//public List<CashFlow> interestCashflows()
//{
// List<CashFlow> icf = new List<CashFlow>();
// foreach (CashFlow cf in cashflows())
// {
// if (cf is QLNet.FixedRateCoupon)
// icf.Add(cf);
// }
// return icf;
//}
public List<CashFlow> expectedCashflows()
{
calcBondFactor();
List<CashFlow> expectedcashflows = new List<CashFlow>();
List<double> notionals = new InitializedList<double>(schedule_.Count);
notionals[0] = notionals_[0];
for (int i = 0; i < schedule_.Count - 1; ++i)
{
double currentNotional = notionals[i];
double smm = SMM(schedule_[i]);
double prepay = (notionals[i] * bondFactors_[i + 1]) / bondFactors_[i] * smm;
double actualamort = currentNotional * (1 - bondFactors_[i + 1] / bondFactors_[i]);
notionals[i + 1] = currentNotional - actualamort - prepay;
// ADD
CashFlow c1 = new VoluntaryPrepay(prepay, schedule_[i + 1]);
CashFlow c2 = new AmortizingPayment(actualamort, schedule_[i + 1]);
CashFlow c3 = new FixedRateCoupon(currentNotional, schedule_[i + 1], new InterestRate(PassThroughRate_, dCounter_, Compounding.Simple), schedule_[i], schedule_[i + 1]);
expectedcashflows.Add(c1);
expectedcashflows.Add(c2);
expectedcashflows.Add(c3);
}
notionals[notionals.Count - 1] = 0.0;
return expectedcashflows;
}
//public List<CashFlow> interestCashflows()
//{
// List<CashFlow> icf = new List<CashFlow>();
// foreach (CashFlow cf in cashflows())
// {
// if (cf is QLNet.FixedRateCoupon)
// icf.Add(cf);
// }
// return icf;
//}
public List <CashFlow> expectedCashflows()
{
calcBondFactor();
List <CashFlow> expectedcashflows = new List <CashFlow>();
List <double> notionals = new InitializedList <double>(schedule_.Count);
notionals[0] = notionals_[0];
for (int i = 0; i < schedule_.Count - 1; ++i)
{
double currentNotional = notionals[i];
double smm = SMM(schedule_[i]);
double prepay = (notionals[i] * bondFactors_[i + 1]) / bondFactors_[i] * smm;
double actualamort = currentNotional * (1 - bondFactors_[i + 1] / bondFactors_[i]);
notionals[i + 1] = currentNotional - actualamort - prepay;
// ADD
CashFlow c1 = new VoluntaryPrepay(prepay, schedule_[i + 1]);
CashFlow c2 = new AmortizingPayment(actualamort, schedule_[i + 1]);
CashFlow c3 = new FixedRateCoupon(currentNotional, schedule_[i + 1], new InterestRate(PassThroughRate_, dCounter_, Compounding.Simple, Frequency.Annual), schedule_[i], schedule_[i + 1]);
expectedcashflows.Add(c1);
expectedcashflows.Add(c2);
expectedcashflows.Add(c3);
}
notionals[notionals.Count - 1] = 0.0;
return(expectedcashflows);
}
protected void addRedemptionsToCashflows(List <double> redemptions)
{
// First, we gather the notional information from the cashflows
calculateNotionalsFromCashflows();
// Then, we create the redemptions based on the notional
// information and we add them to the cashflows vector after
// the coupons.
redemptions_.Clear();
for (int i = 1; i < notionalSchedule_.Count; ++i)
{
double R = i < redemptions.Count ? redemptions[i] :
!redemptions.empty() ? redemptions.Last() :
100.0;
double amount = (R / 100.0) * (notionals_[i - 1] - notionals_[i]);
CashFlow redemption;
if (i < notionalSchedule_.Count - 1)
{
//payment.reset(new AmortizingPayment(amount,notionalSchedule_[i]));
redemption = new AmortizingPayment(amount, notionalSchedule_[i]);
}
else
{
//payment.reset(new Redemption(amount, notionalSchedule_[i]));
redemption = new Redemption(amount, notionalSchedule_[i]);
}
//CashFlow redemption = new SimpleCashFlow(amount, notionalSchedule_[i]);
cashflows_.Add(redemption);
redemptions_.Add(redemption);
}
// stable_sort now moves the redemptions to the right places
// while ensuring that they follow coupons with the same date.
