public Cashflow[] GetCashflows(IMarketCondition market, bool netted = true)
{
//var payTerm = Frequency.GetTerm();
//var accDates = new List<Date> {StartDate};
//accDates.AddRange(new Schedule(FirstPaymentDate, MaturityDate, payTerm, Stub.ShortEnd).ToArray())
//var Accruals = new Schedule(_implicitAccStartDate, MaturityDate, payTerm, Stub.ShortEnd).ToArray();
var len = Accruals.Length;
var tArray = new double[len - 1];
for (var i = 0; i < len - 1; ++i)
{
tArray[i] = DayCount.CalcDayCountFraction(Accruals[i], Accruals[i + 1]);
}
double[] begPrincipal;
double[] interest;
double[] principalPay;
double[] prepayment;
double[] defaultPrincipal;
if (!IsFloatingRate)
{
MortgageCalculator.GetPaymentDetails(tArray, Notional, Coupon, Frequency, AmortizationType, out begPrincipal, out interest, out principalPay, out prepayment, out defaultPrincipal, _numPastPayment);
var beg = Accruals[0];
var end = Accruals[1];
if (StartDate != beg)
{
//first interest should be adjusted
interest[0] = interest[0] * (end - StartDate) / (end - beg);
}
}
else
{
double[] begPrincipal1;
double[] interest1;
double[] principalPay1;
double[] prepayment1;
double[] defaultPrincipal1;
MortgageCalculator.GetPaymentDetails(tArray, Notional, Coupon, Frequency, AmortizationType, out begPrincipal1, out interest1, out principalPay1, out prepayment1, out defaultPrincipal1, _numPastPayment);
var ratePairs = market.HistoricalIndexRates.Value[IndexType].Select(x => Tuple.Create(x.Key, x.Value)).OrderBy(x => x.Item1).ToArray();
int index;
for (index = ratePairs.Length - 1; index > 0; --index)
{
if (ratePairs[index].Item1 <= ResetDate)
{
break;
}
}
var newRate = ratePairs[index].Item2 * FloatingRateMultiplier;
double[] begPrincipal2;
double[] interest2;
double[] principalPay2;
double[] prepayment2;
double[] defaultPrincipal2;
var n = Accruals.FirstIndexOf(x => x > ResetDate);
var p = n < 2 ? Notional : begPrincipal1[n - 2];
MortgageCalculator.GetPaymentDetails(tArray.Skip(n - 1).ToArray(), p, newRate, Frequency, AmortizationType, out begPrincipal2, out interest2, out principalPay2, out prepayment2, out defaultPrincipal2, _numPastPayment);
//accDate[n-1] accDate[n]
var start = Accruals[n - 1];
var end = Accruals[n];
var newInterst = p * (DayCount.CalcDayCountFraction(start, ResetDate) * Coupon + DayCount.CalcDayCountFraction(ResetDate, end) * newRate);
interest1[n - 1] = newInterst;
principalPay1[n - 1] = principalPay2[0];
prepayment1[n - 1] = prepayment2[0];
defaultPrincipal1[n - 1] = defaultPrincipal2[0];
begPrincipal1[n - 1] = p - principalPay1[n - 1] - prepayment1[n - 1] - defaultPrincipal1[n - 1];
double[] begPrincipal3;
double[] interest3;
double[] principalPay3;
double[] prepayment3;
double[] defaultPrincipal3;
MortgageCalculator.GetPaymentDetails(tArray.Skip(n).ToArray(), begPrincipal1[n - 1], newRate, Frequency, AmortizationType, out begPrincipal3, out interest3, out principalPay3, out prepayment3, out defaultPrincipal3, _numPastPayment);
var beg = Accruals[0];
end = Accruals[1];
if (StartDate != beg)
{
//first interest should be adjusted
interest1[0] = interest1[0] * (end - StartDate) / (end - beg);
}
var tempList = begPrincipal1.Take(n).ToList();
tempList.AddRange(begPrincipal3);
begPrincipal = tempList.ToArray();
tempList = interest1.Take(n).ToList();
tempList.AddRange(interest3);
interest = tempList.ToArray();
tempList = principalPay1.Take(n).ToList();
tempList.AddRange(principalPay3);
principalPay = tempList.ToArray();
tempList = prepayment1.Take(n).ToList();
