/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
BondFuture deal = (BondFuture)Deal;
var bfb = (BondFuturesBasis)fFuturesBasis;
GenerateCTD(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;
}
}
/// <inheritdoc />
protected override void RegisterFuturesPriceFactor(PriceFactorList factors, ErrorList errors)
{
BondFuture deal = (BondFuture)fDeal;
BondFuturesBasis bfb = factors.Register <BondFuturesBasis>(FutureBase.GetFactorID(deal.Contract, deal.Settlement_Date));
if (deal.Settlement_Date >= bfb.CTD_Maturity_Date)
{
errors.Add(ErrorLevel.Error, "Settlement date must be before cheapest-to-deliver maturity date of the Bond Future Basis price factor.");
}
}
/// <inheritdoc />
protected override void GetDefaultTime(Vector defaultTime, PriceFactorList factors)
{
BondFuture deal = (BondFuture)Deal;
if (NeedRating(Respect_Default, deal.Issuer))
{
var cr = factors.Get <CreditRating>(deal.Issuer);
cr.DefaultTime(defaultTime);
return;
}
base.GetDefaultTime(defaultTime, factors);
}
/// <inheritdoc />
protected override void ForwardPrice(double baseDate, double valueDate, Vector forwardPrice)
{
BondFuture deal = (BondFuture)fDeal;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double tSettle = CalcUtils.DaysToYears(deal.Settlement_Date - baseDate);
double accrual, cash;
PricingFunctions.BondPrice(forwardPrice, out accrual, out cash, baseDate, valueDate, deal.Settlement_Date,
fIssueDate, fMaturityDate, 1.0, fCouponRate, fPayDates,
fAccruals, fDiscountRate, null, null, 0.0, fSurvivalProb, 1.0);
AdjustForDefault(baseDate, valueDate, forwardPrice, deal.Expiry_Date, Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer), fUnderlyingIsAlive, fHistoricalRecovery, fDefaultTime, fDiscountRate, fRecoveryRate);
// If deal.Repo_Rate is null or empty then fRepoRate will default to the DiscountRate
forwardPrice.Assign(Percentage.OverPercentagePoint * ((forwardPrice / fRepoRate.Get(t, tSettle) - accrual)) / fConversionFactor);
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
BondFuture deal = (BondFuture)Deal;
base.RegisterFactors(factors, errors);
if (NeedRating(Respect_Default, deal.Issuer))
{
factors.Register <CreditRating>(deal.Issuer);
// register realized recovery rate.
factors.Register <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
if (NeedSurvivalProbability(Use_Survival_Probability, deal.Issuer))
{
factors.RegisterInterface <ISurvivalProb>(InterestRateUtils.GetRateId(deal.Survival_Probability, deal.Issuer));
}
}
/// <summary>
/// Generate CTD dates and set CTD coupon rate and conversion factor.
/// </summary>
protected void GenerateCTD(double issueDate, double maturityDate, double couponInterval, double firstCouponDate, double penultimateCouponDate, DayCount dayCount, IHolidayCalendar calendar, double couponRate, double conversionFactor)
{
if (conversionFactor <= 0.0)
{
return; // No CTD details or details invalid
}
BondFuture deal = (BondFuture)fDeal;
if (deal.Settlement_Date >= maturityDate)
{
throw new AnalyticsException("Settlement date must be before cheapest-to-deliver maturity date.");
}
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
CouponPeriod = couponInterval,
FirstCouponDate = firstCouponDate,
PenultimateCouponDate = penultimateCouponDate,
AccrualCalendar = calendar,
AccrualDayCount = dayCount
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fIssueDate = issueDate;
fMaturityDate = maturityDate;
fCouponRate = couponRate;
fConversionFactor = conversionFactor;
}
/// <inheritdoc />
protected override void GetFuturesPriceFactor(PriceFactorList factors)
{
BondFuture deal = (BondFuture)fDeal;
fFuturesBasis = factors.Get <BondFuturesBasis>(FutureBase.GetFactorID(deal.Contract, deal.Settlement_Date));
}