/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
/// <param name="factors">Price factors.</param>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
fIsDefaultNever = !NeedCreditRating();
fCreditRating = NeedCreditRating() ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = NeedRecoveryRate() ? factors.Get <RecoveryRate>(GetRecoveryRateID()) : null;
fSurvivalProb = NeedSurvivalProb() ? factors.GetInterface <ISurvivalProb>(GetSurvivalProbID()) : null;
fInflationRate = !string.IsNullOrEmpty(deal.Index) ? factors.GetInterface <IInflationRate>(deal.Index) : null;
fRepoRate = !string.IsNullOrEmpty(deal.Repo_Rate) ? factors.GetInterface <IInterestRate>(deal.Repo_Rate) : fDiscountRate;
fIndexVolatility = deal is InflationOptionCashflowListDeal?factors.GetInterface <IPriceIndexVolatility>(GetPriceIndexVolatility()) : null;
}
/// <summary>
/// Returns the payment amount on settlement date based on the cashflowlist.
/// </summary>
/// <remarks>
/// The payment amount on settlement date will be either the dirty price of the bond or the clean price of the bond plus
/// the accrued interest (two cashflows). Note that for a long position in a bond forward, this value is negative
/// (indicating outgoing cashflow).
/// </remarks>
protected virtual void GetSettlementAmount(Vector amount, double valueDate, double baseDate, IInflationRate inflationRate, IPriceIndexVolatility indexVolatility)
{
amount.Clear();
using (var cache = Vector.CacheLike(amount))
{
var deal = (IInflationCashflowListDeal)Deal;
var cashflows = deal.GetCashflows();
Vector settlementPay = cache.Get();
for (int i = 0; i < cashflows.Count(); ++i)
{
if (cashflows.GetCashflow(i).Payment_Date < deal.Settlement_Date)
{
continue;
}
else if (cashflows.GetCashflow(i).Payment_Date == deal.Settlement_Date)
{
cashflows.GetCashflow(i).ExpectedAmount(settlementPay, CalcUtils.DaysToYears(valueDate - baseDate), inflationRate, indexVolatility,
IntraValuationDiagnosticsWriterFactory.GetOrCreate(IntraValuationDiagnosticsLevel.None));
amount.Add(settlementPay);
}
else
{
break;
}
}
}
}
/// <summary>
/// Modify the pv and cash taking the date of default into account.
/// </summary>
protected void GetDefaultValue(double baseDate, double valueDate, Vector defaultDate, IInflationRate inflationRate, IPriceIndexVolatility indexVolatility, IInterestRate repo, Vector pv, Vector cash)
{
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
double settlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double buySellSign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
if (repo == null)
{
repo = fDiscountRate;
}
using (var cache = Vector.CacheLike(pv))
{
Vector principal = cache.Get();
GetCurrentExposure(principal, t, valueDate, inflationRate);
// Approximation: recover only principal, neglecting accrued interest.
Vector recovery = cache.Get(buySellSign * principal * fRecoveryRate.Get(t));
if (valueDate <= settlementDate)
{
// Set the pv to (recovery - |settlementAmount|) * df when defaultDate <= valueDate <= settlementDate.
// Set cash to (recovery - |settlementAmount|) when defaultDate <= valueDate = settlementDate (cash is always zero before settlementDate).
// Note that GetSettlementAmount(...) will return a negative value for a long bond position, indicating an outgoing cashflow.
double tSettle = CalcUtils.DaysToYears(settlementDate - baseDate);
Vector settlementAmount = cache.Get();
GetSettlementAmount(settlementAmount, valueDate, baseDate, inflationRate, indexVolatility);
settlementAmount.MultiplyBy(buySellSign);
Vector hasDefaulted = cache.Get(defaultDate <= valueDate);
pv.AssignConditional(hasDefaulted, repo.Get(t, tSettle) * (recovery + settlementAmount), pv);
if (cash != null && valueDate == settlementDate)
{
cash.AssignConditional(hasDefaulted, pv, cash);
}
}
else
{
// after settlement date
recovery.MultiplyBy(defaultDate >= valueDate); // set to zero if already defaulted
Vector notDefaulted = cache.Get(defaultDate > valueDate);
pv.AssignConditional(notDefaulted, pv, recovery);
if (cash != null)
{
cash.AssignConditional(notDefaulted, cash, recovery);
}
}
}
}
