/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
var deal = (SwaptionBaseDeal)Deal;
// Call HeadNodeInitialize on leg models to create time grid on leg models.
fItems.HeadNodeInitialize(factors, baseTimes, requiredResults);
SwaptionBaseValuation.SetCashflowLists(null, deal, ref fFixedCashflowList, ref fFloatCashflowList);
Debug.Assert(fFloatCashflowList != null && fFixedCashflowList != null, "One or both of the underlying swap legs are null.");
// Calculate fixed interest cashflows
fFixedCashflowList.CalculateInterest(factors.BaseDate);
// Add to valuation time grid
bool cashRequired = requiredResults.CashRequired();
fT.Add(deal.Option_Expiry_Date, true);
if (deal.Settlement_Style == SettlementType.Physical)
{
fT.AddPayDates(fFixedCashflowList, cashRequired);
fT.AddPayDates(fFloatCashflowList, cashRequired);
}
else
{
fT.AddPayDate(deal.Settlement_Date, cashRequired);
}
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
Prepare(factors.BaseDate, factors.RateFixings);
fSettlementOffsetHelper.InitialiseHolidayCalendars(factors.CalendarData);
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
BaseCliquetOption deal = (BaseCliquetOption)fDeal;
DateList accrualDates = CashflowGeneration.GenerateStripOfDates(deal.Effective_Date, deal.Maturity_Date, deal.Frequency, deal.GetHolidayCalendar());
fTimes = new double[accrualDates.Count];
for (int i = 0; i < accrualDates.Count; ++i)
{
fTimes[i] = CalcUtils.DaysToYears(accrualDates[i] - factors.BaseDate);
}
// Get the asset price from the deal helper
var dealHelper = (BaseAssetFxDealHelper)deal.GetDealHelper();
IAssetPrice assetPrice = dealHelper.GetAssetPrice(factors);
fKnownPrices = deal.GetKnownPrices(accrualDates, factors, assetPrice);
// Add expiry dates to valuation time grid.
if (accrualDates.Count > 1)
{
DateList expiryDates = new DateList(accrualDates);
expiryDates.RemoveAt(0);
fT.AddPayDates(expiryDates, requiredResults.CashRequired());
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, resultsRequired);
// Set up date lists
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresAccrualDates = true,
RequiresYearFractions = true
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = fDeal.Effective_Date,
MaturityDate = fDeal.Maturity_Date,
CouponPeriod = fDeal.Pay_Frequency,
AccrualCalendar = fDeal.GetHolidayCalendar(),
AccrualDayCount = fDeal.Accrual_Day_Count,
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
AccrualDates = dateGenerationResults.AccrualDates;
PayDates = dateGenerationResults.PayDates;
Accruals = dateGenerationResults.AccrualYearFractions;
bool cashRequired = resultsRequired.CashRequired();
fT.AddPayDate(fDeal.Upfront_Date, cashRequired);
fT.AddPayDates(PayDates, cashRequired);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (BondLendingBase)fDeal;
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
RequiresPrincipals = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = deal.Issue_Date,
MaturityDate = deal.Bond_Maturity_Date,
CouponPeriod = deal.Coupon_Interval,
FirstCouponDate = deal.First_Coupon_Date,
PenultimateCouponDate = deal.Penultimate_Coupon_Date,
AccrualCalendar = deal.GetHolidayCalendar(),
AccrualDayCount = deal.Accrual_Day_Count,
Principal = deal.Notional,
Amortisation = deal.Amortisation
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fPrincipals = dateGenerationResults.Principals;
fFinalPrincipal = dateGenerationResults.FinalPrincipal;
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
// Set up cashflow list
IInflationRate inflationRate = deal.NeedInflationRate() ? factors.GetInterface <IInflationRate>(deal.Index) : null;
deal.GetCashflows().PreCloneInitialize(factors.BaseDate, inflationRate, deal.GetHolidayCalendar());
// Add to valuation time grid
deal.AddPayDates(fT);
if (deal.Investment_Horizon > 0.0)
{
fT.AddPayDate(deal.Investment_Horizon, requiredResults.CashRequired());
}
if (deal.Settlement_Date > 0.0)
{
fT.AddPayDate(deal.Settlement_Date, requiredResults.CashRequired());
}
// Recovery cashflows are created on the fly to respect customized cashflows
if (NeedRecoveryCashflows())
{
fRecoveryCashflowList = new CFRecoveryInflationList();
fRecoveryCashflowList.PopulateRecoveryCashflowList(factors.BaseDate, deal.Settlement_Date, deal.GetCashflows());
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.HeadNodeInitialize(factors, baseTimes, resultsRequired);
var deal = (AverageForwardExplicitDealBase)Deal;
fScale = (deal.Buy_Sell == BuySell.Buy ? +1 : -1) * deal.GetUnits();
fSamplingTimes = new double[deal.Sampling_Data.Count];
fSamplingTimesPlusTenor = new double[deal.Sampling_Data.Count];
int index = 0;
Term tenorAsTerm = Period.ValueToTerm(deal.Tenor);
// Loop over sampling dates and generate relevant sampling times.
