Exemplo n.º 1
0
        public virtual void endedTest()
        {
            LocalDate           valuationDate = PRODUCT.ProtectionEndDate.plusDays(1);
            CreditRatesProvider provider      = createCreditRatesProviderSingle(valuationDate, false);
            double price = PRICER.price(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);

            assertEquals(price, 0d);
            CurrencyAmount pv = PRICER.presentValue(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);

            assertEquals(pv, CurrencyAmount.zero(USD));
            assertThrowsIllegalArg(() => PRICER.parSpread(PRODUCT, provider, SETTLEMENT_STD, REF_DATA));
            CurrencyAmount rpv01 = PRICER.rpv01(PRODUCT, provider, SETTLEMENT_STD, CLEAN, REF_DATA);

            assertEquals(rpv01, CurrencyAmount.zero(USD));
            CurrencyAmount recovery01 = PRICER.recovery01(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);

            assertEquals(recovery01, CurrencyAmount.zero(USD));
            PointSensitivityBuilder sensi = PRICER.presentValueSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);

            assertEquals(sensi, PointSensitivityBuilder.none());
            PointSensitivityBuilder sensiPrice = PRICER.priceSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);

            assertEquals(sensiPrice, PointSensitivityBuilder.none());
            assertThrowsIllegalArg(() => PRICER.parSpreadSensitivity(PRODUCT, provider, SETTLEMENT_STD, REF_DATA));
            JumpToDefault jumpToDefault = PRICER.jumpToDefault(PRODUCT, provider, SETTLEMENT_STD, REF_DATA);

            assertEquals(jumpToDefault, JumpToDefault.of(USD, ImmutableMap.of(INDEX_ID, 0d)));
            CurrencyAmount expectedLoss = PRICER.expectedLoss(PRODUCT, provider);

            assertEquals(expectedLoss, CurrencyAmount.zero(USD));
        }
        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;

            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);
            IsdaCreditDiscountFactors df = IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurveBase);
            CreditRatesProvider       ratesProviderBase = ratesProvider.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), LegalEntitySurvivalProbabilities.of(legalEntityId, df))).build();

            double[][]         res     = new double[nBucket][];
            PointSensitivities pointPv = Pricer.presentValueOnSettleSensitivity(trade, ratesProviderBase, refData);
            DoubleArray        vLambda = ratesProviderBase.singleCreditCurveParameterSensitivity(pointPv, legalEntityId, currency).Sensitivity;

            for (int i = 0; i < nBucket; i++)
            {
                PointSensitivities pointSp = Pricer.parSpreadSensitivity(bucketCds[i], ratesProviderBase, refData);
                res[i] = ratesProviderBase.singleCreditCurveParameterSensitivity(pointSp, legalEntityId, currency).Sensitivity.toArray();
            }
            DoubleMatrix          jacT  = MATRIX_ALGEBRA.getTranspose(DoubleMatrix.ofUnsafe(res));
            LUDecompositionResult luRes = DECOMPOSITION.apply(jacT);
            DoubleArray           vS    = luRes.solve(vLambda);

            return(vS);
        }
Exemplo n.º 3
0
        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));
        }
Exemplo n.º 4
0
 //-------------------------------------------------------------------------
 private System.Func <ResolvedCdsTrade, CdsQuote> createQuoteValueFunction(CreditRatesProvider ratesProviderNew, CdsQuoteConvention targetConvention, ReferenceData refData)
 {
     System.Func <ResolvedCdsTrade, CdsQuote> quoteValueFunction;
     if (targetConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT))
     {
         quoteValueFunction = (ResolvedCdsTrade x) =>
         {
             double puf = pointsUpfront(x, ratesProviderNew, refData);
             return(CdsQuote.of(targetConvention, puf));
         };
     }
     else if (targetConvention.Equals(CdsQuoteConvention.QUOTED_SPREAD))
     {
         quoteValueFunction = (ResolvedCdsTrade x) =>
         {
             double puf = pointsUpfront(x, ratesProviderNew, refData);
             return(quotedSpreadFromPointsUpfront(x, CdsQuote.of(CdsQuoteConvention.POINTS_UPFRONT, puf), ratesProviderNew, refData));
         };
     }
     else
     {
         throw new System.ArgumentException("unsuported CDS quote convention");
     }
     return(quoteValueFunction);
 }
Exemplo n.º 5
0
        //-------------------------------------------------------------------------
        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));
        }
Exemplo n.º 6
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        internal virtual double recoveryRate(ResolvedCds cds, CreditRatesProvider ratesProvider)
        {
            RecoveryRates recoveryRates = ratesProvider.recoveryRates(cds.LegalEntityId);

