public ResultStore GetResultStore()
{
var result = new ResultStore();
result.Add("maturityDate", maturityDate);
result.Add("annualCouponRate", annualCouponRate);
return(result);
}
public static ResultStore GetRiskMeasures(this BesaJseBond bond, Date settleDate, double ytm)
{
var riskmeasures = new ResultStore();
riskmeasures.Add(Keys.Delta, bond.Delta(settleDate, ytm));
riskmeasures.Add(Keys.RandsPerPoint, bond.RandsPerPoint(settleDate, ytm));
riskmeasures.Add(Keys.Duration, bond.Duration(settleDate, ytm));
riskmeasures.Add(Keys.ModifiedDuration, bond.ModefiedDuration(settleDate, ytm));
riskmeasures.Add(Keys.Convexity, bond.Convexity(settleDate, ytm));
return(riskmeasures);
}
/// <summary>
///
/// </summary>
/// <param name="bond"></param>
/// <param name="settleDate"></param>
/// <param name="ytm"></param>
/// <returns></returns>
public static ResultStore GetSpotMeasures(this BesaJseBond bond, Date settleDate, double ytm)
{
var spotmeasures = new ResultStore();
spotmeasures.Add(Keys.RoundedAip, bond.RoundedAIP(settleDate, ytm));
spotmeasures.Add(Keys.RoundedClean, bond.RoundedClean(settleDate, ytm));
spotmeasures.Add(Keys.UnroundedAip, bond.UnroundedAIP(settleDate, ytm));
spotmeasures.Add(Keys.UnroundedClean, bond.UnroundedClean(settleDate, ytm));
spotmeasures.Add(Keys.UnroundedAccrued, bond.UnroundedAccruedInterest(settleDate));
return(spotmeasures);
}
/// <summary>
/// Gets all the data that might be of interest after a simulation.
/// </summary>
/// <param name="portfolioIn">The portfolio in.</param>
/// <param name="valueDate">The value date.</param>
/// <param name="fwdValueDates">The forward value dates.</param>
/// <returns></returns>
public ResultStore GetValuePaths(Product[] portfolioIn, Date valueDate, Date[] fwdValueDates)
{
CalculateAll(portfolioIn, valueDate, fwdValueDates);
ResultStore results = new ResultStore();
results.Add("regressedFwdsPVs", regressedValues);
double[,] fwdCashflowPVs = new double[N, fwdValueDates.Count()];
for (int i = 0; i < fwdValueDates.Count(); i++)
{
fwdCashflowPVs.SetColumn(i, simulatedCFs.GetPathwisePV(fwdValueDates[i], originalTrades));
}
results.Add("fwdCashflowPVs", fwdCashflowPVs);
for (int regressorNumber = 0; regressorNumber < simulatedRegs.GetNumberOfRegressors(); regressorNumber++)
{
results.Add("regressor" + regressorNumber.ToString(), simulatedRegs.GetRegressors(regressorNumber, fwdValueDates));
}
return(results);
}
public static ResultStore InflationLinkedSwapMeasures(this InflationLinkedSwap inflationLinkedSwap, Date[] cpiDates, double[] cpiRates, IFloatingRateSource forecastCurve)
{
//Create Inflation Swap
var swap = CreateInflationLinkedSwap(inflationLinkedSwap.payFixed, inflationLinkedSwap.startDate, inflationLinkedSwap.nominal, inflationLinkedSwap.tenor,
inflationLinkedSwap.fixedRate, inflationLinkedSwap.index, inflationLinkedSwap.spread, inflationLinkedSwap.zaCalendar, inflationLinkedSwap.ccy);
//Set value date
swap.SetValueDate(inflationLinkedSwap.startDate);
//Set index values
var indexValues = new double[swap.indexDates.Length];
for (var i = 0; i < swap.indexDates.Length; i++)
{
indexValues[i] = forecastCurve.GetForwardRate(swap.indexDates[i]);
}
swap.SetIndexValues(swap.index, indexValues);
//Determine swap end date