tempList.AddRange(prepayment3);
prepayment = tempList.ToArray();
tempList = defaultPrincipal1.Take(n).ToList();
tempList.AddRange(defaultPrincipal3);
defaultPrincipal = tempList.ToArray();
}
var cashflows = new List <Cashflow>();
for (var i = 0; i < begPrincipal.Length; ++i)
{
var df = market.GetDf(Accruals[i + 1]);
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], principalPay[i], Currency, CashflowType.Principal, true, df, null));
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], interest[i], Currency, CashflowType.Coupon, true, df, null));
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], -interest[i] * TaxRate, Currency, CashflowType.Tax, true, df, null));
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], prepayment[i], Currency, CashflowType.Prepayment, true, df, null));
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], defaultPrincipal[i], Currency, CashflowType.PrincipalLossOnDefault, true, df, null));
}
return(cashflows.ToArray());
}
private Cashflow[] GetBondCashflows(IMarketCondition market, bool netted = true, bool calcAi = false)
{
var accruals = Accruals.ToArray();
var schedulePaymentDates = calcAi ? Accruals.Skip(1).ToArray() : PaymentSchedule.ToArray();
if (schedulePaymentDates.Length == 0)
{
throw new PricingLibraryException("Number of payments is 0");
}
List <CfCalculationDetail[]> cfCalcDetails;
var cashflows = new List <Cashflow>();
var prevCfDate = accruals[0];
var coupons = Coupon.GetCoupon(
Accruals,
market.FixingCurve.HasValue ? market.FixingCurve.Value : null,
market.HistoricalIndexRates.HasValue ? market.HistoricalIndexRates.Value : null,
out cfCalcDetails,
IssueRate,
_compensationRate);
var refStartDates = new List <Date>();
var refEndDates = new List <Date>();
for (var i = 0; i < coupons.Length; ++i)
{
var refStartDate = accruals[i];
var refEndDate = accruals[i + 1];
if (i == 0 && !_isRegualDate[i])
{
if (PaymentFreq != Frequency.None)
{
if (Stub == Stub.LongStart || Stub == Stub.ShortStart)
{
refStartDate = PaymentFreq.GetTerm().Prev(refEndDate);
}
else
{
refEndDate = PaymentFreq.GetTerm().Next(refStartDate);
}
}
}
refStartDates.Add(refStartDate);
refEndDates.Add(refEndDate);
}
IAmortization amortization;
if (AmortizationType == AmortizationType.EqualPrincipal || AmortizationType == AmortizationType.EqualPrincipalAndInterest)
{
//for these two types, amortization is calculated in cash flow calculation
var tArr = coupons.Select((x, i) => AccrualDayCount.CalcDayCountFraction(accruals[i], accruals[i + 1], refStartDates[i], refEndDates[i])).ToArray();
double[] begPrincipal;
double[] interest;
double[] principalPay;
double[] prepayment;
double[] defaultPrincipal;
_mortgageCalculator.GetPaymentDetails(tArr, Notional, coupons, PaymentFreq, AmortizationType, out begPrincipal, out interest, out principalPay, out prepayment, out defaultPrincipal, 0);
amortization = new Amortization(ToAmortizationSchedule(schedulePaymentDates, principalPay.Select((x, i) => Tuple.Create(i + 1, x)).ToDictionary(x => x.Item1, x => x.Item2)), false);
}
else
{
amortization = Amoritzation.Adjust(new Schedule(schedulePaymentDates), Calendar, calcAi ? AccrualBizDayRule : PaymentBizDayRule, PaymentFreq);
amortization = amortization.ResetAmortization(market.ValuationDate);
}
for (var i = 0; i < coupons.Length; ++i)
{
var amortizationRedemption = 0.0;
var remainPrincipal = 100.0;
var couponPay = 0.0;
var prevDate = prevCfDate;
