//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean(PRODUCT_STD);
Cds other = Cds.builder().buySell(SELL).legalEntityId(StandardId.of("OG", "EFG")).currency(JPY).notional(1d).fixedRate(0.01).dayCount(ACT_365F).paymentSchedule(PeriodicSchedule.builder().businessDayAdjustment(BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, JPTO)).startDate(LocalDate.of(2014, 1, 4)).endDate(LocalDate.of(2020, 11, 20)).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.SHORT_FINAL).build()).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).stepinDateOffset(DaysAdjustment.NONE).settlementDateOffset(DaysAdjustment.NONE).build();
coverBeanEquals(PRODUCT_STD, other);
}
public virtual void test_builder()
{
LocalDate startDate = LocalDate.of(2014, 12, 20);
LocalDate endDate = LocalDate.of(2020, 10, 20);
PeriodicSchedule sch = PeriodicSchedule.of(startDate, endDate, P3M, BusinessDayAdjustment.NONE, SHORT_INITIAL, RollConventions.NONE);
Cds test = Cds.builder().paymentSchedule(sch).buySell(SELL).currency(JPY).dayCount(ACT_365F).fixedRate(COUPON).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test.PaymentSchedule, sch);
assertEquals(test.BuySell, SELL);
assertEquals(test.Currency, JPY);
assertEquals(test.DayCount, ACT_365F);
assertEquals(test.FixedRate, COUPON);
assertEquals(test.LegalEntityId, LEGAL_ENTITY);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentOnDefault, PaymentOnDefault.NONE);
assertEquals(test.ProtectionStart, ProtectionStartOfDay.NONE);
assertEquals(test.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(test.StepinDateOffset, STEPIN_DAY_ADJ);
assertEquals(test.CrossCurrency, false);
assertEquals(test.allPaymentCurrencies(), ImmutableSet.of(JPY));
assertEquals(test.allCurrencies(), ImmutableSet.of(JPY));
}
//-------------------------------------------------------------------------
public virtual void test_toTrade()
{
LocalDate tradeDate = LocalDate.of(2015, 12, 21); // 19, 20 weekend
LocalDate startDate = LocalDate.of(2015, 12, 20);
LocalDate endDate = LocalDate.of(2020, 12, 20);
LocalDate settlementDate = LocalDate.of(2015, 12, 24);
TradeInfo info = TradeInfo.builder().tradeDate(tradeDate).settlementDate(settlementDate).build();
Tenor tenor = Tenor.TENOR_5Y;
ImmutableCdsConvention @base = ImmutableCdsConvention.of(NAME, GBP, ACT_360, P3M, BUSI_ADJ_STD, SETTLE_DAY_ADJ_STD);
Cds product = Cds.builder().legalEntityId(LEGAL_ENTITY).paymentSchedule(PeriodicSchedule.builder().startDate(startDate).endDate(endDate).frequency(P3M).businessDayAdjustment(BUSI_ADJ_STD).startDateBusinessDayAdjustment(BUSI_ADJ_STD).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).stubConvention(StubConvention.SMART_INITIAL).rollConvention(RollConventions.DAY_20).build()).buySell(BUY).currency(GBP).dayCount(ACT_360).notional(NOTIONAL).fixedRate(COUPON).paymentOnDefault(PaymentOnDefault.ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.BEGINNING).stepinDateOffset(STEPIN_DAY_ADJ).settlementDateOffset(SETTLE_DAY_ADJ_STD).build();
CdsTrade expected = CdsTrade.builder().info(info).product(product).build();
CdsTrade test1 = @base.createTrade(LEGAL_ENTITY, tradeDate, tenor, BUY, NOTIONAL, COUPON, REF_DATA);
assertEquals(test1, expected);
