private static double couponRate(List<CashFlow> leg, CashFlow cf)
{
if (cf == null) return 0.0;
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0;
double accrualPeriod = 0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in leg.Where(x => x.date() == paymentDate)) {
Coupon cp = x as Coupon;
if (cp != null) {
if (firstCouponFound) {
if (!(nominal == cp.nominal() && accrualPeriod == cp.accrualPeriod() && dc == cp.dayCounter()))
throw new ApplicationException("cannot aggregate two different coupons on " + paymentDate);
} else {
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.rate();
}
}
if (!firstCouponFound) throw new ApplicationException("next cashflow (" + paymentDate + ") is not a coupon");
return result;
}
private static double aggregateRate(Leg leg,CashFlow cf)
{
if ( cf == null) return 0.0;
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0.0;
double accrualPeriod = 0.0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
{
Coupon cp = x as Coupon;
if (cp != null)
{
if (firstCouponFound)
{
Utils.QL_REQUIRE(nominal == cp.nominal() &&
accrualPeriod == cp.accrualPeriod() &&
dc == cp.dayCounter(), () =>
"cannot aggregate two different coupons on "
+ paymentDate);
}
else
{
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.rate();
}
}
Utils.QL_REQUIRE( firstCouponFound, () => "no coupon paid at cashflow date " + paymentDate );
return result;
}
//! 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 = Settings.evaluationDate();
if (npvDate == null)
npvDate = settlementDate;
if (!cashflow.hasOccurred(settlementDate + exDividendDays))
NPV = cashflow.amount() * discountCurve.discount(cashflow.date());
return NPV / discountCurve.discount(npvDate);
}
public void visit(CashFlow cf)
{
nonSensNPV_ += cf.amount() * discountCurve_.discount(cf.date());
}
static void Main(string[] args)
{
/*
* TODO:
* FIXES
* 1. WAC vs Net Coupon (meanings are reversed, names are bad)
* 2. CashFlows needs to be replaced with Expected CashFlows to get the correct price
* NEW IMPLEMENTATION
* 1. Add delay
* 2. Add SecType enum PT, PO, IO
*/
Date referenceDate = new Date(16, 11, 2015);
Settings.setEvaluationDate(referenceDate);
int settlementDays = 0;
Calendar calendar = new TARGET();
int origTerm = 360;
Frequency sinkingFrequency = Frequency.Monthly;
DayCounter accrualDayCounter = new Thirty360();
BusinessDayConvention paymentConvention = BusinessDayConvention.Unadjusted;
double wac = 0.03875;
int wam = 357;
int wala = origTerm - wam;
Date factorDate = new Date(1, 12, 2015);
Date issueDate = calendar.advance(factorDate, -wala, TimeUnit.Months, BusinessDayConvention.Unadjusted);
double factor = 1.0;
double currentFace = 1000000;
double originalFace = currentFace / factor;
int statedDelay = 30; //54;
double netCoupon = 0.030;
string secType = "PT";
Date settleDate = referenceDate;
double yield_be = 0.0270;
//double price;
double speed = 0.08;
IPrepayModel prepaymodel = new ConstantCPR(speed);
//IPrepayModel prepaymodel = new PSACurve(factorDate, speed);
MBSFixedRateBond mbs = new MBSFixedRateBond(
settlementDays,
calendar,
currentFace,
factorDate,
new Period(wam, TimeUnit.Months),
new Period(origTerm, TimeUnit.Months),
sinkingFrequency,
wac,
netCoupon,
accrualDayCounter,
prepaymodel,
paymentConvention,
issueDate);
