public double pvPremiumLegCreditSensitivity(
CDS cds,
YieldTermStructure yieldCurve,
PiecewiseconstantHazardRate creditCurve,
int creditCurveNode)
{
if (cds.getProtectionEnd() <= 0.0)
{ //short cut already expired CDSs
return(0.0);
}
int n = cds.getNumPayments();
double pvSense = 0.0;
for (int i = 0; i < n; i++)
{
CdsCoupon c = cds.getCoupon(i);
double paymentTime = c.getPaymentTime();
double creditObsTime = c.getEffEnd();
double dqdh = creditCurve.getSingleNodeDiscountFactorSensitivity(creditObsTime, creditCurveNode);
if (dqdh == 0)
{
continue;
}
double p = Math.Exp(-yieldCurve.getRT_(paymentTime));
pvSense += c.getYearFrac() * p * dqdh;
}
if (cds.isPayAccOnDefault())
{
double start = cds.getNumPayments() == 1 ? cds.getEffectiveProtectionStart() : cds.getAccStart();
double[] integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(start, cds.getProtectionEnd(), yieldCurve, creditCurve);
double accPVSense = 0.0;
for (int i = 0; i < n; i++)
{
accPVSense += calculateSinglePeriodAccrualOnDefaultCreditSensitivity(
cds.getCoupon(i),
cds.getEffectiveProtectionStart(), integrationSchedule, yieldCurve, creditCurve, creditCurveNode);
}
pvSense += accPVSense;
}
double df = Math.Exp(-yieldCurve.getRT_(cds.getCashSettleTime()));
pvSense /= df;
return(pvSense);
}
public CouponOnlyElement(CdsCoupon coupon, YieldTermStructure yieldCurve, int creditCurveKnot)
{
_riskLessValue = coupon.getYearFrac() * Math.Exp(-yieldCurve.getRT_(coupon.getPaymentTime()));
_effEnd = coupon.getEffEnd();
_creditCurveKnot = creditCurveKnot;
}