public void Curve_Building(List <double> QuotedSpot, List <double> QuotedSpread, double Spread_traded, double Upfront)
{
OMLib.Conventions.DayCount.Actual365 dayCounter = new OMLib.Conventions.DayCount.Actual365();
//Build interest rate curve, discount curve
InterestRateCurve IRC = new InterestRateCurve();
YieldTermStructure yt = new YieldTermStructure(this.tradedate);
yt = IRC.calculation(tradedate, QuotedSpot); //return a discounting curve
this.Jump_Nodes = IRC.Nodes;
this.yieldcurve = yt;
// Build Payment Schedule
List <ZeroRates> zero_rates = new List <ZeroRates>(yt.jumps_.Count);
for (int i = 0; i < yt.t.Count; i++)
{
ZeroRates temp = new ZeroRates();
temp.YearFraction = yt.t[i];
temp.Rate = yt.getKnotZeroRates()[i];
zero_rates.Add(temp);
}
this.zero_rates = zero_rates;
// Implied hazard rates from quoted spreads.
hazardratecurve(yt, dayCounter, QuotedSpot, QuotedSpread, this.PremiumRate, Spread_traded, Upfront, this.Maturity, this.firstpaymentdate,
this.evalDate, this.formerpaymentdate, this.Frequency, this.Recovery);
double k = piecewiseHazardRate.SurvivalProb(new DateTime(2021, 06, 20));
// Build Yield Curve / Credit Curve to be output
curve_output(yt, this.piecewiseHazardRate);
}
/**
* The change in the intrinsic value of a CDS index when the yield curve is bumped by 1bps.
* If the index is priced as a single name CDS, use {@link InterestRateSensitivityCalculator}.
*
* @param indexCDS The CDS index
* @param indexCoupon The index coupon
* @param yieldCurve The yield curve
* @param intrinsicData Credit curves, weights and recovery rates of the intrinsic names
* @return parallel IR01
*/
public double parallelIR01(
CDS indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
double pv = indexPV(indexCDS, indexCoupon, yieldCurve, intrinsicData, CdsPriceType.DIRTY);
int nKnots = yieldCurve.t.Count;
double[] rates = yieldCurve.getKnotZeroRates().ToArray();
for (int i = 0; i < nKnots; ++i)
{
rates[i] += ONE_BPS;
}
YieldTermStructure yieldCurveUp = yieldCurve.withRates(rates.ToList());
double pvUp = indexPV(indexCDS, indexCoupon, yieldCurveUp, intrinsicData, CdsPriceType.DIRTY);
return(pvUp - pv);
}
