public PriceFactorList Factors; // temporary expedient
/// <summary>
/// Constructor.
/// </summary>
public CDOTopDownValuationParameters(DealCDO deal, PriceFactorList factors)
: base(deal, factors)
{
EL = factors.GetInterface <IExpectedLoss>(deal.Reference_Index);
RL = factors.GetInterface <IRealizedLoss>(deal.Reference_Index);
Factors = factors;
}
/// <summary>
/// Constructor.
/// </summary>
public CreditValuationParameters(DealCreditBase deal, CreditBaseValuation valuation, PriceFactorList factors, VectorScopedCache.Scope cache)
{
DF = DiscountRate.Get(factors, InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency));
X = factors.GetInterface <IFxRate>(deal.Currency);
SP = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Name : deal.Survival_Probability);
RR = null;
CR = null;
DefaultTime = null;
Weights = null;
NamesDefaultedBeforeBaseDate = null;
if (valuation.Respect_Default == YesNo.Yes)
{
List <string> names = new List <string>();
if (deal.ProtectionReferenceType() == DealCreditBase.ReferenceType.Single_Name)
{
names.Add(deal.Name);
Weights = new double[] { 1.0 };
}
else
{
IndexCDSPool indexCds = factors.Get <IndexCDSPool>(deal.Name);
Weights = new double[indexCds.Names.Count];
for (int i = 0; i < indexCds.Names.Count; ++i)
{
names.Add(indexCds.Names[i].Name);
Weights[i] = indexCds.Names[i].Weight;
}
}
if (valuation.RequiresRecoveryOnDefault())
{
RR = new RecoveryRate[names.Count];
for (int i = 0; i < names.Count; ++i)
{
RR[i] = factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? names[i] : deal.Recovery_Rate);
}
}
CR = new CreditRating[names.Count];
NamesDefaultedBeforeBaseDate = new bool[names.Count];
DefaultTime = new Vector[names.Count];
for (int i = 0; i < names.Count; ++i)
{
DefaultTime[i] = cache.Get();
CR[i] = factors.Get <CreditRating>(names[i]);
NamesDefaultedBeforeBaseDate[i] = CreditRating.DefaultedBeforeBaseDate(CR[i], factors.BaseDate);
CR[i].DefaultTime(DefaultTime[i]);
}
}
}
/// <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;
}
/// <inheritdoc />
public void PreValue(PriceFactorList factors)
{
var deal = (SwaptionDeal)Deal;
var discountId = InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency);
var forecastId = InterestRateUtils.GetRateId(deal.Forecast_Rate, discountId);
fModelParameters = factors.Get <HullWhite1FactorModelParameters>(fModelParametersId);
fFxRate = factors.GetInterface <IFxRate>(deal.Currency);
fDiscountRate = DiscountRate.Get(factors, discountId);
fForecastRate = factors.GetInterface <IInterestRate>(forecastId);
fQuadrature = new Lazy <GaussHermiteNormalQuadrature>(() => new GaussHermiteNormalQuadrature(30));
}
/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
SetModelParameters(fItems);
PreValueDeals(fItems, factors);
CallableStructuredDeal deal = (CallableStructuredDeal)Deal;
// Set volatility price factors if they have been registered by model or underlying deals
InterestVol.TryGet <IInterestRateVol>(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency, out fInterestRateVol);
InterestVol.TryGet <IInterestYieldVol>(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency, out fInterestYieldVol);
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
if (needRating)
{
fCreditRating = factors.Get <CreditRating>(deal.Issuer);
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
if (needSurvival)
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
BondFutureOption deal = (BondFutureOption)Deal;
fInterestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
var bfb = (BondFuturesBasis)fFuturesBasis;
GenerateCTD(factors.BaseDate, bfb.CTD_Issue_Date, bfb.CTD_Maturity_Date, bfb.CTD_Coupon_Interval, bfb.CTD_First_Coupon_Date, bfb.CTD_Penultimate_Coupon_Date, bfb.CTD_Day_Count, Deal.GetHolidayCalendar(), bfb.CTD_Coupon_Rate, bfb.CTD_Conversion_Factor);
if (NeedRating(Respect_Default, deal.Issuer))
{
fCreditRating = factors.Get <CreditRating>(deal.Issuer);
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
else
{
fCreditRating = null;
fRecoveryRate = null;
}
if (NeedSurvivalProbability(Use_Survival_Probability, deal.Issuer))
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(InterestRateUtils.GetRateId(deal.Survival_Probability, deal.Issuer));
}
else
{
fSurvivalProb = null;
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
// Set up cashflow list
IInflationRate inflationRate = deal.NeedInflationRate() ? factors.GetInterface <IInflationRate>(deal.Index) : null;
deal.GetCashflows().PreCloneInitialize(factors.BaseDate, inflationRate, deal.GetHolidayCalendar());
// Add to valuation time grid
deal.AddPayDates(fT);
if (deal.Investment_Horizon > 0.0)
{
fT.AddPayDate(deal.Investment_Horizon, requiredResults.CashRequired());
}
if (deal.Settlement_Date > 0.0)
{
fT.AddPayDate(deal.Settlement_Date, requiredResults.CashRequired());
}
// Recovery cashflows are created on the fly to respect customized cashflows
if (NeedRecoveryCashflows())
{
fRecoveryCashflowList = new CFRecoveryInflationList();
fRecoveryCashflowList.PopulateRecoveryCashflowList(factors.BaseDate, deal.Settlement_Date, deal.GetCashflows());
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CommodityFuture deal = (CommodityFuture)Deal;
fCommodityPrice = factors.GetInterface <ICommodityPrice>(deal.Commodity);
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)fDeal;
// Get factor for translation from rate currency to settlement currency for cashflows with FX reset date
if (!string.IsNullOrEmpty(deal.Rate_Currency) && deal.Rate_Currency != fCurrency)
{
fRateFxRate = factors.GetInterface <IFxRate>(deal.Rate_Currency);
}
}
/// <summary>
/// Get price factors.
/// </summary>
private void PreValue(PriceFactorList factors)
{
var deal = (CalendarSpreadOption)Deal;
// Get forward price samples.
fForwardSample = factors.Get <ForwardPriceSample>(deal.Sampling_Type);
// Get ReferencePrice price factors.
fReferencePrice1 = factors.GetInterface <IReferencePrice>(deal.Reference_Type);
fReferencePrice2 = factors.GetInterface <IReferencePrice>(deal.Reference_Type);
// Get ReferenceVol price factors.
// Default to Reference Type if Reference Vol Type is not set.
if (string.IsNullOrEmpty(deal.Reference_Vol_Type))
{
fReferenceVol1 = factors.Get <ReferenceVol>(deal.Reference_Type);
fReferenceVol2 = factors.Get <ReferenceVol>(deal.Reference_Type);
}
else
{
fReferenceVol1 = factors.Get <ReferenceVol>(deal.Reference_Vol_Type);
fReferenceVol2 = factors.Get <ReferenceVol>(deal.Reference_Vol_Type);
}
// Get correlation price factor based on the ID of the forward price.
fCorrelations = factors.Get <ForwardPriceCorrelations>(fReferencePrice1.GetForwardPrice());
// Get FX rate price factors.
fFxRate = factors.GetInterface <IFxRate>(deal.Currency);
fFxPayoffRate = factors.GetInterface <IFxRate>(deal.DealCurrency());
fPriceFactorFxRate = factors.GetInterface <IFxRate>(fReferencePrice1.DomesticCurrency());
// Get discount rate price factor.
