Package com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap

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    final LegacyVanillaCreditDefaultSwapDefinition cds = new LegacyVanillaCreditDefaultSwapDefinition(buySellProtection, protectionBuyer, protectionSeller, referenceEntity, currency, debtSeniority,
        restructuringClause, calendar, startDate, effectiveDate, maturityDate, stubType, couponFrequency, daycountFractionConvention, businessdayAdjustmentConvention, immAdjustMaturityDate,
        adjustEffectiveDate, adjustMaturityDate, notional, recoveryRate, includeAccruedPremium, protectionStart, parSpread);

    final PresentValueCreditDefaultSwap pvcds = new PresentValueCreditDefaultSwap();

    final ISDADateCurve curveISDADate = new ISDADateCurve("Test", BASE_DATE, CURVE_DATES, RATES, 0.0);

    // Set the tenors at which we have market observed par CDS spread quotes
    final int nbTenors = 10;
    final ZonedDateTime[] tenors = new ZonedDateTime[nbTenors];
    tenors[0] = DateUtils.getUTCDate(2008, 12, 20);
    tenors[1] = DateUtils.getUTCDate(2009, 6, 20);
    tenors[2] = DateUtils.getUTCDate(2010, 6, 20);
    tenors[3] = DateUtils.getUTCDate(2011, 6, 20);
    tenors[4] = DateUtils.getUTCDate(2012, 6, 20);
    tenors[5] = DateUtils.getUTCDate(2014, 6, 20);
    tenors[6] = DateUtils.getUTCDate(2017, 6, 20);
    tenors[7] = DateUtils.getUTCDate(2022, 6, 20);
    tenors[8] = DateUtils.getUTCDate(2030, 6, 20);
    tenors[9] = DateUtils.getUTCDate(2040, 6, 20);

    //Note: The input are in bps. Should we change it to relative number to be coherent with the rest of the library? The scale is hard-coded (/10000.0 in the code).
    final double[] flat = {0.0, 1.0, 50.0, 100.0, 200.0, 1000.0 };    // Flat (tight, distressed, blown)
    // Note: Flat with 100000.0 fails to calibrate.
    final int nbFlat = flat.length;
    final double[][] zigzag = { {50.0, 60.0 }, {500.0, 550.0 } };
    // Note: Zig-zag with {500.0, 600.0 } fails to calibrate
    final int nbZigzag = zigzag.length;
    final double[][] upward = { {100.0, 20.0 }, {100.0, 40.0 } }; // Start, step
    // Note: Upward with {100.0, 100.0 } or {100.0, 50.0 } fails to calibrate
    final int nbUpward = upward.length;
    final int nbSpecific = 8;

