public double GetForwardRate(Date startDate, Date endDate, Compound compound = Compound.Simple, IDayCount dayCount = null)
{
var t0 = DayCount.CalcDayCountFraction(ReferenceDate, startDate);
var t1 = DayCount.CalcDayCountFraction(ReferenceDate, endDate);
return(GetForwardRate(t0, t1 - t0, compound, dayCount));
}
public double GetDf(Date startDate, Date endDate)
{
var t0 = DayCount.CalcDayCountFraction(ReferenceDate, startDate);
var t1 = DayCount.CalcDayCountFraction(ReferenceDate, endDate);
return(GetDf(t1) / GetDf(t0));
}
public Tuple <Date, double>[] GetPaymentRates(IMarketCondition market)
{
List <CfCalculationDetail[]> temp;
var coupons = Coupon.GetCoupon(Accruals, market.FixingCurve.Value, market.HistoricalIndexRates, out temp);
var accDates = Accruals.ToList();
var ret = new List <Tuple <Date, double> > ();
for (var i = 1; i < accDates.Count; ++i)
{
ret.Add(
Tuple.Create(accDates[i], coupons[i - 1] * DayCount.CalcDayCountFraction(accDates[i - 1], accDates[i]))
);
}
return(ret.ToArray());
}
public Cashflow[] GetCashflows(IMarketCondition market, bool netted = true)
{
var coupon = Notional * DepositRate * DayCount.CalcDayCountFraction(StartDate, UnderlyingMaturityDate);
if (netted)
{
return(new[] { new Cashflow(StartDate, UnderlyingMaturityDate, UnderlyingMaturityDate, coupon + Notional, Currency, CashflowType.Principal, true, market.GetDf(UnderlyingMaturityDate), null) });
}
else
{
return(new[]
{
new Cashflow(StartDate, UnderlyingMaturityDate, UnderlyingMaturityDate, coupon, Currency, CashflowType.Coupon, true, market.GetDf(UnderlyingMaturityDate), null),
new Cashflow(StartDate, UnderlyingMaturityDate, UnderlyingMaturityDate, Notional, Currency, CashflowType.Principal, true, market.GetDf(UnderlyingMaturityDate), null)
});
}
}
public Cashflow[] GetCashflows(IMarketCondition market, bool netted = true)
{
//var payTerm = Frequency.GetTerm();
//var accDates = new List<Date> {StartDate};
//accDates.AddRange(new Schedule(FirstPaymentDate, MaturityDate, payTerm, Stub.ShortEnd).ToArray())
//var Accruals = new Schedule(_implicitAccStartDate, MaturityDate, payTerm, Stub.ShortEnd).ToArray();
var len = Accruals.Length;
var tArray = new double[len - 1];
for (var i = 0; i < len - 1; ++i)
{
tArray[i] = DayCount.CalcDayCountFraction(Accruals[i], Accruals[i + 1]);
}
double[] begPrincipal;
double[] interest;
double[] principalPay;
double[] prepayment;
double[] defaultPrincipal;
if (!IsFloatingRate)
{
MortgageCalculator.GetPaymentDetails(tArray, Notional, Coupon, Frequency, AmortizationType, out begPrincipal, out interest, out principalPay, out prepayment, out defaultPrincipal, _numPastPayment);
var beg = Accruals[0];
var end = Accruals[1];
if (StartDate != beg)
{
//first interest should be adjusted
interest[0] = interest[0] * (end - StartDate) / (end - beg);
}
}
else
{
double[] begPrincipal1;
double[] interest1;
double[] principalPay1;
double[] prepayment1;
double[] defaultPrincipal1;
MortgageCalculator.GetPaymentDetails(tArray, Notional, Coupon, Frequency, AmortizationType, out begPrincipal1, out interest1, out principalPay1, out prepayment1, out defaultPrincipal1, _numPastPayment);
var ratePairs = market.HistoricalIndexRates.Value[IndexType].Select(x => Tuple.Create(x.Key, x.Value)).OrderBy(x => x.Item1).ToArray();
int index;
for (index = ratePairs.Length - 1; index > 0; --index)
{
if (ratePairs[index].Item1 <= ResetDate)
{
break;
}
}
var newRate = ratePairs[index].Item2 * FloatingRateMultiplier;
double[] begPrincipal2;
double[] interest2;
double[] principalPay2;
double[] prepayment2;
double[] defaultPrincipal2;
var n = Accruals.FirstIndexOf(x => x > ResetDate);
var p = n < 2 ? Notional : begPrincipal1[n - 2];
MortgageCalculator.GetPaymentDetails(tArray.Skip(n - 1).ToArray(), p, newRate, Frequency, AmortizationType, out begPrincipal2, out interest2, out principalPay2, out prepayment2, out defaultPrincipal2, _numPastPayment);
//accDate[n-1] accDate[n]
var start = Accruals[n - 1];
var end = Accruals[n];
var newInterst = p * (DayCount.CalcDayCountFraction(start, ResetDate) * Coupon + DayCount.CalcDayCountFraction(ResetDate, end) * newRate);
interest1[n - 1] = newInterst;
principalPay1[n - 1] = principalPay2[0];
prepayment1[n - 1] = prepayment2[0];
defaultPrincipal1[n - 1] = defaultPrincipal2[0];
begPrincipal1[n - 1] = p - principalPay1[n - 1] - prepayment1[n - 1] - defaultPrincipal1[n - 1];
double[] begPrincipal3;
double[] interest3;
double[] principalPay3;
double[] prepayment3;
double[] defaultPrincipal3;
