/// <summary>
/// Value the deal from given base date, price factors and time grid.
/// </summary>
public void Value(PVProfiles pvResults, CashAccumulators cashResults, double baseDate, IInterestRate discountRate, IInterestRate forecastRate1, IInterestRate forecastRate2, IFxRate fxRate, TimeGrid timeGrid, int numScenarios)
{
var tgi = new TimeGridIterator(timeGrid);
var deal = (FloatingInterestCashflowInterpolatedDeal)Deal;
bool hasRate1 = deal.HasRate1();
bool hasRate2 = deal.HasRate2();
double scale = deal.Buy_Sell == BuySell.Buy ? +deal.Principal : -deal.Principal;
double tPay = CalcUtils.DaysToYears(fPaymentDate - baseDate);
double tReset = CalcUtils.DaysToYears(deal.Reset_Date - baseDate);
double tRateStart = CalcUtils.DaysToYears(deal.Rate_Start_Date - baseDate);
double tRateEnd1 = hasRate1 ? CalcUtils.DaysToYears(fRate1EndDate - baseDate) : 0.0;
double tRateEnd2 = hasRate2 ? CalcUtils.DaysToYears(fRate2EndDate - baseDate) : 0.0;
double tRateEnd12 = tRateEnd2 - tRateEnd1; // Time from rate 1 end date to rate 2 end date.
double tAccrualEnd = CalcUtils.DaysToYears(deal.Accrual_End_Date - baseDate);
double interpCoefficient = Math.Abs(tRateEnd12) >= CalcUtils.MinTime ? (tAccrualEnd - tRateEnd1) / tRateEnd12 : 0.0; // Coefficient used to calculate interpolated rate.
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(numScenarios))
{
Vector pv = cache.Get();
if (tgi.Date <= fPaymentDate && fPaymentDate > fCutoffDate)
{
Vector interpRate = cache.GetClear();
Vector rate1 = cache.GetClear();
Vector rate2 = cache.GetClear();
if (hasRate1)
{
if (fKnownResetRate1.HasValue)
{
rate1.Assign(fKnownResetRate1.Value);
}
else
{
InterestRateUtils.LiborRate(rate1, forecastRate1, tgi.T, tReset, tRateStart, tRateEnd1, fRate1YearFraction);
}
}
if (hasRate2)
{
if (fKnownResetRate2.HasValue)
{
rate2.Assign(fKnownResetRate2.Value);
}
else
{
InterestRateUtils.LiborRate(rate2, forecastRate2, tgi.T, tReset, tRateStart, tRateEnd2, fRate2YearFraction);
}
}
if (hasRate1 && hasRate2)
{
if (Math.Abs(tRateEnd12) >= CalcUtils.MinTime)
{
interpRate.Assign(rate1 + interpCoefficient * (rate2 - rate1));
}
else
{
interpRate.Assign(0.5 * rate1 + 0.5 * rate2);
}
}
else
{
interpRate.Assign(hasRate1 ? rate1 : rate2);
}
// Round the calculated rate, regardless whether the valuation date is before or after the reset date.
CFFloatingInterestList.RoundRateTo(deal.Interpolated_Rate_Rounding, interpRate);
pv.Assign(scale * (interpRate + deal.Margin) * fAccrualYearFraction);
CFFixedList.RoundCashflow(pv, Cashflow_Rounding);
if (tgi.Date < fPaymentDate)
{
pv.MultiplyBy(discountRate.Get(tgi.T, tPay));
}
else if (tgi.Date == fPaymentDate)
{
cashResults.Accumulate(fxRate, fPaymentDate, pv);
}
}
else
{
pv.Clear();
}
pvResults.AppendVector(tgi.Date, pv * fxRate.Get(tgi.T));
}
});
// After maturity
pvResults.Complete(timeGrid);
}
/// <summary>
/// Value a caplet or floorlet under the 1 factor Hull-White model.
