private static final void CreditCurveEODAPISample() throws Exception {
JulianDate dt = JulianDate.CreateFromYMD(2011, 7, 21);
/*
* Retrieves all the CDS curves available for the given EOD
*/
Set<String> setstrCDSCurves = CreditAnalytics.GetEODCDSCurveNames(dt);
for (String strCDSCurveName : setstrCDSCurves) System.out.println(strCDSCurveName);
/*
* Retrieves the calibrated credit curve from the CDS instruments for the given CDS curve name,
* IR curve name, and EOD. Also shows the 10Y survival probability and hazard rate.
*/
CreditCurve ccEOD = CreditAnalytics.LoadEODCDSCreditCurve("813796", "USD", dt);
JulianDate dt10Y = JulianDate.Today().addYears(10);
System.out.println(
"CCFromEOD["
+ dt10Y.toString()
+ "]; Survival="
+ ccEOD.getSurvival("10Y")
+ "; Hazard="
+ ccEOD.calcHazard("10Y"));
/*
* Displays the CDS quotes used to construct the closing credit curve
*/
CalibratableComponent[] aCompCDS = ccEOD.calibComp();
for (int i = 0; i < aCompCDS.length; ++i)
System.out.println(
aCompCDS[i].getPrimaryCode()
+ " => "
+ (int) (ccEOD.manifestMeasure(aCompCDS[i].getPrimaryCode())));
/*
* Loads all available credit curves for the given curve ID built from CDS instruments between 2 dates
*/
Map<JulianDate, CreditCurve> mapCC =
CreditAnalytics.LoadEODCDSCreditCurves(
"813796", "USD", JulianDate.CreateFromYMD(2011, 7, 14), dt);
/*
* Displays their 5Y CDS quote
*/
for (Map.Entry<JulianDate, CreditCurve> meCC : mapCC.entrySet()) {
JulianDate dtME = meCC.getKey();
CreditCurve ccCOB = meCC.getValue();
System.out.println(dtME + "[CDS.5Y] => " + (int) (ccCOB.manifestMeasure("CDS.5Y")));
}
}
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"));
}
