/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
base.Value(valuationResults, factors, baseTimes);
var deal = (CFFloatingInterestListDeal)Deal;
CalculateMetrics(valuationResults, factors, deal);
var accruedResults = valuationResults.Results <AccruedInterest>();
if (accruedResults == null)
{
return;
}
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector accruedInterest = cache.Get();
var tgi = new TimeGridIterator(fT);
VectorEngine.For(tgi, () =>
{
fCashflows.CalculateAccrual(accruedInterest, factors.BaseDate, tgi.Date, accruedResults.AccrueFromToday, deal.GetHolidayCalendar(), fForecastRate);
accruedResults.SetValue(tgi.Date, fBuySellSign * accruedInterest);
});
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
base.Value(valuationResults, factors, baseTimes);
var accruedResults = valuationResults.Results <AccruedInterest>();
if (accruedResults == null)
{
return;
}
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector accruedInterest = cache.Get();
var deal = (CFEquityFloatingInterestListDeal)Deal;
var tgi = new TimeGridIterator(fT);
var equityParams = new EquityCashflowParams((EquityPrice)fEquity, (EquityPriceVol)fEquityVol, fEquityFXRate, fEquityPayoffFXRate, deal.GetEquityPayoffType(), fEquityQuantoCompo, null, null);
while (tgi.Next())
{
deal.Cashflows.CalculateAccrual(accruedInterest, equityParams, factors.BaseDate, tgi.Date, accruedResults.AccrueFromToday, deal.GetHolidayCalendar(), deal.Accrual_Day_Count, fForecastRate, fFxRate);
accruedResults.SetValue(tgi.Date, fBuySellSign * accruedInterest);
}
}
}
/// <summary>
/// Value the fixed and floating legs of the swap.
/// </summary>
private void ValueFixedAndFloatingLegs(TimeGridIterator tgi, Vector fixedPv, Vector fixedCash, double baseDate, Vector floatPv, Vector floatCash)
{
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartSwaptionCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T,
CashflowType.FixedLeg, fSwaptionDeal.Floating_Margin))
{
// Calculate value of fixed side
fixedPv.Clear();
fixedCash.Clear();
fFixedCashflowList.Value(fixedPv, fixedCash, null, baseDate, tgi.Date, null, fDiscountRate, null, null, null, fIntraValuationDiagnosticsWriter, 0.0);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, fixedPv);
}
using (IntraValuationDiagnosticsHelper.StartSwaptionCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T,
CashflowType.FloatingLeg, fSwaptionDeal.Floating_Margin))
{
// Calculate value of floating side
floatPv.Clear();
floatCash.Clear();
fFloatCashflowList.ValueSwap(floatPv, floatCash, null, baseDate, tgi.Date, null, 0.0, fDiscountRate, fForecastRate, false, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, floatPv);
}
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
FixedCashflowBaseDeal deal = (FixedCashflowBaseDeal)fDeal;
double payDate = deal.Payment_Date;
double tPay = CalcUtils.DaysToYears(payDate - factors.BaseDate);
VectorEngine.For(tgi, () =>
{
if (tgi.Date == payDate)
{
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * fAmount);
}
else
{
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * fDiscountRate.Get(tgi.T, tPay) * fAmount);
}
});
if (!cashAccumulators.Ignore && factors.BaseDate <= payDate && payDate <= fT.fHorizon)
{
cashAccumulators.Accumulate(fFxRate, payDate, fAmount);
}
result.Complete(fT);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
BaseCliquetOption deal = (BaseCliquetOption)Deal;
double scale = (deal.Buy_Sell == BuySell.Buy ? +1 : -1) * deal.GetUnits();
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.Get();
Vector cash = cache.Get();
PricingFunctions.CliquetOption(pv, cash, deal.Option_Type, tgi.T, fTimes, deal.Moneyness,
fKnownPrices, fAssetPrice, fFxRate, fPayoffFxRate,
fDiscountRate, fAssetPriceVol, fQuantoCompo, fPayoffType,
factors.PathDependent);
cashAccumulators.Accumulate(fPayoffFxRate, tgi.Date, scale * cash);
result.AppendVector(tgi.Date, scale * pv * fPayoffFxRate.Get(tgi.T));
}
}
);
result.Complete(fT);
}
/// <summary>
/// Calculate vector valuation profile and vector realised cash profile.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
CalcUtils.CreateDealProfilesIfRequired(valuationResults, fItems, factors);
double paySign = fSwaptionDeal.Payer_Receiver == PayerReceiver.Payer ? +1 : -1;
double buySign = fSwaptionDeal.Buy_Sell == BuySell.Buy ? +1 : -1;
bool isCashSettled = fSwaptionDeal.Settlement_Style == SettlementType.Cash;
bool isPhysicallySettled = fSwaptionDeal.Settlement_Style == SettlementType.Physical;
bool cashRequired = !valuationResults.Cash.Ignore;
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
using (var outerCache = Vector.Cache(factors.NumScenarios))
{
Vector pv = outerCache.Get();
Vector exerciseWeight = outerCache.GetClear();
Vector cash = cashRequired ? outerCache.GetClear() : null;
// For a cash settled swaption, Settlement amount to be paid on Settlement Date.
Vector settlementCash = isCashSettled ? outerCache.GetClear() : null;
VectorEngine.For(tgi, () =>
{
// Work out the PV
if (tgi.Date < fSwaptionDeal.Option_Expiry_Date)
{
ValueBeforeExpiry(pv, factors, isCashSettled, tgi);
}
else
{
ValueOnOrAfterExpiry(pv, exerciseWeight, settlementCash, cash, factors, isCashSettled, isPhysicallySettled, cashRequired, tgi, paySign);
}
result.AppendVector(tgi.Date, buySign * pv * fFxRate.Get(tgi.T));
if (cashRequired)
{
valuationResults.Cash.Accumulate(fFxRate, tgi.Date, buySign * cash);
}
});
}
result.Complete(fT);
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
base.PreValue(factors);
IAssetPrice commodityPrice;
ISpotProcessVol dummyAssetPriceVol;
((BaseAssetFxDealHelper)GetDealHelper()).PreValueAsset(out commodityPrice, out dummyAssetPriceVol, out fBasketPricer, ref fQuantoCompo, factors);
CommodityForwardDealBase deal = (CommodityForwardDealBase)fDeal;
double scale = (deal.Buy_Sell == BuySell.Buy ? +1 : -1) * deal.Units;
double tMaturity = CalcUtils.DaysToYears(deal.Maturity_Date - factors.BaseDate);
TimeGridIterator tgi = new TimeGridIterator(fT);
CashAccumulators cash = valuationResults.Cash;
PVProfiles result = valuationResults.Profile;
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.Get();
if (tgi.Date <= deal.Maturity_Date)
{
pv.Assign(commodityPrice.ForwardFactor(tgi.T, tMaturity, fFxRate) * commodityPrice.Get(tgi.T)); // assign forward * fxRate to pv
pv.Assign((pv - deal.Forward_Price * fFxRate.Get(tgi.T)) * fDiscountRate.Get(tgi.T, tMaturity) * scale);
}
else
{
pv.Clear();
}
result.AppendVector(tgi.Date, pv);
if (tgi.Date == deal.Maturity_Date)
{
