public double discount(DateTime enddate)
{
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
double t1 = (double)dc.DayCount(latestReference_, enddate) / 365;
return(Math.Exp(-getRT_(t1)));
}
public double getRT(DateTime t1)
{
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
double t_ = (double)dc.DayCount(latestReference_, t1) / 365;
return(getRT_(t_));
}
public double SurvivalProb(DateTime enddate)
{
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
double t1 = (double)dc.DayCount(latestReference_.AddDays(1), enddate) / 365;
return(Math.Exp(-getRT_(t1)));
}
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);
}
public void addhazardrate(DateTime jumpdate, double hazardrate)
{
jumps_.Add(hazardrate);
jumpDates_.Add(jumpdate);
nJumps_ += 1;
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
double x = (double)dc.DayCount(latestReference_, jumpDates_[nJumps_ - 1]) / 365;
t.Add(x);
rt.Add(jumps_[nJumps_ - 1] * t[nJumps_ - 1]);
}
public YieldTermStructure withDiscountFactor(double discountFactor, int index)
{
int n = this.t.Count;
List <double> t_ = this.t;
List <double> rt_ = this.rt;
rt_[index] = -Math.Log(discountFactor);
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
YieldTermStructure temp = new YieldTermStructure(latestReference_, jumps_, jumpDates_, t_, rt_);
return(temp);
}
public CDS(double Coupon, double notional, DateTime maturity, DateTime firstpaymentday, DateTime tradedate,
DateTime formerpaymentday, string frequency, double recovery, int settlement, int Cashsettlement)
{
// Product Setup
OMLib.Conventions.DayCount.Actual360 AccuralDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
Calendar calendar = new UnitedStates();
formerpaymentday = calendar.adjust(formerpaymentday, BusinessDayConvention.Following);
int accrued = AccuralDCC.DayCount(formerpaymentday, calendar.adjust(tradedate, BusinessDayConvention.Following)) + 1;
this.accruedday = accrued;
this.marketvalue = new double();
this.accruedamt = notional * Coupon * accrued / 360;
this.Notional = notional;
this._payAccOnDefault = true;
OMLib.Conventions.BusinessDayConvention convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate);
this.tradedate = calendar.adjust(tradedate, BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Recovery = recovery;
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, firstpaymentday);
this.firstpaymentdate = CdsAnalyticFactory.getNextIMMDate(tradedate); /*convention.AdjustedDate;*/
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, formerpaymentday);
this.formerpaymentdate = CdsAnalyticFactory.getPrevIMMDate(tradedate);//calendar.adjust(formerpaymentday,BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Maturity = maturity;
this.PremiumRate = Coupon;
this.Frequency = frequency;
this.Cashsettlement = Cashsettlement;
DateTime valueDate = calendar.adjust(tradedate.AddDays(Cashsettlement));
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate.AddDays(3));
this.evalDate = calendar.adjust(tradedate.AddDays(settlement), BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Payment_Schedule = PremiumDates(this.Maturity, CdsAnalyticFactory.getNextIMMDate(tradedate), this.Frequency);
QLNet.Calendar.OrthodoxImpl cal = new Calendar.OrthodoxImpl();
IsdaPremiumLegSchedule paymentSchedule = new IsdaPremiumLegSchedule(formerpaymentdate, maturity, payment_interval, StubConvention.SHORT_INITIAL, QLNet.BusinessDayConvention.ModifiedFollowing, cal, true);
_coupons = CdsCoupon.makeCoupons(tradedate, paymentSchedule, true, ACT_360, ACT_365);
OMLib.Conventions.DayCount.Actual365 CurveDCC = new OMLib.Conventions.DayCount.Actual365();
DateTime effectiveStartDate = tradedate;
_accStart = DateTime.Compare(formerpaymentdate, tradedate) < 0 ?-CurveDCC.YearFraction(formerpaymentdate, tradedate) :
CurveDCC.YearFraction(tradedate, formerpaymentdate);
_cashSettlementTime = CurveDCC.YearFraction(tradedate, valueDate);
_effectiveProtectionStart = DateTime.Compare(effectiveStartDate, tradedate) < 0 ?
