@Test(enabled = false)
public void rollingTest() {
final MarketQuoteConverter pufConverter = new MarketQuoteConverter();
final FastCreditCurveBuilder builder = new FastCreditCurveBuilder();
final double notional = 1e12;
final LocalDate today = LocalDate.of(2011, Month.JUNE, 13);
final Period tenor = Period.ofYears(3);
final double tradeLevel = 99.785 * ONE_BP;
// final double tradeLevel = 99.78471 * ONE_BP;
final LocalDate tradeDate = today;
final LocalDate stepinDate = tradeDate.plusDays(1); // AKA stepin date
final LocalDate cashSettleDate =
addWorkDays(tradeDate, 3, DEFAULT_CALENDAR); // AKA valuation date
final LocalDate startDate = getPrevIMMDate(tradeDate).plusDays(1);
final LocalDate nextRolldate = getNextIndexRollDate(today);
final LocalDate maturity = nextRolldate.plus(tenor).minusMonths(3);
// yield curve
final LocalDate spotDate = addWorkDays(today.minusDays(1), 3, DEFAULT_CALENDAR);
final String[] yieldCurvePoints =
new String[] {
"1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y",
"12Y", "15Y", "20Y", "30Y"
};
final String[] yieldCurveInstruments =
new String[] {
"M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S",
"S"
};
final double[] rates =
new double[] {
0.01262, 0.01344, 0.01469, 0.01739, 0.01947, 0.02145, 0.02114, 0.02308, 0.02511, 0.02695,
0.02857, 0.02989, 0.03104, 0.03204, 0.03292, 0.0345, 0.03619, 0.03712, 0.03602
};
final ISDACompliantYieldCurve yieldCurve =
makeYieldCurve(
tradeDate,
spotDate,
yieldCurvePoints,
yieldCurveInstruments,
rates,
ACT360,
D30360,
Period.ofYears(1));
final CDSAnalytic pointCDS =
new CDSAnalytic(
tradeDate,
stepinDate,
cashSettleDate,
startDate,
maturity,
PAY_ACC_ON_DEFAULT,
PAYMENT_INTERVAL,
STUB,
PROCTECTION_START,
RECOVERY_RATE);
final QuotedSpread qSpread = new QuotedSpread(COUPON, tradeLevel);
final double puf = pufConverter.convert(pointCDS, qSpread, yieldCurve).getPointsUpFront();
final double accAmt = notional * pointCDS.getAccruedPremium(COUPON);
final double cashAmount = notional * puf - accAmt;
System.out.println(
startDate
+ "\t"
+ maturity
+ "\t"
+ puf
+ "\t"
+ (1 - puf) * 100
+ "%\t"
+ cashAmount
+ "\t"
+ pointCDS.getAccuredDays()
+ "\t"
+ accAmt);
final double impSpread = pufConverter.pufToQuotedSpread(pointCDS, COUPON, yieldCurve, puf);
System.out.println("imp Spread: " + impSpread);
// flat spread calculations
final Period[] standardTenors =
new Period[] {
Period.ofMonths(6),
Period.ofYears(1),
Period.ofYears(2),
Period.ofYears(3),
Period.ofYears(4),
Period.ofYears(5),
Period.ofYears(7),
Period.ofYears(10)
};
final int nMat = standardTenors.length;
final LocalDate[] maturities = new LocalDate[nMat];
final CDSAnalytic[] pillarCDS = new CDSAnalytic[nMat];
for (int i = 0; i < nMat; i++) {
maturities[i] = nextRolldate.plus(standardTenors[i]).minusMonths(3);
pillarCDS[i] =
new CDSAnalytic(
tradeDate,
stepinDate,
cashSettleDate,
startDate,
maturities[i],
PAY_ACC_ON_DEFAULT,
PAYMENT_INTERVAL,
STUB,
PROCTECTION_START,
RECOVERY_RATE);
}
final double[] flatSpreads = new double[nMat];
Arrays.fill(flatSpreads, tradeLevel);
final ISDACompliantCreditCurve creditCurve =
builder.calibrateCreditCurve(pillarCDS, flatSpreads, yieldCurve);
final double pufTrans = PRICER_MARKIT_FIX.pv(pointCDS, yieldCurve, creditCurve, COUPON);