fDiscountRate = factors.GetInterface <IInterestRate>(InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency));
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CallableBondForward deal = (CallableBondForward)Deal;
fInterestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
fNeedsCreditRating = NeedCreditRating();
fCreditRating = NeedCreditRating() ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = NeedRecovery() ? factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate) : null;
fSurvivalProb = NeedSurvivalProb() ? factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability) : null;
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
var deal = (BondLendingBase)fDeal;
if (string.IsNullOrEmpty(deal.Issuer))
{
return;
}
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
}
/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
var deal = (CFFloatingInterestListDeal)Deal;
base.PreValue(factors);
bool quanto = fForecastIsForeign && fCharacteristics.HasQuanto && Quanto_Correction == YesNo.Yes;
bool convexity = !fCharacteristics.IsStandardLibor && Convexity_Correction == YesNo.Yes;
// volatility surfaces for forecast rate
if (fCharacteristics.HasCms)
{
fForecastYieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency);
}
if (fCharacteristics.HasLibor && (fCharacteristics.HasOptionlet || convexity || quanto))
{
fForecastRateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency);
}
// volatility surfaces for discount rate
if (convexity)
{
// Discount rate volatility and correlation for convexity correction
if (fCharacteristics.HasCms)
{
fDiscountYieldVol = InterestVolBase.GetYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency);
}
if (fCharacteristics.HasLibor)
{
fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency);
}
}
if (fForecastIsForeign)
{
// Get factor for translation from forecast rate currency to settlement currency for cashflows with FX reset date
if (fCharacteristics.HasFXReset)
{
fForecastFxRate = factors.GetInterface <IFxRate>(fForecastCurrency);
}
if (quanto)
{
fForecastFxVol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency);
fForecastFxCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency);
fForecastDiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fCurrency, null);
}
}
}
/// <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);
BondOptionDeal deal = (BondOptionDeal)Deal;
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needRecovery = needRating;
fCreditRating = needRating ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = needRecovery ? factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate) : null;
fSurvivalProb = needSurvival ? factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability) : null;
}
/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
var deal = (CFEquityFloatingInterestListDeal)Deal;
deal.GetDealHelper().PreValueAsset(out fEquity, out fEquityVol, ref fEquityQuantoCompo, factors);
// Get FX rate price factors
fEquityCurrency = deal.Equity_Currency;
fEquityPayoffCurrency = string.IsNullOrEmpty(deal.Equity_Payoff_Currency) ? fEquityCurrency : deal.Equity_Payoff_Currency;
fEquityFXRate = factors.GetInterface <IFxRate>(fEquityCurrency);
fEquityPayoffFXRate = fEquityPayoffCurrency != fEquityCurrency?factors.GetInterface <IFxRate>(fEquityPayoffCurrency) : fEquityFXRate;
bool quanto = fForecastIsForeign && Quanto_Correction == YesNo.Yes;
if (fCharacteristics.fHasLibor)
{
// volatility surfaces for forecast rate
if ((!fCharacteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes) || quanto)
{
fForecastRateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency);
}
// volatility surfaces for discount rate
if (!fCharacteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes)
{
fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency);
}
}
if (quanto)
{
fForecastFXVol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency);
fForecastFXCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency);
fForecastDiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fCurrency, null);
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
if (string.IsNullOrEmpty(fDeal.GetIssuer()))
{
return;
}
if (UseSurvivalProbability())
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.GetSurvivalProbability()) ? deal.GetIssuer() : deal.GetSurvivalProbability());
}
if (RespectDefault())
{
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.GetRecoveryRate(), deal.GetIssuer()));
fCreditRating = factors.Get <CreditRating>(deal.GetIssuer());
}
}
/// <summary>
/// Calculate a valuation profile for a range of scenarios.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
IAssetPrice price = GetAssetPrice(factors);
PVProfiles result = valuationResults.Profile;
double scale = fDeal.Units * (fDeal.Buy_Sell == BuySell.Buy ? +1 : -1);
var tgi = new TimeGridIterator(fT);
VectorEngine.For(tgi, () => result.AppendVector(tgi.Date, scale * price.Get(tgi.T)));
result.Complete(fT);
CashAccumulators cashAccumulators = valuationResults.Cash;
double endDate = Deal.EndDate();
if (!cashAccumulators.Ignore && endDate <= fT.fHorizon)
{
double tEnd = CalcUtils.DaysToYears(endDate - factors.BaseDate);
IFxRate fxRate = factors.GetInterface <IFxRate>(fDeal.Currency);
cashAccumulators.Accumulate(fxRate, endDate, scale * price.Get(tEnd) / fxRate.Get(tEnd));
}
}
/// <summary>
/// Fetch the survival probability price factor, or null if not applicable.
/// </summary>
protected override ISurvivalProb GetSurvivalProbability(PriceFactorList factors)
{
var deal = (DealCreditLinkedNote)Deal;
return(factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Name : deal.Survival_Probability));
}
/// <summary>
/// Try to get the notional of the deal at the given date.
/// </summary>
protected override bool DoTryGetNotional(PriceFactorList priceFactors, out double notional)
{
notional = Amount * priceFactors.GetInterface <IFxRate>(Currency).BaseCurrencySpotPrice();
return(true);
}
protected CDOValuationParameters(DealCDO deal, PriceFactorList factors)
{
DF = DiscountRate.Get(factors, InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency));
X = factors.GetInterface <IFxRate>(deal.Currency);
}