/// <summary> /// Prepare for valuation. /// </summary> public override void PreValue(PriceFactorList factors) { var deal = (CFFloatingInterestListDeal)Deal; base.PreValue(factors); bool quanto = fForecastIsForeign && fCharacteristics.HasQuanto && Quanto_Correction == YesNo.Yes; bool convexity = !fCharacteristics.IsStandardLibor && Convexity_Correction == YesNo.Yes; // volatility surfaces for forecast rate if (fCharacteristics.HasCms) { fForecastYieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency); } if (fCharacteristics.HasLibor && (fCharacteristics.HasOptionlet || convexity || quanto)) { fForecastRateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency); } // volatility surfaces for discount rate if (convexity) { // Discount rate volatility and correlation for convexity correction if (fCharacteristics.HasCms) { fDiscountYieldVol = InterestVolBase.GetYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency); } if (fCharacteristics.HasLibor) { fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency); } } if (fForecastIsForeign) { // Get factor for translation from forecast rate currency to settlement currency for cashflows with FX reset date if (fCharacteristics.HasFXReset) { fForecastFxRate = factors.GetInterface <IFxRate>(fForecastCurrency); } if (quanto) { fForecastFxVol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency); fForecastFxCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency); fForecastDiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fCurrency, null); } } }
/// <summary> /// Register price factors used in valuation. /// </summary> public override void RegisterFactors(PriceFactorList factors, ErrorList errors) { base.RegisterFactors(factors, errors); var deal = (CFEquityFloatingInterestListDeal)Deal; deal.GetDealHelper().RegisterFactors(factors, errors); fEquityCurrency = deal.Equity_Currency; factors.RegisterInterface <IFxRate>(fEquityCurrency); fEquityPayoffCurrency = string.IsNullOrEmpty(deal.Equity_Payoff_Currency) ? fEquityCurrency : deal.Equity_Payoff_Currency; if (fEquityPayoffCurrency != fEquityCurrency) { factors.RegisterInterface <IFxRate>(fEquityPayoffCurrency); } // Get characteristics EquityCashflowListCharacteristics characteristics = deal.Cashflows.Analyze(factors.BaseDate); bool quanto = fForecastIsForeign && Quanto_Correction == YesNo.Yes; if (characteristics.fHasLibor) { if ((!characteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes) || quanto) { var forecastRateVol = InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency); InterestVolBase.Validate(deal, forecastRateVol, ProbabilityDistribution.Lognormal, errors); } if (!characteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes) { var discountRateVol = InterestVolBase.RegisterInterestRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency); InterestVolBase.Validate(deal, discountRateVol, ProbabilityDistribution.Lognormal, errors); } } if (quanto) { FXVolHelper.Register(factors, fForecastCurrency, fCurrency); CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IFxRate), fForecastCurrency, fCurrency); CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IInterestRate), fCurrency, null); } deal.Cashflows.RegisterFactorsValidate(factors.BaseDate, deal.GetEquityPayoffType() == PayoffType.Compo, deal.IsCrossCurrency(), errors); }
/// <summary> /// Prepare for valuation. /// </summary> public override void PreValue(PriceFactorList factors) { base.PreValue(factors); var deal = (CFEquityFloatingInterestListDeal)Deal; deal.GetDealHelper().PreValueAsset(out fEquity, out fEquityVol, ref fEquityQuantoCompo, factors); // Get FX rate price factors fEquityCurrency = deal.Equity_Currency; fEquityPayoffCurrency = string.IsNullOrEmpty(deal.Equity_Payoff_Currency) ? fEquityCurrency : deal.Equity_Payoff_Currency; fEquityFXRate = factors.GetInterface <IFxRate>(fEquityCurrency); fEquityPayoffFXRate = fEquityPayoffCurrency != fEquityCurrency?factors.GetInterface <IFxRate>(fEquityPayoffCurrency) : fEquityFXRate; bool quanto = fForecastIsForeign && Quanto_Correction == YesNo.Yes; if (fCharacteristics.fHasLibor) { // volatility surfaces for forecast rate if ((!fCharacteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes) || quanto) { fForecastRateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency); } // volatility surfaces for discount rate if (!fCharacteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes) { fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency); } } if (quanto) { fForecastFXVol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency); fForecastFXCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency); fForecastDiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fCurrency, null); } }
