/// <summary>
/// Returns the payment amount on settlement date based on the cashflowlist.
/// </summary>
/// <remarks>
/// The payment amount on settlement date will be either the dirty price of the bond or the clean price of the bond plus
/// the accrued interest (two cashflows). Note that for a long position in a bond forward, this value is negative
/// (indicating outgoing cashflow).
/// </remarks>
protected virtual void GetSettlementAmount(Vector amount, double valueDate, double baseDate, IInflationRate inflationRate, IPriceIndexVolatility indexVolatility)
{
amount.Clear();
using (var cache = Vector.CacheLike(amount))
{
var deal = (IInflationCashflowListDeal)Deal;
var cashflows = deal.GetCashflows();
Vector settlementPay = cache.Get();
for (int i = 0; i < cashflows.Count(); ++i)
{
if (cashflows.GetCashflow(i).Payment_Date < deal.Settlement_Date)
{
continue;
}
else if (cashflows.GetCashflow(i).Payment_Date == deal.Settlement_Date)
{
cashflows.GetCashflow(i).ExpectedAmount(settlementPay, CalcUtils.DaysToYears(valueDate - baseDate), inflationRate, indexVolatility,
IntraValuationDiagnosticsWriterFactory.GetOrCreate(IntraValuationDiagnosticsLevel.None));
amount.Add(settlementPay);
}
else
{
break;
}
}
}
}
/// <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);
}
