/// <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>
/// 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);
}