            ArgChecker.isTrue(recoveryRates is ConstantRecoveryRates, "recoveryRates must be ConstantRecoveryRates");
            return(recoveryRates.recoveryRate(cds.ProtectionEndDate));
        }
Exemplo n.º 7
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        private double getIndexFactor(ResolvedCds cds, CreditRatesProvider ratesProvider)
        {
            LegalEntitySurvivalProbabilities survivalProbabilities = ratesProvider.survivalProbabilities(cds.LegalEntityId, cds.Currency);
            // instance is checked in pricer
            double indexFactor = ((IsdaCreditDiscountFactors)survivalProbabilities.SurvivalProbabilities).Curve.Metadata.getInfo(CurveInfoType.CDS_INDEX_FACTOR);

            return(indexFactor);
        }
Exemplo n.º 8
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        //-------------------------------------------------------------------------
        /// <summary>
        /// Computes the first order sensitivities of a function of a {@code CreditRatesProvider} to a double by finite difference.
        /// <para>
        /// The finite difference is computed by forward type.
        /// The function should return a value in the same currency for any rates provider of {@code CreditRatesProvider}.
        ///
        /// </para>
        /// </summary>
        /// <param name="provider">  the rates provider </param>
        /// <param name="valueFn">  the function from a rate provider to a currency amount for which the sensitivity should be computed </param>
        /// <returns> the curve sensitivity </returns>
        public virtual CurrencyParameterSensitivities sensitivity(CreditRatesProvider provider, System.Func <ImmutableCreditRatesProvider, CurrencyAmount> valueFn)
        {
            ImmutableCreditRatesProvider immutableProvider = provider.toImmutableCreditRatesProvider();
            CurrencyAmount valueInit = valueFn(immutableProvider);
            CurrencyParameterSensitivities discounting = sensitivityDiscountCurve(immutableProvider, valueFn, ImmutableCreditRatesProvider.meta().discountCurves(), valueInit);
            CurrencyParameterSensitivities credit      = sensitivityCreidtCurve(immutableProvider, valueFn, ImmutableCreditRatesProvider.meta().creditCurves(), valueInit);

            return(discounting.combinedWith(credit));
        }
        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));
        }
Exemplo n.º 10
0
        //-------------------------------------------------------------------------
        /// <summary>
        /// Calculates the risky annuity, which is RPV01 per unit notional.
        /// </summary>
        /// <param name="cds">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="referenceDate">  the reference date </param>
        /// <param name="priceType">  the price type </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the risky annuity </returns>
        public virtual double riskyAnnuity(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)
        {
            if (isExpired(cds, ratesProvider))
            {
                return(0d);
            }
            LocalDate stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
            Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);

            return(riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, priceType));
        }
Exemplo n.º 11
0
        //-------------------------------------------------------------------------
        /// <summary>
        /// Calculates the par spread of the CDS product.
        /// <para>
        /// The par spread is a coupon rate such that the clean PV is 0.
        /// The result is represented in decimal form.
        ///
        /// </para>
        /// </summary>
        /// <param name="cds">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="referenceDate">  the reference date </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the par spread </returns>
        public virtual double parSpread(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
        {
            ArgChecker.isTrue(cds.ProtectionEndDate.isAfter(ratesProvider.ValuationDate), "CDS already expired");
            LocalDate stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
            double    recoveryRate       = this.recoveryRate(cds, ratesProvider);
            Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);
            double protectionLeg = this.protectionLeg(cds, rates.First, rates.Second, referenceDate, effectiveStartDate, recoveryRate);
            double riskyAnnuity  = this.riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, PriceType.CLEAN);

            return(protectionLeg / riskyAnnuity);
        }
Exemplo n.º 12
0
        /// <summary>
        /// Calculates the expected loss of the CDS product.
        /// <para>
        /// The expected loss is the (undiscounted) expected default settlement value paid by the protection seller.
        /// The resulting value is always positive.
        ///
        /// </para>
        /// </summary>
        /// <param name="cds">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <returns> the expected loss </returns>
        public virtual CurrencyAmount expectedLoss(ResolvedCds cds, CreditRatesProvider ratesProvider)
        {
            if (isExpired(cds, ratesProvider))
            {
                return(CurrencyAmount.of(cds.Currency, 0d));
            }
            double recoveryRate = this.recoveryRate(cds, ratesProvider);
            Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);
            double survivalProbability = rates.Second.survivalProbability(cds.ProtectionEndDate);
            double el = (1d - recoveryRate) * (1d - survivalProbability);

