public virtual void test_consistency_singleName()
{
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, CURVE_NODES_PS, true, true);
LegalEntitySurvivalProbabilities creditCurveComputed = CALIBRATOR.calibrate(curveDefinition, MARKET_DATA_PS, RATES_PROVIDER, REF_DATA);
NodalCurve curveComputed = (NodalCurve)creditCurveComputed.SurvivalProbabilities.findData(CURVE_NAME).get();
double computedIndex = curveComputed.Metadata.getInfo(CurveInfoType.CDS_INDEX_FACTOR);
assertEquals(computedIndex, 93.0 / 97.0, TOL);
IsdaCompliantCreditCurveCalibrator cdsCalibrator = FastCreditCurveCalibrator.standard();
IList <CdsIsdaCreditCurveNode> cdsNodes = new List <CdsIsdaCreditCurveNode>();
for (int i = 0; i < CURVE_NODES_PS.size(); ++i)
{
cdsNodes.Add(CdsIsdaCreditCurveNode.ofParSpread(CURVE_NODES_PS.get(i).Template, CURVE_NODES_PS.get(i).ObservableId, CURVE_NODES_PS.get(i).CdsIndexId));
ParameterMetadata metadata = curveComputed.getParameterMetadata(i);
assertTrue(metadata is ResolvedTradeParameterMetadata);
ResolvedTradeParameterMetadata tradeMetadata = (ResolvedTradeParameterMetadata)metadata;
assertTrue(tradeMetadata.Trade is ResolvedCdsIndexTrade);
}
IsdaCreditCurveDefinition cdsCurveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, cdsNodes, true, false);
LegalEntitySurvivalProbabilities creditCurveExpected = cdsCalibrator.calibrate(cdsCurveDefinition, MARKET_DATA_PS, RATES_PROVIDER, REF_DATA);
NodalCurve curveExpected = (NodalCurve)creditCurveExpected.SurvivalProbabilities.findData(CURVE_NAME).get();
assertTrue(DoubleArrayMath.fuzzyEquals(curveComputed.XValues.toArray(), curveExpected.XValues.toArray(), TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(curveComputed.YValues.toArray(), curveExpected.YValues.toArray(), TOL));
assertEquals(curveComputed.Metadata.getInfo(CurveInfoType.JACOBIAN), curveExpected.Metadata.getInfo(CurveInfoType.JACOBIAN));
}
//-------------------------------------------------------------------------
/// <summary>
/// The default constructor.
/// <para>
/// The original ISDA accrual-on-default formula (version 1.8.2 and lower) is used.
/// </para>
/// </summary>
public CdsMarketQuoteConverter()
{
this.calibrator = FastCreditCurveCalibrator.standard();
this.pricer = IsdaCdsTradePricer.DEFAULT;
}
public Pricer(FastCreditCurveCalibrator outerInstance, ResolvedCds nodeCds, CreditDiscountFactors yieldCurve, DoubleArray creditCurveKnots, double fractionalSpread, double pointsUpfront, double lgd, LocalDate stepinDate, LocalDate effectiveStartDate, LocalDate settlementDate, double accruedYearFraction)
{
this.outerInstance = outerInstance;
accYearFraction = accruedYearFraction;
cds = nodeCds;
fracSpread = fractionalSpread;
puf = pointsUpfront;
productEffectiveStart = yieldCurve.relativeYearFraction(effectiveStartDate);
double protectionEnd = yieldCurve.relativeYearFraction(cds.ProtectionEndDate);
// protection leg
proLegIntPoints = DoublesScheduleGenerator.getIntegrationsPoints(productEffectiveStart, protectionEnd, yieldCurve.ParameterKeys, creditCurveKnots).toArray();
nProPoints = proLegIntPoints.Length;
valuationDF = yieldCurve.discountFactor(settlementDate);
lgdDF = lgd / valuationDF;
proYieldCurveRT = new double[nProPoints];
proDF = new double[nProPoints];
for (int i = 0; i < nProPoints; i++)
{
proYieldCurveRT[i] = yieldCurve.zeroRate(proLegIntPoints[i]) * proLegIntPoints[i];
proDF[i] = Math.Exp(-proYieldCurveRT[i]);
}
// premium leg
nPayments = cds.PaymentPeriods.size();
paymentDF = new double[nPayments];
int indexTmp = -1;
for (int i = 0; i < nPayments; i++)
{
if (stepinDate.isBefore(cds.PaymentPeriods.get(i).EndDate))
{
paymentDF[i] = yieldCurve.discountFactor(cds.PaymentPeriods.get(i).PaymentDate);
}
else
{
indexTmp = i;
}
}
startPeriodIndex = indexTmp + 1;
// accrual on default
if (cds.PaymentOnDefault.AccruedInterest)
{
LocalDate tmp = nPayments == 1 ? effectiveStartDate : cds.AccrualStartDate;
DoubleArray integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(yieldCurve.relativeYearFraction(tmp), protectionEnd, yieldCurve.ParameterKeys, creditCurveKnots);
accRate = new double[nPayments];
offsetAccStart = new double[nPayments];
offsetAccEnd = new double[nPayments];
premLegIntPoints = new double[nPayments][];
premDF = new double[nPayments][];
rt = new double[nPayments][];
premDt = new double[nPayments][];
for (int i = startPeriodIndex; i < nPayments; i++)
{
CreditCouponPaymentPeriod coupon = cds.PaymentPeriods.get(i);
offsetAccStart[i] = yieldCurve.relativeYearFraction(coupon.EffectiveStartDate);
offsetAccEnd[i] = yieldCurve.relativeYearFraction(coupon.EffectiveEndDate);
accRate[i] = coupon.YearFraction / yieldCurve.DayCount.relativeYearFraction(coupon.StartDate, coupon.EndDate);
double start = Math.Max(productEffectiveStart, offsetAccStart[i]);
if (start >= offsetAccEnd[i])
{
continue;
}
premLegIntPoints[i] = DoublesScheduleGenerator.truncateSetInclusive(start, offsetAccEnd[i], integrationSchedule).toArray();
int n = premLegIntPoints[i].Length;
rt[i] = new double[n];
premDF[i] = new double[n];
for (int k = 0; k < n; k++)
{
rt[i][k] = yieldCurve.zeroRate(premLegIntPoints[i][k]) * premLegIntPoints[i][k];
premDF[i][k] = Math.Exp(-rt[i][k]);
}
premDt[i] = new double[n - 1];
for (int k = 1; k < n; k++)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double dt = premLegIntPoints[i][k] - premLegIntPoints[i][k - 1];
double dt = premLegIntPoints[i][k] - premLegIntPoints[i][k - 1];
premDt[i][k - 1] = dt;
}
}
}
else
{
accRate = null;
offsetAccStart = null;
offsetAccEnd = null;
premDF = null;
premDt = null;
rt = null;
premLegIntPoints = null;
}
}
