//-------------------------------------------------------------------------
protected internal virtual void testJacobian(LegalEntitySurvivalProbabilities curve, ImmutableCreditRatesProvider ratesProvider, IList <CdsIndexIsdaCreditCurveNode> nodes, double[] quotes)
{
int nNode = nodes.Count;
IsdaCreditDiscountFactors df = (IsdaCreditDiscountFactors)curve.SurvivalProbabilities;
int nCurveNode = df.ParameterCount;
for (int i = 0; i < nCurveNode; ++i)
{
double[] quotesUp = Arrays.copyOf(quotes, nNode);
double[] quotesDw = Arrays.copyOf(quotes, nNode);
quotesUp[i] += EPS;
quotesDw[i] -= EPS;
ImmutableMarketDataBuilder builderCreditUp = MARKET_DATA.toBuilder();
ImmutableMarketDataBuilder builderCreditDw = MARKET_DATA.toBuilder();
for (int j = 0; j < nNode; ++j)
{
builderCreditUp.addValue(nodes[j].ObservableId, quotesUp[j]);
builderCreditDw.addValue(nodes[j].ObservableId, quotesDw[j]);
}
ImmutableMarketData marketDataUp = builderCreditUp.build();
ImmutableMarketData marketDataDw = builderCreditDw.build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(df.Curve.Name, df.Currency, df.ValuationDate, df.DayCount, nodes, false, false);
IsdaCreditDiscountFactors ccUp = (IsdaCreditDiscountFactors)CALIBRATOR.calibrate(definition, marketDataUp, ratesProvider, REF_DATA).SurvivalProbabilities;
IsdaCreditDiscountFactors ccDw = (IsdaCreditDiscountFactors)CALIBRATOR.calibrate(definition, marketDataDw, ratesProvider, REF_DATA).SurvivalProbabilities;
for (int j = 0; j < nNode; ++j)
{
double computed = df.Curve.Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix.get(j, i);
double expected = 0.5 * (ccUp.Curve.YValues.get(j) - ccDw.Curve.YValues.get(j)) / EPS;
assertEquals(computed, expected, EPS * 10d);
}
}
}
public virtual void test_consistency_singleName()
{
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, CURVE_NODES_PS, true, true);
LegalEntitySurvivalProbabilities creditCurveComputed = CALIBRATOR.calibrate(curveDefinition, MARKET_DATA_PS, RATES_PROVIDER, REF_DATA);
NodalCurve curveComputed = (NodalCurve)creditCurveComputed.SurvivalProbabilities.findData(CURVE_NAME).get();
double computedIndex = curveComputed.Metadata.getInfo(CurveInfoType.CDS_INDEX_FACTOR);
assertEquals(computedIndex, 93.0 / 97.0, TOL);
IsdaCompliantCreditCurveCalibrator cdsCalibrator = FastCreditCurveCalibrator.standard();
IList <CdsIsdaCreditCurveNode> cdsNodes = new List <CdsIsdaCreditCurveNode>();
for (int i = 0; i < CURVE_NODES_PS.size(); ++i)
{
cdsNodes.Add(CdsIsdaCreditCurveNode.ofParSpread(CURVE_NODES_PS.get(i).Template, CURVE_NODES_PS.get(i).ObservableId, CURVE_NODES_PS.get(i).CdsIndexId));
ParameterMetadata metadata = curveComputed.getParameterMetadata(i);
assertTrue(metadata is ResolvedTradeParameterMetadata);
ResolvedTradeParameterMetadata tradeMetadata = (ResolvedTradeParameterMetadata)metadata;
assertTrue(tradeMetadata.Trade is ResolvedCdsIndexTrade);
}
IsdaCreditCurveDefinition cdsCurveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, cdsNodes, true, false);
LegalEntitySurvivalProbabilities creditCurveExpected = cdsCalibrator.calibrate(cdsCurveDefinition, MARKET_DATA_PS, RATES_PROVIDER, REF_DATA);
NodalCurve curveExpected = (NodalCurve)creditCurveExpected.SurvivalProbabilities.findData(CURVE_NAME).get();
assertTrue(DoubleArrayMath.fuzzyEquals(curveComputed.XValues.toArray(), curveExpected.XValues.toArray(), TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(curveComputed.YValues.toArray(), curveExpected.YValues.toArray(), TOL));
assertEquals(curveComputed.Metadata.getInfo(CurveInfoType.JACOBIAN), curveExpected.Metadata.getInfo(CurveInfoType.JACOBIAN));
}
//-------------------------------------------------------------------------
/// <summary>
/// Calibrates the ISDA compliant credit curve to the market data.
