public double protectionLeg(IsdaCompliantCreditCurve creditCurve) {
double ht0 = creditCurve.getRT(_proLegIntPoints[0]);
double rt0 = _proYieldCurveRT[0];
double b0 = _proDF[0] * Math.exp(-ht0);
double pv = 0.0;
for (int i = 1; i < _nProPoints; ++i) {
double ht1 = creditCurve.getRT(_proLegIntPoints[i]);
double rt1 = _proYieldCurveRT[i];
double b1 = _proDF[i] * Math.exp(-ht1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
// this is equivalent to the ISDA code without explicitly calculating the time step - it
// also handles the limit
double dPV;
if (Math.abs(dhrt) < 1e-5) {
dPV = dht * b0 * epsilon(-dhrt);
} else {
dPV = (b0 - b1) * dht / dhrt;
}
pv += dPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
pv *= _lgdDF; // multiply by LGD and adjust to valuation date
return pv;
}
private double calculateSinglePeriodAccrualOnDefault(
int paymentIndex, IsdaCompliantCreditCurve creditCurve) {
double[] knots = _premLegIntPoints[paymentIndex];
if (knots == null) {
return 0.0;
}
double[] df = _premDF[paymentIndex];
double[] deltaT = _premDt[paymentIndex];
double[] rt = _rt[paymentIndex];
double accRate = _accRate[paymentIndex];
double accStart = _offsetAccStart[paymentIndex];
double t = knots[0];
double ht0 = creditCurve.getRT(t);
double rt0 = rt[0];
double b0 = df[0] * Math.exp(-ht0);
double t0 = t - accStart + _omega;
double pv = 0.0;
int nItems = knots.length;
for (int j = 1; j < nItems; ++j) {
t = knots[j];
double ht1 = creditCurve.getRT(t);
double rt1 = rt[j];
double b1 = df[j] * Math.exp(-ht1);
double dt = deltaT[j - 1];
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt + 1e-50; // to keep consistent with ISDA c code
double tPV;
if (getAccOnDefaultFormula() == AccrualOnDefaultFormulae.MARKIT_FIX) {
if (Math.abs(dhrt) < 1e-5) {
tPV = dht * dt * b0 * epsilonP(-dhrt);
} else {
tPV = dht * dt / dhrt * ((b0 - b1) / dhrt - b1);
}
} else {
double t1 = t - accStart + _omega;
if (Math.abs(dhrt) < 1e-5) {
tPV = dht * b0 * (t0 * epsilon(-dhrt) + dt * epsilonP(-dhrt));
} else {
tPV = dht / dhrt * (t0 * b0 - t1 * b1 + dt / dhrt * (b0 - b1));
}
t0 = t1;
}
pv += tPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
return accRate * pv;
}
