public CDS[] makeCds(DateTime tradeDate, DateTime accStartDate, DateTime[] maturities)
{
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
DateTime stepinDate = calendar.adjust(tradeDate.AddDays(_stepIn), QLNet.BusinessDayConvention.Following);
DateTime valueDate = calendar.adjust(tradeDate.AddDays(_cashSettle), QLNet.BusinessDayConvention.Following);
return(makeCds(tradeDate, stepinDate, valueDate, accStartDate, maturities));
}
/**
* Set up an on-the-run index represented as a single name CDS (i.e. by CdsAnalytic).
* The index roll dates (when new indices are issued) are 20 Mar & Sep,
* and the index is defined to have a maturity that is its nominal tenor plus 3M on issuance,
* so a 5Y index on the 6-Feb-2014 will have a maturity of 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013).
* The accrual start date will be the previous IMM date (before the trade date), business-day adjusted.
* <b>Note</b> it payment interval is changed from the
* default of 3M, this will produce a (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenor the nominal length of the index
* @return a CDS analytic description
*/
public CDS makeCdx(DateTime tradeDate, int tenor)
{
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
DateTime effectiveDate = calendar.adjust(getPrevIMMDate(tradeDate), QLNet.BusinessDayConvention.ModifiedFollowing);
DateTime roll = getNextIndexRollDate(tradeDate);
DateTime maturity = roll.AddMonths(tenor - 3);
return(makeCds(tradeDate, effectiveDate, maturity));
}
/**
* Set up a strip of on-the-run indexes represented as a single name CDSs (i.e. by CdsAnalytic).
* The index roll dates (when new indices are issued) are 20 Mar & Sep,
* and the index is defined to have a maturity that is its nominal tenor plus 3M on issuance,
* so a 5Y index on the 6-Feb-2014 will have a maturity of
* 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013).
* The accrual start date will be the previous IMM date (before the trade date), business-day adjusted.
* <b>Note</b> it payment interval is changed from the
* default of 3M, this will produce a (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenors the nominal lengths of the indexes
* @return an array of CDS analytic descriptions
*/
public CDS[] makeCdx(DateTime tradeDate, int[] tenors)
{
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
DateTime effectiveDate = calendar.adjust(getPrevIMMDate(tradeDate), QLNet.BusinessDayConvention.ModifiedFollowing);
DateTime mid = getNextIndexRollDate(tradeDate).AddMonths(-3);
DateTime[] maturities = getIMMDateSet(mid, tenors);
return(makeCds(tradeDate, effectiveDate, maturities));
}
/**
* Make a set of CDSs with a common trade date and maturities dates the given periods after
* the next IMM date (after the trade-date).
* The accrual start date will be the previous IMM date (before the trade date).
* <b>Note</b> it payment interval is changed from the default of 3M, this will produce a
* (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenors the tenors (lengths) of the CDSs
* @param makeEffBusDay is the accrual start day business-day adjusted.
* @return an array of CDS analytic descriptions
*/
public CDS[] makeImmCds(DateTime tradeDate, int[] tenors, Boolean makeEffBusDay)
{
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
DateTime effective = calendar.adjust(getPrevIMMDate(tradeDate), QLNet.BusinessDayConvention.ModifiedFollowing);
DateTime effectiveDate = makeEffBusDay ? effective : getPrevIMMDate(tradeDate);
getPrevIMMDate(tradeDate);
return(makeImmCds(tradeDate, effectiveDate, tenors));
}
/**
* Make a CDS with a maturity date the given period on from the next IMM date after the trade-date.
* The accrual start date will be the previous IMM date (before the trade date).
* <b>Note</b> it payment interval is changed from the
* default of 3M, this will produce a (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenor the tenor (length) of the CDS
* @param makeEffBusDay is the accrual start day business-day adjusted.