CdsTrade test2 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, tenor, BUY, NOTIONAL, COUPON, REF_DATA);
assertEquals(test2, expected);
CdsTrade test3 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, endDate, BUY, NOTIONAL, COUPON, REF_DATA);
assertEquals(test3, expected);
CdsTrade test4 = @base.toTrade(LEGAL_ENTITY, info, startDate, endDate, BUY, NOTIONAL, COUPON);
assertEquals(test4, expected);
AdjustablePayment upfront = AdjustablePayment.of(CurrencyAmount.of(GBP, 0.1 * NOTIONAL), settlementDate);
CdsTrade expectedWithUf = CdsTrade.builder().info(info).product(product).upfrontFee(upfront).build();
CdsTrade test5 = @base.createTrade(LEGAL_ENTITY, tradeDate, tenor, BUY, NOTIONAL, COUPON, upfront, REF_DATA);
assertEquals(test5, expectedWithUf);
CdsTrade test6 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, tenor, BUY, NOTIONAL, COUPON, upfront, REF_DATA);
assertEquals(test6, expectedWithUf);
CdsTrade test7 = @base.createTrade(LEGAL_ENTITY, tradeDate, startDate, endDate, BUY, NOTIONAL, COUPON, upfront, REF_DATA);
assertEquals(test7, expectedWithUf);
CdsTrade test8 = @base.toTrade(LEGAL_ENTITY, info, startDate, endDate, BUY, NOTIONAL, COUPON, upfront);
assertEquals(test8, expectedWithUf);
}
static IsdaCompliantCreditCurveCalibratorBase()
{
ImmutableList.Builder <IsdaCreditCurveNode> dscNodeBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MM; i++)
{
Tenor tenor = Tenor.ofMonths(MM_MONTHS[i]);
dscNodeBuilder.add(DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, ACT_360));
}
for (int i = NUM_MM; i < NUM_INSTRUMENTS; i++)
{
Tenor tenor = Tenor.ofYears(SWAP_YEARS[i - NUM_MM]);
dscNodeBuilder.add(SwapIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P12M));
}
DSC_NODES = dscNodeBuilder.build();
EXP_NODE_CDS = new ResolvedCdsTrade[NUM_TESTS][];
NODE_CDS = new CdsIsdaCreditCurveNode[NUM_TESTS][];
CDS_MARKET_DATA = new ImmutableMarketData[NUM_TESTS];
SPREADS = new double[NUM_TESTS][];
YIELD_CURVES = new ImmutableCreditRatesProvider[NUM_TESTS];
// case0
LocalDate tradeDate0 = LocalDate.of(2011, 6, 19);
LocalDate startDate0 = LocalDate.of(2011, 3, 21);
YIELD_CURVES[0] = createRatesProvider(tradeDate0, tradeDate0, 1d, 0.4);
Period[] tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
int nTenors = tenors.Length;
EXP_NODE_CDS[0] = new ResolvedCdsTrade[nTenors];
NODE_CDS[0] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit0 = ImmutableMarketData.builder(tradeDate0);
SPREADS[0] = new double[] { 0.00886315689995649, 0.00886315689995649, 0.0133044689825873, 0.0171490070952563, 0.0183903639181293, 0.0194721890639724 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), Frequency.P3M, DEFAULT_CALENDAR, SPREADS[0][i]);
EXP_NODE_CDS[0][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate0, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[0][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit0.addValue(id, SPREADS[0][i]);
}
CDS_MARKET_DATA[0] = builderCredit0.build();
// case1
LocalDate tradeDate1 = LocalDate.of(2011, 3, 21);
LocalDate snapDate1 = LocalDate.of(2011, 3, 18);
LocalDate effDate1 = LocalDate.of(2011, 3, 20); //note this is a Sunday - for a standard CDS this would roll to the Monday.