-CurveDCC.YearFraction(effectiveStartDate, tradedate) :
CurveDCC.YearFraction(tradedate, effectiveStartDate);
_protectionEnd = CurveDCC.YearFraction(tradedate, maturity);
DateTime accStart = paymentSchedule.getAccStartDate(0);
}
public YieldTermStructure(DateTime referenceDate, List <double> rates = null, List <DateTime> jumpDates = null,
List <double> t_ = null, List <double> RT = null)
{
List <DateTime> jumpDates_ = new List <DateTime>();
t = new List <double>();
rt = new List <double>();
jumps_ = new List <double>();
jumpDates_ = new List <DateTime>();
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
latestReference_ = referenceDate;
if (rates != null)
{
this.jumps_ = rates;
}
nJumps_ = jumps_.Count;
if (t_ != null)
{
t = t_;
}
if (nJumps_ > 0)
{
this.jumpDates_ = jumpDates;
}
if (nJumps_ > 0 && (t == null) || (RT == null))
{
if (t == null)
{
for (int i = 0; i < nJumps_; i++)
{
t.Add(dc.YearFraction(latestReference_, jumpDates[i]));
rt.Add(jumps_[i] * t[i]);
}
}
else //t not null, rt null
{
for (int i = 0; i < nJumps_; i++)
{
rt.Add(jumps_[i] * t[i]);
}
}
}
if (RT != null && t_ != null)
{
rt = RT;
t = t_;
}
}
public BasicFixedLeg(
DateTime spotDate,
DateTime mat,
int swapInterval
)
{
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates cal = new QLNet.UnitedStates();
List <DateTime> list = new List <DateTime>();
DateTime tDate = mat;
int step = 1;
while (DateTime.Compare(tDate, spotDate) > 0)
{
list.Add(tDate);
tDate = mat.AddMonths(-swapInterval * (step++));
}
// remove spotDate from list, if it ends up there
list.Remove(spotDate);
_nPayments = list.Count();
_swapPaymentTimes = new double[_nPayments];
_yearFraction = new double[_nPayments];
DateTime prev = spotDate;
int j = _nPayments - 1;
for (int i = 0; i < _nPayments; i++, j--)
{
DateTime current = list[j];
DateTime adjCurr = cal.adjust(current, QLNet.BusinessDayConvention.Following);
_yearFraction[i] = swapDCC.YearFraction(prev, adjCurr);
_swapPaymentTimes[i] = curveDCC.YearFraction(spotDate, adjCurr); // Payment times always good business days
prev = adjCurr;
}
}
public double calculateSinglePeriodAccrualOnDefault(CdsCoupon[] cf, double coupon,
DateTime tradedate,
YieldTermStructure yieldCurve,
PiecewiseconstantHazardRate creditCurve, DateTime lastpayment)
{
double Acc = 0;
DateTime effectiveStart = tradedate.AddDays(1);
for (int i = 0; i < cf.Length; ++i)
{
//Accured on default
double t_0 = (i > 0) ? cf[i].getEffStart() : 0;
double T = cf[i].getEffEnd();
T = cf[i].getPaymentTime();
List <double> knots = new List <double>();
knots.Add(t_0);
for (int j = 0; j < yieldCurve.t.Count; j++)
{
if ((yieldCurve.t[j] < T) && (t_0 < yieldCurve.t[j]))
{
knots.Add(yieldCurve.t[j]);
}
}
knots.Add(T);
double t = knots[0];
double ht0 = creditCurve.getRT_(t);
double rt0 = yieldCurve.getRT_(t);
double b0 = Math.Exp(-rt0 - ht0); // this is the risky discount factor
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
double t0;
if (i == 0)
{
t0 = knots[0] - cf[0].getEffStart();
}
else
{
t0 = knots[0] - cf[i].getEffStart();
}
double pv = 0.0;
int nItems = knots.Count;
for (int j = 1; j < nItems; ++j)
{
t = knots[j];
double ht1 = creditCurve.getRT_(t);
double rt1 = yieldCurve.getRT_(t);
double b1 = Math.Exp(-rt1 - ht1);
double dt = knots[j] - knots[j - 1];
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt + 1e-50;
double tPV;
double t1;
if (i == 0)
{
t1 = knots[j] - cf[0].getEffStart();
}
else
{
t1 = knots[j] - cf[i].getEffStart();
}
if (Math.Abs(dhrt) < 1e-5)
{
tPV = dht * b0 * (t0 * (Math.Exp(-dhrt) - 1) / (-dhrt) + dt * ((-dhrt - 1) * (Math.Exp(-dhrt) - 1) - dhrt) / (dhrt * dhrt));
}
else
{
tPV = dht * dt / dhrt * ((b0 - b1) / dhrt - b1);
}
t0 = t1;