            return(CurrencyAmount.of(cds.Currency, Math.Abs(cds.Notional) * el));
        }
        //-------------------------------------------------------------------------
        /// <summary>
        /// Calculates the present value of the trade.
        /// <para>
        /// The present value of the product is based on the valuation date.
        /// </para>
        /// <para>
        /// This method can calculate the clean or dirty present value, see <seealso cref="PriceType"/>.
        /// If calculating the clean value, the accrued interest is calculated based on the step-in date.
        ///
        /// </para>
        /// </summary>
        /// <param name="trade">  the trade </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="priceType">  the price type </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the price </returns>
        public virtual CurrencyAmount presentValue(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)
        {
            CurrencyAmount pvProduct = productPricer.presentValue(trade.Product, ratesProvider, ratesProvider.ValuationDate, priceType, refData);

            if (!trade.UpfrontFee.Present)
            {
                return(pvProduct);
            }
            Payment        upfront   = trade.UpfrontFee.get();
            CurrencyAmount pvUpfront = upfrontPricer.presentValue(upfront, ratesProvider.discountFactors(upfront.Currency).toDiscountFactors());

            return(pvProduct.plus(pvUpfront));
        }
Exemplo n.º 14
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        public virtual void pricePufTest()
        {
            double              premium       = 150d * ONE_BP;
            Cds                 product       = Cds.of(BUY, LEGAL_ENTITY, GBP, 1.0e6, START_DATE, END_DATE, Frequency.P3M, DEFAULT_CALENDAR, premium);
            TradeInfo           info          = TradeInfo.builder().tradeDate(TODAY).settlementDate(product.SettlementDateOffset.adjust(TODAY, REF_DATA)).build();
            ResolvedCdsTrade    trade         = CdsTrade.builder().product(product).info(info).build().resolve(REF_DATA);
            NodalCurve          cc            = CALIB.calibrate(ImmutableList.of(trade), DoubleArray.of(0.0123), DoubleArray.of(0.0), CurveName.of("test"), TODAY, DSC_CURVE, REC_RATES, REF_DATA);
            CreditRatesProvider rates         = RATES_PROVIDER.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, GBP), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY, IsdaCreditDiscountFactors.of(GBP, TODAY, cc)))).build();
            double              pointsUpFront = CONV.pointsUpfront(trade, rates, REF_DATA);
            double              cleanPrice    = CONV.cleanPrice(trade, rates, REF_DATA);
            double              cleanPriceRe  = CONV.cleanPriceFromPointsUpfront(pointsUpFront);

            assertEquals(cleanPrice, cleanPriceRe, TOL);
        }
        /// <summary>
        /// Calculates the expected loss of the CDS index product.
        /// <para>
        /// The expected loss is the (undiscounted) expected default settlement value paid by the protection seller.
        /// The resulting value is always positive.
        ///
        /// </para>
        /// </summary>
        /// <param name="cdsIndex">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <returns> the expected loss </returns>
        public virtual CurrencyAmount expectedLoss(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider)
        {
            if (isExpired(cdsIndex, ratesProvider))
            {
                return(CurrencyAmount.of(cdsIndex.Currency, 0d));
            }
            ResolvedCds cds          = cdsIndex.toSingleNameCds();
            double      recoveryRate = underlyingPricer.recoveryRate(cds, ratesProvider);
            Triple <CreditDiscountFactors, LegalEntitySurvivalProbabilities, double> rates = reduceDiscountFactors(cds, ratesProvider);
            double survivalProbability = rates.Second.survivalProbability(cds.ProtectionEndDate);
            double el = (1d - recoveryRate) * (1d - survivalProbability) * rates.Third;

            return(CurrencyAmount.of(cds.Currency, Math.Abs(cds.Notional) * el));
        }
Exemplo n.º 16
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        /// <summary>
        /// Calculates the par spread sensitivity of the product.
        /// <para>
        /// The par spread sensitivity of the product is the sensitivity of par spread to the underlying curves.
        /// The resulting sensitivity is based on the currency of the CDS product.
        ///
        /// </para>
        /// </summary>
        /// <param name="cds">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="referenceDate">  the reference date </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the par spread </returns>
        public virtual PointSensitivityBuilder parSpreadSensitivity(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
        {
            ArgChecker.isTrue(cds.ProtectionEndDate.isAfter(ratesProvider.ValuationDate), "CDS already expired");
            LocalDate stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
            double    recoveryRate       = this.recoveryRate(cds, ratesProvider);
            Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);
            double protectionLeg   = this.protectionLeg(cds, rates.First, rates.Second, referenceDate, effectiveStartDate, recoveryRate);
            double riskyAnnuityInv = 1d / riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, PriceType.CLEAN);