* @return a CDS analytic description
*/
public CDS makeImmCds(DateTime tradeDate, int tenor, Boolean makeEffBusDay)
{
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
DateTime effective = calendar.adjust(getPrevIMMDate(tradeDate), QLNet.BusinessDayConvention.ModifiedFollowing);
DateTime effectiveDate = makeEffBusDay? effective : getPrevIMMDate(tradeDate);
DateTime nextIMM = getNextIMMDate(tradeDate);
DateTime maturity = nextIMM.AddMonths(tenor);
return(makeCds(tradeDate, effectiveDate, maturity));
}
public BasicFixedLeg(
DateTime spotDate,
DateTime mat,
int swapInterval
)
{
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates cal = new QLNet.UnitedStates();
List <DateTime> list = new List <DateTime>();
DateTime tDate = mat;
int step = 1;
while (DateTime.Compare(tDate, spotDate) > 0)
{
list.Add(tDate);
tDate = mat.AddMonths(-swapInterval * (step++));
}
// remove spotDate from list, if it ends up there
list.Remove(spotDate);
_nPayments = list.Count();
_swapPaymentTimes = new double[_nPayments];
_yearFraction = new double[_nPayments];
DateTime prev = spotDate;
int j = _nPayments - 1;
for (int i = 0; i < _nPayments; i++, j--)
{
DateTime current = list[j];
DateTime adjCurr = cal.adjust(current, QLNet.BusinessDayConvention.Following);
_yearFraction[i] = swapDCC.YearFraction(prev, adjCurr);
_swapPaymentTimes[i] = curveDCC.YearFraction(spotDate, adjCurr); // Payment times always good business days
prev = adjCurr;
}
}
private DateTime businessDayAdjustDate(DateTime date, QLNet.Calendar calendar, QLNet.BusinessDayConvention convention)
{
QLNet.UnitedStates cal = new QLNet.UnitedStates();
return(cal.adjust(date, convention));
}
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;
}
}
public YieldTermStructure calculation(DateTime tradedate, List <double> QuotedSpot)
{
DateTime SpotDate = tradedate.AddDays(2);
/*********************
*
* ** CURVE BUILDING **
*
* *********************/
DateTime d1m = SpotDate.AddMonths(1);
DateTime d2m = SpotDate.AddMonths(2);
DateTime d3m = SpotDate.AddMonths(3);
DateTime d6m = SpotDate.AddMonths(6);
DateTime d9m = SpotDate.AddMonths(9);
DateTime d1y = SpotDate.AddYears(1);
DateTime d2y = SpotDate.AddYears(2);
DateTime d3y = SpotDate.AddYears(3);
DateTime d4y = SpotDate.AddYears(4);
DateTime d5y = SpotDate.AddYears(5);
DateTime d6y = SpotDate.AddYears(6);
DateTime d7y = SpotDate.AddYears(7);
DateTime d8y = SpotDate.AddYears(8);
DateTime d9y = SpotDate.AddYears(9);
DateTime d10y = SpotDate.AddYears(10);
DateTime d11y = SpotDate.AddYears(11);
DateTime d12y = SpotDate.AddYears(12);
DateTime d15y = SpotDate.AddYears(15);
DateTime d20y = SpotDate.AddYears(20);
DateTime d25y = SpotDate.AddYears(25);
DateTime d30y = SpotDate.AddYears(30);
List <DateTime> dates = new List <DateTime>();
dates.Add(d1m);
dates.Add(d2m);
dates.Add(d3m);
dates.Add(d6m);
dates.Add(d9m);
dates.Add(d1y);
dates.Add(d2y);
dates.Add(d3y);
dates.Add(d4y);
dates.Add(d5y);
dates.Add(d6y);
dates.Add(d7y);
dates.Add(d8y);
dates.Add(d9y);
dates.Add(d10y);
dates.Add(d11y);
dates.Add(d12y);
dates.Add(d15y);
dates.Add(d20y);
dates.Add(d25y);
dates.Add(d30y);
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
