/**
* The value of the annuity (or RPV01 - the premium leg per unit of coupon) at a specified valuation time.
* The actual value of the leg is this multiplied by the notional and the fractional coupon (i.e. coupon
* in basis points divided by 10,000).
* <p>
* If this is a spot starting CDS (effective protection start = 0) then cash flows from premium payments
* and accrual-on-default are risky discounted to t=0 ('today'), then rolled forward (risk-free) to the
* valuation time; if the annuity is requested clean, the accrued premium (paid at the cash-settle time) is
* rolled (again risk-free) to the valuation time; the absolute value of this amount is subtracted from the
* other cash flows to give the clean annuity.
* <p>
* If this is a forward starting CDS (effective protection start > 0), then the premium payments are again
* risky discounted to t=0; if the annuity is requested clean, the accrued premium is risk-free discounted
* to the effective protection start, then risky discounted to t=0 - this gives the t=0 value of the annuity
* including the chance that a default occurs before protection starts.
* <p>
* If valuationTime > 0, the value of the annuity is rolled forward (risk-free) to that time.
* To compute the Expected value of the annuity conditional on no default before the valuationTime,
* one must divide this number by the survival probability to the valuationTime (for unit coupon).
*
* @param cds the analytic description of a CDS traded at a certain time
* @param yieldCurve the yield (or discount) curve
* @param creditCurve the credit (or survival) curve
* @param cleanOrDirty the clean or dirty price
* @param valuationTime the valuation time
* @return 10,000 times the RPV01 (on a notional of 1)
*/
public double Annuity(CDS cds, PiecewiseconstantHazardRate hazard,
YieldTermStructure yt, CdsPriceType cleanOrDirt)
{
List <CashFlow> cf = cds.FixLeg;
DateTime tradedate = cds.tradedate;
DateTime settlementDate = tradedate.AddDays(cds.Cashsettlement);
double recoveryrate = cds.Recovery;
DateTime Stepindate = tradedate.AddDays(1);
OMLib.Conventions.DayCount.Actual360 dc = new OMLib.Conventions.DayCount.Actual360();
double notional = cds.Notional;
double coupon = cds.PremiumRate;
DateTime lastpayment = cds.formerpaymentdate;
if (cf.Count() == 0)
{
return(0.0);
}
double ita = (double)365 / 360;
double totalNPV = 0.0;
for (int i = 0; i < cf.Count; ++i)
{
totalNPV += cf[i].Amount * cf[i].DiscountFactor * cf[i].Survivalprobability;
}
double accrualpaidondefault = calculateSinglePeriodAccrualOnDefault(cds, yt, hazard);
totalNPV += ita * coupon * accrualpaidondefault * notional / yt.discount(tradedate.AddDays(3));
Calendar calendar = new UnitedStates();
return(totalNPV / yt.discount(settlementDate));
}
public double ProtectionLegNPV_Exact(List <CashFlow> cf, double notional, PiecewiseconstantHazardRate hazard,
YieldTermStructure yt, DateTime tradedate, DateTime settlementDate, double recoveryrate, List <DateTime> Jumps, List <DateTime> creditCurveKnot)
{
DateTime Stepindate = tradedate.AddDays(1);
OMLib.Conventions.DayCount.Actual360 dc = new OMLib.Conventions.DayCount.Actual360();
if (cf.Count() == 0)
{
return(0.0);
}
DateTime t0 = tradedate;
DateTime T = cf.Last().CashFlowDate;
List <DateTime> JumpNodes = new List <DateTime>();
JumpNodes.Add(t0);
for (int j = 0; j < Jumps.Count; j++)
{
if ((DateTime.Compare(Jumps[j], T) < 0))
{
JumpNodes.Add(Jumps[j]);
}
}
JumpNodes.Add(T);
double ht0 = hazard.getRT(JumpNodes[0]);
double rt0 = yt.getRT(JumpNodes[0]);
double b0 = Math.Exp(-ht0 - rt0); // risky discount factor
double pv = 0.0;
double dPV = 0.0;
for (int i = 1; i < JumpNodes.Count; ++i)
{
double ht1 = hazard.getRT(JumpNodes[i]);
double rt1 = yt.getRT(JumpNodes[i]);
double b1 = Math.Exp(-ht1 - rt1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
// The formula has been modified from ISDA (but is equivalent) to avoid log(exp(x)) and explicitly
// calculating the time step - it also handles the limit
if (Math.Abs(dhrt) < 1e-5)
{
dPV = dht * b0 * (Math.Exp(-dhrt) - 1) / (-dhrt);
}
else
{
dPV = (b0 - b1) * dht / dhrt;
}
pv += dPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
return(pv * notional * (1 - recoveryrate) / yt.discount(settlementDate));
}
/// <summary>
/// A date based description of a CDS accrual period.
