/// <inheritdoc />
protected override void GetDefaultTime(Vector defaultTime, PriceFactorList factors)
{
if (fCreditRating != null)
{
fCreditRating.DefaultTime(defaultTime);
return;
}
base.GetDefaultTime(defaultTime, factors);
}
/// <summary>
/// Return the time of default for the underlying obligor. Allows derived valuation models to
/// support realized default.
/// </summary>
protected void DefaultTime(Vector vout, CreditRating creditRating)
{
if (creditRating == null)
{
vout.Assign(CreditRating.TimeOfDefault.Never);
}
else
{
creditRating.DefaultTime(vout);
}
}
/// <summary>
/// Sets defaultDate to valueDate on the first call for which t >= defaultTime.
/// </summary>
/// <remarks>Assumes that defaultDate was initialized to a large date value.</remarks>
protected static void UpdateDefaultDate(CreditRating creditRating, double valueDate, double t, Vector defaultDate)
{
using (var cache = Vector.CacheLike(defaultDate))
{
// Get time of default
Vector defaultTime = cache.Get();
creditRating.DefaultTime(defaultTime);
defaultDate.AssignConditional(defaultTime > t, defaultDate, VectorMath.Min(defaultDate, valueDate));
}
}
/// <inheritdoc />
protected override void GetDefaultTime(Vector defaultTime, PriceFactorList factors)
{
CreditRating cr = GetCreditRating(factors);
if (cr != null)
{
cr.DefaultTime(defaultTime);
return;
}
base.GetDefaultTime(defaultTime, factors);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
BondOptionDeal deal = (BondOptionDeal)Deal;
double baseDate = factors.BaseDate;
double notional = deal.Notional;
double interval = deal.Coupon_Interval;
double buySign = (deal.Buy_Sell == BuySell.Buy) ? +1 : -1;
double paySign = (deal.Option_Type == OptionType.Call) ? +1 : -1;
double coupon = Percentage.PercentagePoint * deal.Coupon_Rate;
double tExpiry = CalcUtils.DaysToYears(deal.Expiry_Date - baseDate);
double tMaturity = CalcUtils.DaysToYears(deal.Bond_Maturity_Date - baseDate);
IInterestYieldVol interestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
if ((deal.Amortisation) != null && (deal.Amortisation.Count > 0))
{
notional = deal.Amortisation.GetPrincipal(notional, deal.Expiry_Date);
}
bool respectDefault = Respect_Default == YesNo.Yes && fCreditRating != null;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
using (var pricerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultTime = null;
Vector bondIsAlive = null;
Vector historicalRecovery = null;
if (respectDefault)
{
defaultTime = pricerCache.Get();
bondIsAlive = pricerCache.Get(1.0);
historicalRecovery = pricerCache.GetClear();
fCreditRating.DefaultTime(defaultTime);
}
var defaultedBeforeBaseDate = respectDefault && CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
VectorEngine.For(tgi, () =>
{
using (IntraValuationDiagnosticsHelper.StartValuation(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector optionValue = cache.GetClear();
Vector stdDev = cache.Get(); // Std.Dev of Price
Vector stdDevYield = cache.Get(); //Std.Dev of Yield
Vector price = cache.Get();
Vector yield = cache.Get();
Vector macaulayDuration = cache.Get();
Vector bondValue = cache.Get();
Vector df = cache.Get();
Vector dfr = fRepoIsDiscount ? null : cache.Get();
if (defaultedBeforeBaseDate)
{
result.AppendVector(tgi.Date, optionValue);
return(LoopAction.Break);
}
// This BondPrice function returns the value of the bond cashflows after ExpiryDate, including accrual, discounted back to T.date
double accrual, cash;
PricingFunctions.BondPrice(bondValue, out accrual, out cash, baseDate, tgi.Date, deal.Expiry_Date, deal.Issue_Date, deal.Bond_Maturity_Date, notional, coupon, fPayDates, fAccruals, fDiscountRate, deal.Amortisation, fPrincipals, fFinalPrincipal, fSurvivalProb, +1.0);
// Now check scenario by scenario for defaults, overwriting bondValue as necessary
if (respectDefault)
{
AdjustBondValueForDefault(notional, tExpiry, bondValue, bondIsAlive, historicalRecovery, defaultTime, tgi.T, fDiscountRate, fRecoveryRate);
}
// convert price and duration to forward (tExpiry) basis
if (tgi.Date == deal.Expiry_Date)
{
optionValue.Assign(buySign * VectorMath.Max(0.0, paySign * (bondValue - notional * fStrike)));
cashAccumulators.Accumulate(fFxRate, tgi.Date, optionValue);
}
else
{
fDiscountRate.GetValue(df, tgi.T, tExpiry);
if (fRepoIsDiscount)
{
dfr = df;
}
else
{
fRepoRate.GetValue(dfr, tgi.T, tExpiry);
}
// Need yield and duration to convert yield vol to price vol.
PricingFunctions.BondForwardPriceAndAdjustedMacaulayDuration(price, macaulayDuration, tgi.T, tExpiry, tMaturity, coupon, interval, df, fDiscountRate, fSurvivalProb);
PricingFunctions.BondYieldFromPrice(yield, tExpiry, tMaturity, coupon, interval, price);
// Calculate Modified Duration from Macaulay Duration.
Vector modifiedDuration = cache.GetClear();
PricingFunctions.GetModifiedDuration(modifiedDuration, macaulayDuration, yield, interval);
// Calculate Std.Dev of Yield and Price
interestYieldVol.GetStdDev(stdDevYield, tgi.T, yield, fStrikeYield, tExpiry, tMaturity - tExpiry);
stdDev.Assign(modifiedDuration * stdDevYield);
if (interestYieldVol.GetDistributionType() == ProbabilityDistribution.Lognormal)
{
stdDev.MultiplyBy(yield);
}
price.AssignQuotient(bondValue, df);
PricingFunctions.BlackFunction(optionValue, deal.Option_Type, price, notional * fStrike, stdDev);
optionValue.MultiplyBy(buySign * dfr);
if (fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
// Add Intra-valuation Diagnostics
using (var volatilitiesAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
using (var volatilitiesYieldAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
{
volatilitiesAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDev);
volatilitiesYieldAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDevYield);
IntraValuationDiagnosticsHelper.AddBondOptionProperties(fIntraValuationDiagnosticsWriter, price, dfr, bondValue, accrual,
volatilitiesAtDateStore, volatilitiesYieldAtDateStore);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, optionValue);
}
}
}
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * optionValue);
return(LoopAction.Continue);
}
}
});
}
result.Complete(fT);
}
}