String[] YIELD_CURVE_POINTS = new String[] { "1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y",
"6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
String[] YIELD_CURVE_INSTRUMENTS = new String[] { "M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S",
"S", "S", "S", "S", "S", "S", "S", "S", "S", "S" };
DateTime today = tradedate;
List <DateTime> matDates = dates;
List <DateTime> adjMatDates = new List <DateTime>();
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
for (int i = 0; i < matDates.Count; i++)
{
adjMatDates.Add(calendar.adjust(matDates[i], QLNet.BusinessDayConvention.Following));
}
adjMatDates[2] = adjMatDates[2].AddDays(-1);
int nMM = 0;
int n = YIELD_CURVE_INSTRUMENTS.Count();
double[] _t = new double[n];
for (int i = 0; i < n; i++)
{
_t[i] = curveDCC.YearFraction(SpotDate, adjMatDates[i]);
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
nMM++;
}
}
int nSwap = n - nMM;
double[] _mmYF = new double[nMM];
BasicFixedLeg[] _swaps = new BasicFixedLeg[nSwap];
int mmCount = 0;
int swapCount = 0;
int swapInterval = 12;
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
_mmYF[mmCount++] = moneyMarketDCC.YearFraction(SpotDate, adjMatDates[i]);
}
else
{
_swaps[swapCount++] = new BasicFixedLeg(SpotDate, matDates[i], swapInterval);
}
}
double _offset = DateTime.Compare(tradedate, SpotDate) > 0 ? curveDCC.YearFraction(SpotDate, tradedate) : -curveDCC.YearFraction(
tradedate, SpotDate);
YieldTermStructure curve = new YieldTermStructure(tradedate, QuotedSpot, dates, _t.ToList(), null);
int mmCount_ = 0;
int swapCount_ = 0;
double[] rt_ = new double[n];
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
double z = 1.0 / (1 + QuotedSpot[i] * _mmYF[mmCount_++]);
YieldTermStructure tempcurve = curve.withDiscountFactor(z, i);
curve = tempcurve;
}
else
{
curve = curve.fitSwap(i, _swaps[swapCount_++], curve, QuotedSpot[i]);
}
}
YieldTermStructure baseCurve = curve;
List <double> ZeroRates = curve.getKnotZeroRates();
if (_offset == 0.0)
{
return(baseCurve);
}
this.Nodes = dates;
return(baseCurve.withOffset(_offset));
}
public YieldTermStructure calculation2(DateTime tradedate, List <double> QuotedSpot)
{
/*********************
*** MARKET DATA ***
*********************/
QLNet.UnitedStates cal = new QLNet.UnitedStates();
DateTime SpotDate = tradedate.AddDays(4);
//DateTime SpotDate = cal.advance(tradedate,2,QLNet.TimeUnit.Days,QLNet.BusinessDayConvention.ModifiedFollowing);
// must be a business day
/*********************
*
* ** CURVE BUILDING **
*
* *********************/
DateTime d1m = SpotDate.AddMonths(1);
DateTime d2m = SpotDate.AddMonths(2);
DateTime d3m = SpotDate.AddMonths(3);
DateTime d6m = SpotDate.AddMonths(6);
DateTime d1y = SpotDate.AddYears(1);
DateTime d2y = SpotDate.AddYears(2);
DateTime d3y = SpotDate.AddYears(3);
DateTime d4y = SpotDate.AddYears(4);
DateTime d5y = SpotDate.AddYears(5);
DateTime d6y = SpotDate.AddYears(6);
DateTime d7y = SpotDate.AddYears(7);
DateTime d8y = SpotDate.AddYears(8);
DateTime d9y = SpotDate.AddYears(9);
DateTime d10y = SpotDate.AddYears(10);
DateTime d12y = SpotDate.AddYears(12);
DateTime d15y = SpotDate.AddYears(15);
