//-------------------------------------------------------------------------
public virtual void test_trade()
{
CdsIndexIsdaCreditCurveNode node = CdsIndexIsdaCreditCurveNode.ofQuotedSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES, 0.01);
double rate = 0.0125;
double quantity = -1234.56;
MarketData marketData = ImmutableMarketData.builder(VAL_DATE).addValue(QUOTE_ID, rate).build();
CdsIndexCalibrationTrade trade = node.trade(quantity, marketData, REF_DATA);
CdsTrade cdsTrade = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, 0.01, REF_DATA);
CdsIndex cdsIndex = CdsIndex.of(SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.Convention.Currency, -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.Convention.SettlementDateOffset.Calendar, 0.01);
CdsIndex cdsIndexMod = cdsIndex.toBuilder().paymentSchedule(cdsIndex.PaymentSchedule.toBuilder().rollConvention(RollConventions.DAY_20).startDateBusinessDayAdjustment(cdsIndex.PaymentSchedule.BusinessDayAdjustment).build()).build();
CdsIndexTrade expected = CdsIndexTrade.builder().product(cdsIndexMod).info(cdsTrade.Info).build();
assertEquals(trade.UnderlyingTrade, expected);
assertEquals(trade.Quote, CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, rate));
CdsIndexIsdaCreditCurveNode node1 = CdsIndexIsdaCreditCurveNode.ofParSpread(TEMPLATE, QUOTE_ID, INDEX_ID, LEGAL_ENTITIES);
CdsTrade cdsTrade1 = TEMPLATE.createTrade(INDEX_ID, VAL_DATE, SELL, -quantity, rate, REF_DATA);
CdsIndexCalibrationTrade trade1 = node1.trade(quantity, marketData, REF_DATA);
CdsIndex cdsIndex1 = CdsIndex.of(SELL, INDEX_ID, LEGAL_ENTITIES, TEMPLATE.Convention.Currency, -quantity, date(2015, 6, 20), date(2025, 6, 20), Frequency.P3M, TEMPLATE.Convention.SettlementDateOffset.Calendar, rate);
CdsIndex cdsIndexMod1 = cdsIndex1.toBuilder().paymentSchedule(cdsIndex.PaymentSchedule.toBuilder().rollConvention(RollConventions.DAY_20).startDateBusinessDayAdjustment(cdsIndex1.PaymentSchedule.BusinessDayAdjustment).build()).build();
CdsIndexTrade expected1 = CdsIndexTrade.builder().product(cdsIndexMod1).info(cdsTrade1.Info).build();
assertEquals(trade1.UnderlyingTrade, expected1);
assertEquals(trade1.Quote, CdsQuote.of(CdsQuoteConvention.PAR_SPREAD, rate));
}
static CreditDataSet()
{
ImmutableList.Builder <StandardId> builder = ImmutableList.builder();
for (int i = 0; i < 97; ++i)
{
builder.add(StandardId.of("OG", i.ToString()));
}
LEGAL_ENTITIES = builder.build();
double flatRate = 0.05;
double t = 20.0;
IsdaCreditDiscountFactors yieldCurve = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
DISCOUNT_CURVE = yieldCurve.Curve;
RecoveryRates recoveryRate = ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION_DATE, RECOVERY_RATE);
// create the curve nodes and input market quotes
ImmutableMarketDataBuilder marketQuoteBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
marketQuoteBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketQuotes = marketQuoteBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, recoveryRate)).discountCurves(ImmutableMap.of(USD, yieldCurve)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
// calibrate
LegalEntitySurvivalProbabilities calibrated = BUILDER.calibrate(definition, marketQuotes, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)calibrated.SurvivalProbabilities).Curve;
CDS_CREDIT_CURVE = underlyingCurve;
INDEX_CREDIT_CURVE = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CDS_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("CDS recovery rate", ACT_365F), RECOVERY_RATE);
INDEX_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("Index recovery rate", ACT_365F), RECOVERY_RATE);
}
static SpreadSensitivityCalculatorTest()
{
double flatRate = 0.05;
double t = 20.0;
YIELD_CURVE = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
ImmutableMarketDataBuilder dataBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
dataBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketData = dataBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
CREDIT_CURVE = BUILDER.calibrate(definition, marketData, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)CREDIT_CURVE.SurvivalProbabilities).Curve;
NodalCurve curveWithFactor = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CREDIT_CURVE_INDEX = LegalEntitySurvivalProbabilities.of(INDEX_ID, IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, curveWithFactor));
}
// parses the CDS
internal Trade parseCds(FpmlDocument document, XmlElement tradeEl, TradeInfoBuilder tradeInfoBuilder)
{
XmlElement cdsEl = tradeEl.getChild("creditDefaultSwap");
