public virtual void getIntegrationsPointsTest()
{
double start = 0.1;
double end = 2.0;
DoubleArray setA0 = DoubleArray.of(0.5, 0.9, 1.4);
DoubleArray setB0 = DoubleArray.of(0.3, 0.4, 1.5, 1.6);
DoubleArray exp0 = DoubleArray.of(0.1, 0.3, 0.4, 0.5, 0.9, 1.4, 1.5, 1.6, 2.0);
DoubleArray res0 = DoublesScheduleGenerator.getIntegrationsPoints(start, end, setA0, setB0);
assertTrue(DoubleArrayMath.fuzzyEquals(exp0.toArray(), res0.toArray(), 0d));
DoubleArray setA1 = DoubleArray.of(0.5, 0.9, 1.4);
DoubleArray setB1 = DoubleArray.of(0.3, 0.4, 0.5, 1.5, 1.6);
DoubleArray exp1 = DoubleArray.of(0.1, 0.3, 0.4, 0.5, 0.9, 1.4, 1.5, 1.6, 2.0);
DoubleArray res1 = DoublesScheduleGenerator.getIntegrationsPoints(start, end, setA1, setB1);
assertTrue(DoubleArrayMath.fuzzyEquals(exp1.toArray(), res1.toArray(), 0d));
/*
* different(temp[pos], end) == false
*/
DoubleArray setA2 = DoubleArray.of(0.2, 0.9, 1.4);
DoubleArray setB2 = DoubleArray.of(0.3, 0.4, 0.5, 1.5, 2.0 - 1.e-3);
DoubleArray exp2 = DoubleArray.of(0.1, 0.2, 0.3, 0.4, 0.5, 0.9, 1.4, 1.5, 2.0);
DoubleArray res2 = DoublesScheduleGenerator.getIntegrationsPoints(start, end, setA2, setB2);
assertTrue(DoubleArrayMath.fuzzyEquals(exp2.toArray(), res2.toArray(), 0d));
DoubleArray setA3 = DoubleArray.of(0.05, 0.07);
DoubleArray setB3 = DoubleArray.of(0.03, 0.04);
DoubleArray exp3 = DoubleArray.of(0.1, 2.0);
DoubleArray res3 = DoublesScheduleGenerator.getIntegrationsPoints(start, end, setA3, setB3);
assertTrue(DoubleArrayMath.fuzzyEquals(exp3.toArray(), res3.toArray(), 0d));
DoubleArray setA4 = DoubleArray.of(2.2, 2.7);
DoubleArray setB4 = DoubleArray.of(2.3, 2.4);
DoubleArray exp4 = DoubleArray.of(0.1, 2.0);
DoubleArray res4 = DoublesScheduleGenerator.getIntegrationsPoints(start, end, setA4, setB4);
assertTrue(DoubleArrayMath.fuzzyEquals(exp4.toArray(), res4.toArray(), 0d));
DoubleArray setA5 = DoubleArray.of(-0.5, 0.0, 1.2);
DoubleArray setB5 = DoubleArray.of(-0.2, -0.0, 1.2);
DoubleArray exp5 = DoubleArray.of(-0.3, -0.2, 0.0, 1.2, 2.0);
DoubleArray res5 = DoublesScheduleGenerator.getIntegrationsPoints(-0.3, end, setA5, setB5);
assertTrue(DoubleArrayMath.fuzzyEquals(exp5.toArray(), res5.toArray(), 0d));
}
public virtual void truncateSetInclusiveTest()
{
double lower = 0.1;
double upper = 2.5;
DoubleArray set0 = DoubleArray.of(-0.2, 1.5, 2.9);
DoubleArray exp0 = DoubleArray.of(0.1, 1.5, 2.5);
DoubleArray res0 = DoublesScheduleGenerator.truncateSetInclusive(lower, upper, set0);
assertTrue(DoubleArrayMath.fuzzyEquals(exp0.toArray(), res0.toArray(), 0d));
DoubleArray set1 = DoubleArray.of(-0.2, -0.1);
DoubleArray exp1 = DoubleArray.of(0.1, 2.5);
DoubleArray res1 = DoublesScheduleGenerator.truncateSetInclusive(lower, upper, set1);
assertTrue(DoubleArrayMath.fuzzyEquals(exp1.toArray(), res1.toArray(), 0d));
DoubleArray set2 = DoubleArray.of(0.1 + 1.e-3, 1.5, 2.8);
DoubleArray exp2 = DoubleArray.of(0.1, 1.5, 2.5);
DoubleArray res2 = DoublesScheduleGenerator.truncateSetInclusive(lower, upper, set2);
assertTrue(DoubleArrayMath.fuzzyEquals(exp2.toArray(), res2.toArray(), 0d));
DoubleArray set3 = DoubleArray.of(0.0, 1.5, 2.5 + 1.e-3);
DoubleArray exp3 = DoubleArray.of(0.1, 1.5, 2.5);
DoubleArray res3 = DoublesScheduleGenerator.truncateSetInclusive(lower, upper, set3);
assertTrue(DoubleArrayMath.fuzzyEquals(exp3.toArray(), res3.toArray(), 0d));
