/// <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>
/// 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>
/// Modify the pv and cash taking the date of default into account.
/// </summary>
protected void GetDefaultValue(double baseDate, double valueDate, Vector defaultDate, IInflationRate inflationRate, IPriceIndexVolatility indexVolatility, IInterestRate repo, Vector pv, Vector cash)
{
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
double settlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double buySellSign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
if (repo == null)
{
repo = fDiscountRate;
}
using (var cache = Vector.CacheLike(pv))
{
Vector principal = cache.Get();
GetCurrentExposure(principal, t, valueDate, inflationRate);
// Approximation: recover only principal, neglecting accrued interest.
Vector recovery = cache.Get(buySellSign * principal * fRecoveryRate.Get(t));
if (valueDate <= settlementDate)
{
// Set the pv to (recovery - |settlementAmount|) * df when defaultDate <= valueDate <= settlementDate.
// Set cash to (recovery - |settlementAmount|) when defaultDate <= valueDate = settlementDate (cash is always zero before settlementDate).
// Note that GetSettlementAmount(...) will return a negative value for a long bond position, indicating an outgoing cashflow.
double tSettle = CalcUtils.DaysToYears(settlementDate - baseDate);
Vector settlementAmount = cache.Get();
GetSettlementAmount(settlementAmount, valueDate, baseDate, inflationRate, indexVolatility);
settlementAmount.MultiplyBy(buySellSign);
Vector hasDefaulted = cache.Get(defaultDate <= valueDate);
pv.AssignConditional(hasDefaulted, repo.Get(t, tSettle) * (recovery + settlementAmount), pv);
if (cash != null && valueDate == settlementDate)
{
cash.AssignConditional(hasDefaulted, pv, cash);
}
}
else
{
// after settlement date
recovery.MultiplyBy(defaultDate >= valueDate); // set to zero if already defaulted
Vector notDefaulted = cache.Get(defaultDate > valueDate);
pv.AssignConditional(notDefaulted, pv, recovery);
if (cash != null)
{
cash.AssignConditional(notDefaulted, cash, recovery);
}
}
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
/// <param name="factors">Price factors.</param>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
fIsDefaultNever = !NeedCreditRating();
fCreditRating = NeedCreditRating() ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = NeedRecoveryRate() ? factors.Get <RecoveryRate>(GetRecoveryRateID()) : null;
fSurvivalProb = NeedSurvivalProb() ? factors.GetInterface <ISurvivalProb>(GetSurvivalProbID()) : null;
fInflationRate = !string.IsNullOrEmpty(deal.Index) ? factors.GetInterface <IInflationRate>(deal.Index) : null;
fRepoRate = !string.IsNullOrEmpty(deal.Repo_Rate) ? factors.GetInterface <IInterestRate>(deal.Repo_Rate) : fDiscountRate;
fIndexVolatility = deal is InflationOptionCashflowListDeal?factors.GetInterface <IPriceIndexVolatility>(GetPriceIndexVolatility()) : null;
}
/// <summary>
/// Calculate valuation metrics requested by the Base Valuation calculation.
/// </summary>
private void CalculateMetrics(ValuationResults valuationResults, PriceFactorList factors, IInflationCashflowListDeal deal)
{
var results = valuationResults.Results <ValuationMetrics>();
if (results == null)
{
return;
}
if (results.IsMetricRequested(ValuationMetricConstants.AccruedInterest))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
double?parameter = results.GetMetricParameter(ValuationMetricParameterConstants.AccrueFromToday);
bool accrueFromToday = parameter.HasValue && parameter.Value == 1.0;
Vector accruedInterest = cache.GetClear();
double buySellSign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
deal.GetCashflows().CalculateAccrual(accruedInterest, factors.BaseDate, factors.BaseDate, accrueFromToday, deal.GetHolidayCalendar(), fInflationRate, fIndexVolatility, buySellSign);
results.SetMetricValue(ValuationMetricConstants.AccruedInterest, new ValuationId(this), accruedInterest[0]);
}
}
}
protected virtual bool DealHasIssuer()
{
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
return(!string.IsNullOrEmpty(deal.Issuer));
}
