Package com.opengamma.strata.pricer.credit

Class IsdaCdsProductPricer

java.lang.Object

com.opengamma.strata.pricer.credit.IsdaCdsProductPricer

public class IsdaCdsProductPricer
extends Object

Pricer for single-name credit default swaps (CDS) based on ISDA standard model.

The implementation is based on the ISDA model versions 1.8.2.

A CDS product is priced based on referenceDate. This is typically valuation date, or settlement date if the product is associated with a Trade.

Field Summary

Fields

Modifier and Type	Field	Description
static IsdaCdsProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

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

Method Summary

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

Default implementation.

Constructor Detail

IsdaCdsProductPricer

public IsdaCdsProductPricer(AccrualOnDefaultFormula formula)

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

Options are the formula given in the ISDA model (version 1.8.2 and lower); the proposed fix by Markit (given as a comment in version 1.8.2), or the mathematically correct formula.

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(ResolvedCds cds,
                    CreditRatesProvider ratesProvider,
                    LocalDate referenceDate,
                    PriceType priceType,
                    ReferenceData refData)

Calculates the price of the CDS product, which is 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.

This is coherent with presentValue(ResolvedCds, CreditRatesProvider, LocalDate, PriceType, ReferenceData).

Parameters:

cds - 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(ResolvedCds cds,
                                                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:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the present value sensitivity

presentValue

public CurrencyAmount presentValue(ResolvedCds cds,
                                   CreditRatesProvider ratesProvider,
                                   LocalDate referenceDate,
                                   PriceType priceType,
                                   ReferenceData refData)

Calculates the present value of the CDS 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:

cds - 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(ResolvedCds cds,
                                                       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:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the present value sensitivity

parSpread

public double parSpread(ResolvedCds cds,
                        CreditRatesProvider ratesProvider,
                        LocalDate referenceDate,
                        ReferenceData refData)

Calculates the par spread of the CDS product.

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

Parameters:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the par spread

parSpreadSensitivity

public PointSensitivityBuilder parSpreadSensitivity(ResolvedCds cds,
                                                    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 product.

Parameters:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the par spread

protectionLeg

public double protectionLeg(ResolvedCds cds,
                            CreditRatesProvider ratesProvider,
                            LocalDate referenceDate,
                            ReferenceData refData)

Calculates the price of the protection leg, which is the protection leg present value per unit notional.

Parameters:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the protection leg price

riskyAnnuity

public double riskyAnnuity(ResolvedCds cds,
                           CreditRatesProvider ratesProvider,
                           LocalDate referenceDate,
                           PriceType priceType,
                           ReferenceData refData)

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

Zero is returned if the CDS already expired.

Parameters:

cds - 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(ResolvedCds cds,
                                                       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 product.

Empty sensitivity is returned if the CDS already expired.

Parameters:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the risky annuity sensitivity

rpv01

public CurrencyAmount rpv01(ResolvedCds cds,
                            CreditRatesProvider ratesProvider,
                            LocalDate referenceDate,
                            PriceType priceType,
                            ReferenceData refData)

Calculates the risky PV01 of the CDS product.

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

Parameters:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

priceType - the price type

refData - the reference date

Returns:

the RPV01

recovery01

public CurrencyAmount recovery01(ResolvedCds cds,
                                 CreditRatesProvider ratesProvider,
                                 LocalDate referenceDate,
                                 ReferenceData refData)

Calculates the recovery01 of the CDS 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, one currency amount is returned by this method.

Parameters:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the recovery01

jumpToDefault

public JumpToDefault jumpToDefault(ResolvedCds cds,
                                   CreditRatesProvider ratesProvider,
                                   LocalDate referenceDate,
                                   ReferenceData refData)

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

The jump-to-default is the value of the product in case of immediate default.

Parameters:

cds - the product

ratesProvider - the rates provider

referenceDate - the reference date

refData - the reference data

Returns:

the jump-to-default

expectedLoss

public CurrencyAmount expectedLoss(ResolvedCds cds,
                                   CreditRatesProvider ratesProvider)

Calculates the expected loss of the CDS product.

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

Parameters:

cds - the product

ratesProvider - the rates provider

Returns:

the expected loss