CDSBuilder.java

  1. package org.drip.product.creator;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * Copyright (C) 2011 Lakshmi Krishnamurthy
  18.  * 
  19.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  20.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  21.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  22.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  23.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  24.  *      and computational support.
  25.  *  
  26.  *      https://lakshmidrip.github.io/DROP/
  27.  *  
  28.  *  DROP is composed of three modules:
  29.  *  
  30.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  31.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  32.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  33.  * 
  34.  *  DROP Product Core implements libraries for the following:
  35.  *  - Fixed Income Analytics
  36.  *  - Loan Analytics
  37.  *  - Transaction Cost Analytics
  38.  * 
  39.  *  DROP Portfolio Core implements libraries for the following:
  40.  *  - Asset Allocation Analytics
  41.  *  - Asset Liability Management Analytics
  42.  *  - Capital Estimation Analytics
  43.  *  - Exposure Analytics
  44.  *  - Margin Analytics
  45.  *  - XVA Analytics
  46.  * 
  47.  *  DROP Computational Core implements libraries for the following:
  48.  *  - Algorithm Support
  49.  *  - Computation Support
  50.  *  - Function Analysis
  51.  *  - Model Validation
  52.  *  - Numerical Analysis
  53.  *  - Numerical Optimizer
  54.  *  - Spline Builder
  55.  *  - Statistical Learning
  56.  * 
  57.  *  Documentation for DROP is Spread Over:
  58.  * 
  59.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  60.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  61.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  62.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  63.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  64.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  65.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  66.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  67.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  68.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  69.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  70.  * 
  71.  *  Licensed under the Apache License, Version 2.0 (the "License");
  72.  *      you may not use this file except in compliance with the License.
  73.  *   
  74.  *  You may obtain a copy of the License at
  75.  *      http://www.apache.org/licenses/LICENSE-2.0
  76.  *  
  77.  *  Unless required by applicable law or agreed to in writing, software
  78.  *      distributed under the License is distributed on an "AS IS" BASIS,
  79.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  80.  *  
  81.  *  See the License for the specific language governing permissions and
  82.  *      limitations under the License.
  83.  */

  85. /**
  86.  * <i>CDSBuilder</i> contains the suite of helper functions for creating the CreditDefaultSwap product from
  87.  * the parameters/byte array streams. It also creates the standard EU, NA, ASIA contracts, CDS with
  88.  * amortization schedules, and custom CDS from product codes/tenors.
  89.  *
  90.  *  <br><br>
  91.  *  <ul>
  92.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  93.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
  94.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/README.md">Product Components/Baskets for Credit, FRA, FX, Govvie, Rates, and Option AssetClasses</a></li>
  95.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/product/creator/README.md">Streams and Products Construction Utilities</a></li>
  96.  *  </ul>
  97.  * <br><br>
  98.  * 
  99.  * @author Lakshmi Krishnamurthy
  100.  */

  102. public class CDSBuilder {

  104.     /**
  105.      * Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and
  106.      *  component credit valuation parameters.
  107.      * 
  108.      * @param dtEffective JulianDate effective
  109.      * @param dtMaturity JulianDate maturity
  110.      * @param dblCoupon Coupon
  111.      * @param strCurrency Currency
  112.      * @param cs Credit Setting Parameters
  113.      * @param strCalendar Optional Holiday Calendar for Accrual calculation
  114.      * @param bAdjustDates Roll using the FWD mode for the period end dates and the pay dates
  115.      * 
  116.      * @return CreditDefaultSwap product
  117.      */

  119.     public static final org.drip.product.definition.CreditDefaultSwap CreateCDS (
  120.         final org.drip.analytics.date.JulianDate dtEffective,
  121.         final org.drip.analytics.date.JulianDate dtMaturity,
  122.         final double dblCoupon,
  123.         final java.lang.String strCurrency,
  124.         final org.drip.product.params.CreditSetting cs,
  125.         final java.lang.String strCalendar,
  126.         final boolean bAdjustDates)
  127.     {
  128.         if (null == dtEffective || null == dtMaturity || null == strCurrency || strCurrency.isEmpty() || null
  129.             == cs || !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
  130.             return null;

