/// <summary>
/// Computes bucketed CS01 for CDS.
/// <para>
/// The relevant credit curve must be stored in {@code RatesProvider}.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="bucketCds"> the CDS bucket </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the bucketed CS01 </returns>
public virtual CurrencyParameterSensitivity bucketedCs01(ResolvedCdsTrade trade, IList <ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
{
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <ResolvedTradeParameterMetadata> metadata = bucketCds.Select(t => ResolvedTradeParameterMetadata.of(t, t.Product.ProtectionEndDate.ToString())).collect(Guavate.toImmutableList());
return(bucketedCs01(trade, bucketCds, metadata, ratesProvider, refData));
}
/// <summary>
/// Computes bucketed CS01 for CDS index using a single credit curve.
/// <para>
/// This is coherent to the pricer <seealso cref="IsdaHomogenousCdsIndexTradePricer"/>.
/// The relevant credit curve must be stored in {@code RatesProvider}.
///
/// </para>
/// </summary>
/// <param name="trade"> the trade </param>
/// <param name="bucketCdsIndex"> the CDS index bucket </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="refData"> the reference data </param>
/// <returns> the bucketed CS01 </returns>
public virtual CurrencyParameterSensitivity bucketedCs01(ResolvedCdsIndexTrade trade, IList <ResolvedCdsIndexTrade> bucketCdsIndex, CreditRatesProvider ratesProvider, ReferenceData refData)
{
ResolvedCdsTrade cdsTrade = trade.toSingleNameCds();
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
IList <ResolvedCdsTrade> bucketCds = bucketCdsIndex.Select(ResolvedCdsIndexTrade::toSingleNameCds).ToList();
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IList <ResolvedTradeParameterMetadata> metadata = bucketCdsIndex.Select(t => ResolvedTradeParameterMetadata.of(t, t.Product.ProtectionEndDate.ToString())).collect(Guavate.toImmutableList());
CurrencyParameterSensitivity bucketedCs01 = this.bucketedCs01(cdsTrade, bucketCds, metadata, ratesProvider, refData);
double indexFactor = getIndexFactor(cdsTrade.Product, ratesProvider);
return(bucketedCs01.multipliedBy(indexFactor));
}
internal virtual LegalEntitySurvivalProbabilities calibrate(IList <CdsIsdaCreditCurveNode> curveNodes, CurveName name, MarketData marketData, ImmutableCreditRatesProvider ratesProvider, DayCount definitionDayCount, Currency definitionCurrency, bool computeJacobian, bool storeTrade, ReferenceData refData)
{
//JAVA TO C# CONVERTER TODO TASK: Method reference arbitrary object instance method syntax is not converted by Java to C# Converter:
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <StandardId> legalEntities = curveNodes.Select(CdsIsdaCreditCurveNode::getLegalEntityId).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
StandardId legalEntityId = legalEntities.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(legalEntities.hasNext(), "legal entity must be common to curve nodes");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <Currency> currencies = curveNodes.Select(n => n.Template.Convention.Currency).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
Currency currency = currencies.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(currencies.hasNext(), "currency must be common to curve nodes");
ArgChecker.isTrue(definitionCurrency.Equals(currency), "curve definition currency must be the same as the currency of CDS");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
IEnumerator <CdsQuoteConvention> quoteConventions = curveNodes.Select(n => n.QuoteConvention).collect(Collectors.toSet()).GetEnumerator();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
CdsQuoteConvention quoteConvention = quoteConventions.next();
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
ArgChecker.isFalse(quoteConventions.hasNext(), "quote convention must be common to curve nodes");
LocalDate valuationDate = marketData.ValuationDate;
ArgChecker.isTrue(valuationDate.Equals(marketData.ValuationDate), "ratesProvider and marketDate must be based on the same valuation date");
CreditDiscountFactors discountFactors = ratesProvider.discountFactors(currency);
ArgChecker.isTrue(definitionDayCount.Equals(discountFactors.DayCount), "credit curve and discount curve must be based on the same day count convention");
RecoveryRates recoveryRates = ratesProvider.recoveryRates(legalEntityId);
int nNodes = curveNodes.Count;
double[] coupons = new double[nNodes];
double[] pufs = new double[nNodes];
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] diag = new double[nNodes][nNodes];
double[][] diag = RectangularArrays.ReturnRectangularDoubleArray(nNodes, nNodes);
ImmutableList.Builder <ResolvedCdsTrade> tradesBuilder = ImmutableList.builder();
for (int i = 0; i < nNodes; i++)
{
CdsCalibrationTrade tradeCalibration = curveNodes[i].trade(1d, marketData, refData);
ResolvedCdsTrade trade = tradeCalibration.UnderlyingTrade.resolve(refData);
tradesBuilder.add(trade);
double[] temp = getStandardQuoteForm(trade, tradeCalibration.Quote, valuationDate, discountFactors, recoveryRates, computeJacobian, refData);
coupons[i] = temp[0];
pufs[i] = temp[1];
diag[i][i] = temp[2];
}
ImmutableList <ResolvedCdsTrade> trades = tradesBuilder.build();
NodalCurve nodalCurve = calibrate(trades, DoubleArray.ofUnsafe(coupons), DoubleArray.ofUnsafe(pufs), name, valuationDate, discountFactors, recoveryRates, refData);
if (computeJacobian)
{
LegalEntitySurvivalProbabilities creditCurve = LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, nodalCurve));
ImmutableCreditRatesProvider ratesProviderNew = ratesProvider.toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), creditCurve)).build();
System.Func <ResolvedCdsTrade, DoubleArray> sensiFunc = quoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD) ? getParSpreadSensitivityFunction(ratesProviderNew, name, currency, refData) : getPointsUpfrontSensitivityFunction(ratesProviderNew, name, currency, refData);
DoubleMatrix sensi = DoubleMatrix.ofArrayObjects(nNodes, nNodes, i => sensiFunc(trades.get(i)));
sensi = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(diag), sensi);
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(name, nNodes)), MATRIX_ALGEBRA.getInverse(sensi));
nodalCurve = nodalCurve.withMetadata(nodalCurve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian));
}
ImmutableList <ParameterMetadata> parameterMetadata;
if (storeTrade)
{
parameterMetadata = IntStream.range(0, nNodes).mapToObj(n => ResolvedTradeParameterMetadata.of(trades.get(n), curveNodes[n].Label)).collect(Guavate.toImmutableList());
}
else
{
parameterMetadata = IntStream.range(0, nNodes).mapToObj(n => curveNodes[n].metadata(trades.get(n).Product.ProtectionEndDate)).collect(Guavate.toImmutableList());
}
nodalCurve = nodalCurve.withMetadata(nodalCurve.Metadata.withParameterMetadata(parameterMetadata));
return(LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, nodalCurve)));
}