package com.opengamma.analytics.financial.credit.cds;
import org.threeten.bp.LocalDateTime;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.Convention;
import com.opengamma.analytics.financial.instrument.cds.ISDACDSDefinition;
import com.opengamma.analytics.financial.instrument.cds.ISDACDSPremiumDefinition;
import com.opengamma.analytics.financial.interestrate.PeriodicInterestRate;
import com.opengamma.financial.convention.StubType;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.FollowingBusinessDayConvention;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.ActualThreeSixty;
import com.opengamma.financial.convention.daycount.ActualThreeSixtyFive;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.frequency.Frequency;
import com.opengamma.financial.convention.frequency.SimpleFrequency;
import com.opengamma.util.money.Currency;
public class ISDAApproxCDSPricingMethodTestData {
protected static DayCount s_act365 = new ActualThreeSixtyFive();
public static double getTimeBetween(final ZonedDateTime date1, final ZonedDateTime date2) {
final ZonedDateTime rebasedDate2 = date2.withZoneSameInstant(date1.getZone());
final boolean timeIsNegative = date1.isAfter(rebasedDate2);
if (!timeIsNegative) {
return s_act365.getDayCountFraction(date1, rebasedDate2);
}
return -1.0 * s_act365.getDayCountFraction(rebasedDate2, date1);
}
/*
* -------------------------------------------------------------------------------
* Data for the ISDA examples provided in main.c as test driver for reference code
* -------------------------------------------------------------------------------
*/
protected ISDACDSDefinition loadCDS_ISDAExampleMainC(final double spreadBasisPoints) {
final ZonedDateTime startDate = zdt(2008, 2, 8, 0, 0, 0, 0, ZoneOffset.UTC);
final ZonedDateTime maturity = zdt(2008, 2, 12, 0, 0, 0, 0, ZoneOffset.UTC);
final int settlementDays = 0; // Overridden in test case
final double notional = 1.0e7;
final double spread = spreadBasisPoints/10000.0;
final double recoveryRate = 0.4;
final Frequency premiumFrequency = SimpleFrequency.QUARTERLY;
final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
final DayCount dayCount = new ActualThreeSixty();
final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
final StubType stubType = StubType.SHORT_START;
final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, premiumFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);
return new ISDACDSDefinition(startDate, maturity, premiumDefinition, notional, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, premiumFrequency, convention, stubType);
}
protected ISDACurve loadDiscountCurve_ISDAExampleMainC() {
final ZonedDateTime baseDate = zdt(2008, 2, 1, 0, 0, 0, 0, ZoneOffset.UTC);
final double[] times = {
getTimeBetween(baseDate, zdt(2008, 2, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2008, 3, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2008, 4, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2008, 7, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2008, 10, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2009, 1, 5, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2009, 7, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2010, 1, 4, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2010, 7, 5, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2011, 1, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2011, 7, 4, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2012, 1, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2012, 7, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2013, 1, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2013, 7, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2014, 1, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2014, 7, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2015, 1, 5, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2015, 7, 3, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2016, 1, 4, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2016, 7, 4, 0, 0, 0, 0, ZoneOffset.UTC)),
getTimeBetween(baseDate, zdt(2017, 1, 3, 0, 0, 0, 0, ZoneOffset.UTC))
};
final double[] rates = {
0.000000001013888972778431700000,
0.000000001013888972778431700000,
0.000000001013888972778431700000,
0.000000001013888972778431700000,
0.000000001013888972778431700000,
0.000000000997358196030972980000,
0.000000000995057147790134880000,
0.000000000993861384526237670000,
0.000000000983571668555782710000,
0.000000000976699218749570080000,
0.000000000989587300992411660000,
0.000000000999308693520927250000,
0.000000000999070826068759740000,
0.000000000998878776248821030000,
0.000000000998947369268421430000,
0.000000000999005352108518340000,
0.000000000999007765400961030000,
0.000000000999009754006644690000,
0.000000000998901406035201940000,
0.000000000998803566131306970000,
0.000000000998365168314307990000,
0.000000000997973248135311370000
};
return new ISDACurve("IR_CURVE", times, rates, 0.0);
}
protected ISDACurve loadHazardRateCurve_ISDAExampleMainC() {
final ZonedDateTime baseDate = zdt(2008, 2, 1, 0, 0, 0, 0, ZoneOffset.UTC);
final double[] times = {
s_act365.getDayCountFraction(baseDate, zdt(2008, 2, 12, 0, 0, 0, 0, ZoneOffset.UTC))
};
final double[] rates = {
(new PeriodicInterestRate(0.81582707425206369, 1)).toContinuous().getRate()
};
return new ISDACurve("HAZARD_RATE_CURVE", times, rates, 0.0);
}
/*
* ---------------------------------------------------------------------------------
* Data for the ISDA examples provided in the example Excel file, CDS calculator tab
* ---------------------------------------------------------------------------------
*/
protected ISDACDSDefinition loadCDS_ISDAExampleCDSCalcualtor() {
final ZonedDateTime startDate = zdt(2008, 3, 20, 0, 0, 0, 0, ZoneOffset.UTC);
final ZonedDateTime maturity = zdt(2013, 3, 20, 0, 0, 0, 0, ZoneOffset.UTC);
final int settlementDays = 3;
final double notional = 10000000, spread = 0.01 /* 100bp */, recoveryRate = 0.4;
final Frequency couponFrequency = SimpleFrequency.QUARTERLY;
final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
final DayCount dayCount = new ActualThreeSixty();
final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
final StubType stubType = StubType.SHORT_START;
final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);
return new ISDACDSDefinition(startDate, maturity, premiumDefinition, notional, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, couponFrequency, convention, stubType);
}
protected ISDACDSDefinition loadCDS_ISDAExampleUpfrontConverter() {
