private static void CreateCreditCurveFromCDSInstruments() throws Exception {
JulianDate dtStart = JulianDate.Today();
/*
* Populate the instruments, the calibration measures, and the calibration quotes
*/
double[] adblQuotes = new double[5];
String[] astrCalibMeasure = new String[5];
CreditDefaultSwap[] aCDS = new CreditDefaultSwap[5];
for (int i = 0; i < 5; ++i) {
/*
* The Calibration CDS
*/
aCDS[i] = CDSBuilder.CreateSNAC(dtStart, (i + 1) + "Y", 0.01, "CORP");
/*
* Calibration Quote
*/
adblQuotes[i] = 100.;
/*
* Calibration Measure
*/
astrCalibMeasure[i] = "FairPremium";
}
/*
* Flat Discount Curve
*/
DiscountCurve dc = DiscountCurveBuilder.CreateFromFlatRate(dtStart, "USD", 0.05);
/*
* Create the Credit Curve from the give CDS instruments
*/
CreditCurve cc =
CreditScenarioCurveBuilder.CreateCreditCurve(
"CORP", dtStart, aCDS, dc, adblQuotes, astrCalibMeasure, 0.4, false);
/*
* Valuation Parameters
*/
ValuationParams valParams =
ValuationParams.CreateValParams(dtStart, 0, "", Convention.DR_ACTUAL);
/*
* Standard Credit Pricer Parameters (check javadoc for details)
*/
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
/*
* Re-calculate the input calibration measures for the input CDSes
*/
for (int i = 0; i < aCDS.length; ++i)
System.out.println(
"\t"
+ astrCalibMeasure[i]
+ "["
+ i
+ "] = "
+ aCDS[i].calcMeasureValue(
valParams,
pricerParams,
ComponentMarketParamsBuilder.CreateComponentMarketParams(
dc, null, null, cc, null, null, null),
null,
astrCalibMeasure[i]));
}
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.));
}
/**
* Sample demonstrating the usage of the (full set of) bond analytics API. Also shows the usage of
* the bond loss and coupon flow functionality
*
* <p>USE WITH CARE: This sample ignores errors and does not handle exceptions.
*/
public static final void BondAPISample() throws Exception {
Set<String> setstrTickers = FI.GetAvailableTickers();
for (String strTicker : setstrTickers) System.out.println(strTicker);
List<String> lsstrISIN = FI.GetISINsForTicker("DB");
for (String strBondISIN : lsstrISIN) System.out.println(strBondISIN);
String strISIN = "US78490FUS63"; // Short-dated floater maturing at 9/15/2012
// String strISIN = "US760677FD19"; // Amortizer
double dblZTMFromPrice = Double.NaN;
double dblOASTMFromPrice = Double.NaN;
double dblZSpreadFromPrice = Double.NaN;
double dblOASpreadFromPrice = Double.NaN;
double dblZSpreadFromTSYSpread = Double.NaN;
double dblOASpreadFromTSYSpread = Double.NaN;
QuotingParams quotingParams = new QuotingParams("30/360", 2, true, null, "USD", false);
Bond bond = FI.GetBond(strISIN);
JulianDate dtToday = JulianDate.Today();
DiscountCurve dc = DiscountCurve.CreateFromFlatRate(dtToday, "USD", 0.03);
DiscountCurve dcTSY = DiscountCurve.CreateFromFlatRate(dtToday, "USD", 0.04);
CreditCurve cc = CreditCurve.FromFlatHazard(dtToday.getJulian(), "CC", 0.02, 0.);
ValuationParams valParams =
ValuationParams.CreateValParams(dtToday, 0, "", DayCountBasis.DR_ACTUAL);
PricerParams pricerParams = PricerParams.MakeStdPricerParams();
ComponentMarketParams cmp = ComponentMarketParams.MakeCreditCMP(dc, cc);
WorkoutInfo wi = FI.BondWorkoutInfoFromPrice(strISIN, dtToday, dc, 1.);
double dblYieldFromPrice = FI.BondYieldFromPrice(strISIN, dtToday, dc, 1.);
double dblYTMFromPrice = FI.BondYTMFromPrice(strISIN, valParams, dc, 1., quotingParams);
if (!FI.IsBondFloater(strISIN)) {
dblZSpreadFromPrice = FI.BondZSpreadFromPrice(strISIN, dtToday, dc, 1.);
dblZTMFromPrice = FI.BondZTMFromPrice(strISIN, valParams, dc, 1., quotingParams);
dblOASpreadFromPrice = FI.BondOASFromPrice(strISIN, dtToday, dc, 1.);
dblOASTMFromPrice = FI.BondZTMFromPrice(strISIN, valParams, dc, 1., quotingParams);
}
double dblISpreadFromPrice = FI.BondISpreadFromPrice(strISIN, dtToday, dc, 1.);
double dblITMFromPrice = FI.BondITMFromPrice(strISIN, valParams, dc, 1., quotingParams);
