/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.credit.isdastandardmodel;
import org.apache.log4j.Logger;
import org.threeten.bp.LocalDate;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;
import com.opengamma.util.ArgumentChecker;
/**
* Simple analytic representation of a fixed coupon bond that allows it to be prices consistently with a CDS (i.e. using the ISDA model)
*/
public class BondAnalytic {
private static final Logger LOG = Logger.getLogger(BondAnalytic.class);
private static final DayCount ACT_365 = DayCounts.ACT_365;
private final double[] _paymentTimes;
private final double[] _paymentAmounts;
private final int _nPayments;
private final double _recoveryRate;
private final double _accuredInterest;
/**
* Simple analytic representation of a fixed coupon bond that allows it to be priced consistently with a CDS (i.e. using the ISDA model)
* @param today today's date
* @param coupon The bond coupon (as a fraction). Can be zero.
* @param schedule The accrual start and end dates, and the payment dates
* @param recoveryRate The expected recovery rate for the bond (this should be the same as that use for the CDS)
* @param accrualDCC The day count used to calculate the length of an accrual period and thus the amount of the payments
*/
public BondAnalytic(final LocalDate today, final double coupon, final ISDAPremiumLegSchedule schedule, final double recoveryRate, final DayCount accrualDCC) {
this(today, coupon, schedule, recoveryRate, accrualDCC, ACT_365);
}
/**
* Simple analytic representation of a fixed coupon bond that allows it to be priced consistently with a CDS (i.e. using the ISDA model)
* @param today today's date
* @param coupon The bond coupon (as a fraction). Can be zero.
* @param schedule The accrual start and end dates, and the payment dates
* @param recoveryRate The expected recovery rate for the bond (this should be the same as that use for the CDS)
* @param accrualDCC The day count used to calculate the length of an accrual period and thus the amount of the payments
* @param curveDCC Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this)
*/
public BondAnalytic(final LocalDate today, final double coupon, final ISDAPremiumLegSchedule schedule, final double recoveryRate, final DayCount accrualDCC, final DayCount curveDCC) {
ArgumentChecker.notNull(today, "today");
ArgumentChecker.isTrue(coupon >= 0.0, "coupon is negative");
if (coupon > 1.0) {
LOG.warn("coupon should be given as fraction. Value of " + coupon + "seems high.");
}
ArgumentChecker.notNull(schedule, "schedule");
ArgumentChecker.isTrue(recoveryRate >= 0.0 && recoveryRate <= 1.0, "recovery rate must be in range 0 - 1. value gives: ", recoveryRate);
ArgumentChecker.notNull(accrualDCC, "accrualDCC");
ArgumentChecker.notNull(curveDCC, "curveDCC");
final ISDAPremiumLegSchedule tSch = schedule.truncateSchedule(today);
_nPayments = tSch.getNumPayments();
_paymentTimes = new double[_nPayments];
_paymentAmounts = new double[_nPayments];
for (int i = 0; i < _nPayments; i++) {
_paymentAmounts[i] = coupon * accrualDCC.getDayCountFraction(schedule.getAccStartDate(i), schedule.getAccEndDate(i));
_paymentTimes[i] = curveDCC.getDayCountFraction(today, schedule.getPaymentDate(i));
}
_paymentAmounts[_nPayments - 1] += 1.0;
_accuredInterest = coupon * accrualDCC.getDayCountFraction(schedule.getAccStartDate(0), today);
_recoveryRate = recoveryRate;
}
/**
* Simple analytic representation of a fixed coupon bond that allows it to be priced consistently with a CDS (i.e. using the ISDA model)
* @param paymentTimes The payment times. Year fraction between today and the payment dates. This should use the same year fraction as the ISDA curves (i.e. normally ACT/365F)
* @param paymentAmounts Actual payment amounts paid on the payment dates. The final value should include the return of par.
* @param recoveryRate The expected recovery rate for the bond (this should be the same as that use for the CDS)
* @param accuredInterest Amount of accrued interest on the bond today
*/
public BondAnalytic(final double[] paymentTimes, final double[] paymentAmounts, final double recoveryRate, final double accuredInterest) {
ArgumentChecker.notEmpty(paymentTimes, "paymentTimes");
ArgumentChecker.notNull(paymentAmounts, "paymentAmounts");
_nPayments = paymentTimes.length;
ArgumentChecker.isTrue(paymentAmounts.length == _nPayments, "number of payment times ({}) does not match number of payment amounts ({})", _nPayments, paymentAmounts.length);
ArgumentChecker.isTrue(recoveryRate >= 0.0 && recoveryRate <= 1.0, "recovery rate must be in range 0 - 1. value gives: ", recoveryRate);
ArgumentChecker.isTrue(accuredInterest >= 0.0, "accrued intrest must be give as positive");
ArgumentChecker.isTrue(paymentTimes[0] >= 0.0, "payments times must be positive. first value: ", paymentTimes[0]);
for (int i = 1; i < _nPayments; i++) {
ArgumentChecker.isTrue(paymentTimes[i] > paymentTimes[i - 1], "payment times must be assending");
}
_paymentTimes = paymentTimes.clone();
_paymentAmounts = paymentAmounts.clone();
_recoveryRate = recoveryRate;
_accuredInterest = accuredInterest;
}
/**
* Gets the accrued interest.
* @return the accuredInterest
*/
public double getAccruedInterest() {
return _accuredInterest;
}
/**
* Gets the payment time for the given index.
* @param index the index
* @return the paymentTime
*/
public double getPaymentTime(final int index) {
return _paymentTimes[index];
}
/**
* Gets the payment amount for the given index.
* @param index the index
* @return the paymentAmount
*/
public double getPaymentAmount(final int index) {
return _paymentAmounts[index];
}
/**
* Gets the number of payments
* @return the nPayments
*/
public int getnPayments() {
return _nPayments;
}
/**
* Gets the recovery rate.
* @return the recoveryRate
*/
public double getRecoveryRate() {
return _recoveryRate;
}
}