final ZonedDateTime startDate = zdt(2007, 3, 20, 0, 0, 0, 0, ZoneOffset.UTC);
final ZonedDateTime maturity = zdt(2013, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC);
final int settlementDays = 3;
final double notional = 10000000, spread = 0.05 /* 500bp */, recoveryRate = 0.4;
final Frequency couponFrequency = SimpleFrequency.QUARTERLY;
final Calendar calendar = new MondayToFridayCalendar("TestCalendar");
final DayCount dayCount = new ActualThreeSixty();
final BusinessDayConvention businessDays = new FollowingBusinessDayConvention();
final Convention convention = new Convention(settlementDays, dayCount, businessDays, calendar, "");
final StubType stubType = StubType.SHORT_START;
final ISDACDSPremiumDefinition premiumDefinition = ISDACDSPremiumDefinition.from(startDate, maturity, couponFrequency, convention, stubType, /* protectStart */ true, notional, spread, Currency.EUR, calendar);
return new ISDACDSDefinition(startDate, maturity, premiumDefinition, notional, spread, recoveryRate, /* accrualOnDefault */ true, /* payOnDefault */ true, /* protectStart */ true, couponFrequency, convention, stubType);
}
protected ISDACurve loadHazardRateCurve_ISDAExampleCDSCalculator() {
final ZonedDateTime baseDate = zdt(2008, 9, 18, 0, 0, 0, 0, ZoneOffset.UTC);
final double[] times = {
0.0,
s_act365.getDayCountFraction(baseDate, zdt(2013, 06, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2015, 06, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2018, 06, 20, 0, 0, 0, 0, ZoneOffset.UTC))
};
final double[] rates = {
(new PeriodicInterestRate(0.09709857471184660000,1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.09709857471184660000,1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.09705141266558010000,1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.09701141671498870000,1)).toContinuous().getRate()
};
return new ISDACurve("HAZARD_RATE_CURVE", times, rates, 0.0);
}
protected ISDACurve loadHazardRateCurve_ISDAExampleCDSCalculator_FlatIRCurve() {
final ZonedDateTime baseDate = zdt(2008, 9, 18, 0, 0, 0, 0, ZoneOffset.UTC);
final double[] times = {
0.0,
s_act365.getDayCountFraction(baseDate, zdt(2013, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2015, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2018, 6, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
};
final double ccRate = (new PeriodicInterestRate(0.09740867310916100000, 1)).toContinuous().getRate();
final double[] rates = {
ccRate, ccRate, ccRate, ccRate
};
return new ISDACurve("HAZARD_RATE_CURVE", times, rates, 0.0);
}
protected ISDACurve loadDiscountCurve_ISDAExampleExcel() {
final ZonedDateTime pricingDate = zdt(2008, 9, 18, 0, 0, 0, 0, ZoneOffset.UTC);
final ZonedDateTime baseDate = zdt(2008, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC);
final double[] times = {
s_act365.getDayCountFraction(baseDate, zdt(2008, 10, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2008, 11, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2008, 12, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2009, 3, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2009, 6, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2009, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2010, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2010, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2011, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2011, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2012, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2012, 9, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2013, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2013, 9, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2014, 3, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2014, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2015, 3, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2015, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2016, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2016, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2017, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2017, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2018, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2018, 9, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2019, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2019, 9, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2020, 3, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2020, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2021, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2021, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2022, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2022, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2023, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2023, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2024, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2024, 9, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2025, 3, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2025, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2026, 3, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2026, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2027, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2027, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2028, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2028, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2029, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2029, 9, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2030, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2030, 9, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2031, 3, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2031, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2032, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2032, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2033, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2033, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2034, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2034, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2035, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2035, 9, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2036, 3, 24, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2036, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2037, 3, 23, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2037, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2038, 3, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2038, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