/// <para>
/// This creates the single credit curve for a legal entity.
/// The curve nodes in {@code IsdaCreditCurveDefinition} should be single-name credit default swaps on this legal entity.
/// </para>
/// <para>
/// The relevant discount curve and recovery rate curve must be stored in {@code ratesProvider}.
/// The day count convention for the resulting credit curve is the same as that of the discount curve.
///
/// </para>
/// </summary>
/// <param name="curveDefinition"> the curve definition </param>
/// <param name="marketData"> the market data </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the ISDA compliant credit curve </returns>
public virtual LegalEntitySurvivalProbabilities calibrate(IsdaCreditCurveDefinition curveDefinition, MarketData marketData, ImmutableCreditRatesProvider ratesProvider, ReferenceData refData)
{
ArgChecker.isTrue(curveDefinition.CurveValuationDate.Equals(ratesProvider.ValuationDate), "ratesProvider and curveDefinition must be based on the same valuation date");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
ImmutableList <CdsIsdaCreditCurveNode> curveNodes = curveDefinition.CurveNodes.Where(n => n is CdsIsdaCreditCurveNode).Select(n => (CdsIsdaCreditCurveNode)n).collect(Guavate.toImmutableList());
return(calibrate(curveNodes, curveDefinition.Name, marketData, ratesProvider, curveDefinition.DayCount, curveDefinition.Currency, curveDefinition.ComputeJacobian, curveDefinition.StoreNodeTrade, refData));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
IsdaCreditCurveDefinition test1 = IsdaCreditCurveDefinition.of(NAME, USD, CURVE_VALUATION_DATE, ACT_ACT_ISDA, NODES, true, true);
coverImmutableBean(test1);
IsdaCreditCurveDefinition test2 = IsdaCreditCurveDefinition.of(CurveName.of("TestCurve1"), EUR, CURVE_VALUATION_DATE.plusDays(1), ACT_365F, NODES.subList(0, 2), false, false);
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
private static ImmutableCreditRatesProvider createRatesProvider(LocalDate tradeDate, LocalDate snapDate, double rateScale, double recoveryRate)
{
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(snapDate);
for (int j = 0; j < NUM_INSTRUMENTS; j++)
{
builder.addValue(QuoteId.of(StandardId.of("OG", ID_VALUES[j])), RATES[j] * rateScale);
}
ImmutableMarketData quotes = builder.build();
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("yield"), EUR, tradeDate, ACT_365F, DSC_NODES, false, false);
IsdaCreditDiscountFactors yc = IsdaCompliantDiscountCurveCalibrator.standard().calibrate(curveDefinition, quotes, REF_DATA);
return(ImmutableCreditRatesProvider.builder().valuationDate(tradeDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, tradeDate, recoveryRate))).creditCurves(ImmutableMap.of()).build());
}
public virtual void parSpreadTest()
{
LocalDate valuationDate = LocalDate.of(2013, 2, 27);
DoubleArray ycTime = DoubleArray.ofUnsafe(new double[] { 0.09041095890410959, 0.1726027397260274, 0.26301369863013696, 0.5123287671232877, 0.7616438356164383, 1.010958904109589, 2.008219178082192, 3.008219178082192, 4.008219178082192, 5.008219178082192, 6.008219178082192, 7.013698630136987, 8.01095890410959, 9.01095890410959, 10.01095890410959, 12.01917808219178, 15.016438356164384, 20.01917808219178, 25.021917808219175, 30.027397260273972 });
