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));
}
public virtual void parSpreadTest()
{
LocalDate valuationDate = LocalDate.of(2013, 2, 27);
DoubleArray ycTime = DoubleArray.ofUnsafe(new double[] { 0.09041095890410959, 0.1726027397260274, 0.26301369863013696, 0.5123287671232877, 0.7616438356164383, 1.010958904109589, 2.008219178082192, 3.008219178082192, 4.008219178082192, 5.008219178082192, 6.008219178082192, 7.013698630136987, 8.01095890410959, 9.01095890410959, 10.01095890410959, 12.01917808219178, 15.016438356164384, 20.01917808219178, 25.021917808219175, 30.027397260273972 });
DoubleArray ycRate = DoubleArray.ofUnsafe(new double[] { 0.0020651105531615476, 0.0024506037920717797, 0.0028872269869485313, 0.004599628230463427, 0.006160809466806469, 0.0075703969168129295, 0.003965128877560435, 0.005059104202201957, 0.0069669135253734825, 0.009361825469323602, 0.011916895611422482, 0.014311922779901886, 0.016519187063048578, 0.018512121993907647, 0.020289623737560873, 0.02329885162861984, 0.026399509889410745, 0.029087919732133784, 0.03037740056662963, 0.03110021763406523 });
IsdaCreditDiscountFactors yc = IsdaCreditDiscountFactors.of(EUR, valuationDate, CurveName.of("yc_usd"), ycTime, ycRate, ACT_365F);
double[] timeNodeExp = new double[] { 0.5616438356164384, 1.0575342465753426, 2.0575342465753423, 3.0602739726027397, 4.06027397260274, 5.06027397260274, 6.06027397260274, 7.063013698630137, 8.063013698630137, 9.063013698630137, 10.063013698630137 };
double[] rateNodeExp = new double[] { 0.00876054089781935, 0.011037345646850688, 0.015955126945240167, 0.020617953392829177, 0.025787811343896218, 0.030329992053915133, 0.03313419899444371, 0.03528129159875671, 0.03675340516560903, 0.037946169956317416, 0.038951101800190346 };
double[] rateNodeExpMf = new double[] { 0.008754510260229803, 0.011030502992814844, 0.01594817866773906, 0.02060947097554756, 0.025776720596175737, 0.030316032527460755, 0.03311839631615255, 0.03526404051997617, 0.03673513322394772, 0.03792689865945585, 0.03893107891569398 };
ImmutableCreditRatesProvider ratesProvider = ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, valuationDate, 0.25))).creditCurves(ImmutableMap.of()).build();
LocalDate startDate = LocalDate.of(2012, 12, 20);
LocalDate[] pillarDates = new LocalDate[] { LocalDate.of(2013, 9, 20), LocalDate.of(2014, 3, 20), LocalDate.of(2015, 3, 20), LocalDate.of(2016, 3, 20), LocalDate.of(2017, 3, 20), LocalDate.of(2018, 3, 20), LocalDate.of(2019, 3, 20), LocalDate.of(2020, 3, 20), LocalDate.of(2021, 3, 20), LocalDate.of(2022, 3, 20), LocalDate.of(2023, 3, 20) };
int nPillars = pillarDates.Length;
ImmutableMarketDataBuilder builderCredit = ImmutableMarketData.builder(valuationDate);
IList <CdsIsdaCreditCurveNode> nodes = new List <CdsIsdaCreditCurveNode>(nPillars);
double[] quotes = new double[] { 0.006485, 0.008163, 0.011763, 0.015136, 0.018787, 0.021905, 0.023797, 0.025211, 0.02617, 0.026928, 0.027549 };
for (int i = 0; i < nPillars; ++i)
{
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate, pillarDates[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", pillarDates[i].ToString()));
nodes.Add(CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY));
builderCredit.addValue(id, quotes[i]);
}
ImmutableMarketData marketData = builderCredit.build();
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("zz"), EUR, valuationDate, ACT_365F, nodes, true, true);
LegalEntitySurvivalProbabilities cc = BUILDER_ISDA.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurve = ((IsdaCreditDiscountFactors)cc.SurvivalProbabilities).Curve;
for (int i = 0; i < nPillars; ++i)
{
ParameterMetadata param = resCurve.getParameterMetadata(i);
assertTrue(param is ResolvedTradeParameterMetadata);
ResolvedTradeParameterMetadata tradeParam = (ResolvedTradeParameterMetadata)param;
assertTrue(tradeParam.Trade is ResolvedCdsTrade);
}
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurve.YValues.toArray(), rateNodeExp, TOL));
testJacobian(BUILDER_ISDA, cc, ratesProvider, nodes, quotes, 1d, EPS);
LegalEntitySurvivalProbabilities ccMf = BUILDER_MARKIT.calibrate(curveDefinition, marketData, ratesProvider, REF_DATA);
