コード例 #1
0
  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.));
  }
コード例 #2
0
  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]));
  }