CdsPricingExample.java

/**
 * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.examples;

import java.time.LocalDate;
import java.util.List;

import com.google.common.collect.ImmutableList;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.calc.CalculationRules;
import com.opengamma.strata.calc.CalculationRunner;
import com.opengamma.strata.calc.Column;
import com.opengamma.strata.calc.Results;
import com.opengamma.strata.calc.runner.CalculationFunctions;
import com.opengamma.strata.data.MarketData;
import com.opengamma.strata.examples.marketdata.ExampleData;
import com.opengamma.strata.examples.marketdata.ExampleMarketData;
import com.opengamma.strata.examples.marketdata.ExampleMarketDataBuilder;
import com.opengamma.strata.examples.marketdata.credit.markit.MarkitRedCode;
import com.opengamma.strata.measure.Measures;
import com.opengamma.strata.measure.StandardComponents;
import com.opengamma.strata.measure.credit.CreditMeasures;
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.credit.IndexReferenceInformation;
import com.opengamma.strata.product.credit.RestructuringClause;
import com.opengamma.strata.product.credit.SeniorityLevel;
import com.opengamma.strata.product.credit.SingleNameReferenceInformation;
import com.opengamma.strata.product.credit.type.CdsConventions;
import com.opengamma.strata.report.ReportCalculationResults;
import com.opengamma.strata.report.trade.TradeReport;
import com.opengamma.strata.report.trade.TradeReportTemplate;

/**
 * Example to illustrate using the engine to price a credit default swap.
 * <p>
 * This makes use of the example engine and the example market data environment.
 */
public class CdsPricingExample {

  /**
   * Runs the example, pricing the instruments, producing the output as an ASCII table.
   * 
   * @param args  ignored
   */
  public static void main(String[] args) {
    // setup calculation runner component, which needs life-cycle management
    // a typical application might use dependency injection to obtain the instance
    try (CalculationRunner runner = CalculationRunner.ofMultiThreaded()) {
      calculate(runner);
    }
  }

  // obtains the data and calculates the grid of results
  private static void calculate(CalculationRunner runner) {
    // the trades that will have measures calculated
    List<Trade> trades = createCdsTrades();

    // the columns, specifying the measures to be calculated
    List<Column> columns = ImmutableList.of(
        Column.of(Measures.PRESENT_VALUE),
        Column.of(Measures.PAR_RATE),
        Column.of(CreditMeasures.RECOVERY01),
        Column.of(CreditMeasures.JUMP_TO_DEFAULT),
        Column.of(CreditMeasures.IR01_PARALLEL_PAR),
        Column.of(CreditMeasures.IR01_PARALLEL_ZERO),
        Column.of(CreditMeasures.CS01_PARALLEL_PAR),
        Column.of(CreditMeasures.CS01_PARALLEL_HAZARD),
        Column.of(CreditMeasures.IR01_BUCKETED_PAR),
        Column.of(CreditMeasures.IR01_BUCKETED_ZERO),
        Column.of(CreditMeasures.CS01_BUCKETED_PAR),
        Column.of(CreditMeasures.CS01_BUCKETED_HAZARD));

    // use the built-in example market data
    LocalDate valuationDate = LocalDate.of(2014, 10, 16);
    ExampleMarketDataBuilder marketDataBuilder = ExampleMarketData.builder();
    MarketData marketData = marketDataBuilder.buildSnapshot(valuationDate);

    // the complete set of rules for calculating measures
    CalculationFunctions functions = StandardComponents.calculationFunctions();
    CalculationRules rules = CalculationRules.of(functions);

    // the reference data, such as holidays and securities
    ReferenceData refData = ReferenceData.standard();

    // calculate the results
    Results results = runner.calculate(rules, trades, columns, marketData, refData);

    // use the report runner to transform the engine results into a trade report
    ReportCalculationResults calculationResults =
        ReportCalculationResults.of(valuationDate, trades, columns, results, functions, refData);

    TradeReportTemplate reportTemplate = ExampleData.loadTradeReportTemplate("cds-report-template");
    TradeReport tradeReport = TradeReport.of(calculationResults, reportTemplate);
    tradeReport.writeAsciiTable(System.out);
  }

  //-----------------------------------------------------------------------  
  // create CDS trades
  private static List<Trade> createCdsTrades() {
    return ImmutableList.of(
        createCompany01Cds(),
        createCompany02Cds(),
        createIndex0001());
  }

  //-----------------------------------------------------------------------  
  // create a single name CDS with 100 bps coupon
  private static Trade createCompany01Cds() {
    return CdsConventions.USD_NORTH_AMERICAN
        .toTrade(
            LocalDate.of(2014, 9, 22),
            LocalDate.of(2019, 12, 20),
            BuySell.BUY,
            100_000_000d,
            0.0100,
            SingleNameReferenceInformation.of(
                MarkitRedCode.id("COMP01"),
                SeniorityLevel.SENIOR_UNSECURED_FOREIGN,
                Currency.USD,
                RestructuringClause.NO_RESTRUCTURING_2014),
            3_694_117.72d,
            LocalDate.of(2014, 10, 21));
  }

  // create a single name CDS with 500 bps coupon
  private static Trade createCompany02Cds() {
    return CdsConventions.USD_NORTH_AMERICAN
        .toTrade(
            LocalDate.of(2014, 9, 22),
            LocalDate.of(2019, 12, 20),
            BuySell.BUY,
            100_000_000d,
            0.0500,
            SingleNameReferenceInformation.of(
                MarkitRedCode.id("COMP02"),
                SeniorityLevel.SENIOR_UNSECURED_FOREIGN,
                Currency.USD,
                RestructuringClause.NO_RESTRUCTURING_2014),
            -1_370_582.00d,
            LocalDate.of(2014, 10, 21));
  }

  // create a index CDS on with 500 bps coupon
  private static Trade createIndex0001() {
    return CdsConventions.USD_NORTH_AMERICAN
        .toTrade(
            LocalDate.of(2014, 3, 20),
            LocalDate.of(2019, 6, 20),
            BuySell.BUY,
            100_000_000d,
            0.0500,
            IndexReferenceInformation.of(MarkitRedCode.id("INDEX0001"), 22, 4),
            2_000_000d,
            LocalDate.of(2014, 10, 21));
  }

}