cash.Accumulate(fFxRate, deal.Maturity_Date, (commodityPrice.Get(tMaturity) / fFxRate.Get(tMaturity) - deal.Forward_Price) * scale);
}
}
});
result.Complete(fT);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CommitmentDeal deal = (CommitmentDeal)Deal;
VectorEngine.For(tgi, () =>
{
if (tgi.Date < deal.Effective_Date)
{
result.AppendZeroVector(tgi.Date);
}
else
{
double amount = deal.Amortisation.GetPrincipal(deal.Amount, tgi.Date - 1.0);
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * amount);
}
});
result.Complete(fT);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
base.Value(valuationResults, factors, baseTimes);
var deal = (CFFixedInterestListDeal)Deal;
CalculateMetrics(valuationResults, factors, deal);
var accruedResults = valuationResults.Results <AccruedInterest>();
if (accruedResults == null)
{
return;
}
var tgi = new TimeGridIterator(fT);
while (tgi.Next())
{
double accruedInterest = deal.Cashflows.CalculateAccrual(tgi.Date, accruedResults.AccrueFromToday, fDeal.GetHolidayCalendar());
accruedResults.SetValue(tgi.Date, fBuySellSign * accruedInterest);
}
}
/// <summary>
/// Calculate a valuation profile for a range of scenarios.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
IAssetPrice price = GetAssetPrice(factors);
PVProfiles result = valuationResults.Profile;
double scale = fDeal.Units * (fDeal.Buy_Sell == BuySell.Buy ? +1 : -1);
var tgi = new TimeGridIterator(fT);
VectorEngine.For(tgi, () => result.AppendVector(tgi.Date, scale * price.Get(tgi.T)));
result.Complete(fT);
CashAccumulators cashAccumulators = valuationResults.Cash;
double endDate = Deal.EndDate();
if (!cashAccumulators.Ignore && endDate <= fT.fHorizon)
{
double tEnd = CalcUtils.DaysToYears(endDate - factors.BaseDate);
IFxRate fxRate = factors.GetInterface <IFxRate>(fDeal.Currency);
cashAccumulators.Accumulate(fxRate, endDate, scale * price.Get(tEnd) / fxRate.Get(tEnd));
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var result = valuationResults.Profile;
var cashAccumulator = valuationResults.Cash;
var accruedResults = valuationResults.Results <AccruedInterest>();
var deal = (IInflationCashflowListDeal)Deal;
double sign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
var cashflows = deal.GetCashflows();
var calendar = deal.GetHolidayCalendar();
double baseDate = factors.BaseDate;
var tgi = new TimeGridIterator(fT);
CalculateMetrics(valuationResults, factors, deal);
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, fDeal))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector defaultDate = null;
if (!fIsDefaultNever)
{
defaultDate = fCreditRating != null?cache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
}
Vector pv = cache.GetClear();
Vector cash = cashAccumulator.Ignore ? null : cache.Get();
Vector accruedInterest = cache.GetClear();
VectorEngine.For(tgi, () =>
{
if (!fIsDefaultNever && CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate))
{
result.AppendVector(tgi.Date, pv);
return(LoopAction.Break);
}
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T, fDeal))
{
cashflows.Value(pv, cash, baseDate, tgi.Date, deal.Settlement_Date, fInflationRate, fIndexVolatility,
fDiscountRate, fRepoRate, fSurvivalProb, sign, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, pv);
if (fRecoveryCashflowList != null && fRecoveryCashflowList.Items.Count > 0)
{
fRecoveryCashflowList.Value(pv, cash, baseDate, tgi.Date, deal.Settlement_Date, fDiscountRate, fRepoRate, fInflationRate, fSurvivalProb, sign);
}
// Temporary fix up to avoid calculating default when we know the model doesn't support default
if (!fIsDefaultNever)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
GetDefaultValue(baseDate, tgi.Date, defaultDate, fInflationRate, fIndexVolatility, fRepoRate, pv, cash);
}
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * pv);
if (cash != null)
{
cashAccumulator.Accumulate(fFxRate, tgi.Date, cash);
}
if (accruedResults != null)
{
cashflows.CalculateAccrual(accruedInterest, baseDate, tgi.Date, accruedResults.AccrueFromToday, calendar, fInflationRate, fIndexVolatility, sign);
accruedResults.SetValue(tgi.Date, accruedInterest);
}
else if (fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
cashflows.CalculateAccrual(accruedInterest, baseDate, tgi.Date, false, calendar, fInflationRate, fIndexVolatility, sign);
}
IntraValuationDiagnosticsHelper.AddCashflowsAccruedInterest(fIntraValuationDiagnosticsWriter, accruedInterest);
}
}
return(LoopAction.Continue);
});
// On investment horizon or a bond forward's Settlement Date, the deal value is liquidated as cash.
double endDate = Deal.EndDate();
if (cash != null && endDate <= fT.fHorizon)
{
// If endDate on a payment date, cashflow has already been accummulated (as cash), otherwise is 0.
// Value liquidated is the value of the pv remaining after accummulating the cashflow.
cash.AssignDifference(pv, cash);
cashAccumulator.Accumulate(fFxRate, endDate, cash);
}
}
result.Complete(fT);
}
}
/// <summary>
/// Generic Deal Valuation - derived objects override the ValueFn() method.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var deal = (CalendarSpreadOption)Deal;
var tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators accumulator = valuationResults.Cash;
fTimeToSettlement = CalcUtils.DaysToYears(deal.Settlement_Date - factors.BaseDate);
fPeriodEnd1 = CalcUtils.DaysToYears(deal.Period_End_1 - factors.BaseDate);
fPeriodEnd2 = CalcUtils.DaysToYears(deal.Period_End_2 - factors.BaseDate);
// The time to expiry is the time to the end of the first expiring contract.
fTimeToExpiry = CalcUtils.DaysToYears(deal.Period_End_1 - factors.BaseDate);
using (var cache = Vector.Cache(factors.NumScenarios))
{
EnergySpreadOptionPricer pricer1 = GetEnergyOptionPricer(fForwardSample,
fReferencePrice1,
fReferenceVol1,
factors.BaseDate,
fPeriodEnd1,
deal.Period_Start_1,
deal.Period_End_1,
deal.Realized_Average_1,
deal.Realized_Average_Date_1,
cache);
EnergySpreadOptionPricer pricer2 = GetEnergyOptionPricer(fForwardSample,
fReferencePrice2,
fReferenceVol2,
factors.BaseDate,
fPeriodEnd2,
deal.Period_Start_2,
deal.Period_End_2,
deal.Realized_Average_2,
deal.Realized_Average_Date_2,
cache);
Vector pv = cache.Get();
Vector realizedPrice1 = cache.Get();
Vector realizedPrice2 = cache.Get();
Vector unrealizedPrice1 = cache.Get();
Vector unrealizedPrice2 = cache.Get();
Vector vol1 = cache.Get();
Vector vol2 = cache.Get();
Vector correlation = cache.Get();
Vector discountFactor = cache.Get();
// Calculate correlation between forward prices for two different (dereferenced) maturities (e.g. Apr2012 and Jan2013).
