public TenorLabelledMatrix1D getBucketedCS01(
CDSAnalytic analytic,
CDSAnalytic[] buckets,
Tenor[] tenors,
CDSQuoteConvention quote,
double notional,
ISDACompliantYieldCurve yieldCurve,
ISDACompliantCreditCurve creditCurve) {
// TODO: Check quote.getCoupon() is spread value for IMM & 0.01 (or 0.05) for non IMM
double[] cs01Values;
if (quote instanceof ParSpread) {
cs01Values =
CALCULATOR.bucketedCS01FromCreditCurve(
analytic, quote.getCoupon(), buckets, yieldCurve, creditCurve, ONE_BPS);
} else if (quote instanceof PointsUpFront) {
cs01Values =
CALCULATOR.bucketedCS01FromPUF(
analytic, (PointsUpFront) quote, yieldCurve, buckets, ONE_BPS);
} else {
cs01Values =
CALCULATOR.bucketedCS01FromCreditCurve(
analytic,
quote.getCoupon() /*coupon * ONE_BPS*/,
buckets,
yieldCurve,
creditCurve,
ONE_BPS);
}
for (int i = 0; i < cs01Values.length; i++) {
cs01Values[i] *= notional * ONE_BPS;
}
return new TenorLabelledMatrix1D(tenors, cs01Values);
}
public PointsUpFront getPointsUpfront(
CDSQuoteConvention quote,
BuySellProtection buySellProtection,
ISDACompliantYieldCurve yieldCurve,
CDSAnalytic analytic,
ISDACompliantCreditCurve creditCurve) {
double puf = 0.0;
if (quote instanceof PointsUpFront) {
return (PointsUpFront) quote;
} else if (quote instanceof QuotedSpread) {
puf =
POINTS_UP_FRONT_CONVERTER.quotedSpreadToPUF(
analytic, quote.getCoupon(), yieldCurve, ((QuotedSpread) quote).getQuotedSpread());
} else if (quote instanceof ParSpread) {
puf = PRICER.pv(analytic, yieldCurve, creditCurve, ((ParSpread) quote).getCoupon());
} else {
throw new OpenGammaRuntimeException("Unknown quote type " + quote);
}
// SELL protection reverses directions of legs
puf = (buySellProtection == BuySellProtection.SELL) ? -puf : puf;
return new PointsUpFront(quote.getCoupon(), puf);
}
public static QuotedSpread getQuotedSpread(
CDSQuoteConvention quote,
PointsUpFront puf,
BuySellProtection buySellProtection,
ISDACompliantYieldCurve yieldCurve,
CDSAnalytic analytic) {
double quotedSpread;
if (quote instanceof QuotedSpread) {
return (QuotedSpread) quote;
} else {
quotedSpread =
POINTS_UP_FRONT_CONVERTER.pufToQuotedSpread(
analytic, puf.getCoupon(), yieldCurve, puf.getPointsUpFront());
}
// SELL protection reverses directions of legs
quotedSpread = (buySellProtection == BuySellProtection.SELL) ? -quotedSpread : quotedSpread;
return new QuotedSpread(quote.getCoupon(), quotedSpread);
}
public double getParallelCS01(
CDSQuoteConvention quote,
CDSAnalytic analytic,
ISDACompliantYieldCurve yieldCurve,
double notional,
CDSAnalytic[] pillars,
double[] pillarSpreads) {
double cs01;
if (quote instanceof ParSpread) {
cs01 =
CALCULATOR.parallelCS01FromParSpreads(
analytic,
quote.getCoupon(), // ParSpread
yieldCurve,
pillars,
pillarSpreads,
ONE_BPS,
BumpType.ADDITIVE);
} else {
cs01 = CALCULATOR.parallelCS01(analytic, quote, yieldCurve, ONE_BPS);
}
return Double.valueOf(cs01 * notional * ONE_BPS);
}