DoubleArray ycRate = DoubleArray.ofUnsafe(new double[] { 0.0020651105531615476, 0.0024506037920717797, 0.0028872269869485313, 0.004599628230463427, 0.006160809466806469, 0.0075703969168129295, 0.003965128877560435, 0.005059104202201957, 0.0069669135253734825, 0.009361825469323602, 0.011916895611422482, 0.014311922779901886, 0.016519187063048578, 0.018512121993907647, 0.020289623737560873, 0.02329885162861984, 0.026399509889410745, 0.029087919732133784, 0.03037740056662963, 0.03110021763406523 });
IsdaCreditDiscountFactors yc = IsdaCreditDiscountFactors.of(EUR, valuationDate, CurveName.of("yc_usd"), ycTime, ycRate, ACT_365F);
double[] timeNodeExp = new double[] { 0.5616438356164384, 1.0575342465753426, 2.0575342465753423, 3.0602739726027397, 4.06027397260274, 5.06027397260274, 6.06027397260274, 7.063013698630137, 8.063013698630137, 9.063013698630137, 10.063013698630137 };
double[] rateNodeExp = new double[] { 0.00876054089781935, 0.011037345646850688, 0.015955126945240167, 0.020617953392829177, 0.025787811343896218, 0.030329992053915133, 0.03313419899444371, 0.03528129159875671, 0.03675340516560903, 0.037946169956317416, 0.038951101800190346 };
double[] rateNodeExpMf = new double[] { 0.008754510260229803, 0.011030502992814844, 0.01594817866773906, 0.02060947097554756, 0.025776720596175737, 0.030316032527460755, 0.03311839631615255, 0.03526404051997617, 0.03673513322394772, 0.03792689865945585, 0.03893107891569398 };
ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, valuationDate, 0.25))).creditCurves(ImmutableMap.of()).build();
LocalDate startDate = LocalDate.of(2012, 12, 20);
LocalDate[] pillarDates = new LocalDate[] { LocalDate.of(2013, 9, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2015, 3, 20), LocalDate.of(2016, 3, 20), LocalDate.of(2017, 3, 20), LocalDate.of(2018, 3, 20), LocalDate.of(2019, 3, 20), LocalDate.of(2020, 3, 20), LocalDate.of(2021, 3, 20), LocalDate.of(2022, 3, 20), LocalDate.of(2023, 3, 20) };
int nPillars = pillarDates.Length;
ImmutableMarketDataBuilder builderCredit = ImmutableMarketData.builder(valuationDate);
IList <CdsIsdaCreditCurveNode> nodes = new List <CdsIsdaCreditCurveNode>(nPillars);
double[] quotes = new double[] { 0.006485, 0.008163, 0.011763, 0.015136, 0.018787, 0.021905, 0.023797, 0.025211, 0.02617, 0.026928, 0.027549 };
for (int i = 0; i < nPillars; ++i)
{
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate, pillarDates[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", pillarDates[i].ToString()));
nodes.Add(CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY));
builderCredit.addValue(id, quotes[i]);
}
ImmutableMarketData marketData = builderCredit.build();
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("zz"), EUR, valuationDate, ACT_365F, nodes, true, true);
LegalEntitySurvivalProbabilities cc = BUILDER_ISDA.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurve = ((IsdaCreditDiscountFactors)cc.SurvivalProbabilities).Curve;
for (int i = 0; i < nPillars; ++i)
{
ParameterMetadata param = resCurve.getParameterMetadata(i);
assertTrue(param is ResolvedTradeParameterMetadata);
ResolvedTradeParameterMetadata tradeParam = (ResolvedTradeParameterMetadata)param;
assertTrue(tradeParam.Trade is ResolvedCdsTrade);
}
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.YValues.toArray(), rateNodeExp, TOL));
testJacobian(BUILDER_ISDA, cc, ratesProvider, nodes, quotes, 1d, EPS);
LegalEntitySurvivalProbabilities ccMf = BUILDER_MARKIT.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurveMf = ((IsdaCreditDiscountFactors)ccMf.SurvivalProbabilities).Curve;
