public override void updatePath(List <KeyValuePair <Date, double> > events,
NotionalPath path)
{
path.reset();
for (int i = 0; i < events.Count; ++i)
{
if (events[i].Value >= threshold_)
{
path.addReduction(paymentOffset_.paymentDate(events[i].Key), 0.0);
}
}
}
public override void updatePath(List <KeyValuePair <Date, double> > events, NotionalPath path)
{
path.reset();
double losses = 0;
double previousNotional = 1;
for (int i = 0; i < events.Count; ++i)
{
losses += events[i].Value;
if (losses > attachement_ && previousNotional > 0)
{
previousNotional = Math.Max(0.0, (exhaustion_ - losses) / (exhaustion_ - attachement_));
path.addReduction(paymentOffset_.paymentDate(events[i].Key), previousNotional);
}
}
}
protected double pathNpv(bool includeSettlementDateFlows,
Date settlementDate,
NotionalPath notionalPath)
{
double totalNPV = 0.0;
for (int i = 0; i < arguments_.cashflows.Count; ++i)
{
if (!arguments_.cashflows[i].hasOccurred(settlementDate, includeSettlementDateFlows))
{
double amount = cashFlowRiskyValue(arguments_.cashflows[i], notionalPath);
totalNPV += amount * discountCurve_.link.discount(arguments_.cashflows[i].date());
}
}
return(totalNPV);
}
public abstract void updatePath(List <KeyValuePair <Date, double> > events, NotionalPath path);
protected double npv(bool includeSettlementDateFlows,
Date settlementDate,
Date npvDate,
out double lossProbability,
out double exhaustionProbability,
out double expectedLoss)
{
const int MAX_PATHS = 10000; //TODO
lossProbability = 0.0;
exhaustionProbability = 0.0;
expectedLoss = 0.0;
if (arguments_.cashflows.empty())
{
return(0.0);
}
if (settlementDate == null)
{
settlementDate = Settings.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
double totalNPV = 0.0;
Date effectiveDate = Date.Max(arguments_.startDate, settlementDate);
Date maturityDate = arguments_.cashflows.Last().date();
CatSimulation catSimulation = catRisk_.newSimulation(effectiveDate, maturityDate);
List <KeyValuePair <Date, double> > eventsPath = new List <KeyValuePair <Date, double> >();
NotionalPath notionalPath = new NotionalPath();
double riskFreeNPV = pathNpv(includeSettlementDateFlows, settlementDate, notionalPath);
int pathCount = 0;
while (catSimulation.nextPath(eventsPath) && pathCount < MAX_PATHS)
{
arguments_.notionalRisk.updatePath(eventsPath, notionalPath);
if (notionalPath.loss() > 0)
{
//optimization, most paths will not include any loss
totalNPV += pathNpv(includeSettlementDateFlows, settlementDate, notionalPath);
lossProbability += 1;
if (notionalPath.loss().IsEqual(1))
{
exhaustionProbability += 1;
}
expectedLoss += notionalPath.loss();
}
else
{
totalNPV += riskFreeNPV;
}
pathCount++;
}
lossProbability /= pathCount;
exhaustionProbability /= pathCount;
expectedLoss /= pathCount;
return(totalNPV / (pathCount * discountCurve_.link.discount(npvDate)));
}
protected double cashFlowRiskyValue(CashFlow cf, NotionalPath notionalPath)
{
return(cf.amount() * notionalPath.notionalRate(cf.date())); //TODO: fix for more complicated cashflows
}
