/// <summary>
/// Register price factors used in valuation.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
if (!string.IsNullOrEmpty(fForecastCurrency) && fForecastCurrency != fCurrency)
{
errors.Add(ErrorLevel.Error, "Settlement currency (Currency) and currency of Forecast_Rate must be the same");
}
SetModelParameters(fItems);
ValidateModels(fItems, errors);
fItems.RegisterFactors(factors, errors);
CallableStructuredDeal deal = (CallableStructuredDeal)fDeal;
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
if (needRating)
{
factors.Register <CreditRating>(deal.Issuer);
factors.Register <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
if (needSurvival)
{
factors.RegisterInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
BondOptionDeal deal = (BondOptionDeal)Deal;
InterestVolBase.RegisterInterestYieldVol(factors, deal.Yield_Volatility, fCurrency);
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needRecovery = needRating;
if (needRating)
{
factors.Register <CreditRating>(deal.Issuer);
}
if (needRecovery)
{
factors.Register <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate);
}
if (needSurvival)
{
factors.RegisterInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
if (deal.NeedInflationRate())
{
factors.RegisterInterface <IInflationRate>(deal.Index);
}
if (NeedCreditRating())
{
factors.Register <CreditRating>(deal.Issuer);
}
if (NeedRecoveryRate())
{
factors.Register <RecoveryRate>(GetRecoveryRateID());
}
if (NeedSurvivalProb())
{
factors.RegisterInterface <ISurvivalProb>(GetSurvivalProbID());
}
if (!string.IsNullOrEmpty(deal.Repo_Rate))
{
factors.RegisterInterface <IInterestRate>(deal.Repo_Rate);
}
}
/// <summary>
/// Register required price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
var deal = (CalendarSpreadOption)Deal;
// Register forward price factor - using a reference price.
var referencePrice = factors.RegisterInterface <IReferencePrice>(deal.Reference_Type);
// Register volatility price factor based on an explicit user-defined property.
// Default to Reference Type if Reference Vol Type is not set.
if (string.IsNullOrEmpty(deal.Reference_Vol_Type))
{
factors.Register <ReferenceVol>(deal.Reference_Type);
}
else
{
factors.Register <ReferenceVol>(deal.Reference_Vol_Type);
}
// Register FX rate price factors.
factors.RegisterInterface <IFxRate>(deal.Currency);
factors.RegisterInterface <IFxRate>(deal.DealCurrency());
factors.RegisterInterface <IFxRate>(factors.BaseCcyCode);
factors.RegisterInterface <IFxRate>(referencePrice.DomesticCurrency());
// Register correlation price factor.
factors.Register <ForwardPriceCorrelations>(referencePrice.GetForwardPrice());
// Register forward price sample price factor for reference prices.
var sample = factors.Register <ForwardPriceSample>(deal.Sampling_Type);
if (!string.IsNullOrWhiteSpace(sample.Sampling_Convention))
{
sample.Prepare();
// Validate period 1.
IEnumerable <ContractPeriod> contractPeriods = deal.GetContractPeriods(deal.Period_Start_1, deal.Period_End_1);
sample.ValidateRange(contractPeriods, "Set 1 of sample dates", deal, errors);
// Validate period 2.
contractPeriods = deal.GetContractPeriods(deal.Period_Start_2, deal.Period_End_2);
sample.ValidateRange(contractPeriods, "Set 2 of sample dates", deal, errors);
}
// Register interest rate price factor to get discount factor.
factors.RegisterInterface <IInterestRate>(deal.Currency);
// Register interest rate price factor for discount rate currency.
if (!string.IsNullOrEmpty(deal.Discount_Rate))
{
string discountRateCurrency = factors.RegisterInterface <IInterestRate>(InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency)).GetCurrency();
if (!string.IsNullOrEmpty(discountRateCurrency) && discountRateCurrency != deal.Currency)
{
errors.Add(ErrorLevel.Error, "Currency and currency of Discount_Rate must be the same");
}
}
}
// -----------------------------------------------------------------------------
// Description: Register price factors
// -----------------------------------------------------------------------------
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
DealCreditLinkedNote deal = (DealCreditLinkedNote)Deal;
base.RegisterFactors(factors, errors);
factors.RegisterInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Name : deal.Survival_Probability);
if (Respect_Default == YesNo.Yes)
{
factors.Register <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Name : deal.Recovery_Rate);
factors.Register <CreditRating>(deal.Name);
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
factors.Register <DiscountRate>(InterestRateUtils.GetRateId(fDeal.Discount_Rate, fDeal.Currency));
factors.RegisterInterface <IFxRate>(fDeal.Currency);
factors.RegisterInterface <IExpectedLoss>(fDeal.Reference_Index);
factors.RegisterInterface <IRealizedLoss>(fDeal.Reference_Index);
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
fModelParametersId = string.IsNullOrWhiteSpace(Model_Parameters) ? fForecastCurrency : Model_Parameters;
factors.Register <LinearGaussMarkovFactor>(fModelParametersId);
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
BondFuture deal = (BondFuture)Deal;
base.RegisterFactors(factors, errors);
if (NeedRating(Respect_Default, deal.Issuer))
{
factors.Register <CreditRating>(deal.Issuer);
// register realized recovery rate.
