/**
* Imply a single (pseudo) credit curve for an index that will give the same index values
* at a set of terms (supplied via pillarCDS) as the intrinsic value.
*
* @param pillarCDS Point to build the curve
* @param indexCoupon The index coupon
* @param yieldCurve The current yield curves
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return A (pseudo) credit curve for an index
*/
public PiecewiseconstantHazardRate impliedIndexCurve(
CDS[] pillarCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
int n = pillarCDS.Length;
double[] puf = new double[n];
double indexFactor = intrinsicData.getIndexFactor();
for (int i = 0; i < n; i++)
{
// PUF are always given for full index
puf[i] = indexPV(pillarCDS[i], indexCoupon, yieldCurve, intrinsicData) / indexFactor;
}
CreditCurveCalibrator calibrator = new CreditCurveCalibrator(pillarCDS, yieldCurve);
double[] coupons = new double[n];
Array.ConvertAll <double, double>(coupons, b => b = indexCoupon);
return(calibrator.calibrate(coupons, puf));
}
/**
* The average spread of a CDS portfolio (index), defined as the weighted average of the
* (implied) par spreads of the constituent names.
*
* @see #intrinsicIndexSpread
* @param indexCDS representation of the index cashflows (seen from today).
* @param yieldCurve The current yield curves
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return The average spread
*/
public double averageSpread(
CDS indexCDS,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
CDS cds = indexCDS.withRecoveryRate(0.0);
int n = intrinsicData.getIndexSize();
double sum = 0;
for (int i = 0; i < n; i++)
{
if (!intrinsicData.isDefaulted(i))
{
double protLeg = intrinsicData.getLGD(i) * _pricer.protectionLeg(cds, yieldCurve, intrinsicData.getCreditCurve(i));
double annuity = _pricer.annuity(cds, yieldCurve, intrinsicData.getCreditCurve(i));
double s = protLeg / annuity;
sum += intrinsicData.getWeight(i) * s;
}
}
sum /= intrinsicData.getIndexFactor();
return(sum);
}
/**
* The Points-Up-Front (PUF) of an index. This is the (clean) price of a unit notional index.
* The actual clean price is this multiplied by the (current) index notional
* (i.e. the initial notional times the index factor).
*
* @param indexCDS analytic description of a CDS traded at a certain time
* @param indexCoupon The coupon of the index (as a fraction)
* @param yieldCurve The yield curve
* @param intrinsicData credit curves, weights and recover
* @return PUF of an index
*/
public double indexPUF(
CDS indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
return(indexPV(indexCDS, indexCoupon, yieldCurve, intrinsicData) / intrinsicData.getIndexFactor());
}
private Func <double, double> getHazardRateAdjFunction(
double indexPUF,
CDS indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
PiecewiseconstantHazardRate[] creditCurves = intrinsicData.getCreditCurves();
double clean = intrinsicData.getIndexFactor() * indexPUF;
Func <double, double> function = x => _pricer.indexPV(indexCDS, indexCoupon,
yieldCurve, intrinsicData.withCreditCurves(adjustCurves(creditCurves, x))) - clean;
return(function);
}
public void testMethod()
{
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();
}
int accrualDays = targentCDX.getAccuredDays();
double accruedPremium = targentCDX.getAccruedPremium(INDEX_COUPON) * INTRINSIC_DATA.getIndexFactor() * NOTIONAL; // indexFactor = (initialIndexSize - numDefaults) / initialIndexSize
/*
* 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,
INTRINSIC_DATA);
double cleanPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves) * NOTIONAL; // should be consistent with 1 - PRICES[pos]
double dirtyPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves, CdsPriceType.DIRTY) * NOTIONAL;
double expectedLoss = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), adjCurves) * NOTIONAL;
double cleanRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurves);
double dirtyRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurves, CdsPriceType.DIRTY);
double durationWeightedAverageSpread = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, adjCurves) *
TEN_THOUSAND;
double 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;
}
double[] recovery01 = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves);
for (int i = 0; i < recovery01.Length; ++i)
{
recovery01[i] *= NOTIONAL;
}
}
public void testMethod1()
{
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();
}
IntrinsicIndexDataBundle dataDefaulted = INTRINSIC_DATA;
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.
*/
double cleanPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted) * NOTIONAL;
double dirtyPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted, CdsPriceType.DIRTY) * NOTIONAL; // should be consistent with 1 - PRICES[pos]
double expectedLoss = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), dataDefaulted) * NOTIONAL;
double cleanRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, dataDefaulted);
double dirtyRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, dataDefaulted, CdsPriceType.DIRTY);
double durationWeightedAverageSpread = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, dataDefaulted) *
TEN_THOUSAND;
double parallelIR01 = INDEX_CAL.parallelIR01(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted) * NOTIONAL;
double[] jumpToDefault = INDEX_CAL.jumpToDefault(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted);
for (int i = 0; i < jumpToDefault.Length; ++i)
{
jumpToDefault[i] *= NOTIONAL;
}
double[] recovery01 = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, dataDefaulted);
for (int i = 0; i < recovery01.Length; ++i)
{
recovery01[i] *= NOTIONAL;
}
IntrinsicIndexDataBundle adjCurvesAll = PSA.adjustCurves(indexPUF, CDX, INDEX_COUPON, YIELD_CURVE,
dataDefaulted);
double cleanPVAll = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll) * NOTIONAL;
double dirtyPVAll = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll, CdsPriceType.DIRTY) *
NOTIONAL; // should be consistent with 1 - PRICES[pos]
double expectedLossAll = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), adjCurvesAll) *
NOTIONAL;
double cleanRPV01All = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurvesAll);
double dirtyRPV01All = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurvesAll, CdsPriceType.DIRTY);
double durationWeightedAverageSpreadAll = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, adjCurvesAll) *
TEN_THOUSAND;
double parallelIR01All = INDEX_CAL.parallelIR01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll) * NOTIONAL;
double[] jumpToDefaultAll = INDEX_CAL.jumpToDefault(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll);
for (int i = 0; i < jumpToDefaultAll.Length; ++i)
{
jumpToDefaultAll[i] *= NOTIONAL;
}
double[] recovery01All = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll);
for (int i = 0; i < recovery01All.Length; ++i)
{
recovery01All[i] *= NOTIONAL;
}
PiecewiseconstantHazardRate indexCurve = (new Commons.FastCreditCurveBuilder()).calibrateCreditCurve(targentCDX,
INDEX_COUPON, YIELD_CURVE, indexPUF[pos]); // single node index curve, indexFactors cancel out
double cleanPriceIndexCurve = PRICER_OG_FIX.pv(targentCDX, YIELD_CURVE, indexCurve, INDEX_COUPON) *
dataDefaulted.getIndexFactor() * NOTIONAL;
double dirtyPriceIndexCurve = PRICER_OG_FIX.pv(targentCDX, YIELD_CURVE, indexCurve, INDEX_COUPON,
CdsPriceType.DIRTY) * dataDefaulted.getIndexFactor() * NOTIONAL;
double cleanRPV01IndexCurve = PRICER_OG_FIX.annuity(targentCDX, YIELD_CURVE, indexCurve) *
dataDefaulted.getIndexFactor();
double dirtyRPV01IndexCurve = PRICER_OG_FIX.annuity(targentCDX, YIELD_CURVE, indexCurve, CdsPriceType.DIRTY) *
dataDefaulted.getIndexFactor();
double spreadIndexCurve = PRICER_OG_FIX.parSpread(targentCDX, YIELD_CURVE, indexCurve) * TEN_THOUSAND;
}
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;
}
}