double dblDiscountMarginFromPrice = FI.BondDiscountMarginFromPrice(strISIN, dtToday, dc, 1.);
double dblDiscountMarginTMFromPrice =
FI.BondDiscountMarginTMFromPrice(strISIN, valParams, dc, 1., quotingParams);
double dblTSYSpreadFromPrice = FI.BondTSYSpreadFromPrice(strISIN, dtToday, dc, dcTSY, 1.);
double dblTSYTMFromPrice =
FI.BondTSYTMFromPrice(strISIN, valParams, dc, dcTSY, 1., quotingParams);
double dblGSpreadFromPrice = FI.BondGSpreadFromPrice(strISIN, dtToday, dc, dcTSY, 1.);
double dblGTMFromPrice = FI.BondGTMFromPrice(strISIN, valParams, dc, dcTSY, 1., quotingParams);
double dblParASWFromPrice = FI.BondParASWFromPrice(strISIN, dtToday, dc, 1.);
double dblParASWTMFromPrice = FI.BondParASWTMFromPrice(strISIN, valParams, dc, 1., null);
double dblCreditBasisFromPrice = FI.BondCreditBasisFromPrice(strISIN, dtToday, dc, cc, 1.);
double dblCreditBasisTMFromPrice =
FI.BondCreditBasisTMFromPrice(strISIN, valParams, dc, cc, 1., quotingParams);
double dblPriceFromTSYSpread = FI.BondPriceFromTSYSpread(strISIN, dtToday, dc, dcTSY, 0.0271);
double dblYieldFromTSYSpread = FI.BondYieldFromTSYSpread(strISIN, dtToday, dcTSY, 0.0271);
if (!FI.IsBondFloater(strISIN)) {
dblZSpreadFromTSYSpread = FI.BondZSpreadFromTSYSpread(strISIN, dtToday, dc, dcTSY, 0.0271);
dblOASpreadFromTSYSpread = FI.BondOASFromTSYSpread(strISIN, dtToday, dc, dcTSY, 0.0271);
}
double dblISpreadFromTSYSpread =
FI.BondISpreadFromTSYSpread(strISIN, dtToday, dc, dcTSY, 0.0271);
double dblDiscountMarginFromTSYSpread =
FI.BondDiscountMarginFromTSYSpread(strISIN, dtToday, dc, dcTSY, 0.0271);
double dblGSpreadFromTSYSpread =
FI.BondGSpreadFromTSYSpread(strISIN, dtToday, dc, dcTSY, 0.0271);
double dblParASWFromTSYSpread = FI.BondParASWFromTSYSpread(strISIN, dtToday, dc, dcTSY, 0.0271);
double dblCreditBasisFromTSYSpread =
FI.BondCreditBasisFromTSYSpread(strISIN, dtToday, dc, dcTSY, cc, 0.0271);
double dblBondCreditPrice = FI.BondCreditPrice(strISIN, valParams, dc, cc, quotingParams);
JulianDate dtPreviousCoupon = FI.PreviousCouponDate(strISIN, dtToday);
JulianDate dtCurrentCoupon = FI.NextCouponDate(strISIN, dtToday);
JulianDate dtNextCoupon = FI.NextCouponDate(strISIN, dtToday);
JulianDate dtEffective = FI.EffectiveDate(strISIN);
JulianDate dtMaturity = FI.MaturityDate(strISIN);
boolean bInFirstPeriod = FI.InFirstPeriod(strISIN, dtToday.getJulian());
boolean bInLastPeriod = FI.InLastPeriod(strISIN, dtToday.getJulian());
NextExerciseInfo nei = FI.NextExerciseInfo(strISIN, dtToday);
System.out.println(
strISIN
+ " "
+ bond.getTicker()
+ " "
+ FIGen.FormatPrice(bond.getCoupon(valParams._dblValue, cmp, null))
+ " "
+ bond.getMaturityDate());
System.out.println("Work-out date From Price: " + new JulianDate(wi._dblDate));
System.out.println("Work-out factor From Price: " + wi._dblExerciseFactor);
System.out.println("Work-out Yield From Price: " + FIGen.FormatPrice(wi._dblYield));
System.out.println(
"Work-out Type for Price: "
+ org.drip.util.internal.FIUtil.WorkoutTypeToString(wi._iWOType));
System.out.println(
"Yield From Price: "
+ FIGen.FormatPrice(dblYieldFromPrice)
+ " / "
+ FIGen.FormatPrice(dblYTMFromPrice));
System.out.println(
"Z Spread From Price: "
+ (int) (10000. * dblZSpreadFromPrice)
+ " / "
+ (int) (10000. * dblZTMFromPrice));
System.out.println(
"Option Adj Spread From Price: "
+ (int) (10000. * dblOASpreadFromPrice)
+ " / "
+ (int) (10000. * dblOASTMFromPrice));
System.out.println(
"I Spread From Price: "
+ (int) (10000. * dblISpreadFromPrice)
+ " / "
+ (int) (10000. * dblITMFromPrice));
System.out.println(
"Discount Margin From Price: "
+ (int) (10000. * dblDiscountMarginFromPrice)
+ " / "
+ (int) (10000. * dblDiscountMarginTMFromPrice));
System.out.println(
"TSY Spread From Price: "
+ (int) (10000. * dblTSYSpreadFromPrice)
+ " / "
+ (int) (10000. * dblTSYTMFromPrice));