YIELD_CURVES[1] = createRatesProvider(tradeDate1, snapDate1, 1d, 0.4);
tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
nTenors = tenors.Length;
NODE_CDS[1] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit1 = ImmutableMarketData.builder(tradeDate1);
EXP_NODE_CDS[1] = new ResolvedCdsTrade[nTenors];
SPREADS[1] = new double[] { 0.027, 0.018, 0.012, 0.009, 0.007, 0.006 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[1][i]);
EXP_NODE_CDS[1][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate1, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_360).paymentFrequency(P3M).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[1][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit1.addValue(id, SPREADS[1][i]);
}
CDS_MARKET_DATA[1] = builderCredit1.build();
// case2
LocalDate tradeDate2 = LocalDate.of(2011, 5, 30);
LocalDate snapDate2 = LocalDate.of(2011, 5, 29);
YIELD_CURVES[2] = createRatesProvider(tradeDate2, snapDate2, 1d, 0.25);
LocalDate[] matDates2 = new LocalDate[] { LocalDate.of(2011, 6, 20), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 6, 20), LocalDate.of(2016, 6, 20), LocalDate.of(2018, 6, 20) };
int nMatDates2 = matDates2.Length;
NODE_CDS[2] = new CdsIsdaCreditCurveNode[nMatDates2];
ImmutableMarketDataBuilder builderCredit2 = ImmutableMarketData.builder(tradeDate2);
EXP_NODE_CDS[2] = new ResolvedCdsTrade[nMatDates2];
SPREADS[2] = new double[] { 0.05, 0.05, 0.05, 0.05, 0.05 };
for (int i = 0; i < nMatDates2; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, tradeDate2.plusDays(1), matDates2[i], P3M, DEFAULT_CALENDAR, SPREADS[2][i]).toBuilder().dayCount(THIRTY_U_360).build();
EXP_NODE_CDS[2][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate2, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(THIRTY_U_360).paymentFrequency(P3M).rollConvention(RollConventions.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(tradeDate2.plusDays(1), matDates2[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates2[i].ToString()));
NODE_CDS[2][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit2.addValue(id, SPREADS[2][i]);
}
CDS_MARKET_DATA[2] = builderCredit2.build();
// case3
LocalDate tradeDate3 = LocalDate.of(2011, 5, 30);
LocalDate snapDate3 = LocalDate.of(2011, 5, 29);
LocalDate effDate3 = LocalDate.of(2011, 7, 31);
YIELD_CURVES[3] = createRatesProvider(tradeDate3, snapDate3, 1d, 0.25);
LocalDate[] matDates3 = new LocalDate[] { LocalDate.of(2011, 11, 30), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 5, 30), LocalDate.of(2016, 5, 30), LocalDate.of(2018, 5, 30), LocalDate.of(2021, 5, 30) };
int nMatDates3 = matDates3.Length;
NODE_CDS[3] = new CdsIsdaCreditCurveNode[nMatDates3];
ImmutableMarketDataBuilder builderCredit3 = ImmutableMarketData.builder(tradeDate3);
EXP_NODE_CDS[3] = new ResolvedCdsTrade[nMatDates3];
SPREADS[3] = new double[] { 0.07, 0.06, 0.05, 0.055, 0.06, 0.065 };
for (int i = 0; i < nMatDates3; ++i)
{
Cds product = Cds.builder().buySell(BUY).legalEntityId(LEGAL_ENTITY).currency(EUR).dayCount(ACT_365F).fixedRate(SPREADS[3][i]).notional(1d).paymentSchedule(PeriodicSchedule.builder().businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).startDate(effDate3).endDate(matDates3[i]).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).build()).paymentOnDefault(PaymentOnDefault.ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.BEGINNING).stepinDateOffset(DaysAdjustment.ofCalendarDays(1)).settlementDateOffset(CDS_SETTLE_STD).build();
EXP_NODE_CDS[3][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate3, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_365F).paymentFrequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate3, matDates3[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates3[i].ToString()));
NODE_CDS[3][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit3.addValue(id, SPREADS[3][i]);
}
CDS_MARKET_DATA[3] = builderCredit3.build();
// case4: designed to trip the low rates/low spreads branch
LocalDate tradeDate4 = LocalDate.of(2014, 1, 14);
LocalDate snapDate4 = LocalDate.of(2014, 1, 13);
YIELD_CURVES[4] = createRatesProvider(tradeDate4, snapDate4, 1d / 1000d, 0.4);
int nSpreads4 = 6;
NODE_CDS[4] = new CdsIsdaCreditCurveNode[nSpreads4];
ImmutableMarketDataBuilder builderCredit4 = ImmutableMarketData.builder(tradeDate4);
SPREADS[4] = new double[nSpreads4];
Arrays.fill(SPREADS[4], 1.0e-4);
EXP_NODE_CDS[4] = new ResolvedCdsTrade[nSpreads4];
for (int i = 0; i < nSpreads4; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[4][i]);
EXP_NODE_CDS[4][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate4, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[4][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit4.addValue(id, SPREADS[4][i]);
}
CDS_MARKET_DATA[4] = builderCredit4.build();
}
