/**
* Validate the CDXRefData instance
*
* @return TRUE if successful
*/
public boolean validate() {
if (null == _strCurveID
|| _strCurveID.isEmpty()
|| null == _strSPN
|| _strSPN.isEmpty()
|| null == _strIndexLabel
|| _strIndexLabel.isEmpty()
|| null == _strIndexName
|| _strIndexName.isEmpty()
|| null == _strCurveName
|| _strCurveName.isEmpty()
|| null == _dtIssue
|| null == _dtMaturity
|| _dtIssue.getJulian() >= _dtMaturity.getJulian()
|| !org.drip.quant.common.NumberUtil.IsValid(_dblCoupon)
|| null == _strCurrency
|| _strCurrency.isEmpty()
|| null == _strDayCount
|| _strDayCount.isEmpty()
|| !org.drip.quant.common.NumberUtil.IsValid(_dblRecovery)
|| null == _strRedID
|| _strRedID.isEmpty()
|| null == _strIndexClass
|| _strIndexClass.isEmpty()
|| null == _strIndexGroupName
|| _strIndexGroupName.isEmpty()) return false;
return true;
}
@Override
public org.drip.analytics.date.JulianDate getMaturityDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceMaturity = _floatReference.getMaturityDate();
org.drip.analytics.date.JulianDate dtFloatDerivedMaturity = _floatDerived.getMaturityDate();
if (null == dtFloatReferenceMaturity || null == dtFloatDerivedMaturity) return null;
return dtFloatReferenceMaturity.getJulian() > dtFloatDerivedMaturity.getJulian()
? dtFloatReferenceMaturity
: dtFloatDerivedMaturity;
}
@Override
public org.drip.analytics.date.JulianDate getEffectiveDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceEffective =
_floatReference.getEffectiveDate();
org.drip.analytics.date.JulianDate dtFloatDerivedEffective = _floatDerived.getEffectiveDate();
if (null == dtFloatReferenceEffective || null == dtFloatDerivedEffective) return null;
return dtFloatReferenceEffective.getJulian() < dtFloatDerivedEffective.getJulian()
? dtFloatReferenceEffective
: dtFloatDerivedEffective;
}
@Override
public org.drip.analytics.date.JulianDate getFirstCouponDate() {
org.drip.analytics.date.JulianDate dtFloatReferenceFirstCoupon =
_floatReference.getFirstCouponDate();
org.drip.analytics.date.JulianDate dtFloatDerivedFirstCoupon =
_floatDerived.getFirstCouponDate();
if (null == dtFloatReferenceFirstCoupon || null == dtFloatDerivedFirstCoupon) return null;
return dtFloatReferenceFirstCoupon.getJulian() < dtFloatDerivedFirstCoupon.getJulian()
? dtFloatReferenceFirstCoupon
: dtFloatDerivedFirstCoupon;
}
/**
* Return the maturity date of the basket product
*
* @return Maturity date of the basket product
*/
public org.drip.analytics.date.JulianDate getMaturityDate() {
org.drip.product.definition.Component[] aComp = getComponents();
int iNumComp = aComp.length;
org.drip.analytics.date.JulianDate dtMaturity = aComp[0].getMaturityDate();
for (int i = 1; i < iNumComp; ++i) {
org.drip.analytics.date.JulianDate dtCompMaturity = aComp[i].getMaturityDate();
if (dtCompMaturity.getJulian() < dtMaturity.getJulian()) dtMaturity = dtCompMaturity;
}
return dtMaturity;
}
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"));
}
/**
* Constructs a Cash Component
*
* @param dtEffective Effective Date
* @param dtMaturity Maturity Date
* @param strIR IR Curve
* @param strDC Day Count
* @param strCalendar Calendar
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public CashComponent(
final org.drip.analytics.date.JulianDate dtEffective,
final org.drip.analytics.date.JulianDate dtMaturity,
final java.lang.String strIR,
final java.lang.String strDC,
final java.lang.String strCalendar)
throws java.lang.Exception {
if (null == dtEffective
|| null == dtMaturity
|| null == (_strIR = strIR)
|| strIR.isEmpty()
|| (_dblMaturity = dtMaturity.getJulian()) <= (_dblEffective = dtEffective.getJulian()))
throw new java.lang.Exception("CashComponent ctr: Invalid Inputs!");
_strDC = strDC;
_strCalendar = strCalendar;
_notlSchedule = org.drip.product.params.FactorSchedule.CreateBulletSchedule();
}
/**
* Get the first coupon date
*
* @return First Coupon Date
*/
public org.drip.analytics.date.JulianDate getFirstCouponDate() {
org.drip.product.definition.Component[] aComp = getComponents();
int iNumComp = aComp.length;
org.drip.analytics.date.JulianDate dtFirstCoupon = aComp[0].getFirstCouponDate();
for (int i = 1; i < iNumComp; ++i) {
if (dtFirstCoupon.getJulian() > aComp[i].getFirstCouponDate().getJulian())
dtFirstCoupon = aComp[i].getFirstCouponDate();
}
return dtFirstCoupon;
}
/**
* Return the stringified set of parameters in a java call that can be statically used to
* re-construct the index.
*
* @return Set of Stringified parameters as a java call.
*/
public java.lang.String setConstructionString() {
java.lang.StringBuffer sb = new java.lang.StringBuffer();
java.lang.String strCDXCode =
_strIndexClass
+ "."
+ _strIndexGroupName
+ "."
+ _iIndexLifeSpan
+ "Y."
+ _iIndexSeries
+ "."
+ _iIndexVersion;
sb.append(
"\t\tUpdateCDXRefDataMap ("
+ org.drip.quant.common.StringUtil.MakeStringArg(strCDXCode)
+ ",\n\t\t\torg.drip.product.creator.CDXRefDataBuilder.CreateCDXRefDataBuilder (");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strCurveID) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strSPN) + ",\n\t\t\t\t");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexLabel) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexName) + ",\n\t\t\t\t\t");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strCurveName) + ", ");
sb.append(_dtIssue.getJulian() + ", ");
sb.append(_dtMaturity.getJulian() + ", ");
sb.append(_dblCoupon + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strCurrency) + ",\n\t\t\t\t\t\t");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strDayCount) + ", ");
sb.append(_bFullFirstStub + ", ");
sb.append(_dblRecovery + ", ");
sb.append(_iFrequency + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strRedID) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexClass) + ", ");
sb.append(_iIndexSeries + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexGroupName) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexShortName) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strIndexShortGroupName) + ", ");
sb.append(_iIndexVersion + ", ");
sb.append(_iIndexLifeSpan + ",\n\t\t\t\t\t\t\t");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strCurvyCurveID) + ", ");
sb.append(_dblIndexFactor + ", ");
sb.append(_iOriginalComponentCount + ", ");
sb.append(_iDefaultedComponentCount + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strLocation) + ", ");
sb.append(_bPayAccrued + ", ");
sb.append(_bKnockOutOnDefault + ", ");
sb.append(_bQuoteAsCDS + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strBBGTicker) + ", ");
sb.append(org.drip.quant.common.StringUtil.MakeStringArg(_strShortName) + "));\n\n");
return sb.toString();
}
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.));
}