/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (BondLendingBase)fDeal;
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
RequiresPrincipals = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = deal.Issue_Date,
MaturityDate = deal.Bond_Maturity_Date,
CouponPeriod = deal.Coupon_Interval,
FirstCouponDate = deal.First_Coupon_Date,
PenultimateCouponDate = deal.Penultimate_Coupon_Date,
AccrualCalendar = deal.GetHolidayCalendar(),
AccrualDayCount = deal.Accrual_Day_Count,
Principal = deal.Notional,
Amortisation = deal.Amortisation
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fPrincipals = dateGenerationResults.Principals;
fFinalPrincipal = dateGenerationResults.FinalPrincipal;
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, resultsRequired);
// Set up date lists
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresAccrualDates = true,
RequiresYearFractions = true
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = fDeal.Effective_Date,
MaturityDate = fDeal.Maturity_Date,
CouponPeriod = fDeal.Pay_Frequency,
AccrualCalendar = fDeal.GetHolidayCalendar(),
AccrualDayCount = fDeal.Accrual_Day_Count,
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
AccrualDates = dateGenerationResults.AccrualDates;
PayDates = dateGenerationResults.PayDates;
Accruals = dateGenerationResults.AccrualYearFractions;
bool cashRequired = resultsRequired.CashRequired();
fT.AddPayDate(fDeal.Upfront_Date, cashRequired);
fT.AddPayDates(PayDates, cashRequired);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList Factors, BaseTimeGrid BaseTimes, RequiredResults ResultsRequired)
{
base.PreCloneInitialize(Factors, BaseTimes, ResultsRequired);
DealCreditLinkedNoteBase deal = (DealCreditLinkedNoteBase)fDeal;
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresResetDates = true,
RequiresYearFractions = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = deal.Effective_Date,
MaturityDate = deal.Maturity_Date,
CouponPeriod = deal.Coupon_Interval,
AccrualCalendar = deal.GetHolidayCalendar(),
AccrualDayCount = deal.Accrual_Day_Count,
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
PayDates = dateGenerationResults.PayDates;
Accruals = dateGenerationResults.AccrualYearFractions;
ResetDates = dateGenerationResults.ResetDates;
// Add to valuation time grid
bool cashRequired = ResultsRequired.CashRequired();
fT.AddPayDate(deal.Effective_Date, cashRequired);
fT.AddPayDates(PayDates, cashRequired);
}
/// <summary>
/// Returns a <see cref="DateGenerationResults"/> which contains bond futures option's dates and accrual information.
/// </summary>
/// <returns></returns>
public DateGenerationResults GetDateGenerationResults(double issueDate, double maturityDate, double couponInterval, double firstCouponDate, double penultimateCouponDate, DayCount dayCount, IHolidayCalendar calendar)
{
var dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
};
var dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
CouponPeriod = couponInterval,
FirstCouponDate = firstCouponDate,
PenultimateCouponDate = penultimateCouponDate,
AccrualCalendar = calendar,
AccrualDayCount = dayCount
};
return(CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams));
}
/// <summary>
/// Generate CTD dates and set CTD coupon rate and conversion factor.
/// </summary>
protected void GenerateCTD(double issueDate, double maturityDate, double couponInterval, double firstCouponDate, double penultimateCouponDate, DayCount dayCount, IHolidayCalendar calendar, double couponRate, double conversionFactor)
{
if (conversionFactor <= 0.0)
{
return; // No CTD details or details invalid
}
BondFuture deal = (BondFuture)fDeal;
if (deal.Settlement_Date >= maturityDate)
{
throw new AnalyticsException("Settlement date must be before cheapest-to-deliver maturity date.");
}
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
CouponPeriod = couponInterval,
FirstCouponDate = firstCouponDate,
PenultimateCouponDate = penultimateCouponDate,
AccrualCalendar = calendar,
AccrualDayCount = dayCount
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fIssueDate = issueDate;
fMaturityDate = maturityDate;
fCouponRate = couponRate;
fConversionFactor = conversionFactor;
}
/// <summary>
/// Returns a <see cref="DateGenerationResults"/> which contains bond option's payment dates, pricipals and accrual year fractions information.
/// </summary>
public DateGenerationResults GetDateGenerationResults()
{
var dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresPrincipals = true,
RequiresYearFractions = true
};
var dateGenerationParams = new DateGenerationParams
{
EffectiveDate = Issue_Date,
MaturityDate = Bond_Maturity_Date,
CouponPeriod = Coupon_Interval,
FirstCouponDate = First_Coupon_Date,
PenultimateCouponDate = Penultimate_Coupon_Date,
AccrualCalendar = GetHolidayCalendar(),
AccrualDayCount = Accrual_Day_Count,
Principal = Notional,
Amortisation = Amortisation
};
return(CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams));
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CallableBondForward deal = (CallableBondForward)Deal;
double firstCallDate = deal.First_Call_Date;
double lastCallDate = deal.Last_Call_Date;
double baseDate = factors.BaseDate;
double issueDate = deal.Issue_Date;
double settlementDate = deal.Settlement_Date;
double priceDate = Math.Max(baseDate, settlementDate + 1.0); // bond cashflows before priceDate do not contribute to bond price
double maturityDate = deal.Bond_Maturity_Date;
double couponInterval = deal.Coupon_Interval;
double notional = deal.Notional;
IHolidayCalendar holidayCalendar = deal.GetHolidayCalendar();
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
AccrualDayCount = deal.Accrual_Day_Count,
FirstCouponDate = deal.First_Coupon_Date,
PenultimateCouponDate = deal.Penultimate_Coupon_Date,
Amortisation = deal.Amortisation,
CouponPeriod = couponInterval,
Principal = notional,
PrincipalExchange = PrincipalExchange.Start_Maturity,
AccrualCalendar = holidayCalendar
};
CashflowListDetail detail = CashflowGeneration.GenerateCashflowListDetail(dateGenerationParams);
// Collect reset dates as we loop.
