@Test
public void Test() {
final boolean print = false;
if (print) {
System.out.println("AnalyticCDV01Test set print =false before push");
}
final double dealSpread = DEAL_SPREAD / 10000;
final double[] mrkSpreads = new double[NUM_MARKET_CDS];
for (int i = 0; i < NUM_MARKET_CDS; i++) {
mrkSpreads[i] = PAR_SPREADS[i] / 10000;
}
final ISDACompliantCreditCurve creditCurve =
BUILDER.calibrateCreditCurve(MARKET_CDS, mrkSpreads, YIELD_CURVE);
final int n = creditCurve.getNumberOfKnots();
final double[][] jacA = new double[n][n];
for (int j = 0; j < n; j++) {
final CDSAnalytic cds = MARKET_CDS[j];
for (int i = 0; i < n; i++) {
final double dDdH = PRICER.parSpreadCreditSensitivity(cds, YIELD_CURVE, creditCurve, i);
jacA[i][j] = dDdH;
}
}
final DoubleMatrix2D jac = new DoubleMatrix2D(jacA);
if (print) {
System.out.println(jac);
System.out.println();
}
final double[] temp = new double[n];
for (int i = 0; i < n; i++) {
temp[i] = PRICER.pvCreditSensitivity(CDS, YIELD_CURVE, creditCurve, dealSpread, i);
}
final DoubleMatrix1D dVdH = new DoubleMatrix1D(temp);
if (print) {
System.out.println(dVdH);
System.out.println();
}
final LUDecompositionCommons decomp = new LUDecompositionCommons();
final LUDecompositionResult res = decomp.evaluate(jac);
final DoubleMatrix1D dVdS = res.solve(dVdH);
// compare with bump and reprice
final SpreadSensitivityCalculator bumpCal = new SpreadSensitivityCalculator();
final double[] fd =
bumpCal.bucketedCS01FromParSpreads(
CDS, dealSpread, YIELD_CURVE, MARKET_CDS, mrkSpreads, 1e-7, BumpType.ADDITIVE);
final DoubleMatrix1D fd_dVdS = new DoubleMatrix1D(fd);
if (print) {
System.out.println(dVdS);
System.out.println(fd_dVdS);
}
for (int i = 0; i < n; i++) {
assertEquals(
fd_dVdS.getEntry(i),
dVdS.getEntry(i),
1e-6); // the fd is only forward difference - so accuracy is not great
}
}
private double[] priceDiff(
final CDSAnalytic cds,
final ISDACompliantCreditCurve creditCurve,
final double coupon,
final ISDACompliantYieldCurve[] bumpedYC,
final ISDACompliantYieldCurve baseYC) {
final double basePV = _pricer.pv(cds, baseYC, creditCurve, coupon, PriceType.DIRTY);
final int n = bumpedYC.length;
final double[] res = new double[n];
for (int i = 0; i < n; i++) {
final double pv = _pricer.pv(cds, bumpedYC[i], creditCurve, coupon, PriceType.DIRTY);
res[i] = pv - basePV;
}
return res;
}
@Test
public void test() {
final ISDACompliantCreditCurveBuilder curveBuilder =
new FastCreditCurveBuilder(MARKIT_FIX, ArbitrageHandling.ZeroHazardRate);
final AnalyticCDSPricer pricer = new AnalyticCDSPricer(MARKIT_FIX);
final int nPillars = PILLAR_DATES.length;
final CDSAnalytic[] pillarCDSS = new CDSAnalytic[nPillars];
for (int i = 0; i < nPillars; i++) {
pillarCDSS[i] =
new CDSAnalytic(
TODAY,
EFFECTIVE_DATE,
CASH_SETTLE_DATE,
STARTDATE,
PILLAR_DATES[i],
PAY_ACC_ON_DEFAULT,
PAYMENT_INTERVAL,
STUB,
PROCTECTION_START,
RECOVERY_RATE);
}
final ISDACompliantCreditCurve creditCurve =
curveBuilder.calibrateCreditCurve(pillarCDSS, SPREADS, YIELD_CURVE);
final int nMat = MATURITIES.length;
for (int i = 0; i < nMat; i++) {
final CDSAnalytic cds =
new CDSAnalytic(
TODAY,
EFFECTIVE_DATE,
CASH_SETTLE_DATE,
STARTDATE,
MATURITIES[i],
PAY_ACC_ON_DEFAULT,
PAYMENT_INTERVAL,
STUB,
PROCTECTION_START,
RECOVERY_RATE);
final double dPV = pricer.pv(cds, YIELD_CURVE, creditCurve, COUPON, PriceType.DIRTY);
// System.out.println(MATURITIES[i] + "\t" + dPV);
assertEquals(MATURITIES[i].toString(), EXPECTED_UPFRONT_CHARGE[i], dPV, 1e-15);
}
}
private double priceDiff(
final CDSAnalytic cds,
final ISDACompliantCreditCurve creditCurve,
final double coupon,
final ISDACompliantYieldCurve yc1,
final ISDACompliantYieldCurve yc2) {
final double pv1 = _pricer.pv(cds, yc1, creditCurve, coupon, PriceType.DIRTY);
final double pv2 = _pricer.pv(cds, yc2, creditCurve, coupon, PriceType.DIRTY);
return pv1 - pv2;
}