            PointSensitivityBuilder protectionLegSensi = protectionLegSensitivity(cds, rates.First, rates.Second, referenceDate, effectiveStartDate, recoveryRate).multipliedBy(riskyAnnuityInv);
            PointSensitivityBuilder riskyAnnuitySensi  = riskyAnnuitySensitivity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate).multipliedBy(-protectionLeg * riskyAnnuityInv * riskyAnnuityInv);

            return(protectionLegSensi.combinedWith(riskyAnnuitySensi));
        }
Exemplo n.º 17
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        // internal price computation with specified coupon rate
        internal virtual double price(ResolvedCds cds, CreditRatesProvider ratesProvider, double fractionalSpread, LocalDate referenceDate, PriceType priceType, ReferenceData refData)
        {
            if (!cds.ProtectionEndDate.isAfter(ratesProvider.ValuationDate))
            {     //short cut already expired CDSs
                return(0d);
            }
            LocalDate stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
            double    recoveryRate       = this.recoveryRate(cds, ratesProvider);
            Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);
            double protectionLeg = this.protectionLeg(cds, rates.First, rates.Second, referenceDate, effectiveStartDate, recoveryRate);
            double rpv01         = riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, priceType);

            return(protectionLeg - rpv01 * fractionalSpread);
        }
Exemplo n.º 18
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        //-------------------------------------------------------------------------
        /// <summary>
        /// Calculates the recovery01 of the CDS product.
        /// <para>
        /// The recovery01 is defined as the present value sensitivity to the recovery rate.
        /// Since the ISDA standard model requires the recovery rate to be constant throughout the lifetime of the CDS,
        /// one currency amount is returned by this method.
        ///
        /// </para>
        /// </summary>
        /// <param name="cds">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="referenceDate">  the reference date </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the recovery01 </returns>
        public virtual CurrencyAmount recovery01(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
        {
            if (isExpired(cds, ratesProvider))
            {
                return(CurrencyAmount.of(cds.Currency, 0d));
            }
            LocalDate stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);

            validateRecoveryRates(cds, ratesProvider);
            Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);
            double protectionFull = this.protectionFull(cds, rates.First, rates.Second, referenceDate, effectiveStartDate);

            return(CurrencyAmount.of(cds.Currency, -cds.BuySell.normalize(cds.Notional) * protectionFull));
        }
        //-------------------------------------------------------------------------
        /// <summary>
        /// Calculates the risky PV01 of the CDS index product.
        /// <para>
        /// RPV01 is defined as minus of the present value sensitivity to coupon rate.
        ///
        /// </para>
        /// </summary>
        /// <param name="cdsIndex">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="referenceDate">  the reference date </param>
        /// <param name="priceType">  the price type </param>
        /// <param name="refData">  the reference date </param>
        /// <returns> the RPV01 </returns>
        public virtual CurrencyAmount rpv01(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)
        {
            if (isExpired(cdsIndex, ratesProvider))
            {
                return(CurrencyAmount.of(cdsIndex.Currency, 0d));
            }
            ResolvedCds cds                = cdsIndex.toSingleNameCds();
            LocalDate   stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate   effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
            Triple <CreditDiscountFactors, LegalEntitySurvivalProbabilities, double> rates = reduceDiscountFactors(cds, ratesProvider);
            double riskyAnnuity = underlyingPricer.riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, priceType);
            double amount       = cds.BuySell.normalize(cds.Notional) * riskyAnnuity * rates.Third;

            return(CurrencyAmount.of(cds.Currency, amount));
        }
Exemplo n.º 20
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        /// <summary>
        /// Calculates the price sensitivity of the product.
        /// <para>
        /// The price sensitivity of the product is the sensitivity of price to the underlying curves.
        ///
        /// </para>
        /// </summary>
        /// <param name="cds">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="referenceDate">  the reference date </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the present value sensitivity </returns>
        public virtual PointSensitivityBuilder priceSensitivity(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
        {
            if (isExpired(cds, ratesProvider))
            {
                return(PointSensitivityBuilder.none());
            }
            LocalDate stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
            double    recoveryRate       = this.recoveryRate(cds, ratesProvider);
            Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);

