/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFGeneralInterestSpreadListDeal deal = (CFGeneralInterestSpreadListDeal)Deal;
// Get spread flow characteristics
SpreadCashflowListCharacteristics spreadCashflowCharacteristics = fCashflows.ValuationPriceFactorDependencies(factors.BaseDate, fCurrency, fForecastCurrency, fForecast2Currency);
// vols for first forecast rate
if (spreadCashflowCharacteristics.NeedForecast1YieldVol)
{
fForecast1YieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate1_Swaption_Volatility, fForecastCurrency);
}
if (spreadCashflowCharacteristics.NeedForecast1RateVol)
{
fForecast1RateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate1_Cap_Volatility, fForecastCurrency);
}
// vols for second forecast rate
if (spreadCashflowCharacteristics.NeedForecast2YieldVol)
{
fForecast2YieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate2_Swaption_Volatility, fForecast2Currency);
}
if (spreadCashflowCharacteristics.NeedForecast2RateVol)
{
fForecast2RateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate2_Cap_Volatility, fForecast2Currency);
}
// vols for discount rate
if (spreadCashflowCharacteristics.NeedDiscountYieldVol)
{
fDiscountYieldVol = InterestVolBase.GetYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency);
}
if (spreadCashflowCharacteristics.NeedDiscountRateVol)
{
fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency);
}
bool convexity = spreadCashflowCharacteristics.NeedDiscountYieldVol || spreadCashflowCharacteristics.NeedDiscountRateVol;
if (fForecastCurrency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
fFx1Vol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency);
fForecast1Fx1Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency);
}
if (convexity)
{
fForecast1DiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fCurrency, null, typeof(InterestRate), fForecastCurrency, null);
}
}
if (fForecast2Currency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
fFx2Vol = FXVolHelper.Get(factors, fForecast2Currency, fCurrency);
fForecast2Fx2Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecast2Currency, null, typeof(FxRate), fForecast2Currency, fCurrency);
}
if (convexity)
{
fForecast2DiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fCurrency, null, typeof(InterestRate), fForecast2Currency, null);
}
}
if (spreadCashflowCharacteristics.NeedForecast1Forecast2Correlation)
{
if (fForecastCurrency == fForecast2Currency)
{
// correl between forecast rates in same currency
fForecast1Forecast2Correls = factors.Get <CMSRateCorrelations>(fForecastCurrency);
}
else
{
fForecast1Forecast2Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fForecast2Currency, null);
}
}
}
/// <summary>
/// Warn of unnecessary volatility surface definitions.
/// </summary>
/// <remarks>
/// Test differently if the cap and swaption volatility definitions are the same or
/// distinct because they may have been set by a single property or two distinct ones.
/// </remarks>
private static void ValidateUnnecessaryVolatilities(CFGeneralInterestSpreadListDeal deal, SpreadCashflowListCharacteristics characteristics, ErrorList errors)
{
if (deal.Discount_Rate_Cap_Volatility == deal.Discount_Rate_Swaption_Volatility)
{
if (!characteristics.NeedDiscountRateVol && !characteristics.NeedDiscountYieldVol && !string.IsNullOrEmpty(deal.Discount_Rate_Cap_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Discount_Rate_Cap_Volatility)} and {nameof(deal.Discount_Rate_Swaption_Volatility)} {deal.Discount_Rate_Cap_Volatility}");
}
}
else
{
if (!characteristics.NeedDiscountRateVol && !string.IsNullOrEmpty(deal.Discount_Rate_Cap_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Discount_Rate_Cap_Volatility)} {deal.Discount_Rate_Cap_Volatility}");
}
if (!characteristics.NeedDiscountYieldVol && !string.IsNullOrEmpty(deal.Discount_Rate_Swaption_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Discount_Rate_Swaption_Volatility)} {deal.Discount_Rate_Swaption_Volatility}");
}
}
if (deal.Forecast_Rate1_Cap_Volatility == deal.Forecast_Rate1_Swaption_Volatility)
{
if (!characteristics.NeedForecast1RateVol && !characteristics.NeedForecast1YieldVol && !string.IsNullOrEmpty(deal.Forecast_Rate1_Cap_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Forecast_Rate1_Cap_Volatility)} and {nameof(deal.Forecast_Rate1_Swaption_Volatility)} {deal.Forecast_Rate1_Cap_Volatility}.");
