/**
* 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 java.util.Arrays;
import java.util.BitSet;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.pricer.impl.credit.isda.IsdaCompliantCreditCurve;
/**
*
*/
public class IntrinsicIndexDataBundle {
private static final double TOL = 1e-12;
private final int _indexSize;
private final int _nDefaults;
private final double _indexFactor;
private final double[] _weights;
private final double[] _lgd;
private final IsdaCompliantCreditCurve[] _creditCurves;
private final BitSet _defaulted;
public IntrinsicIndexDataBundle(IsdaCompliantCreditCurve[] creditCurves, double[] recoveryRates) {
ArgChecker.noNulls(creditCurves, "creditCurves");
ArgChecker.notEmpty(recoveryRates, "recoveryRates");
_indexSize = creditCurves.length;
ArgChecker.isTrue(
_indexSize == recoveryRates.length,
"Length of recoveryRates ({}) does not match index size ({})", recoveryRates.length, _indexSize);
_nDefaults = 0;
_lgd = new double[_indexSize];
for (int i = 0; i < _indexSize; i++) {
double lgd = 1 - recoveryRates[i];
if (lgd < 0.0 || lgd > 1.0) {
throw new IllegalArgumentException(
"recovery rate must be between 0 and 1.Value of " + recoveryRates[i] + " given at index " + i);
}
_lgd[i] = lgd;
}
_weights = new double[_indexSize];
Arrays.fill(_weights, 1.0 / _indexSize);
_creditCurves = creditCurves;
_defaulted = new BitSet(_indexSize);
_indexFactor = 1.0;
}
public IntrinsicIndexDataBundle(IsdaCompliantCreditCurve[] creditCurves, double[] recoveryRates, double[] weights) {
ArgChecker.noNulls(creditCurves, "creditCurves");
ArgChecker.notEmpty(recoveryRates, "recoveryRates");
ArgChecker.notEmpty(weights, "weights");
_indexSize = creditCurves.length;
ArgChecker.isTrue(
_indexSize == recoveryRates.length,
"Length of recoveryRates ({}) does not match index size ({})", recoveryRates.length, _indexSize);
ArgChecker.isTrue(_indexSize == weights.length,
"Length of weights ({}) does not match index size ({})", weights.length, _indexSize);
_nDefaults = 0;
_lgd = new double[_indexSize];
double sum = 0.0;
for (int i = 0; i < _indexSize; i++) {
if (weights[i] <= 0.0) {
throw new IllegalArgumentException("weights must be positive. Value of " + weights[i] + " given at index " + i);
}
sum += weights[i];
double lgd = 1 - recoveryRates[i];
if (lgd < 0.0 || lgd > 1.0) {
throw new IllegalArgumentException(
"recovery rate must be between 0 and 1.Value of " + recoveryRates[i] + " given at index " + i);
}
_lgd[i] = lgd;
}
if (Math.abs(sum - 1.0) > TOL) {
throw new IllegalArgumentException("weights do not sum to 1.0, but " + sum);
}
_weights = new double[_indexSize];
System.arraycopy(weights, 0, _weights, 0, _indexSize);
_creditCurves = creditCurves;
_defaulted = new BitSet(_indexSize);
_indexFactor = 1.0;
}
public IntrinsicIndexDataBundle(IsdaCompliantCreditCurve[] creditCurves, double[] recoveryRates, BitSet defaulted) {
ArgChecker.notNull(creditCurves, "creditCurves"); //we do allow null entries if listed as defaulted
ArgChecker.notEmpty(recoveryRates, "recoveryRates");
ArgChecker.notNull(defaulted, "defaulted");
_indexSize = creditCurves.length;
ArgChecker.isTrue(_indexSize == recoveryRates.length,
"Length of recoveryRates ({}) does not match index size ({})", recoveryRates.length, _indexSize);
// Correction made PLAT-6323
ArgChecker.isTrue(_indexSize >= defaulted.length(),
