Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.PointsUpFront

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

Examples of com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.PointsUpFront

com.opengamma.analytics.financial.credit.creditdefaultswap.pricing.vanilla.isdanew.PointsUpFront
Points up-front (PUF) is the current (as of April 2009) way of quoting CDSs. A CDS has a standardised coupon (premium) - which is either 100 or 500 bps in North America (depending on the credit quality of the reference entity). An up front fee is then payable by the buyer of protection (i.e. the payer of the premiums) - this fee can be negative (i.e. an amount is received by the protection buyer). PUF is quoted as a percentage of the notional.
A zero hazard curve (or equivalent, e.g. the survival probability curve) can be implied from a set of PUF quotes (on the same name at different maturities) by finding the curve that gives all the CDSs a clean present value equal to their PUF*Notional (the curve is not unique and will depend on other modeling choices).

    }
    final CDSQuoteConvention quote = SpreadCurveFunctions.getQuotes(security.getMaturityDate(), new double[] {cdsQuoteDouble}, security.getParSpread(), quoteConvention, true)[0];


    final double notional = security.getNotional().getAmount();
    final double coupon = security.getParSpread() * ONE_BPS;
    final PointsUpFront puf = getPointsUpfront(quote, buySellProtection, yieldCurve, analytic, creditCurve);
    final double accruedPremium = analytic.getAccruedPremium(coupon) * notional;
    final int accruedDays = analytic.getAccuredDays();
    final double quotedSpread = getQuotedSpread(quote, puf, buySellProtection, yieldCurve, analytic).getQuotedSpread();
    final double upfrontAmount = getUpfrontAmount(analytic, puf, notional, buySellProtection);
    final double cleanPV = puf.getPointsUpFront() * notional;
    final double cleanPrice = getCleanPrice(puf);
    final TenorLabelledMatrix1D bucketedCS01 = getBucketedCS01(analytic, bucketCDSs, spreadObject.getXData(), quote, notional, yieldCurve, creditCurve);
    final double parallelCS01 = getParallelCS01(quote, analytic, yieldCurve, notional, pillarCDSs, ArrayUtils.toPrimitive(pillarObject.getYData()));


    final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(_valueRequirements.length);
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.ACCRUED_PREMIUM, target.toSpecification(), properties), accruedPremium));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.ACCRUED_DAYS, target.toSpecification(), properties), accruedDays));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.QUOTED_SPREAD, target.toSpecification(), properties), quotedSpread / ONE_BPS));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.UPFRONT_AMOUNT, target.toSpecification(), properties), upfrontAmount));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.DIRTY_PRESENT_VALUE, target.toSpecification(), properties), upfrontAmount));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.CLEAN_PRESENT_VALUE, target.toSpecification(), properties), cleanPV));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.PRINCIPAL, target.toSpecification(), properties), cleanPV));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.CLEAN_PRICE, target.toSpecification(), properties), cleanPrice));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.BUCKETED_CS01, target.toSpecification(), properties), bucketedCS01));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.PARALLEL_CS01, target.toSpecification(), properties), parallelCS01));
    results.add(new ComputedValue(new ValueSpecification(ValueRequirementNames.POINTS_UPFRONT, target.toSpecification(), properties), puf.getPointsUpFront()));
    return results;
  }

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    } else {
      throw new OpenGammaRuntimeException("Unknown quote type " + quote);
    }
    // SELL protection reverses directions of legs
    puf = (buySellProtection == BuySellProtection.SELL) ? -puf : puf;
    return new PointsUpFront(quote.getCoupon(), puf);
  }

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    }
    for (int i = 0; i < values.length; i++) {
      if (StandardCDSQuotingConvention.SPREAD.equals(quoteConvention)) {
        result[i] = IMMDateGenerator.isIMMDate(pricedCDSMaturity) ? new QuotedSpread(coupon * s_tenminus4, values[i] * multiplier) : new ParSpread(values[i] * multiplier);
      } else if (StandardCDSQuotingConvention.POINTS_UPFRONT.equals(quoteConvention)) {
        result[i] = new PointsUpFront(coupon * s_tenminus4, values[i] * multiplier);
      } else {
        throw new OpenGammaRuntimeException("Unsupported quote type: " + quoteConvention);
      }
    }
    return result;

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

com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantCDSFunction

com.opengamma.financial.analytics.model.credit.SpreadCurveFunctions

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