/// <summary>
/// Value the fixed and floating legs of the swap.
/// </summary>
private void ValueFixedAndFloatingLegs(TimeGridIterator tgi, Vector fixedPv, Vector fixedCash, double baseDate, Vector floatPv, Vector floatCash)
{
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartSwaptionCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T,
CashflowType.FixedLeg, fSwaptionDeal.Floating_Margin))
{
// Calculate value of fixed side
fixedPv.Clear();
fixedCash.Clear();
fFixedCashflowList.Value(fixedPv, fixedCash, null, baseDate, tgi.Date, null, fDiscountRate, null, null, null, fIntraValuationDiagnosticsWriter, 0.0);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, fixedPv);
}
using (IntraValuationDiagnosticsHelper.StartSwaptionCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T,
CashflowType.FloatingLeg, fSwaptionDeal.Floating_Margin))
{
// Calculate value of floating side
floatPv.Clear();
floatCash.Clear();
fFloatCashflowList.ValueSwap(floatPv, floatCash, null, baseDate, tgi.Date, null, 0.0, fDiscountRate, fForecastRate, false, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, floatPv);
}
}
}
/// <summary>
/// Calculate vector valuation profile and vector realised cash profile.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
CalcUtils.CreateDealProfilesIfRequired(valuationResults, fItems, factors);
double paySign = fSwaptionDeal.Payer_Receiver == PayerReceiver.Payer ? +1 : -1;
double buySign = fSwaptionDeal.Buy_Sell == BuySell.Buy ? +1 : -1;
bool isCashSettled = fSwaptionDeal.Settlement_Style == SettlementType.Cash;
bool isPhysicallySettled = fSwaptionDeal.Settlement_Style == SettlementType.Physical;
bool cashRequired = !valuationResults.Cash.Ignore;
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
using (var outerCache = Vector.Cache(factors.NumScenarios))
{
Vector pv = outerCache.Get();
Vector exerciseWeight = outerCache.GetClear();
Vector cash = cashRequired ? outerCache.GetClear() : null;
// For a cash settled swaption, Settlement amount to be paid on Settlement Date.
Vector settlementCash = isCashSettled ? outerCache.GetClear() : null;
VectorEngine.For(tgi, () =>
{
// Work out the PV
if (tgi.Date < fSwaptionDeal.Option_Expiry_Date)
{
ValueBeforeExpiry(pv, factors, isCashSettled, tgi);
}
else
{
ValueOnOrAfterExpiry(pv, exerciseWeight, settlementCash, cash, factors, isCashSettled, isPhysicallySettled, cashRequired, tgi, paySign);
}
result.AppendVector(tgi.Date, buySign * pv * fFxRate.Get(tgi.T));
if (cashRequired)
{
valuationResults.Cash.Accumulate(fFxRate, tgi.Date, buySign * cash);
}
});
}
result.Complete(fT);
}
}
/// <summary>
/// Value the deal.
/// </summary>
/// <param name="pv">Present value to be updated.</param>
/// <param name="cash">Realised cash to be updated.</param>
public override void Value(Vector pv, Vector cash, double baseDate, double valueDate, ISACCRResult saccrResult,
IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
Value(pv, cash, baseDate, valueDate, null, fDiscountRate, null, fRepoRate, null, null, fSurvivalProb, saccrResult,
intraValuationDiagnosticsWriter);
// Add accruedInterest to Intra-valuation diagnostics
if (intraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
using (var cache = Vector.CacheLike(pv))
{
Vector accruedInterest = cache.Get(deal.Cashflows.CalculateAccrual(valueDate, false, deal.GetHolidayCalendar()));
IntraValuationDiagnosticsHelper.AddCashflowsAccruedInterest(fIntraValuationDiagnosticsWriter, accruedInterest);
}
}
}
/// <summary>
/// Output Intra-Valuation Diagnostics (Base correlation at Attachment and Detachment)
/// </summary>
public override void AddIntraValuationDiagnostics(IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter,
CDOValuationParameters parameters, Vector adjustedAttachment, Vector adjustedDetachment, Vector remainingPool, double valueTime, double tPay)
{
if (intraValuationDiagnosticsWriter.Level == IntraValuationDiagnosticsLevel.None)
{
return;
}
using (var cache = Vector.CacheLike(adjustedAttachment))
{
var paramsCDO = (CDOBottomUpValuationParameters)parameters;
Vector rhoAttachment = cache.Get();
Vector rhoDetachment = cache.Get();
paramsCDO.IndexCDO.GetBaseCorrelation(rhoAttachment, adjustedAttachment, remainingPool, valueTime, tPay);
paramsCDO.IndexCDO.GetBaseCorrelation(rhoDetachment, adjustedDetachment, remainingPool, valueTime, tPay);
IntraValuationDiagnosticsHelper.AddBaseCorrelation(intraValuationDiagnosticsWriter, rhoAttachment, rhoDetachment);
}
}
/// <summary>
/// Value a caplet or floorlet under the 1 factor Hull-White model.
