public double rpv01(PiecewiseconstantHazardRate creditCurve, CdsPriceType cleanOrDirty)
{
double pv = 0.0;
for (int i = 0; i < _nPayments; i++)
{
CdsCoupon c = _cds.getCoupon(i);
double q = Math.Exp(-creditCurve.getRT_(c.getEffEnd()));
pv += c.getYearFrac() * _paymentDF[i] * q;
}
if (_cds.isPayAccOnDefault())
{
double accPV = 0.0;
for (int i = 0; i < _nPayments; i++)
{
accPV += calculateSinglePeriodAccrualOnDefault(i, creditCurve);
}
pv += accPV;
}
pv /= _valuationDF;
if (cleanOrDirty == CdsPriceType.CLEAN)
{
pv -= _cds.getAccruedYearFraction();
}
return(pv);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("unused") private CdsCoupon(CdsCoupon other)
private CdsCoupon(CdsCoupon other)
{
_paymentTime = other._paymentTime;
_yearFrac = other._yearFrac;
_effStart = other._effStart;
_effEnd = other._effEnd;
_ycRatio = other._ycRatio;
}
/// <summary>
/// Make a set of CDSCoupon used by <seealso cref="CdsAnalytic"/> given a trade date and the schedule of the accrual periods.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="leg"> schedule of the accrual periods </param>
/// <param name="protectionFromStartOfDay"> If true the protection is from the start of day and the effective accrual
/// start and end dates are one day less. The exception is the accrual end date which has one day
/// added (if protectionFromStartOfDay = true) in ISDAPremiumLegSchedule to compensate for this, so the
/// accrual end date is just the CDS maturity.
/// The effect of having protectionFromStartOfDay = true is to add an extra day of protection. </param>
/// <param name="accrualDCC"> The day count used to compute accrual periods </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
/// <seealso cref= CdsAnalytic </seealso>
/// <returns> A set of CDSCoupon </returns>
public static CdsCoupon[] makeCoupons(DateTime tradeDate, IsdaPremiumLegSchedule leg, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC)
{
int n = leg.NumPayments;
CdsCoupon[] res = new CdsCoupon[n];
for (int i = 0; i < n; i++)
{
DateTime[] dates = leg.getAccPaymentDateTriplet(i);
res[i] = new CdsCoupon(tradeDate, dates[0], dates[1], dates[2], protectionFromStartOfDay, accrualDCC, curveDCC);
}
return(res);
}
/// <summary>
/// Make a set of CDSCoupon used by <seealso cref="CdsAnalytic"/> given a trade date and a set of <seealso cref="CdsCouponDes"/>.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="couponsDes"> Description of CDS accrual periods with DateTime </param>
/// <param name="protectionFromStartOfDay"> If true the protection is from the start of day and the effective accrual
/// start and end dates are one day less. The exception is the accrual end date which should have one day
/// added (if protectionFromStartOfDay = true) in the CDSCouponDes to compensate for this, so the
/// accrual end date is just the CDS maturity.
/// The effect of having protectionFromStartOfDay = true is to add an extra day of protection. </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
/// <returns> A set of CDSCoupon </returns>
public static CdsCoupon[] makeCoupons(DateTime tradeDate, CdsCouponDes[] couponsDes, bool protectionFromStartOfDay, Enums.DayCount curveDCC)
{
int n = couponsDes.Length;
int count = 0;
while (DateTime.Compare(tradeDate, couponsDes[count].getPaymentDate()) > 0)
{
count++;
}
int nCoupons = n - count;
CdsCoupon[] coupons = new CdsCoupon[nCoupons];
for (int i = 0; i < nCoupons; i++)
{
coupons[i] = new CdsCoupon(tradeDate, couponsDes[i + count], protectionFromStartOfDay, curveDCC);
}
return(coupons);
}
public bool Equals(object obj)
{
if (this == obj)
{
return(true);
}
if (obj == null)
{
return(false);
}
if (this.GetType() != obj.GetType())
{
return(false);
}
CdsCoupon other = (CdsCoupon)obj;
if (_effEnd != other._effEnd)
{
return(false);
}
if (_effStart != other._effStart)
{
return(false);
}
if ((long)_paymentTime != (long)other._paymentTime)
{
return(false);
}
if ((long)_ycRatio != (long)other._ycRatio)
{
return(false);
}
if ((long)_yearFrac != (long)other._yearFrac)
{
return(false);
}
return(true);
}
public Pricer(
CDS cds,
YieldTermStructure yieldCurve,
double[] creditCurveKnots,
double fractionalSpread,
double pointsUpfront)
{
_cds = cds;
_fracSpread = fractionalSpread;
_pointsUpfront = pointsUpfront;
// protection leg
_proLegIntPoints = DoublesScheduleGenerator.getIntegrationsPoints(
cds.getEffectiveProtectionStart(),
cds.getProtectionEnd(),
yieldCurve.t.ToArray(),
creditCurveKnots);
_nProPoints = _proLegIntPoints.Length;
double lgd = cds.getLGD();
_valuationDF = Math.Exp(-yieldCurve.getRT_(cds.getCashSettleTime()));
_lgdDF = lgd / _valuationDF;
_proYieldCurveRT = new double[_nProPoints];
_proDF = new double[_nProPoints];
for (int i = 0; i < _nProPoints; i++)
{
_proYieldCurveRT[i] = yieldCurve.getRT_(_proLegIntPoints[i]);
_proDF[i] = Math.Exp(-_proYieldCurveRT[i]);
}
// premium leg
_nPayments = cds.getNumPayments();
_paymentDF = new double[_nPayments];
for (int i = 0; i < _nPayments; i++)
{
_paymentDF[i] = Math.Exp(-yieldCurve.getRT_(cds.getCoupon(i).getPaymentTime()));
}
if (cds.isPayAccOnDefault())
{
double tmp = cds.getNumPayments() == 1 ? cds.getEffectiveProtectionStart() : cds.getAccStart();
double[] integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(
tmp, cds.getProtectionEnd(), yieldCurve.t.ToArray(), creditCurveKnots);
_accRate = new double[_nPayments];
_offsetAccStart = new double[_nPayments];
_premLegIntPoints = new double[_nPayments][];
_premDF = new double[_nPayments][];
_rt = new double[_nPayments][];
_premDt = new double[_nPayments][];
for (int i = 0; i < _nPayments; i++)
{
CdsCoupon c = cds.getCoupon(i);
_offsetAccStart[i] = c.getEffStart();
double offsetAccEnd = c.getEffEnd();
_accRate[i] = c.getYFRatio();
double start = Math.Max(_offsetAccStart[i], cds.getEffectiveProtectionStart());
if (start >= offsetAccEnd)
{
continue;
}
_premLegIntPoints[i] = DoublesScheduleGenerator.truncateSetInclusive(start, offsetAccEnd, integrationSchedule);
int n = _premLegIntPoints[i].Length;
_rt[i] = new double[n];
_premDF[i] = new double[n];
for (int k = 0; k < n; k++)
{
_rt[i][k] = yieldCurve.getRT_(_premLegIntPoints[i][k]);
_premDF[i][k] = Math.Exp(-_rt[i][k]);
}
_premDt[i] = new double[n - 1];
for (int k = 1; k < n; k++)
{
double dt = _premLegIntPoints[i][k] - _premLegIntPoints[i][k - 1];
_premDt[i][k - 1] = dt;
}
}
}
else
{
_accRate = null;
_offsetAccStart = null;
_premDF = null;
_premDt = null;
_rt = null;
_premLegIntPoints = null;
}
}