foreach (SamplingEntryAsset sample in deal.Sampling_Data)
{
double endDate = DateAdjuster.Add(sample.Date, tenorAsTerm, deal.GetHolidayCalendar());
double sampleTime = CalcUtils.DaysToYears(sample.Date - factors.BaseDate);
// Store the start time and the end time.
fSamplingTimes[index] = sampleTime; // Discount Factor and Forward Factor times are in Act365.
fSamplingTimesPlusTenor[index] = CalcUtils.DaysToYears(endDate - factors.BaseDate);
index++;
}
// Create a deep copy of the sampling data list and replace missing values with data from the rate fixings file
var assetPrice = ((BaseAssetFxDealHelper)deal.GetDealHelper()).GetAssetPrice(factors);
string assetCurrency = fPayoffType == PayoffType.Compo ? fPayoffCurrency : fCurrency;
fSamplingData = deal.Sampling_Data.FillMissingDataFromFixings(factors.RateFixings, factors, assetPrice, assetCurrency, deal, "calculation of asset average");
// Add to valuation time grid
fT.AddPayDate(deal.Maturity_Date, resultsRequired.CashRequired());
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList Factors, BaseTimeGrid BaseTimes, RequiredResults ResultsRequired)
{
base.PreCloneInitialize(Factors, BaseTimes, ResultsRequired);
DealCreditLinkedNoteBase deal = (DealCreditLinkedNoteBase)fDeal;
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresResetDates = true,
RequiresYearFractions = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = deal.Effective_Date,
MaturityDate = deal.Maturity_Date,
CouponPeriod = deal.Coupon_Interval,
AccrualCalendar = deal.GetHolidayCalendar(),
AccrualDayCount = deal.Accrual_Day_Count,
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
PayDates = dateGenerationResults.PayDates;
Accruals = dateGenerationResults.AccrualYearFractions;
ResetDates = dateGenerationResults.ResetDates;
// Add to valuation time grid
bool cashRequired = ResultsRequired.CashRequired();
fT.AddPayDate(deal.Effective_Date, cashRequired);
fT.AddPayDates(PayDates, cashRequired);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
FixedCashflowDeal deal = (FixedCashflowDeal)fDeal;
fAmount = deal.Amount;
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
FixedCashflowBaseDeal deal = (FixedCashflowBaseDeal)fDeal;
// Add to valuation time grid
fT.AddPayDate(deal.Payment_Date);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CFFixedListDeal deal = (CFFixedListDeal)Deal;
// Add to valuation time grid
fT.AddPayDates <CFFixed>(deal.Cashflows);
}
/// <inheritdoc />
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
fItems.PreCloneInitialize(factors, baseTimes, requiredResults);
int fixedCount = fFixedCashflowList.Count();
int floatCount = fFloatCashflowList.Count();
fDates = new DateList();
// Get a list of all the relevant dates for the deal.
for (int i = 0; i < fixedCount; i++)
{
var fixedDate = fFixedCashflowList[i].Payment_Date;
fDates.Add(fixedDate);
}
for (int i = 0; i < floatCount; i++)
{
var payDate = fFloatCashflowList[i].Payment_Date;
var startDate = fFloatCashflowList[i].Resets[0].Rate_Start_Date;
if (!fDates.Contains(payDate))
{
fDates.Add(payDate);
}
if (!fDates.Contains(startDate))
{
fDates.Add(startDate);
}
}
int count = fDates.Count;
fFixedCouponWeight = new double[count];
fFixedCouponRate = new double[count];
// Calucate the static parts of the coefficients
foreach (var cf in fFixedCashflowList)
{
int idx = fDates.IndexOf(cf.Payment_Date);
fFixedCouponWeight[idx] += cf.Accrual_Year_Fraction * cf.Notional;
fFixedCouponRate[idx] = cf.Rate;
}
fFloatingCouponWeight = new double[count];
foreach (var cf in fFloatCashflowList)
{
int idx = fDates.IndexOf(cf.Payment_Date);
double rateYearFraction = cf.Resets[0].Rate_Year_Fraction;
double yearFractionRatio = (rateYearFraction < CalcUtils.TINY) ? 1.0 : cf.Accrual_Year_Fraction / rateYearFraction;
fFloatingCouponWeight[idx] += cf.Notional * yearFractionRatio;
}
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
fSettlementOffsetHelper.InitialiseHolidayCalendars(factors.CalendarData);
deal.Cashflows.SetCashflowRounding(Cashflow_Rounding);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CommodityForwardDealBase deal = (CommodityForwardDealBase)fDeal;
// Add to valuation time grid
fT.AddPayDate(deal.Maturity_Date, requiredResults.CashRequired());
}
/// <inheritdoc />