DoubleArray set4 = DoubleArray.of(0.1 - 1.e-4, 1.5, 2.5 - 1.e-4);
DoubleArray exp4 = DoubleArray.of(0.1, 1.5, 2.5);
DoubleArray res4 = DoublesScheduleGenerator.truncateSetInclusive(lower, upper, set4);
assertTrue(DoubleArrayMath.fuzzyEquals(exp4.toArray(), res4.toArray(), 0d));
DoubleArray set5 = DoubleArray.of(lower + 1.e-4, lower + 2.e-4);
DoubleArray exp5 = DoubleArray.of(lower, lower + 1.e-3);
DoubleArray res5 = DoublesScheduleGenerator.truncateSetInclusive(lower, lower + 1.e-3, set5);
assertTrue(DoubleArrayMath.fuzzyEquals(exp5.toArray(), res5.toArray(), 0d));
}
// computes protection leg pv per unit notional, without loss-given-default rate multiplied
internal virtual double protectionFull(ResolvedCds cds, CreditDiscountFactors discountFactors, LegalEntitySurvivalProbabilities survivalProbabilities, LocalDate referenceDate, LocalDate effectiveStartDate)
{
DoubleArray integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(discountFactors.relativeYearFraction(effectiveStartDate), discountFactors.relativeYearFraction(cds.ProtectionEndDate), discountFactors.ParameterKeys, survivalProbabilities.ParameterKeys);
double pv = 0d;
double ht0 = survivalProbabilities.zeroRate(integrationSchedule.get(0)) * integrationSchedule.get(0);
double rt0 = discountFactors.zeroRate(integrationSchedule.get(0)) * integrationSchedule.get(0);
double b0 = Math.Exp(-ht0 - rt0);
int n = integrationSchedule.size();
for (int i = 1; i < n; ++i)
{
double ht1 = survivalProbabilities.zeroRate(integrationSchedule.get(i)) * integrationSchedule.get(i);
double rt1 = discountFactors.zeroRate(integrationSchedule.get(i)) * integrationSchedule.get(i);
double b1 = Math.Exp(-ht1 - rt1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
// The formula has been modified from ISDA (but is equivalent) to avoid log(exp(x)) and explicitly
// calculating the time step - it also handles the limit
double dPV = 0d;
if (Math.Abs(dhrt) < SMALL)
{
dPV = dht * b0 * epsilon(-dhrt);
}
else
{
dPV = (b0 - b1) * dht / dhrt;
}
pv += dPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
// roll to the cash settle date
double df = discountFactors.discountFactor(referenceDate);
return(pv / df);
}
internal virtual PointSensitivityBuilder riskyAnnuitySensitivity(ResolvedCds cds, CreditDiscountFactors discountFactors, LegalEntitySurvivalProbabilities survivalProbabilities, LocalDate referenceDate, LocalDate stepinDate, LocalDate effectiveStartDate)
{
double pv = 0d;
PointSensitivityBuilder pvSensi = PointSensitivityBuilder.none();
foreach (CreditCouponPaymentPeriod coupon in cds.PaymentPeriods)
{
if (stepinDate.isBefore(coupon.EndDate))
{
double q = survivalProbabilities.survivalProbability(coupon.EffectiveEndDate);
PointSensitivityBuilder qSensi = survivalProbabilities.zeroRatePointSensitivity(coupon.EffectiveEndDate);
double p = discountFactors.discountFactor(coupon.PaymentDate);
PointSensitivityBuilder pSensi = discountFactors.zeroRatePointSensitivity(coupon.PaymentDate);
pv += coupon.YearFraction * p * q;
pvSensi = pvSensi.combinedWith(pSensi.multipliedBy(coupon.YearFraction * q).combinedWith(qSensi.multipliedBy(coupon.YearFraction * p)));
}
}
if (cds.PaymentOnDefault.AccruedInterest)
{
// This is needed so that the code is consistent with ISDA C when the Markit `fix' is used.
