com.opengamma.strata.pricer.credit

Class IsdaHomogenousCdsIndexProductPricer

java.lang.Object

com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer

public class IsdaHomogenousCdsIndexProductPricer
extends Object

Pricer for CDS portfolio index based on ISDA standard model.

The CDS index is priced as a single name CDS using a single credit curve rather than credit curves of constituent single names.

CreditRatesProvider must contain the index credit curve as well as the information on the relevant recovery rate and index factor.

This pricer invokes the implementation in IsdaCdsProductPricer.

Field Summary

Fields

Modifier and Type	Field and Description
static IsdaHomogenousCdsIndexProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
IsdaHomogenousCdsIndexProductPricer(AccrualOnDefaultFormula formula) Constructor specifying the formula to use for the accrued on default calculation.

Method Summary

Modifier and Type	Method and Description
CurrencyAmount	expectedLoss(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider) Calculates the expected loss of the CDS index product.
AccrualOnDefaultFormula	getAccrualOnDefaultFormula() Gets the accrual-on-default formula used in this pricer.
JumpToDefault	jumpToDefault(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData) Calculates the jump-to-default of the CDS index product.
double	parSpread(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData) Calculates the par spread of the CDS index product.
PointSensitivityBuilder	parSpreadSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData) Calculates the par spread sensitivity of the product.
CurrencyAmount	presentValue(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData) Calculates the present value of the CDS index product.
PointSensitivityBuilder	presentValueSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData) Calculates the present value sensitivity of the product.
double	price(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData) Calculates the price of the CDS index product, which is the minus of the present value per unit notional.
PointSensitivityBuilder	priceSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData) Calculates the price sensitivity of the product.
CurrencyAmount	recovery01(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData) Calculates the recovery01 of the CDS index product.
double	riskyAnnuity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData) Calculates the risky annuity, which is RPV01 per unit notional.
PointSensitivityBuilder	riskyAnnuitySensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData) Calculates the risky annuity sensitivity of the product.
CurrencyAmount	rpv01(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData) Calculates the risky PV01 of the CDS index product.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final IsdaHomogenousCdsIndexProductPricer DEFAULT

Default implementation.

Constructor Detail

IsdaHomogenousCdsIndexProductPricer

public IsdaHomogenousCdsIndexProductPricer(AccrualOnDefaultFormula formula)

Constructor specifying the formula to use for the accrued on default calculation.

Parameters:

formula - the formula

Method Detail

getAccrualOnDefaultFormula

public AccrualOnDefaultFormula getAccrualOnDefaultFormula()

Gets the accrual-on-default formula used in this pricer.

Returns:

the formula

price

public double price(ResolvedCdsIndex cdsIndex,
                    CreditRatesProvider ratesProvider,
                    LocalDate referenceDate,
                    PriceType priceType,
                    ReferenceData refData)

Calculates the price of the CDS index product, which is the minus of the present value per unit notional.

This method can calculate the clean or dirty price, see PriceType. If calculating the clean price, the accrued interest is calculated based on the step-in date.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

priceType - the price type

refData - the reference data

Returns:

the price

priceSensitivity

public PointSensitivityBuilder priceSensitivity(ResolvedCdsIndex cdsIndex,
                                                CreditRatesProvider ratesProvider,
                                                LocalDate referenceDate,
                                                ReferenceData refData)

Calculates the price sensitivity of the product.

The price sensitivity of the product is the sensitivity of price to the underlying curves.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the present value sensitivity

presentValue

public CurrencyAmount presentValue(ResolvedCdsIndex cdsIndex,
                                   CreditRatesProvider ratesProvider,
                                   LocalDate referenceDate,
                                   PriceType priceType,
                                   ReferenceData refData)

Calculates the present value of the CDS index product.

The present value of the product is based on referenceDate. This is typically the valuation date, or cash settlement date if the product is associated with a Trade.

