Merge branch 'feature/QPR-12830' into 'master'

QPR-13739 ISDA Fix + ABX Fix to use MidPoint if Price

Closes QPR-12830

See merge request qs/oreplus!3088

Author: pcaspers

OREData/ored/marketdata/defaultcurve.cpp

@@ -36,6 +36,11 @@
 #include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
 #include <ql/termstructures/credit/flathazardrate.hpp>
 #include <ql/time/daycounters/actual365fixed.hpp>
+#include <ql/pricingengines/credit/isdacdsengine.hpp>
+#include <ql/pricingengines/credit/midpointcdsengine.hpp>
+#include <ql/termstructures/yield/flatforward.hpp>
+// #include <ql/termstructures/yield/bootstraptraits.hpp>
+// #include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
 
 #include <algorithm>
 #include <set>
@@ -428,9 +433,8 @@ void DefaultCurve::buildCdsCurve(const std::string& curveID, const DefaultCurveC
                 }
             }
         }
-    /*}else if(config.type() == DefaultCurveConfig::Config::Type::ConvSpreadCDS){
+    }else if(config.type() == DefaultCurveConfig::Config::Type::ConvSpreadCDS){
         refData.type = "ConvSpreadCDS";
-        // Currently same than SpreadCDS
         for (auto quote : quotes) {
             try {
                 if ((cdsConv->rule() == DateGeneration::CDS || cdsConv->rule() == DateGeneration::CDS2015 ||
@@ -444,12 +448,66 @@ void DefaultCurve::buildCdsCurve(const std::string& curveID, const DefaultCurveC
                             "date strictly after T + 1.");
                     continue;
                 };
-                helpers.push_back(QuantLib::ext::make_shared<SpreadCdsHelper>(
-                    quote.value, quote.term, cdsConv->settlementDays(), cdsConv->calendar(), cdsConv->frequency(),
-                    cdsConv->paymentConvention(), cdsConv->rule(), cdsConv->dayCounter(), recoveryRate_, discountCurve, CreditDefaultSwap::PricingModel::ISDA,
-                    cdsConv->settlesAccrual(), ppt, config.startDate(), cdsConv->lastPeriodDayCounter()));
-                runningSpread = config.runningSpread();
-                helperQuoteTerms[helpers.back()->latestDate()] = quote.term;
+                Real notional = 1000000;
+                auto convSpread = quote.value;
+                // Use configured/convention start date and calendar
+                Date maturity = cdsMaturity(asof, quote.term, cdsConv->rule());
+                Schedule schedule(asof, maturity, Period(cdsConv->frequency()), cdsConv->calendar(),  cdsConv->paymentConvention(), 
+                                 cdsConv->paymentConvention(), cdsConv->rule(), false);
+                
+                // CDS quoted at conventional/quoted spread
+                // Solve for flat hazard with quoted spread
+                ext::shared_ptr<CreditDefaultSwap> cdsConvSpread = ext::make_shared<CreditDefaultSwap>(
+                    Protection::Buyer, notional, convSpread, schedule, cdsConv->paymentConvention(), Actual360(),
+                    cdsConv->settlesAccrual(), QuantLib::CreditDefaultSwap::atDefault,
+                    Date(), QuantLib::ext::shared_ptr<Claim>());
+
+                ext::shared_ptr<SimpleQuote> flatRate = ext::make_shared<SimpleQuote>(0.0);
+                Handle<DefaultProbabilityTermStructure> dProbTS(
+                    ext::shared_ptr<DefaultProbabilityTermStructure>(
+                        new FlatHazardRate(0, NullCalendar(), Handle<Quote>(flatRate), Actual365Fixed())
+                    )
+                );
+                auto dummyYTS = Handle<YieldTermStructure>(ext::make_shared<FlatForward>(0, NullCalendar(), 0.0, Actual365Fixed()));
+                ext::shared_ptr<PricingEngine> engineInit( new IsdaCdsEngine(dProbTS, 0.4, dummyYTS));
+                cdsConvSpread->setPricingEngine(engineInit);
+
+                // Flat hazard implied by conventional spread (ISDA model)
+                Real h = cdsConvSpread->impliedHazardRate(0.0, discountCurve, Actual365Fixed(), recoveryRate_, 1e-12,
+                                                          CreditDefaultSwap::ISDA);
+
+                // Price the fixed-coupon CDS with h and real recovery rate to get upfront
