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 CDSEODMeasuresAPISample() {
JulianDate dtEOD = JulianDate.CreateFromYMD(2011, 7, 21); // EOD
/*
* Create a spot starting CDS based off of a specific credit curve
*/
CreditDefaultSwap cds = CDSBuilder.CreateSNAC(JulianDate.Today(), "5Y", 0.1, "813796");
/*
* Calculate the EOD CDS measures
*/
CaseInsensitiveTreeMap<Double> mapEODCDSMeasures =
CreditAnalytics.GetEODCDSMeasures(cds, dtEOD);
/*
* Display the EOD CDS measures
*/
for (Map.Entry<String, Double> me : mapEODCDSMeasures.entrySet())
System.out.println(me.getKey() + " => " + me.getValue());
}