System.out.println(
"G Spread From Price: "
+ (int) (10000. * dblGSpreadFromPrice)
+ " / "
+ (int) (10000. * dblGTMFromPrice));
System.out.println(
"Par ASW From Price: " + (int) dblParASWFromPrice + " / " + (int) dblParASWTMFromPrice);
System.out.println(
"Credit Basis From Price: "
+ (int) (10000. * dblCreditBasisFromPrice)
+ " / "
+ (int) (10000. * dblCreditBasisTMFromPrice));
System.out.println("Price From TSY Spread: " + FIGen.FormatPrice(dblPriceFromTSYSpread));
System.out.println("Yield From TSY Spread: " + FIGen.FormatPrice(dblYieldFromTSYSpread));
System.out.println("Z Spread From TSY Spread: " + (int) (10000. * dblZSpreadFromTSYSpread));
System.out.println("OAS From TSY Spread: " + (int) (10000. * dblOASpreadFromTSYSpread));
System.out.println("I Spread From TSY Spread: " + (int) (10000. * dblISpreadFromTSYSpread));
System.out.println(
"Discount Margin From TSY Spread: " + (int) (10000. * dblDiscountMarginFromTSYSpread));
System.out.println("G Spread From TSY Spread: " + (int) (10000. * dblGSpreadFromTSYSpread));
System.out.println("Par ASW From TSY Spread: " + (int) dblParASWFromTSYSpread);
System.out.println(
"Credit Basis From TSY Spread: " + (int) (10000. * dblCreditBasisFromTSYSpread));
System.out.println("Credit Risky Price: " + FIGen.FormatPrice(dblBondCreditPrice));
System.out.println("Valuation Date: " + JulianDate.Today());
System.out.println("Effective Date: " + dtEffective);
System.out.println("Maturity Date: " + dtMaturity);
System.out.println("Is Val Date in the first period? " + bInFirstPeriod);
System.out.println("Is Val Date in the last period? " + bInLastPeriod);
System.out.println("Previous Coupon Date: " + dtPreviousCoupon);
System.out.println("Current Coupon Date: " + dtCurrentCoupon);
System.out.println("Next Coupon Date: " + dtNextCoupon);
System.out.println("Next Exercise Date: " + new JulianDate(nei._dblDate));
System.out.println("Next Exercise Factor: " + nei._dblExerciseFactor);
System.out.println(
"Next Exercise Type: " + org.drip.util.internal.FIUtil.WorkoutTypeToString(nei._iWOType));
if (bond.isFloater()) {
System.out.println(
"Acc Start Acc End Pay Date Index Spread Cpn DCF Pay01 Surv01");
System.out.println(
"--------- --------- --------- ------ ------ -------- --------- --------");
for (ProductCouponPeriodCurveMeasures p : bond.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
+ FIGen.FormatSpreadSimple(p.getIndexRate(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(p.getSpread(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(p.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(dc.getDF(p.getPayDate()), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(cc.getSurvival(p.getPayDate()), 1, 4, 1.));
} else {
System.out.println("Acc Start Acc End Pay Date Cpn DCF Pay01 Surv01");
System.out.println("--------- --------- --------- -------- --------- --------");
for (ProductCouponPeriodCurveMeasures p : bond.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
+ FIGen.FormatSpreadSimple(p.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(dc.getDF(p.getPayDate()), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(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(
"---------- -------- -------- --- ---- --- ----- --------- -------");
for (ProductLossPeriodCurveMeasures dp : bond.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
+ FIGen.FormatSpreadSimple(dp.getCouponDCF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(dp.getEffectiveNotional(), 1, 0, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(dp.getEffectiveRecovery(), 1, 2, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(dp.getEffectiveDF(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(dp.getStartSurvival(), 1, 4, 1.)
+ FIELD_SEPARATOR
+ FIGen.FormatSpreadSimple(dp.getEndSurvival(), 1, 4, 1.));
}