public virtual void test_resolve()
{
BusinessDayAdjustment bussAdj = BusinessDayAdjustment.of(FOLLOWING, SAT_SUN);
ResolvedCdsIndex test = PRODUCT.resolve(REF_DATA);
int nDates = 44;
LocalDate[] dates = new LocalDate[nDates];
for (int i = 0; i < nDates; ++i)
{
dates[i] = START_DATE.plusMonths(3 * i);
}
IList <CreditCouponPaymentPeriod> payments = new List <CreditCouponPaymentPeriod>(nDates - 1);
for (int i = 0; i < nDates - 2; ++i)
{
LocalDate start = i == 0 ? dates[i] : bussAdj.adjust(dates[i], REF_DATA);
LocalDate end = bussAdj.adjust(dates[i + 1], REF_DATA);
payments.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end).unadjustedStartDate(dates[i]).unadjustedEndDate(dates[i + 1]).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end.minusDays(1)).paymentDate(end).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end)).build());
}
LocalDate start = bussAdj.adjust(dates[nDates - 2], REF_DATA);
LocalDate end = dates[nDates - 1];
payments.Add(CreditCouponPaymentPeriod.builder().startDate(start).endDate(end.plusDays(1)).unadjustedStartDate(dates[nDates - 2]).unadjustedEndDate(end).effectiveStartDate(start.minusDays(1)).effectiveEndDate(end).paymentDate(bussAdj.adjust(end, REF_DATA)).currency(USD).notional(NOTIONAL).fixedRate(COUPON).yearFraction(ACT_360.relativeYearFraction(start, end.plusDays(1))).build());
ResolvedCdsIndex expected = ResolvedCdsIndex.builder().buySell(BUY).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).dayCount(ACT_360).paymentOnDefault(ACCRUED_PREMIUM).paymentPeriods(payments).protectionStart(BEGINNING).protectionEndDate(END_DATE).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test, expected);
}
public virtual void test_totoSingleNameCds()
{
ResolvedCdsIndex @base = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
ResolvedCds test = @base.toSingleNameCds();
ResolvedCds expected = ResolvedCds.builder().buySell(BUY).dayCount(ACT_360).legalEntityId(INDEX_ID).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test, expected);
}
private ResolvedCdsIndexTrade(TradeInfo info, ResolvedCdsIndex product, Payment upfrontFee)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(product, "product");
this.info = info;
this.product = product;
this.upfrontFee = upfrontFee;
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedCdsIndex test1 = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
coverImmutableBean(test1);
ResolvedCdsIndex test2 = ResolvedCdsIndex.builder().buySell(BuySell.SELL).dayCount(DayCounts.ACT_365F).cdsIndexId(StandardId.of("OG", "AA-INDEX")).legalEntityIds(ImmutableList.of(StandardId.of("OG", "ABC1"), StandardId.of("OG", "ABC2"))).paymentOnDefault(PaymentOnDefault.NONE).protectionStart(ProtectionStartOfDay.NONE).paymentPeriods(PAYMENTS[0]).protectionEndDate(PAYMENTS[0].EffectiveEndDate).settlementDateOffset(DaysAdjustment.NONE).stepinDateOffset(DaysAdjustment.NONE).build();
coverBeanEquals(test1, test2);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
ResolvedCdsIndexTrade test1 = ResolvedCdsIndexTrade.builder().product(PRODUCT).upfrontFee(UPFRONT).info(TRADE_INFO).build();
coverImmutableBean(test1);
ResolvedCdsIndex product = CdsIndex.of(BUY, INDEX_ID, LEGAL_ENTITIES, USD, 1.e9, START_DATE, END_DATE, P6M, SAT_SUN, 0.067).resolve(REF_DATA);
ResolvedCdsIndexTrade test2 = ResolvedCdsIndexTrade.builder().product(product).info(TradeInfo.empty()).build();
coverBeanEquals(test1, test2);
}
/// <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));
}
//-------------------------------------------------------------------------
/// <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));
}
public virtual void test_effectiveStartDate()
{
ResolvedCdsIndex test1 = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
LocalDate date1 = LocalDate.of(2016, 3, 22);
assertEquals(test1.calculateEffectiveStartDate(date1), date1.minusDays(1));
LocalDate date2 = LocalDate.of(2013, 9, 22);
assertEquals(test1.calculateEffectiveStartDate(date2), START_DATE.minusDays(1));
ResolvedCdsIndex test2 = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(ProtectionStartOfDay.NONE).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
LocalDate date3 = LocalDate.of(2016, 3, 22);
assertEquals(test2.calculateEffectiveStartDate(date3), date3);
LocalDate date4 = LocalDate.of(2013, 9, 22);
assertEquals(test2.calculateEffectiveStartDate(date4), START_DATE);
}
// extract CDS index trades from credit curve
private ImmutableList <ResolvedCdsIndexTrade> getBucketCdsIndex(ResolvedCdsIndex product, CreditRatesProvider ratesProvider)
{
CreditDiscountFactors creditCurve = ratesProvider.survivalProbabilities(product.CdsIndexId, product.Currency).SurvivalProbabilities;
int nNodes = creditCurve.ParameterCount;
ImmutableList.Builder <ResolvedCdsIndexTrade> 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 ResolvedCdsIndexTrade, "ResolvedTrade must be ResolvedCdsIndexTrade");
builder.add((ResolvedCdsIndexTrade)trade);
}
return(builder.build());
}
public virtual void test_builder()
{
ResolvedCdsIndex test = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertEquals(test.BuySell, BUY);
assertEquals(test.Currency, USD);
assertEquals(test.AccrualStartDate, PAYMENTS[0].StartDate);
assertEquals(test.AccrualEndDate, PAYMENTS[42].EndDate);
assertEquals(test.DayCount, ACT_360);