/// </summary>
/// <param name="accStart"> the start date of the period </param>
/// <param name="accEnd"> the end date of the period </param>
/// <param name="paymentDate"> the payment date for the period </param>
/// <param name="accrualDCC"> the day count used for the accrual </param>
public CdsCouponDes(DateTime accStart, DateTime accEnd, DateTime paymentDate, Enums.DayCount accrualDCC)
{
_accStart = accStart;
_accEnd = accEnd;
_paymentDate = paymentDate;
OMLib.Conventions.DayCount.Actual360 accDCC = new OMLib.Conventions.DayCount.Actual360();
_yearFrac = accDCC.YearFraction(accStart, accEnd);
}
public CDS(double Coupon, double notional, DateTime maturity, DateTime firstpaymentday, DateTime tradedate,
DateTime formerpaymentday, string frequency, double recovery, int settlement, int Cashsettlement)
{
// Product Setup
OMLib.Conventions.DayCount.Actual360 AccuralDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
Calendar calendar = new UnitedStates();
formerpaymentday = calendar.adjust(formerpaymentday, BusinessDayConvention.Following);
int accrued = AccuralDCC.DayCount(formerpaymentday, calendar.adjust(tradedate, BusinessDayConvention.Following)) + 1;
this.accruedday = accrued;
this.marketvalue = new double();
this.accruedamt = notional * Coupon * accrued / 360;
this.Notional = notional;
this._payAccOnDefault = true;
OMLib.Conventions.BusinessDayConvention convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate);
this.tradedate = calendar.adjust(tradedate, BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Recovery = recovery;
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, firstpaymentday);
this.firstpaymentdate = CdsAnalyticFactory.getNextIMMDate(tradedate); /*convention.AdjustedDate;*/
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, formerpaymentday);
this.formerpaymentdate = CdsAnalyticFactory.getPrevIMMDate(tradedate);//calendar.adjust(formerpaymentday,BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Maturity = maturity;
this.PremiumRate = Coupon;
this.Frequency = frequency;
this.Cashsettlement = Cashsettlement;
DateTime valueDate = calendar.adjust(tradedate.AddDays(Cashsettlement));
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate.AddDays(3));
this.evalDate = calendar.adjust(tradedate.AddDays(settlement), BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Payment_Schedule = PremiumDates(this.Maturity, CdsAnalyticFactory.getNextIMMDate(tradedate), this.Frequency);
QLNet.Calendar.OrthodoxImpl cal = new Calendar.OrthodoxImpl();
IsdaPremiumLegSchedule paymentSchedule = new IsdaPremiumLegSchedule(formerpaymentdate, maturity, payment_interval, StubConvention.SHORT_INITIAL, QLNet.BusinessDayConvention.ModifiedFollowing, cal, true);
_coupons = CdsCoupon.makeCoupons(tradedate, paymentSchedule, true, ACT_360, ACT_365);
OMLib.Conventions.DayCount.Actual365 CurveDCC = new OMLib.Conventions.DayCount.Actual365();
DateTime effectiveStartDate = tradedate;
_accStart = DateTime.Compare(formerpaymentdate, tradedate) < 0 ?-CurveDCC.YearFraction(formerpaymentdate, tradedate) :
CurveDCC.YearFraction(tradedate, formerpaymentdate);
_cashSettlementTime = CurveDCC.YearFraction(tradedate, valueDate);
_effectiveProtectionStart = DateTime.Compare(effectiveStartDate, tradedate) < 0 ?