LocalDate start = cds.PaymentPeriods.size() == 1 ? effectiveStartDate : cds.AccrualStartDate;
DoubleArray integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(discountFactors.relativeYearFraction(start), discountFactors.relativeYearFraction(cds.ProtectionEndDate), discountFactors.ParameterKeys, survivalProbabilities.ParameterKeys);
foreach (CreditCouponPaymentPeriod coupon in cds.PaymentPeriods)
{
Pair <double, PointSensitivityBuilder> pvAndSensi = singlePeriodAccrualOnDefaultSensitivity(coupon, effectiveStartDate, integrationSchedule, discountFactors, survivalProbabilities);
pv += pvAndSensi.First;
pvSensi = pvSensi.combinedWith(pvAndSensi.Second);
}
}
double df = discountFactors.discountFactor(referenceDate);
PointSensitivityBuilder dfSensi = discountFactors.zeroRatePointSensitivity(referenceDate).multipliedBy(-pv / (df * df));
pvSensi = pvSensi.multipliedBy(1d / df);
return(dfSensi.combinedWith(pvSensi));
}
// computes risky annuity
internal virtual double riskyAnnuity(ResolvedCds cds, CreditDiscountFactors discountFactors, LegalEntitySurvivalProbabilities survivalProbabilities, LocalDate referenceDate, LocalDate stepinDate, LocalDate effectiveStartDate, PriceType priceType)
{
double pv = 0d;
foreach (CreditCouponPaymentPeriod coupon in cds.PaymentPeriods)
{
if (stepinDate.isBefore(coupon.EndDate))
{
double q = survivalProbabilities.survivalProbability(coupon.EffectiveEndDate);
double p = discountFactors.discountFactor(coupon.PaymentDate);
pv += coupon.YearFraction * p * q;
}
}
if (cds.PaymentOnDefault.AccruedInterest)
{
// This is needed so that the code is consistent with ISDA C when the Markit `fix' is used.
LocalDate start = cds.PaymentPeriods.size() == 1 ? effectiveStartDate : cds.AccrualStartDate;
DoubleArray integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(discountFactors.relativeYearFraction(start), discountFactors.relativeYearFraction(cds.ProtectionEndDate), discountFactors.ParameterKeys, survivalProbabilities.ParameterKeys);
foreach (CreditCouponPaymentPeriod coupon in cds.PaymentPeriods)
{
pv += singlePeriodAccrualOnDefault(coupon, effectiveStartDate, integrationSchedule, discountFactors, survivalProbabilities);
}
}
// roll to the cash settle date
double df = discountFactors.discountFactor(referenceDate);
pv /= df;
if (priceType.CleanPrice)
{
pv -= cds.accruedYearFraction(stepinDate);
}
return(pv);
}
public Pricer(FastCreditCurveCalibrator outerInstance, ResolvedCds nodeCds, CreditDiscountFactors yieldCurve, DoubleArray creditCurveKnots, double fractionalSpread, double pointsUpfront, double lgd, LocalDate stepinDate, LocalDate effectiveStartDate, LocalDate settlementDate, double accruedYearFraction)
{
this.outerInstance = outerInstance;
accYearFraction = accruedYearFraction;
cds = nodeCds;
fracSpread = fractionalSpread;
puf = pointsUpfront;
productEffectiveStart = yieldCurve.relativeYearFraction(effectiveStartDate);
double protectionEnd = yieldCurve.relativeYearFraction(cds.ProtectionEndDate);
// protection leg
proLegIntPoints = DoublesScheduleGenerator.getIntegrationsPoints(productEffectiveStart, protectionEnd, yieldCurve.ParameterKeys, creditCurveKnots).toArray();
