/// <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>
/// 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);
}