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, resultsRequired);
// Add to valuation time grid
fT.AddPayDate(fPaymentDate, resultsRequired.CashRequired());
fCutoffDate = fSettlementOffsetHelper.GetCutoffDate(factors.BaseDate);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (IDIOptionDeal)Deal;
fStrike = deal.StrikeForValuation();
fBaseDate = factors.BaseDate;
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (CFFloatingInterestListDeal)Deal;
// Set up cashflow list
fCashflows.SetUseConvexityCorrection(Convexity_Correction == YesNo.Yes);
fCashflows.SetUseQuantoCorrection(Quanto_Correction == YesNo.Yes);
fCashflows.SetFasterAveraging(Faster_Averaging_Valuation == YesNo.Yes);
fCashflows.SetOISCashflowGroupSize(OIS_Cashflow_Group_Size);
fCashflows.SetConvexityLowRateCutoff(Convexity_Low_Rate_Cutoff);
fCashflows.SetOISRateRounding(OIS_Rate_Rounding);
double baseDate = factors.BaseDate;
fCharacteristics = fCashflows.Analyze(baseDate);
if (fCharacteristics.IsOIS)
{
fCashflows.InitializeFastOISCalculation(baseDate);
}
if (fCharacteristics.IsVanillaSwap)
{
fCashflows.CalculateAmounts(baseDate);
}
// Add to valuation time grid
bool payDatesRequired = ValueOnCashflowDates() && requiredResults.CashRequired();
fT.AddPayDates(fCashflows, payDatesRequired);
double settlementDate = deal.Settlement_Date;
if (settlementDate > 0.0)
{
fT.AddPayDate(settlementDate, payDatesRequired);
}
if (Use_Settlement_Offset == YesNo.Yes && settlementDate != 0.0)
{
fCutoffDate = 0.0;
}
if (deal.Investment_Horizon > 0.0)
{
fT.AddPayDate(deal.Investment_Horizon, payDatesRequired);
}
if (Use_Survival_Probability == YesNo.Yes)
{
fRecoveryList = new CFRecoveryList();
fRecoveryList.PopulateRecoveryCashflowList(baseDate, settlementDate, fCashflows);
}
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
fBuySellSign = deal.Buy_Sell == BuySell.Buy ? +1 : -1;
fCutoffDate = fSettlementOffsetHelper.GetCutoffDate(factors.BaseDate);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
FixedInterestCashflowDeal deal = (FixedInterestCashflowDeal)fDeal;
int sign = (deal.Buy_Sell == BuySell.Buy ? +1 : -1);
double accrualDayCountFraction = CalcUtils.DayCountFraction(deal.Accrual_Start_Date, deal.Accrual_End_Date, deal.Accrual_Day_Count, deal.GetHolidayCalendar());
fAmount = sign * deal.Notional * accrualDayCountFraction * deal.Fixed_Rate;
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (CFEquityFloatingInterestListDeal)Deal;
// Set up cashflow list
fCharacteristics = deal.Cashflows.Analyze(factors.BaseDate);
// Add to valuation time grid
fT.AddPayDates(deal.Cashflows);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (CalendarSpreadOption)Deal;
fCallPutSign = deal.Option_Type == OptionType.Call ? 1 : -1;
fScale = (deal.Buy_Sell == BuySell.Buy ? +1.0 : -1.0) * deal.Units * deal.Contract_Size;
// Add to valuation time grid
fT.AddPayDate(deal.Settlement_Date, requiredResults.CashRequired());
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
// Set up cashflow list
fCashflows.SetUseConvexityCorrection(Convexity_Correction == YesNo.Yes);
fCashflows.SetUseQuantoCorrection(Quanto_Correction == YesNo.Yes);
fCashflows.SetConvexityLowRateCutoff(Convexity_Low_Rate_Cutoff);
// Add to valuation time grid
fT.AddPayDates(fCashflows);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults ResultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, ResultsRequired);
fItems.PreCloneInitialize(factors, baseTimes, ResultsRequired);
CallableStructuredDeal deal = (CallableStructuredDeal)fDeal;
// Create a list of sorted exercise items with exercise date >= baseDate and exercise date <= deal's end date.
fExercises = CreateExerciseList(factors.BaseDate, deal.EndDate(), deal.Exercise_Dates, deal.Principal);
AddDatesToValuationGrid(factors.BaseDate, ResultsRequired.CashRequired());
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CommitmentDeal deal = (CommitmentDeal)Deal;
// Add to valuation time grid
fT.Add(deal.Effective_Date - 1.0);
fT.Add(deal.Effective_Date);
for (int i = 0; i < deal.Amortisation.Count; ++i)
{
fT.AddPayDate(deal.Amortisation[i].Date);
}
}
/// <summary>
/// Clones the cashflow list and applies missing fixings from the fixings file. If
/// fixings are applied, the clone is stored in place of the original deal.