  132.         try {
  133.             org.drip.analytics.daycount.DateAdjustParams dap = bAdjustDates ? new
  134.                 org.drip.analytics.daycount.DateAdjustParams 
  135.                     (org.drip.analytics.daycount.Convention.DATE_ROLL_FOLLOWING, 1, strCalendar) : null;

  137.             org.drip.product.definition.CreditDefaultSwap cds = new org.drip.product.credit.CDSComponent
  138.                 (dtEffective.julian(), dtMaturity.julian(), dblCoupon, 4, "Act/360", "Act/360", "", false,
  139.                     null, null, null, dap, dap, dap, dap, null, null, 1., strCurrency, cs, strCalendar);

  141.             cds.setPrimaryCode ("CDS." + dtMaturity.toString() + "." + cs.creditCurveName());

  143.             return cds;
  144.         } catch (java.lang.Exception e) {
  145.             e.printStackTrace();
  146.         }

  148.         return null;
  149.     }

  151.     /**
  152.      * Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and
  153.      *  credit curve.
  154.      * 
  155.      * @param dtEffective JulianDate effective
  156.      * @param dtMaturity JulianDate maturity
  157.      * @param dblCoupon Coupon
  158.      * @param strCurrency Currency
  159.      * @param dblRecovery Recovery Rate
  160.      * @param strCredit Credit curve name
  161.      * @param strCalendar Optional Holiday Calendar for Accrual calculation
  162.      * @param bAdjustDates Roll using the FWD mode for the period end dates and the pay dates
  163.      * 
  164.      * @return CreditDefaultSwap product
  165.      */

  167.     public static final org.drip.product.definition.CreditDefaultSwap CreateCDS (
  168.         final org.drip.analytics.date.JulianDate dtEffective,
  169.         final org.drip.analytics.date.JulianDate dtMaturity,
  170.         final double dblCoupon,
  171.         final java.lang.String strCurrency,
  172.         final double dblRecovery,
  173.         final java.lang.String strCredit,
  174.         final java.lang.String strCalendar,
  175.         final boolean bAdjustDates)
  176.     {
  177.         if (null == dtEffective || null == dtMaturity || null == strCurrency || strCurrency.isEmpty() || null
  178.             == strCredit || strCredit.isEmpty() || !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
  179.             return null;

  181.         org.drip.product.params.CreditSetting cs = new org.drip.product.params.CreditSetting (30,
  182.             dblRecovery, true, strCredit, true);

  184.         return cs.validate() ? CreateCDS (dtEffective, dtMaturity, dblCoupon, strCurrency, cs, strCalendar,
  185.             bAdjustDates) : null;
  186.     }

  188.     /**
  189.      * Create the credit default swap from the effective date, tenor, coupon, IR curve name, and component
  190.      *  credit valuation parameters.
  191.      * 
  192.      * @param dtEffective JulianDate effective
  193.      * @param strTenor String tenor
  194.      * @param dblCoupon Coupon
  195.      * @param strCurrency Currency
  196.      * @param cs Credit Setting Parameters
  197.      * @param strCalendar Optional Holiday Calendar for Accrual calculation
  198.      * 
  199.      * @return CreditDefaultSwap product
  200.      */

  202.     public static final org.drip.product.definition.CreditDefaultSwap CreateCDS (
  203.         final org.drip.analytics.date.JulianDate dtEffective,
  204.         final java.lang.String strTenor,
  205.         final double dblCoupon,
  206.         final java.lang.String strCurrency,
  207.         final org.drip.product.params.CreditSetting cs,
  208.         final java.lang.String strCalendar)
  209.     {
  210.         if (null == dtEffective || null == strTenor || strTenor.isEmpty() || null == strCurrency ||
  211.             strCurrency.isEmpty() || null == cs || !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
  212.             return null;

  214.         try {
  215.             org.drip.product.definition.CreditDefaultSwap cds = new org.drip.product.credit.CDSComponent
  216.                 (dtEffective.julian(), dtEffective.addTenor (strTenor).julian(), dblCoupon, 4, "30/360",
  217.                     "30/360", "", true, null, null, null, null, null, null, null, null, null, 100.,
  218.                         strCurrency, cs, strCalendar);

