public void testMethod1()
{
for (int i = 0; i < PRICES.Length; i++)
{
PILLAR_PUF[i] = new PointsUpFront(INDEX_COUPON, 1 - PRICES[i]);
}
int pos = 1; // target CDX is 5Y
CDS targentCDX = CDX[pos];
int n = PILLAR_PUF.Length;
double[] indexPUF = new double[n];
for (int i = 0; i < n; i++)
{
indexPUF[i] = PILLAR_PUF[i].getPointsUpFront();
}
int[] defaultedNames = new int[] { 2, 15, 37, 51 };
IntrinsicIndexDataBundle dataDefaulted = INTRINSIC_DATA.withDefault(defaultedNames);
int accrualDays = targentCDX.getAccuredDays();
double accruedPremium = targentCDX.getAccruedPremium(INDEX_COUPON) * NOTIONAL * dataDefaulted.getIndexFactor();
/*
* Using credit curves for constituent single name CDSs.
* The curves are adjusted by using only the target CDX.
*/
IntrinsicIndexDataBundle adjCurves = PSA.adjustCurves(indexPUF[pos], CDX[pos], INDEX_COUPON, YIELD_CURVE,
dataDefaulted);
double cleanPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves) * NOTIONAL;
double dirtyPV = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves, CdsPriceType.DIRTY) * NOTIONAL; // should be consistent with 1 - PRICES[pos]
double expectedLoss = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), adjCurves) * NOTIONAL;
double cleanRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurves);
double dirtyRPV01 = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurves, CdsPriceType.DIRTY);
double durationWeightedAverageSpread = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, adjCurves) *
TEN_THOUSAND;
double parallelIR01 = INDEX_CAL.parallelIR01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves) * NOTIONAL;
double[] jumpToDefault = INDEX_CAL.jumpToDefault(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves);
for (int i = 0; i < jumpToDefault.Length; ++i)
{
jumpToDefault[i] *= NOTIONAL;
}
double[] recovery01 = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurves);
for (int i = 0; i < recovery01.Length; ++i)
{
recovery01[i] *= NOTIONAL;
}
IntrinsicIndexDataBundle adjCurvesAll = PSA.adjustCurves(indexPUF, CDX, INDEX_COUPON, YIELD_CURVE,
dataDefaulted);
double cleanPVAll = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll) * NOTIONAL;
double dirtyPVAll = INDEX_CAL.indexPV(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll, CdsPriceType.DIRTY) *
NOTIONAL; // should be consistent with 1 - PRICES[pos]
double expectedLossAll = INDEX_CAL.expectedDefaultSettlementValue(targentCDX.getProtectionEnd(), adjCurvesAll) *
NOTIONAL;
double cleanRPV01All = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurvesAll);
double dirtyRPV01All = INDEX_CAL.indexAnnuity(targentCDX, YIELD_CURVE, adjCurvesAll, CdsPriceType.DIRTY);
double durationWeightedAverageSpreadAll = INDEX_CAL.intrinsicIndexSpread(targentCDX, YIELD_CURVE, adjCurvesAll) *
TEN_THOUSAND;
double parallelIR01All = INDEX_CAL.parallelIR01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll) * NOTIONAL;
double[] jumpToDefaultAll = INDEX_CAL.jumpToDefault(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll);
for (int i = 0; i < jumpToDefaultAll.Length; ++i)
{
jumpToDefaultAll[i] *= NOTIONAL;
}
double[] recovery01All = INDEX_CAL.recovery01(targentCDX, INDEX_COUPON, YIELD_CURVE, adjCurvesAll);
for (int i = 0; i < recovery01All.Length; ++i)
{
recovery01All[i] *= NOTIONAL;
}
PiecewiseconstantHazardRate indexCurve = (new Commons.FastCreditCurveBuilder()).calibrateCreditCurve(targentCDX,
INDEX_COUPON, YIELD_CURVE, indexPUF[pos]); // single node index curve, indexFactors cancel out
double cleanPriceIndexCurve = PRICER_OG_FIX.pv(targentCDX, YIELD_CURVE, indexCurve, INDEX_COUPON) *
dataDefaulted.getIndexFactor() * NOTIONAL;
double dirtyPriceIndexCurve = PRICER_OG_FIX.pv(targentCDX, YIELD_CURVE, indexCurve, INDEX_COUPON,
CdsPriceType.DIRTY) * dataDefaulted.getIndexFactor() * NOTIONAL;
double cleanRPV01IndexCurve = PRICER_OG_FIX.annuity(targentCDX, YIELD_CURVE, indexCurve) *
dataDefaulted.getIndexFactor();
double dirtyRPV01IndexCurve = PRICER_OG_FIX.annuity(targentCDX, YIELD_CURVE, indexCurve, CdsPriceType.DIRTY) *
dataDefaulted.getIndexFactor();
double spreadIndexCurve = PRICER_OG_FIX.parSpread(targentCDX, YIELD_CURVE, indexCurve) * TEN_THOUSAND;
}