//------------------------------------------------------------------------- public override CurrencyAmount parallelCs01(ResolvedCdsTrade trade, IList <ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData) { checkCdsBucket(trade, bucketCds); ResolvedCds product = trade.Product; Currency currency = product.Currency; StandardId legalEntityId = product.LegalEntityId; LocalDate valuationDate = ratesProvider.ValuationDate; ImmutableCreditRatesProvider immutableRatesProvider = ratesProvider.toImmutableCreditRatesProvider(); int nBucket = bucketCds.Count; DoubleArray impSp = impliedSpread(bucketCds, ratesProvider, refData); NodalCurve creditCurveBase = Calibrator.calibrate(bucketCds, impSp, DoubleArray.filled(nBucket), CurveName.of("baseImpliedCreditCurve"), valuationDate, ratesProvider.discountFactors(currency), ratesProvider.recoveryRates(legalEntityId), refData); Pair <StandardId, Currency> lePair = Pair.of(legalEntityId, currency); IsdaCreditDiscountFactors df = IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurveBase); CreditRatesProvider ratesProviderBase = immutableRatesProvider.toBuilder().creditCurves(ImmutableMap.of(lePair, LegalEntitySurvivalProbabilities.of(legalEntityId, df))).build(); CurrencyAmount pvBase = Pricer.presentValueOnSettle(trade, ratesProviderBase, PriceType.DIRTY, refData); DoubleArray bumpedSp = DoubleArray.of(nBucket, i => impSp.get(i) + bumpAmount); NodalCurve creditCurveBump = Calibrator.calibrate(bucketCds, bumpedSp, DoubleArray.filled(nBucket), CurveName.of("bumpedImpliedCreditCurve"), valuationDate, ratesProvider.discountFactors(currency), ratesProvider.recoveryRates(legalEntityId), refData); IsdaCreditDiscountFactors dfBump = IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurveBump); CreditRatesProvider ratesProviderBump = immutableRatesProvider.toBuilder().creditCurves(ImmutableMap.of(lePair, LegalEntitySurvivalProbabilities.of(legalEntityId, dfBump))).build(); CurrencyAmount pvBumped = Pricer.presentValueOnSettle(trade, ratesProviderBump, PriceType.DIRTY, refData); return(CurrencyAmount.of(currency, (pvBumped.Amount - pvBase.Amount) / bumpAmount)); }
internal override DoubleArray computedBucketedCs01(ResolvedCdsTrade trade, IList <ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData) { checkCdsBucket(trade, bucketCds); ResolvedCds product = trade.Product; Currency currency = product.Currency; StandardId legalEntityId = product.LegalEntityId; LocalDate valuationDate = ratesProvider.ValuationDate; ImmutableCreditRatesProvider immutableRatesProvider = ratesProvider.toImmutableCreditRatesProvider(); int nBucket = bucketCds.Count; double[] res = new double[nBucket]; DoubleArray impSp = impliedSpread(bucketCds, ratesProvider, refData); NodalCurve creditCurveBase = Calibrator.calibrate(bucketCds, impSp, DoubleArray.filled(nBucket), CurveName.of("baseImpliedCreditCurve"), valuationDate, ratesProvider.discountFactors(currency), ratesProvider.recoveryRates(legalEntityId), refData); Pair <StandardId, Currency> lePair = Pair.of(legalEntityId, currency); IsdaCreditDiscountFactors df = IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurveBase); CreditRatesProvider ratesProviderBase = immutableRatesProvider.toBuilder().creditCurves(ImmutableMap.of(lePair, LegalEntitySurvivalProbabilities.of(legalEntityId, df))).build(); double pvBase = Pricer.presentValueOnSettle(trade, ratesProviderBase, PriceType.DIRTY, refData).Amount; for (int i = 0; i < nBucket; ++i) { double[] bumpedSp = impSp.toArray(); bumpedSp[i] += bumpAmount; NodalCurve creditCurveBump = Calibrator.calibrate(bucketCds, DoubleArray.ofUnsafe(bumpedSp), DoubleArray.filled(nBucket), CurveName.of("bumpedImpliedCreditCurve"), valuationDate, ratesProvider.discountFactors(currency), ratesProvider.recoveryRates(legalEntityId), refData); IsdaCreditDiscountFactors dfBump = IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurveBump); CreditRatesProvider ratesProviderBump = immutableRatesProvider.toBuilder().creditCurves(ImmutableMap.of(lePair, LegalEntitySurvivalProbabilities.of(legalEntityId, dfBump))).build(); double pvBumped = Pricer.presentValueOnSettle(trade, ratesProviderBump, PriceType.DIRTY, refData).Amount; res[i] = (pvBumped - pvBase) / bumpAmount; } return(DoubleArray.ofUnsafe(res)); }
