Package com.opengamma.analytics.financial.credit.hazardratecurve

Examples of com.opengamma.analytics.financial.credit.hazardratecurve.HazardRateCurve

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    // Put the hazard rate guess into the vector of hazard rates as the last element in the array
    hazardRates[numberOfTenors - 1] = hazardRateMidPoint;

    // Modify the survival curve so that it has the modified vector of hazard rates as an input to the ctor
    final HazardRateCurve hazardRateCurve = new HazardRateCurve(tenors, tenorsAsDoubles, hazardRates, 0);

    // Compute the PV of the CDS with this term structure of hazard rates
    final ISDAYieldCurveAndHazardRateCurveProvider curves = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
    return PV_CALCULATOR.getPresentValue(calibrationCDS, curves, valuationDate, priceType);
  }
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    final double[] hrTimes = new double[HR_TIMES.length];
    for (int i = 0; i < HR_DATES.length; i++) {
      hrDates[i] = HR_DATES[i].plusDays(12);
      hrTimes[i] = DAY_COUNT.getDayCountFraction(BASE_DATE, hrDates[i]);
    }
    final HazardRateCurve hazardRateCurve = new HazardRateCurve(hrDates, hrTimes, HR_RATES, OFFSET);
    CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(true).withMaturityDate(VALUATION_DATE.plusYears(50));
    final ISDAYieldCurveAndHazardRateCurveProvider curves = new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, hazardRateCurve);
    ZonedDateTime startDate = getStartDate(cds);
    ZonedDateTime endDate = cds.getMaturityDate();
    double[] actual = CALCULATOR.constructCreditDefaultSwapContingentLegIntegrationSchedule(VALUATION_DATE, startDate, endDate, cds, curves);
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      for (int m = 1; m < modifiedHazardRateCurve.length; m++) {
        times[m] = ACT_365.getDayCountFraction(_valuationDate, marketDates[m - 1]);
        modifiedHazardRateCurve[m] = calibratedHazardRates[m - 1];
      }
      // Build a hazard rate curve object based on the input market data
      return new HazardRateCurve(marketDates, times, modifiedHazardRateCurve, 0.0);
    }
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      // Put the hazard rate guess into the vector of hazard rates as the last element in the array
      hazardRates[numberOfTenors - 1] = hazardRateMidPoint;

      // Modify the survival curve so that it has the modified vector of hazard rates as an input to the ctor
      final HazardRateCurve hazardRateCurve = new HazardRateCurve(tenors, tenorsAsDoubles, hazardRates, 0);

      // Compute the PV of the CDS with this term structure of hazard rates
      final ISDAYieldCurveAndHazardRateCurveProvider curves = new ISDAYieldCurveAndHazardRateCurveProvider(yieldCurve, hazardRateCurve);
      return PV_CALCULATOR.getPresentValue(calibrationCDS, curves, _valuationDate, priceType);
    }
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    final double[] hrTimes = new double[HR_TIMES.length];
    for (int i = 0; i < HR_DATES.length; i++) {
      hrDates[i] = HR_DATES[i].plusDays(12);
      hrTimes[i] = DAY_COUNT.getDayCountFraction(BASE_DATE, hrDates[i]);
    }
    final HazardRateCurve hazardRateCurve = new HazardRateCurve(hrDates, hrTimes, HR_RATES, OFFSET);
    final ZonedDateTime[] expected = new ZonedDateTime[hrDates.length + YC_DATES.length + 2];
    for (int i = 0; i < YC_DATES.length; i++) {
      expected[i * 2 + 1] = YC_DATES[i];
    }
    for (int i = 0; i < hrDates.length; i++) {
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    }

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

    // Construct a hazard rate term structure curve using the (calibrated) first m tenors in runningTenors
    final HazardRateCurve hazardRateCurve = new HazardRateCurve(marketTenors, runningTenors, hazardRates, 0.0);

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

    // TODO : For testing purposes only - remember to take out
    final double temp = calculateCDSPV(valuationDate, calibrationCDS, marketTenors, runningTenors, hazardRates, hazardRateGuess, yieldCurve, hazardRateCurve, priceType);
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    }

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

    // Construct a hazard rate term structure curve using the (calibrated) first m tenors in runningTenors
    final HazardRateCurve hazardRateCurve = new HazardRateCurve(runningTenors, runningTenorsAsDoubles, hazardRates, 0.0);

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

    // Now do the root search (in hazard rate space) - simple bisection method for the moment (guaranteed to work and we are not concerned with speed at the moment)
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    public HazardRateCurve buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final List<ZonedDateTime> dates = (List<ZonedDateTime>) deserializer.fieldValueToObject(message.getByName(DATES_FIELD));
      final double[] times = deserializer.fieldValueToObject(double[].class, message.getByName(TIMES_FIELD));
      final double[] rates = deserializer.fieldValueToObject(double[].class, message.getByName(RATES_FIELD));
      final double offset = message.getDouble(OFFSET_FIELD);
      return new HazardRateCurve(dates.toArray(new ZonedDateTime[dates.size()]), times, rates, offset);
    }
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    for (int j = 1; j < 15; j += 3) {
      for (int i = 0; i < len; i++) {
        hrDates[i] = HR_DATES[i].plusDays(j);
        hrTimes[i] = DAY_COUNT.getDayCountFraction(BASE_DATE, hrDates[i]);
      }
      final HazardRateCurve hazardRateCurve = new HazardRateCurve(hrDates, hrTimes, HR_RATES, OFFSET);

      ZonedDateTime[] res1 = CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(VALUATION_DATE, cds1, YIELD_CURVE, hazardRateCurve, true);
      final ZonedDateTime[] expected = new ZonedDateTime[hrDates.length - 1 + YC_DATES.length - 1 + 2];
      for (int i = 0; i < YC_DATES.length - 1; i++) {
        expected[i * 2 + 1] = YC_DATES[i];
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    }
  }

  @Test
  public void testAccLegWithFixedCurve() {
    final HazardRateCurve hrCurve = new HazardRateCurve(HR_DATES, HR_TIMES, HR_RATES, OFFSET);
    for (int j = 1; j < 15; j += 3) {
      for (int k = 1; k < 25; k += 4) {
        CreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(true)
            .withMaturityDate(YC_DATES[YC_DATES.length - 1].minusMonths(j))
            .withEffectiveDate(VALUATION_DATE.minusMonths(j).plusDays(k))
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