/// <summary>
/// 获取行权收益
/// </summary>
/// <param name="price">标的资产价格</param>
/// <returns>行权收益</returns>
public override Cashflow[] GetPayoff(double[] price)
{
var payoff = 0.0;
var effectiveStrike = IsMoneynessOption? Strike * InitialSpotPrice : Strike;
switch (OptionType)
{
case OptionType.Call:
payoff = Math.Max(0.0, price[0] - effectiveStrike);
break;
case OptionType.Put:
payoff = Math.Max(0.0, effectiveStrike - price[0]);
break;
default:
throw new PricingBaseException("Unknow/illegal option type!");
}
var actualPaymentDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
return(new[]
{
new Cashflow(StartDate, UnderlyingMaturityDate, actualPaymentDate, payoff * Notional, PayoffCcy, CashflowType.Net, false, double.NaN, null),
//new Cashflow(StartDate, UnderlyingMaturityDate, OptionPremiumPaymentDate ?? actualPaymentDate, OptionPremium, PayoffCcy, CashflowType.Net, true, double.NaN, null)
});
}
protected OptionBase(Date startDate,
Date maturityDate,
OptionExercise exercise,
OptionType optionType,
double[] strike,
InstrumentType underlyingInstrumentType,
ICalendar calendar,
IDayCount dayCount,
CurrencyCode payoffCcy,
CurrencyCode settlementCcy,
Date[] exerciseDates,
Date[] observationDates,
double notional = 1.0,
DayGap settlementGap = null,
Date optionPremiumPaymentDate = null,
double optionPremium = 0.0,
string[] underlyingTickers = null,
bool isMoneynessOption = false,
double initialSpotPrice = 0.0,
Dictionary <Date, double> dividends = null,
bool hasNightMarket = false,
bool commodityFuturesPreciseTimeMode = false)
{
StartDate = startDate;
Exercise = exercise;
OptionType = optionType;
Strike = strike[0];
Strikes = strike;
UnderlyingProductType = underlyingInstrumentType;
Calendar = calendar;
DayCount = dayCount;
SettlmentGap = settlementGap ?? new DayGap("+0BD");
UnderlyingMaturityDate = SettlmentGap.Get(Calendar, maturityDate);
ExerciseDates = exerciseDates;
ObservationDates = observationDates;
UnderlyingTickers = underlyingTickers;
Notional = notional;
PayoffCcy = payoffCcy;
SettlementCcy = settlementCcy;
OptionPremiumPaymentDate = optionPremiumPaymentDate;
OptionPremium = optionPremium;
IsMoneynessOption = isMoneynessOption;
InitialSpotPrice = initialSpotPrice;
Dividends = dividends;
HasNightMarket = hasNightMarket;
CommodityFuturesPreciseTimeMode = commodityFuturesPreciseTimeMode;
}
/// <summary>
/// 获取行权收益
/// </summary>
/// <param name="pricePath">价格路径</param>
/// <returns>行权收益</returns>
public override Cashflow[] GetPayoff(Dictionary <Date, double> pricePath)
{
var prices = new SortedDictionary <Date, double>(pricePath);
//merges fixings and monte carlo path
foreach (var key in Fixings.Keys)
{
prices[key] = Fixings[key];
}
var simulatedValuesToCheck = ObservationDates.Select(x => prices[x]).ToArray();
var actualPaymentDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
var voidCf = new[]
{
new Cashflow(StartDate, UnderlyingMaturityDate, actualPaymentDate, Rebate * Notional, PayoffCcy, CashflowType.Net, false, double.NaN, null),
new Cashflow(StartDate, UnderlyingMaturityDate, OptionPremiumPaymentDate ?? actualPaymentDate, OptionPremium, PayoffCcy, CashflowType.Net, true, double.NaN, null)
};
switch (BarrierType)
{
case BarrierType.UpAndOut:
return(simulatedValuesToCheck.Any(val => val > Barrier)
? voidCf
: GetPayoff(new[] { prices.Last().Value }));
case BarrierType.UpAndIn:
return(simulatedValuesToCheck.Any(val => val > Barrier)
? GetPayoff(new[] { prices.Last().Value })
: voidCf);
case BarrierType.DownAndOut:
return(simulatedValuesToCheck.Any(val => val < Barrier)
? voidCf
: GetPayoff(new[] { prices.Last().Value }));
case BarrierType.DownAndIn:
return(simulatedValuesToCheck.Any(val => val < Barrier)
? GetPayoff(new[] { prices.Last().Value })
: voidCf);
case BarrierType.DoubleTouchOut:
return(simulatedValuesToCheck.Any(val => (val > UpperBarrier || val < Barrier))
? voidCf
: GetPayoff(new[] { prices.Last().Value }));
case BarrierType.DoubleTouchIn:
return(simulatedValuesToCheck.Any(val => (val > UpperBarrier || val < Barrier))
