/**
* Get the RPV01 of the premium leg - i.e. the value of the leg per point of spread (expressed as
* a fraction, so 1bs is 0.0001)
*
* <p>This exists to duplicate the function of the same name from PresentValueCreditDefaultSwap.
* <b>Note</b> this version agrees with the ISDA c library.
*
* @param valuationDate The valuation date - this is taken to be the same as today
* @param cds Description of the CDS
* @param yieldCurve The discount curve
* @param hazardRateCurve The survival curve
* @param priceType Clean or dirty
* @return The RPV01 of the premium leg
* @deprecated use calculateRPV01
*/
@Deprecated
public double calculatePremiumLeg(
final ZonedDateTime valuationDate,
final CreditDefaultSwapDefinition cds,
final ISDADateCurve yieldCurve,
final HazardRateCurve hazardRateCurve,
final PriceType priceType) {
ArgumentChecker.notNull(valuationDate, "null valuationDate");
ArgumentChecker.notNull(cds, "null cds");
ArgumentChecker.notNull(yieldCurve, "null yieldCurve");
ArgumentChecker.notNull(hazardRateCurve, "null hazardRateCurve");
ArgumentChecker.notNull(priceType, "null priceType");
final LocalDate valueDate = valuationDate.toLocalDate();
final LocalDate today = valueDate;
final LocalDate stepinDate = cds.getEffectiveDate().toLocalDate();
final LocalDate startDate = cds.getStartDate().toLocalDate();
final LocalDate endDate = cds.getMaturityDate().toLocalDate();
return cds.getNotional()
* pvPremiumLegPerUnitSpread(
today,
stepinDate,
valueDate,
startDate,
endDate,
cds.getIncludeAccruedPremium(),
cds.getCouponFrequency().getPeriod(),
cds.getStubType(),
ISDACompliantDateYieldCurve.fromISDADateCurve(yieldCurve),
ISDACompliantDateCreditCurve.fromHazardRateCurve(hazardRateCurve),
cds.getProtectionStart(),
priceType);
}
@Test
public void testNonOverlappingHazardRateAndYieldCurveDates() {
final ZonedDateTime[] hrDates = new ZonedDateTime[HR_DATES.length];
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++) {
expected[i * 2 + 2] = hrDates[i];
}
CreditDefaultSwapDefinition cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(true)
.withMaturityDate(VALUATION_DATE.plusYears(50));
final ISDAYieldCurveAndHazardRateCurveProvider curves =
new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, hazardRateCurve);
ZonedDateTime[] actual =
CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, curves);
expected[0] = cds.getStartDate();
expected[expected.length - 1] = cds.getMaturityDate().plusDays(1);
assertDateArrayEquals(expected, actual);
assertDateArrayEquals(
expected,
DEPRECATED_CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(
VALUATION_DATE, cds, YIELD_CURVE, hazardRateCurve, false));
cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(false)
.withMaturityDate(VALUATION_DATE.plusYears(50));
actual = CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, curves);
expected[0] = cds.getStartDate();
expected[expected.length - 1] = cds.getMaturityDate();
assertDateArrayEquals(expected, actual);
assertDateArrayEquals(
expected,
DEPRECATED_CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(
VALUATION_DATE, cds, YIELD_CURVE, hazardRateCurve, false));
}
@Test
public void testCDSWithinCurves() {
CreditDefaultSwapDefinition cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(true)
.withMaturityDate(YC_DATES[YC_DATES.length - 1].minusMonths(1))
.withEffectiveDate(VALUATION_DATE.minusMonths(1).plusDays(1))
.withStartDate(VALUATION_DATE.minusMonths(1));
final ISDAYieldCurveAndHazardRateCurveProvider curves =
new ISDAYieldCurveAndHazardRateCurveProvider(YIELD_CURVE, HAZARD_RATE_CURVE);
ZonedDateTime[] actual =
CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, CURVES);
ZonedDateTime[] expected = new ZonedDateTime[YC_DATES.length + 1];
for (int i = 0; i < YC_DATES.length; i++) {
expected[i + 1] = YC_DATES[i];
}
expected[0] = cds.getStartDate();
expected[YC_DATES.length] = cds.getMaturityDate().plusDays(1);
assertDateArrayEquals(expected, actual);
assertDateArrayEquals(
expected,
DEPRECATED_CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(
VALUATION_DATE, cds, YIELD_CURVE, HAZARD_RATE_CURVE, false));
cds =
CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithProtectionStart(false)
.withMaturityDate(YC_DATES[YC_DATES.length - 1].minusMonths(1))
.withEffectiveDate(VALUATION_DATE.minusMonths(1).plusDays(1))
.withStartDate(VALUATION_DATE.minusMonths(1));
actual = CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(cds, CURVES);
expected = new ZonedDateTime[YC_DATES.length + 1];
for (int i = 0; i < YC_DATES.length; i++) {
expected[i + 1] = YC_DATES[i];
}
expected[0] = cds.getStartDate();
expected[YC_DATES.length] = cds.getMaturityDate();
assertDateArrayEquals(expected, actual);
assertDateArrayEquals(
expected,
DEPRECATED_CALCULATOR.constructCreditDefaultSwapAccruedLegIntegrationSchedule(
VALUATION_DATE, cds, YIELD_CURVE, HAZARD_RATE_CURVE, false));
}
/**
* Get the value of the contingent (or protection) leg
*
* <p>This exists to duplicate the function of the same name from PresentValueCreditDefaultSwap.
* <b>Note</b> this version agrees with the ISDA c library.
*
* @param valuationDate The valuation date - this is taken to be the same as today
* @param cds Description of the CDS
* @param yieldCurve The discount curve
* @param hazardRateCurve The survival curve
* @return Present Value of protection (or contingent) leg
* @deprecated use calculateProtectionLeg
*/
@Deprecated
public double calculateContingentLeg(
final ZonedDateTime valuationDate,
final CreditDefaultSwapDefinition cds,
final ISDADateCurve yieldCurve,
final HazardRateCurve hazardRateCurve) {
ArgumentChecker.notNull(valuationDate, "null valuationDate");
ArgumentChecker.notNull(cds, "null cds");
ArgumentChecker.notNull(yieldCurve, "null yieldCurve");
ArgumentChecker.notNull(hazardRateCurve, "null hazardRateCurve");
final LocalDate valueDate = valuationDate.toLocalDate();
final LocalDate today = valueDate;
final LocalDate stepinDate = cds.getEffectiveDate().toLocalDate();
final LocalDate startDate = cds.getStartDate().toLocalDate();
final LocalDate endDate = cds.getMaturityDate().toLocalDate();
final double rr = cds.getRecoveryRate();
final boolean protectionStart = cds.getProtectionStart();
return cds.getNotional()
* calculateProtectionLeg(
today,
stepinDate,
valueDate,
startDate,
endDate,
ISDACompliantDateYieldCurve.fromISDADateCurve(yieldCurve),
ISDACompliantDateCreditCurve.fromHazardRateCurve(hazardRateCurve),
rr,
protectionStart);
}