public static FixedRateCoupon as_fixed_rate_coupon(CashFlow cf)
{
FixedRateCoupon ret = new FixedRateCoupon(NQuantLibcPINVOKE.as_fixed_rate_coupon(CashFlow.getCPtr(cf)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public override void calculate()
{
Utils.QL_REQUIRE(integrationStep_ != null, () => "null period set");
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discount term structure set");
Utils.QL_REQUIRE(!probability_.empty(), () => "no probability term structure set");
Date today = Settings.evaluationDate();
Date settlementDate = discountCurve_.link.referenceDate();
// Upfront Flow NPV. Either we are on-the-run (no flow)
// or we are forward start
double upfPVO1 = 0.0;
if (!arguments_.upfrontPayment.hasOccurred(settlementDate, includeSettlementDateFlows_))
{
// date determining the probability survival so we have to pay
// the upfront (did not knock out)
Date effectiveUpfrontDate =
arguments_.protectionStart > probability_.link.referenceDate() ?
arguments_.protectionStart : probability_.link.referenceDate();
upfPVO1 =
probability_.link.survivalProbability(effectiveUpfrontDate) *
discountCurve_.link.discount(arguments_.upfrontPayment.date());
}
results_.upfrontNPV = upfPVO1 * arguments_.upfrontPayment.amount();
results_.couponLegNPV = 0.0;
results_.defaultLegNPV = 0.0;
for (int i = 0; i < arguments_.leg.Count; ++i)
{
if (arguments_.leg[i].hasOccurred(settlementDate,
includeSettlementDateFlows_))
{
continue;
}
FixedRateCoupon coupon = arguments_.leg[i] as FixedRateCoupon;
// In order to avoid a few switches, we calculate the NPV
// of both legs as a positive quantity. We'll give them
// the right sign at the end.
Date paymentDate = coupon.date(),
startDate = (i == 0 ? arguments_.protectionStart :
coupon.accrualStartDate()),
endDate = coupon.accrualEndDate();
Date effectiveStartDate =
(startDate <= today && today <= endDate) ? today : startDate;
double couponAmount = coupon.amount();
double S = probability_.link.survivalProbability(paymentDate);
// On one side, we add the fixed rate payments in case of
// survival.
results_.couponLegNPV +=
S * couponAmount * discountCurve_.link.discount(paymentDate);
// On the other side, we add the payment (and possibly the
// accrual) in case of default.
Period step = integrationStep_;
Date d0 = effectiveStartDate;
Date d1 = Date.Min(d0 + step, endDate);
double P0 = probability_.link.defaultProbability(d0);
double endDiscount = discountCurve_.link.discount(paymentDate);
do
{
double B =
arguments_.paysAtDefaultTime ?
discountCurve_.link.discount(d1) :
endDiscount;
double P1 = probability_.link.defaultProbability(d1);
double dP = P1 - P0;
// accrual...
if (arguments_.settlesAccrual)
{
if (arguments_.paysAtDefaultTime)
{
results_.couponLegNPV +=
coupon.accruedAmount(d1) * B * dP;
}
else
{
results_.couponLegNPV +=
couponAmount * B * dP;
}
}
// ...and claim.
double claim = arguments_.claim.amount(d1,
arguments_.notional.Value,
recoveryRate_);
results_.defaultLegNPV += claim * B * dP;
// setup for next time around the loop
P0 = P1;
d0 = d1;
d1 = Date.Min(d0 + step, endDate);
}while (d0 < endDate);
}
double upfrontSign = 1.0;
switch (arguments_.side)
{
case Protection.Side.Seller:
results_.defaultLegNPV *= -1.0;
break;
case Protection.Side.Buyer:
results_.couponLegNPV *= -1.0;
results_.upfrontNPV *= -1.0;
upfrontSign = -1.0;
break;
default:
Utils.QL_FAIL("unknown protection side");
break;
}
results_.value =
results_.defaultLegNPV + results_.couponLegNPV + results_.upfrontNPV;
results_.errorEstimate = null;
if (results_.couponLegNPV.IsNotEqual(0.0))
{
results_.fairSpread =
-results_.defaultLegNPV * arguments_.spread / results_.couponLegNPV;
}
else
{
results_.fairSpread = null;
}
double upfrontSensitivity = upfPVO1 * arguments_.notional.Value;
if (upfrontSensitivity.IsNotEqual(0.0))
{
results_.fairUpfront =
-upfrontSign * (results_.defaultLegNPV + results_.couponLegNPV)
/ upfrontSensitivity;
}
else
{
results_.fairUpfront = null;
}
if (arguments_.spread.IsNotEqual(0.0))
{
results_.couponLegBPS =
results_.couponLegNPV * Const.BASIS_POINT / arguments_.spread;
}
else
{
results_.couponLegBPS = null;
}
if (arguments_.upfront.HasValue && arguments_.upfront.IsNotEqual(0.0))
{
results_.upfrontBPS =
results_.upfrontNPV * Const.BASIS_POINT / (arguments_.upfront.Value);
}
else
{
results_.upfrontBPS = null;
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FixedRateCoupon obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FixedRateCoupon obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public override void calculate()
{
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discount term structure set");
Utils.QL_REQUIRE(!probability_.empty(), () => "no probability term structure set");
Date today = Settings.evaluationDate();
Date settlementDate = discountCurve_.link.referenceDate();
// Upfront Flow NPV. Either we are on-the-run (no flow)
// or we are forward start
double upfPVO1 = 0.0;
if (!arguments_.upfrontPayment.hasOccurred(settlementDate, includeSettlementDateFlows_))
{
// date determining the probability survival so we have to pay
// the upfront (did not knock out)
Date effectiveUpfrontDate = arguments_.protectionStart > probability_.link.referenceDate() ?