/// <summary> /// Prepare for valuation. /// </summary> public override void PreValue(PriceFactorList factors) { base.PreValue(factors); CFGeneralInterestSpreadListDeal deal = (CFGeneralInterestSpreadListDeal)Deal; // Get spread flow characteristics SpreadCashflowListCharacteristics spreadCashflowCharacteristics = fCashflows.ValuationPriceFactorDependencies(factors.BaseDate, fCurrency, fForecastCurrency, fForecast2Currency); // vols for first forecast rate if (spreadCashflowCharacteristics.NeedForecast1YieldVol) { fForecast1YieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate1_Swaption_Volatility, fForecastCurrency); } if (spreadCashflowCharacteristics.NeedForecast1RateVol) { fForecast1RateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate1_Cap_Volatility, fForecastCurrency); } // vols for second forecast rate if (spreadCashflowCharacteristics.NeedForecast2YieldVol) { fForecast2YieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate2_Swaption_Volatility, fForecast2Currency); } if (spreadCashflowCharacteristics.NeedForecast2RateVol) { fForecast2RateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate2_Cap_Volatility, fForecast2Currency); } // vols for discount rate if (spreadCashflowCharacteristics.NeedDiscountYieldVol) { fDiscountYieldVol = InterestVolBase.GetYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency); } if (spreadCashflowCharacteristics.NeedDiscountRateVol) { fDiscountRateVol = InterestVolBase.GetRateVol(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 fFx1Vol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency); fForecast1Fx1Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency); } if (convexity) { fForecast1DiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fCurrency, null, typeof(InterestRate), fForecastCurrency, null); } } if (fForecast2Currency != fCurrency) { if (Quanto_Correction == YesNo.Yes) { // fx vol, fx/ir correl and forecast/discount correl fFx2Vol = FXVolHelper.Get(factors, fForecast2Currency, fCurrency); fForecast2Fx2Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecast2Currency, null, typeof(FxRate), fForecast2Currency, fCurrency); } if (convexity) { fForecast2DiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fCurrency, null, typeof(InterestRate), fForecast2Currency, null); } } if (spreadCashflowCharacteristics.NeedForecast1Forecast2Correlation) { if (fForecastCurrency == fForecast2Currency) { // correl between forecast rates in same currency fForecast1Forecast2Correls = factors.Get <CMSRateCorrelations>(fForecastCurrency); } else { fForecast1Forecast2Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fForecast2Currency, null); } } }
/// <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); }
/// <summary> /// Register price factors used in valuation. /// </summary> public override void RegisterFactors(PriceFactorList factors, ErrorList errors) { base.RegisterFactors(factors, errors); CFFloatingInterestListDeal deal = (CFFloatingInterestListDeal)Deal; // Deal validation specific to CFFloatingInterestListValuation foreach (var cashflow in deal.Cashflows) { if (!cashflow.Resets.Any()) { continue; } var lastResetDate = cashflow.Resets.Last().Reset_Date; if (cashflow.FX_Reset_Date > 0.0 && cashflow.FX_Reset_Date < lastResetDate) { errors.Add(ErrorLevel.Warning, string.Format("Quanto adjustments for cashflow paying on {0} are not supported when the FX reset date {1} is before interest rate reset date {2}", cashflow.Payment_Date, cashflow.FX_Reset_Date, lastResetDate)); } } // Get characteristics CashflowListCharacteristics characteristics = deal.Cashflows.Analyze(factors.BaseDate); bool quanto = fForecastIsForeign && characteristics.HasQuanto && Quanto_Correction == YesNo.Yes; bool convexity = !characteristics.IsStandardLibor && Convexity_Correction == YesNo.Yes; var requirements = new VolatilityRequirements( characteristics.HasCms, characteristics.HasLibor && (characteristics.HasOptionlet || convexity || quanto), characteristics.HasCms && convexity, characteristics.HasLibor && convexity); // Collect registered volatility price factors to check they have the same distribution type var volPriceFactors = new List <IInterestVol>(); // register forecast rate volatility surfaces if (requirements.NeedForecastYieldVol) { volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency)); } if (requirements.NeedForecastRateVol) { volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency)); } if (requirements.NeedDiscountYieldVol) { volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency)); } if (requirements.NeedDiscountRateVol) { volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency)); } if (fForecastIsForeign) { // Register factor for translation from forecast rate currency to settlement currency for cashflows with FX reset date if (characteristics.HasFXReset) { factors.RegisterInterface <IFxRate>(fForecastCurrency); } if (quanto) { FXVolHelper.Register(factors, fForecastCurrency, fCurrency); CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IFxRate), fForecastCurrency, fCurrency); CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IInterestRate), fCurrency, null); } } if (volPriceFactors.Select(pf => pf.GetDistributionType()).Distinct().Count() > 1) { deal.AddToErrors(errors, "Volatility price factors must have the same distribution type."); } ValidateUnnecessaryVolatilities(deal, requirements, errors); }