static IsdaHomogenousCdsIndexTradePricerTest()
{
ImmutableList.Builder <StandardId> builder = ImmutableList.builder();
for (int i = 0; i < 97; ++i)
{
builder.add(StandardId.of("OG", i.ToString()));
}
LEGAL_ENTITIES = builder.build();
}
static FxOptionVolatilitiesDefinitionTest()
{
ImmutableList.Builder <FxOptionVolatilitiesNode> builder = ImmutableList.builder();
ImmutableList.Builder <QuoteId> quoteBuilder = ImmutableList.builder();
for (int i = 0; i < TENORS.size(); ++i)
{
QuoteId id = QuoteId.of(StandardId.of("OG", TENORS.get(i).ToString() + "_" + DELTAS.get(i).ToString() + "_" + QUOTE_TYPE.get(i).ToString()));
builder.add(FxOptionVolatilitiesNode.of(EUR_GBP, SPOT_OFFSET, BUS_ADJ, QUOTE_TYPE.get(i), id, TENORS.get(i), DeltaStrike.of(DELTAS.get(i))));
quoteBuilder.add(id);
}
NODES = builder.build();
QUOTE_IDS = quoteBuilder.build();
}
static CreditDataSet()
{
ImmutableList.Builder <StandardId> builder = ImmutableList.builder();
for (int i = 0; i < 97; ++i)
{
builder.add(StandardId.of("OG", i.ToString()));
}
LEGAL_ENTITIES = builder.build();
double flatRate = 0.05;
double t = 20.0;
IsdaCreditDiscountFactors yieldCurve = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
DISCOUNT_CURVE = yieldCurve.Curve;
RecoveryRates recoveryRate = ConstantRecoveryRates.of(LEGAL_ENTITY, VALUATION_DATE, RECOVERY_RATE);
// create the curve nodes and input market quotes
ImmutableMarketDataBuilder marketQuoteBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
marketQuoteBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketQuotes = marketQuoteBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, recoveryRate)).discountCurves(ImmutableMap.of(USD, yieldCurve)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
// calibrate
LegalEntitySurvivalProbabilities calibrated = BUILDER.calibrate(definition, marketQuotes, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)calibrated.SurvivalProbabilities).Curve;
CDS_CREDIT_CURVE = underlyingCurve;
INDEX_CREDIT_CURVE = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CDS_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("CDS recovery rate", ACT_365F), RECOVERY_RATE);
INDEX_RECOVERY_RATE = ConstantCurve.of(Curves.recoveryRates("Index recovery rate", ACT_365F), RECOVERY_RATE);
}
static SpreadSensitivityCalculatorTest()
{
double flatRate = 0.05;
double t = 20.0;
YIELD_CURVE = IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, CurveName.of("discount"), DoubleArray.of(t), DoubleArray.of(flatRate), ACT_365F);
ImmutableMarketDataBuilder dataBuilder = ImmutableMarketData.builder(VALUATION_DATE);
ImmutableList.Builder <CdsIsdaCreditCurveNode> nodesBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsMetadataBuilder = ImmutableList.builder();
ImmutableList.Builder <ResolvedTradeParameterMetadata> cdsIndexMetadataBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MARKET_CDS; i++)
{
QuoteId quoteId = QuoteId.of(StandardId.of("OG", PAR_SPD_DATES[i].ToString()));
CdsIsdaCreditCurveNode node = CdsIsdaCreditCurveNode.ofParSpread(DatesCdsTemplate.of(VALUATION_DATE, PAR_SPD_DATES[i], CDS_CONV), quoteId, LEGAL_ENTITY);
MARKET_CDS[i] = CdsTrade.builder().product(Cds.of(BUY, LEGAL_ENTITY, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
MARKET_CDS_INDEX[i] = CdsIndexTrade.builder().product(CdsIndex.of(BuySell.BUY, INDEX_ID, LEGAL_ENTITIES, USD, NOTIONAL, VALUATION_DATE, PAR_SPD_DATES[i], P3M, SAT_SUN, PAR_SPREADS[i] * ONE_BP)).info(TradeInfo.of(VALUATION_DATE)).build().resolve(REF_DATA);
dataBuilder.addValue(quoteId, PAR_SPREADS[i] * ONE_BP);