var unAdjEndDate = inflationLinkedSwap.startDate.AddMonths(12 * inflationLinkedSwap.tenor.Years);
var endDate = BusinessDayStore.ModifiedFollowing.Adjust(unAdjEndDate, inflationLinkedSwap.zaCalendar);
//Calculate value of fixed and floating cashflows
var floatingCashFlows = swap.GetCFs();
var floatingLegCashFlows = floatingCashFlows.Last().Amount;
var cpiStartDate = LaggedCPI.GetCPI(inflationLinkedSwap.startDate, cpiDates, cpiRates);
var cpiEndDate = LaggedCPI.GetCPI(endDate, cpiDates, cpiRates);
var fixedCashFlows = inflationLinkedSwap.payFixed * inflationLinkedSwap.nominal * Math.Pow((1 + inflationLinkedSwap.fixedRate / 2),
2 * (endDate - inflationLinkedSwap.startDate) / 365) * cpiEndDate / cpiStartDate;
var netCashFlows = floatingLegCashFlows + fixedCashFlows;
// Store results
var results = new ResultStore();
results.Add(Keys.FloatingLegCashFlows, floatingLegCashFlows);
results.Add(Keys.FixedLegCashFlows, fixedCashFlows);
results.Add(Keys.NetCashFlows, netCashFlows);
return(results);
}
/// <summary>
/// Gets all the data that might be of interest after a simulation.
/// </summary>
/// <param name="portfolioIn">The portfolio in.</param>
/// <param name="valueDate">The value date.</param>
/// <param name="fwdValueDates">The forward value dates.</param>
/// <returns></returns>
public ResultStore GetValuePaths(IProduct[] portfolioIn, Date valueDate, Date[] fwdValueDates)
{
CalculateAll(portfolioIn, valueDate, fwdValueDates);
var results = new ResultStore();
results.Add("regressedFwdsPVs", _regressedValues);
var fwdCashflowPVs = new double[_numberOfPaths, fwdValueDates.Count()];
for (var i = 0; i < fwdValueDates.Length; i++)
{
fwdCashflowPVs.SetColumn(i, _simulatedCFs.GetPathwisePV(fwdValueDates[i], _originalTrades));
}
results.Add("fwdCashflowPVs", fwdCashflowPVs);
for (var regressorNumber = 0; regressorNumber < _simulatedRegs.GetNumberOfRegressors(); regressorNumber++)
{
results.Add("regressor" + regressorNumber,
_simulatedRegs.GetRegressors(regressorNumber, fwdValueDates));
}
return(results);
}
/// <summary>
///
/// </summary>
/// <param name="bondforward"></param>
/// <param name="settleDate"></param>
/// <param name="ytm"></param>
/// <param name="repo"></param>
/// <returns></returns>
public static ResultStore ForwardPrice(this JSEBondForward bondforward, Date settleDate, double ytm, double repo)
{
var N = 100.0;
var couponamount = N * bondforward.underlyingBond.annualCouponRate / 2;
var forwardDate = bondforward.forwardDate;
if (settleDate > forwardDate)
{
throw new ArgumentException("settlement date must be before forward date.");
}
// get all-in price of underlying bond
var results = bondforward.underlyingBond.GetSpotMeasures(settleDate, ytm);
var AIP = (double)results.GetScalar(BesaJseBondEx.Keys.RoundedAip);
// calculate Unadjusted Forward Price
var dt = (double)(forwardDate - settleDate) / 365;
var ForwardPrice = AIP * (1 + repo * dt);
// get coupon dates between settlement and forward date and calculate equivalent value function
var CouponDates = GetCouponDates(bondforward.underlyingBond, settleDate, forwardDate);
// adjust forward price for any coupons the counterparty might receive
var EV = new List <double>();
double AdjustedForwardPrice = 0;
if (CouponDates.Any())
{
foreach (var date in CouponDates)
{
if (date <= forwardDate)
{
