/**
* Put any CDS market quote into the form needed for the curve builder,
* namely coupon and points up-front (which can be zero).
*
* @param calibrationCDS
* @param marketQuote
* @param yieldCurve
* @return The market quotes in the form required by the curve builder
*/
private double[] getStandardQuoteForm(
CDS calibrationCDS,
CdsQuoteConvention marketQuote,
YieldTermStructure yieldCurve)
{
AnalyticalCdsPricer pricer = new AnalyticalCdsPricer();
double[] res = new double[2];
if (marketQuote is CdsParSpread)
{
res[0] = marketQuote.getCoupon();
}
else if (marketQuote is CdsQuotedSpread)
{
CdsQuotedSpread temp = (CdsQuotedSpread)marketQuote;
double coupon = temp.getCoupon();
double qSpread = temp.getQuotedSpread();
PiecewiseconstantHazardRate cc = calibrateCreditCurve(
new CDS[] { calibrationCDS }, new double[] { qSpread }, yieldCurve, new double[1]);
res[0] = coupon;
res[1] = pricer.pv(calibrationCDS, yieldCurve, cc, coupon, CdsPriceType.CLEAN);
}
else if (marketQuote is PointsUpFront)
{
PointsUpFront temp = (PointsUpFront)marketQuote;
res[0] = temp.getCoupon();
res[1] = temp.getPointsUpFront();
}
return(res);
}
/**
* Constructor specifying formula used in pricer and credit curve builder.
*
* @param formula The formula
*/
public HedgeRatioCalculator(AccrualOnDefaultFormulae formula)
{
_pricer = new AnalyticalCdsPricer(formula);
_builder = new FastCreditCurveBuilder(formula);
}
/**
* Default constructor.
*/
public HedgeRatioCalculator()
{
_pricer = new AnalyticalCdsPricer();
_builder = new FastCreditCurveBuilder();
}
public CDSIndexCalculator()
{
_pricer = new AnalyticalCdsPricer();
}
public AnalyticSpreadSensitivityCalculator(AccrualOnDefaultFormulae formula)
{
_curveBuilder = new FastCreditCurveBuilder(formula);
_pricer = new AnalyticalCdsPricer(formula);
}
public AnalyticSpreadSensitivityCalculator()
{
_curveBuilder = new FastCreditCurveBuilder();
_pricer = new AnalyticalCdsPricer();
}
public CdsRiskFactors(AccrualOnDefaultFormulae formula)
{
_pricer = new AnalyticalCdsPricer(formula);
}
public CdsRiskFactors()
{
_pricer = new AnalyticalCdsPricer();
}