/// </summary>
public override void Value(Vector pv, Vector cash, double baseDate, double valueDate, ISACCRResult saccrResult,
IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
int count = fCashflows.Count();
bool forecastIsDiscount = ReferenceEquals(fForecastRate, fDiscountRate);
// time of dfStart and dfEnd
double tDfStart = double.NegativeInfinity;
double tDfEnd = double.NegativeInfinity;
using (var cache = Vector.CacheLike(pv))
{
// Shared between loops
Vector dfStart = cache.Get();
Vector dfEnd = cache.Get();
VectorEngine.For(0, count, LoopDirection.Backwards, i =>
{
using (var innerCache = Vector.CacheLike(pv))
{
CFFloatingInterest cashflow = fCashflows[i];
if (cashflow.Payment_Date < valueDate || cashflow.Payment_Date <= fCutoffDate)
{
return(LoopAction.Break);
}
Vector rate = innerCache.Get();
Vector dfPay = innerCache.Get();
Vector stdDev = innerCache.GetClear();
Vector amount = innerCache.GetClear();
GeneralCashflowProperties properties = fCashflows.GetCashflowProperties(i);
double tPay = CalcUtils.DaysToYears(cashflow.Payment_Date - baseDate);
bool haveDfPay = false;
if (forecastIsDiscount && tPay == tDfStart)
{
dfPay.Assign(dfStart);
haveDfPay = true;
}
using (IntraValuationDiagnosticsHelper.StartCashflow(intraValuationDiagnosticsWriter))
using (var volatilitiesAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(intraValuationDiagnosticsWriter, pv.Count))
{
cashflow.AddPropertiesToIntraValuationDiagnostics(intraValuationDiagnosticsWriter);
// Standard Libor implies single reset.
var reset = cashflow.Resets.Single();
if (reset.IsKnown(baseDate))
{
rate.Assign(reset.Known_Rate);
}
else
{
double tValue = CalcUtils.DaysToYears(valueDate - baseDate);
double tReset = CalcUtils.DaysToYears(reset.Reset_Date - baseDate);
double tStart = CalcUtils.DaysToYears(reset.Rate_Start_Date - baseDate);
double tEnd = CalcUtils.DaysToYears(reset.Rate_End_Date - baseDate);
// Reset is a historical or forward Libor rate.
InterestRateUtils.LiborRate(rate, fForecastRate, tValue, tReset, tStart, tEnd, reset.Rate_Year_Fraction,
dfStart, ref tDfStart, dfEnd, ref tDfEnd);
if (tReset > tValue)
{
GetStandardDeviation(stdDev, tValue, tReset, tStart, tEnd);
volatilitiesAtDateStore.Add(valueDate, reset.Reset_Date, stdDev);
}
}
if (!haveDfPay && forecastIsDiscount && tPay == tDfEnd)
{
dfPay.Assign(dfEnd);
haveDfPay = true;
}
// Add swaplet value
amount.AddProduct(properties.Swap_Multiplier, rate);
double tau = reset.Rate_Year_Fraction;
rate.Assign(1.0 + rate * tau);
// Add cap and floor option values.
