private CurrencyParameterSensitivities sensitivityCreidtCurve <T>(ImmutableCreditRatesProvider provider, System.Func <ImmutableCreditRatesProvider, CurrencyAmount> valueFn, MetaProperty <ImmutableMap <T, LegalEntitySurvivalProbabilities> > metaProperty, CurrencyAmount valueInit) { ImmutableMap <T, LegalEntitySurvivalProbabilities> baseCurves = metaProperty.get(provider); CurrencyParameterSensitivities result = CurrencyParameterSensitivities.empty(); foreach (T key in baseCurves.Keys) { LegalEntitySurvivalProbabilities credit = baseCurves.get(key); CreditDiscountFactors creditDiscountFactors = credit.SurvivalProbabilities; DiscountFactors discountFactors = creditDiscountFactors.toDiscountFactors(); Curve curve = checkDiscountFactors(discountFactors); int paramCount = curve.ParameterCount; double[] sensitivity = new double[paramCount]; for (int i = 0; i < paramCount; i++) { Curve dscBumped = curve.withParameter(i, curve.getParameter(i) + shift); IDictionary <T, LegalEntitySurvivalProbabilities> mapBumped = new Dictionary <T, LegalEntitySurvivalProbabilities>(baseCurves); mapBumped[key] = LegalEntitySurvivalProbabilities.of(credit.LegalEntityId, createCreditDiscountFactors(creditDiscountFactors, dscBumped)); ImmutableCreditRatesProvider providerDscBumped = provider.toBuilder().set(metaProperty, mapBumped).build(); sensitivity[i] = (valueFn(providerDscBumped).Amount - valueInit.Amount) / shift; } result = result.combinedWith(curve.createParameterSensitivity(valueInit.Currency, DoubleArray.copyOf(sensitivity))); } return(result); }
//------------------------------------------------------------------------- public LegalEntitySurvivalProbabilities survivalProbabilities(StandardId legalEntityId, Currency currency) { CurveId curveId = lookup.CreditCurveIds.get(Pair.of(legalEntityId, currency)); if (curveId == null) { throw new MarketDataNotFoundException("Unable to find credit curve: " + legalEntityId + ", " + currency); } Curve curve = marketData.getValue(curveId); CreditDiscountFactors survivalProbabilities = CreditDiscountFactors.of(currency, ValuationDate, curve); return(LegalEntitySurvivalProbabilities.of(legalEntityId, survivalProbabilities)); }
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 ImmutableCreditRatesProvider toImmutableCreditRatesProvider() { LocalDate valuationDate = ValuationDate; // credit curves IDictionary <Pair <StandardId, Currency>, LegalEntitySurvivalProbabilities> creditCurves = new Dictionary <Pair <StandardId, Currency>, LegalEntitySurvivalProbabilities>(); foreach (Pair <StandardId, Currency> pair in lookup.CreditCurveIds.Keys) { CurveId curveId = lookup.CreditCurveIds.get(pair); if (marketData.containsValue(curveId)) { Curve curve = marketData.getValue(curveId); CreditDiscountFactors survivalProbabilities = CreditDiscountFactors.of(pair.Second, valuationDate, curve); creditCurves[pair] = LegalEntitySurvivalProbabilities.of(pair.First, survivalProbabilities); } } // discount curves IDictionary <Currency, CreditDiscountFactors> discountCurves = new Dictionary <Currency, CreditDiscountFactors>(); foreach (Currency currency in lookup.DiscountCurveIds.Keys) { CurveId curveId = lookup.DiscountCurveIds.get(currency); if (marketData.containsValue(curveId)) { Curve curve = marketData.getValue(curveId); discountCurves[currency] = CreditDiscountFactors.of(currency, valuationDate, curve); } } // recovery rate curves IDictionary <StandardId, RecoveryRates> recoveryRateCurves = new Dictionary <StandardId, RecoveryRates>(); foreach (StandardId legalEntityId in lookup.RecoveryRateCurveIds.Keys) { CurveId curveId = lookup.RecoveryRateCurveIds.get(legalEntityId); if (marketData.containsValue(curveId)) { Curve curve = marketData.getValue(curveId); RecoveryRates recoveryRate = RecoveryRates.of(legalEntityId, valuationDate, curve); recoveryRateCurves[legalEntityId] = recoveryRate; } } // build result return(ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).creditCurves(creditCurves).discountCurves(discountCurves).recoveryRateCurves(recoveryRateCurves).build()); }
public CurrencyParameterSensitivity singleCreditCurveParameterSensitivity(PointSensitivities pointSensitivities, StandardId legalEntityId, Currency currency) { CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty(); foreach (PointSensitivity point in pointSensitivities.Sensitivities) { if (point is CreditCurveZeroRateSensitivity) { CreditCurveZeroRateSensitivity pt = (CreditCurveZeroRateSensitivity)point; if (pt.LegalEntityId.Equals(legalEntityId) && pt.Currency.Equals(currency)) { LegalEntitySurvivalProbabilities factors = survivalProbabilities(pt.LegalEntityId, pt.CurveCurrency); sens = sens.combinedWith(factors.parameterSensitivity(pt)); } } } ArgChecker.isTrue(sens.size() == 1, "sensitivity must be unique"); return(sens.Sensitivities.get(0)); }
//------------------------------------------------------------------------- public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities) { CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty(); foreach (PointSensitivity point in pointSensitivities.Sensitivities) { if (point is CreditCurveZeroRateSensitivity) { CreditCurveZeroRateSensitivity pt = (CreditCurveZeroRateSensitivity)point; LegalEntitySurvivalProbabilities factors = survivalProbabilities(pt.LegalEntityId, pt.CurveCurrency); sens = sens.combinedWith(factors.parameterSensitivity(pt)); } else if (point is ZeroRateSensitivity) { ZeroRateSensitivity pt = (ZeroRateSensitivity)point; CreditDiscountFactors factors = discountFactors(pt.CurveCurrency); sens = sens.combinedWith(factors.parameterSensitivity(pt)); } } return(sens); }
//------------------------------------------------------------------------- /// <summary> /// Creates credit rates provider with valuation date specified. /// </summary> /// <param name="valuationDate"> the valuation date </param> /// <returns> the rates provider </returns> public static ImmutableCreditRatesProvider createCreditRatesProvider(LocalDate valuationDate) { IsdaCreditDiscountFactors ycUsd = IsdaCreditDiscountFactors.of(USD, valuationDate, NODAL_YC_USD); IsdaCreditDiscountFactors ycJpy = IsdaCreditDiscountFactors.of(JPY, valuationDate, NODAL_YC_JPY); IsdaCreditDiscountFactors ccUs = IsdaCreditDiscountFactors.of(USD, valuationDate, NODAL_CC_US); IsdaCreditDiscountFactors ccJp = IsdaCreditDiscountFactors.of(JPY, valuationDate, NODAL_CC_JP); ConstantRecoveryRates rrUs = ConstantRecoveryRates.of(LEGAL_ENTITY_US, valuationDate, RECOVERY_RATE_US); ConstantRecoveryRates rrJp = ConstantRecoveryRates.of(LEGAL_ENTITY_JP, valuationDate, RECOVERY_RATE_JP); return(ImmutableCreditRatesProvider.builder().valuationDate(valuationDate).creditCurves(ImmutableMap.of(Pair.of(LEGAL_ENTITY_US, USD), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_US, ccUs), Pair.of(LEGAL_ENTITY_JP, JPY), LegalEntitySurvivalProbabilities.of(LEGAL_ENTITY_JP, ccJp))).discountCurves(ImmutableMap.of(USD, ycUsd, JPY, ycJpy)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY_US, rrUs, LEGAL_ENTITY_JP, rrJp)).build()); }