/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)fDeal;
// Get factor for translation from rate currency to settlement currency for cashflows with FX reset date
if (!string.IsNullOrEmpty(deal.Rate_Currency) && deal.Rate_Currency != fCurrency)
{
fRateFxRate = factors.GetInterface <IFxRate>(deal.Rate_Currency);
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)fDeal;
// Register factor for translation from rate currency to settlement currency for cashflows with FX reset date
if (!string.IsNullOrEmpty(deal.Rate_Currency) && deal.Rate_Currency != fCurrency)
{
factors.RegisterInterface <IFxRate>(deal.Rate_Currency);
}
}
/// <summary>
/// Collect cashflows realised along the scenario path up to endDate.
/// </summary>
public override void CollectCashflows(CashAccumulators cashAccumulators, double baseDate, double endDate)
{
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
deal.Cashflows.CollectCashflows(cashAccumulators, fFxRate, fRateFxRate, baseDate, endDate, fBuySellSign, fCutoffDate);
double settlementDate = deal.Settlement_Date;
if (settlementDate >= baseDate && settlementDate <= endDate)
{
cashAccumulators.Accumulate(fFxRate, settlementDate, -fBuySellSign * fSettlementAmount);
}
}
/// <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>
/// Value the deal.
/// </summary>
/// <param name="pv">Present value to be updated.</param>
/// <param name="cash">Realised cash to be updated.</param>
public override void Value(Vector pv, Vector cash, double baseDate, double valueDate, ISACCRResult saccrResult,
IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
Value(pv, cash, baseDate, valueDate, null, fDiscountRate, null, fRepoRate, null, null, fSurvivalProb, saccrResult,
intraValuationDiagnosticsWriter);
// Add accruedInterest to Intra-valuation diagnostics
if (intraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
using (var cache = Vector.CacheLike(pv))
{
Vector accruedInterest = cache.Get(deal.Cashflows.CalculateAccrual(valueDate, false, deal.GetHolidayCalendar()));
IntraValuationDiagnosticsHelper.AddCashflowsAccruedInterest(fIntraValuationDiagnosticsWriter, accruedInterest);
}
}
}
/// <summary>
/// Modify the pv and cash taking the date of default into account.
/// </summary>
public override void GetDefaultValue(double baseDate, double valueDate, Vector defaultDate, RecoveryRate recoveryRate, Vector pv, Vector cash)
{
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)fDeal;
double principal = GetPrincipal(deal.Cashflows, valueDate);
double settlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
using (var cache = Vector.CacheLike(pv))
{
// Approximation: recover only principal, neglecting accrued interest
Vector recovery = cache.Get(fBuySellSign * principal * recoveryRate.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).
double tSettle = CalcUtils.DaysToYears(settlementDate - baseDate);
double settlementAmount = fBuySellSign * fSettlementAmount;
Vector hasDefaulted = cache.Get(defaultDate <= valueDate);
pv.AssignConditional(hasDefaulted, fRepoRate.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>
/// Calculate valuation metrics requested by the Base Valuation calculation.
/// </summary>
private void CalculateMetrics(ValuationResults valuationResults, PriceFactorList factors, CFFixedInterestListDeal deal)
{
var results = valuationResults.Results <ValuationMetrics>();
if (results == null)
{
return;
}
if (results.IsMetricRequested(ValuationMetricConstants.Duration))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector duration = cache.GetClear();
Vector settlementDate = cache.Get(deal.Settlement_Date);
deal.Cashflows.Duration(duration, factors.BaseDate, factors.BaseDate, settlementDate, fDiscountRate, fCutoffDate);
results.SetMetricValue(ValuationMetricConstants.Duration, new ValuationId(this), duration[0]);
}
}
if (results.IsMetricRequested(ValuationMetricConstants.AccruedInterest))
{
double?parameter = results.GetMetricParameter(ValuationMetricParameterConstants.AccrueFromToday);
bool accrueFromToday = parameter.HasValue && parameter.Value == 1.0;
double accruedInterest = deal.Cashflows.CalculateAccrual(factors.BaseDate, accrueFromToday, deal.GetHolidayCalendar());
double buySellSign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
results.SetMetricValue(ValuationMetricConstants.AccruedInterest, new ValuationId(this), buySellSign * accruedInterest);
}
}
/// <summary>
/// Value the deal using the cashflow list.
/// </summary>
/// <param name="pv">Present value to be updated.</param>
/// <param name="cash">Realised cash to be updated.</param>
public void Value(Vector pv, Vector cash, double baseDate, double valueDate, Vector settlementDate, IInterestRate discount,
IInterestRate forecast, IInterestRate repo, IInterestRateVol interestRateVol, IInterestYieldVol interestYieldVol,
ISurvivalProb survivalProb, ISACCRResult saccrResult, IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
pv.Clear();
if (cash != null)
{
cash.Clear();
}
deal.Cashflows.Value(pv, cash, null, baseDate, valueDate, settlementDate, discount, survivalProb, fFxRate, fRateFxRate, intraValuationDiagnosticsWriter, fCutoffDate);
using (var cache = Vector.CacheLike(pv))
{
Vector sp = cache.Get(1.0);
double dealSettlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double tSettle = CalcUtils.DaysToYears(dealSettlementDate - baseDate);
if (Use_Survival_Probability == YesNo.Yes && survivalProb != null)
{
survivalProb.GetValue(sp, t, tSettle);
fRecoveryList.Value(pv, baseDate, valueDate, discount, survivalProb, intraValuationDiagnosticsWriter);
}
if (valueDate < dealSettlementDate)
{
// Forward deal before settlement date
if (deal.Is_Defaultable == YesNo.No)
{
pv.Assign((pv / discount.Get(t, tSettle) - fSettlementAmount) * repo.Get(t, tSettle));
}
else
{
pv.Subtract(fAccruedInterest * discount.Get(t, tSettle) * sp + (fSettlementAmount - fAccruedInterest) * repo.Get(t, tSettle));
}
}
else if (valueDate == dealSettlementDate)
{
// Forward deal at settlement date
pv.Subtract(fSettlementAmount);
if (cash != null)
{
if (deal.Settlement_Style == SettlementType.Cash)
{
cash.Assign(pv);
}
else
{
cash.Subtract(fSettlementAmount);
}
}
}
}
pv.AssignProduct(fBuySellSign, pv);
if (cash != null)
{
cash.AssignProduct(fBuySellSign, cash);
}
}