+                Handle<DefaultProbabilityTermStructure> dProb(
+                    boost::shared_ptr<DefaultProbabilityTermStructure>(
+                        new FlatHazardRate(0, cdsConv->calendar(), h, Actual365Fixed())
+                    )
+                );
+
+                Rate fixedCoupon = config.runningSpread() == QuantLib::Null<Real>() ? 100 / 10000.0 : config.runningSpread();
+
+                // Fixed-coupon CDS; ask for fairUpfront
+                Date upfrontSettle = cdsConv->calendar().advance(asof, cdsConv->upfrontSettlementDays() * Days);
+                ext::shared_ptr<CreditDefaultSwap> fixedCpnTrade = ext::make_shared<CreditDefaultSwap>(
+                    Protection::Buyer, notional, 0.0, fixedCoupon, schedule, cdsConv->paymentConvention(),
+                    Actual360(), cdsConv->settlesAccrual(), QuantLib::CreditDefaultSwap::atDefault,
+                    asof, upfrontSettle);
+
+                ext::shared_ptr<PricingEngine> engine(new IsdaCdsEngine(dProb, recoveryRate_, discountCurve));
+                fixedCpnTrade->setPricingEngine(engine);
+
+                // Real fairSpreadClean = fixedCpnTrade->fairSpreadClean();
+                Rate calcUpfront = fixedCpnTrade->fairUpfront();
+
+                auto tmp = QuantLib::ext::make_shared<UpfrontCdsHelper>(
+                    calcUpfront, fixedCoupon, quote.term, cdsConv->settlementDays(), cdsConv->calendar(),
+                    cdsConv->frequency(), cdsConv->paymentConvention(), cdsConv->rule(), cdsConv->dayCounter(),
+                    recoveryRate_, discountCurve, CreditDefaultSwap::PricingModel::Midpoint, cdsConv->upfrontSettlementDays(), cdsConv->settlesAccrual(), ppt,
+                    config.startDate(), cdsConv->lastPeriodDayCounter());
+            
+                if (tmp->latestDate() > asof) {
+                    helpers.push_back(tmp);
+                }
+                helperQuoteTerms[tmp->latestDate()] = quote.term;
             } catch (exception& e) {
                 if (quote.term == Period(0, Months)) {
                     WLOG("DefaultCurve:: Cannot add quote of term 0M to CDS curve " << curveID << " for asof date "
@@ -460,7 +518,7 @@ void DefaultCurve::buildCdsCurve(const std::string& curveID, const DefaultCurveC
                                                                           << ", with error: " << e.what());
                 }
             }
-        }*/
+        }
     }else {
         refData.type = "Upfront";
         for (auto quote : quotes) {
@@ -473,10 +531,11 @@ void DefaultCurve::buildCdsCurve(const std::string& curveID, const DefaultCurveC
                 runningSpread = config.runningSpread();
             }
             auto tmp = QuantLib::ext::make_shared<UpfrontCdsHelper>(
-                quote.value, runningSpread, quote.term, cdsConv->settlementDays(), cdsConv->calendar(),
-                cdsConv->frequency(), cdsConv->paymentConvention(), cdsConv->rule(), cdsConv->dayCounter(),
-                recoveryRate_, discountCurve, CreditDefaultSwap::PricingModel::Midpoint, cdsConv->upfrontSettlementDays(), cdsConv->settlesAccrual(), ppt,
-                config.startDate(), cdsConv->lastPeriodDayCounter());
+                    quote.value, runningSpread, quote.term, cdsConv->settlementDays(), cdsConv->calendar(),
+                    cdsConv->frequency(), cdsConv->paymentConvention(), cdsConv->rule(), cdsConv->dayCounter(),
+                    recoveryRate_, discountCurve, CreditDefaultSwap::PricingModel::Midpoint, cdsConv->upfrontSettlementDays(), cdsConv->settlesAccrual(), ppt,
+                    config.startDate(), cdsConv->lastPeriodDayCounter());        
+
             if (tmp->latestDate() > asof) {
                 helpers.push_back(tmp);
             }

OREData/ored/portfolio/referencedata.hpp

@@ -480,6 +480,7 @@ class CreditReferenceDatum : public ReferenceDatum {
         QuantLib::Date predecessorImplementationDate;
         string entityType;
         string primaryPriceType;
+        Real runningSpread;
     };
     CreditReferenceDatum() {}