TDate forwardDate1 = fReferencePrice1.GetPriceDate(deal.Period_End_1, 0);
TDate forwardDate2 = fReferencePrice2.GetPriceDate(deal.Period_End_2, 0);
fCorrelations.GetValue(correlation, tgi.T, forwardDate1, forwardDate2);
while (tgi.Next())
{
pv.Clear();
if (tgi.T <= fTimeToExpiry)
{
// Get unrealised reference forward prices (which also age the pricer to time t and update the realized average at time t)
pricer1.GetUnrealizedPrice(tgi.T, unrealizedPrice1);
pricer2.GetUnrealizedPrice(tgi.T, unrealizedPrice2);
// Get the realized averages for both reference prices.
pricer1.GetRealizedPrice(realizedPrice1);
pricer2.GetRealizedPrice(realizedPrice2);
int numSamples1 = pricer1.GetNumSamples();
int numRealizedSamples1 = pricer1.GetNumRealizedSamples();
int numUnrealizedSamples1 = pricer1.GetNumUnrealizedSamples();
int numSamples2 = pricer2.GetNumSamples();
int numRealizedSamples2 = pricer2.GetNumRealizedSamples();
int numUnrealizedSamples2 = pricer2.GetNumUnrealizedSamples();
// Modify the strike
Vector kStar = cache.Get(deal.Strike_Price
- realizedPrice1 * numRealizedSamples1 / numSamples1
+ realizedPrice2 * numRealizedSamples2 / numSamples2);
Vector refPriceStar1 = cache.Get(unrealizedPrice1 * numUnrealizedSamples1 / numSamples1);
Vector refPriceStar2 = cache.Get(unrealizedPrice2 * numUnrealizedSamples2 / numSamples2);
// Get ATM volatilities of the forward price at different maturities (given as time in years with respect to base date).
pricer1.GetVol(tgi.T, unrealizedPrice2, vol1);
pricer2.GetVol(tgi.T, unrealizedPrice1, vol2);
// value is intrinsic - pricing with volatility 0 and realized price if there are no future sample.
if (numUnrealizedSamples1 == 0)
{
vol1.Clear();
}
// value is intrinsic - pricing with volatility 0 and realized price if there are no future sample.
if (numUnrealizedSamples2 == 0)
{
vol2.Clear();
}
// CSO pricing: exp(-rT) * E{max(F1(T) - F2(T) - K, 0)}
// For the European CSO, we set multiplier1 = sign, multiplier2 = -sign, constant = -sign * strike,
// where sign = +1 for a call and -1 for a put in the SpreadOptionBS function.
double rootTime = Math.Sqrt(fTimeToExpiry - tgi.T);
Vector volStar1 = cache.Get(vol1 * rootTime);
Vector volStar2 = cache.Get(vol2 * rootTime);
PricingFunctions.SpreadOptionBS(pv, fCallPutSign, -fCallPutSign, cache.Get(-fCallPutSign * kStar), fCallPutSign,
refPriceStar1, refPriceStar2, kStar, volStar1, volStar2, correlation);
// The option itself cannot be worth less than zero (for long positions).
// However, due to that the Bjerksund & Stensland is a type of non-optimal exercise, it is possible to end up with negative PV via
// its pricing formula.
pv.AssignMax(pv, 0.0);
// Discount payment made at settlement date
pv.MultiplyBy(fScale * fDiscountRate.Get(tgi.T, fTimeToSettlement));
}
// Cash settlement at settlement date
if (tgi.T == fTimeToSettlement && accumulator != null && !accumulator.Ignore)
{
accumulator.Accumulate(fFxPayoffRate, tgi.Date, pv);
}
result.AppendVector(tgi.Date, pv * fFxPayoffRate.Get(tgi.T));
}
result.Complete(fT);
}
}
/// <summary>
/// Valuation method.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
CDOValuationParameters parameters = GetValuationParameters(factors);
double scale = (fDeal.Buy_Sell == BuySell.Buy) ? +fDeal.Principal : -fDeal.Principal;
double trancheSize = fDeal.Detachment - fDeal.Attachment;
if (trancheSize < CalcUtils.TINY)
{
return;
}
double tUpfront = CalcUtils.DaysToYears(fDeal.Upfront_Date - factors.BaseDate);
TimeGridIterator tgi = new TimeGridIterator(fT);
CashAccumulators accumulator = valuationResults.Cash;
PVProfiles result = valuationResults.Profile;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector npv = cache.Get();
Vector expectedWritedownPremiumNotional = cache.Get();
Vector expectedLoss = cache.Get();
Vector expectedRecovery = cache.Get();
Vector discountFactor = cache.Get();
Vector realizedIndexLoss = cache.Get();
Vector realizedIndexRecovery = cache.Get();
Vector adjustedAttachment = cache.Get();
Vector adjustedDetachment = cache.Get();
Vector trancheRemainder = cache.Get();
// Handle upfront payment
if (fDeal.Upfront_Date >= tgi.Date)
{
npv.Assign(scale * parameters.DF.Get(tgi.T, tUpfront) * fDeal.Upfront_Amount);
}
else
{
npv.Clear();
}
// reinitialise running variables
expectedWritedownPremiumNotional.Clear();
expectedLoss.Clear();
expectedRecovery.Clear();
discountFactor.Assign(parameters.DF.Get(tgi.T, tgi.T));
if (accumulator != null && tgi.Date == fDeal.Upfront_Date)
{
accumulator.Accumulate(parameters.X, tgi.Date, fDeal.Upfront_Amount);
}
// Check for realized loss and recovery and adjust the attachment and detachment accordingly
parameters.RealizedLoss(realizedIndexLoss, realizedIndexRecovery, tgi.T, fDeal.Payoff_Is_Digital == YesNo.Yes, fDeal.Digital_Payoff_Percentage);
adjustedDetachment.Assign(VectorMath.Max(0.0, VectorMath.Min(1.0 - realizedIndexRecovery, fDeal.Detachment) - realizedIndexLoss));
adjustedAttachment.Assign(VectorMath.Max(0.0, VectorMath.Min(1.0 - realizedIndexRecovery, fDeal.Attachment) - realizedIndexLoss));
trancheRemainder.Assign((adjustedDetachment - adjustedAttachment) / trancheSize);
if (adjustedDetachment.MaxElement() > CalcUtils.TINY)
{
// Diagnostics
double sumDefaultAccrual = 0;
double sumPVPremium = 0;
double sumPVProtection = 0;
bool needDiagnostics = tgi.T == 0.0 && fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None;
using (needDiagnostics ? IntraValuationDiagnosticsHelper.StartCDO(fIntraValuationDiagnosticsWriter, tgi.Date, fDeal.Principal) : null)
{
// Value future coupon periods
VectorEngine.For(0, PayDates.Count, i =>
{
if (PayDates[i] < tgi.Date)
{
return(LoopAction.Continue);
}
double tPay = CalcUtils.DaysToYears(PayDates[i] - factors.BaseDate);
using (var innerCache = Vector.CacheLike(npv))
{
Vector oldExpectedLoss = innerCache.Get(expectedLoss);
Vector oldDiscountFactor = innerCache.Get(discountFactor);
Vector oldExpectedWritedownPremiumNotional = innerCache.Get(expectedWritedownPremiumNotional);
Vector expectedLossAttachment = innerCache.Get();
Vector expectedLossDetachment = innerCache.Get();
Vector premiumLeg = innerCache.Get();
Vector defaultLeg = innerCache.Get();
Vector accruedInDefault = innerCache.Get();
Vector expectedRecoveryAttachment = innerCache.Get();
Vector expectedRecoveryDetachment = innerCache.Get();
Vector avgDiscountFactor = innerCache.Get();
Vector pv = innerCache.Get();
