public virtual void test_consistency_singleName()
{
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, CURVE_NODES_PS, true, true);
LegalEntitySurvivalProbabilities creditCurveComputed = CALIBRATOR.calibrate(curveDefinition, MARKET_DATA_PS, RATES_PROVIDER, REF_DATA);
NodalCurve curveComputed = (NodalCurve)creditCurveComputed.SurvivalProbabilities.findData(CURVE_NAME).get();
double computedIndex = curveComputed.Metadata.getInfo(CurveInfoType.CDS_INDEX_FACTOR);
assertEquals(computedIndex, 93.0 / 97.0, TOL);
IsdaCompliantCreditCurveCalibrator cdsCalibrator = FastCreditCurveCalibrator.standard();
IList <CdsIsdaCreditCurveNode> cdsNodes = new List <CdsIsdaCreditCurveNode>();
for (int i = 0; i < CURVE_NODES_PS.size(); ++i)
{
cdsNodes.Add(CdsIsdaCreditCurveNode.ofParSpread(CURVE_NODES_PS.get(i).Template, CURVE_NODES_PS.get(i).ObservableId, CURVE_NODES_PS.get(i).CdsIndexId));
ParameterMetadata metadata = curveComputed.getParameterMetadata(i);
assertTrue(metadata is ResolvedTradeParameterMetadata);
ResolvedTradeParameterMetadata tradeMetadata = (ResolvedTradeParameterMetadata)metadata;
assertTrue(tradeMetadata.Trade is ResolvedCdsIndexTrade);
}
IsdaCreditCurveDefinition cdsCurveDefinition = IsdaCreditCurveDefinition.of(CURVE_NAME, EUR, VALUATION_DATE, ACT_365F, cdsNodes, true, false);
LegalEntitySurvivalProbabilities creditCurveExpected = cdsCalibrator.calibrate(cdsCurveDefinition, MARKET_DATA_PS, RATES_PROVIDER, REF_DATA);
NodalCurve curveExpected = (NodalCurve)creditCurveExpected.SurvivalProbabilities.findData(CURVE_NAME).get();
assertTrue(DoubleArrayMath.fuzzyEquals(curveComputed.XValues.toArray(), curveExpected.XValues.toArray(), TOL));
assertTrue(DoubleArrayMath.fuzzyEquals(curveComputed.YValues.toArray(), curveExpected.YValues.toArray(), TOL));
assertEquals(curveComputed.Metadata.getInfo(CurveInfoType.JACOBIAN), curveExpected.Metadata.getInfo(CurveInfoType.JACOBIAN));
}
protected internal virtual void testJacobian(IsdaCompliantCreditCurveCalibrator builder, LegalEntitySurvivalProbabilities curve, ImmutableCreditRatesProvider ratesProvider, IList <CdsIsdaCreditCurveNode> nodes, double[] quotes, double quoteScale, double eps)
{
LocalDate valuationDate = curve.ValuationDate;
int nNode = nodes.Count;
IsdaCreditDiscountFactors df = (IsdaCreditDiscountFactors)curve.SurvivalProbabilities;
CurveName name = df.Curve.Name;
int nCurveNode = df.ParameterCount;
for (int i = 0; i < nCurveNode; ++i)
{
double[] quotesUp = Arrays.copyOf(quotes, nNode);
double[] quotesDw = Arrays.copyOf(quotes, nNode);
quotesUp[i] += eps / quoteScale;
quotesDw[i] -= eps / quoteScale;
ImmutableMarketDataBuilder builderCreditUp = ImmutableMarketData.builder(valuationDate);
ImmutableMarketDataBuilder builderCreditDw = ImmutableMarketData.builder(valuationDate);
for (int j = 0; j < nNode; ++j)
{
builderCreditUp.addValue(nodes[j].ObservableId, quotesUp[j] * quoteScale);
builderCreditDw.addValue(nodes[j].ObservableId, quotesDw[j] * quoteScale);
}
ImmutableMarketData marketDataUp = builderCreditUp.build();
ImmutableMarketData marketDataDw = builderCreditDw.build();