assertEquals(test.FixedRate, COUPON);
assertEquals(test.CdsIndexId, INDEX_ID);
assertEquals(test.LegalEntityIds, LEGAL_ENTITIES);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.PaymentOnDefault, ACCRUED_PREMIUM);
assertEquals(test.PaymentPeriods, PAYMENTS);
assertEquals(test.ProtectionEndDate, PAYMENTS[42].EffectiveEndDate);
assertEquals(test.SettlementDateOffset, SETTLE_DAY_ADJ);
assertEquals(test.ProtectionStart, BEGINNING);
assertEquals(test.StepinDateOffset, STEPIN_DAY_ADJ);
}
public virtual void test_accruedYearFraction()
{
double eps = 1.0e-15;
ResolvedCdsIndex test = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
double accStart = test.accruedYearFraction(START_DATE.minusDays(1));
double accNextMinusOne = test.accruedYearFraction(START_DATE.plusMonths(3).minusDays(1));
double accNext = test.accruedYearFraction(START_DATE.plusMonths(3));
double accNextOne = test.accruedYearFraction(START_DATE.plusMonths(3).plusDays(1));
double accMod = test.accruedYearFraction(START_DATE.plusYears(1));
double accEnd = test.accruedYearFraction(END_DATE);
double accEndOne = test.accruedYearFraction(END_DATE.plusDays(1));
assertEquals(accStart, 0d);
assertEquals(accNext, 0d);
assertEquals(accNextMinusOne, ACT_360.relativeYearFraction(START_DATE, START_DATE.plusMonths(3).minusDays(1)), eps);
assertEquals(accNextOne, 1d / 360d, eps);
// 2.x
assertEquals(accMod, 0.24722222222222223, eps);
assertEquals(accEnd, 0.25555555555555554, eps);
assertEquals(accEndOne, 0.25833333333333336, eps);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (TradeInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (ResolvedCdsIndex)newValue;
break;
case 963468344: // upfrontFee
this.upfrontFee_Renamed = (Payment)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Calculates the present value sensitivity of the product.
/// <para>
/// The present value sensitivity of the product is the sensitivity of present value to the underlying curves.
///
/// </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 present value sensitivity </returns>
public virtual PointSensitivityBuilder presentValueSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
{
if (isExpired(cdsIndex, ratesProvider))
{
return(PointSensitivityBuilder.none());
}
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 signedNotional = cds.BuySell.normalize(cds.Notional);
PointSensitivityBuilder protectionLegSensi = underlyingPricer.protectionLegSensitivity(cds, rates.First, rates.Second, referenceDate, effectiveStartDate, recoveryRate);
protectionLegSensi = protectionLegSensi.multipliedBy(signedNotional * rates.Third);
PointSensitivityBuilder riskyAnnuitySensi = underlyingPricer.riskyAnnuitySensitivity(cds, rates.First, rates.Second, referenceDate, stepinDate, effectiveStartDate);
riskyAnnuitySensi = riskyAnnuitySensi.multipliedBy(-cds.FixedRate * signedNotional * rates.Third);
return(protectionLegSensi.combinedWith(riskyAnnuitySensi));
}
//-------------------------------------------------------------------------
/// <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)));
}
public virtual void test_serialization()
{
ResolvedCdsIndex test = ResolvedCdsIndex.builder().buySell(BUY).dayCount(ACT_360).cdsIndexId(INDEX_ID).legalEntityIds(LEGAL_ENTITIES).paymentOnDefault(ACCRUED_PREMIUM).protectionStart(BEGINNING).paymentPeriods(PAYMENTS).protectionEndDate(PAYMENTS[PAYMENTS.Count - 1].EffectiveEndDate).settlementDateOffset(SETTLE_DAY_ADJ).stepinDateOffset(STEPIN_DAY_ADJ).build();
assertSerialization(test);
}
/// <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 index product.
///
/// </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 par spread </returns>
public virtual PointSensitivityBuilder parSpreadSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)
{
ResolvedCds cds = cdsIndex.toSingleNameCds();
return(underlyingPricer.parSpreadSensitivity(cds, ratesProvider, referenceDate, refData));
}
/// <summary>
/// Sets the resolved CDS index product.
/// <para>
/// The product captures the contracted financial details of the trade.
/// </para>
/// </summary>
/// <param name="product"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder product(ResolvedCdsIndex product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(ResolvedCdsIndexTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.upfrontFee_Renamed = beanToCopy.upfrontFee;
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the price of the CDS index product, which is the minus of the present value per unit notional.
/// <para>
/// This method can calculate the clean or dirty price, see <seealso cref="PriceType"/>.
/// If calculating the clean price, the accrued interest is calculated based on the step-in date.
///
/// </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 data </param>
/// <returns> the price </returns>
public virtual double price(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)
{
ResolvedCds cds = cdsIndex.toSingleNameCds();
return(underlyingPricer.price(cds, ratesProvider, referenceDate, priceType, refData));
}
//-------------------------------------------------------------------------
internal virtual bool isExpired(ResolvedCdsIndex index, CreditRatesProvider ratesProvider)
{
return(!index.ProtectionEndDate.isAfter(ratesProvider.ValuationDate));
}