public double Price(IProcess process, IState st0, double t0, double step, int n)
{
var ret = new List <double>();
List <IEnumerable <IState> > pathsToStrike = Enumerable.Range(0, n).Select(_ => process.generatePathFrom(st0, t0, step, ExecutionTime)).ToList();
int n2 = (int)Math.Sqrt(n);
foreach (var path in pathsToStrike)
{
double zbp = 1;
foreach (var x in path)
{
zbp *= Math.Exp(-x.r * step);
}
double bondPriceAtStrike = UnderlyingBond.Price(process, path.Last(), ExecutionTime, step, n2);
if (Type == OptionType.Call)
{
ret.Add(Math.Max(bondPriceAtStrike - StrikePrice, 0));
}
else //Put
{
ret.Add(Math.Max(StrikePrice - bondPriceAtStrike, 0));
}
}
return(ret.Average());
}
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precedence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new BondTransactionAnalytic();
}
var bondControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation bondValuation;
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
ModelData.AssetValuation.quote = quotes.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
IRateCurve rateDiscountCurve = null;
//2. Sets the evolution type for coupon and payment calculations.
Coupons.PricingStructureEvolutionType = PricingStructureEvolutionType;
Coupons.BucketedDates = BucketedDates;
Coupons.Multiplier = Multiplier;
if (AdditionalPayments != null)
{
foreach (var payment in AdditionalPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
}
//3. Aggregate the child metrics.
List <AssetValuation> childValuations = new List <AssetValuation> {
Coupons?.Calculate(modelData)
};
if (GetAdditionalPayments() != null)
{
var paymentControllers = new List <InstrumentControllerBase>(GetAdditionalPayments());
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);
childControllerValuations.id = Id + ".BondCouponRateStreams";
//4. Calc the asset as a little extra
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var metricsAsString = metrics.Select(metric => metric.ToString()).ToList();
var controllerData = PriceableAssetFactory.CreateAssetControllerData(metricsAsString.ToArray(), modelData.ValuationDate, modelData.MarketEnvironment);
UnderlyingBond.Multiplier = Multiplier;
UnderlyingBond.Calculate(controllerData);
//5. Now do the bond calculations.
if (bondControllerMetrics.Count > 0)
{
CalculationResults = new BondTransactionResults();
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
var bondCurve = (IBondCurve)modelData.MarketEnvironment.GetPricingStructure(BondCurveName);
if (bondCurve != null)
{
var marketDataType =
bondCurve.GetPricingStructureId().Properties.GetValue <string>(AssetMeasureEnum.MarketQuote.ToString(), false);
if (marketDataType != null && marketDataType == BondPriceEnum.YieldToMaturity.ToString())
{
IsYTMQuote = true;
}
//TODO handle the other cases like: AssetSwapSpread; DirtyPrice and ZSpread.
var mq = (decimal)bondCurve.GetYieldToMaturity(modelData.ValuationDate, SettlementDate);
Quote = BasicQuotationHelper.Create(mq, AssetMeasureEnum.MarketQuote.ToString(),
PriceQuoteUnitsEnum.DecimalRate.ToString());
}
rateDiscountCurve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(DiscountCurveName);
}
//Generate the vectors
const bool isBuyerInd = true;
var analyticModelParameters = new BondTransactionParameters
{
IsBuyerInd = isBuyerInd,
AccrualYearFractions = GetCouponAccrualFactors(),
Multiplier = Multiplier,
Quote = QuoteValue,
CouponRate = UnderlyingBond.GetCouponRate(),
NotionalAmount = UnderlyingBond.Notional,
Frequency = UnderlyingBond.Frequency,
IsYTMQuote = IsYTMQuote,
AccruedFactor = UnderlyingBond.GetAccruedFactor(),
RemainingAccruedFactor = UnderlyingBond.GetRemainingAccruedFactor(),
PaymentDiscountFactors =
GetDiscountFactors(rateDiscountCurve, Coupons.StreamPaymentDates.ToArray(), modelData.ValuationDate),
};
//5. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.PaymentDiscountFactors.Length);
//6. Set the analytic input parameters and Calculate the respective metrics
AnalyticModelParameters = analyticModelParameters;
CalculationResults = AnalyticsModel.Calculate <IBondTransactionResults, BondTransactionResults>(analyticModelParameters, metrics.ToArray());
// Now merge back into the overall stream valuation
var bondControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
bondValuation = AssetValuationHelper.UpdateValuation(bondControllerValuation,
childControllerValuations, ConvertMetrics(bondControllerMetrics), new List <string>(Metrics));
}
else
{
bondValuation = childControllerValuations;
}
// store inputs and results from this run
CalculationPerformedIndicator = true;
bondValuation.id = Id;
return(bondValuation);
}