pv += tPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
Acc += pv;
}
return(Acc);
}
//public double ProtectionLeg_Approx(List<CashFlow> cf, double notional, PiecewiseconstantHazardRate HazardTermStructure,
// YieldTermStructure yt, DateTime tradedate, DateTime settlementDate, double recoveryrate)
//{
// if (cf.Count() == 0)
// {
// return 0.0;
// }
// double totalNPV = 0.0;
// for (int i = 0; i < cf.Count; ++i)
// {
// if (i == 0)
// {
// totalNPV += (1 - recoveryrate)*notional * cf[i].DiscountFactor * (1- cf[i].Survivalprobability);
// }
// else
// {
// totalNPV += notional * cf[i].DiscountFactor * (cf[i - 1].Survivalprobability
// - cf[i].Survivalprobability) * (1 - recoveryrate);
// }
// }
// return totalNPV/yt.discount(settlementDate);
//}
public double calculateSinglePeriodAccrualOnDefault(List <CashFlow> cf, double coupon,
DateTime tradedate,
YieldTermStructure yieldCurve,
PiecewiseconstantHazardRate creditCurve, List <DateTime> Jumps, DateTime lastpayment)
{
double Acc = 0;
DateTime effectiveStart = tradedate.AddDays(1);
for (int i = 0; i < cf.Count; ++i)
{
//Accured on default
DateTime t_0 = (i > 0) ? cf[i - 1].CashFlowDate.AddDays(-1) : tradedate;
DateTime T = cf[i].CashFlowDate;
if (i == cf.Count - 1)
{
T = cf[i].CashFlowDate;
}
else
{
T = cf[i].CashFlowDate.AddDays(-1);
}
List <DateTime> knots = new List <DateTime>();
knots.Add(t_0);
for (int j = 0; j < Jumps.Count; j++)
{
if ((DateTime.Compare(Jumps[j], T) < 0) && (DateTime.Compare(t_0, Jumps[j]) < 0))
{
knots.Add(Jumps[j]);
}
}
knots.Add(T);
DateTime t = knots[0];
double ht0 = creditCurve.getRT(t);
double rt0 = yieldCurve.getRT(t);
double b0 = Math.Exp(-rt0 - ht0); // this is the risky discount factor
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
double t0;
if (i == 0)
{
t0 = (double)dc.DayCount(lastpayment.AddDays(1), knots[0]) / 365;
}
else
{
t0 = (double)dc.DayCount(cf[i].CashFlowDate.AddDays(1), knots[0]) / 365;
}
double pv = 0.0;
int nItems = knots.Count;
for (int j = 1; j < nItems; ++j)
{
t = knots[j];
double ht1 = creditCurve.getRT(t);
double rt1 = yieldCurve.getRT(t);
double b1 = Math.Exp(-rt1 - ht1);
double dt = (double)dc.DayCount(knots[j - 1], knots[j]) / 365;
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt + 1e-50;
double tPV;
double t1;
if (i == 0)
{
t1 = (double)dc.DayCount(lastpayment.AddDays(1), knots[j]) / 365;
}
else
{
t1 = (double)dc.DayCount(cf[i].CashFlowDate.AddDays(1), knots[j]) / 365;
}
if (Math.Abs(dhrt) < 1e-5)
{
tPV = dht * b0 * (t0 * (Math.Exp(-dhrt) - 1) / (-dhrt) + dt * ((-dhrt - 1) * (Math.Exp(-dhrt) - 1) - dhrt) / (dhrt * dhrt));
}
else
{
tPV = dht * dt / dhrt * ((b0 - b1) / dhrt - b1);
}
t0 = t1;
pv += tPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
Acc += pv;
}
return(Acc);
}
public YieldTermStructure calculation(DateTime tradedate, List <double> QuotedSpot)
{
DateTime SpotDate = tradedate.AddDays(2);
/*********************
*
* ** CURVE BUILDING **
*
* *********************/
DateTime d1m = SpotDate.AddMonths(1);
DateTime d2m = SpotDate.AddMonths(2);
DateTime d3m = SpotDate.AddMonths(3);
DateTime d6m = SpotDate.AddMonths(6);
DateTime d9m = SpotDate.AddMonths(9);
DateTime d1y = SpotDate.AddYears(1);
DateTime d2y = SpotDate.AddYears(2);
DateTime d3y = SpotDate.AddYears(3);
DateTime d4y = SpotDate.AddYears(4);
DateTime d5y = SpotDate.AddYears(5);
DateTime d6y = SpotDate.AddYears(6);
DateTime d7y = SpotDate.AddYears(7);
DateTime d8y = SpotDate.AddYears(8);
DateTime d9y = SpotDate.AddYears(9);
DateTime d10y = SpotDate.AddYears(10);
DateTime d11y = SpotDate.AddYears(11);
DateTime d12y = SpotDate.AddYears(12);
DateTime d15y = SpotDate.AddYears(15);
DateTime d20y = SpotDate.AddYears(20);