public virtual void test_singleDiscountCurveParameterSensitivity() { ZeroRateSensitivity zeroPt = ZeroRateSensitivity.of(USD, 10d, 5d); CreditCurveZeroRateSensitivity creditPt = CreditCurveZeroRateSensitivity.of(LEGAL_ENTITY_ABC, JPY, 2d, 3d); FxForwardSensitivity fxPt = FxForwardSensitivity.of(CurrencyPair.of(JPY, USD), USD, LocalDate.of(2017, 2, 14), 15d); CreditRatesProvider test = ImmutableCreditRatesProvider.builder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD), Pair.of(LEGAL_ENTITY_ABC, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY), Pair.of(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, CRD_DEF))).discountCurves(ImmutableMap.of(USD, DSC_USD, JPY, DSC_JPY)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_ABC, RR_ABC, LEGAL_ENTITY_DEF, RR_DEF)).valuationDate(VALUATION).build(); CurrencyParameterSensitivities computed = CurrencyParameterSensitivities.of(test.singleDiscountCurveParameterSensitivity(zeroPt.combinedWith(creditPt).combinedWith(fxPt).build(), USD)); CurrencyParameterSensitivities expected = DSC_USD.parameterSensitivity(zeroPt); assertTrue(computed.equalWithTolerance(expected, 1.0e-14)); }
public virtual void test_valuationDateMismatch() { ConstantRecoveryRates rr_wrong = ConstantRecoveryRates.of(LEGAL_ENTITY_ABC, VALUATION.plusWeeks(1), RECOVERY_RATE_ABC); assertThrowsIllegalArg(() => ImmutableCreditRatesProvider.builder().valuationDate(VALUATION).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD), Pair.of(LEGAL_ENTITY_ABC, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY), Pair.of(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, CRD_DEF))).discountCurves(ImmutableMap.of(USD, DSC_USD, JPY, DSC_JPY)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_ABC, rr_wrong, LEGAL_ENTITY_DEF, RR_DEF)).build()); IsdaCreditDiscountFactors crd_wrong = IsdaCreditDiscountFactors.of(JPY, VALUATION.plusWeeks(1), NAME_CRD_DEF, TIME_CRD_DEF, RATE_CRD_DEF, ACT_365F); assertThrowsIllegalArg(() => ImmutableCreditRatesProvider.builder().valuationDate(VALUATION).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD), Pair.of(LEGAL_ENTITY_ABC, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY), Pair.of(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, crd_wrong))).discountCurves(ImmutableMap.of(USD, DSC_USD, JPY, DSC_JPY)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_ABC, RR_ABC, LEGAL_ENTITY_DEF, RR_DEF)).build()); IsdaCreditDiscountFactors dsc_wrong = IsdaCreditDiscountFactors.of(USD, VALUATION.plusWeeks(1), NAME_DSC_USD, TIME_DSC_USD, RATE_DSC_USD, ACT_365F); assertThrowsIllegalArg(() => ImmutableCreditRatesProvider.builder().valuationDate(VALUATION).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD), Pair.of(LEGAL_ENTITY_ABC, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY), Pair.of(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, CRD_DEF))).discountCurves(ImmutableMap.of(USD, dsc_wrong, JPY, DSC_JPY)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_ABC, RR_ABC, LEGAL_ENTITY_DEF, RR_DEF)).build()); }