// Get the expected loss and recovery for the tranche detachment and attachment
parameters.ExpectedLossAndRecovery(expectedLossDetachment, expectedRecoveryDetachment, tgi.T, tPay, adjustedDetachment, realizedIndexLoss, realizedIndexRecovery);
parameters.ExpectedLossAndRecovery(expectedLossAttachment, expectedRecoveryAttachment, tgi.T, tPay, adjustedAttachment, realizedIndexLoss, realizedIndexRecovery);
expectedLoss.Assign((expectedLossDetachment - expectedLossAttachment) / trancheSize);
expectedRecovery.Assign((expectedRecoveryDetachment - expectedRecoveryAttachment) / trancheSize);
expectedWritedownPremiumNotional.Assign(expectedLoss + expectedRecovery);
// Premium leg approximation: Accrued in default pays half the accrued. Remove expected loss and recovery (top down writeoff)
premiumLeg.Assign(fDeal.Spread * (trancheRemainder - expectedWritedownPremiumNotional) * Accruals[i]);
accruedInDefault.Assign(fDeal.Spread * (expectedWritedownPremiumNotional - oldExpectedWritedownPremiumNotional) * 0.5 * Accruals[i]);
// Default leg approximation: account for default with bullet payment at end of period
defaultLeg.Assign(expectedLoss - oldExpectedLoss);
// Convention: bought CDO pays the premium to the buyer
discountFactor.Assign(parameters.DF.Get(tgi.T, tPay));
avgDiscountFactor.Assign(0.5 * (discountFactor + oldDiscountFactor));
pv.Assign(scale * (premiumLeg * discountFactor + (accruedInDefault - defaultLeg) * avgDiscountFactor));
npv.Add(pv);
if (accumulator != null && tgi.T == tPay)
{
accumulator.Accumulate(parameters.X, tgi.Date, scale * (premiumLeg + accruedInDefault - defaultLeg));
}
if (needDiagnostics)
{
using (var innerCache1 = Vector.CacheLike(npv))
{
Vector expectedPremium = innerCache1.Get(scale * premiumLeg);
Vector expectedDefaultAccrual = innerCache1.Get(scale * accruedInDefault);
Vector expectedDefaultLoss = innerCache1.Get(scale * defaultLeg);
Vector pvDefaultAccrual = innerCache1.Get(expectedDefaultAccrual * avgDiscountFactor);
Vector pvPremium = innerCache1.Get(expectedPremium * discountFactor);
Vector pvProctection = innerCache1.Get(-expectedDefaultLoss * avgDiscountFactor);
// accumulate sums
if (i >= 0)
{
sumDefaultAccrual += pvDefaultAccrual[0];
sumPVPremium += pvPremium[0];
sumPVProtection += pvProctection[0];
}
using (IntraValuationDiagnosticsHelper.StartCashflow(fIntraValuationDiagnosticsWriter, PayDates[i]))
{
var remainingPool = cache.Get(1.0 - realizedIndexLoss - realizedIndexRecovery);
AddIntraValuationDiagnostics(fIntraValuationDiagnosticsWriter, parameters, adjustedAttachment, adjustedDetachment,
remainingPool, tgi.T, tPay);
IntraValuationDiagnosticsHelper.AddDetailedCDOCashflow(fIntraValuationDiagnosticsWriter,
expectedPremium, expectedRecovery, expectedDefaultAccrual, expectedDefaultLoss, discountFactor, pv);
}
}
}
}
return(LoopAction.Continue);
});
if (needDiagnostics)
{
IntraValuationDiagnosticsHelper.AddSummaryCDOAmounts(fIntraValuationDiagnosticsWriter, npv, sumDefaultAccrual,
sumPVPremium, sumPVProtection);
}
}
result.AppendVector(tgi.Date, npv * parameters.X.Get(tgi.T));
}
}
});
}
// After maturity
result.Complete(fT);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
BondOptionDeal deal = (BondOptionDeal)Deal;
double baseDate = factors.BaseDate;
double notional = deal.Notional;
double interval = deal.Coupon_Interval;
double buySign = (deal.Buy_Sell == BuySell.Buy) ? +1 : -1;
double paySign = (deal.Option_Type == OptionType.Call) ? +1 : -1;
double coupon = Percentage.PercentagePoint * deal.Coupon_Rate;
double tExpiry = CalcUtils.DaysToYears(deal.Expiry_Date - baseDate);
double tMaturity = CalcUtils.DaysToYears(deal.Bond_Maturity_Date - baseDate);
IInterestYieldVol interestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
if ((deal.Amortisation) != null && (deal.Amortisation.Count > 0))
{
notional = deal.Amortisation.GetPrincipal(notional, deal.Expiry_Date);
}
bool respectDefault = Respect_Default == YesNo.Yes && fCreditRating != null;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
using (var pricerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultTime = null;
Vector bondIsAlive = null;
Vector historicalRecovery = null;
if (respectDefault)
{
defaultTime = pricerCache.Get();
bondIsAlive = pricerCache.Get(1.0);
historicalRecovery = pricerCache.GetClear();
fCreditRating.DefaultTime(defaultTime);
}
var defaultedBeforeBaseDate = respectDefault && CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
VectorEngine.For(tgi, () =>
{
using (IntraValuationDiagnosticsHelper.StartValuation(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector optionValue = cache.GetClear();
Vector stdDev = cache.Get(); // Std.Dev of Price
Vector stdDevYield = cache.Get(); //Std.Dev of Yield
Vector price = cache.Get();
Vector yield = cache.Get();
Vector macaulayDuration = cache.Get();
Vector bondValue = cache.Get();
Vector df = cache.Get();
Vector dfr = fRepoIsDiscount ? null : cache.Get();
if (defaultedBeforeBaseDate)
{
result.AppendVector(tgi.Date, optionValue);
return(LoopAction.Break);
}
// This BondPrice function returns the value of the bond cashflows after ExpiryDate, including accrual, discounted back to T.date
double accrual, cash;
PricingFunctions.BondPrice(bondValue, out accrual, out cash, baseDate, tgi.Date, deal.Expiry_Date, deal.Issue_Date, deal.Bond_Maturity_Date, notional, coupon, fPayDates, fAccruals, fDiscountRate, deal.Amortisation, fPrincipals, fFinalPrincipal, fSurvivalProb, +1.0);
// Now check scenario by scenario for defaults, overwriting bondValue as necessary
if (respectDefault)
{
AdjustBondValueForDefault(notional, tExpiry, bondValue, bondIsAlive, historicalRecovery, defaultTime, tgi.T, fDiscountRate, fRecoveryRate);
}
// convert price and duration to forward (tExpiry) basis
if (tgi.Date == deal.Expiry_Date)
{
optionValue.Assign(buySign * VectorMath.Max(0.0, paySign * (bondValue - notional * fStrike)));
cashAccumulators.Accumulate(fFxRate, tgi.Date, optionValue);
}
else
{
fDiscountRate.GetValue(df, tgi.T, tExpiry);
if (fRepoIsDiscount)
{
dfr = df;
}
else
{
fRepoRate.GetValue(dfr, tgi.T, tExpiry);
}
// Need yield and duration to convert yield vol to price vol.
PricingFunctions.BondForwardPriceAndAdjustedMacaulayDuration(price, macaulayDuration, tgi.T, tExpiry, tMaturity, coupon, interval, df, fDiscountRate, fSurvivalProb);
PricingFunctions.BondYieldFromPrice(yield, tExpiry, tMaturity, coupon, interval, price);
// Calculate Modified Duration from Macaulay Duration.