-CurveDCC.YearFraction(effectiveStartDate, tradedate) :
CurveDCC.YearFraction(tradedate, effectiveStartDate);
_protectionEnd = CurveDCC.YearFraction(tradedate, maturity);
DateTime accStart = paymentSchedule.getAccStartDate(0);
}
public double PremiumLegNPV_Exact(CDS cds, PiecewiseconstantHazardRate hazard,
YieldTermStructure yt, DateTime tradedate, DateTime settlementDate, double notional, double coupon, List <double> Jumps, DateTime lastpayment)
{
double ita = (double)365 / 360;
double totalNPV = 0.0;
CdsCoupon[] cf = cds.getCoupons();
for (int i = 0; i < cf.Length; ++i)
{
totalNPV += cf[i].getYearFrac() * notional * Math.Exp(-hazard.getRT_(cf[i].getEffEnd()))
* Math.Exp(-yt.getRT_(cf[i].getEffEnd()));
}
double accrualpaidondefault = calculateSinglePeriodAccrualOnDefault(cf, coupon, tradedate, yt, hazard, lastpayment);
totalNPV += ita * coupon * accrualpaidondefault * notional / yt.discount(tradedate.AddDays(3));
OMLib.Conventions.DayCount.Actual360 dc = new OMLib.Conventions.DayCount.Actual360();
Calendar calendar = new UnitedStates();
return(totalNPV / Math.Exp(-yt.getRT_(cds.getCashSettleTime())));
}
public BasicFixedLeg(
DateTime spotDate,
DateTime mat,
int swapInterval
)
{
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates cal = new QLNet.UnitedStates();
List <DateTime> list = new List <DateTime>();
DateTime tDate = mat;
int step = 1;
while (DateTime.Compare(tDate, spotDate) > 0)
{
list.Add(tDate);
tDate = mat.AddMonths(-swapInterval * (step++));
}
// remove spotDate from list, if it ends up there
list.Remove(spotDate);
_nPayments = list.Count();
_swapPaymentTimes = new double[_nPayments];
_yearFraction = new double[_nPayments];
DateTime prev = spotDate;
int j = _nPayments - 1;
for (int i = 0; i < _nPayments; i++, j--)
{
DateTime current = list[j];
DateTime adjCurr = cal.adjust(current, QLNet.BusinessDayConvention.Following);
_yearFraction[i] = swapDCC.YearFraction(prev, adjCurr);
_swapPaymentTimes[i] = curveDCC.YearFraction(spotDate, adjCurr); // Payment times always good business days
prev = adjCurr;
}
}
public double PremiumLegNPV_Exact(List <CashFlow> cf, PiecewiseconstantHazardRate hazard,
YieldTermStructure yt, DateTime tradedate, DateTime settlementDate, double notional, double coupon, List <DateTime> Jumps, DateTime lastpayment)
{
if (cf.Count() == 0)
{
return(0.0);
}
double ita = (double)365 / 360;
double totalNPV = 0.0;
for (int i = 0; i < cf.Count; ++i)
{
totalNPV += cf[i].Amount * cf[i].DiscountFactor * cf[i].Survivalprobability;
}
double accrualpaidondefault = calculateSinglePeriodAccrualOnDefault(cf, coupon, tradedate, yt, hazard, Jumps, lastpayment);
totalNPV += ita * coupon * accrualpaidondefault * notional / yt.discount(tradedate.AddDays(3));
OMLib.Conventions.DayCount.Actual360 dc = new OMLib.Conventions.DayCount.Actual360();
Calendar calendar = new UnitedStates();
return(totalNPV / yt.discount(settlementDate));
}
/**
* The value of the full (or dirty) annuity (or RPV01 - the premium leg per unit of coupon) today (t=0).
* The cash flows from premium payments and accrual-on-default are risky discounted to t=0
* The actual value of the leg is this multiplied by the notional and the fractional coupon
* (i.e. coupon in basis points divided by 10,000).
* <p>
* This is valid for both spot and forward starting CDS.