AddOptionValue(amount, OptionType.Call, rate, properties.Cap_Strike, stdDev, tau, properties.Cap_Multiplier);
AddOptionValue(amount, OptionType.Put, rate, properties.Floor_Strike, stdDev, tau, properties.Floor_Multiplier);
amount.Assign(fBuySellSign * (cashflow.Fixed_Amount + cashflow.Notional * (amount + cashflow.Margin) * cashflow.Accrual_Year_Fraction));
IntraValuationDiagnosticsHelper.AddImpliedVolatilities(intraValuationDiagnosticsWriter, volatilitiesAtDateStore);
CFFixedList.RoundCashflow(amount, Cashflow_Rounding);
CFFixedList.UpdatePvAndCash(cashflow, baseDate, valueDate, haveDfPay ? null : fDiscountRate, null, amount,
dfPay, pv, cash, intraValuationDiagnosticsWriter);
}
}
return(LoopAction.Continue);
});
}
}
/// <summary>
/// Valuation method.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
CDOValuationParameters parameters = GetValuationParameters(factors);
double scale = (fDeal.Buy_Sell == BuySell.Buy) ? +fDeal.Principal : -fDeal.Principal;
double trancheSize = fDeal.Detachment - fDeal.Attachment;
if (trancheSize < CalcUtils.TINY)
{
return;
}
double tUpfront = CalcUtils.DaysToYears(fDeal.Upfront_Date - factors.BaseDate);
TimeGridIterator tgi = new TimeGridIterator(fT);
CashAccumulators accumulator = valuationResults.Cash;
PVProfiles result = valuationResults.Profile;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector npv = cache.Get();
Vector expectedWritedownPremiumNotional = cache.Get();
Vector expectedLoss = cache.Get();
Vector expectedRecovery = cache.Get();
Vector discountFactor = cache.Get();
Vector realizedIndexLoss = cache.Get();
Vector realizedIndexRecovery = cache.Get();
Vector adjustedAttachment = cache.Get();
Vector adjustedDetachment = cache.Get();
Vector trancheRemainder = cache.Get();
// Handle upfront payment
if (fDeal.Upfront_Date >= tgi.Date)
{
npv.Assign(scale * parameters.DF.Get(tgi.T, tUpfront) * fDeal.Upfront_Amount);
}
else
{
npv.Clear();
}
// reinitialise running variables
expectedWritedownPremiumNotional.Clear();
expectedLoss.Clear();
expectedRecovery.Clear();
discountFactor.Assign(parameters.DF.Get(tgi.T, tgi.T));
if (accumulator != null && tgi.Date == fDeal.Upfront_Date)
{
accumulator.Accumulate(parameters.X, tgi.Date, fDeal.Upfront_Amount);
}
// Check for realized loss and recovery and adjust the attachment and detachment accordingly
parameters.RealizedLoss(realizedIndexLoss, realizedIndexRecovery, tgi.T, fDeal.Payoff_Is_Digital == YesNo.Yes, fDeal.Digital_Payoff_Percentage);
adjustedDetachment.Assign(VectorMath.Max(0.0, VectorMath.Min(1.0 - realizedIndexRecovery, fDeal.Detachment) - realizedIndexLoss));
adjustedAttachment.Assign(VectorMath.Max(0.0, VectorMath.Min(1.0 - realizedIndexRecovery, fDeal.Attachment) - realizedIndexLoss));
trancheRemainder.Assign((adjustedDetachment - adjustedAttachment) / trancheSize);
if (adjustedDetachment.MaxElement() > CalcUtils.TINY)
{
// Diagnostics
double sumDefaultAccrual = 0;
double sumPVPremium = 0;
double sumPVProtection = 0;
bool needDiagnostics = tgi.T == 0.0 && fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None;
using (needDiagnostics ? IntraValuationDiagnosticsHelper.StartCDO(fIntraValuationDiagnosticsWriter, tgi.Date, fDeal.Principal) : null)
{
// Value future coupon periods
VectorEngine.For(0, PayDates.Count, i =>
{
if (PayDates[i] < tgi.Date)
{
return(LoopAction.Continue);
}
double tPay = CalcUtils.DaysToYears(PayDates[i] - factors.BaseDate);
using (var innerCache = Vector.CacheLike(npv))
{
Vector oldExpectedLoss = innerCache.Get(expectedLoss);
Vector oldDiscountFactor = innerCache.Get(discountFactor);
Vector oldExpectedWritedownPremiumNotional = innerCache.Get(expectedWritedownPremiumNotional);
Vector expectedLossAttachment = innerCache.Get();
Vector expectedLossDetachment = innerCache.Get();
Vector premiumLeg = innerCache.Get();
Vector defaultLeg = innerCache.Get();
Vector accruedInDefault = innerCache.Get();
Vector expectedRecoveryAttachment = innerCache.Get();
Vector expectedRecoveryDetachment = innerCache.Get();
Vector avgDiscountFactor = innerCache.Get();
Vector pv = innerCache.Get();
// Get the expected loss and recovery for the tranche detachment and attachment
parameters.ExpectedLossAndRecovery(expectedLossDetachment, expectedRecoveryDetachment, tgi.T, tPay, adjustedDetachment, realizedIndexLoss, realizedIndexRecovery);
parameters.ExpectedLossAndRecovery(expectedLossAttachment, expectedRecoveryAttachment, tgi.T, tPay, adjustedAttachment, realizedIndexLoss, realizedIndexRecovery);
expectedLoss.Assign((expectedLossDetachment - expectedLossAttachment) / trancheSize);