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.YValues.toArray(), rateNodeExpMf, TOL));
testJacobian(BUILDER_MARKIT, ccMf, ratesProvider, nodes, quotes, 1d, EPS);
}
public virtual void test_of()
{
IsdaCreditCurveDefinition test = IsdaCreditCurveDefinition.of(NAME, USD, CURVE_VALUATION_DATE, ACT_ACT_ISDA, NODES, true, false);
assertEquals(test.Currency, USD);
assertEquals(test.CurveNodes, NODES);
assertEquals(test.CurveValuationDate, CURVE_VALUATION_DATE);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.ComputeJacobian, true);
assertEquals(test.StoreNodeTrade, false);
DoubleArray time = DoubleArray.of(1, 2, 3);
DoubleArray rate = DoubleArray.of(0.01, 0.014, 0.02);
InterpolatedNodalCurve expectedCurve = InterpolatedNodalCurve.of(Curves.zeroRates(NAME, ACT_ACT_ISDA), time, rate, CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
assertEquals(test.curve(time, rate), expectedCurve);
}
public virtual void test_regression_single()
{
double[] expectedTimes = new double[] { 4.852054794520548 };
double[] expectedRates = new double[] { 0.04666754810728295 };
ImmutableList <CdsIndexIsdaCreditCurveNode> singleNode = CURVE_NODES.subList(1, 2);
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, singleNode, true, false);
LegalEntitySurvivalProbabilities creditCurve = CALIBRATOR.calibrate(curveDefinition, MARKET_DATA, RATES_PROVIDER, REF_DATA);
NodalCurve curve = (NodalCurve)creditCurve.SurvivalProbabilities.findData(CURVE_NAME).get();
assertTrue(DoubleArrayMath.fuzzyEquals(curve.XValues.toArray(), expectedTimes, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(curve.YValues.toArray(), expectedRates, TOL));
assertTrue(curve.getParameterMetadata(0) is DatedParameterMetadata);
double computedIndex = curve.Metadata.getInfo(CurveInfoType.CDS_INDEX_FACTOR);
assertEquals(computedIndex, 93.0 / 97.0, TOL);
testJacobian(creditCurve, RATES_PROVIDER, singleNode, PUF_QUOTES);
}
public virtual void pufTest()
{
LocalDate valuationDate = LocalDate.of(2013, 4, 10);
DoubleArray ycTime = DoubleArray.ofUnsafe(new double[] { 0.09041095890410959, 0.1726027397260274, 0.2547945205479452, 0.5123287671232877, 0.7616438356164383, 1.010958904109589, 2.008219178082192, 3.008219178082192, 4.008219178082192, 5.008219178082192, 6.008219178082192, 7.013698630136987, 8.01095890410959, 9.01095890410959, 10.01095890410959, 12.01917808219178, 15.016438356164384, 20.01917808219178, 25.021917808219175, 30.027397260273972 });
DoubleArray ycRate = DoubleArray.ofUnsafe(new double[] { 0.0020205071813561414, 0.0024226927083852126, 0.00280147037504029, 0.004449041082144009, 0.005821804782808804, 0.007254879152733453, 0.00378133614924816, 0.004815163234294319, 0.006576302084547871, 0.00884241431837336, 0.011358805989279104, 0.013793391727035883, 0.016014197840890115, 0.01801564209277191, 0.019757164421290663, 0.022773295945438254, 0.025862337032619587, 0.02848646344754061, 0.029753383126110852, 0.03045277462637107 });
IsdaCreditDiscountFactors yc = IsdaCreditDiscountFactors.of(EUR, valuationDate, CurveName.of("yc_usd"), ycTime, ycRate, ACT_365F);