"Length of defaulted ({}) is greater than index size ({})", defaulted.length(), _indexSize);
_nDefaults = defaulted.cardinality();
_lgd = new double[_indexSize];
for (int i = 0; i < _indexSize; i++) {
if (creditCurves[i] == null && !defaulted.get(i)) {
throw new IllegalArgumentException("Null credit curve, but not set as defaulted in alive list. Index is " + i);
}
double lgd = 1 - recoveryRates[i];
if (lgd < 0.0 || lgd > 1.0) {
throw new IllegalArgumentException(
"recovery rate must be between 0 and 1.Value of " + recoveryRates[i] + " given at index " + i);
}
_lgd[i] = lgd;
}
_weights = new double[_indexSize];
Arrays.fill(_weights, 1.0 / _indexSize);
_creditCurves = creditCurves;
_defaulted = defaulted;
// Correction made PLAT-6328
_indexFactor = (((double) _indexSize) - _nDefaults) * _weights[0];
}
public IntrinsicIndexDataBundle(
IsdaCompliantCreditCurve[] creditCurves,
double[] recoveryRates,
double[] weights,
BitSet defaulted) {
ArgChecker.notNull(creditCurves, "creditCurves"); //we do allow null entries if listed as defaulted
ArgChecker.notEmpty(recoveryRates, "recoveryRates");
ArgChecker.notEmpty(weights, "weights");
ArgChecker.notNull(defaulted, "defaulted");
_indexSize = creditCurves.length;
ArgChecker.isTrue(_indexSize == recoveryRates.length,
"Length of recoveryRates ({}) does not match index size ({})", recoveryRates.length, _indexSize);
ArgChecker.isTrue(_indexSize == weights.length,
"Length of weights ({}) does not match index size ({})", weights.length, _indexSize);
// Correction made PLAT-6323
ArgChecker.isTrue(_indexSize >= defaulted.length(),
"Length of defaulted ({}) is greater than index size ({})", defaulted.length(), _indexSize);
_nDefaults = defaulted.cardinality();
_lgd = new double[_indexSize];
double sum = 0.0;
for (int i = 0; i < _indexSize; i++) {
if (creditCurves[i] == null && !defaulted.get(i)) {
throw new IllegalArgumentException("Null credit curve, but not set as defaulted in alive list. Index is " + i);
}
if (weights[i] <= 0.0) {
throw new IllegalArgumentException("weights must be positive. Value of " + weights[i] + " given at index " + i);
}
sum += weights[i];
double lgd = 1 - recoveryRates[i];
if (lgd < 0.0 || lgd > 1.0) {
throw new IllegalArgumentException(
"recovery rate must be between 0 and 1.Value of " + recoveryRates[i] + " given at index " + i);
}
_lgd[i] = lgd;
}
double f = 1.0;
if (_nDefaults > 0) {
for (int i = defaulted.nextSetBit(0); i >= 0; i = defaulted.nextSetBit(i + 1)) {
f -= weights[i];
}
}
_indexFactor = f;
if (Math.abs(sum - 1.0) > TOL) {
throw new IllegalArgumentException("weights do not sum to 1.0, but " + sum);
}
_weights = new double[_indexSize];
System.arraycopy(weights, 0, _weights, 0, _indexSize);
_creditCurves = creditCurves;
_defaulted = defaulted;
}
private IntrinsicIndexDataBundle(
int indexSize, int nDefaults,
double indexFactor,
double[] weights,
double[] lgd,
IsdaCompliantCreditCurve[] creditCurves,
BitSet defaulted) {
_indexSize = indexSize;
_nDefaults = nDefaults;
_indexFactor = indexFactor;
_weights = weights;
_lgd = lgd;
_creditCurves = creditCurves;
_defaulted = defaulted;
}
/**
* Gets the (initial) index size
* @return the index size
*/
public int getIndexSize() {
return _indexSize;
}
/**
* Gets the number of defaults the index has suffered
* @return the number of defaults
*/
public int getNumOfDefaults() {
return _nDefaults;
}
/**
* Gets the weight of a particular name in the index.