Vector modifiedDuration = cache.GetClear();
PricingFunctions.GetModifiedDuration(modifiedDuration, macaulayDuration, yield, interval);
// Calculate Std.Dev of Yield and Price
interestYieldVol.GetStdDev(stdDevYield, tgi.T, yield, fStrikeYield, tExpiry, tMaturity - tExpiry);
stdDev.Assign(modifiedDuration * stdDevYield);
if (interestYieldVol.GetDistributionType() == ProbabilityDistribution.Lognormal)
{
stdDev.MultiplyBy(yield);
}
price.AssignQuotient(bondValue, df);
PricingFunctions.BlackFunction(optionValue, deal.Option_Type, price, notional * fStrike, stdDev);
optionValue.MultiplyBy(buySign * dfr);
if (fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
// Add Intra-valuation Diagnostics
using (var volatilitiesAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
using (var volatilitiesYieldAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
{
volatilitiesAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDev);
volatilitiesYieldAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDevYield);
IntraValuationDiagnosticsHelper.AddBondOptionProperties(fIntraValuationDiagnosticsWriter, price, dfr, bondValue, accrual,
volatilitiesAtDateStore, volatilitiesYieldAtDateStore);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, optionValue);
}
}
}
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * optionValue);
return(LoopAction.Continue);
}
}
});
}
result.Complete(fT);
}
}
/// <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>
/// Vector valuation function.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators accumulator = valuationResults.Cash;
DealCreditLinkedNoteBase deal = (DealCreditLinkedNoteBase)fDeal;
ISurvivalProb SP = GetSurvivalProbability(factors);
RecoveryRate RR = GetRecoveryRate(factors);
CreditRating CR = GetCreditRating(factors);
double tEffective = CalcUtils.DaysToYears(deal.Effective_Date - factors.BaseDate);
double scale = (deal.Buy_Sell == BuySell.Buy) ? +deal.Notional_Amount : -deal.Notional_Amount;
double purchasePrice = Percentage.PercentagePoint * deal.Price;
double couponRate = (deal.Coupon_Type == InterestRateType.Fixed) ? Percentage.PercentagePoint * deal.Coupon_Rate : 0.0;
double couponSpread = (deal.Coupon_Type == InterestRateType.Fixed) ? 0.0 : BasisPoint.BasisPointValue * deal.Coupon_Spread;
double indexTenor = (deal.Index_Tenor > 0.0) ? deal.Index_Tenor : deal.Coupon_Interval;
using (var cache = Vector.Cache(factors.NumScenarios))
{
bool[] hasDefaulted = (Respect_Default == YesNo.Yes) ? new bool[factors.NumScenarios] : null;
Vector defaultTime = (Respect_Default == YesNo.Yes) ? cache.Get() : null;
Vector historicalRecovery = (Respect_Default == YesNo.Yes) ? cache.GetClear() : null;
if (hasDefaulted != null && CR != null)
{
DefaultTime(defaultTime, CR);
}
Vector npv = cache.Get();
Vector cash = cache.Get();
Vector pStart = cache.Get();
Vector pEnd = cache.Get();
Vector amount = cache.Get();
Vector recovery = cache.Get();
Vector dfLast = cache.Get();
Vector df = cache.Get();
cash.Clear();
var defaultedBeforeTheBaseDate = Respect_Default == YesNo.Yes &&
CreditRating.DefaultedBeforeBaseDate(CR, factors.BaseDate);
while (tgi.Next())
{
if (defaultedBeforeTheBaseDate)
{
npv.Clear();
result.AppendVector(tgi.Date, npv);
break;
}
if (!deal.Principal_Guaranteed && Respect_Default == YesNo.Yes)
{
RealizedRecoveryRate(recovery, RR, tgi.T);
}
// Assume defaults are rare and start by valuing under all scenarios without realized defaults
// Value of principal repayment
SurvivalProbability(pEnd, factors, SP, tgi.T, fT.fLast);
fDiscountRate.GetValue(dfLast, tgi.T, fT.fLast);
if (deal.Principal_Guaranteed)
{
npv.Assign(dfLast);
}
else
{
npv.Assign(dfLast * pEnd);
}
if (accumulator != null && tgi.T == fT.fLast)
{
cash.Assign(npv);
}
// Value of coupons
for (int i = PayDates.Count - 1; i >= 0 && tgi.Date <= PayDates[i]; --i)
{
double tPay = CalcUtils.DaysToYears(PayDates[i] - factors.BaseDate);
double tReset = CalcUtils.DaysToYears(ResetDates[i] - factors.BaseDate);
double tPrevious = Math.Max(tgi.T, tReset);
SurvivalProbability(pStart, factors, SP, tgi.T, tPrevious);
if (deal.Coupon_Type == InterestRateType.Floating)
{
// Forecast a coupon, add the spread
InterestRateUtils.LiborRate(amount, fForecastRate, tgi.T, tReset, tReset, tReset + indexTenor, deal.Index_Day_Count);
amount.Add(couponSpread);
amount.MultiplyBy(Accruals[i]);
}
else
{
// Fixed coupon
amount.Assign(couponRate * Accruals[i]);
}
// The value of the coupon if no default
npv.Add(amount * fDiscountRate.Get(tgi.T, tPay) * pEnd);
if (accumulator != null && tgi.T == tPay)
{
cash.Assign(amount);
}
// The recovery value on default - assume guaranteed principal paid at end, recovery paid immediately
if (!deal.Principal_Guaranteed)
{
npv.Add(fDiscountRate.Get(tgi.T, 0.5 * (tPay + tPrevious)) * (pStart - pEnd) * PricingRecoveryRate(SP));
}
pEnd.DestructiveAssign(pStart);
}
// Now check for realized default scenario by scenario, overwriting NPV and cash as appropriate
if (Respect_Default == YesNo.Yes && defaultTime != null)
{
if (tgi.T < tEffective)
{
fDiscountRate.GetValue(df, tgi.T, tEffective);
}
for (int i = 0; i < npv.Count; ++i)
{
if (defaultTime[i] > tgi.T)
{
continue;
}
if (deal.Principal_Guaranteed)
{
npv[i] = dfLast[i]; // full principal paid at maturity
}
else
{
if (!hasDefaulted[i])
{
historicalRecovery[i] = recovery[i]; // record the historical recovery rate
}
if (tgi.T < tEffective)
{
npv[i] = df[i] * historicalRecovery[i]; // The discounted recovery value of the principal will be paid out on the effective date
}
else if (tgi.T == tEffective || !hasDefaulted[i])
{
npv[i] = historicalRecovery[i]; // The full recovery amount is paid out
}
else
{
npv[i] = 0.0; // default is in the past but we are after effective date; settlement has already occurred.
}
}
hasDefaulted[i] = true;
}
}
// Value of purchase price
if (tgi.T < tEffective)
{
npv.Add(-purchasePrice * fDiscountRate.Get(tgi.T, tEffective));
}
else if (tgi.T == tEffective)
{
npv.Add(-purchasePrice);
if (accumulator != null)
{
cash.Add(-purchasePrice);
}
}
result.AppendVector(tgi.Date, scale * npv * fFxRate.Get(tgi.T));
if (accumulator != null)
{
accumulator.Accumulate(fFxRate, tgi.Date, scale * cash);
}
}
// After maturity
result.Complete(fT);
}
}
/// <summary>
/// Value the deal.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
CallableBondForward deal = (CallableBondForward)Deal;
double baseDate = factors.BaseDate;
double settlementDate = deal.Settlement_Date;
double tSettle = CalcUtils.DaysToYears(settlementDate - baseDate);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
AccruedInterest accrued = valuationResults.Results <AccruedInterest>();
var intraValuationDiagnosticsWriter =
IntraValuationDiagnosticsWriterFactory.GetOrCreate(IntraValuationDiagnosticsLevel.None);
using (var outerCache = Vector.Cache(factors.NumScenarios))
{
// SwapOptionPricerObject is null when there are no valid exercise dates.
