/// <summary>
/// Generate CTD dates and set CTD coupon rate and conversion factor.
/// </summary>
protected void GenerateCTD(double baseDate, double issueDate, double maturityDate, double couponInterval, double firstCouponDate, double penultimateCouponDate, DayCount dayCount, IHolidayCalendar calendar, double couponRate, double conversionFactor)
{
if (conversionFactor <= 0.0)
{
return; // No CTD details or details invalid
}
BondFutureOption deal = (BondFutureOption)fDeal;
// Validation of settlement date not done for CTD details on price factor
if (deal.Settlement_Date >= maturityDate)
{
throw new AnalyticsException("Settlement date must be before cheapest-to-deliver maturity date.");
}
DateGenerationResults dateGenerationResults = deal.GetDateGenerationResults(issueDate, maturityDate, couponInterval, firstCouponDate, penultimateCouponDate, dayCount, calendar);
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fIssueDate = issueDate;
fMaturityDate = maturityDate;
fCouponInterval = couponInterval;
fCouponRate = couponRate;
fConversionFactor = conversionFactor;
fAccrual = PricingFunctions.AccruedInterest(deal.Settlement_Date, fIssueDate, fPayDates, fAccruals, fCouponRate, 1.0, null);
double strike = PriceTransform(deal.Strike);
double tSettle = CalcUtils.DaysToYears(deal.Settlement_Date - baseDate);
double tMaturity = CalcUtils.DaysToYears(fMaturityDate - baseDate);
fStrikeYield = PricingFunctions.BondYieldFromPrice(tSettle, tMaturity, couponRate, couponInterval, strike);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
BaseCliquetOption deal = (BaseCliquetOption)Deal;
double scale = (deal.Buy_Sell == BuySell.Buy ? +1 : -1) * deal.GetUnits();
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.Get();
Vector cash = cache.Get();
PricingFunctions.CliquetOption(pv, cash, deal.Option_Type, tgi.T, fTimes, deal.Moneyness,
fKnownPrices, fAssetPrice, fFxRate, fPayoffFxRate,
fDiscountRate, fAssetPriceVol, fQuantoCompo, fPayoffType,
factors.PathDependent);
cashAccumulators.Accumulate(fPayoffFxRate, tgi.Date, scale * cash);
result.AppendVector(tgi.Date, scale * pv * fPayoffFxRate.Get(tgi.T));
}
}
);
result.Complete(fT);
}
/// <summary>
/// Adds the cap or floor option value.
/// </summary>
private static void AddOptionValue(Vector amount, OptionType optionType, Vector rate, double strike, Vector stdDev, double tau, double multiplier)
{
if (multiplier != 0.0 && tau > 0.0)
{
double optionStrike = 1.0 + tau * strike;
amount.AddProduct(multiplier / tau, PricingFunctions.BlackFunction(optionType, rate, optionStrike, stdDev));
}
}
/// <summary>
/// Returns bond option's dirty strike.
/// </summary>
public double DirtyStrike(double strikePrice, DateList payDates, double[] accruals)
{
var strike = Percentage.PercentagePoint * strikePrice;
if (Strike_Is_Clean == YesNo.Yes)
{
strike += PricingFunctions.AccruedInterest(Expiry_Date, Issue_Date, payDates, accruals, Percentage.PercentagePoint * Coupon_Rate, 1, null);
}
return(strike);
}
/// <summary>
/// Bond price at valuation date.