*
* @param cds the analytic description of a CDS traded at a certain time
* @param yieldCurve the yield (or discount) curve
* @param creditCurve the credit (or survival) curve
* @return the full (or dirty) annuity valued today. <b>Note</b> what is usually quoted is the clean annuity
*/
public double dirtyAnnuity(CDS cds,
YieldTermStructure yt, PiecewiseconstantHazardRate hazard)
{
DateTime tradedate = cds.tradedate;
List <DateTime> Jumps = yt.jumpDates_;
DateTime settlementDate = tradedate.AddDays(0);
double recoveryrate = cds.Recovery;
DateTime Stepindate = tradedate.AddDays(1);
double coupon = cds.PremiumRate;
OMLib.Conventions.DayCount.Actual360 dc = new OMLib.Conventions.DayCount.Actual360();
CdsCoupon[] cf = cds.getCoupons();
double notional = cds.Notional;
double ita = (double)365 / 360;
double totalNPV = 0.0;
for (int i = 0; i < cf.Length; ++i)
{
totalNPV += cf[i].getYearFrac() * notional * Math.Exp(-hazard.getRT_(cf[i].getEffEnd()))
* Math.Exp(-yt.getRT_(cf[i].getPaymentTime()));
}
double start = cds.getNumPayments() == 1 ? cds.getEffectiveProtectionStart() : cds.getAccStart();
double[] integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(start, cds.getProtectionEnd(), yt, hazard);
double accPV = 0.0;
for (int i = 0; i < cf.Length; ++i)
{
accPV += calculateSinglePeriodAccrualOnDefault(cf[i], cds.getEffectiveProtectionStart(), integrationSchedule, yt, hazard);
}
totalNPV += accPV;
return(totalNPV);
}
public YieldTermStructure calculation(DateTime tradedate, List <double> QuotedSpot)
{
DateTime SpotDate = tradedate.AddDays(2);
/*********************
*
* ** CURVE BUILDING **
*
* *********************/
DateTime d1m = SpotDate.AddMonths(1);
DateTime d2m = SpotDate.AddMonths(2);
DateTime d3m = SpotDate.AddMonths(3);
DateTime d6m = SpotDate.AddMonths(6);
DateTime d9m = SpotDate.AddMonths(9);
DateTime d1y = SpotDate.AddYears(1);
DateTime d2y = SpotDate.AddYears(2);
DateTime d3y = SpotDate.AddYears(3);
DateTime d4y = SpotDate.AddYears(4);
DateTime d5y = SpotDate.AddYears(5);
DateTime d6y = SpotDate.AddYears(6);
DateTime d7y = SpotDate.AddYears(7);
DateTime d8y = SpotDate.AddYears(8);
DateTime d9y = SpotDate.AddYears(9);
DateTime d10y = SpotDate.AddYears(10);
DateTime d11y = SpotDate.AddYears(11);
DateTime d12y = SpotDate.AddYears(12);
DateTime d15y = SpotDate.AddYears(15);
DateTime d20y = SpotDate.AddYears(20);
DateTime d25y = SpotDate.AddYears(25);
DateTime d30y = SpotDate.AddYears(30);
List <DateTime> dates = new List <DateTime>();
dates.Add(d1m);
dates.Add(d2m);
dates.Add(d3m);
dates.Add(d6m);
dates.Add(d9m);
dates.Add(d1y);
dates.Add(d2y);
dates.Add(d3y);
dates.Add(d4y);
dates.Add(d5y);
dates.Add(d6y);
dates.Add(d7y);
dates.Add(d8y);
dates.Add(d9y);
dates.Add(d10y);
dates.Add(d11y);
dates.Add(d12y);
dates.Add(d15y);
dates.Add(d20y);
dates.Add(d25y);
dates.Add(d30y);
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
String[] YIELD_CURVE_POINTS = new String[] { "1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y",
"6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
String[] YIELD_CURVE_INSTRUMENTS = new String[] { "M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S",
"S", "S", "S", "S", "S", "S", "S", "S", "S", "S" };
DateTime today = tradedate;
List <DateTime> matDates = dates;
List <DateTime> adjMatDates = new List <DateTime>();
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
for (int i = 0; i < matDates.Count; i++)
{
adjMatDates.Add(calendar.adjust(matDates[i], QLNet.BusinessDayConvention.Following));
}
adjMatDates[2] = adjMatDates[2].AddDays(-1);
int nMM = 0;
int n = YIELD_CURVE_INSTRUMENTS.Count();
double[] _t = new double[n];
for (int i = 0; i < n; i++)
{
_t[i] = curveDCC.YearFraction(SpotDate, adjMatDates[i]);
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
nMM++;
}
}
int nSwap = n - nMM;
double[] _mmYF = new double[nMM];
BasicFixedLeg[] _swaps = new BasicFixedLeg[nSwap];
int mmCount = 0;
int swapCount = 0;
int swapInterval = 12;
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