SwaptionPricer.WorkingArrays arrays = fSwaptionPricer != null?fSwaptionPricer.PreValue(fDiscountRate, outerCache) : null;
Vector tExercise = outerCache.Get(double.PositiveInfinity); // time of exercise
int numberScenariosExercised = 0;
Vector defaultDate = fCreditRating != null?outerCache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
var defaultedBeforeBaseDate = fNeedsCreditRating &&
CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector cash = cache.GetClear();
Vector pv = cache.GetClear();
if (defaultedBeforeBaseDate || numberScenariosExercised == factors.NumScenarios)
{
// already defaulted before base date or All scenarios exercised
result.AppendVector(tgi.Date, pv);
return(LoopAction.Break);
}
else
{
// Value of the bond cashflows after the settlement.
fCashflowList.Value(pv, cash, null, baseDate, tgi.Date, null, fDiscountRate, fSurvivalProb, null,
null, intraValuationDiagnosticsWriter, 0.0);
// Add the value of the principal and amortization cashflows.
fFixedCashflowList.Value(pv, cash, baseDate, tgi.Date, null, fDiscountRate, fSurvivalProb,
intraValuationDiagnosticsWriter, 0.0);
if (fSurvivalProb != null)
{
fRecoveryList.Value(pv, baseDate, tgi.Date, fDiscountRate, fSurvivalProb,
intraValuationDiagnosticsWriter);
}
if (fNeedsCreditRating)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
}
// Add/subtract value of option
if (fSwaptionPricer != null)
{
using (var innerCache = Vector.Cache(factors.NumScenarios))
{
Vector optionPv = innerCache.Get();
Vector exerciseStrike = innerCache.GetClear(); // strike of underlying at exercise
Vector exerciseFee = innerCache.GetClear(); // fee paid on exercise
fSwaptionPricer.Value(optionPv, tgi.T, fDiscountRate, fInterestYieldVol, fSurvivalProb, arrays, tExercise,
exerciseStrike, exerciseFee, Early_Exercise_Today == YesNo.Yes, ref numberScenariosExercised);
// Ignore optionality if in default.
if (fNeedsCreditRating)
{
optionPv.AssignConditional(defaultDate > tgi.Date, optionPv, 0.0);
}
pv.Add(optionPv);
}
}
if (tgi.Date < settlementDate)
{
// Forward deal before settlement date
if (deal.Is_Defaultable == YesNo.No)
{
pv.Assign((pv / fDiscountRate.Get(tgi.T, tSettle) - fSettlementAmount) * fRepoRate.Get(tgi.T, tSettle));
}
else
{
pv.Subtract((fSettlementAmount - fAccrued) * fRepoRate.Get(tgi.T, tSettle) + fAccrued * fDiscountRate.Get(tgi.T, tSettle)); // discount accrued with bond rate; accrued interest must cancel
}
}
else if (tgi.Date == settlementDate)
{
// Forward deal at settlement date
pv.Subtract(fSettlementAmount);
cash.Subtract(fSettlementAmount);
}
if (deal.IsForward())
{
// Cash settled forward
if (tgi.Date == settlementDate)
{
cash.Assign(pv);
}
else
{
cash.Clear();
}
}
else if (tgi.Date >= settlementDate)
{
using (var innerCache = Vector.Cache(factors.NumScenarios))
{
Vector afterExercise = innerCache.Get(tExercise < tgi.T);
Vector beforeExercise = innerCache.Get(tExercise > tgi.T);
Vector exercisedToday = innerCache.GetClear();
exercisedToday.Assign(afterExercise.Or(beforeExercise));
exercisedToday.Assign(!exercisedToday);
double callAmount = deal.Notional * Percentage.PercentagePoint * deal.Call_Prices.GetRate(tgi.Date);
// Before exercise: pv is bondPV + optionPv and cash is bondCash.
// On exercise: pv and cash are bondCash + callAmount.
// After exercise: pv and cash are zero.
cash.AssignConditional(exercisedToday, cash + callAmount, beforeExercise * cash);
pv.AssignConditional(exercisedToday, cash, beforeExercise * pv);
}
}
// Apply leg sign to results
int buySellSign = deal.Buy_Sell == BuySell.Buy ? +1 : -1;
ApplySign(pv, cash, buySellSign);
if (fNeedsCreditRating)
{
Vector beforeExercise = cache.Get(tExercise > tgi.T);
Vector modifiedDefaultDate = cache.Get();
// If default occurs after the call option has been exercise, default is irrelevant.
// If default occurs on the same date that the call option is exercised, the assumption
// is that the bond has been paid back in full, otherwise it wouldn''t be considered exercised.
modifiedDefaultDate.AssignConditional(beforeExercise, defaultDate, double.PositiveInfinity);
GetDefaultValue(baseDate, tgi.Date, modifiedDefaultDate, fRecoveryRate, pv, cash);
}
valuationResults.Cash.Accumulate(fFxRate, tgi.Date, cash);
result.AppendVector(tgi.Date, pv * fFxRate.Get(tgi.T));
if (accrued != null)
{
accrued.SetValue(tgi.Date, fCashflowList.CalculateAccrual(tgi.Date, accrued.AccrueFromToday, fDeal.GetHolidayCalendar()) * buySellSign);
}
}
}
return(LoopAction.Continue);
});
}
result.Complete(fT);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulator = valuationResults.Cash;
double baseDate = factors.BaseDate;
CallableStructuredDeal deal = (CallableStructuredDeal)fDeal;
int buySellSign = deal.Buy_Sell == BuySell.Buy ? +1 : -1;
int callPutSign = deal.Option_Type == OptionType.Call ? 1 : -1;
InterestRateOptionPricer optionPricer = CreateOptionPricer(factors);
CalcUtils.CreateDealProfilesIfRequired(valuationResults, fItems, factors);
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector exercised = cache.GetClear(); // vector taking value 0 or 1 indicating exercise before tgi.date
Vector exercisedToday = cache.Get(); // vector taking value 0 or 1 indicating exercise at tgi.date
Vector optionPv = cache.Get();
Vector pv = cache.Get();
Vector cash = cache.Get();
Vector settlementDateAtExercise = cache.GetClear();
Vector defaultDate = needRating ? cache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
var defaultedBeforeBaseDate = needRating &&
CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
while (tgi.Next())
{
if (defaultedBeforeBaseDate)
{
pv.Clear();
result.AppendVector(tgi.Date, pv);
break;
}
if (needRating)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
}
double val;
bool allExercised = exercised.AllElementsTheSame(out val) && val == 1.0;
if (deal.Settlement_Style == SettlementType2.Physical)
{
// Calculate value of option (option value is zero after last exercise date)
if (!allExercised)
{
optionPricer.Value(baseDate, tgi.Date, optionPv, exercised, exercisedToday, settlementDateAtExercise, defaultDate);
}
// Calculate value of underlying cashflows after settlementDateAtExercise
pv.Clear();
cash.Clear();
InterestRateOptionPricer.ValueDeals(fItems, pv, cash, baseDate, tgi.Date, settlementDateAtExercise, defaultDate, fDiscountRate, fForecastRate, fRepoRate, fInterestRateVol, fInterestYieldVol, fSurvivalProb, fRecoveryRate);
pv.MultiplyBy(callPutSign);
cash.MultiplyBy(callPutSign);
if (!allExercised)
{
// If exercised today the cashflow is the value of the option minus the value of the physically settled part
// Else if already exercised, cash is the unnderlying cash.
// Else (before exercise) there is no cash.
cash.AssignConditional(exercisedToday, optionPv - pv, exercised * cash);
// If already exercised, pv is the unnderlying pv.
