// Basis-point sensitivity of the cash flows.
// The result is the change in NPV due to a uniform 1-basis-point change in the rate paid by the cash flows. The change for each coupon is discounted according to the given term structure.
public static double bps(List <CashFlow> cashflows, YieldTermStructure discountCurve,
Date settlementDate = null, Date npvDate = null, int exDividendDays = 0)
{
if (cashflows.Count == 0)
{
return(0.0);
}
if (settlementDate == null)
{
settlementDate = discountCurve.referenceDate();
}
BPSCalculator calc = new BPSCalculator(discountCurve, npvDate);
for (int i = 0; i < cashflows.Count; i++)
{
if (!cashflows[i].hasOccurred(settlementDate + exDividendDays))
{
cashflows[i].accept(calc);
}
}
return(basisPoint_ * calc.result());
}
//@}
//! NPV of the cash flows. The NPV is the sum of the cash flows, each discounted according to the given term structure.
public static double npv(List <CashFlow> cashflows, YieldTermStructure discountCurve,
Date settlementDate = null, Date npvDate = null, int exDividendDays = 0)
{
if (cashflows.Count == 0)
{
return(0.0);
}
if (settlementDate == null)
{
settlementDate = discountCurve.referenceDate();
}
double totalNPV = cashflows.Where(x => !x.hasOccurred(settlementDate + exDividendDays)).
Sum(c => c.amount() * discountCurve.discount(c.date()));
if (npvDate == null)
{
return(totalNPV);
}
else
{
return(totalNPV / discountCurve.discount(npvDate));
}
}
//! NPV of a single cash flows
public static double npv(CashFlow cashflow, YieldTermStructure discountCurve,
Date settlementDate = null, Date npvDate = null, int exDividendDays = 0)
{
double NPV = 0.0;
if (cashflow == null)
{
return(0.0);
}
if (settlementDate == null)
{
settlementDate = discountCurve.referenceDate();
}
if (!cashflow.hasOccurred(settlementDate + exDividendDays))
{
NPV = cashflow.amount() * discountCurve.discount(cashflow.date());
}
if (npvDate == null)
{
return(NPV);
}
else
{
return(NPV / discountCurve.discount(npvDate));
}
}
public double atmRate(YieldTermStructure discountCurve)
{
bool includeSettlementDateFlows = false;
Date settlementDate = discountCurve.referenceDate();
return(CashFlows.atmRate(floatingLeg_, discountCurve, includeSettlementDateFlows, settlementDate));
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as CmsCoupon;
Utils.QL_REQUIRE( coupon_ != null, () => "CMS coupon needed" );
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
fixingDate_ = coupon_.fixingDate();
paymentDate_ = coupon_.date();
SwapIndex swapIndex = coupon_.swapIndex();
rateCurve_ = swapIndex.forwardingTermStructure().link;
Date today = Settings.evaluationDate();
if (paymentDate_ > today)
discount_ = rateCurve_.discount(paymentDate_);
else
discount_ = 1.0;
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
if (fixingDate_ > today) {
swapTenor_ = swapIndex.tenor();
VanillaSwap swap = swapIndex.underlyingSwap(fixingDate_);
swapRateValue_ = swap.fairRate();
double bp = 1.0e-4;
annuity_ = (swap.floatingLegBPS() / bp);
int q = (int)swapIndex.fixedLegTenor().frequency();
Schedule schedule = swap.fixedSchedule();
DayCounter dc = swapIndex.dayCounter();
//DayCounter dc = coupon.dayCounter();
double startTime = dc.yearFraction(rateCurve_.referenceDate(), swap.startDate());
double swapFirstPaymentTime = dc.yearFraction(rateCurve_.referenceDate(), schedule.date(1));
double paymentTime = dc.yearFraction(rateCurve_.referenceDate(), paymentDate_);
double delta = (paymentTime - startTime) / (swapFirstPaymentTime - startTime);
switch (modelOfYieldCurve_) {
case GFunctionFactory.YieldCurveModel.Standard:
gFunction_ = GFunctionFactory.newGFunctionStandard(q, delta, swapTenor_.length());
break;
case GFunctionFactory.YieldCurveModel.ExactYield:
gFunction_ = GFunctionFactory.newGFunctionExactYield(coupon_);
break;
case GFunctionFactory.YieldCurveModel.ParallelShifts: {
Handle<Quote> nullMeanReversionQuote = new Handle<Quote>(new SimpleQuote(0.0));
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, nullMeanReversionQuote);
}
break;
case GFunctionFactory.YieldCurveModel.NonParallelShifts:
gFunction_ = GFunctionFactory.newGFunctionWithShifts(coupon_, meanReversion_);
break;
default:
throw new ApplicationException("unknown/illegal gFunction type");
}
vanillaOptionPricer_ = new BlackVanillaOptionPricer(swapRateValue_, fixingDate_, swapTenor_, swaptionVolatility().link);
}
}
// Basis-point sensitivity of the cash flows.
// The result is the change in NPV due to a uniform 1-basis-point change in the rate paid by the cash flows. The change for each coupon is discounted according to the given term structure.
public static double bps(List<CashFlow> cashflows, YieldTermStructure discountCurve,
Date settlementDate = null, Date npvDate = null, int exDividendDays = 0 )
{
if (cashflows.Count == 0)
return 0.0;
if (settlementDate == null)
settlementDate = discountCurve.referenceDate();
BPSCalculator calc = new BPSCalculator(discountCurve, npvDate);
for (int i = 0; i < cashflows.Count; i++)
if (!cashflows[i].hasOccurred(settlementDate + exDividendDays))
cashflows[i].accept(calc);
return basisPoint_ * calc.result();
}
public virtual double atmRate(YieldTermStructure discountCurve)
{
return(CashFlows.atmRate(yoyLeg_, discountCurve,
false, discountCurve.referenceDate()));
}
//! NPV of a single cash flows
public static double npv(CashFlow cashflow, YieldTermStructure discountCurve,
Date settlementDate = null, Date npvDate = null, int exDividendDays = 0)
{
double NPV = 0.0;
if (cashflow == null)
return 0.0;
if (settlementDate == null)
settlementDate = discountCurve.referenceDate();
if (!cashflow.hasOccurred(settlementDate + exDividendDays))
NPV = cashflow.amount() * discountCurve.discount(cashflow.date());
if (npvDate == null)
return NPV;
else
return NPV / discountCurve.discount(npvDate);
}
//@}
//! NPV of the cash flows. The NPV is the sum of the cash flows, each discounted according to the given term structure.
public static double npv(List<CashFlow> cashflows, YieldTermStructure discountCurve,
Date settlementDate = null,Date npvDate = null, int exDividendDays = 0)
{
if (cashflows.Count == 0)
return 0.0;
if (settlementDate == null)
settlementDate = discountCurve.referenceDate();
double totalNPV = cashflows.Where(x => !x.hasOccurred(settlementDate + exDividendDays)).
Sum(c => c.amount() * discountCurve.discount(c.date()));
if (npvDate == null)
return totalNPV;
else
return totalNPV / discountCurve.discount(npvDate);
}
public Date initialDate(YieldTermStructure c)
{
return c.referenceDate();
}
public Date initialDate(YieldTermStructure c)
{
return(c.referenceDate());
} // start of curve data
public Date initialDate(YieldTermStructure c) { return c.referenceDate(); } // start of curve data