_mmYF[mmCount++] = moneyMarketDCC.YearFraction(SpotDate, adjMatDates[i]);
}
else
{
_swaps[swapCount++] = new BasicFixedLeg(SpotDate, matDates[i], swapInterval);
}
}
double _offset = DateTime.Compare(tradedate, SpotDate) > 0 ? curveDCC.YearFraction(SpotDate, tradedate) : -curveDCC.YearFraction(
tradedate, SpotDate);
YieldTermStructure curve = new YieldTermStructure(tradedate, QuotedSpot, dates, _t.ToList(), null);
int mmCount_ = 0;
int swapCount_ = 0;
double[] rt_ = new double[n];
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
double z = 1.0 / (1 + QuotedSpot[i] * _mmYF[mmCount_++]);
YieldTermStructure tempcurve = curve.withDiscountFactor(z, i);
curve = tempcurve;
}
else
{
curve = curve.fitSwap(i, _swaps[swapCount_++], curve, QuotedSpot[i]);
}
}
YieldTermStructure baseCurve = curve;
List <double> ZeroRates = curve.getKnotZeroRates();
if (_offset == 0.0)
{
return(baseCurve);
}
this.Nodes = dates;
return(baseCurve.withOffset(_offset));
}
public YieldTermStructure calculation2(DateTime tradedate, List <double> QuotedSpot)
{
/*********************
*** MARKET DATA ***
*********************/
QLNet.UnitedStates cal = new QLNet.UnitedStates();
DateTime SpotDate = tradedate.AddDays(4);
//DateTime SpotDate = cal.advance(tradedate,2,QLNet.TimeUnit.Days,QLNet.BusinessDayConvention.ModifiedFollowing);
// must be a business day
/*********************
*
* ** CURVE BUILDING **
*
* *********************/
DateTime d1m = SpotDate.AddMonths(1);
DateTime d2m = SpotDate.AddMonths(2);
DateTime d3m = SpotDate.AddMonths(3);
DateTime d6m = SpotDate.AddMonths(6);
DateTime d1y = SpotDate.AddYears(1);
DateTime d2y = SpotDate.AddYears(2);
DateTime d3y = SpotDate.AddYears(3);
DateTime d4y = SpotDate.AddYears(4);
DateTime d5y = SpotDate.AddYears(5);
DateTime d6y = SpotDate.AddYears(6);
DateTime d7y = SpotDate.AddYears(7);
DateTime d8y = SpotDate.AddYears(8);
DateTime d9y = SpotDate.AddYears(9);
DateTime d10y = SpotDate.AddYears(10);
DateTime d12y = SpotDate.AddYears(12);
DateTime d15y = SpotDate.AddYears(15);
DateTime d20y = SpotDate.AddYears(20);
DateTime d25y = SpotDate.AddYears(25);
DateTime d30y = SpotDate.AddYears(30);
List <DateTime> dates = new List <DateTime>();
dates.Add(d1m);
dates.Add(d2m);
dates.Add(d3m);
dates.Add(d6m);
dates.Add(d1y);
dates.Add(d2y);
dates.Add(d3y);
dates.Add(d4y);
dates.Add(d5y);
dates.Add(d6y);
dates.Add(d7y);
dates.Add(d8y);
dates.Add(d9y);
dates.Add(d10y);
dates.Add(d12y);
dates.Add(d15y);
dates.Add(d20y);
dates.Add(d25y);
dates.Add(d30y);
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
String[] YIELD_CURVE_POINTS = new String[] { "1M", "2M", "3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y",
"6Y", "7Y", "8Y", "9Y", "10Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
String[] YIELD_CURVE_INSTRUMENTS = new String[] { "M", "M", "M", "M", "M", "S", "S", "S", "S", "S",
"S", "S", "S", "S", "S", "S", "S", "S", "S" };
List <double> YIELD_CURVE_RATES = QuotedSpot;
DateTime spotDate = SpotDate;
List <DateTime> matDates = dates;
List <DateTime> adjMatDates = new List <DateTime>();
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
for (int i = 0; i < matDates.Count; i++)
{
adjMatDates.Add(calendar.adjust(matDates[i], QLNet.BusinessDayConvention.ModifiedFollowing));
}
int nMM = 0;
int n = YIELD_CURVE_INSTRUMENTS.Count();
double[] _t = new double[n];
for (int i = 0; i < n; i++)
{
_t[i] = curveDCC.YearFraction(spotDate, adjMatDates[i]);
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
nMM++;
}
}
int nSwap = n - nMM;
double[] _mmYF = new double[nMM];
BasicFixedLeg[] _swaps = new BasicFixedLeg[nSwap];
int mmCount = 0;
int swapCount = 0;
int swapInterval = 6;
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
_mmYF[mmCount++] = moneyMarketDCC.YearFraction(spotDate, adjMatDates[i]);
}
else
{
_swaps[swapCount++] = new BasicFixedLeg(spotDate, matDates[i], swapInterval);
}
}
double _offset = DateTime.Compare(tradedate, spotDate) > 0 ? curveDCC.YearFraction(spotDate, tradedate) : -curveDCC.YearFraction(
tradedate, spotDate);