? GetPayoff(new[] { prices.Last().Value })
: voidCf);
default:
return(voidCf);
}
}
public override Cashflow[] GetPayoff(Dictionary <Date, double> pricePath)
{
var prices = new Dictionary <Date, double>(pricePath);
//merges fixings and monte carlo path
foreach (var key in Fixings.Keys)
{
prices[key] = Fixings[key];
}
var amount = Ranges.Select(
x => 1.0 * x.ObservationDates.Count(date => prices[date] > x.LowerRange && prices[date] < x.UpperRange) * x.BonusRate / x.ObservationDates.Length
).Sum();
var settlementDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
return(new[]
{
new Cashflow(StartDate, UnderlyingMaturityDate, settlementDate, amount * Notional, SettlementCcy, CashflowType.Net, false, double.NaN, null),
new Cashflow(StartDate, UnderlyingMaturityDate, OptionPremiumPaymentDate ?? settlementDate, OptionPremium, SettlementCcy, CashflowType.Net, false, double.NaN, null)
});
}
//Todo Fixing payoff
public override Cashflow[] GetPayoff(double[] price)
{
//price:{ minPrice, maxPrice, pricePath[ExerciseDates[0]] }
//used in approximation
var amount = 0.0;
var effectiveStrike = IsMoneynessOption ? Strike * InitialSpotPrice : Strike;
if (OptionType == OptionType.Call)
{
amount = StrikeStyle == StrikeStyle.Fixed ? Math.Max(0.0, price[1] - effectiveStrike) : Math.Max(0.0, price[2] - price[0]);
}
else if (OptionType == OptionType.Put)
{
amount = StrikeStyle == StrikeStyle.Fixed ? Math.Max(0.0, effectiveStrike - price[0]) : Math.Max(0.0, price[1] - price[2]);
}
var settlementDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
return(new[]
{
new Cashflow(StartDate, UnderlyingMaturityDate, settlementDate, amount * Notional, SettlementCcy, CashflowType.Net, false, double.NaN, null),
//new Cashflow(StartDate, UnderlyingMaturityDate, OptionPremiumPaymentDate ?? settlementDate, OptionPremium, SettlementCcy, CashflowType.Net, false, double.NaN, null)
});
}
private Cashflow[] GetBondCashflows(IMarketCondition market, bool netted = true, bool calcAi = false)
{
var accruals = Accruals.ToArray();
var schedulePaymentDates = calcAi ? Accruals.Skip(1).ToArray() : PaymentSchedule.ToArray();
if (schedulePaymentDates.Length == 0)
{
throw new PricingLibraryException("Number of payments is 0");
}
List <CfCalculationDetail[]> cfCalcDetails;
var cashflows = new List <Cashflow>();
var prevCfDate = accruals[0];
var coupons = Coupon.GetCoupon(
Accruals,
market.FixingCurve.HasValue ? market.FixingCurve.Value : null,
market.HistoricalIndexRates.HasValue ? market.HistoricalIndexRates.Value : null,
out cfCalcDetails,
IssueRate,
_compensationRate);
var refStartDates = new List <Date>();
var refEndDates = new List <Date>();
for (var i = 0; i < coupons.Length; ++i)
{
var refStartDate = accruals[i];
var refEndDate = accruals[i + 1];
if (i == 0 && !_isRegualDate[i])
{
if (PaymentFreq != Frequency.None)
{
if (Stub == Stub.LongStart || Stub == Stub.ShortStart)
{
refStartDate = PaymentFreq.GetTerm().Prev(refEndDate);
}
else
{
refEndDate = PaymentFreq.GetTerm().Next(refStartDate);
}
}
}
refStartDates.Add(refStartDate);
refEndDates.Add(refEndDate);
}
IAmortization amortization;
if (AmortizationType == AmortizationType.EqualPrincipal || AmortizationType == AmortizationType.EqualPrincipalAndInterest)
{
//for these two types, amortization is calculated in cash flow calculation
var tArr = coupons.Select((x, i) => AccrualDayCount.CalcDayCountFraction(accruals[i], accruals[i + 1], refStartDates[i], refEndDates[i])).ToArray();
double[] begPrincipal;
double[] interest;
double[] principalPay;
double[] prepayment;
double[] defaultPrincipal;
_mortgageCalculator.GetPaymentDetails(tArr, Notional, coupons, PaymentFreq, AmortizationType, out begPrincipal, out interest, out principalPay, out prepayment, out defaultPrincipal, 0);
amortization = new Amortization(ToAmortizationSchedule(schedulePaymentDates, principalPay.Select((x, i) => Tuple.Create(i + 1, x)).ToDictionary(x => x.Item1, x => x.Item2)), false);
}
else
{