/// </summary>
protected override void SecurityPrice(Vector price, double baseDate, double valueDate)
{
var deal = (BondLendingBase)fDeal;
if (deal.Notional == 0.0)
{
price.Clear();
return;
}
double accrual;
double cash;
PricingFunctions.BondPrice(price, out accrual, out cash, baseDate, valueDate, valueDate, deal.Issue_Date, deal.Bond_Maturity_Date, deal.Notional, Percentage.PercentagePoint * deal.Coupon_Rate, fPayDates, fAccruals, fDiscountRate, deal.Amortisation, fPrincipals, fFinalPrincipal, fSurvivalProb, 1.0);
price.MultiplyBy(1.0 / deal.Notional);
}
/// <inheritdoc />
protected override void ForwardPrice(double baseDate, double valueDate, Vector forwardPrice)
{
BondFuture deal = (BondFuture)fDeal;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double tSettle = CalcUtils.DaysToYears(deal.Settlement_Date - baseDate);
double accrual, cash;
PricingFunctions.BondPrice(forwardPrice, out accrual, out cash, baseDate, valueDate, deal.Settlement_Date,
fIssueDate, fMaturityDate, 1.0, fCouponRate, fPayDates,
fAccruals, fDiscountRate, null, null, 0.0, fSurvivalProb, 1.0);
AdjustForDefault(baseDate, valueDate, forwardPrice, deal.Expiry_Date, Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer), fUnderlyingIsAlive, fHistoricalRecovery, fDefaultTime, fDiscountRate, fRecoveryRate);
// If deal.Repo_Rate is null or empty then fRepoRate will default to the DiscountRate
forwardPrice.Assign(Percentage.OverPercentagePoint * ((forwardPrice / fRepoRate.Get(t, tSettle) - accrual)) / fConversionFactor);
}
/// <summary>
/// Calculates the PV using analytic formula if at least one scenario needs it.
/// </summary>
private void CalculateAnalyticPV(Vector analyticPv, Vector isUnique, Vector[] stdDev, Vector yStar, Vector[] coefficient, Vector[] coupon, Vector dfTExpiry, Vector[] df)
{
if (isUnique.MaxElement() == 1.0)
{
OptionType optionType = fSwaptionDeal.Payer_Receiver == PayerReceiver.Payer ? OptionType.Call : OptionType.Put;
// Value by summing the of the caplets or floorlets
analyticPv.Clear();
using (var cache = Vector.CacheLike(yStar))
{
// f_i(y*) plays the role of price and dfTPay[i] the strike.
Vector optionletPrice = cache.Get();
VectorEngine.For(0, stdDev.Length, i =>
{
// Performs optionletPrice = dfExpiry * fCoefficient[i] * Exp(-stdDev[i] * yStar)
optionletPrice.Assign(CalcUtils.SafeExpMultiply(-stdDev[i] * yStar, coefficient[i] * dfTExpiry));
analyticPv.Add(coupon[i] * PricingFunctions.BlackFunction(optionType, optionletPrice, df[i], stdDev[i]));
return(LoopAction.Continue);
});
}
}
}
/// <summary>
/// Calculate forward price, discount factor and volatility
/// </summary>
protected override void PriceAndVolatility(double baseDate, double valueDate, Vector forwardPrice, Vector discountFactor, Vector volatility)
{
BondFutureOption deal = (BondFutureOption)fDeal;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double tSettle = CalcUtils.DaysToYears(deal.Settlement_Date - baseDate);
double tMaturity = CalcUtils.DaysToYears(fMaturityDate - baseDate);
fDiscountRate.GetValue(discountFactor, t, tSettle);
if (volatility != null)
{
double tExpiry = deal.GetTimeToExpiry(baseDate);
if (tExpiry > t)
{
// Calculate price volatility
using (var cache = Vector.CacheLike(forwardPrice))
{
Vector macaulayDuration = cache.Get();
Vector yield = cache.Get();
Vector yieldStrike = cache.Get(fStrikeYield);
// Calculate forwrad price, yield and adjusted duration using simple bond price functions
PricingFunctions.BondForwardPriceAndAdjustedMacaulayDuration(forwardPrice, macaulayDuration, t, tSettle, tMaturity, fCouponRate, fCouponInterval, discountFactor, fDiscountRate, fSurvivalProb);
PricingFunctions.BondYieldFromPrice(yield, tSettle, tMaturity, fCouponRate, fCouponInterval, forwardPrice);
// Calculate Modified Duration from Macaulay Duration.