YieldTermStructure curve = new YieldTermStructure(tradedate, YIELD_CURVE_RATES, dates, _t.ToList(), null);
int mmCount_ = 0;
int swapCount_ = 0;
double[] rt_ = new double[n];
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
double z = 1.0 / (1 + YIELD_CURVE_RATES[i] * _mmYF[mmCount_++]);
YieldTermStructure tempcurve = curve.withDiscountFactor(z, i);
curve = tempcurve;
}
else
{
curve = curve.fitSwap(i, _swaps[swapCount_++], curve, YIELD_CURVE_RATES[i]);
}
}
YieldTermStructure baseCurve = curve;
List <double> ZeroRates = curve.getKnotZeroRates();
if (_offset == 0.0)
{
return(baseCurve);
}
this.Nodes = dates;
curve = baseCurve.withOffset(_offset);
//List<double> rt = new List<double>() { 1.399914257002842E-4, 3.452229985902273E-4, 6.151397497988689E-4, 0.0017010975470283791, 0.005696357532861686, 0.008854793051714499, 0.0235368691596982, 0.04799336562986048, 0.07980430061988725, 0.11682686636178839, 0.1569272410971123, 0.1988340941576404, 0.24178776149530337, 0.2862865792161734, 0.37671732698783206, 0.512340347238558, 0.7299269275257245, 0.9365962573841474, 1.1363739062462221};
//curve.rt = rt;
return(curve);
}
/**
* Set up a strip of increasing maturity CDSs that have some coupons in common. The trade date, step-in date and valuation date and
* accrual start date are all common, as is the payment frequency. The maturities are expressed as integer multiples of the
* payment interval from a reference date (the next IMM date after the trade date for standard CDSs) - this guarantees that premiums
* will be the same across several CDSs.
* @param tradeDate The trade date
* @param stepinDate (aka Protection Effective sate or assignment date). Date when party assumes ownership. This is usually T+1. This is when protection
* (and risk) starts in terms of the model. Note, this is sometimes just called the Effective Date, however this can cause
* confusion with the legal effective date which is T-60 or T-90.
* @param cashSettlementDate The cash settlement date. The date that values are PVed to. Is is normally today + 3 business days.
* @param accStartDate Accrual Start Date. This is when the CDS nominally starts in terms of premium payments. i.e. the number
* of days in the first period (and thus the amount of the first premium payment) is counted from this date.
* @param maturityReferanceDate A reference date that maturities are measured from. For standard CDSSs, this is the next IMM date after
* the trade date, so the actually maturities will be some fixed periods after this.
* @param maturityIndexes The maturities are fixed integer multiples of the payment interval, so for 6M, 1Y and 2Y tenors with a 3M
* payment interval, would require 2, 4, and 8 as the indices
* @param payAccOnDefault Is the accrued premium paid in the event of a default
* @param paymentInterval The nominal step between premium payments (e.g. 3 months, 6 months).
* @param stubType the stub convention
* @param protectStart If protectStart = true, then protections starts at the beginning of the day, otherwise it is at the end.
* @param recoveryRate The recovery rate
* @param businessdayAdjustmentConvention How are adjustments for non-business days made
* @param calendar HolidayCalendar defining what is a non-business day
* @param accrualDayCount Day count used for accrual
* @param curveDayCount Day count used on curve (NOTE ISDA uses ACT/365 and it is not recommended to change this)
*/
public MultiCdsAnalytic(
DateTime tradeDate,
DateTime stepinDate,
DateTime cashSettlementDate,
DateTime accStartDate,
DateTime maturityReferanceDate,
int[] maturityIndexes,
Boolean payAccOnDefault,
int paymentInterval,
StubConvention stubType,
Boolean protectStart,
double recoveryRate,
QLNet.BusinessDayConvention businessdayAdjustmentConvention,
QLNet.Calendar calendar,
Enums.DayCount accrualDayCount,
Enums.DayCount curveDayCount)
{
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
_nMaturities = maturityIndexes.Length;
_payAccOnDefault = payAccOnDefault;
_accStart = DateTime.Compare(accStartDate, tradeDate) < 0 ?