expectedRecovery.Assign((expectedRecoveryDetachment - expectedRecoveryAttachment) / trancheSize);
expectedWritedownPremiumNotional.Assign(expectedLoss + expectedRecovery);
// Premium leg approximation: Accrued in default pays half the accrued. Remove expected loss and recovery (top down writeoff)
premiumLeg.Assign(fDeal.Spread * (trancheRemainder - expectedWritedownPremiumNotional) * Accruals[i]);
accruedInDefault.Assign(fDeal.Spread * (expectedWritedownPremiumNotional - oldExpectedWritedownPremiumNotional) * 0.5 * Accruals[i]);
// Default leg approximation: account for default with bullet payment at end of period
defaultLeg.Assign(expectedLoss - oldExpectedLoss);
// Convention: bought CDO pays the premium to the buyer
discountFactor.Assign(parameters.DF.Get(tgi.T, tPay));
avgDiscountFactor.Assign(0.5 * (discountFactor + oldDiscountFactor));
pv.Assign(scale * (premiumLeg * discountFactor + (accruedInDefault - defaultLeg) * avgDiscountFactor));
npv.Add(pv);
if (accumulator != null && tgi.T == tPay)
{
accumulator.Accumulate(parameters.X, tgi.Date, scale * (premiumLeg + accruedInDefault - defaultLeg));
}
if (needDiagnostics)
{
using (var innerCache1 = Vector.CacheLike(npv))
{
Vector expectedPremium = innerCache1.Get(scale * premiumLeg);
Vector expectedDefaultAccrual = innerCache1.Get(scale * accruedInDefault);
Vector expectedDefaultLoss = innerCache1.Get(scale * defaultLeg);
Vector pvDefaultAccrual = innerCache1.Get(expectedDefaultAccrual * avgDiscountFactor);
Vector pvPremium = innerCache1.Get(expectedPremium * discountFactor);
Vector pvProctection = innerCache1.Get(-expectedDefaultLoss * avgDiscountFactor);
// accumulate sums
if (i >= 0)
{
sumDefaultAccrual += pvDefaultAccrual[0];
sumPVPremium += pvPremium[0];
sumPVProtection += pvProctection[0];
}
using (IntraValuationDiagnosticsHelper.StartCashflow(fIntraValuationDiagnosticsWriter, PayDates[i]))
{
var remainingPool = cache.Get(1.0 - realizedIndexLoss - realizedIndexRecovery);
AddIntraValuationDiagnostics(fIntraValuationDiagnosticsWriter, parameters, adjustedAttachment, adjustedDetachment,
remainingPool, tgi.T, tPay);
IntraValuationDiagnosticsHelper.AddDetailedCDOCashflow(fIntraValuationDiagnosticsWriter,
expectedPremium, expectedRecovery, expectedDefaultAccrual, expectedDefaultLoss, discountFactor, pv);
}
}
}
}
return(LoopAction.Continue);
});
if (needDiagnostics)
{
IntraValuationDiagnosticsHelper.AddSummaryCDOAmounts(fIntraValuationDiagnosticsWriter, npv, sumDefaultAccrual,
sumPVPremium, sumPVProtection);
}
}
result.AppendVector(tgi.Date, npv * parameters.X.Get(tgi.T));
}
}
});
}
// After maturity
result.Complete(fT);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
BondOptionDeal deal = (BondOptionDeal)Deal;
double baseDate = factors.BaseDate;
double notional = deal.Notional;
double interval = deal.Coupon_Interval;
double buySign = (deal.Buy_Sell == BuySell.Buy) ? +1 : -1;
double paySign = (deal.Option_Type == OptionType.Call) ? +1 : -1;
double coupon = Percentage.PercentagePoint * deal.Coupon_Rate;
double tExpiry = CalcUtils.DaysToYears(deal.Expiry_Date - baseDate);
double tMaturity = CalcUtils.DaysToYears(deal.Bond_Maturity_Date - baseDate);
IInterestYieldVol interestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
if ((deal.Amortisation) != null && (deal.Amortisation.Count > 0))
{
notional = deal.Amortisation.GetPrincipal(notional, deal.Expiry_Date);
}
bool respectDefault = Respect_Default == YesNo.Yes && fCreditRating != null;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
using (var pricerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultTime = null;
Vector bondIsAlive = null;
Vector historicalRecovery = null;
if (respectDefault)
{
defaultTime = pricerCache.Get();
bondIsAlive = pricerCache.Get(1.0);
historicalRecovery = pricerCache.GetClear();
fCreditRating.DefaultTime(defaultTime);
}
var defaultedBeforeBaseDate = respectDefault && CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
VectorEngine.For(tgi, () =>
{
using (IntraValuationDiagnosticsHelper.StartValuation(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector optionValue = cache.GetClear();
Vector stdDev = cache.Get(); // Std.Dev of Price
Vector stdDevYield = cache.Get(); //Std.Dev of Yield
Vector price = cache.Get();
Vector yield = cache.Get();
Vector macaulayDuration = cache.Get();
Vector bondValue = cache.Get();
Vector df = cache.Get();
Vector dfr = fRepoIsDiscount ? null : cache.Get();
if (defaultedBeforeBaseDate)
{
result.AppendVector(tgi.Date, optionValue);
return(LoopAction.Break);
}
// This BondPrice function returns the value of the bond cashflows after ExpiryDate, including accrual, discounted back to T.date
