//-------------------------------------------------------------------------
public override NodalCurve calibrate(IList <ResolvedCdsTrade> calibrationCDSs, DoubleArray premiums, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
{
int n = calibrationCDSs.Count;
double[] guess = new double[n];
double[] t = new double[n];
double[] lgd = new double[n];
for (int i = 0; i < n; i++)
{
LocalDate endDate = calibrationCDSs[i].Product.ProtectionEndDate;
t[i] = discountFactors.relativeYearFraction(endDate);
lgd[i] = 1d - recoveryRates.recoveryRate(endDate);
guess[i] = (premiums.get(i) + pointsUpfront.get(i) / t[i]) / lgd[i];
}
DoubleArray times = DoubleArray.ofUnsafe(t);
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).curveName(name).dayCount(discountFactors.DayCount).build();
NodalCurve creditCurve = n == 1 ? ConstantNodalCurve.of(baseMetadata, t[0], guess[0]) : InterpolatedNodalCurve.of(baseMetadata, times, DoubleArray.ofUnsafe(guess), CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
for (int i = 0; i < n; i++)
{
System.Func <double, double> func = getPriceFunction(i, calibrationCDSs[i], premiums.get(i), pointsUpfront.get(i), valuationDate, creditCurve, discountFactors, recoveryRates, refData);
double[] bracket = BRACKER.getBracketedPoints(func, 0.8 * guess[i], 1.25 * guess[i], 0.0, double.PositiveInfinity);
double zeroRate = bracket[0] > bracket[1] ? ROOTFINDER.getRoot(func, bracket[1], bracket[0]) : ROOTFINDER.getRoot(func, bracket[0], bracket[1]); //Negative guess handled
creditCurve = creditCurve.withParameter(i, zeroRate);
}
return(creditCurve);
}
public virtual void test_bondDiscountingProvider()
{
LocalDate valDate = LocalDate.of(2015, 6, 30);
Curve ccAUsd = ConstantNodalCurve.of(Curves.zeroRates(CC_A_USD.CurveName, ACT_365F), 0.5d, 1.5d);
Curve ccBGbp = ConstantNodalCurve.of(Curves.zeroRates(CC_B_GBP.CurveName, ACT_365F), 0.5d, 2d);
Curve ccAGbp = ConstantNodalCurve.of(Curves.zeroRates(CC_A_GBP.CurveName, ACT_365F), 0.5d, 3d);
Curve dcGbp = ConstantNodalCurve.of(Curves.zeroRates(DC_GBP.CurveName, ACT_365F), 0.5d, 0.1d);
Curve dcUsd = ConstantNodalCurve.of(Curves.zeroRates(DC_USD.CurveName, ACT_365F), 0.5d, 0.05d);
Curve rcA = ConstantCurve.of(Curves.recoveryRates(RC_A.CurveName, ACT_365F), 0.5d);
Curve rcB = ConstantCurve.of(Curves.recoveryRates(RC_B.CurveName, ACT_365F), 0.4234d);
IDictionary <CurveId, Curve> curveMap = new Dictionary <CurveId, Curve>();
curveMap[CC_A_USD] = ccAUsd;
curveMap[CC_B_GBP] = ccBGbp;
curveMap[CC_A_GBP] = ccAGbp;
curveMap[DC_USD] = dcUsd;
curveMap[DC_GBP] = dcGbp;
curveMap[RC_A] = rcA;
curveMap[RC_B] = rcB;
MarketData md = ImmutableMarketData.of(valDate, ImmutableMap.copyOf(curveMap));
CreditRatesProvider provider = LOOKUP_WITH_SOURCE.creditRatesProvider(md);
assertEquals(provider.ValuationDate, valDate);
assertEquals(provider.findData(CC_A_USD.CurveName), ccAUsd);
assertEquals(provider.findData(DC_USD.CurveName), dcUsd);
assertEquals(provider.findData(RC_B.CurveName), rcB);
assertEquals(provider.findData(CurveName.of("Rubbish")), null);
// check credit curve
LegalEntitySurvivalProbabilities cc = provider.survivalProbabilities(ISSUER_A, GBP);
IsdaCreditDiscountFactors ccUnder = (IsdaCreditDiscountFactors)cc.SurvivalProbabilities;
assertEquals(ccUnder.Curve.Name, ccAGbp.Name);
assertThrowsRuntime(() => provider.survivalProbabilities(ISSUER_B, USD));
assertThrowsRuntime(() => provider.survivalProbabilities(ISSUER_C, USD));
// check discount curve
IsdaCreditDiscountFactors dc = (IsdaCreditDiscountFactors)provider.discountFactors(USD);
assertEquals(dc.Curve.Name, dcUsd.Name);
assertThrowsRuntime(() => provider.discountFactors(EUR));
// check recovery rate curve
ConstantRecoveryRates rc = (ConstantRecoveryRates)provider.recoveryRates(ISSUER_B);
assertEquals(rc.RecoveryRate, rcB.getParameter(0));
assertThrowsRuntime(() => provider.recoveryRates(ISSUER_C));
}
public virtual void test_createSabrParameterCurve()
{
DoubleArray nuKnots = DoubleArray.of(5.0);