This method can calculate the clean or dirty present value, see PriceType. If calculating the clean value, the accrued interest is calculated based on the step-in date.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

priceType - the price type

refData - the reference data

Returns:

the present value

presentValueSensitivity

public PointSensitivityBuilder presentValueSensitivity(ResolvedCdsIndex cdsIndex,
                                                       CreditRatesProvider ratesProvider,
                                                       LocalDate referenceDate,
                                                       ReferenceData refData)

Calculates the present value sensitivity of the product.

The present value sensitivity of the product is the sensitivity of present value to the underlying curves.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the present value sensitivity

parSpread

public double parSpread(ResolvedCdsIndex cdsIndex,
                        CreditRatesProvider ratesProvider,
                        LocalDate referenceDate,
                        ReferenceData refData)

Calculates the par spread of the CDS index product.

The par spread is a coupon rate such that the clean PV is 0. The result is represented in decimal form.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the par spread

parSpreadSensitivity

public PointSensitivityBuilder parSpreadSensitivity(ResolvedCdsIndex cdsIndex,
                                                    CreditRatesProvider ratesProvider,
                                                    LocalDate referenceDate,
                                                    ReferenceData refData)

Calculates the par spread sensitivity of the product.

The par spread sensitivity of the product is the sensitivity of par spread to the underlying curves. The resulting sensitivity is based on the currency of the CDS index product.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the par spread

rpv01

public CurrencyAmount rpv01(ResolvedCdsIndex cdsIndex,
                            CreditRatesProvider ratesProvider,
                            LocalDate referenceDate,
                            PriceType priceType,
                            ReferenceData refData)

Calculates the risky PV01 of the CDS index product.

RPV01 is defined as minus of the present value sensitivity to coupon rate.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

priceType - the price type

refData - the reference date

Returns:

the RPV01

riskyAnnuity

public double riskyAnnuity(ResolvedCdsIndex cdsIndex,
                           CreditRatesProvider ratesProvider,
                           LocalDate referenceDate,
                           PriceType priceType,
                           ReferenceData refData)

Calculates the risky annuity, which is RPV01 per unit notional.

Zero is returned if the CDS index already expired.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

priceType - the price type

refData - the reference data

Returns:

the risky annuity

riskyAnnuitySensitivity

public PointSensitivityBuilder riskyAnnuitySensitivity(ResolvedCdsIndex cdsIndex,
                                                       CreditRatesProvider ratesProvider,
                                                       LocalDate referenceDate,
                                                       ReferenceData refData)

Calculates the risky annuity sensitivity of the product.

The risky annuity sensitivity of the product is the sensitivity of risky annuity to the underlying curves. The resulting sensitivity is based on the currency of the CDS index product.

Empty sensitivity is returned if the CDS index already expired.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the risky annuity sensitivity

recovery01

public CurrencyAmount recovery01(ResolvedCdsIndex cdsIndex,
                                 CreditRatesProvider ratesProvider,
                                 LocalDate referenceDate,
                                 ReferenceData refData)

Calculates the recovery01 of the CDS index product.

The recovery01 is defined as the present value sensitivity to the recovery rate. Since the ISDA standard model requires the recovery rate to be constant throughout the lifetime of the CDS index, one currency amount is returned by this method.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the recovery01

jumpToDefault

public JumpToDefault jumpToDefault(ResolvedCdsIndex cdsIndex,
                                   CreditRatesProvider ratesProvider,
                                   LocalDate referenceDate,
                                   ReferenceData refData)

Calculates the jump-to-default of the CDS index product.

The jump-to-default is the value of the product in case of immediate default of a constituent single name.

Under the homogeneous pool assumption, the jump-to-default values are the same for all of the undefaulted names, and zero for defaulted names. Thus the resulting object contains a single number.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the recovery01

expectedLoss

public CurrencyAmount expectedLoss(ResolvedCdsIndex cdsIndex,
                                   CreditRatesProvider ratesProvider)

Calculates the expected loss of the CDS index product.

The expected loss is the (undiscounted) expected default settlement value paid by the protection seller. The resulting value is always positive.

Parameters:

cdsIndex - the product

ratesProvider - the rates provider

Returns:

the expected loss