-curveDCC.YearFraction(accStartDate, tradeDate) :
curveDCC.YearFraction(tradeDate, accStartDate);
DateTime temp = DateTime.Compare(stepinDate, accStartDate) > 0 ? stepinDate : accStartDate;
DateTime effectiveStartDate = protectStart ? temp.AddDays(-1) : temp;
_cashSettlementTime = curveDCC.YearFraction(tradeDate, cashSettlementDate);
_effectiveProtectionStart = curveDCC.YearFraction(tradeDate, effectiveStartDate);
_lgd = 1 - recoveryRate;
DateTime[] maturities = new DateTime[_nMaturities];
_protectionEnd = new double[_nMaturities];
int period = paymentInterval;
for (int i = 0; i < _nMaturities; i++)
{
int tStep = period * maturityIndexes[i];
maturities[i] = maturityReferanceDate.AddMonths(tStep);
_protectionEnd[i] = curveDCC.YearFraction(tradeDate, maturities[i]);
}
IsdaPremiumLegSchedule fullPaymentSchedule = new IsdaPremiumLegSchedule(accStartDate, maturities[_nMaturities - 1], period,
stubType, businessdayAdjustmentConvention, calendar, protectStart);
//remove already expired coupons
IsdaPremiumLegSchedule paymentSchedule = fullPaymentSchedule.truncateSchedule(stepinDate);
int couponOffset = fullPaymentSchedule.getNumPayments() - paymentSchedule.getNumPayments();
_totalPayments = paymentSchedule.getNumPayments();
_standardCoupons = new CdsCoupon[_totalPayments - 1];
for (int i = 0; i < (_totalPayments - 1); i++)
{ //The last coupon is actually a terminal coupon, so not included here
_standardCoupons[i] = new CdsCoupon(
tradeDate, paymentSchedule.getAccPaymentDateTriplet(i), protectStart, accrualDayCount, curveDayCount);
}
//find the terminal coupons
_terminalCoupons = new CdsCoupon[_nMaturities];
_matIndexToPayments = new int[_nMaturities];
_accruedDays = new int[_nMaturities];
_accrued = new double[_nMaturities];
long secondJulianDate = stepinDate.Ticks;
for (int i = 0; i < _nMaturities; i++)
{
int index = fullPaymentSchedule.getNominalPaymentDateIndex(maturities[i]);
//maturity is unadjusted, but if protectionStart=true (i.e. standard CDS) there is effectively an extra day of accrued interest
DateTime accEnd = protectStart ? maturities[i].AddDays(1) : maturities[i];
_terminalCoupons[i] = new CdsCoupon(
tradeDate, fullPaymentSchedule.getAccStartDate(index), accEnd,
fullPaymentSchedule.getPaymentDate(index), protectStart);
_matIndexToPayments[i] = index - couponOffset;
//This will only matter for the edge case when the trade date is 1 day before maturity
DateTime tDate2 = _matIndexToPayments[i] < 0 ?
fullPaymentSchedule.getAccStartDate(couponOffset - 1) : paymentSchedule.getAccStartDate(0);
long firstJulianDate = tDate2.Ticks;
_accruedDays[i] = secondJulianDate > firstJulianDate ? (int)(secondJulianDate - firstJulianDate) : 0;
_accrued[i] = DateTime.Compare(tDate2, stepinDate) < 0 ? swapDCC.YearFraction(tDate2, stepinDate) : 0.0;
}
}
public List <CashFlow> Calculation(double fixrate, double initialNotional, List <DateTime> fixedSchedule, DateTime tradedate,
YieldTermStructure yt, PiecewiseconstantHazardRate piecewiseFlatHazardRate, int settlement, DateTime lastpaymentdate)
{
List <CashFlow> result = new List <CashFlow>();
OMLib.Conventions.DayCount.Actual360 daycountconvention = new OMLib.Conventions.DayCount.Actual360();
for (int i = 0; i < fixedSchedule.Count; i++)
{
CashFlow cf = new CashFlow();
Calendar calendar = new UnitedStates();
//fixedSchedule[i] = calendar.adjust(fixedSchedule[i], BusinessDayConvention.Following);
cf.CashFlowDate = fixedSchedule[i];
if (i == 0)
{
//The protection buyer pays the next coupon in full on the coupon date,
//(even if this is the next day); in return the buyer receives (from the protection seller) the accrued
//interest[Geoff Chaplin. Credit Derivatives.], which is paid on the cash settlement date.
if (lastpaymentdate != null)
{
lastpaymentdate = calendar.adjust(lastpaymentdate, BusinessDayConvention.Following);
cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(lastpaymentdate, fixedSchedule[i])) / 360;
}
else
{
cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(tradedate, fixedSchedule[i])) / 360;
}
}
else
{
//Each coupon is equal to (annual coupon/360) (# of days in accrual period).