NodalCurve resCurveMf = ((IsdaCreditDiscountFactors)ccMf.SurvivalProbabilities).Curve;
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.XValues.toArray(), timeNodeExp, TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(resCurveMf.YValues.toArray(), rateNodeExpMf, TOL));
testJacobian(BUILDER_MARKIT, ccMf, ratesProvider, nodes, quotes, 1d, EPS);
}
static IsdaCompliantCreditCurveCalibratorBase()
{
ImmutableList.Builder <IsdaCreditCurveNode> dscNodeBuilder = ImmutableList.builder();
for (int i = 0; i < NUM_MM; i++)
{
Tenor tenor = Tenor.ofMonths(MM_MONTHS[i]);
dscNodeBuilder.add(DepositIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, ACT_360));
}
for (int i = NUM_MM; i < NUM_INSTRUMENTS; i++)
{
Tenor tenor = Tenor.ofYears(SWAP_YEARS[i - NUM_MM]);
dscNodeBuilder.add(SwapIsdaCreditCurveNode.of(QuoteId.of(StandardId.of("OG", ID_VALUES[i])), ADJ_3D, BUS_ADJ, tenor, THIRTY_U_360, Frequency.P12M));
}
DSC_NODES = dscNodeBuilder.build();
EXP_NODE_CDS = new ResolvedCdsTrade[NUM_TESTS][];
NODE_CDS = new CdsIsdaCreditCurveNode[NUM_TESTS][];
CDS_MARKET_DATA = new ImmutableMarketData[NUM_TESTS];
SPREADS = new double[NUM_TESTS][];
YIELD_CURVES = new ImmutableCreditRatesProvider[NUM_TESTS];
// case0
LocalDate tradeDate0 = LocalDate.of(2011, 6, 19);
LocalDate startDate0 = LocalDate.of(2011, 3, 21);
YIELD_CURVES[0] = createRatesProvider(tradeDate0, tradeDate0, 1d, 0.4);
Period[] tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
int nTenors = tenors.Length;
EXP_NODE_CDS[0] = new ResolvedCdsTrade[nTenors];
NODE_CDS[0] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit0 = ImmutableMarketData.builder(tradeDate0);
SPREADS[0] = new double[] { 0.00886315689995649, 0.00886315689995649, 0.0133044689825873, 0.0171490070952563, 0.0183903639181293, 0.0194721890639724 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), Frequency.P3M, DEFAULT_CALENDAR, SPREADS[0][i]);
EXP_NODE_CDS[0][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate0, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, Frequency.P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(startDate0, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[0][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit0.addValue(id, SPREADS[0][i]);
}
CDS_MARKET_DATA[0] = builderCredit0.build();
// case1
LocalDate tradeDate1 = LocalDate.of(2011, 3, 21);
LocalDate snapDate1 = LocalDate.of(2011, 3, 18);
LocalDate effDate1 = LocalDate.of(2011, 3, 20); //note this is a Sunday - for a standard CDS this would roll to the Monday.
YIELD_CURVES[1] = createRatesProvider(tradeDate1, snapDate1, 1d, 0.4);
tenors = new Period[] { Period.ofMonths(6), Period.ofYears(1), Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
nTenors = tenors.Length;
NODE_CDS[1] = new CdsIsdaCreditCurveNode[nTenors];
ImmutableMarketDataBuilder builderCredit1 = ImmutableMarketData.builder(tradeDate1);
EXP_NODE_CDS[1] = new ResolvedCdsTrade[nTenors];
SPREADS[1] = new double[] { 0.027, 0.018, 0.012, 0.009, 0.007, 0.006 };
for (int i = 0; i < nTenors; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[1][i]);
EXP_NODE_CDS[1][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate1, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_360).paymentFrequency(P3M).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate1, LocalDate.of(2011, 6, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[1][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit1.addValue(id, SPREADS[1][i]);
}
CDS_MARKET_DATA[1] = builderCredit1.build();
// case2
LocalDate tradeDate2 = LocalDate.of(2011, 5, 30);
LocalDate snapDate2 = LocalDate.of(2011, 5, 29);
YIELD_CURVES[2] = createRatesProvider(tradeDate2, snapDate2, 1d, 0.25);
LocalDate[] matDates2 = new LocalDate[] { LocalDate.of(2011, 6, 20), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 6, 20), LocalDate.of(2016, 6, 20), LocalDate.of(2018, 6, 20) };
int nMatDates2 = matDates2.Length;
NODE_CDS[2] = new CdsIsdaCreditCurveNode[nMatDates2];
ImmutableMarketDataBuilder builderCredit2 = ImmutableMarketData.builder(tradeDate2);
EXP_NODE_CDS[2] = new ResolvedCdsTrade[nMatDates2];
SPREADS[2] = new double[] { 0.05, 0.05, 0.05, 0.05, 0.05 };