/// </summary>
public override void Value(Vector pv, Vector cash, double baseDate, double valueDate, ISACCRResult saccrResult,
IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
int count = fCashflows.Count();
bool forecastIsDiscount = ReferenceEquals(fForecastRate, fDiscountRate);
// time of dfStart and dfEnd
double tDfStart = double.NegativeInfinity;
double tDfEnd = double.NegativeInfinity;
using (var cache = Vector.CacheLike(pv))
{
// Shared between loops
Vector dfStart = cache.Get();
Vector dfEnd = cache.Get();
VectorEngine.For(0, count, LoopDirection.Backwards, i =>
{
using (var innerCache = Vector.CacheLike(pv))
{
CFFloatingInterest cashflow = fCashflows[i];
if (cashflow.Payment_Date < valueDate || cashflow.Payment_Date <= fCutoffDate)
{
return(LoopAction.Break);
}
Vector rate = innerCache.Get();
Vector dfPay = innerCache.Get();
Vector stdDev = innerCache.GetClear();
Vector amount = innerCache.GetClear();
GeneralCashflowProperties properties = fCashflows.GetCashflowProperties(i);
double tPay = CalcUtils.DaysToYears(cashflow.Payment_Date - baseDate);
bool haveDfPay = false;
if (forecastIsDiscount && tPay == tDfStart)
{
dfPay.Assign(dfStart);
haveDfPay = true;
}
using (IntraValuationDiagnosticsHelper.StartCashflow(intraValuationDiagnosticsWriter))
using (var volatilitiesAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(intraValuationDiagnosticsWriter, pv.Count))
{
cashflow.AddPropertiesToIntraValuationDiagnostics(intraValuationDiagnosticsWriter);
// Standard Libor implies single reset.
var reset = cashflow.Resets.Single();
if (reset.IsKnown(baseDate))
{
rate.Assign(reset.Known_Rate);
}
else
{
double tValue = CalcUtils.DaysToYears(valueDate - baseDate);
double tReset = CalcUtils.DaysToYears(reset.Reset_Date - baseDate);
double tStart = CalcUtils.DaysToYears(reset.Rate_Start_Date - baseDate);
double tEnd = CalcUtils.DaysToYears(reset.Rate_End_Date - baseDate);
// Reset is a historical or forward Libor rate.
InterestRateUtils.LiborRate(rate, fForecastRate, tValue, tReset, tStart, tEnd, reset.Rate_Year_Fraction,
dfStart, ref tDfStart, dfEnd, ref tDfEnd);
if (tReset > tValue)
{
GetStandardDeviation(stdDev, tValue, tReset, tStart, tEnd);
volatilitiesAtDateStore.Add(valueDate, reset.Reset_Date, stdDev);
}
}
if (!haveDfPay && forecastIsDiscount && tPay == tDfEnd)
{
dfPay.Assign(dfEnd);
haveDfPay = true;
}
// Add swaplet value
amount.AddProduct(properties.Swap_Multiplier, rate);
double tau = reset.Rate_Year_Fraction;
rate.Assign(1.0 + rate * tau);
// Add cap and floor option values.
AddOptionValue(amount, OptionType.Call, rate, properties.Cap_Strike, stdDev, tau, properties.Cap_Multiplier);
AddOptionValue(amount, OptionType.Put, rate, properties.Floor_Strike, stdDev, tau, properties.Floor_Multiplier);
amount.Assign(fBuySellSign * (cashflow.Fixed_Amount + cashflow.Notional * (amount + cashflow.Margin) * cashflow.Accrual_Year_Fraction));
IntraValuationDiagnosticsHelper.AddImpliedVolatilities(intraValuationDiagnosticsWriter, volatilitiesAtDateStore);
CFFixedList.RoundCashflow(amount, Cashflow_Rounding);
CFFixedList.UpdatePvAndCash(cashflow, baseDate, valueDate, haveDfPay ? null : fDiscountRate, null, amount,
dfPay, pv, cash, intraValuationDiagnosticsWriter);
}
}
return(LoopAction.Continue);
});
}
}
/// <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);
CallableBondForward deal = (CallableBondForward)Deal;
double firstCallDate = deal.First_Call_Date;
double lastCallDate = deal.Last_Call_Date;
double baseDate = factors.BaseDate;
double issueDate = deal.Issue_Date;
double settlementDate = deal.Settlement_Date;
double priceDate = Math.Max(baseDate, settlementDate + 1.0); // bond cashflows before priceDate do not contribute to bond price
double maturityDate = deal.Bond_Maturity_Date;
double couponInterval = deal.Coupon_Interval;
double notional = deal.Notional;
IHolidayCalendar holidayCalendar = deal.GetHolidayCalendar();
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
AccrualDayCount = deal.Accrual_Day_Count,
FirstCouponDate = deal.First_Coupon_Date,
PenultimateCouponDate = deal.Penultimate_Coupon_Date,
Amortisation = deal.Amortisation,
CouponPeriod = couponInterval,
Principal = notional,
PrincipalExchange = PrincipalExchange.Start_Maturity,
AccrualCalendar = holidayCalendar
};
CashflowListDetail detail = CashflowGeneration.GenerateCashflowListDetail(dateGenerationParams);
// Collect reset dates as we loop.
