/**
* The average spread of a CDS portfolio (index), defined as the weighted average of the
* (implied) par spreads of the constituent names.
*
* @see #intrinsicIndexSpread
* @param indexCDS representation of the index cashflows (seen from today).
* @param yieldCurve The current yield curves
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return The average spread
*/
public double averageSpread(
CDS indexCDS,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
CDS cds = indexCDS.withRecoveryRate(0.0);
int n = intrinsicData.getIndexSize();
double sum = 0;
for (int i = 0; i < n; i++)
{
if (!intrinsicData.isDefaulted(i))
{
double protLeg = intrinsicData.getLGD(i) * _pricer.protectionLeg(cds, yieldCurve, intrinsicData.getCreditCurve(i));
double annuity = _pricer.annuity(cds, yieldCurve, intrinsicData.getCreditCurve(i));
double s = protLeg / annuity;
sum += intrinsicData.getWeight(i) * s;
}
}
sum /= intrinsicData.getIndexFactor();
return(sum);
}
/**
* Imply a single (pseudo) credit curve for an index that will give the same index values
* at a set of terms (supplied via pillarCDS) as the intrinsic value.
*
* @param pillarCDS Point to build the curve
* @param indexCoupon The index coupon
* @param yieldCurve The current yield curves
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return A (pseudo) credit curve for an index
*/
public PiecewiseconstantHazardRate impliedIndexCurve(
CDS[] pillarCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
int n = pillarCDS.Length;
double[] puf = new double[n];
double indexFactor = intrinsicData.getIndexFactor();
for (int i = 0; i < n; i++)
{
// PUF are always given for full index
puf[i] = indexPV(pillarCDS[i], indexCoupon, yieldCurve, intrinsicData) / indexFactor;
}
CreditCurveCalibrator calibrator = new CreditCurveCalibrator(pillarCDS, yieldCurve);
double[] coupons = new double[n];
Array.ConvertAll <double, double>(coupons, b => b = indexCoupon);
return(calibrator.calibrate(coupons, puf));
}
/**
* The Points-Up-Front (PUF) of an index. This is the (clean) price of a unit notional index.
* The actual clean price is this multiplied by the (current) index notional
* (i.e. the initial notional times the index factor).
*
* @param indexCDS analytic description of a CDS traded at a certain time
* @param indexCoupon The coupon of the index (as a fraction)
* @param yieldCurve The yield curve
* @param intrinsicData credit curves, weights and recover
* @return PUF of an index
*/
public double indexPUF(
CDS indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
return(indexPV(indexCDS, indexCoupon, yieldCurve, intrinsicData) / intrinsicData.getIndexFactor());
}
/**
* The intrinsic index spread. this is defined as the ratio of the intrinsic protection leg to the intrinsic annuity.
*
* @see #averageSpread
* @param indexCDS analytic description of a CDS traded at a certain time
* @param yieldCurve The yield curve
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return intrinsic index spread (as a fraction)
*/
public double intrinsicIndexSpread(
CDS indexCDS,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
if (intrinsicData.getNumOfDefaults() == intrinsicData.getIndexSize())
{
}
double prot = indexProtLeg(indexCDS, yieldCurve, intrinsicData);
double annuity = indexAnnuity(indexCDS, yieldCurve, intrinsicData);
return(prot / annuity);
}
/**
* The normalised expected default settlement value paid on the exercise settlement date.
* The actual default settlement is this multiplied by the (initial) index notional.
*
* @param timeToExpiry Time to expiry
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @return The normalised expected default settlement value
*/
public double expectedDefaultSettlementValue(
double timeToExpiry,
IntrinsicIndexDataBundle intrinsicData)
{
int indexSize = intrinsicData.getIndexSize();
double d = 0.0; //computed the expected default settlement amount (paid on the expiry settlement date)
for (int i = 0; i < indexSize; i++)
{
double qBar = intrinsicData.isDefaulted(i) ? 1.0 : 1.0 - Math.Exp(-intrinsicData.getCreditCurve(i).getRT_(
timeToExpiry));
d += intrinsicData.getWeight(i) * intrinsicData.getLGD(i) * qBar;
}
return(d);
}
/**
* The intrinsic annuity of a CDS portfolio (index) for a unit (initial) notional.