for (int i = 0; i < nMatDates2; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, tradeDate2.plusDays(1), matDates2[i], P3M, DEFAULT_CALENDAR, SPREADS[2][i]).toBuilder().dayCount(THIRTY_U_360).build();
EXP_NODE_CDS[2][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate2, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(THIRTY_U_360).paymentFrequency(P3M).rollConvention(RollConventions.NONE).businessDayAdjustment(BUS_ADJ).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(tradeDate2.plusDays(1), matDates2[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates2[i].ToString()));
NODE_CDS[2][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit2.addValue(id, SPREADS[2][i]);
}
CDS_MARKET_DATA[2] = builderCredit2.build();
// case3
LocalDate tradeDate3 = LocalDate.of(2011, 5, 30);
LocalDate snapDate3 = LocalDate.of(2011, 5, 29);
LocalDate effDate3 = LocalDate.of(2011, 7, 31);
YIELD_CURVES[3] = createRatesProvider(tradeDate3, snapDate3, 1d, 0.25);
LocalDate[] matDates3 = new LocalDate[] { LocalDate.of(2011, 11, 30), LocalDate.of(2012, 5, 30), LocalDate.of(2014, 5, 30), LocalDate.of(2016, 5, 30), LocalDate.of(2018, 5, 30), LocalDate.of(2021, 5, 30) };
int nMatDates3 = matDates3.Length;
NODE_CDS[3] = new CdsIsdaCreditCurveNode[nMatDates3];
ImmutableMarketDataBuilder builderCredit3 = ImmutableMarketData.builder(tradeDate3);
EXP_NODE_CDS[3] = new ResolvedCdsTrade[nMatDates3];
SPREADS[3] = new double[] { 0.07, 0.06, 0.05, 0.055, 0.06, 0.065 };
for (int i = 0; i < nMatDates3; ++i)
{
Cds product = Cds.builder().buySell(BUY).legalEntityId(LEGAL_ENTITY).currency(EUR).dayCount(ACT_365F).fixedRate(SPREADS[3][i]).notional(1d).paymentSchedule(PeriodicSchedule.builder().businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).startDate(effDate3).endDate(matDates3[i]).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).endDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).frequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).build()).paymentOnDefault(PaymentOnDefault.ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.BEGINNING).stepinDateOffset(DaysAdjustment.ofCalendarDays(1)).settlementDateOffset(CDS_SETTLE_STD).build();
EXP_NODE_CDS[3][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate3, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.builder().name("conv").currency(EUR).dayCount(ACT_365F).paymentFrequency(Frequency.P6M).rollConvention(RollConventions.NONE).stubConvention(StubConvention.LONG_INITIAL).startDateBusinessDayAdjustment(BusinessDayAdjustment.NONE).businessDayAdjustment(BusinessDayAdjustment.of(FOLLOWING, DEFAULT_CALENDAR)).settlementDateOffset(CDS_SETTLE_STD).build();
CdsTemplate temp = DatesCdsTemplate.of(effDate3, matDates3[i], conv);
QuoteId id = QuoteId.of(StandardId.of("OG", matDates3[i].ToString()));
NODE_CDS[3][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit3.addValue(id, SPREADS[3][i]);
}
CDS_MARKET_DATA[3] = builderCredit3.build();
// case4: designed to trip the low rates/low spreads branch
LocalDate tradeDate4 = LocalDate.of(2014, 1, 14);
LocalDate snapDate4 = LocalDate.of(2014, 1, 13);
YIELD_CURVES[4] = createRatesProvider(tradeDate4, snapDate4, 1d / 1000d, 0.4);
int nSpreads4 = 6;
NODE_CDS[4] = new CdsIsdaCreditCurveNode[nSpreads4];
ImmutableMarketDataBuilder builderCredit4 = ImmutableMarketData.builder(tradeDate4);
SPREADS[4] = new double[nSpreads4];
Arrays.fill(SPREADS[4], 1.0e-4);
EXP_NODE_CDS[4] = new ResolvedCdsTrade[nSpreads4];
for (int i = 0; i < nSpreads4; ++i)
{
Cds product = Cds.of(BUY, LEGAL_ENTITY, EUR, 1d, LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), P3M, DEFAULT_CALENDAR, SPREADS[4][i]);
EXP_NODE_CDS[4][i] = CdsTrade.builder().info(TradeInfo.builder().settlementDate(product.SettlementDateOffset.adjust(tradeDate4, REF_DATA)).build()).product(product).build().resolve(REF_DATA);
CdsConvention conv = ImmutableCdsConvention.of("conv", EUR, ACT_360, P3M, BUS_ADJ, CDS_SETTLE_STD);
CdsTemplate temp = DatesCdsTemplate.of(LocalDate.of(2013, 12, 20), LocalDate.of(2014, 3, 20).plus(tenors[i]), conv);
QuoteId id = QuoteId.of(StandardId.of("OG", tenors[i].ToString()));
NODE_CDS[4][i] = CdsIsdaCreditCurveNode.ofParSpread(temp, id, LEGAL_ENTITY);
builderCredit4.addValue(id, SPREADS[4][i]);
}
CDS_MARKET_DATA[4] = builderCredit4.build();
}