var resetDates = new DateList(detail.Coupon_Details.Count);
// Create cashflow list
fCashflowList = new CFFixedInterestList();
fCashflowList.Compounding = YesNo.No;
foreach (CouponDetail couponDetail in detail.Coupon_Details)
{
if (couponDetail.Payment_Date < priceDate)
{
continue;
}
foreach (AccrualDetail accrualDetail in couponDetail.Accrual_Details)
{
resetDates.Add(accrualDetail.Accrual_Start_Date);
if (couponDetail.Payment_Date < priceDate)
{
continue;
}
var cashflow = new CFFixedInterest
{
Payment_Date = couponDetail.Payment_Date,
Notional = accrualDetail.Notional,
Accrual_Start_Date = accrualDetail.Accrual_Start_Date,
Accrual_End_Date = accrualDetail.Accrual_End_Date,
Accrual_Year_Fraction = accrualDetail.Accrual_Year_Fraction,
Rate = deal.Coupon_Rate * Percentage.PercentagePoint,
Accrual_Day_Count = deal.Accrual_Day_Count,
Discounted = YesNo.No
};
fCashflowList.Items.Add(cashflow);
}
}
IRBaseDealSkin.ApplyRateSchedule(fCashflowList.Items, deal.Coupon_Rate_Schedule, Percentage.PercentagePoint, holidayCalendar, DateAdjustmentMethod.Modified_Following);
// Calculate fixed interest cashflows.
fCashflowList.CalculateInterest(baseDate);
fFixedCashflowList = PrincipalCashflows(priceDate, issueDate, maturityDate, PrincipalExchange.Start_Maturity, notional, deal.Amortisation, 1.0);
fSettlementAmount = 0.0;
fAccrued = 0.0;
bool payDatesRequired = requiredResults.CashRequired();
if (settlementDate >= baseDate)
{
double settlementPrincipal = CFFixedInterestListValuation.GetPrincipal(fCashflowList, settlementDate);
fSettlementAmount = settlementPrincipal * deal.Price * Percentage.PercentagePoint;
for (int i = 0; i < fCashflowList.Items.Count; ++i)
{
CFFixedInterest cashflow = fCashflowList[i];
if (cashflow.Accrual_Start_Date >= settlementDate)
{
break;
}
if (settlementDate < cashflow.Accrual_End_Date)
{
fAccrued += cashflow.Interest() * (settlementDate - cashflow.Accrual_Start_Date) / (cashflow.Accrual_End_Date - cashflow.Accrual_Start_Date);
}
}
if (deal.Price_Is_Clean == YesNo.Yes)
{
fSettlementAmount += fAccrued; // add accrued interest
}
fT.AddPayDate(settlementDate, payDatesRequired);
}
// Add the floating and fixed cashflow dates to the time grid.
fT.AddPayDates <CFFixedInterest>(fCashflowList, payDatesRequired);
fT.AddPayDates <CFFixed>(fFixedCashflowList, payDatesRequired);
// We only need an option pricer if callable on or after the settlement date.
fSwaptionPricer = null;
if (lastCallDate >= settlementDate)
{
// Snap call dates to grid of reset dates and
// ensure that first call date is on or after settlement date
int iLast = resetDates.IndexOfNextDate(lastCallDate);
lastCallDate = resetDates[iLast];
int iFirst = resetDates.IndexOfNextDate(firstCallDate);
while ((iFirst < resetDates.Count - 1) && (resetDates[iFirst] < settlementDate))
{
// move first exercise date forward
iFirst++;
}
firstCallDate = resetDates[iFirst];
int paySign = deal.Call_Put == OptionType.Put ? +1 : -1;
RateList exerciseFees = new RateList();
foreach (Rate price in deal.Call_Prices)
{
Rate fee = new Rate();
fee.Value = paySign * (Percentage.OverPercentagePoint - price.Value);
fee.Date = price.Date;
exerciseFees.Add(fee);
}
var amortisation = AllocateAmortisationToPaymentDates <CFFixedInterest>(deal.Amortisation, fCashflowList.Items);
fSwaptionPricer = new SwaptionPricer(issueDate, maturityDate, couponInterval, couponInterval,
deal.Accrual_Day_Count, holidayCalendar, DayCount.ACT_365, holidayCalendar, firstCallDate, lastCallDate, baseDate,
paySign, paySign, 0.0, null, notional, amortisation, deal.Coupon_Rate, null, deal.Coupon_Rate_Schedule, exerciseFees,
null, OptionStyle2.Bermudan, Max_Nodes, Step_Size, fT, true, requiredResults.CashRequired());
}
if (NeedSurvivalProb())
{
fRecoveryList = new CFRecoveryList();
fRecoveryList.PopulateRecoveryCashflowList(baseDate, settlementDate, fCashflowList);
}
}