Vector modifiedDuration = cache.Get();
PricingFunctions.GetModifiedDuration(modifiedDuration, macaulayDuration, yield, fCouponInterval);
// Get yield volatility
fInterestYieldVol.GetValue(volatility, t, yield, yieldStrike, tExpiry, tMaturity - tSettle);
// Convert (normal) yield vol to lognormal price vol
volatility.MultiplyBy(modifiedDuration);
if (fInterestYieldVol.GetDistributionType() == ProbabilityDistribution.Lognormal)
{
// Convert lognormal yield vol to lognormal price vol.
volatility.MultiplyBy(yield);
}
}
}
else
{
volatility.Clear();
}
}
// Recalculate forward price using fAccruals
double accrual, cash;
PricingFunctions.BondPrice(forwardPrice, out accrual, out cash, baseDate, valueDate, deal.Settlement_Date, fIssueDate, fMaturityDate, 1.0, fCouponRate, fPayDates, fAccruals, fDiscountRate, null, null, 0.0, fSurvivalProb, 1.0);
BondFutureValuation.AdjustForDefault(baseDate, valueDate, forwardPrice, deal.Expiry_Date, Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer), fUnderlyingIsAlive, fHistoricalRecovery, fDefaultTime, fDiscountRate, fRecoveryRate);
forwardPrice.AssignQuotient(forwardPrice, discountFactor);
if (!fRepoIsDiscount)
{
fRepoRate.GetValue(discountFactor, t, tSettle);
}
}
/// <summary>
/// Generic Deal Valuation - derived objects override the ValueFn() method.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var deal = (CalendarSpreadOption)Deal;
var tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators accumulator = valuationResults.Cash;
fTimeToSettlement = CalcUtils.DaysToYears(deal.Settlement_Date - factors.BaseDate);
fPeriodEnd1 = CalcUtils.DaysToYears(deal.Period_End_1 - factors.BaseDate);
fPeriodEnd2 = CalcUtils.DaysToYears(deal.Period_End_2 - factors.BaseDate);
// The time to expiry is the time to the end of the first expiring contract.
fTimeToExpiry = CalcUtils.DaysToYears(deal.Period_End_1 - factors.BaseDate);
using (var cache = Vector.Cache(factors.NumScenarios))
{
EnergySpreadOptionPricer pricer1 = GetEnergyOptionPricer(fForwardSample,
fReferencePrice1,
fReferenceVol1,
factors.BaseDate,
fPeriodEnd1,
deal.Period_Start_1,
deal.Period_End_1,
deal.Realized_Average_1,
deal.Realized_Average_Date_1,
cache);
EnergySpreadOptionPricer pricer2 = GetEnergyOptionPricer(fForwardSample,
fReferencePrice2,
fReferenceVol2,
factors.BaseDate,
fPeriodEnd2,
deal.Period_Start_2,
deal.Period_End_2,
deal.Realized_Average_2,
deal.Realized_Average_Date_2,
cache);
Vector pv = cache.Get();
Vector realizedPrice1 = cache.Get();
Vector realizedPrice2 = cache.Get();
Vector unrealizedPrice1 = cache.Get();
Vector unrealizedPrice2 = cache.Get();
Vector vol1 = cache.Get();
Vector vol2 = cache.Get();
Vector correlation = cache.Get();
Vector discountFactor = cache.Get();
// Calculate correlation between forward prices for two different (dereferenced) maturities (e.g. Apr2012 and Jan2013).
TDate forwardDate1 = fReferencePrice1.GetPriceDate(deal.Period_End_1, 0);
TDate forwardDate2 = fReferencePrice2.GetPriceDate(deal.Period_End_2, 0);
fCorrelations.GetValue(correlation, tgi.T, forwardDate1, forwardDate2);
while (tgi.Next())
{
pv.Clear();
if (tgi.T <= fTimeToExpiry)
{
// Get unrealised reference forward prices (which also age the pricer to time t and update the realized average at time t)
pricer1.GetUnrealizedPrice(tgi.T, unrealizedPrice1);
pricer2.GetUnrealizedPrice(tgi.T, unrealizedPrice2);
// Get the realized averages for both reference prices.