factors.Register <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
if (NeedSurvivalProbability(Use_Survival_Probability, deal.Issuer))
{
factors.RegisterInterface <ISurvivalProb>(InterestRateUtils.GetRateId(deal.Survival_Probability, deal.Issuer));
}
}
/// <inheritdoc />
protected override void RegisterFuturesPriceFactor(PriceFactorList factors, ErrorList errors)
{
BondFutureOption deal = (BondFutureOption)fDeal;
BondFuturesBasis bfb = factors.Register <BondFuturesBasis>(FutureBase.GetFactorID(deal.Contract, deal.Settlement_Date));
if (deal.Settlement_Date >= bfb.CTD_Maturity_Date)
{
errors.Add(ErrorLevel.Error, "Settlement date must be before cheapest-to-deliver maturity date of the Bond Future Basis price factor.");
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
var deal = (SwaptionDeal)Deal;
// Get underlying cashflow lists
SwaptionBaseValuation.SetCashflowLists(errors, deal, ref fFixedCashflowList, ref fFloatCashflowList);
if (!IsVanillaSwaption())
{
Deal.AddToErrors(errors, ErrorLevel.Error, "The Hull White swaption valuation model is for vanilla swaptions only.");
}
// Register deal currency
factors.RegisterInterface <IFxRate>(deal.Currency);
// Register discount rate
var discountId = InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency);
string discountRateCurrency = DiscountRate.Register(factors, discountId).GetCurrency();
if (!string.IsNullOrEmpty(discountRateCurrency) && discountRateCurrency != deal.Currency)
{
errors.Add(ErrorLevel.Error, "Settlement currency (Currency) and currency of Discount_Rate must be the same");
}
// Register forecast rate
var forecastId = InterestRateUtils.GetRateId(deal.Forecast_Rate, discountId);
var forecastRateCurrency = factors.RegisterInterface <IInterestRate>(forecastId).GetCurrency();
if (forecastRateCurrency != deal.Currency)
{
errors.Add(ErrorLevel.Error, "Settlement currency (Currency) and currency of Forecast_Rate must be the same");
}
// Register the HW model parameters
fModelParametersId = string.IsNullOrWhiteSpace(Model_Parameters) ? forecastId : Model_Parameters;
factors.Register <HullWhite1FactorModelParameters>(fModelParametersId);
// Check that floating cashflow list is standard enough to be valued by ValueSwap
if (fFloatCashflowList == null || fFixedCashflowList == null)
{
errors.Add(ErrorLevel.Error, "Deal must contain exactly one floating and one fixed leg.");
}
else
{
var characteristics = fFloatCashflowList.Analyze(factors.BaseDate);
if (!characteristics.HasSwaplet || characteristics.HasOptionlet ||
!characteristics.IsStandardPayoff || characteristics.HasCms || !characteristics.IsStandardLibor ||
fFloatCashflowList.Compounding_Method != CompoundingMethod.None || fFixedCashflowList.Compounding == YesNo.Yes)
{
errors.Add(ErrorLevel.Error, "Underlying swap has non-standard floating cashflows.");
}
}
}
// -----------------------------------------------------------------------------
// Description: Register price factors
// -----------------------------------------------------------------------------
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
factors.Register <DiscountRate>(InterestRateUtils.GetRateId(fCreditBaseDeal.Discount_Rate, fCreditBaseDeal.Currency));
factors.RegisterInterface <IFxRate>(fCreditBaseDeal.Currency);
factors.RegisterInterface <ISurvivalProb>(string.IsNullOrEmpty(fCreditBaseDeal.Survival_Probability) ? fCreditBaseDeal.Name : fCreditBaseDeal.Survival_Probability);
if (Respect_Default == YesNo.Yes)
{
if (fCreditBaseDeal.ProtectionReferenceType() == DealCreditBase.ReferenceType.Single_Name)
{
factors.Register <CreditRating>(fCreditBaseDeal.Name);
if (RequiresRecoveryOnDefault())
{
factors.Register <RecoveryRate>(string.IsNullOrEmpty(fCreditBaseDeal.Recovery_Rate) ? fCreditBaseDeal.Name : fCreditBaseDeal.Recovery_Rate);
}
}
else
{
factors.Register <IndexCDSPool>(fCreditBaseDeal.Name);
}
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CallableBondForward deal = (CallableBondForward)Deal;
InterestVolBase.RegisterInterestYieldVol(factors, deal.Yield_Volatility, deal.Currency);
if (NeedCreditRating())
{
factors.Register <CreditRating>(deal.Issuer);
}
if (NeedRecovery())
{
factors.Register <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate);
}
if (NeedSurvivalProb())
{
factors.RegisterInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