DateTime d25y = SpotDate.AddYears(25);
DateTime d30y = SpotDate.AddYears(30);
List <DateTime> dates = new List <DateTime>();
dates.Add(d1m);
dates.Add(d2m);
dates.Add(d3m);
dates.Add(d6m);
dates.Add(d9m);
dates.Add(d1y);
dates.Add(d2y);
dates.Add(d3y);
dates.Add(d4y);
dates.Add(d5y);
dates.Add(d6y);
dates.Add(d7y);
dates.Add(d8y);
dates.Add(d9y);
dates.Add(d10y);
dates.Add(d11y);
dates.Add(d12y);
dates.Add(d15y);
dates.Add(d20y);
dates.Add(d25y);
dates.Add(d30y);
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
String[] YIELD_CURVE_POINTS = new String[] { "1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y",
"6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
String[] YIELD_CURVE_INSTRUMENTS = new String[] { "M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S",
"S", "S", "S", "S", "S", "S", "S", "S", "S", "S" };
DateTime today = tradedate;
List <DateTime> matDates = dates;
List <DateTime> adjMatDates = new List <DateTime>();
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
for (int i = 0; i < matDates.Count; i++)
{
adjMatDates.Add(calendar.adjust(matDates[i], QLNet.BusinessDayConvention.Following));
}
adjMatDates[2] = adjMatDates[2].AddDays(-1);
int nMM = 0;
int n = YIELD_CURVE_INSTRUMENTS.Count();
double[] _t = new double[n];
for (int i = 0; i < n; i++)
{
_t[i] = curveDCC.YearFraction(SpotDate, adjMatDates[i]);
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
nMM++;
}
}
int nSwap = n - nMM;
double[] _mmYF = new double[nMM];
BasicFixedLeg[] _swaps = new BasicFixedLeg[nSwap];
int mmCount = 0;
int swapCount = 0;
int swapInterval = 12;
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
_mmYF[mmCount++] = moneyMarketDCC.YearFraction(SpotDate, adjMatDates[i]);
}
else
{
_swaps[swapCount++] = new BasicFixedLeg(SpotDate, matDates[i], swapInterval);
}
}
double _offset = DateTime.Compare(tradedate, SpotDate) > 0 ? curveDCC.YearFraction(SpotDate, tradedate) : -curveDCC.YearFraction(
tradedate, SpotDate);
YieldTermStructure curve = new YieldTermStructure(tradedate, QuotedSpot, dates, _t.ToList(), null);
int mmCount_ = 0;
int swapCount_ = 0;
double[] rt_ = new double[n];
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
double z = 1.0 / (1 + QuotedSpot[i] * _mmYF[mmCount_++]);
YieldTermStructure tempcurve = curve.withDiscountFactor(z, i);
curve = tempcurve;
}
else
{
curve = curve.fitSwap(i, _swaps[swapCount_++], curve, QuotedSpot[i]);
}
}
YieldTermStructure baseCurve = curve;
List <double> ZeroRates = curve.getKnotZeroRates();
if (_offset == 0.0)
{
return(baseCurve);
}
this.Nodes = dates;
return(baseCurve.withOffset(_offset));
}
public YieldTermStructure calculation2(DateTime tradedate, List <double> QuotedSpot)
{
/*********************
*** MARKET DATA ***
*********************/
QLNet.UnitedStates cal = new QLNet.UnitedStates();
DateTime SpotDate = tradedate.AddDays(4);
//DateTime SpotDate = cal.advance(tradedate,2,QLNet.TimeUnit.Days,QLNet.BusinessDayConvention.ModifiedFollowing);
// must be a business day
/*********************
*
* ** CURVE BUILDING **
*
* *********************/
DateTime d1m = SpotDate.AddMonths(1);
DateTime d2m = SpotDate.AddMonths(2);
DateTime d3m = SpotDate.AddMonths(3);
DateTime d6m = SpotDate.AddMonths(6);
DateTime d1y = SpotDate.AddYears(1);
DateTime d2y = SpotDate.AddYears(2);
DateTime d3y = SpotDate.AddYears(3);
DateTime d4y = SpotDate.AddYears(4);
DateTime d5y = SpotDate.AddYears(5);
DateTime d6y = SpotDate.AddYears(6);
DateTime d7y = SpotDate.AddYears(7);
DateTime d8y = SpotDate.AddYears(8);
DateTime d9y = SpotDate.AddYears(9);
DateTime d10y = SpotDate.AddYears(10);
DateTime d12y = SpotDate.AddYears(12);
DateTime d15y = SpotDate.AddYears(15);