            PointSensitivityBuilder protectionLegSensi = protectionLegSensitivity(cds, rates.First, rates.Second, referenceDate, effectiveStartDate, recoveryRate);
            PointSensitivityBuilder riskyAnnuitySensi  = riskyAnnuitySensitivity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate).multipliedBy(-cds.FixedRate);

            return(protectionLegSensi.combinedWith(riskyAnnuitySensi));
        }
Exemplo n.º 21
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        //-------------------------------------------------------------------------
        // extract CDS trades from credit curve
        private ImmutableList <ResolvedCdsTrade> getBucketCds(ResolvedCds product, CreditRatesProvider ratesProvider)
        {
            CreditDiscountFactors creditCurve = ratesProvider.survivalProbabilities(product.LegalEntityId, product.Currency).SurvivalProbabilities;
            int nNodes = creditCurve.ParameterCount;

            ImmutableList.Builder <ResolvedCdsTrade> builder = ImmutableList.builder();
            for (int i = 0; i < nNodes; ++i)
            {
                ParameterMetadata metadata = creditCurve.getParameterMetadata(i);
                ArgChecker.isTrue(metadata is ResolvedTradeParameterMetadata, "ParameterMetadata of credit curve must be ResolvedTradeParameterMetadata");
                ResolvedTradeParameterMetadata tradeMetadata = (ResolvedTradeParameterMetadata)metadata;
                ResolvedTrade trade = tradeMetadata.Trade;
                ArgChecker.isTrue(trade is ResolvedCdsTrade, "ResolvedTrade must be ResolvedCdsTrade");
                builder.add((ResolvedCdsTrade)trade);
            }
            return(builder.build());
        }
Exemplo n.º 22
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        public virtual void test_bondDiscountingProvider()
        {
            LocalDate valDate = LocalDate.of(2015, 6, 30);
            Curve     ccAUsd  = ConstantNodalCurve.of(Curves.zeroRates(CC_A_USD.CurveName, ACT_365F), 0.5d, 1.5d);
            Curve     ccBGbp  = ConstantNodalCurve.of(Curves.zeroRates(CC_B_GBP.CurveName, ACT_365F), 0.5d, 2d);
            Curve     ccAGbp  = ConstantNodalCurve.of(Curves.zeroRates(CC_A_GBP.CurveName, ACT_365F), 0.5d, 3d);
            Curve     dcGbp   = ConstantNodalCurve.of(Curves.zeroRates(DC_GBP.CurveName, ACT_365F), 0.5d, 0.1d);
            Curve     dcUsd   = ConstantNodalCurve.of(Curves.zeroRates(DC_USD.CurveName, ACT_365F), 0.5d, 0.05d);
            Curve     rcA     = ConstantCurve.of(Curves.recoveryRates(RC_A.CurveName, ACT_365F), 0.5d);
            Curve     rcB     = ConstantCurve.of(Curves.recoveryRates(RC_B.CurveName, ACT_365F), 0.4234d);
            IDictionary <CurveId, Curve> curveMap = new Dictionary <CurveId, Curve>();

            curveMap[CC_A_USD] = ccAUsd;
            curveMap[CC_B_GBP] = ccBGbp;
            curveMap[CC_A_GBP] = ccAGbp;
            curveMap[DC_USD]   = dcUsd;
            curveMap[DC_GBP]   = dcGbp;
            curveMap[RC_A]     = rcA;
            curveMap[RC_B]     = rcB;
            MarketData          md       = ImmutableMarketData.of(valDate, ImmutableMap.copyOf(curveMap));
            CreditRatesProvider provider = LOOKUP_WITH_SOURCE.creditRatesProvider(md);

            assertEquals(provider.ValuationDate, valDate);
            assertEquals(provider.findData(CC_A_USD.CurveName), ccAUsd);
            assertEquals(provider.findData(DC_USD.CurveName), dcUsd);
            assertEquals(provider.findData(RC_B.CurveName), rcB);
            assertEquals(provider.findData(CurveName.of("Rubbish")), null);
            // check credit curve
            LegalEntitySurvivalProbabilities cc      = provider.survivalProbabilities(ISSUER_A, GBP);
            IsdaCreditDiscountFactors        ccUnder = (IsdaCreditDiscountFactors)cc.SurvivalProbabilities;

            assertEquals(ccUnder.Curve.Name, ccAGbp.Name);
            assertThrowsRuntime(() => provider.survivalProbabilities(ISSUER_B, USD));
            assertThrowsRuntime(() => provider.survivalProbabilities(ISSUER_C, USD));
            // check discount curve
            IsdaCreditDiscountFactors dc = (IsdaCreditDiscountFactors)provider.discountFactors(USD);