amortization = Amoritzation.Adjust(new Schedule(schedulePaymentDates), Calendar, calcAi ? AccrualBizDayRule : PaymentBizDayRule, PaymentFreq);
amortization = amortization.ResetAmortization(market.ValuationDate);
}
for (var i = 0; i < coupons.Length; ++i)
{
var amortizationRedemption = 0.0;
var remainPrincipal = 100.0;
var couponPay = 0.0;
var prevDate = prevCfDate;
if (amortization.AmortizationSchedule != null && amortization.AmortizationSchedule.Any(x => x.Key > prevCfDate && x.Key < schedulePaymentDates[i]))
{
var intermediatePrePayDate = amortization.AmortizationSchedule.Where(x => x.Key > prevCfDate && x.Key < schedulePaymentDates[i]).Select(x => x.Key).OrderBy(x => x).ToArray();
CfCalculationDetail[] tmpCfCalculationDetails;
foreach (var date in intermediatePrePayDate)
{
amortizationRedemption = amortization.GetRemainingPrincipal(prevDate);
remainPrincipal = Notional * amortizationRedemption;
var periodCoupon = Coupon.GetCoupon(prevDate, date, market.FixingCurve.Value, market.HistoricalIndexRates, out tmpCfCalculationDetails, _compensationRate[i]);
couponPay = remainPrincipal * periodCoupon * AccrualDayCount.CalcDayCountFraction(prevDate, date, refStartDates[i], refEndDates[i]);
cashflows.Add(new Cashflow(prevDate, date, date, couponPay, Currency, CashflowType.Coupon, tmpCfCalculationDetails.Aggregate(true, (current, v) => current & v.IsFixed), market.GetDf(date), cfCalcDetails[i], refStartDates[i], refEndDates[i], remainPrincipal, periodCoupon));
prevDate = date;
}
coupons[i] = Coupon.GetCoupon(prevDate, accruals[i + 1], market.FixingCurve.Value, market.HistoricalIndexRates, out tmpCfCalculationDetails, _compensationRate[i]);
cfCalcDetails[i] = tmpCfCalculationDetails;
}
amortizationRedemption = amortization.GetRemainingPrincipal(prevDate);
remainPrincipal = Notional * amortizationRedemption;
couponPay = remainPrincipal * coupons[i] * AccrualDayCount.CalcDayCountFraction(prevDate, accruals[i + 1], refStartDates[i], refEndDates[i]);
if (i == coupons.Length - 1)
{
amortizationRedemption = amortization.GetRemainingPrincipal(prevCfDate);
remainPrincipal = Notional * amortizationRedemption;
//final settlement might be adjusted, coupon [MaturityDate, settlementDate) is added
if (SettlmentGap != null)
{
var settlementDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
if (settlementDate > accruals[i + 1])
{
var tmpCoupon = double.IsNaN(_settlementCoupon) ? coupons[i] : _settlementCoupon;
var additionalCoupon = remainPrincipal * tmpCoupon * AccrualDayCount.CalcDayCountFraction(UnderlyingMaturityDate, settlementDate, refStartDates[i], refEndDates[i]);
couponPay += additionalCoupon;
}
}
couponPay = Redemption.GetRedemptionPayment(couponPay, remainPrincipal) - remainPrincipal;
}
cashflows.Add(new Cashflow(prevDate, accruals[i + 1], schedulePaymentDates[i], couponPay, Currency, CashflowType.Coupon, cfCalcDetails[i] == null ? true : cfCalcDetails[i].Aggregate(true, (current, v) => current & v.IsFixed), market.GetDf(schedulePaymentDates[i]), cfCalcDetails[i], refStartDates[i], refEndDates[i], remainPrincipal, coupons[i]));
prevCfDate = accruals[i + 1];
}
cashflows.AddRange(amortization.AmortizationSchedule.Keys.Select(key => new Cashflow(key, key, key, amortization.AmortizationSchedule[key] * Notional, Currency, CashflowType.Principal, true, market.GetDf(key), null)));
if (netted)
{
return(cashflows
.GroupBy(cf => cf.PaymentDate)
.Select(item => new Cashflow(item.Min(x => x.AccrualStartDate), item.Max(x => x.AccrualEndDate), item.Key, item.Sum(entry => entry.PaymentAmount), Currency, CashflowType.Coupon, item.Aggregate(true, (current, v) => current && v.IsFixed), market.GetDf(item.Key), item.Min(x => x.CalculationDetails), item.Min(x => x.RefStartDate), item.Max(x => x.RefEndDate), item.Max(entry => entry.StartPrincipal), item.Sum(entry => entry.CouponRate)))
.OrderBy(cf => cf.PaymentDate)
.ToArray());
}
else
{
return(cashflows.ToArray());
}
}
/// <summary>
/// 获取行权收益
/// </summary>
/// <param name="price">标的资产价格</param>
