public CDS(double Coupon, double notional, DateTime maturity, DateTime firstpaymentday, DateTime tradedate,
DateTime formerpaymentday, string frequency, double recovery, int settlement, int Cashsettlement)
{
// Product Setup
OMLib.Conventions.DayCount.Actual360 AccuralDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
Calendar calendar = new UnitedStates();
formerpaymentday = calendar.adjust(formerpaymentday, BusinessDayConvention.Following);
int accrued = AccuralDCC.DayCount(formerpaymentday, calendar.adjust(tradedate, BusinessDayConvention.Following)) + 1;
this.accruedday = accrued;
this.marketvalue = new double();
this.accruedamt = notional * Coupon * accrued / 360;
this.Notional = notional;
this._payAccOnDefault = true;
OMLib.Conventions.BusinessDayConvention convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate);
this.tradedate = calendar.adjust(tradedate, BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Recovery = recovery;
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, firstpaymentday);
this.firstpaymentdate = CdsAnalyticFactory.getNextIMMDate(tradedate); /*convention.AdjustedDate;*/
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, formerpaymentday);
this.formerpaymentdate = CdsAnalyticFactory.getPrevIMMDate(tradedate);//calendar.adjust(formerpaymentday,BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Maturity = maturity;
this.PremiumRate = Coupon;
this.Frequency = frequency;
this.Cashsettlement = Cashsettlement;
DateTime valueDate = calendar.adjust(tradedate.AddDays(Cashsettlement));
convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate.AddDays(3));
this.evalDate = calendar.adjust(tradedate.AddDays(settlement), BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/
this.Payment_Schedule = PremiumDates(this.Maturity, CdsAnalyticFactory.getNextIMMDate(tradedate), this.Frequency);
QLNet.Calendar.OrthodoxImpl cal = new Calendar.OrthodoxImpl();
IsdaPremiumLegSchedule paymentSchedule = new IsdaPremiumLegSchedule(formerpaymentdate, maturity, payment_interval, StubConvention.SHORT_INITIAL, QLNet.BusinessDayConvention.ModifiedFollowing, cal, true);
_coupons = CdsCoupon.makeCoupons(tradedate, paymentSchedule, true, ACT_360, ACT_365);
OMLib.Conventions.DayCount.Actual365 CurveDCC = new OMLib.Conventions.DayCount.Actual365();
DateTime effectiveStartDate = tradedate;
_accStart = DateTime.Compare(formerpaymentdate, tradedate) < 0 ?-CurveDCC.YearFraction(formerpaymentdate, tradedate) :
CurveDCC.YearFraction(tradedate, formerpaymentdate);
_cashSettlementTime = CurveDCC.YearFraction(tradedate, valueDate);
_effectiveProtectionStart = DateTime.Compare(effectiveStartDate, tradedate) < 0 ?
-CurveDCC.YearFraction(effectiveStartDate, tradedate) :
CurveDCC.YearFraction(tradedate, effectiveStartDate);
_protectionEnd = CurveDCC.YearFraction(tradedate, maturity);
DateTime accStart = paymentSchedule.getAccStartDate(0);
}
public List <DateTime> PremiumDates(DateTime maturity, DateTime firstpaymentdate, string freqency)
{
List <DateTime> date = new List <DateTime>();
DateTime t = firstpaymentdate;
Calendar calendar = new UnitedStates();
date.Add(t);
int i = 1;
do
{
switch (freqency)
{
case "Monthly":
t = firstpaymentdate.AddMonths(i);
payment_interval = 1;
break;
case "Quarterly":
t = firstpaymentdate.AddMonths(i * 3);
payment_interval = 3;
break;
case "Semiyear":
t = firstpaymentdate.AddMonths(i * 6);
payment_interval = 6;
break;
case "Yearly":
t = firstpaymentdate.AddMonths(i * 12);
payment_interval = 12;
break;
default:
break;
}
OMLib.Conventions.BusinessDayConvention convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, t);
t = calendar.adjust(t, BusinessDayConvention.ModifiedFollowing);
date.Add(t /*convention.AdjustedDate;*/);
i++;
} while (DateTime.Compare(date[i - 1], maturity) < 0);
return(date);
}
public List <CashFlow> Calculation(double fixrate, double initialNotional, List <DateTime> fixedSchedule, DateTime tradedate,
YieldTermStructure yt, PiecewiseconstantHazardRate piecewiseFlatHazardRate, int settlement, DateTime lastpaymentdate)
{
List <CashFlow> result = new List <CashFlow>();
OMLib.Conventions.DayCount.Actual360 daycountconvention = new OMLib.Conventions.DayCount.Actual360();
for (int i = 0; i < fixedSchedule.Count; i++)
{
CashFlow cf = new CashFlow();
Calendar calendar = new UnitedStates();
//fixedSchedule[i] = calendar.adjust(fixedSchedule[i], BusinessDayConvention.Following);
cf.CashFlowDate = fixedSchedule[i];
if (i == 0)
{
//The protection buyer pays the next coupon in full on the coupon date,
//(even if this is the next day); in return the buyer receives (from the protection seller) the accrued
//interest[Geoff Chaplin. Credit Derivatives.], which is paid on the cash settlement date.
if (lastpaymentdate != null)
{
lastpaymentdate = calendar.adjust(lastpaymentdate, BusinessDayConvention.Following);
cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(lastpaymentdate, fixedSchedule[i])) / 360;
}
else
{
cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(tradedate, fixedSchedule[i])) / 360;
}
}
else
{
//Each coupon is equal to (annual coupon/360) (# of days in accrual period).
//The accrual period always stretches from (previous coupon payment date) through (this coupon
//payment date–1), inclusive; except a contract's last accrual period, which ends with (and
//includes) the unadjusted maturity date.
if (i == fixedSchedule.Count - 1)
{
cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(fixedSchedule[i - 1], fixedSchedule[i].AddDays(1))) / 360;
}
else
{
cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(fixedSchedule[i - 1], fixedSchedule[i])) / 360;
}
}
//Assume all cash flows are discounted to the cash settlement date
cf.DiscountFactor = yt.discount(fixedSchedule[i]);
if (i == fixedSchedule.Count - 1)
{
cf.Survivalprobability = piecewiseFlatHazardRate.SurvivalProb(fixedSchedule[i].AddDays(1));
}
else
{
cf.Survivalprobability = piecewiseFlatHazardRate.SurvivalProb(fixedSchedule[i]);
}
result.Add(cf);
}
return(result);
}