SabrIborCapletFloorletVolatilityCalibrationDefinition fixedBeta = SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_365F, BETA_RHO, ALPHA_KNOTS, BETA_RHO_KNOTS, nuKnots, DOUBLE_QUADRATIC, FLAT, LINEAR, HAGAN);
SabrIborCapletFloorletVolatilityCalibrationDefinition fixedRho = SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedRho(NAME, USD_LIBOR_3M, ACT_365F, BETA_RHO, ALPHA_KNOTS, BETA_RHO_KNOTS, nuKnots, DOUBLE_QUADRATIC, FLAT, LINEAR, HAGAN);
ImmutableList <CurveMetadata> metadata = fixedBeta.createSabrParameterMetadata();
DoubleArray newValues = DoubleArray.of(0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.02, 0.02, 0.02, 0.05);
DoubleArray newValues1 = DoubleArray.of(0.01, 0.01, 0.01, 0.01, 0.01, 0.01);
DoubleArray newValues2 = DoubleArray.of(0.02, 0.02, 0.02);
DoubleArray newValues3 = DoubleArray.of(0.05);
IList <Curve> computedFixedBeta = fixedBeta.createSabrParameterCurve(metadata, newValues);
IList <Curve> computedFixedRho = fixedRho.createSabrParameterCurve(metadata, newValues);
Curve curveAlpha = InterpolatedNodalCurve.of(metadata.get(0), ALPHA_KNOTS, newValues1, DOUBLE_QUADRATIC, FLAT, LINEAR);
Curve curveBeta = InterpolatedNodalCurve.of(metadata.get(1), BETA_RHO_KNOTS, newValues2, DOUBLE_QUADRATIC, FLAT, LINEAR);
Curve curveRho = InterpolatedNodalCurve.of(metadata.get(2), BETA_RHO_KNOTS, newValues2, DOUBLE_QUADRATIC, FLAT, LINEAR);
Curve curveNu = ConstantNodalCurve.of(metadata.get(3), nuKnots.get(0), newValues3.get(0));
assertEquals(computedFixedBeta, ImmutableList.of(curveAlpha, fixedBeta.BetaCurve.get(), curveRho, curveNu));
assertEquals(computedFixedRho, ImmutableList.of(curveAlpha, curveBeta, fixedRho.RhoCurve.get(), curveNu));
}
//-------------------------------------------------------------------------
// shift the curve
private NodalCurve withShift(InterpolatedNodalCurve curve, IList <ParameterMetadata> parameterMetadata, DoubleMatrix sensitivity, bool computeJacobian, double shift)
{
int nNode = curve.ParameterCount;
if (shift < curve.XValues.get(0))
{
//offset less than t value of 1st knot, so no knots are not removed
double eta = curve.YValues.get(0) * shift;
DoubleArray time = DoubleArray.of(nNode, i => curve.XValues.get(i) - shift);
DoubleArray rate = DoubleArray.of(nNode, i => (curve.YValues.get(i) * curve.XValues.get(i) - eta) / time.get(i));
CurveMetadata metadata = curve.Metadata.withParameterMetadata(parameterMetadata);
if (computeJacobian)
{
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] transf = new double[nNode][nNode];
double[][] transf = RectangularArrays.ReturnRectangularDoubleArray(nNode, nNode);
for (int i = 0; i < nNode; ++i)
{
transf[i][0] = -shift / time.get(i);
transf[i][i] += curve.XValues.get(i) / time.get(i);
}
DoubleMatrix jacobianMatrix = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity));
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curve.Name, nNode)), jacobianMatrix);
return(curve.withValues(time, rate).withMetadata(metadata.withInfo(CurveInfoType.JACOBIAN, jacobian)));
}
return(curve.withValues(time, rate).withMetadata(metadata));
}
if (shift >= curve.XValues.get(nNode - 1))
{
//new base after last knot. The new 'curve' has a constant zero rate which we represent with a nominal knot at 1.0
double time = 1d;
double interval = curve.XValues.get(nNode - 1) - curve.XValues.get(nNode - 2);
double rate = (curve.YValues.get(nNode - 1) * curve.XValues.get(nNode - 1) - curve.YValues.get(nNode - 2) * curve.XValues.get(nNode - 2)) / interval;
if (computeJacobian)
{
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] transf = new double[1][nNode];
double[][] transf = RectangularArrays.ReturnRectangularDoubleArray(1, nNode);
transf[0][nNode - 2] = -curve.XValues.get(nNode - 2) / interval;
transf[0][nNode - 1] = curve.XValues.get(nNode - 1) / interval;
DoubleMatrix jacobianMatrix = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity));
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curve.Name, nNode)), jacobianMatrix);
