/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.impl.credit.isda.e2e;
import static com.opengamma.strata.pricer.impl.credit.isda.YieldCurveProvider.ISDA_USD_20140213;
import java.time.LocalDate;
import java.time.Period;
import com.opengamma.strata.pricer.impl.credit.isda.CdsAnalytic;
import com.opengamma.strata.pricer.impl.credit.isda.CdsAnalyticFactory;
import com.opengamma.strata.pricer.impl.credit.isda.CreditCurveCalibrator;
import com.opengamma.strata.pricer.impl.credit.isda.IsdaCompliantCreditCurve;
import com.opengamma.strata.pricer.impl.credit.isda.IsdaCompliantYieldCurve;
/**
*
*/
public class CdsIndexProvider {
// this code has been moved from src/main/java to src/test/java
public static final Period[] INDEX_TENORS = new Period[] {Period.ofYears(3), Period.ofYears(5), Period.ofYears(7), Period.ofYears(10) };
public static final Period[] CDS_TENORS = new Period[] {Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(3), Period.ofYears(4), Period.ofYears(5), Period.ofYears(7),
Period.ofYears(10) };
//CDS.NA.HY.21
public final static double CDX_NA_HY_21_RECOVERY_RATE = 0.3;
public final static double CDX_NA_HY_21_COUPON = 0.05;
//Market data on 13-Feb-2014
public final static double[] CDX_NA_HY_20140213_PRICES = new double[] {1.0756, 1.0762, 1.0571, 1.0652 };
public final static double[] CDX_NA_HY_20140213_RECOVERY_RATES = new double[] {0.4, 0.4942, 0.4, 0.3929, 0.4922, 0.3976, 0.395, 0.4, 0.3525, 0.37, 0.3929, 0.4, 0.3283, 0.1521, 0.179, 0.4268, 0.4,
0.425, 0.4, 0.3513, 0.4, 0.4, 0.3625, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.3973, 0.3, 0.4, 0.314, 0.4, 0.4004, 0.4, 0.4, 0.4, 0.4, 0.3983, 0.2075, 0.2, 0.3733, 0.3944, 0.3983, 0.4, 0.4, 0.4, 0.3929,
0.3975, 0.4055, 0.2971, 0.4464, 0.2483, 0.3725, 0.426, 0.374, 0.4, 0.3983, 0.3271, 0.38, 0.4, 0.4, 0.4, 0.4, 0.33, 0.4, 0.4, 0.4, 0.3336, 0.3843, 0.3881, 0.2767, 0.4, 0.2157, 0.4, 0.4, 0.4,
0.5162, 0.4, 0.4054, 0.3857, 0.5063, 0.4, 0.3857, 0.4, 0.3586, 0.3257, 0.399, 0.06, 0.4, 0.2717, 0.3964, 0.4, 0.4, 0.3914, 0.4 };
public final static double[][] CDX_NA_HY_20140213_PAR_SPREADS = new double[][] { {0.0019, 0.0028, 0.0054, 0.0089, 0.0138, 0.0187, 0.0238, 0.0262 },
{0.0038, 0.0051, 0.0094, 0.0141, 0.0185, 0.0226, 0.027, 0.0287 }, {0.0089, 0.0147, 0.0354, 0.0514, 0.0586, 0.065, 0.0692, 0.0709 },
{0.0038, 0.0062, 0.0108, 0.0187, 0.027, 0.0344, 0.0421, 0.0449 }, {0.0041, 0.0058, 0.0083, 0.0103, 0.0124, 0.0149, 0.0186, 0.0211 },
{0.0075, 0.009, 0.0205, 0.0307, 0.0403, 0.049, 0.0569, 0.0587 }, {0.0039, 0.0056, 0.0096, 0.0172, 0.0266, 0.0345, 0.0419, 0.0438 },
