CreditDefaultSwapIndex.java
package org.drip.sample.securitysuite;
import java.util.Map;
import org.drip.analytics.cashflow.CompositePeriod;
import org.drip.analytics.date.*;
import org.drip.analytics.support.CaseInsensitiveTreeMap;
import org.drip.numerical.common.FormatUtil;
import org.drip.param.creator.MarketParamsBuilder;
import org.drip.param.market.CurveSurfaceQuoteContainer;
import org.drip.param.pricer.CreditPricerParams;
import org.drip.param.valuation.ValuationParams;
import org.drip.product.creator.CDSBuilder;
import org.drip.product.definition.CreditDefaultSwap;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
import org.drip.state.credit.CreditCurve;
import org.drip.state.discount.MergedDiscountForwardCurve;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
*
* This file is part of DRIP, a free-software/open-source library for buy/side financial/trading model
* libraries targeting analysts and developers
* https://lakshmidrip.github.io/DRIP/
*
* DRIP is composed of four main libraries:
*
* - DRIP Fixed Income - https://lakshmidrip.github.io/DRIP-Fixed-Income/
* - DRIP Asset Allocation - https://lakshmidrip.github.io/DRIP-Asset-Allocation/
* - DRIP Numerical Optimizer - https://lakshmidrip.github.io/DRIP-Numerical-Optimizer/
* - DRIP Statistical Learning - https://lakshmidrip.github.io/DRIP-Statistical-Learning/
*
* - DRIP Fixed Income: Library for Instrument/Trading Conventions, Treasury Futures/Options,
* Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA
* Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV
* Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM
* Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
*
* - DRIP Asset Allocation: Library for model libraries for MPT framework, Black Litterman Strategy
* Incorporator, Holdings Constraint, and Transaction Costs.
*
* - DRIP Numerical Optimizer: Library for Numerical Optimization and Spline Functionality.
*
* - DRIP Statistical Learning: Library for Statistical Evaluation and Machine Learning.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* CreditDefaultSwapIndex demonstrates the Analytics Calculation/Reconciliation for a CDX.
*
* @author Lakshmi Krishnamurthy
*/
public class CreditDefaultSwapIndex {
private static final MergedDiscountForwardCurve FundingCurve (
final JulianDate dtSpot,
final String strCurrency,
final double dblBump)
throws Exception
{
String[] astrDepositMaturityTenor = new String[] {
"2D"
};
double[] adblDepositQuote = new double[] {
0.013161 + dblBump // 2D
};
double[] adblFuturesQuote = new double[] {
0.013225 + dblBump, // 98.6775
0.014250 + dblBump, // 98.5750
0.014750 + dblBump, // 98.5250
0.015250 + dblBump, // 98.4750
0.015750 + dblBump, // 98.4250
0.016500 + dblBump // 98.3500
};
String[] astrFixFloatMaturityTenor = new String[] {
"02Y",
"03Y",
"04Y",
"05Y",
"06Y",
"07Y",
"08Y",
"09Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"50Y"
};
double[] adblFixFloatQuote = new double[] {
0.015540 + dblBump, // 2Y
0.016423 + dblBump, // 3Y
0.017209 + dblBump, // 4Y
0.017980 + dblBump, // 5Y
0.018743 + dblBump, // 6Y
0.019455 + dblBump, // 7Y
0.020080 + dblBump, // 8Y
0.020651 + dblBump, // 9Y
0.021195 + dblBump, // 10Y
0.021651 + dblBump, // 11Y
0.022065 + dblBump, // 12Y
0.022952 + dblBump, // 15Y
0.023825 + dblBump, // 20Y
0.024175 + dblBump, // 25Y
0.024347 + dblBump, // 30Y
0.024225 + dblBump, // 40Y
0.023968 + dblBump // 50Y
};
return LatentMarketStateBuilder.SmoothFundingCurve (
dtSpot,
strCurrency,
astrDepositMaturityTenor,
adblDepositQuote,
"ForwardRate",
adblFuturesQuote,
"ForwardRate",
astrFixFloatMaturityTenor,
adblFixFloatQuote,
"SwapRate"
);
}
private static final CreditCurve CreditCurve (
final JulianDate dtSpot,
final String strCreditCurve,
final MergedDiscountForwardCurve mdfc,
final double dblBump)
throws Exception
{
return LatentMarketStateBuilder.CreditCurve (
dtSpot,
strCreditCurve,
new String[] {
"6M",
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"7Y",
"10Y",
"20Y",
"30Y",
},
new double[] {
392.509, // 6M
320.707, // 1Y
393.624, // 2Y
472.869, // 3Y
570.360, // 4Y
663.920, // 5Y
779.463, // 7Y
957.555, // 10Y
908.712, // 20Y
900.297, // 30Y
},
new double[] {
392.509, // 6M
320.707, // 1Y
393.624, // 2Y
472.869, // 3Y
570.360, // 4Y
663.920, // 5Y
779.463, // 7Y
957.555, // 10Y
908.712, // 20Y
900.297, // 30Y
},
"FairPremium",
mdfc
);
}
public static final void main (
final String[] astrArgs)
throws Exception
{
EnvManager.InitEnv ("");
JulianDate dtSpot = DateUtil.CreateFromYMD (
2017,
DateUtil.SEPTEMBER,
17
);
JulianDate dtIssue = DateUtil.CreateFromYMD (
2017,
DateUtil.JUNE,
20
);
String strCDXTenor = "5Y";
String strCurrency = "USD";
String strCDXName = "CDXNAHY";
double dblCDXFixedCoupon = 0.05;
CreditDefaultSwap cdx = CDSBuilder.CreateSNAC (
dtIssue,
strCDXTenor,
dblCDXFixedCoupon,
strCDXName
);
MergedDiscountForwardCurve mdfc = FundingCurve (
dtSpot,
strCurrency,
0.
);
CreditCurve cc = CreditCurve (
dtSpot,
strCDXName,
mdfc,
0.
);
CurveSurfaceQuoteContainer csqc = MarketParamsBuilder.Credit (
mdfc,
cc
);
ValuationParams valParams = new ValuationParams (
dtSpot,
dtSpot,
strCurrency
);
CreditPricerParams pricerParams = CreditPricerParams.Standard();
CaseInsensitiveTreeMap<Double> mapOutput = cdx.value (
valParams,
pricerParams,
csqc,
null
);
System.out.println ("");
System.out.println ("\t |-----------------------------------------------|");
for (Map.Entry<String, Double> me : mapOutput.entrySet())
System.out.println ("\t | " + me.getKey() + " => " + me.getValue());
System.out.println ("\t |-----------------------------------------------|");
System.out.println ("");
System.out.println ("\t |---------------------------------------------------------------------------||");
for (CompositePeriod p : cdx.couponPeriods())
System.out.println (
"\t | " +
DateUtil.YYYYMMDD (p.startDate()) + " | " +
DateUtil.YYYYMMDD (p.endDate()) + " | " +
DateUtil.YYYYMMDD (p.payDate()) + " | " +
FormatUtil.FormatDouble (p.couponDCF(), 1, 3, 1.) + " | " +
FormatUtil.FormatDouble (p.couponDCF(), 1, 2, 0.01 * 1.) + " | " +
FormatUtil.FormatDouble (mdfc.df (p.payDate()), 1, 4, 1.) + " | " +
FormatUtil.FormatDouble (cc.survival (p.payDate()), 1, 4, 1.) + " ||"
);
System.out.println ("\t |---------------------------------------------------------------------------||");
}
}