nProPoints = proLegIntPoints.Length;
valuationDF = yieldCurve.discountFactor(settlementDate);
lgdDF = lgd / valuationDF;
proYieldCurveRT = new double[nProPoints];
proDF = new double[nProPoints];
for (int i = 0; i < nProPoints; i++)
{
proYieldCurveRT[i] = yieldCurve.zeroRate(proLegIntPoints[i]) * proLegIntPoints[i];
proDF[i] = Math.Exp(-proYieldCurveRT[i]);
}
// premium leg
nPayments = cds.PaymentPeriods.size();
paymentDF = new double[nPayments];
int indexTmp = -1;
for (int i = 0; i < nPayments; i++)
{
if (stepinDate.isBefore(cds.PaymentPeriods.get(i).EndDate))
{
paymentDF[i] = yieldCurve.discountFactor(cds.PaymentPeriods.get(i).PaymentDate);
}
else
{
indexTmp = i;
}
}
startPeriodIndex = indexTmp + 1;
// accrual on default
if (cds.PaymentOnDefault.AccruedInterest)
{
LocalDate tmp = nPayments == 1 ? effectiveStartDate : cds.AccrualStartDate;
DoubleArray integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(yieldCurve.relativeYearFraction(tmp), protectionEnd, yieldCurve.ParameterKeys, creditCurveKnots);
accRate = new double[nPayments];
offsetAccStart = new double[nPayments];
offsetAccEnd = new double[nPayments];
premLegIntPoints = new double[nPayments][];
premDF = new double[nPayments][];
rt = new double[nPayments][];
premDt = new double[nPayments][];
for (int i = startPeriodIndex; i < nPayments; i++)
{
CreditCouponPaymentPeriod coupon = cds.PaymentPeriods.get(i);
offsetAccStart[i] = yieldCurve.relativeYearFraction(coupon.EffectiveStartDate);
offsetAccEnd[i] = yieldCurve.relativeYearFraction(coupon.EffectiveEndDate);
accRate[i] = coupon.YearFraction / yieldCurve.DayCount.relativeYearFraction(coupon.StartDate, coupon.EndDate);
double start = Math.Max(productEffectiveStart, offsetAccStart[i]);
if (start >= offsetAccEnd[i])
{
continue;
}
premLegIntPoints[i] = DoublesScheduleGenerator.truncateSetInclusive(start, offsetAccEnd[i], integrationSchedule).toArray();
int n = premLegIntPoints[i].Length;
rt[i] = new double[n];
premDF[i] = new double[n];
for (int k = 0; k < n; k++)
{
rt[i][k] = yieldCurve.zeroRate(premLegIntPoints[i][k]) * premLegIntPoints[i][k];
premDF[i][k] = Math.Exp(-rt[i][k]);
}
premDt[i] = new double[n - 1];
for (int k = 1; k < n; k++)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double dt = premLegIntPoints[i][k] - premLegIntPoints[i][k - 1];
double dt = premLegIntPoints[i][k] - premLegIntPoints[i][k - 1];
premDt[i][k - 1] = dt;
}
}
}
else
{
accRate = null;
offsetAccStart = null;
offsetAccEnd = null;
premDF = null;
premDt = null;
rt = null;
premLegIntPoints = null;
}
}
private Pair <double, PointSensitivityBuilder> singlePeriodAccrualOnDefaultSensitivity(CreditCouponPaymentPeriod coupon, LocalDate effectiveStartDate, DoubleArray integrationSchedule, CreditDiscountFactors discountFactors, LegalEntitySurvivalProbabilities survivalProbabilities)
{
LocalDate start = coupon.EffectiveStartDate.isBefore(effectiveStartDate) ? effectiveStartDate : coupon.EffectiveStartDate;
if (!start.isBefore(coupon.EffectiveEndDate))
{
return(Pair.of(0d, PointSensitivityBuilder.none())); //this coupon has already expired
}