DateTime d20y = SpotDate.AddYears(20);
DateTime d25y = SpotDate.AddYears(25);
DateTime d30y = SpotDate.AddYears(30);
List <DateTime> dates = new List <DateTime>();
dates.Add(d1m);
dates.Add(d2m);
dates.Add(d3m);
dates.Add(d6m);
dates.Add(d1y);
dates.Add(d2y);
dates.Add(d3y);
dates.Add(d4y);
dates.Add(d5y);
dates.Add(d6y);
dates.Add(d7y);
dates.Add(d8y);
dates.Add(d9y);
dates.Add(d10y);
dates.Add(d12y);
dates.Add(d15y);
dates.Add(d20y);
dates.Add(d25y);
dates.Add(d30y);
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates calendar = new QLNet.UnitedStates();
String[] YIELD_CURVE_POINTS = new String[] { "1M", "2M", "3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y",
"6Y", "7Y", "8Y", "9Y", "10Y", "12Y", "15Y", "20Y", "25Y", "30Y" };
String[] YIELD_CURVE_INSTRUMENTS = new String[] { "M", "M", "M", "M", "M", "S", "S", "S", "S", "S",
"S", "S", "S", "S", "S", "S", "S", "S", "S" };
List <double> YIELD_CURVE_RATES = QuotedSpot;
DateTime spotDate = SpotDate;
List <DateTime> matDates = dates;
List <DateTime> adjMatDates = new List <DateTime>();
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
for (int i = 0; i < matDates.Count; i++)
{
adjMatDates.Add(calendar.adjust(matDates[i], QLNet.BusinessDayConvention.ModifiedFollowing));
}
int nMM = 0;
int n = YIELD_CURVE_INSTRUMENTS.Count();
double[] _t = new double[n];
for (int i = 0; i < n; i++)
{
_t[i] = curveDCC.YearFraction(spotDate, adjMatDates[i]);
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
nMM++;
}
}
int nSwap = n - nMM;
double[] _mmYF = new double[nMM];
BasicFixedLeg[] _swaps = new BasicFixedLeg[nSwap];
int mmCount = 0;
int swapCount = 0;
int swapInterval = 6;
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
_mmYF[mmCount++] = moneyMarketDCC.YearFraction(spotDate, adjMatDates[i]);
}
else
{
_swaps[swapCount++] = new BasicFixedLeg(spotDate, matDates[i], swapInterval);
}
}
double _offset = DateTime.Compare(tradedate, spotDate) > 0 ? curveDCC.YearFraction(spotDate, tradedate) : -curveDCC.YearFraction(
tradedate, spotDate);
YieldTermStructure curve = new YieldTermStructure(tradedate, YIELD_CURVE_RATES, dates, _t.ToList(), null);
int mmCount_ = 0;
int swapCount_ = 0;
double[] rt_ = new double[n];
for (int i = 0; i < n; i++)
{
if (YIELD_CURVE_INSTRUMENTS[i] == "M")
{
// TODO in ISDA code money market instruments of less than 21 days have special treatment
double z = 1.0 / (1 + YIELD_CURVE_RATES[i] * _mmYF[mmCount_++]);
YieldTermStructure tempcurve = curve.withDiscountFactor(z, i);
curve = tempcurve;
}
else
{
curve = curve.fitSwap(i, _swaps[swapCount_++], curve, YIELD_CURVE_RATES[i]);
}
}
YieldTermStructure baseCurve = curve;
List <double> ZeroRates = curve.getKnotZeroRates();
if (_offset == 0.0)
{
return(baseCurve);
}
this.Nodes = dates;
curve = baseCurve.withOffset(_offset);
//List<double> rt = new List<double>() { 1.399914257002842E-4, 3.452229985902273E-4, 6.151397497988689E-4, 0.0017010975470283791, 0.005696357532861686, 0.008854793051714499, 0.0235368691596982, 0.04799336562986048, 0.07980430061988725, 0.11682686636178839, 0.1569272410971123, 0.1988340941576404, 0.24178776149530337, 0.2862865792161734, 0.37671732698783206, 0.512340347238558, 0.7299269275257245, 0.9365962573841474, 1.1363739062462221};
//curve.rt = rt;
return(curve);
}
/**
* Set up a strip of increasing maturity CDSs that have some coupons in common. The trade date, step-in date and valuation date and
* accrual start date are all common, as is the payment frequency. The maturities are expressed as integer multiples of the
* payment interval from a reference date (the next IMM date after the trade date for standard CDSs) - this guarantees that premiums
* will be the same across several CDSs.