// Else (before exercise or exercised today), pv is the option pv.
pv.AssignConditional(exercised, pv, optionPv);
pv.AssignConditional(exercisedToday, optionPv, pv);
}
}
else
{
if (allExercised)
{
// Already exercised on all scenarios
result.AppendZeroVector(tgi.Date);
continue;
}
if (deal.Settlement_Style == SettlementType2.Cash)
{
// Calculate value of option
optionPricer.Value(baseDate, tgi.Date, pv, exercised, exercisedToday, settlementDateAtExercise, defaultDate);
// If exercised today then option pv is settled today, otherwise there is no cash
cash.AssignProduct(pv, exercisedToday);
}
else // Embedded option (callable or puttable)
{
// Calculate underlying value
pv.Clear();
cash.Clear();
InterestRateOptionPricer.ValueDeals(fItems, pv, cash, baseDate, tgi.Date, null, defaultDate, fDiscountRate, fForecastRate, fRepoRate, fInterestRateVol, fInterestYieldVol, fSurvivalProb, fRecoveryRate);
// Calculate value of option
optionPricer.Value(baseDate, tgi.Date, optionPv, exercised, exercisedToday, settlementDateAtExercise, defaultDate);
// Add or subtract value of embedded option
pv.AddProduct(-callPutSign, optionPv);
// Option payoff is Max(callPutSign * (underlyingPv - accruedInterest - discountedFee), 0)
// Callable/puttable payoff on exercise is
// underlyingPv - callPutSign * (callPutSign * (underlyingPv - accruedInterest - discountedFee))
// = accruedInterest + discountedFee
// Set pv and cash to zero if already exercised.
// If exercised today then the pv is settled today.
pv.AssignConditional(exercised, exercisedToday * pv, pv);
cash.AssignConditional(exercised, exercisedToday * pv, cash);
}
}
pv.MultiplyBy(buySellSign);
cash.MultiplyBy(buySellSign);
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * pv);
cashAccumulator.Accumulate(fFxRate, tgi.Date, cash);
}
}
result.Complete(fT);
}
/// <summary>
/// Aggregate the valuation profile onto a set of result curves to support result partitioning.
/// </summary>
protected override void ProcessResults(ValuationResults valResults, DealPartitionAssociations assoc, PriceFactorList factors, BaseTimeGrid baseTimes, ValuationOptions options, int partition)
{
var pvProfiles = valResults.Results <PVProfiles>();
var addOnProfiles = valResults.Results <AddOnProfiles>();
var positiveMtmProfiles = valResults.Results <PositiveMtmProfiles>();
Debug.Assert(addOnProfiles != null, "No Add-On profiles. Cannot proceed with valuation.");
Debug.Assert(positiveMtmProfiles != null, "No Positive mtM profiles. Cannot proceed with valuation.");
fT = Deal.ValuationGrid(factors, baseTimes, Deal.EndDate());
var tgi = new TimeGridIterator(fT);
var nettedExposure = new PVProfiles(factors.NumScenarios);
var collateralExposure = new PVProfiles(factors.NumScenarios);
var addOnsProfile = new PVProfiles(factors.NumScenarios);
var mtmTermProfile = new PVProfiles(factors.NumScenarios);
DealBaselNettingCollateralSet nettingSetDeal = Deal as DealBaselNettingCollateralSet;
bool collateralised = nettingSetDeal.Collateralised == YesNo.Yes;
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector sumMtm = cache.Get();
Vector sumPositiveMtm = cache.Get();
Vector addOns = cache.Get();
Vector netGrossRatio = cache.Get();
Vector value = cache.Get();
Vector term1 = cache.Get();
Vector term2 = cache.Get();
// Collateral related vectors.
Vector mtmTermStart = cache.Get();
Vector addOnHp = cache.Get();
// Loop to get the netting set exposure.
while (tgi.Next())
{
sumMtm.Clear();
sumPositiveMtm.Clear();
addOns.Clear();
value.Clear();
double date = tgi.Date;
// For MtM Plus Add-On deals PV profiles represents the sum of the MtM profile and Add-On profile.
// Subtract the Add-On profile to recover the MtM profile before flooring.
sumMtm.Assign(VectorMath.Max(pvProfiles[date] - addOnProfiles[date], 0.0));
addOns.Assign(addOnProfiles[date]);
sumPositiveMtm.Assign(positiveMtmProfiles[date]);
netGrossRatio.AssignConditional(sumPositiveMtm > 0, sumMtm / sumPositiveMtm, 0.0);
netGrossRatio.MultiplyBy(this.fNetGrossRatioCorrelation);
netGrossRatio.Add(1 - this.fNetGrossRatioCorrelation);
term2.AssignProduct(addOns, netGrossRatio);
term1.Assign(VectorMath.Max(sumMtm, 0.0));
value.AssignSum(term1, term2);
nettedExposure.AppendVector(date, value);
if (collateralised)
{
mtmTermProfile.AppendVector(date, term1);
addOnsProfile.AppendVector(date, term2);
}
}
nettedExposure.Complete(this.fT);
var exposureResults = valResults.Results <Exposure>();
if (exposureResults != null)
{
exposureResults.Assign(nettedExposure);
}
// Collateral cases.
if (collateralised)
{
mtmTermProfile.Complete(this.fT);
addOnsProfile.Complete(this.fT);
double date = factors.BaseDate;
mtmTermProfile.GetValue(mtmTermStart, date);
addOnsProfile.GetValue(addOnHp, date + nettingSetDeal.Holding_Period);
// Assume we have post haircut collateral.
double collateral = nettingSetDeal.Balance;
double threshold = nettingSetDeal.Threshold;
tgi.Reset();
// Loop to get the netting set exposure.
while (tgi.Next())
{
bool inHoldingPeriod = tgi.T < CalcUtils.DaysToYears(nettingSetDeal.Holding_Period);
CollateralBasel3(mtmTermStart, collateral, addOnHp, threshold, inHoldingPeriod, tgi.Date,
nettedExposure,
collateralExposure);
}
collateralExposure.Complete(this.fT);
if (exposureResults != null)
{
exposureResults.Assign(collateralExposure);
}
}
}
if (options.PartitionCollateralMode != PartitionCollateralMode.Suppress_Collateral_And_Flooring || partition < options.NumTotalPartitions)
{
valResults.FloorResult(assoc.AggregationMode, options);
}
CollateralPlugIn.CollateralBalancesContainer coProfiles = valResults.Results <CollateralPlugIn.CollateralBalancesContainer>();
// Store collateral information according to diagnostic collection rules.
if (coProfiles != null)
{
coProfiles.StoreInformation(this);
}
}
private void ValueOnOrAfterExpiry(Vector pv, Vector exerciseWeight, Vector settlementCash, Vector cash, PriceFactorList factors, bool isCashSettled, bool isPhysicallySettled, bool cashRequired, TimeGridIterator tgi, double paySign)
{
double baseDate = factors.BaseDate;
double tSettlement = isCashSettled ? CalcUtils.DaysToYears(fSwaptionDeal.Settlement_Date - baseDate) : 0.0;
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector fixedPv = cache.Get();
Vector fixedCash = cache.Get();
Vector floatPv = cache.Get();
Vector floatCash = cache.Get();
ValueFixedAndFloatingLegs(tgi, fixedPv, fixedCash, baseDate, floatPv, floatCash);
if (tgi.Date == fSwaptionDeal.Option_Expiry_Date)
{
pv.Assign(VectorMath.Max(0.0, paySign * (floatPv - fixedPv)));
if (isPhysicallySettled)
{
exerciseWeight.Assign(pv > 0.0); // 1 if exercised and otherwise 0
}
else if (isCashSettled)
{
settlementCash.Assign(pv); // Records cash settlement amount on Option Expiry Date.
pv.Assign(settlementCash * fDiscountRate.Get(tgi.T, tSettlement)); // Factor in time value of money due to settlement delay.
