to-default </returns>
public virtual JumpToDefault jumpToDefault(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
{
StandardId legalEntityId = cds.LegalEntityId;
Currency currency = cds.Currency;
if (isExpired(cds, ratesProvider))
{
return(JumpToDefault.of(currency, ImmutableMap.of(legalEntityId, 0d)));
}
LocalDate stepinDate = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
double recoveryRate = this.recoveryRate(cds, ratesProvider);
Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);
double protectionFull = this.protectionFull(cds, rates.First, rates.Second, referenceDate, effectiveStartDate);
double lgd = 1d - recoveryRate;
double rpv01 = riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, PriceType.CLEAN);
double jtd = lgd - (lgd * protectionFull - cds.FixedRate * rpv01);
return(JumpToDefault.of(currency, ImmutableMap.of(legalEntityId, cds.BuySell.normalize(cds.Notional) * jtd)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the jump-to-default of the CDS index product.
/// <para>
/// The jump-to-default is the value of the product in case of immediate default of a constituent single name.
/// </para>
/// <para>
/// Under the homogeneous pool assumption, the jump-to-default values are the same for all of the undefaulted names,
/// and zero for defaulted names. Thus the resulting object contains a single number.
///
/// </para>
/// </summary>
/// <param name="cdsIndex"> the product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="referenceDate"> the reference date </param>
/// <param name="refData"> the reference data </param>
/// <returns> the recovery01 </returns>
public virtual JumpToDefault jumpToDefault(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
{
StandardId indexId = cdsIndex.CdsIndexId;
Currency currency = cdsIndex.Currency;
if (isExpired(cdsIndex, ratesProvider))
{
return(JumpToDefault.of(currency, ImmutableMap.of(indexId, 0d)));
}
ResolvedCds cds = cdsIndex.toSingleNameCds();
LocalDate stepinDate = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
double recoveryRate = underlyingPricer.recoveryRate(cds, ratesProvider);
Triple <CreditDiscountFactors, LegalEntitySurvivalProbabilities, double> rates = reduceDiscountFactors(cds, ratesProvider);
double protectionFull = underlyingPricer.protectionFull(cds, rates.First, rates.Second, referenceDate, effectiveStartDate);
double rpv01 = underlyingPricer.riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, PriceType.CLEAN);
double lgd = 1d - recoveryRate;
double numTotal = cdsIndex.LegalEntityIds.size();
double jtd = (lgd - (lgd * protectionFull - cds.FixedRate * rpv01)) / numTotal;
return(JumpToDefault.of(currency, ImmutableMap.of(indexId, cds.BuySell.normalize(cds.Notional) * jtd)));
}