/**
* Make a set of CDSs with a common trade date and maturities dates the given periods after the
* next IMM date (after the trade-date).
*
* @param tradeDate the trade date
* @param accStartDate this is when the CDS nominally starts in terms of premium payments. For a
* standard CDS this is the previous IMM date, and for a `legacy' CDS it is T+1
* @param tenors the tenors (lengths) of the CDSs
* @return an array of CDS analytic descriptions
*/
public CdsAnalytic[] makeImmCds(LocalDate tradeDate, LocalDate accStartDate, Period[] tenors) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notNull(accStartDate, "effectiveDate");
ArgChecker.noNulls(tenors, "tenors");
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(tradeDate);
LocalDate[] maturities = ImmDateLogic.getIMMDateSet(nextIMM, tenors);
return makeCds(tradeDate, accStartDate, maturities);
}
/**
* Make a set of CDSs with a common trade date and maturities dates the given periods after the
* next IMM date (after the trade-date). The accrual start date will be the previous IMM date
* (before the trade date). <b>Note</b> it payment interval is changed from the default of 3M,
* this will produce a (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenors the tenors (lengths) of the CDSs
* @param makeEffBusDay is the accrual start day business-day adjusted.
* @return an array of CDS analytic descriptions
*/
public CdsAnalytic[] makeImmCds(LocalDate tradeDate, Period[] tenors, boolean makeEffBusDay) {
LocalDate effectiveDate =
makeEffBusDay
? _businessdayAdjustmentConvention.adjust(
ImmDateLogic.getPrevIMMDate(tradeDate), _calendar)
: ImmDateLogic.getPrevIMMDate(tradeDate);
return makeImmCds(tradeDate, effectiveDate, tenors);
}
/**
* Set up a strip of on-the-run indexes represented as a single name CDSs (i.e. by CdsAnalytic).
* The index roll dates (when new indices are issued) are 20 Mar & Sep, and the index is defined
* to have a maturity that is its nominal tenor plus 3M on issuance, so a 5Y index on the
* 6-Feb-2014 will have a maturity of 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013). The
* accrual start date will be the previous IMM date (before the trade date), business-day
* adjusted. <b>Note</b> it payment interval is changed from the default of 3M, this will produce
* a (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenors the nominal lengths of the indexes
* @return an array of CDS analytic descriptions
*/
public CdsAnalytic[] makeCdx(LocalDate tradeDate, Period[] tenors) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.noNulls(tenors, "tenors");
LocalDate effectiveDate =
_businessdayAdjustmentConvention.adjust(ImmDateLogic.getPrevIMMDate(tradeDate), _calendar);
LocalDate mid = ImmDateLogic.getNextIndexRollDate(tradeDate).minusMonths(3);
LocalDate[] maturities = ImmDateLogic.getIMMDateSet(mid, tenors);
return makeCds(tradeDate, effectiveDate, maturities);
}
/**
* Set up an on-the-run index represented as a single name CDS (i.e. by CdsAnalytic). The index
* roll dates (when new indices are issued) are 20 Mar & Sep, and the index is defined to have a
* maturity that is its nominal tenor plus 3M on issuance, so a 5Y index on the 6-Feb-2014 will
* have a maturity of 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013). The accrual start date
* will be the previous IMM date (before the trade date), business-day adjusted. <b>Note</b> it
* payment interval is changed from the default of 3M, this will produce a (possibly incorrect)
* non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenor the nominal length of the index
* @return a CDS analytic description
*/
public CdsAnalytic makeCdx(LocalDate tradeDate, Period tenor) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notNull(tenor, "tenor");
LocalDate effectiveDate =
_businessdayAdjustmentConvention.adjust(ImmDateLogic.getPrevIMMDate(tradeDate), _calendar);
LocalDate roll = ImmDateLogic.getNextIndexRollDate(tradeDate);
LocalDate maturity = roll.plus(tenor).minusMonths(3);
return makeCds(tradeDate, effectiveDate, maturity);
}
/**
* Make a CDS with a maturity date the given period on from the next IMM date after the
* trade-date. The accrual start date will be the previous IMM date (before the trade date).
* <b>Note</b> it payment interval is changed from the default of 3M, this will produce a
* (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenor the tenor (length) of the CDS
* @param makeEffBusDay is the accrual start day business-day adjusted.
* @return a CDS analytic description
*/
public CdsAnalytic makeImmCds(LocalDate tradeDate, Period tenor, boolean makeEffBusDay) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notNull(tenor, "tenor");
LocalDate effectiveDate =
makeEffBusDay
? _businessdayAdjustmentConvention.adjust(
ImmDateLogic.getPrevIMMDate(tradeDate), _calendar)
: ImmDateLogic.getPrevIMMDate(tradeDate);
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(tradeDate);
LocalDate maturity = nextIMM.plus(tenor);
return makeCds(tradeDate, effectiveDate, maturity);
}
/**
* Make a set of standard CDS represented as a MultiCdsAnalytic instance. The maturities of the
* CDS are measured from the next IMM date (after the trade date), and the tenors are the given
* matIndices multiplied by the coupon interval (3 months).