/// <returns>行权收益</returns>
public override Cashflow[] GetPayoff(double[] price)
{
//used in approximation
var amount = 0.0;
var effectiveStrike = IsMoneynessOption ? Strike * InitialSpotPrice : Strike;
if (OptionType == OptionType.Call)
{
if (StrikeStyle == StrikeStyle.Fixed)
{
if (this.AsianType == AsianType.GeometricAverage)
{
var n = this.Fixings.Count;
var finalPrice = Math.Pow(this.Fixings.Select(x => x.Value).Aggregate(func: (result, item) => result * item), 1.0 / n);
amount = Math.Max(finalPrice - effectiveStrike, 0);
}
else if (AsianType == AsianType.ArithmeticAverage || AsianType == AsianType.DiscreteArithmeticAverage)
{
var finalPrice = this.Fixings.Select(x => x.Value).Average();
amount = Math.Max(finalPrice - effectiveStrike, 0);
}
}
else
{
if (this.AsianType == AsianType.GeometricAverage)
{
var strike = this.Fixings.Select(x => x.Value).Aggregate(func: (result, item) => result * item);
amount = Math.Max(price[0] - strike, 0);
}
else if (AsianType == AsianType.ArithmeticAverage || AsianType == AsianType.DiscreteArithmeticAverage)
{
var strike = this.Fixings.Select(x => x.Value).Average();
amount = Math.Max(price[0] - strike, 0);
}
}
}
else // Put
{
if (StrikeStyle == StrikeStyle.Fixed)
{
if (this.AsianType == AsianType.GeometricAverage)
{
var n = this.Fixings.Count;
var finalPrice = Math.Pow(this.Fixings.Select(x => x.Value).Aggregate(func: (result, item) => result * item), 1.0 / n);
amount = Math.Max(effectiveStrike - finalPrice, 0);
}
else if (AsianType == AsianType.ArithmeticAverage || AsianType == AsianType.DiscreteArithmeticAverage)
{
var finalPrice = this.Fixings.Select(x => x.Value).Average();
amount = Math.Max(effectiveStrike - finalPrice, 0);
}
}
else
{
if (this.AsianType == AsianType.GeometricAverage)
{
var strike = this.Fixings.Select(x => x.Value).Aggregate(func: (result, item) => result * item);
amount = Math.Max(strike - price[0], 0);
}
else if (AsianType == AsianType.ArithmeticAverage || AsianType == AsianType.DiscreteArithmeticAverage)
{
var strike = this.Fixings.Select(x => x.Value).Average();
amount = Math.Max(strike - price[0], 0);
}
}
}
var settlementDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
return(new[]
{
new Cashflow(StartDate, UnderlyingMaturityDate, settlementDate, amount * Notional, SettlementCcy, CashflowType.Net, false, double.NaN, null),
//new Cashflow(StartDate, UnderlyingMaturityDate, OptionPremiumPaymentDate ?? settlementDate, OptionPremium, SettlementCcy, CashflowType.Net, false, double.NaN, null)
});
}
/// <summary>
/// 获取行权收益
/// </summary>
/// <param name="price">标的资产价格</param>
/// <returns>行权收益</returns>
public override Cashflow[] GetPayoff(double[] price)
{
var actualPaymentDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
double payoff;
double vanillaPayoff;
var effectiveStrike = IsMoneynessOption ? Strike * InitialSpotPrice : Strike;
switch (OptionType)
{
case OptionType.Call:
vanillaPayoff = Math.Max(price[0] - effectiveStrike, 0.0) * ParticipationRate + Coupon;
break;
case OptionType.Put:
vanillaPayoff = Math.Max(effectiveStrike - price[0], 0.0) * ParticipationRate + Coupon;
break;
default:
throw new PricingBaseException("Unknow/illegal option type!");
}
if (BarrierStatus == BarrierStatus.Monitoring)
{
switch (BarrierType)
{
case BarrierType.UpAndIn:
case BarrierType.DownAndIn:
payoff = Rebate;
break;
default:
payoff = vanillaPayoff;
break;
}
}
else if (BarrierStatus == BarrierStatus.KnockedOut)
{
switch (BarrierType)
{
case BarrierType.UpAndOut:
case BarrierType.DownAndOut:
payoff = Rebate;
break;
default:
payoff = 0.0;
break;
}
}
else
{
payoff = vanillaPayoff;
//if knocked in, barrier reduce to vanilla
}
return(new[]
{
new Cashflow(StartDate, UnderlyingMaturityDate, actualPaymentDate, payoff * Notional, PayoffCcy, CashflowType.Net, false, double.NaN, null),
//new Cashflow(StartDate, UnderlyingMaturityDate, OptionPremiumPaymentDate ?? actualPaymentDate, OptionPremium, PayoffCcy, CashflowType.Net, true, double.NaN,null)
});
}