//------------------------------------------------------------------------- public virtual void coverage() { ImmutableCreditRatesProvider test1 = ImmutableCreditRatesProvider.builder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD))).discountCurves(ImmutableMap.of(USD, DSC_USD)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_ABC, RR_ABC)).valuationDate(VALUATION).build(); coverImmutableBean(test1); IsdaCreditDiscountFactors dsc = IsdaCreditDiscountFactors.of(JPY, VALUATION.plusDays(1), NAME_DSC_JPY, TIME_DSC_JPY, RATE_DSC_JPY, ACT_365F); IsdaCreditDiscountFactors hzd = IsdaCreditDiscountFactors.of(JPY, VALUATION.plusDays(1), NAME_CRD_DEF, TIME_CRD_DEF, RATE_CRD_DEF, ACT_365F); ConstantRecoveryRates rr = ConstantRecoveryRates.of(LEGAL_ENTITY_DEF, VALUATION.plusDays(1), RECOVERY_RATE_DEF); ImmutableCreditRatesProvider test2 = ImmutableCreditRatesProvider.builder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, hzd))).discountCurves(ImmutableMap.of(JPY, dsc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_DEF, rr)).valuationDate(VALUATION.plusDays(1)).build(); 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 test_getter() { ImmutableCreditRatesProvider test = ImmutableCreditRatesProvider.builder().valuationDate(VALUATION).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD), Pair.of(LEGAL_ENTITY_ABC, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY), Pair.of(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, CRD_DEF))).discountCurves(ImmutableMap.of(USD, DSC_USD, JPY, DSC_JPY)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_ABC, RR_ABC, LEGAL_ENTITY_DEF, RR_DEF)).build(); assertEquals(test.discountFactors(USD), DSC_USD); assertEquals(test.discountFactors(JPY), DSC_JPY); assertEquals(test.survivalProbabilities(LEGAL_ENTITY_ABC, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_USD)); assertEquals(test.survivalProbabilities(LEGAL_ENTITY_ABC, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_ABC, CRD_ABC_JPY)); assertEquals(test.survivalProbabilities(LEGAL_ENTITY_DEF, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_DEF, CRD_DEF)); assertEquals(test.recoveryRates(LEGAL_ENTITY_ABC), RR_ABC); assertEquals(test.recoveryRates(LEGAL_ENTITY_DEF), RR_DEF); StandardId entity = StandardId.of("OG", "NONE"); assertThrowsIllegalArg(() => test.discountFactors(EUR)); assertThrowsIllegalArg(() => test.survivalProbabilities(LEGAL_ENTITY_DEF, USD)); assertThrowsIllegalArg(() => test.survivalProbabilities(entity, USD)); assertThrowsIllegalArg(() => test.recoveryRates(entity)); }
//------------------------------------------------------------------------- protected internal virtual void testCalibrationAgainstISDA(IsdaCompliantCreditCurveCalibrator builder, DayCount dayCount, Currency currency, double tol) { IsdaCdsProductPricer pricer = new IsdaCdsProductPricer(builder.AccrualOnDefaultFormula); for (int i = 0; i < NUM_TESTS; i++) { LegalEntitySurvivalProbabilities creditCurve = builder.calibrate(ImmutableList.copyOf(NODE_CDS[i]), CurveName.of("credit"), CDS_MARKET_DATA[i], YIELD_CURVES[i], dayCount, currency, false, false, REF_DATA); ResolvedCdsTrade[] expectedCds = EXP_NODE_CDS[i]; ImmutableCreditRatesProvider provider = YIELD_CURVES[i].toBuilder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, EUR), creditCurve)).build(); double[] expected = builder.AccrualOnDefaultFormula == AccrualOnDefaultFormula.MARKIT_FIX ? EXP_PROB_MARKIT_FIX[i] : EXP_PROB_ISDA[i]; for (int k = 0; k < N_OBS; k++) { assertEquals(creditCurve.SurvivalProbabilities.discountFactor(OBS_TIMES[k]), expected[k], tol); } int m = expectedCds.Length; for (int j = 0; j < m; j++) { ResolvedCdsTrade cdsFromNode = NODE_CDS[i][j].trade(1d, CDS_MARKET_DATA[i], REF_DATA).UnderlyingTrade.resolve(REF_DATA); assertEquals(cdsFromNode.Product, expectedCds[j].Product); double price1 = pricer.price(cdsFromNode.Product, provider, SPREADS[i][j], cdsFromNode.Info.SettlementDate.get(), PriceType.CLEAN, REF_DATA); assertEquals(price1, 0.0, 5e-16); } } }