{0.0021, 0.0025, 0.0048, 0.0081, 0.012, 0.0163, 0.0228, 0.0245 }, {0.0024, 0.0032, 0.0062, 0.0114, 0.0174, 0.0235, 0.031, 0.0331 },
{0.0028, 0.0038, 0.0077, 0.0135, 0.0214, 0.0287, 0.0387, 0.041 }, {0.0011, 0.0014, 0.0027, 0.0046, 0.0079, 0.0108, 0.0163, 0.0184 },
{0.0029, 0.004, 0.0081, 0.0158, 0.0234, 0.0319, 0.0382, 0.0412 }, {0.0029, 0.0037, 0.0118, 0.0241, 0.0386, 0.0497, 0.0588, 0.061 },
{0.0453, 0.0506, 0.065, 0.0789, 0.0898, 0.0979, 0.1069, 0.1023 }, {0.1687, 0.1836, 0.2099, 0.227, 0.2349, 0.2445, 0.2397, 0.2314 }, {0.0036, 0.006, 0.009, 0.012, 0.0153, 0.0194, 0.0245, 0.026 },
{0.0029, 0.0043, 0.0083, 0.0152, 0.0228, 0.0264, 0.0315, 0.0335 }, {0.004, 0.0065, 0.0096, 0.0127, 0.0149, 0.017, 0.0202, 0.0226 },
{0.0027, 0.0036, 0.0069, 0.0113, 0.0171, 0.0229, 0.0305, 0.0328 }, {0.0027, 0.0046, 0.0097, 0.0152, 0.023, 0.0301, 0.039, 0.0412 },
{0.0017, 0.0025, 0.0064, 0.0128, 0.0209, 0.0279, 0.0318, 0.0334 }, {0.0034, 0.0044, 0.0086, 0.0146, 0.0216, 0.0291, 0.0365, 0.0383 },
{0.0018, 0.0022, 0.004, 0.0068, 0.0106, 0.0147, 0.0193, 0.021 }, {0.0033, 0.0046, 0.0099, 0.0187, 0.0275, 0.0358, 0.0457, 0.0505 },
{0.0016, 0.0022, 0.0044, 0.0073, 0.0113, 0.0153, 0.0215, 0.0241 }, {0.002, 0.0039, 0.0072, 0.0107, 0.0154, 0.0202, 0.028, 0.0306 },
{Double.NaN, 0.0021, 0.006, 0.0121, 0.0183, 0.0232, 0.03, 0.0319 }, {0.0029, 0.0039, 0.0084, 0.0142, 0.0213, 0.029, 0.0369, 0.0395 },
{0.0019, 0.0024, 0.0057, 0.0115, 0.0185, 0.0264, 0.0371, 0.0394 }, {0.0024, 0.0032, 0.0068, 0.0112, 0.0172, 0.0233, 0.0301, 0.0319 },
{0.0046, 0.0069, 0.0166, 0.0277, 0.0391, 0.0495, 0.0576, 0.06 }, {0.0032, 0.0042, 0.0084, 0.0149, 0.0226, 0.0309, 0.0407, 0.0429 },
{0.0025, 0.0034, 0.0071, 0.0146, 0.0226, 0.0297, 0.0365, 0.0382 }, {0.0094, 0.0127, 0.029, 0.0423, 0.0525, 0.0614, 0.0654, 0.0668 },
{0.0018, 0.0024, 0.0048, 0.0079, 0.0122, 0.0177, 0.025, 0.0272 }, {0.002, 0.0031, 0.0059, 0.0107, 0.0175, 0.0233, 0.0335, 0.0364 },
{0.0026, 0.0037, 0.0067, 0.0101, 0.0142, 0.0191, 0.0265, 0.0282 }, {0.0005, 0.0007, 0.0011, 0.0018, 0.0027, 0.0037, 0.0059, 0.0073 },
{0.0007, 0.0015, 0.0033, 0.0059, 0.009, 0.0135, 0.0198, 0.0223 }, {0.0008, 0.0011, 0.003, 0.0052, 0.0076, 0.0106, 0.0151, 0.0171 },
{0.0047, 0.0071, 0.0164, 0.0232, 0.0327, 0.0411, 0.051, 0.0534 }, {0.0049, 0.0078, 0.0111, 0.0162, 0.0234, 0.0294, 0.0358, 0.0361 },
{0.1594, 0.1763, 0.1821, 0.1765, 0.1674, 0.1633, 0.1579, 0.1519 }, {0.004, 0.0052, 0.01, 0.0186, 0.0295, 0.0382, 0.0466, 0.0486 },
{0.0028, 0.0043, 0.0095, 0.0155, 0.0227, 0.0294, 0.0386, 0.0402 }, {0.0015, 0.0019, 0.0048, 0.008, 0.0118, 0.0164, 0.0215, 0.0234 },
