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CDS ISDA pricing engine #112

Merged
merged 90 commits into from
Sep 13, 2017
Merged

CDS ISDA pricing engine #112

merged 90 commits into from
Sep 13, 2017

Commits on Sep 5, 2017

  1. Accrual rebate in CDS and dependencies (with Peter Caspers). CDS and … 

    …risky bonds into Add-in. Worksheet demo.
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  2. Modified logic as discussed with P. Caspers

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  3. add isda engine (just template files, not yet working)

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  4. fix start and end date for standard contracts

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  5. add references and implementation details flags, add second construct… 

    …or for curve construction within the engine and remove static utility functions
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  6. fix end date calculation also for old styled CDS contracts

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  7. authored comments

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  8. fix qualification of enums (in general not allowed)

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  9. add maturity to arguments, clean formatting of some comments, add war… 

    …ning concerning the conventional spread calculation (should be fixed later)
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  10. finish first version (compiles without errors, but no functional test… 

    …s done yet)
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  11. cast explicitly for allowed curve types and extract helper maturity d… 

    …ates automatically
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  12. Typo

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  13. Modified dangling iterators and loop index.

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  14. revert index modif....

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  15. modifed default leg loop

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  16. add make cds facility

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  17. author comments, add inspectors for isda curves

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  18. add rebate accrual flag to helper, add flag indicating that isda engi… 

    …ne should be used for bootstrapping (instead of mid point engine)
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  19. check flag values, set discount curve in helpers

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  20. fix interval tracking

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  21. direction update

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  22. extend cds example

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  23. make code c++11 compliant

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  24. correct false make_shared statement

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  25. fix false make_shared statements

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  26. renamed index

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  27. fix make_shared statements, add output of curves

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  28. calculate before returning curve (may be empty otherwise)

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  29. case when both iterators equal. Not very elegant..

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  30. move curve construction to second constructor, register on curve level

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  31. remove calcuate invocation which is not needed any more

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  32. some modfis on the default accrual. To be revised by Peter

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  33. Revert some modifs.

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  34. add example 3

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  35. fix par rates in credit curve, add credit curve output

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  36. initialized isda engine parameters in helper constructors

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  37. make use of isda engine a bool

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  38. fix coupon tenor

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  39. temp changes to the example and the isda engine (add debug outputs)

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  40. extend example

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  41. handle cds maturity date, reformat code, amend copyrights

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  42. tentative implementation of maturity included in protection

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  43. add some debug outputs

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  44. update example

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  45. fix preprocessor variable name

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  46. fix typos

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  47. rename to be more consitent with other conventions

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  48. remove debug statements

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  49. run full example

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  50. fix whitespace

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  51. add CreditDefaultSwap inspector

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  52. really fix last_period coupon

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  53. Fix default leg computation 

    - simplify node computation, this is simpler and faster.
- there is no need to adjust the end of day computation for
survival probability. default is protection start at beginning of day.

this is much closer to isda engine now.
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  54. Fix the coupon leg computation 

    - the sign for the accrual bias was wrong
- local nodes generation was incorrect
very close to isda pricer now
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  55. do not compute each node twice

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  56. change the default setting for IsdaEngine

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  57. try one more dynamic cast

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  58. add option to use isdaengine

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  59. rorganize dynamic casting

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  60. handle case of empty nodes vector

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  61. allow to specify termDate

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  62. fix upfrontDate

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  63. add test for the isda engine

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  64. improve guess 

    swith the parameter searh to log space, in order to enforce positivity
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  65. no need to redefine initializeDate()

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  66. apply fix from piecewiseyieldcurve

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  67. Add extra startDate parameters 

    - if not provided (case of single name cds), the maturity rolls
  every 3 months (or 6 months, see below).
- if provided, the cds schedule is fixed, only the protection start
  date gets updated when the evaluation date changes.
  (case of CDS index for instance)
- also take into account the switch to semi annual roll after
  December 10th 2015.
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  68. update to serial_type

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  69. make codacy happy

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  70. add missing headers

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  71. make templates C++98 compatible

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  72. use CDS2015 rule

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  73. make_shared takes at most 9 params

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  74. fix tests

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Commits on Sep 6, 2017

  1. wip

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  2. reorder initialization

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  3. fix example

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  4. use enum

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  5. be more lenient in the casting

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  6. header cleanup

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Commits on Sep 7, 2017

  1. Always initialize upfront payment 

    - set to zero amount cashflow if missing.
- shortcut computation if amount is 0.
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  2. do not do the search in log space

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  3. fix accuracy

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Commits on Sep 11, 2017

  1. Renamed enumeration.

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  2. Remove unused data members.

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  3. Avoid unnecessary calculations.

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  4. Check for base classes instead of derived.

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  5. Use settlement days instead of fixed NPV date.

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Commits on Sep 13, 2017

  1. Restore check on upfront.

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  2. Use latest ISDA conventions throughout.

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