    final int nbSpreads = nbFlat + nbZigzag + nbUpward + nbSpecific;
    final double[][] marketSpreads = new double[nbSpreads][nbTenors];
    for (int loopflat = 0; loopflat < nbFlat; loopflat++) {
      for (int loopten = 0; loopten < nbTenors; loopten++) {
        marketSpreads[loopflat][loopten] = flat[loopflat];
      }
    }
    for (int loopzz = 0; loopzz < nbZigzag; loopzz++) {
      for (int loopten = 0; loopten < nbTenors / 2; loopten++) {
        marketSpreads[nbFlat + loopzz][2 * loopten + 0] = zigzag[loopzz][0];
        marketSpreads[nbFlat + loopzz][2 * loopten + 1] = zigzag[loopzz][1];
      }
    }
    for (int loopup = 0; loopup < nbUpward; loopup++) {
      for (int loopten = 0; loopten < nbTenors; loopten++) {
        marketSpreads[nbFlat + nbZigzag + loopup][loopten] = upward[loopup][0] + loopten * upward[loopup][1];
      }
    }
    final int nbNonSpecific = nbFlat + nbZigzag + nbUpward;
    int loopspec = 0; // Upward, steep short end
    marketSpreads[nbNonSpecific + loopspec][0] = 100.0;
    marketSpreads[nbNonSpecific + loopspec][1] = 200.0;
    marketSpreads[nbNonSpecific + loopspec][2] = 300.0;
    marketSpreads[nbNonSpecific + loopspec][3] = 400.0;
    marketSpreads[nbNonSpecific + loopspec][4] = 500.0;
    marketSpreads[nbNonSpecific + loopspec][5] = 520.0;
    marketSpreads[nbNonSpecific + loopspec][6] = 540.0;
    marketSpreads[nbNonSpecific + loopspec][7] = 560.0;
    marketSpreads[nbNonSpecific + loopspec][8] = 580.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 600.0;
    loopspec++;// Upward, steep long end
    marketSpreads[nbNonSpecific + loopspec][0] = 100.0;
    marketSpreads[nbNonSpecific + loopspec][1] = 120.0;
    marketSpreads[nbNonSpecific + loopspec][2] = 140.0;
    marketSpreads[nbNonSpecific + loopspec][3] = 160.0;
    marketSpreads[nbNonSpecific + loopspec][4] = 180.0;
    marketSpreads[nbNonSpecific + loopspec][5] = 220.0;
    marketSpreads[nbNonSpecific + loopspec][6] = 260.0;
    marketSpreads[nbNonSpecific + loopspec][7] = 300.0;
    marketSpreads[nbNonSpecific + loopspec][8] = 340.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 380.0;
    loopspec++;//Downward, gentle
    marketSpreads[nbNonSpecific + loopspec][0] = 280.0;
    marketSpreads[nbNonSpecific + loopspec][1] = 260.0;
    marketSpreads[nbNonSpecific + loopspec][2] = 240.0;
    marketSpreads[nbNonSpecific + loopspec][3] = 220.0;
    marketSpreads[nbNonSpecific + loopspec][4] = 200.0;
    marketSpreads[nbNonSpecific + loopspec][5] = 180.0;
    marketSpreads[nbNonSpecific + loopspec][6] = 160.0;
    marketSpreads[nbNonSpecific + loopspec][7] = 140.0;
    marketSpreads[nbNonSpecific + loopspec][8] = 120.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 100.0;
    loopspec++;//Downward, steep
    marketSpreads[nbNonSpecific + loopspec][0] = 1000.0;
    marketSpreads[nbNonSpecific + loopspec][1] = 900.0;
    marketSpreads[nbNonSpecific + loopspec][2] = 800.0;
    marketSpreads[nbNonSpecific + loopspec][3] = 700.0;
    marketSpreads[nbNonSpecific + loopspec][4] = 600.0;
    marketSpreads[nbNonSpecific + loopspec][5] = 500.0;
    marketSpreads[nbNonSpecific + loopspec][6] = 450.0;
    marketSpreads[nbNonSpecific + loopspec][7] = 400.0;
    marketSpreads[nbNonSpecific + loopspec][8] = 400.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 380.0;
    loopspec++; //Downward, steep short end
    marketSpreads[nbNonSpecific + loopspec][0] = 600.0;
    marketSpreads[nbNonSpecific + loopspec][1] = 500.0;
    marketSpreads[nbNonSpecific + loopspec][2] = 400.0;
    marketSpreads[nbNonSpecific + loopspec][3] = 300.0;
    marketSpreads[nbNonSpecific + loopspec][4] = 200.0;
    marketSpreads[nbNonSpecific + loopspec][5] = 180.0;
    marketSpreads[nbNonSpecific + loopspec][6] = 160.0;
    marketSpreads[nbNonSpecific + loopspec][7] = 140.0;
    marketSpreads[nbNonSpecific + loopspec][8] = 120.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 100.0;
    loopspec++; // Downward, steep long end
    marketSpreads[nbNonSpecific + loopspec][0] = 680.0;
    marketSpreads[nbNonSpecific + loopspec][1] = 660.0;
    marketSpreads[nbNonSpecific + loopspec][2] = 640.0;
    marketSpreads[nbNonSpecific + loopspec][3] = 620.0;
    marketSpreads[nbNonSpecific + loopspec][4] = 600.0;
    marketSpreads[nbNonSpecific + loopspec][5] = 580.0;
    marketSpreads[nbNonSpecific + loopspec][6] = 480.0;
    marketSpreads[nbNonSpecific + loopspec][7] = 380.0;
    marketSpreads[nbNonSpecific + loopspec][8] = 280.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 180.0;
    loopspec++; // Inverted Cavale
    marketSpreads[nbNonSpecific + loopspec][0] = 1774.0;
    marketSpreads[nbNonSpecific + loopspec][1] = 1805.0;
    marketSpreads[nbNonSpecific + loopspec][2] = 1856.0;
    marketSpreads[nbNonSpecific + loopspec][3] = 1994.0;
    marketSpreads[nbNonSpecific + loopspec][4] = 2045.0;
    marketSpreads[nbNonSpecific + loopspec][5] = 2045.0;
    marketSpreads[nbNonSpecific + loopspec][6] = 2045.0;
    marketSpreads[nbNonSpecific + loopspec][7] = 2045.0;
    marketSpreads[nbNonSpecific + loopspec][8] = 2045.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 2045.0;
    loopspec++; // BCPN
    marketSpreads[nbNonSpecific + loopspec][0] = 780.0;
    marketSpreads[nbNonSpecific + loopspec][1] = 812.0;
    marketSpreads[nbNonSpecific + loopspec][2] = 803.0;
    marketSpreads[nbNonSpecific + loopspec][3] = 826.0;
    marketSpreads[nbNonSpecific + loopspec][4] = 874.0;
    marketSpreads[nbNonSpecific + loopspec][5] = 896.0;
    marketSpreads[nbNonSpecific + loopspec][6] = 868.0;
    marketSpreads[nbNonSpecific + loopspec][7] = 838.0;
    marketSpreads[nbNonSpecific + loopspec][8] = 800.0;
    marketSpreads[nbNonSpecific + loopspec][9] = 780.0;

