/// <summary>
/// CDS quoted as running-spread only
/// </summary>
/// <param name="side">Whether the protection is bought or sold.</param>
/// <param name="notional">Notional value</param>
/// <param name="spread">Running spread in fractional units.</param>
/// <param name="schedule">Coupon schedule.</param>
/// <param name="convention">Business-day convention for payment-date adjustment.</param>
/// <param name="dayCounter">Day-count convention for accrual.</param>
/// <param name="settlesAccrual">Whether or not the accrued coupon is due in the event of a default.</param>
/// <param name="paysAtDefaultTime">If set to true, any payments triggered by a default event are
/// due at default time. If set to false, they are due at the end of the accrual period.</param>
/// <param name="protectionStart">The first date where a default event will trigger the contract.</param>
/// <param name="claim"></param>
/// <param name="lastPeriodDayCounter">Day-count convention for accrual in last period</param>
/// <param name="rebatesAccrual">The protection seller pays the accrued scheduled current coupon at the start
/// of the contract. The rebate date is not provided but computed to be two days after protection start.</param>
public CreditDefaultSwap(Protection.Side side,
double notional,
double spread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Claim claim = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true)
{
side_ = side;
notional_ = notional;
upfront_ = null;
runningSpread_ = spread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0] ||
schedule.rule() == DateGeneration.Rule.CDS ||
schedule.rule() == DateGeneration.Rule.CDS2015
, () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withLastPeriodDayCounter(lastPeriodDayCounter)
.withCouponRates(spread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
Date effectiveUpfrontDate = schedule.calendar().advance(protectionStart_, 2, TimeUnit.Days, convention);
// '2' is used above since the protection start is assumed to be on trade_date + 1
if (rebatesAccrual)
{
FixedRateCoupon firstCoupon = leg_[0] as FixedRateCoupon;
Date rebateDate = effectiveUpfrontDate;
accrualRebate_ = new SimpleCashFlow(firstCoupon.accruedAmount(protectionStart_), rebateDate);
}
upfrontPayment_ = new SimpleCashFlow(0.0, effectiveUpfrontDate);
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
maturity_ = schedule.dates().Last();
}
/// <summary>
/// CDS quoted as upfront and running spread
/// </summary>
/// <param name="side">Whether the protection is bought or sold.</param>
/// <param name="notional"> Notional value</param>
/// <param name="upfront">Upfront in fractional units.</param>
/// <param name="runningSpread">Running spread in fractional units.</param>
/// <param name="schedule">Coupon schedule.</param>
/// <param name="convention">Business-day convention for payment-date adjustment.</param>
/// <param name="dayCounter">Day-count convention for accrual.</param>
/// <param name="settlesAccrual">Whether or not the accrued coupon is due in the event of a default.</param>
/// <param name="paysAtDefaultTime">If set to true, any payments triggered by a default event are
/// due at default time. If set to false, they are due at the end of the accrual period.</param>
/// <param name="protectionStart">The first date where a default event will trigger the contract.</param>
/// <param name="upfrontDate">Settlement date for the upfront payment.</param>
/// <param name="claim"></param>
/// <param name="lastPeriodDayCounter">Day-count convention for accrual in last period</param>
/// <param name="rebatesAccrual">The protection seller pays the accrued scheduled current coupon at the start
/// of the contract. The rebate date is not provided but computed to be two days after protection start.</param>
public CreditDefaultSwap(Protection.Side side,
double notional,
double upfront,
double runningSpread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Date upfrontDate = null,
Claim claim = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true)
{
side_ = side;
notional_ = notional;
upfront_ = upfront;
runningSpread_ = runningSpread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0] ||
schedule.rule() == DateGeneration.Rule.CDS
, () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withLastPeriodDayCounter(lastPeriodDayCounter)
.withCouponRates(runningSpread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
// If empty, adjust to T+3 standard settlement, alternatively add
// an arbitrary date to the constructor
Date effectiveUpfrontDate = upfrontDate == null?
schedule.calendar().advance(protectionStart_, 2, TimeUnit.Days, convention) : upfrontDate;
// '2' is used above since the protection start is assumed to be
// on trade_date + 1
upfrontPayment_ = new SimpleCashFlow(notional * upfront, effectiveUpfrontDate);
Utils.QL_REQUIRE(effectiveUpfrontDate >= protectionStart_, () => "upfront can not be due before contract start");
if (rebatesAccrual)
{
FixedRateCoupon firstCoupon = leg_[0] as FixedRateCoupon;
// adjust to T+3 standard settlement, alternatively add
// an arbitrary date to the constructor
Date rebateDate = effectiveUpfrontDate;
accrualRebate_ = new SimpleCashFlow(firstCoupon.accruedAmount(protectionStart_), rebateDate);
}
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
maturity_ = schedule.dates().Last();
}