            assertEquals(dc.Curve.Name, dcUsd.Name);
            assertThrowsRuntime(() => provider.discountFactors(EUR));
            // check recovery rate curve
            ConstantRecoveryRates rc = (ConstantRecoveryRates)provider.recoveryRates(ISSUER_B);

            assertEquals(rc.RecoveryRate, rcB.getParameter(0));
            assertThrowsRuntime(() => provider.recoveryRates(ISSUER_C));
        }
Exemplo n.º 23
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        /// <summary>
        /// Converts points upfront to quoted spread.
        /// <para>
        /// Thus {@code quote} must be {@code CdsQuoteConvention.POINTS_UPFRONT}.
        /// </para>
        /// <para>
        /// The relevant discount curve and recovery rate curve must be stored in {@code ratesProvider}.
        /// The credit curve is internally calibrated to convert one quote type to the other quote type.
        ///
        /// </para>
        /// </summary>
        /// <param name="trade">  the trade </param>
        /// <param name="quote">  the quote </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the quote </returns>
        public virtual CdsQuote quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData)
        {
            ArgChecker.notNull(trade, "trade");
            ArgChecker.notNull(quote, "quote");
            ArgChecker.notNull(ratesProvider, "ratesProvider");
            ArgChecker.notNull(refData, "refData");
            ArgChecker.isTrue(quote.QuoteConvention.Equals(CdsQuoteConvention.POINTS_UPFRONT), "quote must be points upfront");

            ResolvedCds         product          = trade.Product;
            Currency            currency         = product.Currency;
            StandardId          legalEntityId    = product.LegalEntityId;
            LocalDate           valuationDate    = ratesProvider.ValuationDate;
            NodalCurve          creditCurve      = calibrator.calibrate(ImmutableList.of(trade), DoubleArray.of(product.FixedRate), DoubleArray.of(quote.QuotedValue), CurveName.of("temp"), valuationDate, ratesProvider.discountFactors(currency), ratesProvider.recoveryRates(legalEntityId), refData);
            CreditRatesProvider ratesProviderNew = ratesProvider.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurve)))).build();
            double sp = pricer.parSpread(trade, ratesProviderNew, refData);

            return(CdsQuote.of(CdsQuoteConvention.QUOTED_SPREAD, sp));
        }
        //-------------------------------------------------------------------------
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void sensitivity_credit_isda()
        public virtual void sensitivity_credit_isda()
        {
            LocalDate                         valuationDate = LocalDate.of(2014, 1, 3);
            CreditRatesProvider               rates         = CreditRatesProviderDataSets.createCreditRatesProvider(valuationDate);
            CurrencyParameterSensitivities    sensiComputed = FD_CALCULATOR.sensitivity(rates, this.creditFunction);
            IList <IsdaCreditDiscountFactors> curves        = CreditRatesProviderDataSets.getAllDiscountFactors(valuationDate);

            assertEquals(sensiComputed.size(), curves.Count);
            foreach (IsdaCreditDiscountFactors curve in curves)
            {
                DoubleArray time = curve.ParameterKeys;
                DoubleArray sensiValueComputed = sensiComputed.getSensitivity(curve.Curve.Name, USD).Sensitivity;
                assertEquals(sensiValueComputed.size(), time.size());
                for (int i = 0; i < time.size(); i++)
                {
                    assertEquals(time.get(i), sensiValueComputed.get(i), TOLERANCE_DELTA);
                }
            }
        }
Exemplo n.º 25
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        //-------------------------------------------------------------------------
        /// <summary>
        /// Calculates the jump-to-default of the CDS product.
        /// <para>
        /// The jump-to-default is the value of the product in case of immediate default.
        ///
        /// </para>
        /// </summary>
        /// <param name="cds">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="referenceDate">  the reference date </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the jump-to-default </returns>
        public virtual JumpToDefault jumpToDefault(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
        {
            StandardId legalEntityId = cds.LegalEntityId;
            Currency   currency      = cds.Currency;

            if (isExpired(cds, ratesProvider))
            {
                return(JumpToDefault.of(currency, ImmutableMap.of(legalEntityId, 0d)));
            }
            LocalDate stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
            double    recoveryRate       = this.recoveryRate(cds, ratesProvider);
            Pair <CreditDiscountFactors, LegalEntitySurvivalProbabilities> rates = reduceDiscountFactors(cds, ratesProvider);
            double protectionFull = this.protectionFull(cds, rates.First, rates.Second, referenceDate, effectiveStartDate);
            double lgd            = 1d - recoveryRate;
            double rpv01          = riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, PriceType.CLEAN);
            double jtd            = lgd - (lgd * protectionFull - cds.FixedRate * rpv01);