    final double[] pv = new double[nbSpreads];
    for (int loopspread = 0; loopspread < nbSpreads; loopspread++) {
      pv[loopspread] = pvcds.calibrateAndGetPresentValue(valuationDate, cds, tenors, marketSpreads[loopspread], curveISDADate, PRICE_TYPE_CLEAN);
    }
    final double[] pvExpected = {-5672458.043975232, -5612833.8411497325, -2764265.396014931, 72.73528969381005, 5126779.225961099, 3.2042108339047514E7, -2210334.5968965204, 1.9690546519727346E7,
        5196701.133692645, 1.00057853795825E7, 1.9044683964563813E7, 6220964.461377103, 4085113.125930696, 1.686216455050518E7, 4001404.223613698, 2.0290515510249116E7, 4.728163157144226E7,
        2.9981696893176883E7 }; // From previous run

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    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Create a CDS PV calculator
    //final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();
    final PresentValueCreditDefaultSwap creditDefaultSwap = new PresentValueCreditDefaultSwap();

    // Calculate the unbumped CDS PV
    final double presentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Loop through and bump each of the spreads at each tenor
    for (int m = 0; m < marketSpreads.length; m++) {

      // Bump the spread at tenor m
      if (spreadBumpType == SpreadBumpType.ADDITIVE) {
        bumpedMarketSpreads[m] = marketSpreads[m] + spreadBumps[m];
      }

      if (spreadBumpType == SpreadBumpType.MULTIPLICATIVE) {
        bumpedMarketSpreads[m] = marketSpreads[m] * (1 + spreadBumps[m]);
      }

      ArgumentChecker.notNegative(bumpedMarketSpreads[m], "Bumped market spread");
    }

    // Calculate the bumped CDS PV
    final double bumpedPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedMarketSpreads, yieldCurve, priceType);

    double curveScenarioPresentValue = (bumpedPresentValue - presentValue);

    // ----------------------------------------------------------------------------------------------------------------------------------------

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    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Create a CDS PV calculator
    //final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();
    final PresentValueCreditDefaultSwap creditDefaultSwap = new PresentValueCreditDefaultSwap();

    // Calculate the unbumped CDS PV
    final double presentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Loop through and bump each of the spreads at each tenor
    for (int m = 0; m < marketSpreads.length; m++) {

      // Bump the spread at tenor m
      if (spreadBumpType == SpreadBumpType.ADDITIVE) {
        bumpedMarketSpreads[m] = marketSpreads[m] + spreadBump;
      }

      if (spreadBumpType == SpreadBumpType.MULTIPLICATIVE) {
        bumpedMarketSpreads[m] = marketSpreads[m] * (1 + spreadBump);
      }

      ArgumentChecker.notNegative(bumpedMarketSpreads[m], "Bumped market spread");
    }

    // Calculate the bumped CDS PV
    final double bumpedPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedMarketSpreads, yieldCurve, priceType);

    double curveScenarioPresentValue = (bumpedPresentValue - presentValue);

    // ----------------------------------------------------------------------------------------------------------------------------------------

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    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Create a CDS PV calculator
    //final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();
    final PresentValueCreditDefaultSwap creditDefaultSwap = new PresentValueCreditDefaultSwap();