cashflows_.Sort();
}
void addEffectiveInterestRateAmortizing()
{
// Amortizing Schedule
Schedule schedule = new Schedule(_tradeDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
double currentNominal = _marketValue;
Date prevDate = _tradeDate;
Date actualDate = _tradeDate;
for (int i = 1; i < schedule.Count; ++i)
{
actualDate = schedule[i];
InterestRate rate = new InterestRate(_yield, _dCounter, Compounding.Simple, Frequency.Annual);
InterestRate rate2 = new InterestRate(_couponRate, _dCounter, Compounding.Simple, Frequency.Annual);
FixedRateCoupon r, r2;
if (i > 1)
{
r = new FixedRateCoupon(actualDate, currentNominal, rate, prevDate, actualDate, prevDate, actualDate);
r2 = new FixedRateCoupon(actualDate, currentNominal, rate2, prevDate, actualDate, prevDate, actualDate, null, _originalPayment);
}
else
{
Calendar nullCalendar = new NullCalendar();
Period p1 = new Period(_payFrequency);
Date testDate = nullCalendar.advance(actualDate, -1 * p1);
r = new FixedRateCoupon(actualDate, currentNominal, rate, testDate, actualDate, prevDate, actualDate);
r2 = new FixedRateCoupon(actualDate, currentNominal, rate2, testDate, actualDate, prevDate, actualDate, null, _originalPayment);
}
double amort = Math.Round(Math.Abs(_originalPayment - r.amount()), 2);
AmortizingPayment p = new AmortizingPayment(amort, actualDate);
if (_isPremium)
{
currentNominal -= Math.Abs(amort);
}
else
{
currentNominal += Math.Abs(amort);
}
cashflows_.Add(r2);
cashflows_.Add(p);
prevDate = actualDate;
}
// Add single redemption for yield calculation
setSingleRedemption(_faceValue, 100, _maturityDate);
}
/*! This method can be called by derived classes in order to
* build redemption payments from the existing cash flows.
* It must be called after setting up the cashflows_ vector
* and will fill the notionalSchedule_, notionals_, and
* redemptions_ data members.
*
* If given, the elements of the redemptions vector will
* multiply the amount of the redemption cash flow. The
* elements will be taken in base 100, i.e., a redemption
* equal to 100 does not modify the amount.
*
* \pre The cashflows_ vector must contain at least one
* coupon and must be sorted by date.
*/
protected void addRedemptionsToCashflows(List <double> redemptions = null)
{
if (redemptions == null)
{
redemptions = new List <double>();
}
// First, we gather the notional information from the cashflows
calculateNotionalsFromCashflows();
// Then, we create the redemptions based on the notional
// information and we add them to the cashflows vector after
// the coupons.
redemptions_.Clear();
for (int i = 1; i < notionalSchedule_.Count; ++i)
{
double R = i < redemptions.Count ? redemptions[i] :
!redemptions.empty() ? redemptions.Last() :
100.0;
double amount = (R / 100.0) * (notionals_[i - 1] - notionals_[i]);
CashFlow payment;
if (i < notionalSchedule_.Count - 1)
{
payment = new AmortizingPayment(amount, notionalSchedule_[i]);
}
else
{
payment = new Redemption(amount, notionalSchedule_[i]);
}
cashflows_.Add(payment);
redemptions_.Add(payment);
}
// stable_sort now moves the AmortizingPayment and Redemptions to the right places
// while ensuring that they follow coupons with the same date.
cashflows_ = cashflows_.OrderBy(x => x.date()).ToList();
}
void addEffectiveInterestRateAmortizing()
{
// Amortizing Schedule
Schedule schedule = new Schedule(_tradeDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
double currentNominal = _marketValue;
Date prevDate = _tradeDate;
Date actualDate = _tradeDate;
for (int i = 1; i < schedule.Count; ++i)
{
actualDate = schedule[i];
InterestRate rate = new InterestRate(_yield, _dCounter, Compounding.Simple, Frequency.Annual);
InterestRate rate2 = new InterestRate(_couponRate, _dCounter, Compounding.Simple, Frequency.Annual);
FixedRateCoupon r,r2;
if (i > 1)
{
r = new FixedRateCoupon(currentNominal, actualDate, rate, prevDate, actualDate, prevDate, actualDate);
r2 = new FixedRateCoupon(currentNominal, actualDate, rate2, prevDate, actualDate, prevDate, actualDate, null,_originalPayment);
}
else
{
Calendar nullCalendar = new NullCalendar();
Period p1 = new Period(_payFrequency);
Date testDate = nullCalendar.advance(actualDate, -1 * p1);
r = new FixedRateCoupon(currentNominal, actualDate, rate, testDate, actualDate, prevDate, actualDate);
r2 = new FixedRateCoupon(currentNominal, actualDate, rate2, testDate, actualDate, prevDate, actualDate, null,_originalPayment);
}
double amort = Math.Round(Math.Abs(_originalPayment - r.amount()),2);
AmortizingPayment p = new AmortizingPayment(amort, actualDate);
if (_isPremium)
currentNominal -= Math.Abs(amort);
else
currentNominal += Math.Abs(amort);
cashflows_.Add(r2);
cashflows_.Add(p);
prevDate = actualDate;
}
// Add single redemption for yield calculation
setSingleRedemption(_faceValue, 100, _maturityDate);
}