            return(JumpToDefault.of(currency, ImmutableMap.of(legalEntityId, cds.BuySell.normalize(cds.Notional) * jtd)));
        }
Exemplo n.º 26
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        /// <summary>
        /// The par spread quotes are converted to points upfronts or quoted spreads.
        /// <para>
        /// The relevant discount curve and recovery rate curve must be stored in {@code ratesProvider}.
        /// The credit curve is internally calibrated to par spread values.
        /// </para>
        /// <para>
        /// {@code trades} must be sorted in ascending order in maturity and coherent to {@code quotes}.
        /// </para>
        /// <para>
        /// The resultant quote is specified by {@code targetConvention}.
        ///
        /// </para>
        /// </summary>
        /// <param name="trades">  the trades </param>
        /// <param name="quotes">  the quotes </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="targetConvention">  the target convention </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the quotes </returns>
        public virtual IList <CdsQuote> quotesFromParSpread(IList <ResolvedCdsTrade> trades, IList <CdsQuote> quotes, CreditRatesProvider ratesProvider, CdsQuoteConvention targetConvention, ReferenceData refData)
        {
            ArgChecker.noNulls(trades, "trades");
            ArgChecker.noNulls(quotes, "quotes");
            ArgChecker.notNull(ratesProvider, "ratesProvider");
            ArgChecker.notNull(targetConvention, "targetConvention");
            ArgChecker.notNull(refData, "refData");

            int nNodes = trades.Count;

            ArgChecker.isTrue(quotes.Count == nNodes, "trades and quotes must be the same size");
            quotes.ForEach(q => ArgChecker.isTrue(q.QuoteConvention.Equals(CdsQuoteConvention.PAR_SPREAD), "quote must be par spread"));
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
            IEnumerator <StandardId> legalEntities = trades.Select(t => t.Product.LegalEntityId).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 trades");
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
            IEnumerator <Currency> currencies = trades.Select(t => t.Product.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 trades");

            LocalDate             valuationDate    = ratesProvider.ValuationDate;
            CreditDiscountFactors discountFactors  = ratesProvider.discountFactors(currency);
            RecoveryRates         recoveryRates    = ratesProvider.recoveryRates(legalEntityId);
            NodalCurve            creditCurve      = calibrator.calibrate(trades, DoubleArray.of(nNodes, q => quotes[q].QuotedValue), DoubleArray.filled(nNodes), CurveName.of("temp"), valuationDate, discountFactors, recoveryRates, refData);
            CreditRatesProvider   ratesProviderNew = ratesProvider.toImmutableCreditRatesProvider().toBuilder().creditCurves(ImmutableMap.of(Pair.of(legalEntityId, currency), LegalEntitySurvivalProbabilities.of(legalEntityId, IsdaCreditDiscountFactors.of(currency, valuationDate, creditCurve)))).build();

            System.Func <ResolvedCdsTrade, CdsQuote> quoteValueFunction = createQuoteValueFunction(ratesProviderNew, targetConvention, refData);
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
            ImmutableList <CdsQuote> result = trades.Select(c => quoteValueFunction(c)).collect(Collectors.collectingAndThen(Collectors.toList(), ImmutableList.copyOf));

            return(result);
        }
        //-------------------------------------------------------------------------
        /// <summary>
        /// Calculates the jump-to-default of the CDS index product.
        /// <para>
        /// The jump-to-default is the value of the product in case of immediate default of a constituent single name.
        /// </para>
        /// <para>
        /// Under the homogeneous pool assumption, the jump-to-default values are the same for all of the undefaulted names,
        /// and zero for defaulted names. Thus the resulting object contains a single number.
        ///
        /// </para>
        /// </summary>
        /// <param name="cdsIndex">  the product </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="referenceDate">  the reference date </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the recovery01 </returns>
        public virtual JumpToDefault jumpToDefault(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
        {
            StandardId indexId  = cdsIndex.CdsIndexId;
            Currency   currency = cdsIndex.Currency;

            if (isExpired(cdsIndex, ratesProvider))
            {
                return(JumpToDefault.of(currency, ImmutableMap.of(indexId, 0d)));
            }
            ResolvedCds cds                = cdsIndex.toSingleNameCds();
            LocalDate   stepinDate         = cds.StepinDateOffset.adjust(ratesProvider.ValuationDate, refData);
            LocalDate   effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
            double      recoveryRate       = underlyingPricer.recoveryRate(cds, ratesProvider);
            Triple <CreditDiscountFactors, LegalEntitySurvivalProbabilities, double> rates = reduceDiscountFactors(cds, ratesProvider);
            double protectionFull = underlyingPricer.protectionFull(cds, rates.First, rates.Second, referenceDate, effectiveStartDate);
            double rpv01          = underlyingPricer.riskyAnnuity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate, PriceType.CLEAN);
            double lgd            = 1d - recoveryRate;
            double numTotal       = cdsIndex.LegalEntityIds.size();
            double jtd            = (lgd - (lgd * protectionFull - cds.FixedRate * rpv01)) / numTotal;