nodesBuilder.add(node);
cdsMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS[i], MARKET_CDS[i].Product.ProtectionEndDate.ToString()));
cdsIndexMetadataBuilder.add(ResolvedTradeParameterMetadata.of(MARKET_CDS_INDEX[i], MARKET_CDS_INDEX[i].Product.ProtectionEndDate.ToString()));
}
ImmutableMarketData marketData = dataBuilder.build();
ImmutableList <CdsIsdaCreditCurveNode> nodes = nodesBuilder.build();
CDS_METADATA = cdsMetadataBuilder.build();
CDS_INDEX_METADATA = cdsIndexMetadataBuilder.build();
ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION_DATE).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, RECOVERY_CURVE)).discountCurves(ImmutableMap.of(USD, YIELD_CURVE)).build();
IsdaCreditCurveDefinition definition = IsdaCreditCurveDefinition.of(CREDIT_CURVE_NAME, USD, VALUATION_DATE, ACT_365F, nodes, true, true);
CREDIT_CURVE = BUILDER.calibrate(definition, marketData, rates, REF_DATA);
NodalCurve underlyingCurve = ((IsdaCreditDiscountFactors)CREDIT_CURVE.SurvivalProbabilities).Curve;
NodalCurve curveWithFactor = underlyingCurve.withMetadata(underlyingCurve.Metadata.withInfo(CurveInfoType.CDS_INDEX_FACTOR, INDEX_FACTOR).withParameterMetadata(CDS_INDEX_METADATA)); // replace parameter metadata
CREDIT_CURVE_INDEX = LegalEntitySurvivalProbabilities.of(INDEX_ID, IsdaCreditDiscountFactors.of(USD, VALUATION_DATE, curveWithFactor));
}
//-------------------------------------------------------------------------
public virtual double accruedInterest(RatePaymentPeriod period, RatesProvider provider)
{
LocalDate valDate = provider.ValuationDate;
if (valDate.compareTo(period.StartDate) <= 0 || valDate.compareTo(period.EndDate) > 0)
{
return(0d);
}
ImmutableList.Builder <RateAccrualPeriod> truncated = ImmutableList.builder();
foreach (RateAccrualPeriod rap in period.AccrualPeriods)
{
if (valDate.compareTo(rap.EndDate) > 0)
{
truncated.add(rap);
}
else
{
truncated.add(rap.toBuilder().endDate(provider.ValuationDate).unadjustedEndDate(provider.ValuationDate).yearFraction(period.DayCount.yearFraction(rap.StartDate, provider.ValuationDate)).build());
break;
}
}
RatePaymentPeriod adjustedPaymentPeriod = period.toBuilder().accrualPeriods(truncated.build()).build();
return(forecastValue(adjustedPaymentPeriod, provider));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
BlackFxOptionSmileVolatilitiesSpecification test1 = BlackFxOptionSmileVolatilitiesSpecification.builder().name(VOL_NAME).currencyPair(EUR_GBP).dayCount(ACT_360).nodes(NODES).timeInterpolator(PCHIP).timeExtrapolatorLeft(LINEAR).timeExtrapolatorRight(LINEAR).strikeInterpolator(PCHIP).strikeExtrapolatorLeft(LINEAR).strikeExtrapolatorRight(LINEAR).build();
coverImmutableBean(test1);
CurrencyPair eurUsd = CurrencyPair.of(EUR, USD);
ImmutableList.Builder <FxOptionVolatilitiesNode> builder = ImmutableList.builder();
for (int i = 0; i < TENORS.size(); ++i)
{
QuoteId id = QuoteId.of(StandardId.of("OG", TENORS.get(i).ToString() + "_" + DELTAS.get(i).ToString() + "_" + QUOTE_TYPE.get(i).ToString()));
builder.add(FxOptionVolatilitiesNode.of(eurUsd, DaysAdjustment.NONE, BusinessDayAdjustment.NONE, QUOTE_TYPE.get(i), id, TENORS.get(i), DeltaStrike.of(DELTAS.get(i))));
}
BlackFxOptionSmileVolatilitiesSpecification test2 = BlackFxOptionSmileVolatilitiesSpecification.builder().name(FxOptionVolatilitiesName.of("other")).currencyPair(eurUsd).dayCount(ACT_365F).nodes(builder.build()).timeInterpolator(DOUBLE_QUADRATIC).strikeInterpolator(DOUBLE_QUADRATIC).build();
coverBeanEquals(test1, test2);
}