}
}
else
{
if (!characteristics.NeedForecast1RateVol && !string.IsNullOrEmpty(deal.Forecast_Rate1_Cap_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Forecast_Rate1_Cap_Volatility)} {deal.Forecast_Rate1_Cap_Volatility}.");
}
if (!characteristics.NeedForecast1YieldVol && !string.IsNullOrEmpty(deal.Forecast_Rate1_Swaption_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Forecast_Rate1_Swaption_Volatility)} {deal.Forecast_Rate1_Swaption_Volatility}.");
}
}
if (deal.Forecast_Rate2_Cap_Volatility == deal.Forecast_Rate2_Swaption_Volatility)
{
if (!characteristics.NeedForecast2RateVol && !characteristics.NeedForecast2YieldVol && !string.IsNullOrEmpty(deal.Forecast_Rate2_Cap_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Forecast_Rate2_Cap_Volatility)} and {nameof(deal.Forecast_Rate2_Swaption_Volatility)} {deal.Forecast_Rate2_Cap_Volatility}.");
}
}
else
{
if (!characteristics.NeedForecast2RateVol && !string.IsNullOrEmpty(deal.Forecast_Rate2_Cap_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Forecast_Rate2_Cap_Volatility)} {deal.Forecast_Rate2_Cap_Volatility}.");
}
if (!characteristics.NeedForecast2YieldVol && !string.IsNullOrEmpty(deal.Forecast_Rate2_Swaption_Volatility))
{
deal.AddToErrors(errors, ErrorLevel.Info, $"Unnecessary {nameof(deal.Forecast_Rate2_Swaption_Volatility)} {deal.Forecast_Rate2_Swaption_Volatility}.");
}
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CFGeneralInterestSpreadListDeal deal = (CFGeneralInterestSpreadListDeal)Deal;
// Collect registered volatility price factors to check they have the same distribution type
var volPriceFactors = new List <IInterestVol>();
// Get spread flow characteristics
SpreadCashflowListCharacteristics spreadCashflowCharacteristics = deal.Cashflows.ValuationPriceFactorDependencies(factors.BaseDate, fCurrency, fForecastCurrency, fForecast2Currency);
// register volatility surfaces for forecast rate1
if (spreadCashflowCharacteristics.NeedForecast1YieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Forecast_Rate1_Swaption_Volatility, fForecastCurrency));
}
if (spreadCashflowCharacteristics.NeedForecast1RateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate1_Cap_Volatility, fForecastCurrency));
}
// register volatility surfaces for forecast rate2
if (spreadCashflowCharacteristics.NeedForecast2YieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Forecast_Rate2_Swaption_Volatility, fForecast2Currency));
}
if (spreadCashflowCharacteristics.NeedForecast2RateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate2_Cap_Volatility, fForecast2Currency));
}
// vol surfaces for discount rate
if (spreadCashflowCharacteristics.NeedDiscountYieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency));
}
if (spreadCashflowCharacteristics.NeedDiscountRateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency));
}
bool convexity = spreadCashflowCharacteristics.NeedDiscountYieldVol || spreadCashflowCharacteristics.NeedDiscountRateVol;
if (fForecastCurrency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
FXVolHelper.Register(factors, fForecastCurrency, fCurrency);
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IFxRate), fForecastCurrency, fCurrency);
}
if (convexity)
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fCurrency, null, typeof(IInterestRate), fForecastCurrency, null);
}
}
if (fForecast2Currency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
FXVolHelper.Register(factors, fForecast2Currency, fCurrency);
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecast2Currency, null, typeof(IFxRate), fForecast2Currency, fCurrency);
}
if (convexity)
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fCurrency, null, typeof(IInterestRate), fForecast2Currency, null);
}
}
if (spreadCashflowCharacteristics.NeedForecast1Forecast2Correlation)
{
if (fForecastCurrency == fForecast2Currency)
{
// correl between forecast rates in same currency
factors.Register <CMSRateCorrelations>(fForecastCurrency);
}
else
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IInterestRate), fForecast2Currency, null);
}
}
if (volPriceFactors.Select(pf => pf.GetDistributionType()).Distinct().Count() > 1)
{
Deal.AddToErrors(errors, "Volatility price factors must have the same distribution type.");
}
ValidateUnnecessaryVolatilities(deal, spreadCashflowCharacteristics, errors);
}