};
final double[] rates = {
(new PeriodicInterestRate(0.00452115893602745000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.00965814197655757000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.01256719569422680000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.01808999617970230000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.01966710100627830000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02112741666666660000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.01809534760435110000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.01655763824251000000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.01880609764411780000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02033274208031280000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02201082479582110000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02329627269146610000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02457991990962620000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02564349380607000000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02664198869678810000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02747534265210970000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02822421752113560000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02887011718207980000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.02947938315126190000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03001849170997110000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03051723047721790000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03096814372457490000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03140378315953840000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03180665717369410000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03220470040815960000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03257895748982500000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03300576868204530000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03339934269742980000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03371439235915700000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03401013049588440000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03427957764613110000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03453400145380310000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03476707646146720000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03498827591548650000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03504602653686710000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03510104623115760000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03515188034751750000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03519973661653090000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03524486925430900000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03528773208373260000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03532784361012300000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03536647655059340000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03540272683370320000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03543754047166620000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03539936837313170000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03536201961264760000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03532774866571060000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03529393446018300000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03526215518920560000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03523175393297300000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03520264296319420000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03517444167763210000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03514783263597550000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03512186451200650000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03510945878934860000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03509733233582990000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03508585365890470000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03507449693456950000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03506379166273740000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03505346751846350000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03504350450444570000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03503383205190350000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03502458863645770000, 1)).toContinuous().getRate(),
(new PeriodicInterestRate(0.03501550511625420000, 1)).toContinuous().getRate()
};
return new ISDACurve("IR_CURVE", times, rates, s_act365.getDayCountFraction(pricingDate, baseDate));
}
protected ISDACurve loadDiscountCurve_ISDAExampleCDSExcelFlat() {
final ZonedDateTime baseDate = zdt(2008, 9, 18, 0, 0, 0, 0, ZoneOffset.UTC);
final double[] times = {
0.0,
s_act365.getDayCountFraction(baseDate, zdt(2008, 11, 28, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2009, 2, 27, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2009, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2010, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2011, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2012, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2013, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2014, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2015, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2016, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2017, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2018, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2019, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2020, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2023, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2028, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2033, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
s_act365.getDayCountFraction(baseDate, zdt(2038, 5, 29, 0, 0, 0, 0, ZoneOffset.UTC)),
};
final double[] rates = {0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0};
return new ISDACurve("IR_CURVE", times, rates, 0.0);
}
//-------------------------------------------------------------------------
private static ZonedDateTime zdt(final int y, final int m, final int d, final int hr, final int min, final int sec, final int nanos, final ZoneOffset offset) {
return LocalDateTime.of(y, m, d, hr, min, sec, nanos).atZone(offset);
}
}