*
* @param tradeDate the trade date
* @param accStartDate the accrual start date
* @param matIndices the CDS tenors are these multiplied by the coupon interval (3 months)
* @return a set of CDS represented as a MultiCdsAnalytic
*/
public MultiCdsAnalytic makeMultiImmCds(
LocalDate tradeDate, LocalDate accStartDate, int[] matIndices) {
if (!_couponInterval.equals(DEFAULT_COUPON_INT)) {
throw new IllegalArgumentException(
"coupon interval must be 3M for this method. However it is set to "
+ _couponInterval.toString());
}
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notEmpty(matIndices, "matIndicies");
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(tradeDate);
LocalDate stepinDate = tradeDate.plusDays(_stepIn);
LocalDate valueDate = addWorkDays(tradeDate, _cashSettle, _calendar);
return new MultiCdsAnalytic(
tradeDate,
stepinDate,
valueDate,
accStartDate,
nextIMM,
matIndices,
_payAccOnDefault,
_couponIntervalTenor,
_stubType,
_protectStart,
_recoveryRate,
_businessdayAdjustmentConvention,
DEFAULT_CALENDAR,
_accrualDayCount,
_curveDayCount);
}
/**
* Make a CDS represented as a MultiCdsAnalytic instance. Note, this is mainly for testing, since
* if you want only a single CDS should use a method that returns a {@link CdsAnalytic}.
*
* @param tradeDate the trade date
* @param maturityReferanceDate a reference date that maturities are measured from. For standard
* CDSSs, this is the next IMM date after the trade date, so the actually maturities will be
* some fixed periods after this.
* @param termMatIndex the maturities are fixed integer multiples of the payment interval, so 2Y
* tenor with a 3M payment interval, this would be 8
* @return a a CDS represented as a MultiCdsAnalytic
*/
public MultiCdsAnalytic makeMultiCds(
LocalDate tradeDate, LocalDate maturityReferanceDate, int termMatIndex) {
int[] maturityIndexes = new int[termMatIndex + 1];
for (int i = 0; i <= termMatIndex; i++) {
maturityIndexes[i] = i;
}
LocalDate accStartDate =
_businessdayAdjustmentConvention.adjust(ImmDateLogic.getPrevIMMDate(tradeDate), _calendar);
return makeMultiCds(tradeDate, accStartDate, maturityReferanceDate, maturityIndexes);
}
/**
* A forward starting CDS starts on some date after today (the trade date). The stepin date and
* cash settlement date are taken from the forward start date (1 day and 3 working days by
* default).
*
* @param tradeDate the trade date (i.e. today)
* @param forwardStartDate the forward start date
* @param maturity the maturity of the CDS
* @return a CDS analytic description for a forward starting CDS
*/
public CdsAnalytic makeForwardStartingCds(
LocalDate tradeDate, LocalDate forwardStartDate, LocalDate maturity) {
ArgChecker.isFalse(
forwardStartDate.isBefore(tradeDate),
"forwardStartDate of {} is before trade date of {}",
forwardStartDate,
tradeDate);
LocalDate stepinDate = forwardStartDate.plusDays(_stepIn);
LocalDate valueDate = addWorkDays(forwardStartDate, _cashSettle, _calendar);
LocalDate accStartDate =
_businessdayAdjustmentConvention.adjust(
ImmDateLogic.getPrevIMMDate(forwardStartDate), _calendar);
return makeCds(tradeDate, stepinDate, valueDate, accStartDate, maturity);
}
/**
* Make a set of standard CDS represented as a MultiCdsAnalytic instance.
*
* @param tradeDate the trade date
* @param tenors the tenors (length) of the CDS
* @return a set of CDS represented as a MultiCdsAnalytic
*/
public MultiCdsAnalytic makeMultiImmCds(LocalDate tradeDate, Period[] tenors) {
LocalDate accStartDate =
_businessdayAdjustmentConvention.adjust(ImmDateLogic.getPrevIMMDate(tradeDate), _calendar);
return makeMultiImmCds(tradeDate, accStartDate, tenors);
}
/**
* /** A forward starting index starts on some date after today (the trade date). The stepin date
* and cash settlement date are taken from the forward start date (1 day and 3 working days by
* default). The maturity (of the index) is taken from the forward-start-date. The index roll
* dates (when new indices are issued) are 20 Mar & Sep, and the index is defined to have a
* maturity that is its nominal tenor plus 3M on issuance, so a 5Y index on the 6-Feb-2014 will
* have a maturity of 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013). However for a
* trade-date of 6-Feb-2014, a forward-start-date of 25-Mar-2014 and a tenor of 5Y, the maturity
* will be 20-Jun-2019.
*
* @param tradeDate the trade date (i.e. today)
* @param forwardStartDate the forward start date
* @param tenor the tenor (nominal length) of the index at the forwardStartDate
* @return a CDS analytic description for a forward starting index
*/
public CdsAnalytic makeForwardStartingCdx(
LocalDate tradeDate, LocalDate forwardStartDate, Period tenor) {
LocalDate roll = ImmDateLogic.getNextIndexRollDate(forwardStartDate);
LocalDate maturity = roll.plus(tenor).minusMonths(3);
return makeForwardStartingCds(tradeDate, forwardStartDate, maturity);
}
/**
* A forward starting CDS starts on some date after today (the trade date). The stepin date and
* cash settlement date are taken from the forward start date (1 day and 3 working days by
* default). The period is from the next IMM date after the forward-start-date, so for a
* trade-date of 13-Feb-2014, a forward-start-date of 25-Mar-2014 and a tenor of 1Y, the maturity
* will be 20-Jun-2015.
*
* @param tradeDate the trade date (i.e. today)
* @param forwardStartDate the forward start date
* @param tenor the tenor (length) of the CDS at the forwardStartDate
* @return a CDS analytic description for a forward starting CDS
*/
public CdsAnalytic makeForwardStartingImmCds(
LocalDate tradeDate, LocalDate forwardStartDate, Period tenor) {
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(forwardStartDate);
LocalDate maturity = nextIMM.plus(tenor);
return makeForwardStartingCds(tradeDate, forwardStartDate, maturity);
}