{0.002, 0.003, 0.0061, 0.0095, 0.014, 0.0187, 0.0241, 0.0263 }, {0.0026, 0.0034, 0.0069, 0.0105, 0.0155, 0.0201, 0.0286, 0.0294 },
{0.0019, 0.0029, 0.006, 0.0101, 0.0159, 0.0219, 0.0293, 0.0319 }, {0.0018, 0.0024, 0.0054, 0.0098, 0.015, 0.0213, 0.0266, 0.0289 },
{0.0012, 0.0015, 0.004, 0.007, 0.0104, 0.0142, 0.0211, 0.0229 }, {0.0028, 0.0034, 0.0068, 0.0119, 0.0185, 0.0251, 0.0338, 0.0364 },
{0.0553, 0.065, 0.0727, 0.0769, 0.0811, 0.0842, 0.0858, 0.0858 }, {0.0043, 0.0067, 0.0171, 0.0292, 0.042, 0.052, 0.0599, 0.0619 },
{0.0028, 0.0037, 0.0078, 0.0135, 0.0217, 0.0288, 0.039, 0.0414 }, {0.0044, 0.006, 0.0112, 0.0167, 0.0223, 0.0278, 0.0349, 0.0376 },
{0.0022, 0.0031, 0.0068, 0.0131, 0.0192, 0.0253, 0.0354, 0.0375 }, {0.0013, 0.0018, 0.0044, 0.0083, 0.0124, 0.0168, 0.0241, 0.0257 },
{0.0009, 0.0016, 0.003, 0.0054, 0.0086, 0.0125, 0.0162, 0.0174 }, {0.0091, 0.0131, 0.0322, 0.0507, 0.0632, 0.0727, 0.0785, 0.0787 },
{0.001, 0.0017, 0.0031, 0.0059, 0.009, 0.0127, 0.0179, 0.0203 }, {0.0011, 0.0017, 0.0033, 0.0068, 0.0106, 0.0147, 0.021, 0.0234 },
{0.0013, 0.0017, 0.0041, 0.0071, 0.0113, 0.0154, 0.0224, 0.0243 }, {0.001, 0.0014, 0.0035, 0.0058, 0.009, 0.0123, 0.0163, 0.0192 },
{0.0025, 0.0034, 0.0098, 0.0184, 0.0263, 0.0336, 0.0413, 0.0428 }, {0.0036, 0.0058, 0.0118, 0.0183, 0.0241, 0.0297, 0.0345, 0.0372 },
{0.0018, 0.0022, 0.0046, 0.0079, 0.012, 0.0162, 0.0233, 0.0248 }, {0.0041, 0.0052, 0.0086, 0.016, 0.023, 0.0304, 0.0346, 0.036 },
{0.0016, 0.0023, 0.0039, 0.0071, 0.0117, 0.0168, 0.0213, 0.0211 }, {0.0023, 0.0033, 0.0075, 0.0131, 0.0201, 0.0265, 0.0336, 0.0356 },
{0.0014, 0.0022, 0.0044, 0.0075, 0.0119, 0.0164, 0.024, 0.0257 }, {0.0051, 0.007, 0.0124, 0.0181, 0.0236, 0.0293, 0.0362, 0.0386 },
{0.1214, 0.1466, 0.1708, 0.1862, 0.1825, 0.1808, 0.1724, 0.1645 }, {0.0024, 0.0031, 0.0061, 0.0106, 0.0162, 0.0211, 0.0284, 0.0299 },
{0.0028, 0.0036, 0.0069, 0.0118, 0.0187, 0.0249, 0.032, 0.0348 }, {0.0016, 0.0021, 0.0041, 0.0062, 0.009, 0.0132, 0.0203, 0.0232 },
{0.0012, 0.0015, 0.0037, 0.0072, 0.0107, 0.0147, 0.0214, 0.0233 }, {0.002, 0.0034, 0.0068, 0.0118, 0.018, 0.0241, 0.0315, 0.0335 },
{0.0041, 0.0051, 0.0098, 0.0156, 0.0215, 0.0279, 0.036, 0.0395 }, {0.0029, 0.004, 0.0084, 0.0145, 0.0213, 0.0281, 0.0345, 0.0371 },
{0.0846, 0.0986, 0.1181, 0.1229, 0.1239, 0.1262, 0.1257, 0.1221 }, {0.0026, 0.0035, 0.0068, 0.0112, 0.0164, 0.0217, 0.0318, 0.0333 },
{0.0051, 0.0073, 0.0124, 0.0192, 0.0248, 0.0304, 0.0358, 0.0378 }, {0.0046, 0.0059, 0.0109, 0.0164, 0.0235, 0.0297, 0.0384, 0.0418 },
{0.0053, 0.0068, 0.0138, 0.0236, 0.0335, 0.0427, 0.0507, 0.053 }, {0.0029, 0.0044, 0.0085, 0.0145, 0.0211, 0.0291, 0.0363, 0.0386 },