pricer1.GetRealizedPrice(realizedPrice1);
pricer2.GetRealizedPrice(realizedPrice2);
int numSamples1 = pricer1.GetNumSamples();
int numRealizedSamples1 = pricer1.GetNumRealizedSamples();
int numUnrealizedSamples1 = pricer1.GetNumUnrealizedSamples();
int numSamples2 = pricer2.GetNumSamples();
int numRealizedSamples2 = pricer2.GetNumRealizedSamples();
int numUnrealizedSamples2 = pricer2.GetNumUnrealizedSamples();
// Modify the strike
Vector kStar = cache.Get(deal.Strike_Price
- realizedPrice1 * numRealizedSamples1 / numSamples1
+ realizedPrice2 * numRealizedSamples2 / numSamples2);
Vector refPriceStar1 = cache.Get(unrealizedPrice1 * numUnrealizedSamples1 / numSamples1);
Vector refPriceStar2 = cache.Get(unrealizedPrice2 * numUnrealizedSamples2 / numSamples2);
// Get ATM volatilities of the forward price at different maturities (given as time in years with respect to base date).
pricer1.GetVol(tgi.T, unrealizedPrice2, vol1);
pricer2.GetVol(tgi.T, unrealizedPrice1, vol2);
// value is intrinsic - pricing with volatility 0 and realized price if there are no future sample.
if (numUnrealizedSamples1 == 0)
{
vol1.Clear();
}
// value is intrinsic - pricing with volatility 0 and realized price if there are no future sample.
if (numUnrealizedSamples2 == 0)
{
vol2.Clear();
}
// CSO pricing: exp(-rT) * E{max(F1(T) - F2(T) - K, 0)}
// For the European CSO, we set multiplier1 = sign, multiplier2 = -sign, constant = -sign * strike,
// where sign = +1 for a call and -1 for a put in the SpreadOptionBS function.
double rootTime = Math.Sqrt(fTimeToExpiry - tgi.T);
Vector volStar1 = cache.Get(vol1 * rootTime);
Vector volStar2 = cache.Get(vol2 * rootTime);
PricingFunctions.SpreadOptionBS(pv, fCallPutSign, -fCallPutSign, cache.Get(-fCallPutSign * kStar), fCallPutSign,
refPriceStar1, refPriceStar2, kStar, volStar1, volStar2, correlation);
// The option itself cannot be worth less than zero (for long positions).
// However, due to that the Bjerksund & Stensland is a type of non-optimal exercise, it is possible to end up with negative PV via
// its pricing formula.
pv.AssignMax(pv, 0.0);
// Discount payment made at settlement date
pv.MultiplyBy(fScale * fDiscountRate.Get(tgi.T, fTimeToSettlement));
}
// Cash settlement at settlement date
if (tgi.T == fTimeToSettlement && accumulator != null && !accumulator.Ignore)
{
accumulator.Accumulate(fFxPayoffRate, tgi.Date, pv);
}
result.AppendVector(tgi.Date, pv * fFxPayoffRate.Get(tgi.T));
}
result.Complete(fT);
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
BondOptionDeal deal = (BondOptionDeal)Deal;
double baseDate = factors.BaseDate;
double notional = deal.Notional;
double interval = deal.Coupon_Interval;
double buySign = (deal.Buy_Sell == BuySell.Buy) ? +1 : -1;
double paySign = (deal.Option_Type == OptionType.Call) ? +1 : -1;
double coupon = Percentage.PercentagePoint * deal.Coupon_Rate;
double tExpiry = CalcUtils.DaysToYears(deal.Expiry_Date - baseDate);
double tMaturity = CalcUtils.DaysToYears(deal.Bond_Maturity_Date - baseDate);
IInterestYieldVol interestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
if ((deal.Amortisation) != null && (deal.Amortisation.Count > 0))
{
notional = deal.Amortisation.GetPrincipal(notional, deal.Expiry_Date);
}
bool respectDefault = Respect_Default == YesNo.Yes && fCreditRating != null;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
using (var pricerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultTime = null;
Vector bondIsAlive = null;
Vector historicalRecovery = null;
if (respectDefault)
{
defaultTime = pricerCache.Get();
bondIsAlive = pricerCache.Get(1.0);
historicalRecovery = pricerCache.GetClear();
fCreditRating.DefaultTime(defaultTime);
}
var defaultedBeforeBaseDate = respectDefault && CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
