public IntrinsicIndexDataBundle adjustCurves(
double indexPUF,
CDS indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
Func <double, double> func = getHazardRateAdjFunction(indexPUF, indexCDS, indexCoupon, yieldCurve, intrinsicData);
double x = ROOTFINDER.getRoot(func, 1.0);
PiecewiseconstantHazardRate[] adjCC = adjustCurves(intrinsicData.getCreditCurves(), x);
return(intrinsicData.withCreditCurves(adjCC));
}
public YieldTermStructure fitSwap(int curveIndex, BasicFixedLeg swap, YieldTermStructure curve, double swapRate)
{
int nPayments = swap._nPayments;
int nNodes = curve.nJumps_;
double t1 = curveIndex == 0 ? 0.0 : curve.t[curveIndex - 1];
double t2 = curveIndex == nNodes - 1 ? double.PositiveInfinity : curve.t[curveIndex + 1];
double temp = 0;
double temp2 = 0;
int i1 = 0;
int i2 = nPayments;
double[] paymentAmounts = new double[nPayments];
for (int i = 0; i < nPayments; i++)
{
double t = swap.getPaymentTime(i);
paymentAmounts[i] = swap.getPaymentAmounts(i, swapRate);
if (t <= t1)
{
double df = Math.Exp(-curve.getRT_(t));
temp += paymentAmounts[i] * df;
temp2 -= paymentAmounts[i] * curve.getSingleNodeDiscountFactorSensitivity(t, curveIndex);
i1++;
}
else if (t >= t2)
{
double df = Math.Exp(-curve.getRT_(t));
temp += paymentAmounts[i] * df;
temp2 += paymentAmounts[i] * curve.getSingleNodeDiscountFactorSensitivity(t, curveIndex);
i2--;
}
}
double cachedValues = temp;
double cachedSense = temp2;
int index1 = i1;
int index2 = i2;
BracketRoot BRACKETER = new BracketRoot();
NewtonRaphsonSingleRootFinder ROOTFINDER = new NewtonRaphsonSingleRootFinder();
Func <double, double> func = x => apply_(x, curve, curveIndex, cachedValues, index1, index2,
swap, paymentAmounts);
Func <double, double> grad = x => apply_sen(x, curve, curveIndex, cachedSense, index1, index2,
swap, swapRate);
double guess = curve.getZeroRateAtIndex(curveIndex);
if (guess == 0.0 && func(guess) == 0.0)
{
return(curve);
}
double[] bracket = BRACKETER.getBracketedPoints(func, 0.8 * guess, 1.25 * guess, 0, double.PositiveInfinity);
double r = ROOTFINDER.getRoot(func, grad, bracket[0], bracket[1]);
return(curve.withRate(r, curveIndex));
}