* The value of the premium leg is this multiplied by the <b> initial</b> notional of the index
* and the index coupon (as a fraction).
*
* @param indexCDS representation of the index cashflows (seen from today).
* @param yieldCurve The current yield curves
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @param priceType Clean or dirty
* @param valuationTime Valuation time. The leg value is calculated for today (t=0),
* then rolled forward (using the risk free yield curve) to the valuation time.
* This is because cash payments occur on the cash-settlement-date, which is usually
* three working days after the trade date (today)
* @return The intrinsic annuity of a CDS portfolio (index)
*/
public double indexAnnuity(
CDS indexCDS,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData,
CdsPriceType priceType,
double valuationTime)
{
int n = intrinsicData.getIndexSize();
double a = 0;
for (int i = 0; i < n; i++)
{
if (!intrinsicData.isDefaulted(i))
{
a += intrinsicData.getWeight(i) * _pricer.annuity(indexCDS, yieldCurve, intrinsicData.getCreditCurve(i), priceType, 0);
}
}
a /= Math.Exp(-yieldCurve.getRT_(valuationTime));
return(a);
}
/**
* The normalised intrinsic value of the protection leg of a CDS portfolio (index).
* The actual value of the leg is this multiplied by the <b>initial</b> notional of the index.
*
* @param indexCDS representation of the index cashflows (seen from today).
* @param yieldCurve The current yield curves
* @param intrinsicData credit curves, weights and recovery rates of the intrinsic names
* @param valuationTime Valuation time. The leg value is calculated for today (t=0),
* then rolled forward (using the risk free yield curve) to the valuation time.
* This is because cash payments occur on the cash-settlement-date, which is usually
* three working days after the trade date (today)
* @return The normalised intrinsic value of the protection leg.
*/
public double indexProtLeg(
CDS indexCDS,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData,
double valuationTime)
{
CDS cds = indexCDS.withRecoveryRate(0.0);
int n = intrinsicData.getIndexSize();
double protLeg = 0;
for (int i = 0; i < n; i++)
{
if (!intrinsicData.isDefaulted(i))
{
protLeg += intrinsicData.getWeight(i) * intrinsicData.getLGD(i) *
_pricer.protectionLeg(cds, yieldCurve, intrinsicData.getCreditCurve(i), 0);
}
}
protLeg /= Math.Exp(-yieldCurve.getRT_(valuationTime));
return(protLeg);
}
/**
* Values on per-name default
* @param indexCDS The CDS index
* @param indexCoupon The index coupon
* @param yieldCurve The yield curve
* @param intrinsicData Credit curves, weights and recovery rates of the intrinsic names
* @return The jump to default
*/
public double[] jumpToDefault(
CDS indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
int indexSize = intrinsicData.getIndexSize();
double[] res = new double[indexSize];
for (int i = 0; i < indexSize; ++i)
{
if (intrinsicData.isDefaulted(i))
{
res[i] = 0.0;
}
else
{
res[i] = decomposedValueOnDefault(indexCDS, indexCoupon, yieldCurve, intrinsicData, i);
}
}
return(res);
}
/**
* Sensitivity of the intrinsic value of a CDS index to intrinsic CDS recovery rates.
*
* @param indexCDS The CDS index
* @param indexCoupon The index coupon
* @param yieldCurve The yield curve
* @param intrinsicData Credit curves, weights and recovery rates of the intrinsic names
* @return The sensitivity
*/
public double[] recovery01(
CDS indexCDS,
double indexCoupon,
YieldTermStructure yieldCurve,
IntrinsicIndexDataBundle intrinsicData)
{
CDS zeroRR = indexCDS.withRecoveryRate(0.0);
int indexSize = intrinsicData.getIndexSize();
double[] res = new double[indexSize];
for (int i = 0; i < indexSize; ++i)
{
if (intrinsicData.isDefaulted(i))
{
res[i] = 0.0;
}
else
{
res[i] = -_pricer.protectionLeg(zeroRR, yieldCurve, intrinsicData.getCreditCurve(i)) *
intrinsicData.getWeight(i);
}
}
return(res);
}