VectorEngine.For(tgi, () =>
{
using (IntraValuationDiagnosticsHelper.StartValuation(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector optionValue = cache.GetClear();
Vector stdDev = cache.Get(); // Std.Dev of Price
Vector stdDevYield = cache.Get(); //Std.Dev of Yield
Vector price = cache.Get();
Vector yield = cache.Get();
Vector macaulayDuration = cache.Get();
Vector bondValue = cache.Get();
Vector df = cache.Get();
Vector dfr = fRepoIsDiscount ? null : cache.Get();
if (defaultedBeforeBaseDate)
{
result.AppendVector(tgi.Date, optionValue);
return(LoopAction.Break);
}
// This BondPrice function returns the value of the bond cashflows after ExpiryDate, including accrual, discounted back to T.date
double accrual, cash;
PricingFunctions.BondPrice(bondValue, out accrual, out cash, baseDate, tgi.Date, deal.Expiry_Date, deal.Issue_Date, deal.Bond_Maturity_Date, notional, coupon, fPayDates, fAccruals, fDiscountRate, deal.Amortisation, fPrincipals, fFinalPrincipal, fSurvivalProb, +1.0);
// Now check scenario by scenario for defaults, overwriting bondValue as necessary
if (respectDefault)
{
AdjustBondValueForDefault(notional, tExpiry, bondValue, bondIsAlive, historicalRecovery, defaultTime, tgi.T, fDiscountRate, fRecoveryRate);
}
// convert price and duration to forward (tExpiry) basis
if (tgi.Date == deal.Expiry_Date)
{
optionValue.Assign(buySign * VectorMath.Max(0.0, paySign * (bondValue - notional * fStrike)));
cashAccumulators.Accumulate(fFxRate, tgi.Date, optionValue);
}
else
{
fDiscountRate.GetValue(df, tgi.T, tExpiry);
if (fRepoIsDiscount)
{
dfr = df;
}
else
{
fRepoRate.GetValue(dfr, tgi.T, tExpiry);
}
// Need yield and duration to convert yield vol to price vol.
PricingFunctions.BondForwardPriceAndAdjustedMacaulayDuration(price, macaulayDuration, tgi.T, tExpiry, tMaturity, coupon, interval, df, fDiscountRate, fSurvivalProb);
PricingFunctions.BondYieldFromPrice(yield, tExpiry, tMaturity, coupon, interval, price);
// Calculate Modified Duration from Macaulay Duration.
Vector modifiedDuration = cache.GetClear();
PricingFunctions.GetModifiedDuration(modifiedDuration, macaulayDuration, yield, interval);
// Calculate Std.Dev of Yield and Price
interestYieldVol.GetStdDev(stdDevYield, tgi.T, yield, fStrikeYield, tExpiry, tMaturity - tExpiry);
stdDev.Assign(modifiedDuration * stdDevYield);
if (interestYieldVol.GetDistributionType() == ProbabilityDistribution.Lognormal)
{
stdDev.MultiplyBy(yield);
}
price.AssignQuotient(bondValue, df);
PricingFunctions.BlackFunction(optionValue, deal.Option_Type, price, notional * fStrike, stdDev);
optionValue.MultiplyBy(buySign * dfr);
if (fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
// Add Intra-valuation Diagnostics
using (var volatilitiesAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
using (var volatilitiesYieldAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
{
volatilitiesAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDev);
volatilitiesYieldAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDevYield);
IntraValuationDiagnosticsHelper.AddBondOptionProperties(fIntraValuationDiagnosticsWriter, price, dfr, bondValue, accrual,
volatilitiesAtDateStore, volatilitiesYieldAtDateStore);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, optionValue);
}
}
}
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * optionValue);
return(LoopAction.Continue);
}
}
});
}
result.Complete(fT);
}
}
/// <summary>
/// Returns the yield implied by strike price.
/// </summary>
public double GetStrikeYield(ref double strike, double tExpiry, double tMaturity, DateList payDates, double[] accruals)
{
strike = DirtyStrike(strike, payDates, accruals);
return(PricingFunctions.BondYieldFromPrice(tExpiry, tMaturity, Percentage.PercentagePoint * Coupon_Rate, Coupon_Interval, strike));
}