* @param tradeDate The trade date
* @param stepinDate (aka Protection Effective sate or assignment date). Date when party assumes ownership. This is usually T+1. This is when protection
* (and risk) starts in terms of the model. Note, this is sometimes just called the Effective Date, however this can cause
* confusion with the legal effective date which is T-60 or T-90.
* @param cashSettlementDate The cash settlement date. The date that values are PVed to. Is is normally today + 3 business days.
* @param accStartDate Accrual Start Date. This is when the CDS nominally starts in terms of premium payments. i.e. the number
* of days in the first period (and thus the amount of the first premium payment) is counted from this date.
* @param maturityReferanceDate A reference date that maturities are measured from. For standard CDSSs, this is the next IMM date after
* the trade date, so the actually maturities will be some fixed periods after this.
* @param maturityIndexes The maturities are fixed integer multiples of the payment interval, so for 6M, 1Y and 2Y tenors with a 3M
* payment interval, would require 2, 4, and 8 as the indices
* @param payAccOnDefault Is the accrued premium paid in the event of a default
* @param paymentInterval The nominal step between premium payments (e.g. 3 months, 6 months).
* @param stubType the stub convention
* @param protectStart If protectStart = true, then protections starts at the beginning of the day, otherwise it is at the end.
* @param recoveryRate The recovery rate
* @param businessdayAdjustmentConvention How are adjustments for non-business days made
* @param calendar HolidayCalendar defining what is a non-business day
* @param accrualDayCount Day count used for accrual
* @param curveDayCount Day count used on curve (NOTE ISDA uses ACT/365 and it is not recommended to change this)
*/
public MultiCdsAnalytic(
DateTime tradeDate,
DateTime stepinDate,
DateTime cashSettlementDate,
DateTime accStartDate,
DateTime maturityReferanceDate,
int[] maturityIndexes,
Boolean payAccOnDefault,
int paymentInterval,
StubConvention stubType,
Boolean protectStart,
double recoveryRate,
QLNet.BusinessDayConvention businessdayAdjustmentConvention,
QLNet.Calendar calendar,
Enums.DayCount accrualDayCount,
Enums.DayCount curveDayCount)
{
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
_nMaturities = maturityIndexes.Length;
_payAccOnDefault = payAccOnDefault;
_accStart = DateTime.Compare(accStartDate, tradeDate) < 0 ?