            return(JumpToDefault.of(currency, ImmutableMap.of(indexId, cds.BuySell.normalize(cds.Notional) * jtd)));
        }
        /// <summary>
        /// Calculates the market quote sensitivities from parameter sensitivity.
        /// <para>
        /// This calculates the market quote sensitivities of credit derivatives.
        /// The input parameter sensitivities must be computed based on the credit rates provider.
        ///
        /// </para>
        /// </summary>
        /// <param name="paramSensitivities">  the curve parameter sensitivities </param>
        /// <param name="provider">  the credit rates provider, containing Jacobian calibration information </param>
        /// <returns> the market quote sensitivities </returns>
        public virtual CurrencyParameterSensitivities sensitivity(CurrencyParameterSensitivities paramSensitivities, CreditRatesProvider provider)
        {
            CurrencyParameterSensitivities result = CurrencyParameterSensitivities.empty();

            foreach (CurrencyParameterSensitivity paramSens in paramSensitivities.Sensitivities)
            {
                // find the matching calibration info
                Curve curve = provider.findData(paramSens.MarketDataName).filter(v => v is Curve).map(v => (Curve)v).orElseThrow(() => new System.ArgumentException("Market Quote sensitivity requires curve: " + paramSens.MarketDataName));
                JacobianCalibrationMatrix info = curve.Metadata.findInfo(CurveInfoType.JACOBIAN).orElseThrow(() => new System.ArgumentException("Market Quote sensitivity requires Jacobian calibration information"));

                // calculate the market quote sensitivity using the Jacobian
                DoubleMatrix jacobian              = info.JacobianMatrix;
                DoubleArray  paramSensMatrix       = paramSens.Sensitivity;
                DoubleArray  marketQuoteSensMatrix = (DoubleArray)MATRIX_ALGEBRA.multiply(paramSensMatrix, jacobian);
                DoubleArray  marketQuoteSens       = marketQuoteSensMatrix;

                // split between different curves
                IDictionary <CurveName, DoubleArray> split = info.splitValues(marketQuoteSens);
                foreach (KeyValuePair <CurveName, DoubleArray> entry in split.SetOfKeyValuePairs())
                {
                    CurveName curveName = entry.Key;
                    CurrencyParameterSensitivity maketQuoteSens = provider.findData(curveName).map(c => c.createParameterSensitivity(paramSens.Currency, entry.Value)).orElse(CurrencyParameterSensitivity.of(curveName, paramSens.Currency, entry.Value));
                    result = result.combinedWith(maketQuoteSens);
                }
            }
            return(result);
        }
Exemplo n.º 29
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        /// <summary>
        /// Computes the market clean price.
        /// <para>
        /// The market clean price is usually expressed in percentage.
        /// Here a fraction of notional is returned, e.g., 0.98 is 98(%) clean price.
        /// </para>
        /// <para>
        /// A relevant credit curve must be pre-calibrated and stored in {@code ratesProvider}.
        ///
        /// </para>
        /// </summary>
        /// <param name="trade">  the trade </param>
        /// <param name="ratesProvider">  the rates provider </param>
        /// <param name="refData">  the reference data </param>
        /// <returns> the clean price </returns>
        public virtual double cleanPrice(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
        {
            double puf = pointsUpfront(trade, ratesProvider, refData);

            return(1d - puf);
        }
Exemplo n.º 30
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 /// <summary>
 /// Computes the points upfront.
 /// <para>
 /// The points upfront quote is usually expressed in percentage.
 /// Here a fraction of notional is returned, e.g., 0.01 is 1(%) points up-front
 /// </para>
 /// <para>
 /// The relevant credit curve must be pre-calibrated and stored in {@code ratesProvider}.
 ///
 /// </para>
 /// </summary>
 /// <param name="trade">  the trade </param>
 /// <param name="ratesProvider">  the rates provider </param>
 /// <param name="refData">  the reference data </param>
 /// <returns> the points upfront </returns>
 public virtual double pointsUpfront(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)
 {
     return(pricer.price(trade, ratesProvider, PriceType.CLEAN, refData));
 }