/// <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();
}
public void testBondFromScheduleWithDateVector()
{
// Testing South African R2048 bond price using Schedule constructor with Date vector
SavedSettings backup = new SavedSettings();
//When pricing bond from Yield To Maturity, use NullCalendar()
Calendar calendar = new NullCalendar();
int settlementDays = 3;
Date issueDate = new Date(29, Month.June, 2012);
Date today = new Date(7, Month.September, 2015);
Date evaluationDate = calendar.adjust(today);
Date settlementDate = calendar.advance(evaluationDate, new Period(settlementDays, TimeUnit.Days));
Settings.setEvaluationDate(evaluationDate);
// For the schedule to generate correctly for Feb-28's, make maturity date on Feb 29
Date maturityDate = new Date(29, Month.February, 2048);
double coupon = 0.0875;
Compounding comp = Compounding.Compounded;
Frequency freq = Frequency.Semiannual;
DayCounter dc = new ActualActual(ActualActual.Convention.Bond);
// Yield as quoted in market
InterestRate yield = new InterestRate(0.09185, dc, comp, freq);
Period tenor = new Period(6, TimeUnit.Months);
Period exCouponPeriod = new Period(10, TimeUnit.Days);
// Generate coupon dates for 31 Aug and end of Feb each year
// For leap years, this will generate 29 Feb, but the bond
// actually pays coupons on 28 Feb, regardsless of whether
// it is a leap year or not.
Schedule schedule = new Schedule(issueDate, maturityDate, tenor,
new NullCalendar(), BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, true);
// Adjust the 29 Feb's to 28 Feb
List<Date> dates = new List<Date>();
for (int i = 0; i < schedule.Count; ++i)
{
Date d = schedule.date(i);
if (d.Month == 2 && d.Day == 29)
dates.Add(new Date(28, Month.February, d.Year));
else
dates.Add(d);
}
schedule = new Schedule(dates,
schedule.calendar(),
schedule.businessDayConvention(),
schedule.terminationDateBusinessDayConvention(),
schedule.tenor(),
schedule.rule(),
schedule.endOfMonth(),
schedule.isRegular());
FixedRateBond bond = new FixedRateBond(
0,
100.0,
schedule,
new List<double>() { coupon },
dc, BusinessDayConvention.Following, 100.0,
issueDate, calendar,
exCouponPeriod, calendar, BusinessDayConvention.Unadjusted, false);
double calculatedPrice = BondFunctions.dirtyPrice(bond, yield, settlementDate);
double expectedPrice = 95.75706;
double tolerance = 1e-5;
if (Math.Abs(calculatedPrice - expectedPrice) > tolerance)
{
Assert.Fail(string.Format("failed to reproduce R2048 dirty price\nexpected: {0}\ncalculated: {1}", expectedPrice, calculatedPrice));
}
}
/// <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();
}
public void testDateConstructor()
{
// Testing the constructor taking a vector of dates and possibly additional meta information
List<Date> dates = new List<Date>();
dates.Add(new Date(16, Month.May, 2015));
dates.Add(new Date(18, Month.May, 2015));
dates.Add(new Date(18, Month.May, 2016));
dates.Add(new Date(31, Month.December, 2017));
// schedule without any additional information
Schedule schedule1 = new Schedule(dates);
if (schedule1.Count != dates.Count)
Assert.Fail("schedule1 has size {0}, expected {1}", schedule1.Count, dates.Count);
for (int i = 0; i < dates.Count; ++i)
if (schedule1[i] != dates[i])
Assert.Fail("schedule1 has {0} at position {1}, expected {2}", schedule1[i], i, dates[i]);
if (schedule1.calendar() != new NullCalendar())
Assert.Fail("schedule1 has calendar {0}, expected null calendar", schedule1.calendar().name());
if (schedule1.businessDayConvention() != BusinessDayConvention.Unadjusted)
Assert.Fail("schedule1 has convention {0}, expected unadjusted", schedule1.businessDayConvention());
// schedule with metadata
List<bool> regular = new List<bool>();
regular.Add(false);
regular.Add(true);
regular.Add(false);
Schedule schedule2 = new Schedule(dates, new TARGET(), BusinessDayConvention.Following, BusinessDayConvention.ModifiedPreceding, new Period(1, TimeUnit.Years),
DateGeneration.Rule.Backward, true, regular);
for (int i = 1; i < dates.Count; ++i)
if (schedule2.isRegular(i) != regular[i - 1])
Assert.Fail("schedule2 has a {0} period at position {1}, expected {2}", (schedule2.isRegular(i) ? "regular" : "irregular"), i, (regular[i - 1] ? "regular" : "irregular"));
if (schedule2.calendar() != new TARGET())
Assert.Fail("schedule1 has calendar {0}, expected TARGET", schedule2.calendar().name());
if (schedule2.businessDayConvention() != BusinessDayConvention.Following)
Assert.Fail("schedule2 has convention {0}, expected Following", schedule2.businessDayConvention());
if (schedule2.terminationDateBusinessDayConvention() != BusinessDayConvention.ModifiedPreceding)
Assert.Fail("schedule2 has convention {0}, expected Modified Preceding", schedule2.terminationDateBusinessDayConvention());
if (schedule2.tenor() != new Period(1, TimeUnit.Years))
Assert.Fail("schedule2 has tenor {0}, expected 1Y", schedule2.tenor());
if (schedule2.rule() != DateGeneration.Rule.Backward)
Assert.Fail("schedule2 has rule {0}, expected Backward", schedule2.rule());
if (schedule2.endOfMonth() != true)
Assert.Fail("schedule2 has end of month flag false, expected true");
}