private double[] getStandardQuoteForm(ResolvedCdsTrade calibrationCds, CdsQuote marketQuote, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, bool computeJacobian, ReferenceData refData) { double[] res = new double[3]; res[2] = 1d; if (marketQuote.QuoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD)) { res[0] = marketQuote.QuotedValue; } else if (marketQuote.QuoteConvention.Equals(CdsQuoteConvention.QUOTED_SPREAD)) { double qSpread = marketQuote.QuotedValue; CurveName curveName = CurveName.of("quoteConvertCurve"); NodalCurve tempCreditCurve = calibrate(ImmutableList.of(calibrationCds), DoubleArray.of(qSpread), DoubleArray.of(0d), curveName, valuationDate, discountFactors, recoveryRates, refData); Currency currency = calibrationCds.Product.Currency; StandardId legalEntityId = calibrationCds.Product.LegalEntityId; ImmutableCreditRatesProvider rates = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(currency, discountFactors)).recoveryRateCurves(ImmutableMap.of(legalEntityId, recoveryRates)).creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, tempCreditCurve)))).build(); res[0] = calibrationCds.Product.FixedRate; res[1] = tradePricer.price(calibrationCds, rates, PriceType.CLEAN, refData); if (computeJacobian) { CurrencyParameterSensitivities pufSensi = rates.parameterSensitivity(tradePricer.priceSensitivity(calibrationCds, rates, refData)); CurrencyParameterSensitivities spSensi = rates.parameterSensitivity(tradePricer.parSpreadSensitivity(calibrationCds, rates, refData)); res[2] = spSensi.getSensitivity(curveName, currency).Sensitivity.get(0) / pufSensi.getSensitivity(curveName, currency).Sensitivity.get(0); } } else if (marketQuote.QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT)) { res[0] = calibrationCds.Product.FixedRate; res[1] = marketQuote.QuotedValue; } else { throw new System.ArgumentException("Unknown CDSQuoteConvention type " + marketQuote.GetType()); } return(res); }
//------------------------------------------------------------------------- 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); } } }
protected internal virtual void testJacobian(IsdaCompliantCreditCurveCalibrator builder, LegalEntitySurvivalProbabilities curve, ImmutableCreditRatesProvider ratesProvider, IList <CdsIsdaCreditCurveNode> nodes, double[] quotes, double quoteScale, double eps) { LocalDate valuationDate = curve.ValuationDate; int nNode = nodes.Count; IsdaCreditDiscountFactors df = (IsdaCreditDiscountFactors)curve.SurvivalProbabilities; CurveName name = df.Curve.Name; 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 / quoteScale; quotesDw[i] -= eps / quoteScale; ImmutableMarketDataBuilder builderCreditUp = ImmutableMarketData.builder(valuationDate); ImmutableMarketDataBuilder builderCreditDw = ImmutableMarketData.builder(valuationDate); for (int j = 0; j < nNode; ++j) { builderCreditUp.addValue(nodes[j].ObservableId, quotesUp[j] * quoteScale); builderCreditDw.addValue(nodes[j].ObservableId, quotesDw[j] * quoteScale); } ImmutableMarketData marketDataUp = builderCreditUp.build(); ImmutableMarketData marketDataDw = builderCreditDw.build(); IsdaCreditDiscountFactors ccUp = (IsdaCreditDiscountFactors)builder.calibrate(nodes, name, marketDataUp, ratesProvider, curve.SurvivalProbabilities.DayCount, curve.Currency, false, false, REF_DATA).SurvivalProbabilities; IsdaCreditDiscountFactors ccDw = (IsdaCreditDiscountFactors)builder.calibrate(nodes, name, marketDataDw, ratesProvider, curve.SurvivalProbabilities.DayCount, curve.Currency, false, false, 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); } } }
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))); }
//------------------------------------------------------------------------- /// <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)); }