var resetDates = new DateList(detail.Coupon_Details.Count);
// Create cashflow list
fCashflowList = new CFFixedInterestList();
fCashflowList.Compounding = YesNo.No;
foreach (CouponDetail couponDetail in detail.Coupon_Details)
{
if (couponDetail.Payment_Date < priceDate)
{
continue;
}
foreach (AccrualDetail accrualDetail in couponDetail.Accrual_Details)
{
resetDates.Add(accrualDetail.Accrual_Start_Date);
if (couponDetail.Payment_Date < priceDate)
{
continue;
}
var cashflow = new CFFixedInterest
{
Payment_Date = couponDetail.Payment_Date,
Notional = accrualDetail.Notional,
Accrual_Start_Date = accrualDetail.Accrual_Start_Date,
Accrual_End_Date = accrualDetail.Accrual_End_Date,
Accrual_Year_Fraction = accrualDetail.Accrual_Year_Fraction,
Rate = deal.Coupon_Rate * Percentage.PercentagePoint,
Accrual_Day_Count = deal.Accrual_Day_Count,
Discounted = YesNo.No
};
fCashflowList.Items.Add(cashflow);
}
}
IRBaseDealSkin.ApplyRateSchedule(fCashflowList.Items, deal.Coupon_Rate_Schedule, Percentage.PercentagePoint, holidayCalendar, DateAdjustmentMethod.Modified_Following);
// Calculate fixed interest cashflows.
fCashflowList.CalculateInterest(baseDate);
fFixedCashflowList = PrincipalCashflows(priceDate, issueDate, maturityDate, PrincipalExchange.Start_Maturity, notional, deal.Amortisation, 1.0);
fSettlementAmount = 0.0;
fAccrued = 0.0;
bool payDatesRequired = requiredResults.CashRequired();
if (settlementDate >= baseDate)
{
double settlementPrincipal = CFFixedInterestListValuation.GetPrincipal(fCashflowList, settlementDate);
fSettlementAmount = settlementPrincipal * deal.Price * Percentage.PercentagePoint;
for (int i = 0; i < fCashflowList.Items.Count; ++i)
{
CFFixedInterest cashflow = fCashflowList[i];
if (cashflow.Accrual_Start_Date >= settlementDate)
{
break;
}
if (settlementDate < cashflow.Accrual_End_Date)
{
fAccrued += cashflow.Interest() * (settlementDate - cashflow.Accrual_Start_Date) / (cashflow.Accrual_End_Date - cashflow.Accrual_Start_Date);
}
}
if (deal.Price_Is_Clean == YesNo.Yes)
{
fSettlementAmount += fAccrued; // add accrued interest
}
fT.AddPayDate(settlementDate, payDatesRequired);
}
// Add the floating and fixed cashflow dates to the time grid.
fT.AddPayDates <CFFixedInterest>(fCashflowList, payDatesRequired);
fT.AddPayDates <CFFixed>(fFixedCashflowList, payDatesRequired);
// We only need an option pricer if callable on or after the settlement date.
fSwaptionPricer = null;
if (lastCallDate >= settlementDate)
{
// Snap call dates to grid of reset dates and
// ensure that first call date is on or after settlement date
int iLast = resetDates.IndexOfNextDate(lastCallDate);
lastCallDate = resetDates[iLast];
int iFirst = resetDates.IndexOfNextDate(firstCallDate);
while ((iFirst < resetDates.Count - 1) && (resetDates[iFirst] < settlementDate))
{
// move first exercise date forward
iFirst++;
}
firstCallDate = resetDates[iFirst];
int paySign = deal.Call_Put == OptionType.Put ? +1 : -1;
RateList exerciseFees = new RateList();
foreach (Rate price in deal.Call_Prices)
{
Rate fee = new Rate();
fee.Value = paySign * (Percentage.OverPercentagePoint - price.Value);
fee.Date = price.Date;
exerciseFees.Add(fee);
}
var amortisation = AllocateAmortisationToPaymentDates <CFFixedInterest>(deal.Amortisation, fCashflowList.Items);
fSwaptionPricer = new SwaptionPricer(issueDate, maturityDate, couponInterval, couponInterval,
deal.Accrual_Day_Count, holidayCalendar, DayCount.ACT_365, holidayCalendar, firstCallDate, lastCallDate, baseDate,
paySign, paySign, 0.0, null, notional, amortisation, deal.Coupon_Rate, null, deal.Coupon_Rate_Schedule, exerciseFees,
null, OptionStyle2.Bermudan, Max_Nodes, Step_Size, fT, true, requiredResults.CashRequired());
}
if (NeedSurvivalProb())
{
fRecoveryList = new CFRecoveryList();
fRecoveryList.PopulateRecoveryCashflowList(baseDate, settlementDate, fCashflowList);
}
}