  220.             cds.setPrimaryCode ("CDS." + strTenor + "." + cs.creditCurveName());

  222.             return cds;
  223.         } catch (java.lang.Exception e) {
  224.             e.printStackTrace();
  225.         }

  227.         return null;
  228.     }

  230.     /**
  231.      * Create the credit default swap from the effective/maturity dates, coupon, IR curve name, and credit
  232.      *  curve.
  233.      * 
  234.      * @param dtEffective JulianDate effective
  235.      * @param strTenor String tenor
  236.      * @param dblCoupon Coupon
  237.      * @param strCurrency Currency
  238.      * @param strCredit Credit curve name
  239.      * @param strCalendar Optional Holiday Calendar for accrual calculation
  240.      * 
  241.      * @return CreditDefaultSwap product
  242.      */

  244.     public static final org.drip.product.definition.CreditDefaultSwap CreateCDS (
  245.         final org.drip.analytics.date.JulianDate dtEffective,
  246.         final java.lang.String strTenor,
  247.         final double dblCoupon,
  248.         final java.lang.String strCurrency,
  249.         final java.lang.String strCredit,
  250.         final java.lang.String strCalendar)
  251.     {
  252.         if (null == dtEffective || null == strTenor || strTenor.isEmpty() || null == strCurrency ||
  253.             strCurrency.isEmpty() || null == strCredit || strCredit.isEmpty() ||
  254.                 !org.drip.numerical.common.NumberUtil.IsValid (dblCoupon))
  255.             return null;

  257.         org.drip.product.params.CreditSetting cs = new org.drip.product.params.CreditSetting (30,
  258.             java.lang.Double.NaN, true, strCredit, true);

  260.         return cs.validate() ? CreateCDS (dtEffective, strTenor, dblCoupon, strCurrency, cs, strCalendar) :
  261.             null;
  262.     }

  264.     /**
  265.      * Create an SNAC style CDS contract with full first stub
  266.      * 
  267.      * @param dtEffective CDS Effective date
  268.      * @param strTenor CDS Tenor
  269.      * @param dblCoupon SNAC strike coupon
  270.      * @param strCurrency Currency
  271.      * @param strCredit Credit Curve name
  272.      * @param strCalendar Holiday Calendar
  273.      * 
  274.      * @return CDS instance object
  275.      */

  277.     public static final org.drip.product.definition.CreditDefaultSwap CreateSNAC (
  278.         final org.drip.analytics.date.JulianDate dtEffective,
  279.         final java.lang.String strTenor,
  280.         final double dblCoupon,
  281.         final java.lang.String strCurrency,
  282.         final java.lang.String strCredit,
  283.         final java.lang.String strCalendar)
  284.     {
  285.         if (null == dtEffective || null == strTenor || strTenor.isEmpty()) return null;

  287.         org.drip.analytics.date.JulianDate dtFirstCoupon = dtEffective.nextCreditIMM (3);

  289.         if (null == dtFirstCoupon) return null;

  291.         org.drip.product.definition.CreditDefaultSwap cds = CreateCDS (dtFirstCoupon.subtractTenor ("3M"),
  292.             dtFirstCoupon.addTenor (strTenor), dblCoupon, strCurrency, 0.40, strCredit, strCalendar, true);

  294.         if (null == cds) return null;

  296.         cds.setPrimaryCode ("CDS." + strTenor + "." + strCredit);

  298.         return cds;
  299.     }

  301.     /**
  302.      * Create an SNAC style CDS contract with full first stub
  303.      * 
  304.      * @param dtEffective CDS Effective date
  305.      * @param strTenor CDS Tenor
  306.      * @param dblCoupon SNAC strike coupon
  307.      * @param strCredit Credit Curve name
  308.      * 
  309.      * @return CDS instance object
  310.      */

  312.     public static final org.drip.product.definition.CreditDefaultSwap CreateSNAC (
  313.         final org.drip.analytics.date.JulianDate dtEffective,
  314.         final java.lang.String strTenor,
  315.         final double dblCoupon,
  316.         final java.lang.String strCredit)
  317.     {
  318.         return CreateSNAC (dtEffective, strTenor, dblCoupon, "USD", strCredit, "USD");
  319.     }

