/// <summary>
/// Initializes a new instance of the <see cref="BondRepoBase"/> class.
/// </summary>
protected BondRepoBase()
{
Amortisation = new Amortisation();
Issuer = string.Empty;
Survival_Probability = string.Empty;
Recovery_Rate = string.Empty;
}
/// <summary>
/// Return an amortisation schedule with amortization payments allocated to the nearest payment date in the cashflow list.
/// </summary>
private static Amortisation AllocateAmortisationToPaymentDates <TCashflow>(Amortisation sourceAmortisation, List <TCashflow> cashflowList) where TCashflow : CFBase
{
if (sourceAmortisation == null || sourceAmortisation.Count == 0)
{
return(sourceAmortisation);
}
var payDates = new DateList(cashflowList.Select(cashflow => (double)cashflow.Payment_Date));
// Allocate amortisation amounts to nearest payment dates
var amounts = new double[payDates.Count];
foreach (var payment in sourceAmortisation)
{
int i = payDates.IndexOfClosestDate(payment.Date);
amounts[i] += payment.Amount;
}
var amortisation = new Amortisation();
for (int i = 0; i < amounts.Length; ++i)
{
if (amounts[i] != 0.0)
{
amortisation.Add(new AmountAtDate()
{
Amount = amounts[i], Date = payDates[i]
});
}
}
return(amortisation);
}
public BondOptionDeal()
{
Amortisation = new Amortisation();
Option_Type = OptionType.Call;
Strike_Is_Clean = YesNo.Yes;
Issuer = string.Empty;
Survival_Probability = string.Empty;
Recovery_Rate = string.Empty;
}
public CallableBondForward()
{
Amortisation = new Amortisation();
Payment_Timing = PaymentTiming.End;
Coupon_Rate_Schedule = new RateList();
Is_Defaultable = YesNo.No;
Call_Prices = new RateList();
Issuer = string.Empty;
Survival_Probability = string.Empty;
Recovery_Rate = string.Empty;
}
/// <summary>
/// Validate deal properties.
/// </summary>
public override void Validate(ICalendarData calendar, ErrorList errors)
{
base.Validate(calendar, errors);
if (Notional < CalcUtils.MinAssetPrice)
{
AddToErrors(errors, string.Format("Bond Notional must be at least {0}", CalcUtils.MinAssetPrice));
}
CalcUtils.ValidateDates(errors, Issue_Date, Bond_Maturity_Date, First_Coupon_Date, Penultimate_Coupon_Date, false, "Issue", "bond maturity");
Coupon_Rate_Schedule.Validate(errors, false, "Fixed rate schedule");
Amortisation.Validate(errors);
CalcUtils.ValidateDates(errors, Issue_Date, Bond_Maturity_Date, true, "Issue", "bond maturity");
if (Settlement_Date != 0.0)
{
CalcUtils.ValidateDates(errors, Settlement_Date, Bond_Maturity_Date, true, "Settlement", "bond maturity");
}
CalcUtils.ValidateDates(errors, First_Call_Date, Last_Call_Date, false, "First call", "last call");
Call_Prices.Validate(errors, true, "Call prices");
if (IsForward())
{
if (Settlement_Date == 0.0)
{
AddToErrors(errors, "Settlement_Date must be specified");
}
if (Price == 0.0)
{
AddToErrors(errors, ErrorLevel.Info, "Settlement price (Price) is zero.");
}
}
else
{
if (Price != 0.0 && Settlement_Date == 0.0)
{
AddToErrors(errors, ErrorLevel.Warning, "Settlement price (Price) is not zero but Settlement_Date is not specified so Price has been ignored.");
}
}
}
/// <summary>
/// Validate deal properties.
/// </summary>
public override void Validate(ICalendarData calendar, ErrorList errors)
{
base.Validate(calendar, errors);
CalcUtils.ValidateDates(errors, Issue_Date, Bond_Maturity_Date, First_Coupon_Date, Penultimate_Coupon_Date, true, "issue", "bond maturity");
if (Coupon_Interval <= 0.0)
{
AddToErrors(errors, "Coupon interval must be greater than zero");
}
if (Expiry_Date >= Bond_Maturity_Date)
{
AddToErrors(errors, "Expiry date must lie before bond maturity date: " + Bond_Maturity_Date.ToString());
}
if (Strike_Price <= 0.0)
{
AddToErrors(errors, "Strike price must be positive");
}
Amortisation.Validate(errors);
}
public CommitmentDeal()
: base()
{
Amortisation = new Amortisation();
}
/// <summary>
/// Initializes a new instance of the <see cref="BondLendingBase"/> class.
/// </summary>
protected BondLendingBase()
{
Amortisation = new Amortisation();
Issuer = string.Empty;
Survival_Probability = string.Empty;
}