/**
* 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));
}
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);
}