  321.     /**
  322.      * Create an Standard EU CDS contract with full first stub
  323.      * 
  324.      * @param dtEffective CDS Effective date
  325.      * @param strTenor CDS Tenor
  326.      * @param dblCoupon Strike coupon
  327.      * @param strCredit Credit Curve name
  328.      * 
  329.      * @return CDS instance object
  330.      */

  332.     public static final org.drip.product.definition.CreditDefaultSwap CreateSTEU (
  333.         final org.drip.analytics.date.JulianDate dtEffective,
  334.         final java.lang.String strTenor,
  335.         final double dblCoupon,
  336.         final java.lang.String strCredit)
  337.     {
  338.         if (null == dtEffective || null == strTenor || strTenor.isEmpty()) return null;

  340.         org.drip.analytics.date.JulianDate dtFirstCoupon = dtEffective.nextCreditIMM (3);

  342.         if (null == dtFirstCoupon) return null;

  344.         org.drip.product.definition.CreditDefaultSwap cds = CreateCDS (dtFirstCoupon.subtractTenor ("3M"),
  345.             dtFirstCoupon.addTenor (strTenor), dblCoupon, "EUR", 0.40, strCredit, "EUR", true);

  347.         cds.setPrimaryCode ("CDS." + strTenor + "." + strCredit);

  349.         return cds;
  350.     }

  352.     /**
  353.      * Create an Standard Asia Pacific CDS contract with full first stub
  354.      * 
  355.      * @param dtEffective CDS Effective date
  356.      * @param strTenor CDS Tenor
  357.      * @param dblCoupon Strike coupon
  358.      * @param strCredit Credit Curve name
  359.      * 
  360.      * @return CDS instance object
  361.      */

  363.     public static final org.drip.product.definition.CreditDefaultSwap CreateSAPC (
  364.         final org.drip.analytics.date.JulianDate dtEffective,
  365.         final java.lang.String strTenor,
  366.         final double dblCoupon,
  367.         final java.lang.String strCredit)
  368.     {
  369.         if (null == dtEffective || null == strTenor || strTenor.isEmpty()) return null;

  371.         org.drip.analytics.date.JulianDate dtFirstCoupon = dtEffective.nextCreditIMM (3);

  373.         if (null == dtFirstCoupon) return null;

  375.         org.drip.product.definition.CreditDefaultSwap cds = CreateCDS (dtFirstCoupon.subtractTenor ("3M"),
  376.             dtFirstCoupon.addTenor (strTenor), dblCoupon, "HKD", 0.40, strCredit, "HKD", true);

  378.         cds.setPrimaryCode ("CDS." + strTenor + "." + strCredit);

  380.         return cds;
  381.     }

  383.     /**
  384.      * Create an Standard Emerging Market CDS contract with full first stub
  385.      * 
  386.      * @param dtEffective CDS Effective date
  387.      * @param strTenor CDS Tenor
  388.      * @param dblCoupon Strike coupon
  389.      * @param strCredit Credit Curve name
  390.      * @param strLocation Location
  391.      * 
  392.      * @return CDS instance object
  393.      */

  395.     public static final org.drip.product.definition.CreditDefaultSwap CreateSTEM (
  396.         final org.drip.analytics.date.JulianDate dtEffective,
  397.         final java.lang.String strTenor,
  398.         final double dblCoupon,
  399.         final java.lang.String strCredit,
  400.         final java.lang.String strLocation)
  401.     {
  402.         if (null == dtEffective || null == strTenor || strTenor.isEmpty()) return null;

  404.         org.drip.analytics.date.JulianDate dtFirstCoupon = dtEffective.nextCreditIMM (3);

  406.         if (null == dtFirstCoupon) return null;

  408.         org.drip.product.definition.CreditDefaultSwap cds = CreateCDS (dtFirstCoupon.subtractTenor ("3M"),
  409.             dtFirstCoupon.addTenor (strTenor), dblCoupon, strLocation, 0.25, strCredit, strLocation, true);

  411.         cds.setPrimaryCode ("CDS." + strTenor + "." + strCredit);

  413.         return cds;
  414.     }
  415. }
Created with JaCoCo 0.7.9.201702052155