double accrual, cash;
PricingFunctions.BondPrice(bondValue, out accrual, out cash, baseDate, tgi.Date, deal.Expiry_Date, deal.Issue_Date, deal.Bond_Maturity_Date, notional, coupon, fPayDates, fAccruals, fDiscountRate, deal.Amortisation, fPrincipals, fFinalPrincipal, fSurvivalProb, +1.0);
// Now check scenario by scenario for defaults, overwriting bondValue as necessary
if (respectDefault)
{
AdjustBondValueForDefault(notional, tExpiry, bondValue, bondIsAlive, historicalRecovery, defaultTime, tgi.T, fDiscountRate, fRecoveryRate);
}
// convert price and duration to forward (tExpiry) basis
if (tgi.Date == deal.Expiry_Date)
{
optionValue.Assign(buySign * VectorMath.Max(0.0, paySign * (bondValue - notional * fStrike)));
cashAccumulators.Accumulate(fFxRate, tgi.Date, optionValue);
}
else
{
fDiscountRate.GetValue(df, tgi.T, tExpiry);
if (fRepoIsDiscount)
{
dfr = df;
}
else
{
fRepoRate.GetValue(dfr, tgi.T, tExpiry);
}
// Need yield and duration to convert yield vol to price vol.
PricingFunctions.BondForwardPriceAndAdjustedMacaulayDuration(price, macaulayDuration, tgi.T, tExpiry, tMaturity, coupon, interval, df, fDiscountRate, fSurvivalProb);
PricingFunctions.BondYieldFromPrice(yield, tExpiry, tMaturity, coupon, interval, price);
// Calculate Modified Duration from Macaulay Duration.
Vector modifiedDuration = cache.GetClear();
PricingFunctions.GetModifiedDuration(modifiedDuration, macaulayDuration, yield, interval);
// Calculate Std.Dev of Yield and Price
interestYieldVol.GetStdDev(stdDevYield, tgi.T, yield, fStrikeYield, tExpiry, tMaturity - tExpiry);
stdDev.Assign(modifiedDuration * stdDevYield);
if (interestYieldVol.GetDistributionType() == ProbabilityDistribution.Lognormal)
{
stdDev.MultiplyBy(yield);
}
price.AssignQuotient(bondValue, df);
PricingFunctions.BlackFunction(optionValue, deal.Option_Type, price, notional * fStrike, stdDev);
optionValue.MultiplyBy(buySign * dfr);
if (fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
// Add Intra-valuation Diagnostics
using (var volatilitiesAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
using (var volatilitiesYieldAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
{
volatilitiesAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDev);
volatilitiesYieldAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDevYield);
IntraValuationDiagnosticsHelper.AddBondOptionProperties(fIntraValuationDiagnosticsWriter, price, dfr, bondValue, accrual,
volatilitiesAtDateStore, volatilitiesYieldAtDateStore);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, optionValue);
}
}
}
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * optionValue);
return(LoopAction.Continue);
}
}
});
}
result.Complete(fT);
}
}
/// <summary>
/// Calculate a valuation profile for the deal for the current scenario.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var deal = (CFListBaseDeal <TCashflowList>)fDeal;
double baseDate = factors.BaseDate;
var tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
double endDate = deal.EndDate();
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, fDeal))
{
using (var outerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultDate = fCreditRating != null?outerCache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
var defaultedBeforeBaseDate = CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
bool collectCash = ValueOnCashflowDates();
var saccrResult = SACCRResultFactory.Create(valuationResults, deal.GetDealReferenceProvider().DealReference,
() => new SACCROptionResult(factors.NumScenarios));
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.GetClear();
Vector cash = collectCash ? cache.GetClear() : null;
if (!defaultedBeforeBaseDate)
{
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T, deal))
{
Value(pv, cash, baseDate, tgi.Date, saccrResult, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, pv);
}
}
if (fCreditRating != null)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
GetDefaultValue(baseDate, tgi.Date, defaultDate, fRecoveryRate, pv, cash);
}
}
result.AppendVector(tgi.Date, pv * fFxRate.Get(tgi.T));
if (!cashAccumulators.Ignore && cash != null)
{
// Realise all value as cash on deal end date
if (tgi.Date == endDate)
{
cash.Assign(pv);
}
cashAccumulators.Accumulate(fFxRate, tgi.Date, cash);
}
}
});
if (!cashAccumulators.Ignore && !collectCash)
{
CollectCashflows(cashAccumulators, baseDate, fT.fHorizon);
// Consolidate and net in order to avoid getting Net incoming and outgoing cashflows with the same payment date,
// e.g. for compounding swaps with both positive and negative rates.