DateTime d20y = SpotDate.AddYears(20);
DateTime d25y = SpotDate.AddYears(25);
DateTime d30y = SpotDate.AddYears(30);
List <DateTime> dates = new List <DateTime>();
dates.Add(d1m);
dates.Add(d2m);
dates.Add(d3m);
dates.Add(d6m);
dates.Add(d1y);
dates.Add(d2y);
dates.Add(d3y);
dates.Add(d4y);
dates.Add(d5y);
dates.Add(d6y);
dates.Add(d7y);
dates.Add(d8y);
dates.Add(d9y);
dates.Add(d10y);
dates.Add(d12y);
dates.Add(d15y);
dates.Add(d20y);
dates.Add(d25y);
dates.Add(d30y);
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
String[] YIELD_CURVE_POINTS = new String[] { "1M", "2M", "3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y",
"6Y", "7Y", "8Y", "9Y", "10Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
String[] YIELD_CURVE_INSTRUMENTS = new String[] { "M", "M", "M", "M", "M", "S", "S", "S", "S", "S",
"S", "S", "S", "S", "S", "S", "S", "S", "S" };
List <double> YIELD_CURVE_RATES = QuotedSpot;
DateTime spotDate = SpotDate;
List <DateTime> matDates = dates;
List <DateTime> adjMatDates = new List <DateTime>();
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
for (int i = 0; i < matDates.Count; i++)
{
adjMatDates.Add(calendar.adjust(matDates[i], QLNet.BusinessDayConvention.ModifiedFollowing));
}
int nMM = 0;
int n = YIELD_CURVE_INSTRUMENTS.Count();
double[] _t = new double[n];
for (int i = 0; i < n; i++)
{
_t[i] = curveDCC.YearFraction(spotDate, adjMatDates[i]);
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
nMM++;
}
}
int nSwap = n - nMM;
double[] _mmYF = new double[nMM];
BasicFixedLeg[] _swaps = new BasicFixedLeg[nSwap];
int mmCount = 0;
int swapCount = 0;
int swapInterval = 6;
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
_mmYF[mmCount++] = moneyMarketDCC.YearFraction(spotDate, adjMatDates[i]);
}
else
{
_swaps[swapCount++] = new BasicFixedLeg(spotDate, matDates[i], swapInterval);
}
}
double _offset = DateTime.Compare(tradedate, spotDate) > 0 ? curveDCC.YearFraction(spotDate, tradedate) : -curveDCC.YearFraction(
tradedate, spotDate);
YieldTermStructure curve = new YieldTermStructure(tradedate, YIELD_CURVE_RATES, dates, _t.ToList(), null);
int mmCount_ = 0;
int swapCount_ = 0;
double[] rt_ = new double[n];
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
double z = 1.0 / (1 + YIELD_CURVE_RATES[i] * _mmYF[mmCount_++]);
YieldTermStructure tempcurve = curve.withDiscountFactor(z, i);
curve = tempcurve;
}
else
{
curve = curve.fitSwap(i, _swaps[swapCount_++], curve, YIELD_CURVE_RATES[i]);
}
}
YieldTermStructure baseCurve = curve;
List <double> ZeroRates = curve.getKnotZeroRates();
if (_offset == 0.0)
{
return(baseCurve);
}
this.Nodes = dates;
curve = baseCurve.withOffset(_offset);
//List<double> rt = new List<double>() { 1.399914257002842E-4, 3.452229985902273E-4, 6.151397497988689E-4, 0.0017010975470283791, 0.005696357532861686, 0.008854793051714499, 0.0235368691596982, 0.04799336562986048, 0.07980430061988725, 0.11682686636178839, 0.1569272410971123, 0.1988340941576404, 0.24178776149530337, 0.2862865792161734, 0.37671732698783206, 0.512340347238558, 0.7299269275257245, 0.9365962573841474, 1.1363739062462221};
//curve.rt = rt;
return(curve);
}