/// </summary>
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
var baseDate = factors.BaseDate;
var deal = (CFFloatingInterestListDeal)fDeal;
fCashflows = deal.Cashflows;
// Apply any missing rate fixings, performing minimal cloning
if (fCashflows.HasMissingRates(baseDate))
{
fCashflows = CashflowsFixingsHelper.ApplyRateFixings(factors, deal, fCashflows);
}
}
/// <summary>
/// Add required results.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, resultsRequired);
if (resultsRequired.Result <AddOnProfiles>() == null)
{
var addOnProfiles = new AddOnProfiles(resultsRequired.Result <PVProfiles>().VectorSize);
resultsRequired.Add(addOnProfiles);
}
if (resultsRequired.Result <PositiveMtmProfiles>() == null)
{
var mtmPositiveProfiles = new PositiveMtmProfiles(resultsRequired.Result <PVProfiles>().VectorSize);
resultsRequired.Add(mtmPositiveProfiles);
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
// Set up cashflow list
deal.Cashflows.CalculateInterest(factors.BaseDate);
// Add to valuation time grid
bool payDatesRequired = ValueOnCashflowDates() && requiredResults.CashRequired();
fT.AddPayDates <CFFixedInterest>(deal.Cashflows, payDatesRequired);
double baseDate = factors.BaseDate;
double settlementDate = deal.Settlement_Date;
if (settlementDate >= baseDate)
{
fT.AddPayDate(settlementDate, payDatesRequired);
var accrualCalendar = deal.GetHolidayCalendar();
fAccruedInterest = deal.Cashflows.CalculateAccrual(settlementDate, false, accrualCalendar);
fSettlementAmount = deal.Settlement_Amount;
if (deal.Settlement_Amount_Is_Clean == YesNo.Yes)
{
fSettlementAmount += fAccruedInterest;
}
}
// Settlement date takes precedence.
if (Use_Settlement_Offset == YesNo.Yes && settlementDate != 0.0)
{
fCutoffDate = 0.0;
}
if (deal.Investment_Horizon > 0.0)
{
fT.AddPayDate(deal.Investment_Horizon, payDatesRequired);
}
if (Use_Survival_Probability == YesNo.Yes)
{
fRecoveryList = new CFRecoveryList();
fRecoveryList.PopulateRecoveryCashflowList(baseDate, settlementDate, deal.Cashflows);
}
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (BondOptionDeal)Deal;
var tExpiry = deal.GetTimeToExpiry(factors.BaseDate);
var tMaturity = CalcUtils.DaysToYears(deal.Bond_Maturity_Date - factors.BaseDate);
var dateGenerationResults = deal.GetDateGenerationResults();
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fPrincipals = dateGenerationResults.Principals;
fFinalPrincipal = dateGenerationResults.FinalPrincipal;
fStrike = deal.Strike_Price;
fStrikeYield = deal.GetStrikeYield(ref fStrike, tExpiry, tMaturity, fPayDates, fAccruals);
fT.AddPayDate(deal.Expiry_Date, requiredResults.CashRequired());
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
base.Value(valuationResults, factors, baseTimes);
var accruedResults = valuationResults.Results <AccruedInterest>();
if (accruedResults == null)
{
return;
}
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector accruedInterest = cache.Get();
var deal = (CFEquityFloatingInterestListDeal)Deal;
var tgi = new TimeGridIterator(fT);
var equityParams = new EquityCashflowParams((EquityPrice)fEquity, (EquityPriceVol)fEquityVol, fEquityFXRate, fEquityPayoffFXRate, deal.GetEquityPayoffType(), fEquityQuantoCompo, null, null);
while (tgi.Next())
{
deal.Cashflows.CalculateAccrual(accruedInterest, equityParams, factors.BaseDate, tgi.Date, accruedResults.AccrueFromToday, deal.GetHolidayCalendar(), deal.Accrual_Day_Count, fForecastRate, fFxRate);
accruedResults.SetValue(tgi.Date, fBuySellSign * accruedInterest);
}
}
}
/// <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;
CommitmentDeal deal = (CommitmentDeal)Deal;
VectorEngine.For(tgi, () =>
{
if (tgi.Date < deal.Effective_Date)
{
result.AppendZeroVector(tgi.Date);
}
else
{
double amount = deal.Amortisation.GetPrincipal(deal.Amount, tgi.Date - 1.0);
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * amount);
}
});
result.Complete(fT);
}