XmlElement generalTermsEl = cdsEl.getChild("generalTerms");
XmlElement feeLegEl = cdsEl.getChild("feeLeg");
document.validateNotPresent(generalTermsEl, "basketReferenceInformation");
document.validateNotPresent(feeLegEl, "singlePayment");
BuySell buySell = document.parseBuyerSeller(generalTermsEl, tradeInfoBuilder);
// effective and termination date are optional in FpML but mandatory for Strata
AdjustableDate effectiveDate = document.parseAdjustableDate(generalTermsEl.getChild("effectiveDate"));
AdjustableDate terminationDate = document.parseAdjustableDate(generalTermsEl.getChild("scheduledTerminationDate"));
BusinessDayAdjustment bda = generalTermsEl.findChild("dateAdjustments").map(el => document.parseBusinessDayAdjustments(el)).orElse(BusinessDayAdjustment.NONE);
PeriodicSchedule.Builder scheduleBuilder = PeriodicSchedule.builder().startDate(effectiveDate.Unadjusted).startDateBusinessDayAdjustment(effectiveDate.Adjustment).endDate(terminationDate.Unadjusted).endDateBusinessDayAdjustment(terminationDate.Adjustment).businessDayAdjustment(bda);
// an upfront fee
Optional <XmlElement> initialPaymentOptEl = feeLegEl.findChild("initialPayment");
AdjustablePayment upfrontFee = null;
if (initialPaymentOptEl.Present)
{
XmlElement initialPaymentEl = initialPaymentOptEl.get();
PayReceive payRec = document.parsePayerReceiver(initialPaymentEl, tradeInfoBuilder);
CurrencyAmount amount = document.parseCurrencyAmount(initialPaymentEl.getChild("paymentAmount"));
LocalDate date = initialPaymentEl.findChild("adjustablePaymentDate").map(el => document.parseDate(el)).orElse(effectiveDate.Unadjusted);
AdjustableDate adjDate = AdjustableDate.of(date, bda);
upfrontFee = payRec.Pay ? AdjustablePayment.ofPay(amount, adjDate) : AdjustablePayment.ofReceive(amount, adjDate);
}
// we require a periodicPayment and fixedAmountCalculation
XmlElement periodicPaymentEl = feeLegEl.getChild("periodicPayment");
scheduleBuilder.frequency(periodicPaymentEl.findChild("paymentFrequency").map(el => document.parseFrequency(el)).orElse(Frequency.P3M));
periodicPaymentEl.findChild("firstPaymentDate").ifPresent(el => scheduleBuilder.firstRegularStartDate(document.parseDate(el)));
periodicPaymentEl.findChild("firstPeriodStartDate").ifPresent(el => scheduleBuilder.overrideStartDate(AdjustableDate.of(document.parseDate(el))));
periodicPaymentEl.findChild("lastRegularPaymentDate").ifPresent(el => scheduleBuilder.lastRegularEndDate(document.parseDate(el)));
scheduleBuilder.rollConvention(periodicPaymentEl.findChild("rollConvention").map(el => document.convertRollConvention(el.Content)).orElse(null));
XmlElement fixedAmountCalcEl = periodicPaymentEl.getChild("fixedAmountCalculation");
double fixedRate = document.parseDecimal(fixedAmountCalcEl.getChild("fixedRate"));
DayCount dayCount = fixedAmountCalcEl.findChild("dayCountFraction").map(el => document.parseDayCountFraction(el)).orElse(DayCounts.ACT_360);
// handle a single protectionTerms element
XmlElement protectionTermEl = cdsEl.getChild("protectionTerms");
CurrencyAmount notional = document.parseCurrencyAmount(protectionTermEl.getChild("calculationAmount"));
// single name CDS
Optional <XmlElement> singleOptEl = generalTermsEl.findChild("referenceInformation");
if (singleOptEl.Present)
{
// we require a single entityId
XmlElement referenceEntityEl = singleOptEl.get().getChild("referenceEntity");
XmlElement entityIdEl = referenceEntityEl.getChild("entityId");
string scheme = entityIdEl.findAttribute("entityIdScheme").orElse("http://www.fpml.org/coding-scheme/external/entity-id-RED-1-0");
string value = entityIdEl.Content;
StandardId entityId = StandardId.of(scheme, value);
Cds cds = Cds.builder().buySell(buySell).legalEntityId(entityId).currency(notional.Currency).notional(notional.Amount).paymentSchedule(scheduleBuilder.build()).fixedRate(fixedRate).dayCount(dayCount).build();
return(CdsTrade.builder().info(tradeInfoBuilder.build()).product(cds).upfrontFee(upfrontFee).build());
}
// CDS index
Optional <XmlElement> indexOptEl = generalTermsEl.findChild("indexReferenceInformation");
if (indexOptEl.Present)
{
string indexName = indexOptEl.get().getChild("indexName").Content;
CdsIndex cdsIndex = CdsIndex.builder().buySell(buySell).cdsIndexId(StandardId.of("CDX-Name", indexName)).currency(notional.Currency).notional(notional.Amount).paymentSchedule(scheduleBuilder.build()).fixedRate(fixedRate).dayCount(dayCount).build();
return(CdsIndexTrade.builder().info(tradeInfoBuilder.build()).product(cdsIndex).upfrontFee(upfrontFee).build());
}
// unknown type
throw new FpmlParseException("FpML CDS must be single name or index");
}