final double cashAmountTrans = notional * pufTrans - accAmt;
System.out.println(pufTrans + "\t" + cashAmountTrans);
}
/** Test of CDX.NA.IG.20-v1 5Y from Markit website */
@Test
public void test() {
// numbers from https://www.markit.com
// expected values (user)
final double mCleanPrice = 100.3;
final double mCashSettle = -43750455922031.0;
final int mAccDays = 49;
final double mAccAmt = 13611111111111.11;
final double mCreditDV01 = 4647028138242.0;
// transformed
final double mCashSettleTransformed = -43757966062423.0;
final double mCreditDV01Transformed = 4646838148143.0;
final double tradeLevel = 0.00935;
final LocalDate tradeDate = LocalDate.of(2013, Month.AUGUST, 7);
final LocalDate stepinDate = tradeDate.plusDays(1); // AKA stepin date
final LocalDate cashSettleDate =
addWorkDays(tradeDate, 3, DEFAULT_CALENDAR); // AKA valuation date
final LocalDate startDate = getPrevIMMDate(tradeDate);
final LocalDate maturity = LocalDate.of(2018, Month.JUNE, 20);
// yield curve
final LocalDate spotDate = addWorkDays(tradeDate.minusDays(1), 3, DEFAULT_CALENDAR);
final String[] yieldCurvePoints =
new String[] {
"1M", "2M", "3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y",
"12Y", "15Y", "20Y", "25Y", "30Y"
};
final String[] yieldCurveInstruments =
new String[] {
"M", "M", "M", "M", "M", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S",
"S"
};
final double[] rates =
new double[] {
0.00185, 0.00227, 0.002664, 0.003955, 0.006654, 0.004845, 0.00784, 0.011725, 0.0157,
0.01919, 0.02219, 0.024565, 0.02657, 0.02825, 0.03095, 0.033495, 0.035505, 0.036425,
0.036915
};
final ISDACompliantYieldCurve yieldCurve =
makeYieldCurve(
tradeDate,
spotDate,
yieldCurvePoints,
yieldCurveInstruments,
rates,
ACT360,
D30360,
Period.ofMonths(6));
final LocalDate nextIMM = getNextIMMDate(tradeDate);
final LocalDate[] pillarDates = getIMMDateSet(nextIMM, TENORS);
final int nPillars = pillarDates.length;
final double[] flatSpreads = new double[nPillars];
Arrays.fill(flatSpreads, tradeLevel);
final CDSAnalytic[] calibrationCDS = new CDSAnalytic[nPillars];
for (int i = 0; i < nPillars; i++) {
calibrationCDS[i] =
new CDSAnalytic(
tradeDate,
stepinDate,
cashSettleDate,
startDate,
pillarDates[i],
PAY_ACC_ON_DEFAULT,
PAYMENT_INTERVAL,
STUB,
PROCTECTION_START,
RECOVERY_RATE);
}
final CDSAnalytic pointCDS =
new CDSAnalytic(
tradeDate,
stepinDate,
cashSettleDate,
startDate,
maturity,
PAY_ACC_ON_DEFAULT,
PAYMENT_INTERVAL,
STUB,
PROCTECTION_START,
RECOVERY_RATE);
final QuotedSpread qSpread = new QuotedSpread(COUPON, tradeLevel);
final double puf = PUF_CONVERTER.convert(pointCDS, qSpread, yieldCurve).getPointsUpFront();
final double price = (1 - puf) * 100;
final double accAmt = NOTIONAL * pointCDS.getAccruedPremium(COUPON);
final double cashSettle = puf * NOTIONAL - accAmt;
final double cs01 =
NOTIONAL * ONE_BP * CS01_CAL.parallelCS01(pointCDS, qSpread, yieldCurve, ONE_BP);
// System.out.println("price: " + price + "%");
// System.out.println("Accured Days: " + pointCDS.getAccuredDays());
// System.out.println("Accured Amt: " + accAmt);
// System.out.println("Cash Settlement: " + cashSettle);
// System.out.println("Credit DV01: " + cs01);
assertEquals("price", mCleanPrice, price, 1e-1); // only 1dp of percentage given