return(ConstantNodalCurve.of(curve.Metadata.withInfo(CurveInfoType.JACOBIAN, jacobian), time, rate));
}
return(ConstantNodalCurve.of(curve.Metadata, time, rate));
}
//offset greater than (or equal to) t value of 1st knot, so at least one knot must be removed
int index = Arrays.binarySearch(curve.XValues.toArray(), shift);
if (index < 0)
{
index = -(index + 1);
}
else
{
index++;
}
double interval = curve.XValues.get(index) - curve.XValues.get(index - 1);
double tt1 = curve.XValues.get(index - 1) * (curve.XValues.get(index) - shift);
double tt2 = curve.XValues.get(index) * (shift - curve.XValues.get(index - 1));
double eta = (curve.YValues.get(index - 1) * tt1 + curve.YValues.get(index) * tt2) / interval;
int m = nNode - index;
CurveMetadata metadata = curve.Metadata.withParameterMetadata(parameterMetadata.subList(index, nNode));
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int indexFinal = index;
int indexFinal = index;
DoubleArray time = DoubleArray.of(m, i => curve.XValues.get(i + indexFinal) - shift);
DoubleArray rate = DoubleArray.of(m, i => (curve.YValues.get(i + indexFinal) * curve.XValues.get(i + indexFinal) - eta) / time.get(i));
if (computeJacobian)
{
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] transf = new double[m][nNode];
double[][] transf = RectangularArrays.ReturnRectangularDoubleArray(m, nNode);
for (int i = 0; i < m; ++i)
{
transf[i][index - 1] -= tt1 / (time.get(i) * interval);
transf[i][index] -= tt2 / (time.get(i) * interval);
transf[i][i + index] += curve.XValues.get(i + index) / time.get(i);
}
DoubleMatrix jacobianMatrix = (DoubleMatrix)MATRIX_ALGEBRA.multiply(DoubleMatrix.ofUnsafe(transf), MATRIX_ALGEBRA.getInverse(sensitivity));
JacobianCalibrationMatrix jacobian = JacobianCalibrationMatrix.of(ImmutableList.of(CurveParameterSize.of(curve.Name, nNode)), jacobianMatrix);
return(curve.withValues(time, rate).withMetadata(metadata.withInfo(CurveInfoType.JACOBIAN, jacobian)));
}
return(curve.withValues(time, rate).withMetadata(metadata));
}
/// <summary>
/// Creates an instance from year fraction and zero rate values.
/// </summary>
/// <param name="currency"> the currency </param>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="curveName"> the curve name </param>
/// <param name="yearFractions"> the year fractions </param>
/// <param name="zeroRates"> the zero rates </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the instance </returns>
public static IsdaCreditDiscountFactors of(Currency currency, LocalDate valuationDate, CurveName curveName, DoubleArray yearFractions, DoubleArray zeroRates, DayCount dayCount)
{
ArgChecker.notNull(yearFractions, "yearFractions");
ArgChecker.notNull(zeroRates, "zeroRates");
DefaultCurveMetadata metadata = DefaultCurveMetadata.builder().xValueType(YEAR_FRACTION).yValueType(ZERO_RATE).curveName(curveName).dayCount(dayCount).build();
NodalCurve curve = (yearFractions.size() == 1 && zeroRates.size() == 1) ? ConstantNodalCurve.of(metadata, yearFractions.get(0), zeroRates.get(0)) : InterpolatedNodalCurve.of(metadata, yearFractions, zeroRates, CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
return(new IsdaCreditDiscountFactors(currency, valuationDate, curve));
}
//-------------------------------------------------------------------------
public override NodalCurve calibrate(IList <ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
{
int n = calibrationCDSs.Count;
double[] guess = new double[n];
double[] t = new double[n];
double[] lgd = new double[n];
for (int i = 0; i < n; i++)
{
LocalDate endDate = calibrationCDSs[i].Product.ProtectionEndDate;
t[i] = discountFactors.relativeYearFraction(endDate);
lgd[i] = 1d - recoveryRates.recoveryRate(endDate);
guess[i] = (flactionalSpreads.get(i) + pointsUpfront.get(i) / t[i]) / lgd[i];
}
DoubleArray times = DoubleArray.ofUnsafe(t);
CurveMetadata baseMetadata = DefaultCurveMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.ZERO_RATE).curveName(name).dayCount(discountFactors.DayCount).build();