double[] timeNodeExp = new double[] { 0.19452054794520549, 0.4465753424657534, 0.6958904109589041, 0.9424657534246575, 1.1945205479452055, 1.4465753424657535, 1.6958904109589041, 1.9424657534246574, 2.1945205479452055, 2.4465753424657533, 2.695890410958904, 2.9452054794520546, 3.197260273972603, 3.4493150684931506, 3.6986301369863015, 3.9452054794520546, 4.197260273972603, 4.449315068493151, 4.698630136986301, 4.945205479452055, 5.197260273972603, 5.449315068493151, 5.698630136986301, 5.945205479452055, 6.197260273972603, 6.449315068493151, 6.698630136986301, 6.947945205479452, 7.2, 7.4520547945205475, 7.701369863013698, 7.947945205479452, 8.2, 8.452054794520548, 8.7013698630137, 8.947945205479453, 9.2, 9.452054794520548, 9.7013698630137, 9.947945205479453, 10.2 };
double[] rateNodeExp = new double[] { 0.11219168510100914, 0.11085321179769615, 0.11753783265486063, 0.11806409789291543, 0.12007843111645247, 0.12273722191216528, 0.12541993298405366, 0.12773640093265545, 0.1290535220739981, 0.13294183149211675, 0.13659302947963856, 0.13988488561043758, 0.1429469312254705, 0.14606538453369572, 0.14916286828444447, 0.15219682906227, 0.1548315745851032, 0.158141193071526, 0.16163981714033765, 0.1650400193930357, 0.1682351993447916, 0.1683744003954113, 0.168657453080796, 0.16915067878510565, 0.1694852880010724, 0.16990705130936645, 0.1704456138969621, 0.17105852486248443, 0.1717088423125347, 0.1727906445582425, 0.17407566745397665, 0.17547300248653266, 0.17679395545074758, 0.17769841457372118, 0.1788064602071617, 0.18001498257267778, 0.18123747758791092, 0.18253661761388457, 0.18406319235262744, 0.18582983758830868, 0.18750386499176422 };
double[] rateNodeExpMf = new double[] { 0.11107220823737506, 0.11011543264900588, 0.11685607164947402, 0.11742079953945683, 0.1194445192166302, 0.12220026187805585, 0.12494798294628297, 0.12731185688090763, 0.12860146674492023, 0.1325216904413876, 0.1362014254649678, 0.13951646788193767, 0.14254141853655264, 0.14567581048732742, 0.1487851622438674, 0.15182838855605538, 0.15442415754322128, 0.15774061191016645, 0.16124288871765308, 0.1646451035564102, 0.167796451103847, 0.16794456750248196, 0.16823438468063495, 0.1687328171292339, 0.16904360885724334, 0.16947020572961907, 0.17001201556723175, 0.17062724832190826, 0.17125190473373603, 0.17233319414449558, 0.17361785479583028, 0.1750136127341691, 0.17630530410589512, 0.17720871748506664, 0.17831270423353415, 0.17951604233911425, 0.18070939732103264, 0.18200162521943403, 0.18351891000003046, 0.1852740041292825, 0.18691086960422418 };
ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, valuationDate, 0.4))).creditCurves(ImmutableMap.of()).build();
LocalDate startDate = LocalDate.of(2013, 3, 20);
LocalDate[] pillarDate = new LocalDate[] { LocalDate.of(2013, 6, 20), LocalDate.of(2013, 9, 20), LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2014, 6, 20), LocalDate.of(2014, 9, 20), LocalDate.of(2014, 12, 20), LocalDate.of(2015, 3, 20), LocalDate.of(2015, 6, 20), LocalDate.of(2015, 9, 20), LocalDate.of(2015, 12, 20), LocalDate.of(2016, 3, 20), LocalDate.of(2016, 6, 20), LocalDate.of(2016, 9, 20), LocalDate.of(2016, 12, 20), LocalDate.of(2017, 3, 20), LocalDate.of(2017, 6, 20), LocalDate.of(2017, 9, 20), LocalDate.of(2017, 12, 20), LocalDate.of(2018, 3, 20), LocalDate.of(2018, 6, 20), LocalDate.of(2018, 9, 20), LocalDate.of(2018, 12, 20), LocalDate.of(2019, 3, 20), LocalDate.of(2019, 6, 20), LocalDate.of(2019, 9, 20), LocalDate.of(2019, 12, 20), LocalDate.of(2020, 3, 20), LocalDate.of(2020, 6, 20), LocalDate.of(2020, 9, 20), LocalDate.of(2020, 12, 20), LocalDate.of(2021, 3, 20), LocalDate.of(2021, 6, 20), LocalDate.of(2021, 9, 20), LocalDate.of(2021, 12, 20), LocalDate.of(2022, 3, 20), LocalDate.of(2022, 6, 20), LocalDate.of(2022, 9, 20), LocalDate.of(2022, 12, 20), LocalDate.of(2023, 3, 20), LocalDate.of(2023, 6, 20) };