YieldTermStructure discountCurve = new FlatForward(referenceDate, yield_be, new Thirty360(), Compounding.Compounded, Frequency.Semiannual);
DiscountingBondEngine discountingBondEngine = new DiscountingBondEngine(new Handle <YieldTermStructure>(discountCurve));
mbs.setPricingEngine(discountingBondEngine);
// display results
Console.WriteLine("WAC : {0:F5}", wac);
Console.WriteLine("WALA : {0}", wala);
Console.WriteLine("WAM : {0}", wam);
Console.WriteLine("Factor Date : {0}", factorDate.ToShortDateString());
Console.WriteLine("Factor : {0:F10}", factor);
Console.WriteLine("Orig Face : {0:N}", originalFace);
Console.WriteLine("Curr Face : {0:N}", currentFace);
Console.WriteLine("Stated Delay: {0}", statedDelay);
Console.WriteLine("Net Coupon : {0:F3}", netCoupon);
Console.WriteLine("Sec Type : {0}", secType);
Console.WriteLine("Settle Date : {0}", settleDate.ToShortDateString());
Console.WriteLine("Model Type : {0}", prepaymodel.GetType().ToString());
Console.WriteLine("Model Speed : {0:F3}", speed);
Console.WriteLine("Yield : {0:F5}", yield_be);
Console.WriteLine("Clean Price : {0:F6}", mbs.cleanPrice());
Console.WriteLine("Dirty Price : {0:F6}", mbs.dirtyPrice());
Console.WriteLine("Accrued : {0:F6}", mbs.accruedAmount());
// month, factor, pay date, ending prin, interest, reg principal, prepaid principal, total principal, net flow, cpr, smm, wala, wam, p&i payment, i payment, beg balance, days, discount, pv
double ebal = currentFace;
using (System.IO.StreamWriter sw = new System.IO.StreamWriter("output.csv"))
{
DayCounter dc = discountCurve.dayCounter();
Date refdate = discountCurve.referenceDate();
sw.WriteLine("month,factor date,factor,pay date,ending principal,interest,regular principal,prepaid principal,total principal,net flow,cpr,smm,wala,wam,p&i payment,interest payment,beginning balance,days,discount,pv");
for (int i = 0; i < wam; i++)
{
double upmt = 0;
double ppmt = 0;
double ipmt = 0;
double bbal = ebal;
Date paydate = null;
for (int j = 0; j <= 2; j++)
{
int k = i * 3 + j;
CashFlow cf = mbs.expectedCashflows()[k];
if (cf.GetType() == typeof(VoluntaryPrepay))
{
upmt = cf.amount();
paydate = cf.date();
}
if (cf.GetType() == typeof(AmortizingPayment))
{
ppmt = cf.amount();
}
if (cf.GetType() == typeof(FixedRateCoupon))
{
ipmt = cf.amount();
}
}
int days = dc.dayCount(refdate, paydate);
double df = discountCurve.discount(paydate);
ebal = bbal - upmt - ppmt;
double smm = upmt / (bbal - ppmt);
sw.Write("{0},", i + 1); //month
sw.Write("{0},", calendar.advance(factorDate, i, TimeUnit.Months, BusinessDayConvention.Unadjusted)); //factor date
sw.Write("{0:F10},", factor * bbal / currentFace); //factor
sw.Write("{0},", paydate.ToShortDateString()); //pay date
sw.Write("{0:F2},", ebal); //ending principal
sw.Write("{0:F2},", ipmt); //interest
sw.Write("{0:F2},", ppmt); //regular principal
sw.Write("{0:F2},", upmt); //prepaid principal
sw.Write("{0:F2},", ppmt + upmt); //total principal
sw.Write("{0:F2},", ipmt + ppmt + upmt); //net flow
sw.Write("{0:F4},", 1 - Math.Pow(1 - smm, 12)); //cpr
sw.Write("{0:F6},", smm); //smm
sw.Write("{0},", wala + i); //wala
sw.Write("{0},", wam - i); //wam
sw.Write("{0},", i); //p&i payment
sw.Write("{0},", i); //interest payment
sw.Write("{0:F2},", bbal); //beginning balance
sw.Write("{0},", days); //days
sw.Write("{0:F8},", df); //discount
sw.WriteLine("{0}", df * (ipmt + ppmt + upmt)); //pv
}
}
}