IsdaCreditDiscountFactors ccUp = (IsdaCreditDiscountFactors)builder.calibrate(nodes, name, marketDataUp, ratesProvider, curve.SurvivalProbabilities.DayCount, curve.Currency, false, false, REF_DATA).SurvivalProbabilities;
IsdaCreditDiscountFactors ccDw = (IsdaCreditDiscountFactors)builder.calibrate(nodes, name, marketDataDw, ratesProvider, curve.SurvivalProbabilities.DayCount, curve.Currency, false, false, REF_DATA).SurvivalProbabilities;
for (int j = 0; j < nNode; ++j)
{
double computed = df.Curve.Metadata.findInfo(CurveInfoType.JACOBIAN).get().JacobianMatrix.get(j, i);
double expected = 0.5 * (ccUp.Curve.YValues.get(j) - ccDw.Curve.YValues.get(j)) / eps;
assertEquals(computed, expected, eps * 10d);
}
}
}
//-------------------------------------------------------------------------
protected internal virtual void testCalibrationAgainstISDA(IsdaCompliantCreditCurveCalibrator builder, DayCount dayCount, Currency currency, double tol)
{
IsdaCdsProductPricer pricer = new IsdaCdsProductPricer(builder.AccrualOnDefaultFormula);
for (int i = 0; i < NUM_TESTS; i++)
{
LegalEntitySurvivalProbabilities creditCurve = builder.calibrate(ImmutableList.copyOf(NODE_CDS[i]), CurveName.of("credit"), CDS_MARKET_DATA[i], YIELD_CURVES[i], dayCount, currency, false, false, REF_DATA);
ResolvedCdsTrade[] expectedCds = EXP_NODE_CDS[i];
ImmutableCreditRatesProvider provider = YIELD_CURVES[i].toBuilder().creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY, EUR), creditCurve)).build();
double[] expected = builder.AccrualOnDefaultFormula == AccrualOnDefaultFormula.MARKIT_FIX ? EXP_PROB_MARKIT_FIX[i] : EXP_PROB_ISDA[i];
for (int k = 0; k < N_OBS; k++)
{
assertEquals(creditCurve.SurvivalProbabilities.discountFactor(OBS_TIMES[k]), expected[k], tol);
}
int m = expectedCds.Length;
for (int j = 0; j < m; j++)
{
ResolvedCdsTrade cdsFromNode = NODE_CDS[i][j].trade(1d, CDS_MARKET_DATA[i], REF_DATA).UnderlyingTrade.resolve(REF_DATA);
assertEquals(cdsFromNode.Product, expectedCds[j].Product);
double price1 = pricer.price(cdsFromNode.Product, provider, SPREADS[i][j], cdsFromNode.Info.SettlementDate.get(), PriceType.CLEAN, REF_DATA);
assertEquals(price1, 0.0, 5e-16);
}
}
}
/// <summary>
/// The constructor with the accrual-on-default formula specified.
/// </summary>
/// <param name="formula"> the accrual-on-default formula </param>
public CdsMarketQuoteConverter(AccrualOnDefaultFormula formula)
{
this.calibrator = new FastCreditCurveCalibrator(formula);
this.pricer = new IsdaCdsTradePricer(formula);
}
//-------------------------------------------------------------------------
/// <summary>
/// The default constructor.
/// <para>
/// The original ISDA accrual-on-default formula (version 1.8.2 and lower) is used.
/// </para>
/// </summary>
public CdsMarketQuoteConverter()
{
this.calibrator = FastCreditCurveCalibrator.standard();
this.pricer = IsdaCdsTradePricer.DEFAULT;
}
/// <summary>
/// Constructor with accrual-on-default formula.
/// </summary>
/// <param name="formula"> the accrual-on-default formula </param>
public SpreadSensitivityCalculator(AccrualOnDefaultFormula formula)
{
this.pricer = new IsdaCdsTradePricer(formula);
this.calibrator = new FastCreditCurveCalibrator(formula);
}