MortgageCalculator.GetPaymentDetails(tArray.Skip(n).ToArray(), begPrincipal1[n - 1], newRate, Frequency, AmortizationType, out begPrincipal3, out interest3, out principalPay3, out prepayment3, out defaultPrincipal3, _numPastPayment);
var beg = Accruals[0];
end = Accruals[1];
if (StartDate != beg)
{
//first interest should be adjusted
interest1[0] = interest1[0] * (end - StartDate) / (end - beg);
}
var tempList = begPrincipal1.Take(n).ToList();
tempList.AddRange(begPrincipal3);
begPrincipal = tempList.ToArray();
tempList = interest1.Take(n).ToList();
tempList.AddRange(interest3);
interest = tempList.ToArray();
tempList = principalPay1.Take(n).ToList();
tempList.AddRange(principalPay3);
principalPay = tempList.ToArray();
tempList = prepayment1.Take(n).ToList();
tempList.AddRange(prepayment3);
prepayment = tempList.ToArray();
tempList = defaultPrincipal1.Take(n).ToList();
tempList.AddRange(defaultPrincipal3);
defaultPrincipal = tempList.ToArray();
}
var cashflows = new List <Cashflow>();
for (var i = 0; i < begPrincipal.Length; ++i)
{
var df = market.GetDf(Accruals[i + 1]);
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], principalPay[i], Currency, CashflowType.Principal, true, df, null));
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], interest[i], Currency, CashflowType.Coupon, true, df, null));
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], -interest[i] * TaxRate, Currency, CashflowType.Tax, true, df, null));
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], prepayment[i], Currency, CashflowType.Prepayment, true, df, null));
cashflows.Add(new Cashflow(Accruals[i], Accruals[i + 1], Accruals[i + 1], defaultPrincipal[i], Currency, CashflowType.PrincipalLossOnDefault, true, df, null));
}
return(cashflows.ToArray());
}
public Cashflow[] GetCashflows(IMarketCondition market, bool netted = true)
{
var accDates = Accruals.ToArray();
var cashflowType = (Coupon is FixedCoupon) ? CashflowType.FixedLegInterest : CashflowType.FloatingLegInterest;
var cashflows = new List <Cashflow>();
for (var i = 0; i < accDates.Length - 1; ++i)
{
CfCalculationDetail[] temp;
var paymentRate = Coupon.GetCoupon(accDates[i], accDates[i + 1], market.FixingCurve.Value, market.HistoricalIndexRates, out temp) * DayCount.CalcDayCountFraction(accDates[i], accDates[i + 1]);
cashflows.Add(
new Cashflow(
accDates[i],
accDates[i + 1],
accDates[i + 1],
Notional * paymentRate,
Currency,
cashflowType,
temp.Aggregate(true, (current, x) => current && x.IsFixed),
market.DiscountCurve.Value.GetDf(accDates[i + 1]),
temp
)
);
}
if (NotionalExchange)
{
if (cashflows.Count >= 1)
{
var last = cashflows[cashflows.Count - 1];
if (netted)
{
cashflows[cashflows.Count - 1] = new Cashflow(last.AccrualStartDate, last.AccrualEndDate, last.PaymentDate, last.PaymentAmount + Notional, Currency, CashflowType.Principal, last.IsFixed, market.DiscountCurve.Value.GetDf(last.PaymentDate), last.CalculationDetails);
}
else
{
cashflows.Add(new Cashflow(last.AccrualStartDate, last.AccrualEndDate, last.PaymentDate, Notional, Currency, CashflowType.Principal, true, market.DiscountCurve.Value.GetDf(last.PaymentDate), null));
}
}
}
if (TerminationDate != null && !double.IsNaN(TerminationAmount))
{
return(cashflows.Where(x => x.PaymentDate < TerminationDate).ToArray()
.Union(new[] { new Cashflow(TerminationDate, TerminationDate, TerminationDate, TerminationAmount, Currency, CashflowType.TerminationFee, true, market.DiscountCurve.Value.GetDf(TerminationDate), null) })
.ToArray());
}
else
{
return(cashflows.ToArray());
}
}
public double GetAccruedInterest(Date calcDate, IMarketCondition market, bool isEod = true)
{
var totalCoupon = DepositRate * DayCount.CalcDayCountFraction(StartDate, UnderlyingMaturityDate) * Notional;
return(totalCoupon * (calcDate - StartDate + (isEod ? 1 : 0)) / (UnderlyingMaturityDate - StartDate));
}
public double ModelValue(IMarketCondition market, MktInstrumentCalibMethod calibMethod = MktInstrumentCalibMethod.Default)
{
return((1.0 / market.DiscountCurve.Value.GetDf(market.ValuationDate, UnderlyingMaturityDate) - 1.0) /
DayCount.CalcDayCountFraction(market.ValuationDate, UnderlyingMaturityDate));
}
public double ZeroRate(Date startDate, Date endDate, Compound compound = Compound.Continuous)
{
var df = GetDf(startDate, endDate);
return(compound.CalcRateFromDf(df, DayCount.CalcDayCountFraction(startDate, endDate)));
}
public double GetSpotRate(Date date)
{
var t = DayCount.CalcDayCountFraction(ReferenceDate, date);
return(GetSpotRate(t));
}
public double GetCompoundedRate2(Date startDate, Date endDate)
{
var t = DayCount.CalcDayCountFraction(startDate, endDate);
return(GetCompoundedRate(t));
}