//-------------------------------------------------------------------------
public override NodalCurve calibrate(IList <ResolvedCdsTrade> calibrationCDSs, DoubleArray premiums, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
{
int n = calibrationCDSs.Count;
double[] guess = new double[n];
double[] t = new double[n];
double[] lgd = new double[n];
for (int i = 0; i < n; i++)
{
LocalDate endDate = calibrationCDSs[i].Product.ProtectionEndDate;
t[i] = discountFactors.relativeYearFraction(endDate);
lgd[i] = 1d - recoveryRates.recoveryRate(endDate);
guess[i] = (premiums.get(i) + pointsUpfront.get(i) / t[i]) / lgd[i];
}
DoubleArray times = DoubleArray.ofUnsafe(t);
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).curveName(name).dayCount(discountFactors.DayCount).build();
NodalCurve creditCurve = n == 1 ? ConstantNodalCurve.of(baseMetadata, t[0], guess[0]) : InterpolatedNodalCurve.of(baseMetadata, times, DoubleArray.ofUnsafe(guess), CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
for (int i = 0; i < n; i++)
{
System.Func <double, double> func = getPriceFunction(i, calibrationCDSs[i], premiums.get(i), pointsUpfront.get(i), valuationDate, creditCurve, discountFactors, recoveryRates, refData);
double[] bracket = BRACKER.getBracketedPoints(func, 0.8 * guess[i], 1.25 * guess[i], 0.0, double.PositiveInfinity);
double zeroRate = bracket[0] > bracket[1] ? ROOTFINDER.getRoot(func, bracket[1], bracket[0]) : ROOTFINDER.getRoot(func, bracket[0], bracket[1]); //Negative guess handled
creditCurve = creditCurve.withParameter(i, zeroRate);
}
return(creditCurve);
}
internal virtual double recoveryRate(ResolvedCds cds, CreditRatesProvider ratesProvider)
{
RecoveryRates recoveryRates = ratesProvider.recoveryRates(cds.LegalEntityId);
ArgChecker.isTrue(recoveryRates is ConstantRecoveryRates, "recoveryRates must be ConstantRecoveryRates");
return(recoveryRates.recoveryRate(cds.ProtectionEndDate));
}
//-------------------------------------------------------------------------
public override NodalCurve calibrate(IList <ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
{
int n = calibrationCDSs.Count;
double[] guess = new double[n];
double[] t = new double[n];
double[] lgd = new double[n];
for (int i = 0; i < n; i++)
{
LocalDate endDate = calibrationCDSs[i].Product.ProtectionEndDate;
t[i] = discountFactors.relativeYearFraction(endDate);
lgd[i] = 1d - recoveryRates.recoveryRate(endDate);
guess[i] = (flactionalSpreads.get(i) + pointsUpfront.get(i) / t[i]) / lgd[i];
}
DoubleArray times = DoubleArray.ofUnsafe(t);
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).curveName(name).dayCount(discountFactors.DayCount).build();
NodalCurve creditCurve = n == 1 ? ConstantNodalCurve.of(baseMetadata, t[0], guess[0]) : InterpolatedNodalCurve.of(baseMetadata, times, DoubleArray.ofUnsafe(guess), CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
for (int i = 0; i < n; i++)
{
ResolvedCds cds = calibrationCDSs[i].Product;
LocalDate stepinDate = cds.StepinDateOffset.adjust(valuationDate, refData);
LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
LocalDate settlementDate = calibrationCDSs[i].Info.SettlementDate.orElse(cds.SettlementDateOffset.adjust(valuationDate, refData));
double accrued = cds.accruedYearFraction(stepinDate);
Pricer pricer = new Pricer(this, cds, discountFactors, times, flactionalSpreads.get(i), pointsUpfront.get(i), lgd[i], stepinDate, effectiveStartDate, settlementDate, accrued);
System.Func <double, double> func = pricer.getPointFunction(i, creditCurve);
switch (ArbitrageHandling)
{
case IGNORE:
{
try
{
double[] bracket = BRACKETER.getBracketedPoints(func, 0.8 * guess[i], 1.25 * guess[i], double.NegativeInfinity, double.PositiveInfinity);
double zeroRate = bracket[0] > bracket[1] ? ROOTFINDER.getRoot(func, bracket[1], bracket[0]) : ROOTFINDER.getRoot(func, bracket[0], bracket[1]); //Negative guess handled
creditCurve = creditCurve.withParameter(i, zeroRate);
}
//JAVA TO C# CONVERTER WARNING: 'final' catch parameters are not available in C#:
//ORIGINAL LINE: catch (final com.opengamma.strata.math.MathException e)
catch (MathException e)
{ //handling bracketing failure due to small survival probability
if (Math.Abs(func(creditCurve.YValues.get(i - 1))) < 1.e-12)
{
creditCurve = creditCurve.withParameter(i, creditCurve.YValues.get(i - 1));
}
else
{
throw new MathException(e);
}
}
break;
}
case FAIL:
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double minValue = i == 0 ? 0d : creditCurve.getYValues().get(i - 1) * creditCurve.getXValues().get(i - 1) / creditCurve.getXValues().get(i);
double minValue = i == 0 ? 0d : creditCurve.YValues.get(i - 1) * creditCurve.XValues.get(i - 1) / creditCurve.XValues.get(i);
if (i > 0 && func(minValue) > 0.0)
{ //can never fail on the first spread
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final StringBuilder msg = new StringBuilder();
StringBuilder msg = new StringBuilder();
if (pointsUpfront.get(i) == 0.0)
{
msg.Append("The par spread of " + flactionalSpreads.get(i) + " at index " + i);
}
else
{
msg.Append("The premium of " + flactionalSpreads.get(i) + "and points up-front of " + pointsUpfront.get(i) + " at index " + i);
}
msg.Append(" is an arbitrage; cannot fit a curve with positive forward hazard rate. ");
throw new System.ArgumentException(msg.ToString());
}
guess[i] = Math.Max(minValue, guess[i]);
double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, double.PositiveInfinity);
double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]).Value;
creditCurve = creditCurve.withParameter(i, zeroRate);
break;
}
case ZERO_HAZARD_RATE:
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double minValue = i == 0 ? 0.0 : creditCurve.getYValues().get(i - 1) * creditCurve.getXValues().get(i - 1) / creditCurve.getXValues().get(i);
double minValue = i == 0 ? 0.0 : creditCurve.YValues.get(i - 1) * creditCurve.XValues.get(i - 1) / creditCurve.XValues.get(i);
if (i > 0 && func(minValue) > 0.0)
{ //can never fail on the first spread
creditCurve = creditCurve.withParameter(i, minValue);
}
else
{
guess[i] = Math.Max(minValue, guess[i]);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, Double.POSITIVE_INFINITY);
double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, double.PositiveInfinity);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]);
double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]).Value;
creditCurve = creditCurve.withParameter(i, zeroRate);
}
break;
}
default:
throw new System.ArgumentException("unknown case " + ArbitrageHandling);
}
}
return(creditCurve);
}