int nPillars = pillarDate.Length;
double coupon = 500d * ONE_BP;
ImmutableMarketDataBuilder builderCredit = ImmutableMarketData.builder(valuationDate);
IList <CdsIsdaCreditCurveNode> nodes = new List <CdsIsdaCreditCurveNode>(nPillars);
double[] quotes = new double[] { 0.32, 0.69, 1.32, 1.79, 2.36, 3.01, 3.7, 4.39, 5.02, 5.93, 6.85, 7.76, 8.67, 9.6, 10.53, 11.45, 12.33, 13.29, 14.26, 15.2, 16.11, 16.62, 17.12, 17.62, 18.09, 18.55, 19, 19.44, 19.87, 20.33, 20.79, 21.24, 21.67, 22.04, 22.41, 22.77, 23.12, 23.46, 23.8, 24.14, 24.46 };
for (int i = 0; i < nPillars; ++i)
{
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate, pillarDate[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", pillarDate[i].ToString()));
nodes.Add(CdsIsdaCreditCurveNode.ofPointsUpfront(temp, id, LEGAL_ENTITY, coupon));
builderCredit.addValue(id, quotes[i] * ONE_PC);
}
ImmutableMarketData marketData = builderCredit.build();
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("cc"), EUR, valuationDate, ACT_365F, nodes, true, false);
LegalEntitySurvivalProbabilities cc = BUILDER_ISDA.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurve = ((IsdaCreditDiscountFactors)cc.SurvivalProbabilities).Curve;
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.YValues.toArray(), rateNodeExp, TOL));
testJacobian(BUILDER_ISDA, cc, ratesProvider, nodes, quotes, ONE_PC, EPS);
LegalEntitySurvivalProbabilities ccMf = BUILDER_MARKIT.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurveMf = ((IsdaCreditDiscountFactors)ccMf.SurvivalProbabilities).Curve;
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.YValues.toArray(), rateNodeExpMf, TOL));
testJacobian(BUILDER_MARKIT, ccMf, ratesProvider, nodes, quotes, ONE_PC, EPS);
}
public virtual void test_regression()
{
double[] expectedTimes = new double[] { 2.852054794520548, 4.852054794520548, 6.854794520547945, 9.854794520547944 };
double[] expectedRates = new double[] { 0.03240798261187516, 0.04858422754375164, 0.0616141083562273, 0.06235460926516589 };
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, CURVE_NODES, true, false);
LegalEntitySurvivalProbabilities creditCurve = CALIBRATOR.calibrate(curveDefinition, MARKET_DATA, RATES_PROVIDER, REF_DATA);
NodalCurve curve = (NodalCurve)creditCurve.SurvivalProbabilities.findData(CURVE_NAME).get();
assertTrue(DoubleArrayMath.fuzzyEquals(curve.XValues.toArray(), expectedTimes, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(curve.YValues.toArray(), expectedRates, TOL));
assertTrue(curve.getParameterMetadata(0) is DatedParameterMetadata);
assertTrue(curve.getParameterMetadata(1) is DatedParameterMetadata);
assertTrue(curve.getParameterMetadata(2) is DatedParameterMetadata);
assertTrue(curve.getParameterMetadata(3) is DatedParameterMetadata);
double computedIndex = curve.Metadata.getInfo(CurveInfoType.CDS_INDEX_FACTOR);
assertEquals(computedIndex, 93.0 / 97.0, TOL);
testJacobian(creditCurve, RATES_PROVIDER, CURVE_NODES, PUF_QUOTES);
}
//-------------------------------------------------------------------------
/// <summary>
/// Calibrates the ISDA compliant discount curve to the market data.
/// <para>
/// This creates the single discount curve for a specified currency.
/// The curve nodes in {@code IsdaCreditCurveDefinition} should be term deposit or fixed-for-Ibor swap,
/// and the number of nodes should be greater than 1.