arguments_.protectionStart : probability_.link.referenceDate();
upfPVO1 = probability_.link.survivalProbability(effectiveUpfrontDate) *
discountCurve_.link.discount(arguments_.upfrontPayment.date());
}
results_.upfrontNPV = upfPVO1 * arguments_.upfrontPayment.amount();
results_.couponLegNPV = 0.0;
results_.defaultLegNPV = 0.0;
for (int i = 0; i < arguments_.leg.Count; ++i)
{
if (arguments_.leg[i].hasOccurred(settlementDate, includeSettlementDateFlows_))
{
continue;
}
FixedRateCoupon coupon = arguments_.leg[i] as FixedRateCoupon;
// In order to avoid a few switches, we calculate the NPV
// of both legs as a positive quantity. We'll give them
// the right sign at the end.
Date paymentDate = coupon.date(),
startDate = coupon.accrualStartDate(),
endDate = coupon.accrualEndDate();
// this is the only point where it might not coincide
if (i == 0)
{
startDate = arguments_.protectionStart;
}
Date effectiveStartDate =
(startDate <= today && today <= endDate) ? today : startDate;
Date defaultDate = // mid-point
effectiveStartDate + (endDate - effectiveStartDate) / 2;
double S = probability_.link.survivalProbability(paymentDate);
double P = probability_.link.defaultProbability(effectiveStartDate, endDate);
// on one side, we add the fixed rate payments in case of
// survival...
results_.couponLegNPV +=
S * coupon.amount() *
discountCurve_.link.discount(paymentDate);
// ...possibly including accrual in case of default.
if (arguments_.settlesAccrual)
{
if (arguments_.paysAtDefaultTime)
{
results_.couponLegNPV +=
P * coupon.accruedAmount(defaultDate) *
discountCurve_.link.discount(defaultDate);
}
else
{
// pays at the end
results_.couponLegNPV +=
P * coupon.amount() *
discountCurve_.link.discount(paymentDate);
}
}
// on the other side, we add the payment in case of default.
double claim = arguments_.claim.amount(defaultDate,
arguments_.notional.Value,
recoveryRate_);
if (arguments_.paysAtDefaultTime)
{
results_.defaultLegNPV +=
P * claim * discountCurve_.link.discount(defaultDate);
}
else
{
results_.defaultLegNPV +=
P * claim * discountCurve_.link.discount(paymentDate);
}
}
double upfrontSign = 1.0;
switch (arguments_.side)
{
case Protection.Side.Seller:
results_.defaultLegNPV *= -1.0;
break;
case Protection.Side.Buyer:
results_.couponLegNPV *= -1.0;
results_.upfrontNPV *= -1.0;
upfrontSign = -1.0;
break;
default:
Utils.QL_FAIL("unknown protection side");
break;
}
results_.value = results_.defaultLegNPV + results_.couponLegNPV + results_.upfrontNPV;
results_.errorEstimate = null;
if (results_.couponLegNPV.IsNotEqual(0.0))
{
results_.fairSpread =
-results_.defaultLegNPV * arguments_.spread / results_.couponLegNPV;
}
else
{
results_.fairSpread = null;
}
double upfrontSensitivity = upfPVO1 * arguments_.notional.Value;
if (upfrontSensitivity.IsNotEqual(0.0))
{
results_.fairUpfront =
-upfrontSign * (results_.defaultLegNPV + results_.couponLegNPV)
/ upfrontSensitivity;
}
else
{
results_.fairUpfront = null;
}
if (arguments_.spread.IsNotEqual(0.0))
{
results_.couponLegBPS =
results_.couponLegNPV * basisPoint / arguments_.spread.Value;
}
else
{
results_.couponLegBPS = null;
}
if (arguments_.upfront.HasValue && arguments_.upfront.IsNotEqual(0.0))
{
results_.upfrontBPS =
results_.upfrontNPV * basisPoint / (arguments_.upfront.Value);
}
else
{
results_.upfrontBPS = null;
}
}
public static FixedRateCoupon as_fixed_rate_coupon(CashFlow cf) {
FixedRateCoupon ret = new FixedRateCoupon(NQuantLibcPINVOKE.as_fixed_rate_coupon(CashFlow.getCPtr(cf)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}