    // Calculate the unbumped CDS PV
    final double presentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // Calculate the bumped (up) CDS PV
    final double bumpedPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedMarketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Calculate the parallel CS01
    final double parallelCS01 = (bumpedPresentValue - presentValue) / spreadBump;
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    final double[] unbumpedMarketSpreads = new double[marketSpreads.length];

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Create a CDS PV calculator
    final PresentValueCreditDefaultSwap creditDefaultSwap = new PresentValueCreditDefaultSwap();

    // Calculate the unbumped CDS PV
    final double presentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Loop through and bump each of the spreads at each tenor
    for (int m = 0; m < marketSpreads.length; m++) {

      // Reset the unbumpedMarketSpreads vector to the original marketSpreads (shouldn't have to do this, but something funny happening if don't)
      for (int n = 0; n < marketTenors.length; n++) {
        unbumpedMarketSpreads[n] = marketSpreads[n];
      }

      // Calculate the bumped spreads vector
      final double[] bumpedMarketSpreads = spreadBumper.getBumpedCreditSpreads(unbumpedMarketSpreads, m, spreadBump, spreadBumpType);

      // Calculate the bumped CDS PV
      final double bumpedPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedMarketSpreads, yieldCurve, priceType);

      // Compute the CS01 for this tenor
      bucketedCS01[m] = (bumpedPresentValue - presentValue) / spreadBump;
    }
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    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Create a CDS PV calculator
    //final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();
    final PresentValueCreditDefaultSwap creditDefaultSwap = new PresentValueCreditDefaultSwap();

    // Calculate the unbumped CDS PV
    final double presentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // Calculate the bumped up CDS PV
    final double bumpedUpPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedUpMarketSpreads, yieldCurve, priceType);

    // Calculate the bumped down CDS PV
    final double bumpedDownPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedDownMarketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Calculate the parallel gamma using a simple finite-difference approximation
    final double parallelGamma = (bumpedUpPresentValue - 2 * presentValue + bumpedDownPresentValue) / (2 * spreadBump);
 
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    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Create a CDS calculator object
    //final PresentValueLegacyCreditDefaultSwap creditDefaultSwap = new PresentValueLegacyCreditDefaultSwap();
    final PresentValueCreditDefaultSwap creditDefaultSwap = new PresentValueCreditDefaultSwap();

    // Calculate the unbumped CDS PV
    final double presentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, marketSpreads, yieldCurve, priceType);

    // ----------------------------------------------------------------------------------------------------------------------------------------

    // Loop through each of the spreads at each tenor
    for (int m = 0; m < marketTenors.length; m++) {

      // Reset the bumpedMarketSpreads vector to the original marketSpreads
      for (int n = 0; n < marketTenors.length; n++) {
        bumpedUpMarketSpreads[n] = marketSpreads[n];
        bumpedDownMarketSpreads[n] = marketSpreads[n];
      }

      // Bump the spread at tenor m
      if (spreadBumpType == SpreadBumpType.ADDITIVE_BUCKETED) {
        bumpedUpMarketSpreads[m] = marketSpreads[m] + spreadBump;
        bumpedDownMarketSpreads[m] = marketSpreads[m] - spreadBump;
      } else if (spreadBumpType == SpreadBumpType.MULTIPLICATIVE_BUCKETED) {
        bumpedUpMarketSpreads[m] = marketSpreads[m] * (1 + spreadBump);
        bumpedDownMarketSpreads[m] = marketSpreads[m] * (1 - spreadBump);
      } else {
        throw new IllegalArgumentException("Cannot handle bumps of type " + spreadBumpType);
      }

      // Calculate the bumped up CDS PV
      final double bumpedUpPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedUpMarketSpreads, yieldCurve, priceType);

      // Calculate the bumped down CDS PV
      final double bumpedDownPresentValue = creditDefaultSwap.calibrateAndGetPresentValue(valuationDate, cds, marketTenors, bumpedDownMarketSpreads, yieldCurve, priceType);

      // Compute the bucketed gamma for this tenor
      bucketedGamma[m] = (bumpedUpPresentValue - 2 * presentValue + bumpedDownPresentValue) / (2 * spreadBump);
    }

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Related Classes of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.PresentValueCreditDefaultSwap

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  • com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.legacy.PresentValueLegacyCreditDefaultSwap
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  • org.threeten.bp.ZonedDateTime
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