///
/// </para>
/// </summary>
/// <param name="curveDefinition"> the curve definition </param>
/// <param name="marketData"> the market data </param>
/// <param name="refData"> the reference data </param>
/// <returns> the ISDA compliant discount curve </returns>
public IsdaCreditDiscountFactors calibrate(IsdaCreditCurveDefinition curveDefinition, MarketData marketData, ReferenceData refData)
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<? extends com.opengamma.strata.market.curve.IsdaCreditCurveNode> curveNodes = curveDefinition.getCurveNodes();
IList <IsdaCreditCurveNode> curveNodes = curveDefinition.CurveNodes;
int nNodes = curveNodes.Count;
ArgChecker.isTrue(nNodes > 1, "the number of curve nodes must be greater than 1");
LocalDate curveSnapDate = marketData.ValuationDate;
LocalDate curveValuationDate = curveDefinition.CurveValuationDate;
DayCount curveDayCount = curveDefinition.DayCount;
BasicFixedLeg[] swapLeg = new BasicFixedLeg[nNodes];
double[] termDepositYearFraction = new double[nNodes];
double[] curveNodeTime = new double[nNodes];
double[] rates = new double[nNodes];
ImmutableList.Builder <ParameterMetadata> paramMetadata = ImmutableList.builder();
int nTermDeposit = 0;
LocalDate curveSpotDate = null;
for (int i = 0; i < nNodes; i++)
{
LocalDate cvDateTmp;
IsdaCreditCurveNode node = curveNodes[i];
rates[i] = marketData.getValue(node.ObservableId);
LocalDate adjMatDate = node.date(curveSnapDate, refData);
paramMetadata.add(node.metadata(adjMatDate));
if (node is DepositIsdaCreditCurveNode)
{
DepositIsdaCreditCurveNode termDeposit = (DepositIsdaCreditCurveNode)node;
cvDateTmp = termDeposit.SpotDateOffset.adjust(curveSnapDate, refData);
curveNodeTime[i] = curveDayCount.relativeYearFraction(cvDateTmp, adjMatDate);
termDepositYearFraction[i] = termDeposit.DayCount.relativeYearFraction(cvDateTmp, adjMatDate);
ArgChecker.isTrue(nTermDeposit == i, "TermDepositCurveNode should not be after FixedIborSwapCurveNode");
++nTermDeposit;
}
else if (node is SwapIsdaCreditCurveNode)
{
SwapIsdaCreditCurveNode swap = (SwapIsdaCreditCurveNode)node;
cvDateTmp = swap.SpotDateOffset.adjust(curveSnapDate, refData);
curveNodeTime[i] = curveDayCount.relativeYearFraction(cvDateTmp, adjMatDate);
BusinessDayAdjustment busAdj = swap.BusinessDayAdjustment;
swapLeg[i] = new BasicFixedLeg(this, cvDateTmp, cvDateTmp.plus(swap.Tenor), swap.PaymentFrequency.Period, swap.DayCount, curveDayCount, busAdj, refData);
}
else
{
throw new System.ArgumentException("unsupported cuve node type");
}
if (i > 0)
{
ArgChecker.isTrue(curveNodeTime[i] - curveNodeTime[i - 1] > 0, "curve nodes should be ascending in terms of tenor");
ArgChecker.isTrue(cvDateTmp.Equals(curveSpotDate), "spot lag should be common for all of the curve nodes");
}
else
{
ArgChecker.isTrue(curveNodeTime[i] >= 0d, "the first node should be after curve spot date");
curveSpotDate = cvDateTmp;
}
}
ImmutableList <ParameterMetadata> parameterMetadata = paramMetadata.build();
double[] ratesMod = Arrays.copyOf(rates, nNodes);
for (int i = 0; i < nTermDeposit; ++i)
{
double dfInv = 1d + ratesMod[i] * termDepositYearFraction[i];
ratesMod[i] = Math.Log(dfInv) / curveNodeTime[i];
}
InterpolatedNodalCurve curve = curveDefinition.curve(DoubleArray.ofUnsafe(curveNodeTime), DoubleArray.ofUnsafe(ratesMod));
for (int i = nTermDeposit; i < nNodes; ++i)
{
curve = fitSwap(i, swapLeg[i], curve, rates[i]);
}
Currency currency = curveDefinition.Currency;
DoubleMatrix sensi = quoteValueSensitivity(nTermDeposit, termDepositYearFraction, swapLeg, ratesMod, curve, curveDefinition.ComputeJacobian);
if (curveValuationDate.isEqual(curveSpotDate))
{
if (curveDefinition.ComputeJacobian)
{
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curveDefinition.Name, nNodes)), MATRIX_ALGEBRA.getInverse(sensi));
NodalCurve curveWithParamMetadata = curve.withMetadata(curve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian).withParameterMetadata(parameterMetadata));
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, curveWithParamMetadata));
}
NodalCurve curveWithParamMetadata = curve.withMetadata(curve.Metadata.withParameterMetadata(parameterMetadata));
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, curveWithParamMetadata));
}
double offset = curveDayCount.relativeYearFraction(curveSpotDate, curveValuationDate);
return(IsdaCreditDiscountFactors.of(currency, curveValuationDate, withShift(curve, parameterMetadata, sensi, curveDefinition.ComputeJacobian, offset)));
}
public virtual void test_serialization()
{
IsdaCreditCurveDefinition test = IsdaCreditCurveDefinition.of(NAME, USD, CURVE_VALUATION_DATE, ACT_ACT_ISDA, NODES, true, true);
assertSerialization(test);
}