* @param index The index of the constituent name
* @return The weight
*/
public double getWeight(int index) {
return _weights[index];
}
/**
* Gets the Loss-Given-Default (LGD) for a particular name,
* @param index The index of the constituent name
* @return The LGD
*/
public double getLGD(int index) {
return _lgd[index];
}
/**
* Gets the credit curve for a particular name,
* * @param index The index of the constituent name
* @return a credit curve
*/
public IsdaCompliantCreditCurve getCreditCurve(int index) {
return _creditCurves[index];
}
public IsdaCompliantCreditCurve[] getCreditCurves() {
return _creditCurves;
}
/**
* Get whether a particular name has defaulted
* @param index The index of the constituent name
* @return true if the name has defaulted
*/
public boolean isDefaulted(int index) {
return _defaulted.get(index);
}
/**
* Get the index factor
* @return the index factor
*/
public double getIndexFactor() {
return _indexFactor;
}
/**
* Replace the credit curves with a new set
* @param curves Credit curves. Must be the same length as the index size, and only null for defaulted names
* @return new IntrinsicIndexDataBundle with given curves
*/
public IntrinsicIndexDataBundle withCreditCurves(IsdaCompliantCreditCurve[] curves) {
ArgChecker.notNull(curves, "curves");
// caught by notNull above
int n = curves.length;
ArgChecker.isTrue(n == _indexSize, "wrong number of curves. Require {}, but {} given", _indexSize, n);
for (int i = 0; i < n; i++) {
if (curves[i] == null && !_defaulted.get(i)) {
throw new IllegalArgumentException("null curve at index " + i + ", but this is not listed as defaulted");
}
}
return new IntrinsicIndexDataBundle(_indexSize, _nDefaults, _indexFactor, _weights, _lgd, curves, _defaulted);
}
/**
* Produce a new data bundle with the name at the given index marked as defaulted.
* The number of defaults {@link #getNumOfDefaults} is incremented and the index factor
* {@link #getIndexFactor} adjusted down - everything else remained unchanged.
*
* @param index The index of the name to set as defaulted.
* If this name is already marked as defaulted, an exception is thrown
* @return new data bundle with the name at the given index marked as defaulted
*/
public IntrinsicIndexDataBundle withDefault(int index) {
ArgChecker.isTrue(index < _indexSize, "index ({}) should be smaller than index size ({})", index, _indexSize);
if (_defaulted.get(index)) {
throw new IllegalArgumentException("Index " + index + " is already defaulted");
}
BitSet defaulted = (BitSet) _defaulted.clone();
defaulted.set(index);
return new IntrinsicIndexDataBundle(
_indexSize, _nDefaults + 1, _indexFactor - _weights[index], _weights, _lgd, _creditCurves, defaulted);
}
/**
* Produce a new data bundle with the names at the given indices marked as defaulted.
* The number of defaults {@link #getNumOfDefaults} is incremented and the index factor
*{@link #getIndexFactor} adjusted down - everything else remained unchanged.
*
* @param index The indices of the names to set as defaulted. If any name is already marked
* as defaulted (or the list contains duplicates), an exception is thrown
* @return new data bundle with the names at the given indices marked as defaulted
*/
public IntrinsicIndexDataBundle withDefault(int... index) {
ArgChecker.notEmpty(index, "index");
BitSet defaulted = (BitSet) _defaulted.clone();
int n = index.length;
double sum = 0.0;
for (int i = 0; i < n; i++) {
int jj = index[i];
ArgChecker.isTrue(jj < _indexSize, "index ({}) should be smaller than index size ({})", jj, _indexSize);
if (defaulted.get(jj)) {
throw new IllegalArgumentException("Index " + jj + " is already defaulted");
}
defaulted.set(jj);
sum += _weights[jj];
}
return new IntrinsicIndexDataBundle(
_indexSize, _nDefaults + n, _indexFactor - sum, _weights, _lgd, _creditCurves, defaulted);
}
}