private static final void CreditCurveAPISample() throws Exception {
JulianDate dtStart = JulianDate.Today();
JulianDate dt10Y = dtStart.addYears(10);
/*
* Create Credit Curve from flat Hazard Rate
*/
CreditCurve ccFlatHazard =
CreditCurveBuilder.FromFlatHazard(dtStart.getJulian(), "CC", "USD", 0.02, 0.4);
System.out.println(
"CCFromFlatHazard["
+ dt10Y.toString()
+ "]; Survival="
+ ccFlatHazard.getSurvival("10Y")
+ "; Hazard="
+ ccFlatHazard.calcHazard("10Y"));
double[] adblDate = new double[5];
double[] adblSurvival = new double[5];
for (int i = 0; i < 5; ++i) {
adblDate[i] = dtStart.addYears(2 * i + 2).getJulian();
adblSurvival[i] = 1. - 0.1 * (i + 1);
}
/*
* Create Credit Curve from an array of dates and their corresponding survival probabilities
*/
CreditCurve ccFromSurvival =
CreditCurveBuilder.FromSurvival(
dtStart.getJulian(), "CC", "USD", adblDate, adblSurvival, 0.4);
System.out.println(
"CCFromSurvival["
+ dt10Y.toString()
+ "]; Survival="
+ ccFromSurvival.getSurvival("10Y")
+ "; Hazard="
+ ccFromSurvival.calcHazard("10Y"));
}
private static final void CDSAPISample() throws Exception {
JulianDate dtStart = JulianDate.Today();
/*
* Flat Discount Curve
*/
DiscountCurve dc = DiscountCurveBuilder.CreateFromFlatRate(dtStart, "USD", 0.05);
/*
* Flat Credit Curve
*/
CreditCurve cc = CreditCurveBuilder.FromFlatHazard(dtStart.getJulian(), "CC", "USD", 0.02, 0.4);
/*
* Component Market Parameters built from the Discount and the Credit Curves
*/
ComponentMarketParams cmp = ComponentMarketParamsBuilder.MakeCreditCMP(dc, cc);
/*
* Create an SNAC CDS
*/
CreditDefaultSwap cds = CDSBuilder.CreateSNAC(dtStart, "5Y", 0.1, "CC");
/*
* Valuation Parameters
*/
ValuationParams valParams =
ValuationParams.CreateValParams(dtStart, 0, "", Convention.DR_ACTUAL);
/*
* Standard Credit Pricer Parameters (check javadoc for details)
*/
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
System.out.println(
"Acc Start Acc End Pay Date Index Spread Cpn DCF Pay01 Surv01");
System.out.println(
"--------- --------- --------- ------ ------ -------- --------- --------");
/*
* CDS Coupon Cash Flow
*/
for (CashflowPeriodCurveFactors p : cds.getCouponFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(p.getAccrualStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getAccrualEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(p.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getIndexRate(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getSpread(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(p.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dc.df(p.getPayDate()), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(cc.getSurvival(p.getPayDate()), 1, 4, 1.));
System.out.println(
"Loss Start Loss End Pay Date Cpn Notl Rec EffDF StartSurv EndSurv");
System.out.println(
"---------- -------- -------- --- ---- --- ----- --------- -------");
/*
* CDS Loss Cash Flow
*/
for (LossPeriodCurveFactors dp : cds.getLossFlow(valParams, pricerParams, cmp))
System.out.println(
JulianDate.fromJulian(dp.getStartDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getEndDate())
+ FIELD_SEPARATOR
+ JulianDate.fromJulian(dp.getPayDate())
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveNotional(), 1, 0, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveRecovery(), 1, 2, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.effectiveDF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.startSurvival(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FormatUtil.FormatDouble(dp.endSurvival(), 1, 4, 1.));
}
