public void Pricing(YieldTermStructure yt, PiecewiseconstantHazardRate hazard)
{
//Calculate PV for both legs
CashFlowCalculation engine = new CashFlowCalculation();
this.FixLeg = engine.Calculation(this.PremiumRate, this.Notional, this.Payment_Schedule, this.tradedate, yt, hazard, this.Cashsettlement, formerpaymentdate);
NPV_PricingEngine engine2 = new NPV_PricingEngine();
double pv_premium = engine2.PremiumLegNPV_Exact(this.FixLeg, this.piecewiseHazardRate, this.yieldcurve, this.tradedate, this.tradedate.AddDays(3), this.Notional, this.PremiumRate, yt.jumpDates_, formerpaymentdate);
double pv_protection = engine2.ProtectionLegNPV_Exact(this, this.Notional, this.piecewiseHazardRate, this.yieldcurve, this.tradedate, this.tradedate.AddDays(3), this.Recovery, yt.t, hazard.t);
this.pv = pv_protection - pv_premium;
this.marketvalue = this.pv + accruedamt;
}
public PiecewiseconstantHazardRate impliedHazardRate(double targetNPV, double Notional, DateTime tradedate, List <double> spreads, List <DateTime> tenor,
YieldTermStructure yt,
OMLib.Conventions.DayCount.DayCounter dayCounter, string frequency, DateTime firstpaymentdate, DateTime lastpaymentdate, List <DateTime> Jumps,
double recoveryRate = 0.4,
double accuracy = 1e-8)
{
OMLib.Calendars.Calendar cal = new OMLib.Calendars.Calendar();
PiecewiseconstantHazardRate probability = new PiecewiseconstantHazardRate(tradedate, null, tenor,
null, null);
double error = 2;
double pv_premium = 0;
double pv_protection = 0;
NPV_PricingEngine engine = new NPV_PricingEngine();
//Join the knots
List <DateTime> result = new List <DateTime>();
int index = 0, indexj = 0, lastIndex = 0;
while (index < Jumps.Count || indexj < tenor.Count)
{
if (lastIndex > 0)
{
if (index >= Jumps.Count)
{
if (!DateTime.Equals(result.Last(), tenor[indexj]))
{
result.Add(tenor[indexj]);
lastIndex++;
}
indexj++;
continue;
}
if (indexj >= tenor.Count)
{
if (!DateTime.Equals(result.Last(), Jumps[index]))
{
result.Add(Jumps[index]);
lastIndex++;
}
index++;
continue;
}
}
DateTime smallestVal = tenor.Last();
// Choose the smaller of a or b
if (DateTime.Compare(Jumps[index], tenor[indexj]) < 0)
{
smallestVal = Jumps[index++];
}
else
{
smallestVal = tenor[indexj++];
}
// Don't insert duplicates
if (lastIndex > 0)
{
if (!DateTime.Equals(result.Last(), smallestVal))
{
result.Add(smallestVal);
lastIndex++;
}
}
else
{
result.Add(smallestVal);
lastIndex++;
}
}
for (int i = 0; i < spreads.Count(); i++)
{
//Accrued Interest
double guess = spreads[i] / (1 - recoveryRate);
//spreads[i] / (1 - recoveryRate);
probability.addhazardrate(tenor[i], guess);
double target = targetNPV - (double)85 / 360 * spreads[i] * Notional;
error = 2;
double step = guess * 0.01;
int j = 0;
double error_0 = 1000;
while (Math.Abs(error) > accuracy)
{
CashFlowCalculation cf_calculation = new CashFlowCalculation();
//Schedule should be built here
List <DateTime> schedule = new List <DateTime>();
schedule = PremiumDates(tenor[i], firstpaymentdate, frequency);
List <CashFlow> FixLeg = cf_calculation.Calculation(spreads[i], Notional, schedule, tradedate, yt, probability, 3, lastpaymentdate);
//pv_premium = engine.PremiumLegNPV_Approx(FixLeg, probability, yt, tradedate.AddDays(1), tradedate.AddDays(3)/*,Notional,spreads[i]*/);
pv_premium = engine.PremiumLegNPV_Exact(FixLeg, probability, yt, tradedate, tradedate.AddDays(3), Notional, spreads[i], Jumps, lastpaymentdate);
pv_protection = engine.ProtectionLegNPV_Exact(FixLeg, Notional, probability, yt, tradedate, tradedate.AddDays(3), recoveryRate, result, tenor);
//pv_protection = engine.ProtectionLeg_Approx(FixLeg, Notional, probability, yt, tradedate, tradedate.AddDays(3), recoveryRate);
int k1 = dayCounter.DayCount(tradedate, FixLeg[1].CashFlowDate);
error = pv_protection - pv_premium - target;
if (j > 1)
{
double temp = guess;
guess = guess + step * error / (error_0 - error);
step = guess - temp;
}
else
{
guess = guess + step;
}
error_0 = error;
j = j + 1;
probability.update(guess);
}
}
// probability.update2();
return(probability);
}