//The accrual period always stretches from (previous coupon payment date) through (this coupon
//payment date–1), inclusive; except a contract's last accrual period, which ends with (and
//includes) the unadjusted maturity date.
if (i == fixedSchedule.Count - 1)
{
cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(fixedSchedule[i - 1], fixedSchedule[i].AddDays(1))) / 360;
}
else
{
cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(fixedSchedule[i - 1], fixedSchedule[i])) / 360;
}
}
//Assume all cash flows are discounted to the cash settlement date
cf.DiscountFactor = yt.discount(fixedSchedule[i]);
if (i == fixedSchedule.Count - 1)
{
cf.Survivalprobability = piecewiseFlatHazardRate.SurvivalProb(fixedSchedule[i].AddDays(1));
}
else
{
cf.Survivalprobability = piecewiseFlatHazardRate.SurvivalProb(fixedSchedule[i]);
}
result.Add(cf);
}
return(result);
}
public double protectionLeg(CDS cds, YieldTermStructure yt, PiecewiseconstantHazardRate hazard,
double valuationTime)
{
List <double> Jumps = yt.t;
List <double> tenor = hazard.t;
List <double> result = new List <double>();
int index = 0, indexj = 0, lastIndex = 0;
while (index < Jumps.Count || indexj < tenor.Count)
{
if (lastIndex > 0)
{
if (index >= Jumps.Count)
{
if (!DateTime.Equals(result.Last(), tenor[indexj]))
{
result.Add(tenor[indexj]);
lastIndex++;
}
indexj++;
continue;
}
if (indexj >= tenor.Count)
{
if (!DateTime.Equals(result.Last(), Jumps[index]))
{
result.Add(Jumps[index]);
lastIndex++;
}
index++;
continue;
}
}
double smallestVal = tenor.Last();
// Choose the smaller of a or b
if (Jumps[index] < tenor[indexj])
{
smallestVal = Jumps[index++];
}
else
{
smallestVal = tenor[indexj++];
}
// Don't insert duplicates
if (lastIndex > 0)
{
if (result.Last() != smallestVal)
{
result.Add(smallestVal);
lastIndex++;
}
}
else
{
result.Add(smallestVal);
lastIndex++;
}
}
DateTime tradedate = cds.tradedate;
DateTime settlementDate = tradedate.AddDays((int)valuationTime * 365);
double recoveryrate = cds.Recovery;
DateTime Stepindate = tradedate.AddDays(1);
OMLib.Conventions.DayCount.Actual360 dc = new OMLib.Conventions.DayCount.Actual360();
CdsCoupon[] cf = cds.getCoupons();
double notional = cds.Notional;
DateTime t0 = tradedate;
double T = cf.Last().getEffEnd();
List <double> JumpNodes = new List <double>();
JumpNodes.Add(0);
for (int j = 0; j < result.Count; j++)
{
if (result[j] < T)
{
JumpNodes.Add(result[j]);
}
}
JumpNodes.Add(T);
double ht0 = hazard.getRT_(JumpNodes[0]);
double rt0 = yt.getRT_(JumpNodes[0]);
double b0 = Math.Exp(-ht0 - rt0); // risky discount factor
double pv = 0.0;
double dPV = 0.0;
for (int i = 1; i < JumpNodes.Count; ++i)
{
double ht1 = hazard.getRT_(JumpNodes[i]);
double rt1 = yt.getRT_(JumpNodes[i]);
double b1 = Math.Exp(-ht1 - rt1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
// The formula has been modified from ISDA (but is equivalent) to avoid log(exp(x)) and explicitly
// calculating the time step - it also handles the limit
if (Math.Abs(dhrt) < 1e-5)
{
dPV = dht * b0 * Maths.Epsilon.epsilon(-dhrt) / (-dhrt);
}
else
{
dPV = (b0 - b1) * dht / dhrt;
}
pv += dPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
pv = pv * notional * (1 - recoveryrate);
return(pv / yt.discount(settlementDate));
}