DoubleArray knots = DoublesScheduleGenerator.truncateSetInclusive(discountFactors.relativeYearFraction(start), discountFactors.relativeYearFraction(coupon.EffectiveEndDate), integrationSchedule);
// pv
double pv = 0d;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nItems = knots.size();
int nItems = knots.size();
double[] dhrtBar = new double[nItems - 1];
double[] dhtBar = new double[nItems - 1];
double[] bBar = new double[nItems];
double[] p = new double[nItems];
double[] q = new double[nItems];
double t = knots.get(0);
double ht0 = survivalProbabilities.zeroRate(t) * t;
double rt0 = discountFactors.zeroRate(t) * t;
q[0] = Math.Exp(-ht0);
p[0] = Math.Exp(-rt0);
double b0 = q[0] * p[0];
double effStart = discountFactors.relativeYearFraction(coupon.EffectiveStartDate);
double t0 = t - effStart + omega;
for (int i = 1; i < nItems; ++i)
{
t = knots.get(i);
double ht1 = survivalProbabilities.zeroRate(t) * t;
double rt1 = discountFactors.zeroRate(t) * t;
q[i] = Math.Exp(-ht1);
p[i] = Math.Exp(-rt1);
double b1 = q[i] * p[i];
double dt = knots.get(i) - knots.get(i - 1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
double tPv;
if (formula == AccrualOnDefaultFormula.MARKIT_FIX)
{
if (Math.Abs(dhrt) < SMALL)
{
double eps = epsilonP(-dhrt);
tPv = dht * dt * b0 * eps;
dhtBar[i - 1] = dt * b0 * eps;
dhrtBar[i - 1] = -dht *dt *b0 *epsilonPP(-dhrt);
bBar[i - 1] += dht * eps;
}
else
{
tPv = dht * dt / dhrt * ((b0 - b1) / dhrt - b1);
dhtBar[i - 1] = dt / dhrt * ((b0 - b1) / dhrt - b1);
dhrtBar[i - 1] = dht * dt / (dhrt * dhrt) * (b1 - 2d * (b0 - b1) / dhrt);
bBar[i - 1] += dht * dt / (dhrt * dhrt);
bBar[i] += -dht * dt / dhrt * (1d + 1d / dhrt);
}
}
else
{
double t1 = t - effStart + omega;
if (Math.Abs(dhrt) < SMALL)
{
double eps = epsilon(-dhrt);
double epsp = epsilonP(-dhrt);
tPv = dht * b0 * (t0 * eps + dt * epsp);
dhtBar[i - 1] = b0 * (t0 * eps + dt * epsp);
dhrtBar[i - 1] = -dht * b0 * (t0 * epsp + dt * epsilonPP(-dhrt));
bBar[i - 1] += dht * (t0 * eps + dt * epsp);
}
else
{
tPv = dht / dhrt * (t0 * b0 - t1 * b1 + dt / dhrt * (b0 - b1));
dhtBar[i - 1] = (t0 * b0 - t1 * b1 + dt / dhrt * (b0 - b1)) / dhrt;
dhrtBar[i - 1] = dht / (dhrt * dhrt) * (-2d * dt / dhrt * (b0 - b1) - t0 * b0 + t1 * b1);
bBar[i - 1] += dht / dhrt * (t0 + dt / dhrt);
bBar[i] += dht / dhrt * (-t1 - dt / dhrt);
}
t0 = t1;
}
pv += tPv;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
double yfRatio = coupon.YearFraction / discountFactors.DayCount.relativeYearFraction(coupon.StartDate, coupon.EndDate);
// pv sensitivity
PointSensitivityBuilder qSensiFirst = survivalProbabilities.zeroRatePointSensitivity(knots.get(0)).multipliedBy(yfRatio * ((dhrtBar[0] + dhtBar[0]) / q[0] + bBar[0] * p[0]));
PointSensitivityBuilder pSensiFirst = discountFactors.zeroRatePointSensitivity(knots.get(0)).multipliedBy(yfRatio * (dhrtBar[0] / p[0] + bBar[0] * q[0]));
PointSensitivityBuilder pvSensi = pSensiFirst.combinedWith(qSensiFirst);
for (int i = 1; i < nItems - 1; ++i)
{
PointSensitivityBuilder qSensi = survivalProbabilities.zeroRatePointSensitivity(knots.get(i)).multipliedBy(yfRatio * (-(dhrtBar[i - 1] + dhtBar[i - 1]) / q[i] + (dhrtBar[i] + dhtBar[i]) / q[i] + bBar[i] * p[i]));