assertEquals("Cash Settlement", mCashSettle, cashSettle, 1e-15 * NOTIONAL);
assertEquals("Accured Days", mAccDays, pointCDS.getAccuredDays());
assertEquals("Accured Amt", mAccAmt, accAmt, 1e-18 * NOTIONAL);
assertEquals("Credit DV01", mCreditDV01, cs01, 1e-15 * NOTIONAL);
// flat spread term structure (transformed)
final ISDACompliantCreditCurve creditCurve =
CREDIT_CURVE_BUILDER.calibrateCreditCurve(calibrationCDS, flatSpreads, yieldCurve);
final double cashSettleTrans =
NOTIONAL * PRICER.pv(pointCDS, yieldCurve, creditCurve, COUPON, PriceType.DIRTY);
final double cs01Trans =
NOTIONAL
* ONE_BP
* CS01_CAL.parallelCS01FromParSpreads(
pointCDS,
COUPON,
yieldCurve,
calibrationCDS,
flatSpreads,
ONE_BP,
BumpType.ADDITIVE);
// System.out.println("Cash Settlement (trans): " + cashSettleTrans);
// System.out.println("Credit DV01 (trans): " + cs01Trans);
assertEquals(
"Cash Settlement (trans)", mCashSettleTransformed, cashSettleTrans, 1e-15 * NOTIONAL);
assertEquals("Credit DV01 (Trans)", mCreditDV01Transformed, cs01Trans, 1e-15 * NOTIONAL);
}
/** iTraxx Europe Series 20 Version 1 5Y */
@Test
public void test2() {
final double coupon = 0.01;
final CDSAnalyticFactory factory = new CDSAnalyticFactory();
final LocalDate tradeDate = LocalDate.of(2014, 1, 15);
final LocalDate ycSpotDate = LocalDate.of(2014, 1, 17);
final String[] yieldCurvePoints =
new String[] {
"1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y",
"12Y", "15Y", "20Y", "30Y"
};
final String[] yieldCurveInstruments =
new String[] {
"M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S",
"S"
};
final double[] rates =
new double[] {
0.00208, 0.00247, 0.00282, 0.0039, 0.00482, 0.00557, 0.00522, 0.00705, 0.00942, 0.01182,
0.01405, 0.01607, 0.01788, 0.01948, 0.02088, 0.02315, 0.02537, 0.02686, 0.02724
};
final ISDACompliantYieldCurve yieldCurve =
makeYieldCurve(
tradeDate,
ycSpotDate,
yieldCurvePoints,
yieldCurveInstruments,
rates,
ACT360,
D30360,
Period.ofYears(1));
// TODO have explicit index methods in CDSAnalyticFactory [PLAT-5564]
final CDSAnalytic cds =
factory.makeIMMCDS(tradeDate, Period.of(4, 9, 0)); // Index maturity is 20-Dec-2018
final int mAccDays = 27;
final double mAccAmount = 7.5e-4;
assertEquals(mAccDays, cds.getAccuredDays());
assertEquals(mAccAmount, cds.getAccruedPremium(coupon));
final double df = yieldCurve.getDiscountFactor(cds.getCashSettleTime());
// these are Markit 'user' values (calculated from constant hazard rate)
ISDACompliantCreditCurve cc = CREDIT_CURVE_BUILDER.calibrateCreditCurve(cds, 0.012, yieldCurve);
double marketValue = PRICER.pv(cds, yieldCurve, cc, coupon, PriceType.DIRTY, 0.0);
double cashSettlement = marketValue / df;
double mMarketValue = 0.008568684437956;
double mCashSettlement = 0.008568931959138;
assertEquals(mMarketValue, marketValue, 1e-15);
assertEquals(mCashSettlement, cashSettlement, 1e-15);
// now use clear price of 99.07% (note index quoted as 1-puf)
final double puf = 0.0093;
cc = CREDIT_CURVE_BUILDER.calibrateCreditCurve(cds, coupon, yieldCurve, puf);
marketValue = PRICER.pv(cds, yieldCurve, cc, coupon, PriceType.DIRTY, 0.0);
cashSettlement = marketValue / df;
mMarketValue = 0.008549753025685;
mCashSettlement = 0.00855;
assertEquals(mMarketValue, marketValue, 1e-15);
assertEquals(mCashSettlement, cashSettlement, 1e-15);
}