-curveDCC.YearFraction(accStartDate, tradeDate) :
curveDCC.YearFraction(tradeDate, accStartDate);
DateTime temp = DateTime.Compare(stepinDate, accStartDate) > 0 ? stepinDate : accStartDate;
DateTime effectiveStartDate = protectStart ? temp.AddDays(-1) : temp;
_cashSettlementTime = curveDCC.YearFraction(tradeDate, cashSettlementDate);
_effectiveProtectionStart = curveDCC.YearFraction(tradeDate, effectiveStartDate);
_lgd = 1 - recoveryRate;
DateTime[] maturities = new DateTime[_nMaturities];
_protectionEnd = new double[_nMaturities];
int period = paymentInterval;
for (int i = 0; i < _nMaturities; i++)
{
int tStep = period * maturityIndexes[i];
maturities[i] = maturityReferanceDate.AddMonths(tStep);
_protectionEnd[i] = curveDCC.YearFraction(tradeDate, maturities[i]);
}
IsdaPremiumLegSchedule fullPaymentSchedule = new IsdaPremiumLegSchedule(accStartDate, maturities[_nMaturities - 1], period,
stubType, businessdayAdjustmentConvention, calendar, protectStart);
//remove already expired coupons
IsdaPremiumLegSchedule paymentSchedule = fullPaymentSchedule.truncateSchedule(stepinDate);
int couponOffset = fullPaymentSchedule.getNumPayments() - paymentSchedule.getNumPayments();
_totalPayments = paymentSchedule.getNumPayments();
_standardCoupons = new CdsCoupon[_totalPayments - 1];
for (int i = 0; i < (_totalPayments - 1); i++)
{ //The last coupon is actually a terminal coupon, so not included here
_standardCoupons[i] = new CdsCoupon(
tradeDate, paymentSchedule.getAccPaymentDateTriplet(i), protectStart, accrualDayCount, curveDayCount);
}
//find the terminal coupons
_terminalCoupons = new CdsCoupon[_nMaturities];
_matIndexToPayments = new int[_nMaturities];
_accruedDays = new int[_nMaturities];
_accrued = new double[_nMaturities];
long secondJulianDate = stepinDate.Ticks;
for (int i = 0; i < _nMaturities; i++)
{
int index = fullPaymentSchedule.getNominalPaymentDateIndex(maturities[i]);
//maturity is unadjusted, but if protectionStart=true (i.e. standard CDS) there is effectively an extra day of accrued interest
DateTime accEnd = protectStart ? maturities[i].AddDays(1) : maturities[i];
_terminalCoupons[i] = new CdsCoupon(
tradeDate, fullPaymentSchedule.getAccStartDate(index), accEnd,
fullPaymentSchedule.getPaymentDate(index), protectStart);
_matIndexToPayments[i] = index - couponOffset;
//This will only matter for the edge case when the trade date is 1 day before maturity
DateTime tDate2 = _matIndexToPayments[i] < 0 ?
fullPaymentSchedule.getAccStartDate(couponOffset - 1) : paymentSchedule.getAccStartDate(0);
long firstJulianDate = tDate2.Ticks;
_accruedDays[i] = secondJulianDate > firstJulianDate ? (int)(secondJulianDate - firstJulianDate) : 0;
_accrued[i] = DateTime.Compare(tDate2, stepinDate) < 0 ? swapDCC.YearFraction(tDate2, stepinDate) : 0.0;
}
}
public double calculateSinglePeriodAccrualOnDefault(CDS cds,
YieldTermStructure yieldCurve,
PiecewiseconstantHazardRate creditCurve)
{
double Acc = 0;
List <double> Jumps = yieldCurve.t;
DateTime tradedate = cds.tradedate;
DateTime settlementDate = tradedate.AddDays(cds.Cashsettlement);
double recoveryrate = cds.Recovery;
DateTime Stepindate = tradedate.AddDays(1);
double notional = cds.Notional;
double coupon = cds.PremiumRate;
DateTime lastpayment = cds.formerpaymentdate;
DateTime effectiveStart = tradedate.AddDays(1);
CdsCoupon[] cc = cds.getCoupons();
for (int i = 0; i < cds.getNumPayments(); ++i)
{
//Accured on default
double t_0 = (i > 0) ? cc[i].getEffStart():0;
double T = cc[i].getEffEnd();
List <double> knots = new List <double>();
knots.Add(t_0);
for (int j = 0; j < Jumps.Count; j++)
{
if ((Jumps[j] < T) && (t_0 < Jumps[j]))
{
knots.Add(Jumps[j]);
}
}
knots.Add(T);
double t = knots[0];
double ht0 = creditCurve.getRT_(t);
double rt0 = yieldCurve.getRT_(t);
double b0 = Math.Exp(-rt0 - ht0); // this is the risky discount factor
OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