EV.Add(1 + repo * (forwardDate - date) / 365);
}
else
{
EV.Add(Math.Pow(1 + repo * (date - forwardDate) / 365, -1));
}
}
AdjustedForwardPrice = ForwardPrice - couponamount * EV.Sum();
}
else
{
AdjustedForwardPrice = ForwardPrice;
}
var resultStore = new ResultStore();
resultStore.Add(Keys.ForwardPrice, AdjustedForwardPrice);
return(resultStore);
}
public ResultStore GetResultStore()
{
var result = new ResultStore();
result.Add("notional", notional);
result.Add("accrualFraction", accrualFraction);
result.Add("rate", rate);
result.Add("nearDate", nearDate);
result.Add("farDate", farDate);
result.Add("floatIndex", floatIndex.ToString());
result.Add("payFixed", payFixed.ToString());
result.Add("ccy", ccy.ToString());
return(result);
}
public static ResultStore Value([ExcelArgument(Description = "A list of products.")] Product[] products,
[QuantSAExcelArgument(Description = "The value date.")] Date valueDate,
[QuantSAExcelArgument(Description = "A model able to handle all the market observables required to calculate the cashflows in the portfolio.")] NumeraireSimulator model,
[QuantSAExcelArgument(Description = "Optional. The number of simulations required if the model requires simulation. If left blank will use a default value depending on the model.", Default = "1")] int nSims)
{
//int N = (nSims[0, 0] is ExcelMissing) ? 1 : XU.GetInt0D(nSims, "nSims");
Coordinator coordinator = new Coordinator(model, new List <Simulator>(), nSims);
double value = coordinator.Value(products, valueDate);
ResultStore result = new ResultStore();
result.Add("value", value);
return(result);
}
public static ResultStore BlackOption(JSEBondOption bondoption, double strike, double vol, double repo, JSEBondForward bond, double yieldToMaturity)
{
var settleDate = bondoption.settleDate;
var timeToMaturity = bondoption.timeToMaturity;
var ytm = yieldToMaturity;
var bondforwardprice1 = (double)bond.ForwardPrice(settleDate, ytm, repo).GetScalar(JSEBondForwardEx.Keys.ForwardPrice);
var discountFactor = Math.Exp(-repo * timeToMaturity);
var optionPrice = BlackEtc.Black(PutOrCall.Call, strike, timeToMaturity, bondforwardprice1, vol, discountFactor);
var resultStore = new ResultStore();
resultStore.Add(Keys.BlackOption, optionPrice);
return(resultStore);
}
/// <summary>
///
/// </summary>
/// <param name="bond"></param>
/// <param name="settleDate"></param>
/// <param name="ytm"></param>
/// <returns></returns>
public static ResultStore GetSpotMeasures(this BesaJseBond bond, Date settleDate, double ytm)
{
var N = 100.0;
var typicalCoupon = N * bond.annualCouponRate / 2;
var t0 = bond.GetLastCouponDateOnOrBefore(settleDate);
var t1 = bond.GetNextCouponDate(t0);
var n = (int)Math.Round((bond.maturityDate - t1) / 182.625);
var tradingWithNextCoupon = t1 - settleDate > bond.booksCloseDateDays;
var d = tradingWithNextCoupon ? settleDate - t0 : settleDate - t1;
var unroundedAccrued = N * bond.annualCouponRate * d / 365.0;
var roundedAccrued = Math.Round(unroundedAccrued, 5);
var couponAtT1 = tradingWithNextCoupon ? typicalCoupon : 0.0;
var v = 1 / (1 + ytm / 2);
double brokenPeriodDf;
if (n > 0)
{
brokenPeriodDf = Math.Pow(v, ((double)t1 - settleDate) / (t1 - t0));
}
else
{
brokenPeriodDf = 1 / (1 + ytm * ((double)t1 - settleDate) / 365.0);
}
