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]));
}