if (amortization.AmortizationSchedule != null && amortization.AmortizationSchedule.Any(x => x.Key > prevCfDate && x.Key < schedulePaymentDates[i]))
{
var intermediatePrePayDate = amortization.AmortizationSchedule.Where(x => x.Key > prevCfDate && x.Key < schedulePaymentDates[i]).Select(x => x.Key).OrderBy(x => x).ToArray();
CfCalculationDetail[] tmpCfCalculationDetails;
foreach (var date in intermediatePrePayDate)
{
amortizationRedemption = amortization.GetRemainingPrincipal(prevDate);
remainPrincipal = Notional * amortizationRedemption;
var periodCoupon = Coupon.GetCoupon(prevDate, date, market.FixingCurve.Value, market.HistoricalIndexRates, out tmpCfCalculationDetails, _compensationRate[i]);
couponPay = remainPrincipal * periodCoupon * AccrualDayCount.CalcDayCountFraction(prevDate, date, refStartDates[i], refEndDates[i]);
cashflows.Add(new Cashflow(prevDate, date, date, couponPay, Currency, CashflowType.Coupon, tmpCfCalculationDetails.Aggregate(true, (current, v) => current & v.IsFixed), market.GetDf(date), cfCalcDetails[i], refStartDates[i], refEndDates[i], remainPrincipal, periodCoupon));
prevDate = date;
}
coupons[i] = Coupon.GetCoupon(prevDate, accruals[i + 1], market.FixingCurve.Value, market.HistoricalIndexRates, out tmpCfCalculationDetails, _compensationRate[i]);
cfCalcDetails[i] = tmpCfCalculationDetails;
}
amortizationRedemption = amortization.GetRemainingPrincipal(prevDate);
remainPrincipal = Notional * amortizationRedemption;
couponPay = remainPrincipal * coupons[i] * AccrualDayCount.CalcDayCountFraction(prevDate, accruals[i + 1], refStartDates[i], refEndDates[i]);
if (i == coupons.Length - 1)
{
amortizationRedemption = amortization.GetRemainingPrincipal(prevCfDate);
remainPrincipal = Notional * amortizationRedemption;
//final settlement might be adjusted, coupon [MaturityDate, settlementDate) is added
if (SettlmentGap != null)
{
var settlementDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
if (settlementDate > accruals[i + 1])
{
var tmpCoupon = double.IsNaN(_settlementCoupon) ? coupons[i] : _settlementCoupon;
var additionalCoupon = remainPrincipal * tmpCoupon * AccrualDayCount.CalcDayCountFraction(UnderlyingMaturityDate, settlementDate, refStartDates[i], refEndDates[i]);
couponPay += additionalCoupon;
}
}
couponPay = Redemption.GetRedemptionPayment(couponPay, remainPrincipal) - remainPrincipal;
}
cashflows.Add(new Cashflow(prevDate, accruals[i + 1], schedulePaymentDates[i], couponPay, Currency, CashflowType.Coupon, cfCalcDetails[i] == null ? true : cfCalcDetails[i].Aggregate(true, (current, v) => current & v.IsFixed), market.GetDf(schedulePaymentDates[i]), cfCalcDetails[i], refStartDates[i], refEndDates[i], remainPrincipal, coupons[i]));
prevCfDate = accruals[i + 1];
}
cashflows.AddRange(amortization.AmortizationSchedule.Keys.Select(key => new Cashflow(key, key, key, amortization.AmortizationSchedule[key] * Notional, Currency, CashflowType.Principal, true, market.GetDf(key), null)));
if (netted)
{
return(cashflows
.GroupBy(cf => cf.PaymentDate)
.Select(item => new Cashflow(item.Min(x => x.AccrualStartDate), item.Max(x => x.AccrualEndDate), item.Key, item.Sum(entry => entry.PaymentAmount), Currency, CashflowType.Coupon, item.Aggregate(true, (current, v) => current && v.IsFixed), market.GetDf(item.Key), item.Min(x => x.CalculationDetails), item.Min(x => x.RefStartDate), item.Max(x => x.RefEndDate), item.Max(entry => entry.StartPrincipal), item.Sum(entry => entry.CouponRate)))
.OrderBy(cf => cf.PaymentDate)
.ToArray());
}
else
{
return(cashflows.ToArray());
}
}