{0.0661, 0.0946, 0.1263, 0.1364, 0.1385, 0.1409, 0.1389, 0.1352 }, {0.0026, 0.0038, 0.0083, 0.014, 0.02, 0.0258, 0.0339, 0.0367 },
{0.0028, 0.0036, 0.0069, 0.0118, 0.0174, 0.0236, 0.0287, 0.0303 }, {4.7657, 4.3612, 3.8436, 3.5247, 3.3097, 3.1568, 2.9315, 2.711 },
{0.0014, 0.0022, 0.0041, 0.006, 0.0093, 0.0119, 0.0154, 0.0167 }, {0.0031, 0.0042, 0.0078, 0.0122, 0.018, 0.025, 0.0296, 0.0316 },
{0.0016, 0.0028, 0.0059, 0.0095, 0.0145, 0.0197, 0.0271, 0.028 }, {0.0011, 0.0016, 0.003, 0.0059, 0.0094, 0.013, 0.0191, 0.0212 },
{0.0032, 0.0048, 0.0093, 0.0166, 0.0258, 0.034, 0.0415, 0.0434 }, {0.0032, 0.0047, 0.0099, 0.0205, 0.0315, 0.0414, 0.0501, 0.0529 },
{0.0023, 0.0033, 0.0083, 0.0152, 0.0238, 0.0309, 0.0368, 0.0384 } };
/**
* Build the intrinsic credit curves for CDX.NA.HY.21 on 13-Feb-2013
* @return the credit curves
*/
public static IsdaCompliantCreditCurve[] getCDX_NA_HY_20140213_CreditCurves() {
final LocalDate tradeDate = LocalDate.of(2014, 2, 13);
return buildCreditCurves(tradeDate, CDX_NA_HY_20140213_PAR_SPREADS, CDX_NA_HY_20140213_RECOVERY_RATES, CDS_TENORS, ISDA_USD_20140213);
}
public static IsdaCompliantCreditCurve[] buildCreditCurves(final LocalDate tradeDate, final double[][] parSpreads, final double[] recoveryRates, final Period[] tenors,
final IsdaCompliantYieldCurve yieldCurve) {
final CdsAnalyticFactory factory = new CdsAnalyticFactory(0.0);
final CdsAnalytic[] pillarCDS = factory.makeImmCds(tradeDate, tenors);
final int indexSize = parSpreads.length;
final IsdaCompliantCreditCurve[] creditCurves = new IsdaCompliantCreditCurve[indexSize];
//this section of code is hugely wasteful. If we do this for real (i.e. not just in a test), must improve
for (int i = 0; i < indexSize; i++) {
final double[] spreads = parSpreads[i];
final int nPillars = spreads.length;
final CdsAnalytic[] tempCDS = new CdsAnalytic[nPillars];
final double[] tempSpreads = new double[nPillars];
int count = 0;
for (int j = 0; j < nPillars; j++) {
if (!Double.isNaN(parSpreads[i][j])) {
tempCDS[count] = pillarCDS[j].withRecoveryRate(recoveryRates[i]);
tempSpreads[count] = spreads[j];
count++;
}
}
CdsAnalytic[] calCDS = null;
double[] calSpreads = null;
if (count == nPillars) {
calCDS = tempCDS;
calSpreads = tempSpreads;
} else {
calCDS = new CdsAnalytic[count];
calSpreads = new double[count];
System.arraycopy(tempCDS, 0, calCDS, 0, count);
System.arraycopy(tempSpreads, 0, calSpreads, 0, count);
}
final CreditCurveCalibrator calibrator = new CreditCurveCalibrator(calCDS, yieldCurve);
creditCurves[i] = calibrator.calibrate(calSpreads);
}
return creditCurves;
}
}