var deal = (BondRepoBase)fDeal;
if (string.IsNullOrEmpty(deal.Issuer))
{
return;
}
factors.RegisterInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
factors.Register <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate);
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
if (string.IsNullOrEmpty(fDeal.GetIssuer()))
{
return;
}
if (UseSurvivalProbability())
{
factors.RegisterInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.GetSurvivalProbability()) ? deal.GetIssuer() : deal.GetSurvivalProbability());
}
if (RespectDefault())
{
factors.Register <RecoveryRate>(InterestRateUtils.GetRateId(deal.GetRecoveryRate(), deal.GetIssuer()));
factors.Register <CreditRating>(deal.GetIssuer());
}
fSettlementOffsetHelper.ValidateHolidayCalendars(factors.CalendarData, errors);
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
var deal = (CFFloatingInterestListDeal)Deal;
if (!IsValidCashflowList(factors, deal))
{
Deal.AddToErrors(errors, ErrorLevel.Error, string.Format("{0} is for cashflow lists consisting of vanilla swaplets, caplets and floorlets", this.DisplayName()));
}
var rateIDs = SetCurrencyAndGetRateIds();
fModelParametersId = string.IsNullOrWhiteSpace(Model_Parameters) ? rateIDs.ForecastId1 : Model_Parameters;
factors.Register <HullWhite1FactorModelParameters>(fModelParametersId);
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CFGeneralInterestSpreadListDeal deal = (CFGeneralInterestSpreadListDeal)Deal;
// Collect registered volatility price factors to check they have the same distribution type
var volPriceFactors = new List <IInterestVol>();
// Get spread flow characteristics
SpreadCashflowListCharacteristics spreadCashflowCharacteristics = deal.Cashflows.ValuationPriceFactorDependencies(factors.BaseDate, fCurrency, fForecastCurrency, fForecast2Currency);
// register volatility surfaces for forecast rate1
if (spreadCashflowCharacteristics.NeedForecast1YieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Forecast_Rate1_Swaption_Volatility, fForecastCurrency));
}
if (spreadCashflowCharacteristics.NeedForecast1RateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate1_Cap_Volatility, fForecastCurrency));
}
// register volatility surfaces for forecast rate2
if (spreadCashflowCharacteristics.NeedForecast2YieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Forecast_Rate2_Swaption_Volatility, fForecast2Currency));
}
if (spreadCashflowCharacteristics.NeedForecast2RateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate2_Cap_Volatility, fForecast2Currency));
}
// vol surfaces for discount rate
if (spreadCashflowCharacteristics.NeedDiscountYieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency));
}
if (spreadCashflowCharacteristics.NeedDiscountRateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency));
}
bool convexity = spreadCashflowCharacteristics.NeedDiscountYieldVol || spreadCashflowCharacteristics.NeedDiscountRateVol;
if (fForecastCurrency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
FXVolHelper.Register(factors, fForecastCurrency, fCurrency);
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IFxRate), fForecastCurrency, fCurrency);
}
if (convexity)
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fCurrency, null, typeof(IInterestRate), fForecastCurrency, null);
}
}
if (fForecast2Currency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
FXVolHelper.Register(factors, fForecast2Currency, fCurrency);
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecast2Currency, null, typeof(IFxRate), fForecast2Currency, fCurrency);
}
if (convexity)
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fCurrency, null, typeof(IInterestRate), fForecast2Currency, null);
}
}
if (spreadCashflowCharacteristics.NeedForecast1Forecast2Correlation)
{
if (fForecastCurrency == fForecast2Currency)
{
// correl between forecast rates in same currency
factors.Register <CMSRateCorrelations>(fForecastCurrency);
}
else
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IInterestRate), fForecast2Currency, null);
}
}
if (volPriceFactors.Select(pf => pf.GetDistributionType()).Distinct().Count() > 1)
{
Deal.AddToErrors(errors, "Volatility price factors must have the same distribution type.");
}
ValidateUnnecessaryVolatilities(deal, spreadCashflowCharacteristics, errors);
}
