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 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()); }
//------------------------------------------------------------------------- /// <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()); }