PointSensitivityBuilder pSensi = discountFactors.zeroRatePointSensitivity(knots.get(i)).multipliedBy(yfRatio * (-dhrtBar[i - 1] / p[i] + dhrtBar[i] / p[i] + bBar[i] * q[i]));
pvSensi = pvSensi.combinedWith(pSensi).combinedWith(qSensi);
}
if (nItems > 1)
{
PointSensitivityBuilder qSensiLast = survivalProbabilities.zeroRatePointSensitivity(knots.get(nItems - 1)).multipliedBy(yfRatio * (-(dhrtBar[nItems - 2] + dhtBar[nItems - 2]) / q[nItems - 1] + bBar[nItems - 1] * p[nItems - 1]));
PointSensitivityBuilder pSensiLast = discountFactors.zeroRatePointSensitivity(knots.get(nItems - 1)).multipliedBy(yfRatio * (-dhrtBar[nItems - 2] / p[nItems - 1] + bBar[nItems - 1] * q[nItems - 1]));
pvSensi = pvSensi.combinedWith(pSensiLast).combinedWith(qSensiLast);
}
return(Pair.of(yfRatio * pv, pvSensi));
}
//-------------------------------------------------------------------------
internal virtual PointSensitivityBuilder protectionLegSensitivity(ResolvedCds cds, CreditDiscountFactors discountFactors, LegalEntitySurvivalProbabilities survivalProbabilities, LocalDate referenceDate, LocalDate effectiveStartDate, double recoveryRate)
{
DoubleArray integrationSchedule = DoublesScheduleGenerator.getIntegrationsPoints(discountFactors.relativeYearFraction(effectiveStartDate), discountFactors.relativeYearFraction(cds.ProtectionEndDate), discountFactors.ParameterKeys, survivalProbabilities.ParameterKeys);
int n = integrationSchedule.size();
double[] dht = new double[n - 1];
double[] drt = new double[n - 1];
double[] dhrt = new double[n - 1];
double[] p = new double[n];
double[] q = new double[n];
// pv
double pv = 0d;
double ht0 = survivalProbabilities.zeroRate(integrationSchedule.get(0)) * integrationSchedule.get(0);
double rt0 = discountFactors.zeroRate(integrationSchedule.get(0)) * integrationSchedule.get(0);
p[0] = Math.Exp(-rt0);
q[0] = Math.Exp(-ht0);
double b0 = p[0] * q[0];
for (int i = 1; i < n; ++i)
{
double ht1 = survivalProbabilities.zeroRate(integrationSchedule.get(i)) * integrationSchedule.get(i);
double rt1 = discountFactors.zeroRate(integrationSchedule.get(i)) * integrationSchedule.get(i);
p[i] = Math.Exp(-rt1);
q[i] = Math.Exp(-ht1);
double b1 = p[i] * q[i];
dht[i - 1] = ht1 - ht0;
drt[i - 1] = rt1 - rt0;
dhrt[i - 1] = dht[i - 1] + drt[i - 1];
double dPv = 0d;
if (Math.Abs(dhrt[i - 1]) < SMALL)
{
double eps = epsilon(-dhrt[i - 1]);
dPv = dht[i - 1] * b0 * eps;
}
else
{
dPv = (b0 - b1) * dht[i - 1] / dhrt[i - 1];
}
pv += dPv;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
double df = discountFactors.discountFactor(referenceDate);
// pv sensitivity
double factor = (1d - recoveryRate) / df;
double eps0 = computeExtendedEpsilon(-dhrt[0], p[1], q[1], p[0], q[0]);
PointSensitivityBuilder pvSensi = discountFactors.zeroRatePointSensitivity(integrationSchedule.get(0)).multipliedBy(-dht[0] * q[0] * eps0 * factor);
pvSensi = pvSensi.combinedWith(survivalProbabilities.zeroRatePointSensitivity(integrationSchedule.get(0)).multipliedBy(factor * (drt[0] * p[0] * eps0 + p[0])));
for (int i = 1; i < n - 1; ++i)
{
double epsp = computeExtendedEpsilon(-dhrt[i], p[i + 1], q[i + 1], p[i], q[i]);
double epsm = computeExtendedEpsilon(dhrt[i - 1], p[i - 1], q[i - 1], p[i], q[i]);