cashAccumulators.ConsolidateAndNet(fCurrency, factors);
}
result.Complete(fT);
}
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var result = valuationResults.Profile;
var cashAccumulator = valuationResults.Cash;
var accruedResults = valuationResults.Results <AccruedInterest>();
var deal = (IInflationCashflowListDeal)Deal;
double sign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
var cashflows = deal.GetCashflows();
var calendar = deal.GetHolidayCalendar();
double baseDate = factors.BaseDate;
var tgi = new TimeGridIterator(fT);
CalculateMetrics(valuationResults, factors, deal);
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, fDeal))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector defaultDate = null;
if (!fIsDefaultNever)
{
defaultDate = fCreditRating != null?cache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
}
Vector pv = cache.GetClear();
Vector cash = cashAccumulator.Ignore ? null : cache.Get();
Vector accruedInterest = cache.GetClear();
VectorEngine.For(tgi, () =>
{
if (!fIsDefaultNever && CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate))
{
result.AppendVector(tgi.Date, pv);
return(LoopAction.Break);
}
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T, fDeal))
{
cashflows.Value(pv, cash, baseDate, tgi.Date, deal.Settlement_Date, fInflationRate, fIndexVolatility,
fDiscountRate, fRepoRate, fSurvivalProb, sign, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, pv);
if (fRecoveryCashflowList != null && fRecoveryCashflowList.Items.Count > 0)
{
fRecoveryCashflowList.Value(pv, cash, baseDate, tgi.Date, deal.Settlement_Date, fDiscountRate, fRepoRate, fInflationRate, fSurvivalProb, sign);
}
// Temporary fix up to avoid calculating default when we know the model doesn't support default
if (!fIsDefaultNever)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
GetDefaultValue(baseDate, tgi.Date, defaultDate, fInflationRate, fIndexVolatility, fRepoRate, pv, cash);
}
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * pv);
if (cash != null)
{
cashAccumulator.Accumulate(fFxRate, tgi.Date, cash);
}
if (accruedResults != null)
{
cashflows.CalculateAccrual(accruedInterest, baseDate, tgi.Date, accruedResults.AccrueFromToday, calendar, fInflationRate, fIndexVolatility, sign);
accruedResults.SetValue(tgi.Date, accruedInterest);
}
else if (fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
cashflows.CalculateAccrual(accruedInterest, baseDate, tgi.Date, false, calendar, fInflationRate, fIndexVolatility, sign);
}
IntraValuationDiagnosticsHelper.AddCashflowsAccruedInterest(fIntraValuationDiagnosticsWriter, accruedInterest);
}
}
return(LoopAction.Continue);
});
// On investment horizon or a bond forward's Settlement Date, the deal value is liquidated as cash.
double endDate = Deal.EndDate();
if (cash != null && endDate <= fT.fHorizon)
{
// If endDate on a payment date, cashflow has already been accummulated (as cash), otherwise is 0.
// Value liquidated is the value of the pv remaining after accummulating the cashflow.
cash.AssignDifference(pv, cash);
cashAccumulator.Accumulate(fFxRate, endDate, cash);
}
}
result.Complete(fT);
}
}