var unroundedAip = brokenPeriodDf *
(couponAtT1 + typicalCoupon * v * (1 - Math.Pow(v, n)) / (1 - v) + N * Math.Pow(v, n));
var unroundedClean = unroundedAip - unroundedAccrued;
var roundedClean = Math.Round(unroundedClean, 5);
var roundedAip = roundedClean + roundedAccrued;
var results = new ResultStore();
results.Add(Keys.RoundedAip, roundedAip);
results.Add(Keys.RoundedClean, roundedClean);
results.Add(Keys.UnroundedAip, unroundedAip);
results.Add(Keys.UnroundedClean, unroundedClean);
results.Add(Keys.UnroundedAccrued, unroundedAccrued);
results.Add(Keys.TradingWithNextCoupon, tradingWithNextCoupon ? 1.0 : 0.0);
return(results);
}
public static ResultStore AssetSwapMeasures(this AssetSwap assetSwap, Date settleDate, double ytm, IDiscountingSource discountCurve)
{
//Create Asset Swap
var swap = CreateAssetSwap(assetSwap.payFixed, assetSwap.underlyingBond, settleDate, assetSwap.index, assetSwap.spread, assetSwap.zaCalendar,
assetSwap.ccy, discountCurve);
//Create trade date of the swap
var effectiveDateDays = 3;
var unAdjTradeDate = settleDate.AddDays(-effectiveDateDays);
var tradeDate = BusinessDayStore.ModifiedFollowing.Adjust(unAdjTradeDate, assetSwap.zaCalendar);
//Set value date
assetSwap.SetValueDate(tradeDate);
// Calculate the first fixing off the curve to use at all past dates.
var df1 = discountCurve.GetDF(tradeDate);
var laterDate = tradeDate.AddTenor(assetSwap.index.Tenor);
var df2 = discountCurve.GetDF(laterDate);
var noOfDays = 365;
var dt = (laterDate - tradeDate) / noOfDays;
var rate = (df1 / df2 - 1) / dt;
// Create the forecast curve from the discount curve
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(discountCurve, assetSwap.index,
new FloatingRateFixingCurve1Rate(tradeDate, rate, assetSwap.index));
//Setting index values
var indexValues = new double[swap.indexDates.Count];
for (var i = 0; i < swap.indexDates.Count; i++)
{
indexValues[i] = forecastCurve.GetForwardRate(swap.indexDates[i]);
}
assetSwap.SetIndexValues(assetSwap.index, indexValues);
//Calculate present value of fixed and floating cashflows
var numeratorCFs = swap.GetCFs().PV(discountCurve);
//Calculate present value of denominator cashflows for spread equation
var denomCFs = new List <Cashflow>();
var nominalAmount = 100;
for (var i = 0; i < swap.paymentDatesFloating.Count; i++)
{
if (i <= swap.paymentDatesFloating.Count)
{
denomCFs.Add(new Cashflow(swap.paymentDatesFloating[i], -nominalAmount * swap.accrualFractions[i], swap.ccy));
}
}
var bondresults = assetSwap.underlyingBond.GetSpotMeasures(settleDate, ytm);
var roundedAip = (double)bondresults.GetScalar(BesaJseBondEx.Keys.RoundedAip);
var denominatorCFs = denomCFs.PV(discountCurve);
var firstCF = new List <Cashflow>();
for (var i = 0; i < 1; i++)
{
if (i <= 1)
{
firstCF.Add(new Cashflow(settleDate, (roundedAip - 100), swap.ccy));
}
}
var pvFirstCF = firstCF.PV(discountCurve);
//This is the assetSwapSpread calculation
var assetSwapSpread = (pvFirstCF + numeratorCFs) / denominatorCFs;
var results = new ResultStore();
results.Add(Keys.RoundedAip, roundedAip);
results.Add(Keys.PVFirstCF, pvFirstCF);
results.Add(Keys.NumeratorCashFlowsPrice, numeratorCFs);
results.Add(Keys.DenominatorCashFlowsPrice, denominatorCFs);
results.Add(Keys.AssetSwapSpread, assetSwapSpread);
return(results);
}