}
}
else
{
// After expiry
if (isPhysicallySettled)
{
pv.Assign(paySign * (floatPv - fixedPv) * exerciseWeight);
if (cashRequired)
{
cash.Assign(paySign * (floatCash - fixedCash) * exerciseWeight);
}
}
else if (isCashSettled)
{
pv.Assign(settlementCash * fDiscountRate.Get(tgi.T, tSettlement));
if (tgi.Date == fSwaptionDeal.Settlement_Date && cashRequired)
{
cash.Assign(settlementCash);
}
}
}
}
}
/// <summary>
/// Value the swaption before expiry using a Jamshidian style decomposition to value the swaption analytically.
/// Checks for the validity of the decomposition and falls back on numerical integration when necessary.
/// </summary>
private void ValueBeforeExpiry(Vector pv, PriceFactorList factors, bool isCashSettled, TimeGridIterator tgi)
{
double baseDate = factors.BaseDate;
double tExpiry = fSwaptionDeal.GetTimeToExpiry(baseDate);
double tValue = CalcUtils.DaysToYears(tgi.Date - baseDate);
int count = fDates.Count;
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector dfTExpiry = cache.Get();
Vector yStar = cache.Get();
Vector isUnique = cache.Get();
Vector analyticPv = cache.GetClear();
Vector numericalPv = cache.GetClear();
// Theory guide mappings for the vector arrays are:
// df <=> D(0, T_i)
// coupons <=> C_i
// stdDev <=> v_i
// coefficient <=> D(0, T_i)/D(0, T) exp (- v_i^2 / 2)
Vector[] df = new Vector[count];
Vector[] coupons = new Vector[count];
Vector[] stdDev = new Vector[count];
Vector[] coefficient = new Vector[count];
CreateVectorArrays(df, cache, coupons, coefficient, stdDev);
fDiscountRate.GetValue(dfTExpiry, tValue, tExpiry);
GetSwapQuantities(coupons, stdDev, coefficient, df, tValue, tExpiry, baseDate, dfTExpiry);
// Find the value of y which makes the underlying swap value to 0, used for Jamshidian style decomposition
SolveForYStar(yStar, coefficient, coupons, stdDev);
// Calculate the scenarios in which the yStar values are guaranteed unique
IsSolutionUnique(isUnique, yStar, coefficient, coupons, stdDev);
CalculateAnalyticPV(analyticPv, isUnique, stdDev, yStar, coefficient, coupons, dfTExpiry, df);
CalculateNumericalPV(numericalPv, isUnique, stdDev, coefficient, coupons);
pv.AssignConditional(isUnique >= 1.0, analyticPv, numericalPv);
if (isCashSettled)
{
double tSettlement = CalcUtils.DaysToYears(fSwaptionDeal.Settlement_Date - baseDate);
// Factor in time value of money due to settlement delay.
pv.MultiplyBy(fDiscountRate.Get(tgi.T, tSettlement) / fDiscountRate.Get(tgi.T, tExpiry));
}
}
}
/// <summary>
/// Value the deal on all dates within the valuation grid (vectorised).
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
var deal = (AverageForwardExplicitDealBase)Deal;
double tMaturity = CalcUtils.DaysToYears(deal.Maturity_Date - factors.BaseDate); // Discount Factor and Forward Factor times are in Act365.
int numSamplingDates = fSamplingTimes.Length;
PreValue(factors);
PVProfiles result = valuationResults.Profile;
CashAccumulators cash = valuationResults.Cash;
var tgi = new TimeGridIterator(fT);
using (var pricerCache = Vector.Cache(factors.NumScenarios))
{
double historicalObservations;
double futureObservations;
int currentDateCount;
Vector realisedSum = pricerCache.GetClear(); // sum to value date.
Vector forecastSum = pricerCache.Get();
Vector spotPrice = pricerCache.Get();
Vector forwardPrice = pricerCache.Get();
double tSpotPrice = double.NegativeInfinity;
GetForwardPrice(0.0, deal.Tenor, true, ref tSpotPrice, spotPrice, forwardPrice);
fSamplingData.GetInitialSum(null, factors.BaseDate, forwardPrice, realisedSum, out historicalObservations, out futureObservations, out currentDateCount);
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector overallAverage = cache.Get();
Vector value = cache.Get();
Vector payoffRate = cache.Get();
UpdateSum(tgi.Date, realisedSum, ref tSpotPrice, spotPrice, ref historicalObservations, ref futureObservations, ref currentDateCount);
forecastSum.Clear();
// all the sampling dates that are in the future (compared to our valuation date)
VectorEngine.For(currentDateCount, numSamplingDates, i =>
{
GetForwardPrice(tgi.T, fSamplingTimesPlusTenor[i], false, ref tSpotPrice, spotPrice,
forwardPrice);
forecastSum.AddProduct(fSamplingData[i].Weight, forwardPrice);
return(LoopAction.Continue);
});
forecastSum.MultiplyBy(spotPrice);
double totalWeight = historicalObservations + futureObservations;
if (totalWeight > 0.0)
{
overallAverage.Assign((realisedSum + forecastSum) / totalWeight);
}
else
{
overallAverage.Clear();
}
PayoffRate(payoffRate, overallAverage, ref tSpotPrice, spotPrice, tgi.T, tMaturity);
value.Assign(fScale * fDiscountRate.Get(tgi.T, tMaturity) * payoffRate);
if (tgi.Date == deal.Maturity_Date)
{
cash.Accumulate(fPayoffFxRate, tgi.Date, value);
}
result.AppendVector(tgi.Date, value * fPayoffFxRate.Get(tgi.T));
}
});
result.Complete(fT);
}
}
/// <summary>
/// Calculate a valuation profile for the deal for the current scenario.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var deal = (CFListBaseDeal <TCashflowList>)fDeal;
double baseDate = factors.BaseDate;
var tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
double endDate = deal.EndDate();
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, fDeal))
{
using (var outerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultDate = fCreditRating != null?outerCache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
var defaultedBeforeBaseDate = CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
bool collectCash = ValueOnCashflowDates();
var saccrResult = SACCRResultFactory.Create(valuationResults, deal.GetDealReferenceProvider().DealReference,
() => new SACCROptionResult(factors.NumScenarios));
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.GetClear();
Vector cash = collectCash ? cache.GetClear() : null;
if (!defaultedBeforeBaseDate)
{
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T, deal))
{
Value(pv, cash, baseDate, tgi.Date, saccrResult, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, pv);
}
}
if (fCreditRating != null)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
GetDefaultValue(baseDate, tgi.Date, defaultDate, fRecoveryRate, pv, cash);
}
}
result.AppendVector(tgi.Date, pv * fFxRate.Get(tgi.T));
if (!cashAccumulators.Ignore && cash != null)
{
// Realise all value as cash on deal end date
if (tgi.Date == endDate)
{
cash.Assign(pv);
}
cashAccumulators.Accumulate(fFxRate, tgi.Date, cash);
}
}
});
if (!cashAccumulators.Ignore && !collectCash)
{
CollectCashflows(cashAccumulators, baseDate, fT.fHorizon);
// Consolidate and net in order to avoid getting Net incoming and outgoing cashflows with the same payment date,
// e.g. for compounding swaps with both positive and negative rates.
cashAccumulators.ConsolidateAndNet(fCurrency, factors);
}
result.Complete(fT);
}
}
}