public CDXTest()
{
int a = 1;
CdsAnalyticFactory FACTORY = new CdsAnalyticFactory(INDEX_RECOVERY);
CDX = FACTORY.makeCdx(TRADE_DATE, CDSIndexProvider.INDEX_TENORS);
}
//Constructor
public Index_Pricing()
{
//User Input of Trade Date
TRADE_DATE = new DateTime(2014, 2, 13);
NOTIONAL = 1.0e6;
//Contract Detail
Read_Contract();
//Index Market Data
PRICES = CDSIndexProvider.CDX_NA_HY_20140213_PRICES;
PILLAR_PUF = new PointsUpFront[PRICES.Length];
//Build the Interest Rate Curve
Build_yield_curve(TRADE_DATE);
//Read constituent features, build credit curves
Build_credit_curves(TRADE_DATE);
//Build Index data bundle
INTRINSIC_DATA = new IntrinsicIndexDataBundle(CREDIT_CURVES, RECOVERY_RATES);
//Create CDX class
CdsAnalyticFactory FACTORY = new CdsAnalyticFactory(INDEX_RECOVERY);
CDX = FACTORY.makeCdx(TRADE_DATE, CDSIndexProvider.INDEX_TENORS);
}
public Index_Pricing_725()
{
TRADE_DATE = new DateTime(2016, 7, 25);
NOTIONAL = 1.0e6;
//Contract Detail
Read_Contract();
//Index Market Data
PRICES = CDSIndexProvider.CDX_NA_HY_20160725_PRICES;
PILLAR_PUF = new PointsUpFront[PRICES.Length];
//Build the Interest Rate Curve
Build_yield_curve(TRADE_DATE);
//Read constituent features, build credit curves
Build_credit_curves(TRADE_DATE);
//Build Index data bundle
INTRINSIC_DATA = new IntrinsicIndexDataBundle(CREDIT_CURVES, RECOVERY_RATES);
weights_ = new double[component_num];
weights_ = Enumerable.Repeat((double)1.0 / component_num, component_num).ToArray();
INTRINSIC_DATA._weights = weights_;
//Create CDX class
CdsAnalyticFactory FACTORY = new CdsAnalyticFactory(INDEX_RECOVERY);
int[] CDX_Tenor = new int[] { 12, 24, 36, 60, 84, 120 };
CDX = FACTORY.makeCdx(TRADE_DATE, CDX_Tenor);
}
public static PiecewiseconstantHazardRate[] buildCreditCurves(DateTime tradeDate, double[,] parSpreads, double[] recoveryRates, int[] tenors,
YieldTermStructure yieldCurve)
{
CdsAnalyticFactory factory = new CdsAnalyticFactory(0.0);
CDS[] pillarCDS = factory.makeImmCds(tradeDate, CDX_HY_TENORS);
int indexSize = parSpreads.GetLength(0);
PiecewiseconstantHazardRate[] creditCurves = new PiecewiseconstantHazardRate[indexSize];
//this section of code is hugely wasteful. If we do this for real (i.e. not just in a test), must improve
for (int i = 0; i < indexSize; i++)
{
int m = parSpreads.GetLength(1);
double[] spreads = new double[m];
for (int j = 0; j < m; j++)
{
spreads[j] = parSpreads[i, j];
}
int nPillars = spreads.Length;
CDS[] tempCDS = new CDS[nPillars];
double[] tempSpreads = new double[nPillars];
int count = 0;
for (int j = 0; j < nPillars; j++)
{
if (!double.IsNaN(parSpreads[i, j]))
{
tempCDS[count] = pillarCDS[j].withRecoveryRate(recoveryRates[i]);
tempSpreads[count] = spreads[j];
count++;
}
}
CDS[] calCDS = null;
double[] calSpreads = null;
if (count == nPillars)
{
calCDS = tempCDS;
calSpreads = tempSpreads;
}
else
{
calCDS = new CDS[count];
calSpreads = new double[count];
Array.Copy(tempCDS, 0, calCDS, 0, count);
Array.Copy(tempSpreads, 0, calSpreads, 0, count);
}
CreditCurveCalibrator calibrator = new CreditCurveCalibrator(calCDS, yieldCurve);
creditCurves[i] = calibrator.calibrate(calSpreads);
}
return(creditCurves);
}
public CDS(double Coupon, double notional, DateTime maturity, DateTime firstpaymentday, DateTime tradedate,
DateTime formerpaymentday, string frequency, double recovery, int settlement, int Cashsettlement)
{
// Product Setup
OMLib.Conventions.DayCount.Actual360 AccuralDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
Calendar calendar = new UnitedStates();
formerpaymentday = calendar.adjust(formerpaymentday, BusinessDayConvention.Following);
int accrued = AccuralDCC.DayCount(formerpaymentday, calendar.adjust(tradedate, BusinessDayConvention.Following)) + 1;
this.accruedday = accrued;
this.marketvalue = new double();
this.accruedamt = notional * Coupon * accrued / 360;
this.Notional = notional;
this._payAccOnDefault = true;
OMLib.Conventions.BusinessDayConvention convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate);
this.tradedate = calendar.adjust(tradedate, BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Recovery = recovery;
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, firstpaymentday);
this.firstpaymentdate = CdsAnalyticFactory.getNextIMMDate(tradedate); /*convention.AdjustedDate;*/
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, formerpaymentday);
this.formerpaymentdate = CdsAnalyticFactory.getPrevIMMDate(tradedate);//calendar.adjust(formerpaymentday,BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Maturity = maturity;
this.PremiumRate = Coupon;
this.Frequency = frequency;
this.Cashsettlement = Cashsettlement;
DateTime valueDate = calendar.adjust(tradedate.AddDays(Cashsettlement));
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate.AddDays(3));
this.evalDate = calendar.adjust(tradedate.AddDays(settlement), BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Payment_Schedule = PremiumDates(this.Maturity, CdsAnalyticFactory.getNextIMMDate(tradedate), this.Frequency);
QLNet.Calendar.OrthodoxImpl cal = new Calendar.OrthodoxImpl();
IsdaPremiumLegSchedule paymentSchedule = new IsdaPremiumLegSchedule(formerpaymentdate, maturity, payment_interval, StubConvention.SHORT_INITIAL, QLNet.BusinessDayConvention.ModifiedFollowing, cal, true);
_coupons = CdsCoupon.makeCoupons(tradedate, paymentSchedule, true, ACT_360, ACT_365);
OMLib.Conventions.DayCount.Actual365 CurveDCC = new OMLib.Conventions.DayCount.Actual365();
DateTime effectiveStartDate = tradedate;
_accStart = DateTime.Compare(formerpaymentdate, tradedate) < 0 ?-CurveDCC.YearFraction(formerpaymentdate, tradedate) :
CurveDCC.YearFraction(tradedate, formerpaymentdate);
_cashSettlementTime = CurveDCC.YearFraction(tradedate, valueDate);
_effectiveProtectionStart = DateTime.Compare(effectiveStartDate, tradedate) < 0 ?
-CurveDCC.YearFraction(effectiveStartDate, tradedate) :
CurveDCC.YearFraction(tradedate, effectiveStartDate);
_protectionEnd = CurveDCC.YearFraction(tradedate, maturity);
DateTime accStart = paymentSchedule.getAccStartDate(0);
}
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;
}
}
