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);
}
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);
}