/**
* The CS01 (or credit DV01) of a CDS - the sensitivity of the PV to a finite increase of market
* spread (on NOT the CDS's coupon). If the CDS is quoted as points up-front, this is first
* converted to a quoted spread, and <b>this</b> is bumped
*
* @param cds analytic description of a CDS traded at a certain time - it is this CDS that we are
* calculation CDV01 for
* @param quote The market quote for the CDS - these can be ParSpread, PointsUpFront or
* QuotedSpread
* @param yieldCurve The yield (or discount) curve
* @param fracBumpAmount The fraction bump amount of the spread so a 1pb bump is 1e-4
* @return the parallel CS01
*/
public double parallelCS01(
CdsAnalytic cds,
CdsQuoteConvention quote,
IsdaCompliantYieldCurve yieldCurve,
double fracBumpAmount) {
if (quote instanceof CdsQuotedSpread) {
CdsQuotedSpread qSpread = (CdsQuotedSpread) quote;
return parallelCS01FromParSpreads(
cds,
qSpread.getCoupon(),
yieldCurve,
new CdsAnalytic[] {cds},
new double[] {qSpread.getQuotedSpread()},
fracBumpAmount,
ShiftType.ABSOLUTE);
} else if (quote instanceof PointsUpFront) {
PointsUpFront puf = (PointsUpFront) quote;
return parallelCS01FromPUF(
cds, puf.getCoupon(), yieldCurve, puf.getPointsUpFront(), fracBumpAmount);
} else if (quote instanceof CdsParSpread) {
return parallelCS01FromParSpreads(
cds,
quote.getCoupon(),
yieldCurve,
new CdsAnalytic[] {cds},
new double[] {quote.getCoupon()},
fracBumpAmount,
ShiftType.ABSOLUTE);
}
throw new IllegalArgumentException("unknow type " + quote.getClass());
}
/**
* Bump a market quote by a specified amount, eps. If the quote is a spread type (ParSpread or
* QuotedSpread) the amount is simply bumped by given amount; however if the quote is
* PointsUpFront this is first converted to a QuotedSpread, bumped by eps, then converted back to
* PointsUpFront
*
* @param cds analytic description of a CDS traded at a certain time
* @param quote The market quote
* @param yieldCurve The yield curve
* @param eps Bump amount (as a fraction, so a 1bps bumps is 1e-4)
* @return The bumped quote
*/
public CdsQuoteConvention bumpQuote(
CdsAnalytic cds, CdsQuoteConvention quote, IsdaCompliantYieldCurve yieldCurve, double eps) {
if (quote instanceof CdsParSpread) {
return new CdsParSpread(quote.getCoupon() + eps);
} else if (quote instanceof CdsQuotedSpread) {
CdsQuotedSpread qSpread = (CdsQuotedSpread) quote;
return new CdsQuotedSpread(qSpread.getCoupon(), qSpread.getQuotedSpread() + eps);
} else if (quote instanceof PointsUpFront) {
PointsUpFront puf = (PointsUpFront) quote;
double bumpedQSpread =
_pufConverter.pufToQuotedSpread(cds, puf.getCoupon(), yieldCurve, puf.getPointsUpFront())
+ eps;
return new PointsUpFront(
puf.getCoupon(),
_pufConverter.quotedSpreadToPUF(cds, puf.getCoupon(), yieldCurve, bumpedQSpread));
} else {
throw new IllegalArgumentException("unknow type " + quote.getClass());
}
}