double t0;
if (i == 0)
{
t0 = knots[0] - cc[0].getEffStart();
}
else
{
t0 = knots[0] - cc[i].getEffStart();
}
double pv = 0.0;
int nItems = knots.Count;
for (int j = 1; j < nItems; ++j)
{
t = knots[j];
double ht1 = creditCurve.getRT_(t);
double rt1 = yieldCurve.getRT_(t);
double b1 = Math.Exp(-rt1 - ht1);
double dt = knots[j] - knots[j - 1];
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt + 1e-50;
double tPV;
double t1;
if (i == 0)
{
t1 = knots[j] - cc[0].getEffStart();
}
else
{
t1 = knots[j] - cc[i].getEffStart();
}
if (Math.Abs(dhrt) < 1e-5)
{
tPV = dht * b0 * (t0 * (Math.Exp(-dhrt) - 1) / (-dhrt) + dt * ((-dhrt - 1) * (Math.Exp(-dhrt) - 1) - dhrt) / (dhrt * dhrt));
}
else
{
tPV = dht / dhrt * (t0 * b0 - t1 * b1 + dt / dhrt * (b0 - b1));
}
t0 = t1;
pv += tPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
Acc += pv;
}
return(Acc);
}
public void hazardratecurve(YieldTermStructure yt, OMLib.Conventions.DayCount.Actual365 dayCounter, List <double> QuotedSpot, List <double> QuotedSpread, double FixRate, double Spread_traded, double Upfront, DateTime maturity,
DateTime firstpaymentdate, DateTime evalDate, DateTime formerpaymentdate, string frequency, double recovery)
{
List <DateTime> dates = new List <DateTime>();
List <DateTime> discountDates = new List <DateTime>();
int accrued = dayCounter.DayCount(formerpaymentdate, tradedate);
if (QuotedSpread == null)
{
if (Spread_traded > 0)
{
// Infer the constant hazard rate from the quoted spread
/*When the Spread is input: Consider a CDS with exactly the same specification as
* the Standard CDS except that its Coupon Rate is equal to the Spread. Assume that
* the Upfront of this CDS is zero. Solve for the Constant Hazard Rate that gives this
* CDS a MTM equal to minus its Accrued Premium (based on a Coupon Rate equal
* to Spread) discounted riskless to T
*/
impliedhazardrate ih = new impliedhazardrate();
List <double> spread = new List <double> {
Spread_traded
};
List <DateTime> mat = new List <DateTime> {
maturity
};
PiecewiseconstantHazardRate flatrate = ih.impliedHazardRate(-this.Notional * Spread_traded * accrued / 360, this.Notional,
this.tradedate, spread, mat, yt, dayCounter, frequency, firstpaymentdate, this.formerpaymentdate, this.Jump_Nodes, recovery);
this.piecewiseHazardRate = flatrate;
}
else if (Upfront > 0)
{
// Infer the constant hazard rate from the quoted upfront
/*When the Upfront is input: Solve for the Constant Hazard Rate that gives the
* Standard CDS a MTM equal to Notional * Upfront – AccruedPremium discounted riskless to T*/
impliedhazardrate ih = new impliedhazardrate();
List <double> spread = new List <double> {
Spread_traded
};
List <DateTime> mat = new List <DateTime> {
maturity
};
PiecewiseconstantHazardRate flatrate = ih.impliedHazardRate(this.Notional * Upfront - this.accruedamt, this.Notional, this.tradedate,
spread, mat, yt, dayCounter, frequency, firstpaymentdate, this.formerpaymentdate, this.Jump_Nodes, recovery);
this.piecewiseHazardRate = flatrate;
}
}
else
// Construct the credit curve with the predefined term structure
{
dates.Add(firstpaymentdate.AddMonths(6));
dates.Add(firstpaymentdate.AddYears(1));
dates.Add(firstpaymentdate.AddYears(3));
dates.Add(firstpaymentdate.AddYears(5));
dates.Add(firstpaymentdate.AddYears(7));
dates.Add(firstpaymentdate.AddYears(10));
for (int i = 0; i < QuotedSpread.Count(); i++)
{
QuotedSpread[i] = QuotedSpread[i] / 10000;
}
impliedhazardrate implied = new impliedhazardrate();
PiecewiseconstantHazardRate hazardcurve = implied.impliedHazardRate(0, this.Notional, this.tradedate, QuotedSpread, dates, yt, dayCounter,
frequency, this.firstpaymentdate, this.formerpaymentdate, this.Jump_Nodes, recovery);
this.piecewiseHazardRate = hazardcurve;
List <double> survival = new List <double>();
for (int i = 0; i < dates.Count; i++)
{
survival.Add(piecewiseHazardRate.SurvivalProb(dates[i].AddDays(1)));
}
}
}