PointSensitivityBuilder pSensi = discountFactors.zeroRatePointSensitivity(integrationSchedule.get(i)).multipliedBy(factor * (-dht[i] * q[i] * epsp - dht[i - 1] * q[i] * epsm));
PointSensitivityBuilder qSensi = survivalProbabilities.zeroRatePointSensitivity(integrationSchedule.get(i)).multipliedBy(factor * (drt[i - 1] * p[i] * epsm + drt[i] * p[i] * epsp));
pvSensi = pvSensi.combinedWith(pSensi).combinedWith(qSensi);
}
if (n > 1)
{
double epsLast = computeExtendedEpsilon(dhrt[n - 2], p[n - 2], q[n - 2], p[n - 1], q[n - 1]);
pvSensi = pvSensi.combinedWith(discountFactors.zeroRatePointSensitivity(integrationSchedule.get(n - 1)).multipliedBy(-dht[n - 2] * q[n - 1] * epsLast * factor));
pvSensi = pvSensi.combinedWith(survivalProbabilities.zeroRatePointSensitivity(integrationSchedule.get(n - 1)).multipliedBy(factor * (drt[n - 2] * p[n - 1] * epsLast - p[n - 1])));
}
PointSensitivityBuilder dfSensi = discountFactors.zeroRatePointSensitivity(referenceDate).multipliedBy(-pv * factor / df);
return(dfSensi.combinedWith(pvSensi));
}
// computes accrual-on-default pv per unit notional for a single payment period
private double singlePeriodAccrualOnDefault(CreditCouponPaymentPeriod coupon, LocalDate effectiveStartDate, DoubleArray integrationSchedule, CreditDiscountFactors discountFactors, LegalEntitySurvivalProbabilities survivalProbabilities)
{
LocalDate start = coupon.EffectiveStartDate.isBefore(effectiveStartDate) ? effectiveStartDate : coupon.EffectiveStartDate;
if (!start.isBefore(coupon.EffectiveEndDate))
{
return(0d); // this coupon has already expired
}
DoubleArray knots = DoublesScheduleGenerator.truncateSetInclusive(discountFactors.relativeYearFraction(start), discountFactors.relativeYearFraction(coupon.EffectiveEndDate), integrationSchedule);
double t0Knot = knots.get(0);
double ht0 = survivalProbabilities.zeroRate(t0Knot) * t0Knot;
double rt0 = discountFactors.zeroRate(t0Knot) * t0Knot;
double b0 = Math.Exp(-rt0 - ht0);
double effStart = discountFactors.relativeYearFraction(coupon.EffectiveStartDate);
double t0 = t0Knot - effStart + omega;
double pv = 0d;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nItems = knots.size();
int nItems = knots.size();
for (int j = 1; j < nItems; ++j)
{
double t = knots.get(j);
double ht1 = survivalProbabilities.zeroRate(t) * t;
double rt1 = discountFactors.zeroRate(t) * t;
double b1 = Math.Exp(-rt1 - ht1);
double dt = knots.get(j) - knots.get(j - 1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
double tPV;
if (formula == AccrualOnDefaultFormula.MARKIT_FIX)
{
if (Math.Abs(dhrt) < SMALL)
{
tPV = dht * dt * b0 * Epsilon.epsilonP(-dhrt);
}
else
{
tPV = dht * dt / dhrt * ((b0 - b1) / dhrt - b1);
}
}
else
{
double t1 = t - effStart + omega;
if (Math.Abs(dhrt) < SMALL)
{
tPV = dht * b0 * (t0 * epsilon(-dhrt) + dt * Epsilon.epsilonP(-dhrt));
}
else
{
tPV = dht / dhrt * (t0 * b0 - t1 * b1 + dt / dhrt * (b0 - b1));
}
t0 = t1;
}
pv += tPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
double yearFractionCurve = discountFactors.DayCount.relativeYearFraction(coupon.StartDate, coupon.EndDate);
return(coupon.YearFraction * pv / yearFractionCurve);
}