NodalCurve creditCurve = n == 1 ? ConstantNodalCurve.of(baseMetadata, t[0], guess[0]) : InterpolatedNodalCurve.of(baseMetadata, times, DoubleArray.ofUnsafe(guess), CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR);
for (int i = 0; i < n; i++)
{
ResolvedCds cds = calibrationCDSs[i].Product;
LocalDate stepinDate = cds.StepinDateOffset.adjust(valuationDate, refData);
LocalDate effectiveStartDate = cds.calculateEffectiveStartDate(stepinDate);
LocalDate settlementDate = calibrationCDSs[i].Info.SettlementDate.orElse(cds.SettlementDateOffset.adjust(valuationDate, refData));
double accrued = cds.accruedYearFraction(stepinDate);
Pricer pricer = new Pricer(this, cds, discountFactors, times, flactionalSpreads.get(i), pointsUpfront.get(i), lgd[i], stepinDate, effectiveStartDate, settlementDate, accrued);
System.Func <double, double> func = pricer.getPointFunction(i, creditCurve);
switch (ArbitrageHandling)
{
case IGNORE:
{
try
{
double[] bracket = BRACKETER.getBracketedPoints(func, 0.8 * guess[i], 1.25 * guess[i], double.NegativeInfinity, double.PositiveInfinity);
double zeroRate = bracket[0] > bracket[1] ? ROOTFINDER.getRoot(func, bracket[1], bracket[0]) : ROOTFINDER.getRoot(func, bracket[0], bracket[1]); //Negative guess handled
creditCurve = creditCurve.withParameter(i, zeroRate);
}
//JAVA TO C# CONVERTER WARNING: 'final' catch parameters are not available in C#:
//ORIGINAL LINE: catch (final com.opengamma.strata.math.MathException e)
catch (MathException e)
{ //handling bracketing failure due to small survival probability
if (Math.Abs(func(creditCurve.YValues.get(i - 1))) < 1.e-12)
{
creditCurve = creditCurve.withParameter(i, creditCurve.YValues.get(i - 1));
}
else
{
throw new MathException(e);
}
}
break;
}
case FAIL:
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double minValue = i == 0 ? 0d : creditCurve.getYValues().get(i - 1) * creditCurve.getXValues().get(i - 1) / creditCurve.getXValues().get(i);
double minValue = i == 0 ? 0d : creditCurve.YValues.get(i - 1) * creditCurve.XValues.get(i - 1) / creditCurve.XValues.get(i);
if (i > 0 && func(minValue) > 0.0)
{ //can never fail on the first spread
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final StringBuilder msg = new StringBuilder();
StringBuilder msg = new StringBuilder();
if (pointsUpfront.get(i) == 0.0)
{
msg.Append("The par spread of " + flactionalSpreads.get(i) + " at index " + i);
}
else
{
msg.Append("The premium of " + flactionalSpreads.get(i) + "and points up-front of " + pointsUpfront.get(i) + " at index " + i);
}
msg.Append(" is an arbitrage; cannot fit a curve with positive forward hazard rate. ");
throw new System.ArgumentException(msg.ToString());
}
guess[i] = Math.Max(minValue, guess[i]);
double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, double.PositiveInfinity);
double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]).Value;
creditCurve = creditCurve.withParameter(i, zeroRate);
break;
}
case ZERO_HAZARD_RATE:
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double minValue = i == 0 ? 0.0 : creditCurve.getYValues().get(i - 1) * creditCurve.getXValues().get(i - 1) / creditCurve.getXValues().get(i);
double minValue = i == 0 ? 0.0 : creditCurve.YValues.get(i - 1) * creditCurve.XValues.get(i - 1) / creditCurve.XValues.get(i);
if (i > 0 && func(minValue) > 0.0)
{ //can never fail on the first spread
creditCurve = creditCurve.withParameter(i, minValue);
}
else
{
guess[i] = Math.Max(minValue, guess[i]);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, Double.POSITIVE_INFINITY);
double[] bracket = BRACKETER.getBracketedPoints(func, guess[i], 1.2 * guess[i], minValue, double.PositiveInfinity);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]);
double zeroRate = ROOTFINDER.getRoot(func, bracket[0], bracket[1]).Value;
creditCurve = creditCurve.withParameter(i, zeroRate);
}
break;
}
default:
throw new System.ArgumentException("unknown case " + ArbitrageHandling);
}
}
return(creditCurve);
}
