Exemplo n.º 1
0
        public double getRT(DateTime t1)
        {
            OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
            double t_ = (double)dc.DayCount(latestReference_, t1) / 365;

            return(getRT_(t_));
        }
Exemplo n.º 2
0
        public double discount(DateTime enddate)
        {
            OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
            double t1 = (double)dc.DayCount(latestReference_, enddate) / 365;

            return(Math.Exp(-getRT_(t1)));
        }
Exemplo n.º 3
0
        public double SurvivalProb(DateTime enddate)
        {
            OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
            double t1 = (double)dc.DayCount(latestReference_.AddDays(1), enddate) / 365;

            return(Math.Exp(-getRT_(t1)));
        }
Exemplo n.º 4
0
        public void addhazardrate(DateTime jumpdate, double hazardrate)
        {
            jumps_.Add(hazardrate);
            jumpDates_.Add(jumpdate);
            nJumps_ += 1;
            OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
            double x = (double)dc.DayCount(latestReference_, jumpDates_[nJumps_ - 1]) / 365;

            t.Add(x);
            rt.Add(jumps_[nJumps_ - 1] * t[nJumps_ - 1]);
        }
Exemplo n.º 5
0
        //public double ProtectionLeg_Approx(List<CashFlow> cf, double notional, PiecewiseconstantHazardRate HazardTermStructure,
        //    YieldTermStructure yt, DateTime tradedate, DateTime settlementDate, double recoveryrate)
        //{
        //    if (cf.Count() == 0)
        //    {
        //        return 0.0;
        //    }
        //    double totalNPV = 0.0;
        //    for (int i = 0; i < cf.Count; ++i)
        //    {
        //        if (i == 0)
        //        {
        //            totalNPV += (1 - recoveryrate)*notional * cf[i].DiscountFactor * (1- cf[i].Survivalprobability);

        //        }
        //        else
        //        {
        //            totalNPV += notional * cf[i].DiscountFactor * (cf[i - 1].Survivalprobability
        //            - cf[i].Survivalprobability) * (1 - recoveryrate);

        //        }
        //    }
        //    return totalNPV/yt.discount(settlementDate);
        //}


        public double calculateSinglePeriodAccrualOnDefault(List <CashFlow> cf, double coupon,
                                                            DateTime tradedate,
                                                            YieldTermStructure yieldCurve,
                                                            PiecewiseconstantHazardRate creditCurve, List <DateTime> Jumps, DateTime lastpayment)
        {
            double   Acc            = 0;
            DateTime effectiveStart = tradedate.AddDays(1);

            for (int i = 0; i < cf.Count; ++i)
            {
                //Accured on default
                DateTime t_0 = (i > 0) ? cf[i - 1].CashFlowDate.AddDays(-1) : tradedate;
                DateTime T   = cf[i].CashFlowDate;
                if (i == cf.Count - 1)
                {
                    T = cf[i].CashFlowDate;
                }
                else
                {
                    T = cf[i].CashFlowDate.AddDays(-1);
                }

                List <DateTime> knots = new List <DateTime>();
                knots.Add(t_0);
                for (int j = 0; j < Jumps.Count; j++)
                {
                    if ((DateTime.Compare(Jumps[j], T) < 0) && (DateTime.Compare(t_0, Jumps[j]) < 0))
                    {
                        knots.Add(Jumps[j]);
                    }
                }
                knots.Add(T);

                DateTime t   = knots[0];
                double   ht0 = creditCurve.getRT(t);
                double   rt0 = yieldCurve.getRT(t);
                double   b0  = Math.Exp(-rt0 - ht0); // this is the risky discount factor

                OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365();
                double t0;
                if (i == 0)
                {
                    t0 = (double)dc.DayCount(lastpayment.AddDays(1), knots[0]) / 365;
                }
                else
                {
                    t0 = (double)dc.DayCount(cf[i].CashFlowDate.AddDays(1), knots[0]) / 365;
                }
                double pv     = 0.0;
                int    nItems = knots.Count;
                for (int j = 1; j < nItems; ++j)
                {
                    t = knots[j];
                    double ht1 = creditCurve.getRT(t);
                    double rt1 = yieldCurve.getRT(t);
                    double b1  = Math.Exp(-rt1 - ht1);

                    double dt = (double)dc.DayCount(knots[j - 1], knots[j]) / 365;

                    double dht  = ht1 - ht0;
                    double drt  = rt1 - rt0;
                    double dhrt = dht + drt + 1e-50;

                    double tPV;
                    double t1;
                    if (i == 0)
                    {
                        t1 = (double)dc.DayCount(lastpayment.AddDays(1), knots[j]) / 365;
                    }
                    else
                    {
                        t1 = (double)dc.DayCount(cf[i].CashFlowDate.AddDays(1), knots[j]) / 365;
                    }
                    if (Math.Abs(dhrt) < 1e-5)
                    {
                        tPV = dht * b0 * (t0 * (Math.Exp(-dhrt) - 1) / (-dhrt) + dt * ((-dhrt - 1) * (Math.Exp(-dhrt) - 1) - dhrt) / (dhrt * dhrt));
                    }
                    else
                    {
                        tPV = dht * dt / dhrt * ((b0 - b1) / dhrt - b1);
                    }
                    t0  = t1;
                    pv += tPV;
                    ht0 = ht1;
                    rt0 = rt1;
                    b0  = b1;
                }
                Acc += pv;
            }
            return(Acc);
        }
Exemplo n.º 6
0
        public void hazardratecurve(YieldTermStructure yt, OMLib.Conventions.DayCount.Actual365 dayCounter, List <double> QuotedSpot, List <double> QuotedSpread, double FixRate, double Spread_traded, double Upfront, DateTime maturity,
                                    DateTime firstpaymentdate, DateTime evalDate, DateTime formerpaymentdate, string frequency, double recovery)
        {
            List <DateTime> dates         = new List <DateTime>();
            List <DateTime> discountDates = new List <DateTime>();
            int             accrued       = dayCounter.DayCount(formerpaymentdate, tradedate);

            if (QuotedSpread == null)
            {
                if (Spread_traded > 0)
                {
                    // Infer the constant hazard rate from the quoted spread

                    /*When the Spread is input: Consider a CDS with exactly the same specification as
                     * the Standard CDS except that its Coupon Rate is equal to the Spread. Assume that
                     * the Upfront of this CDS is zero. Solve for the Constant Hazard Rate that gives this
                     * CDS a MTM equal to minus its Accrued Premium (based on a Coupon Rate equal
                     * to Spread) discounted riskless to T
                     */
                    impliedhazardrate ih     = new impliedhazardrate();
                    List <double>     spread = new List <double> {
                        Spread_traded
                    };
                    List <DateTime> mat = new List <DateTime> {
                        maturity
                    };
                    PiecewiseconstantHazardRate flatrate = ih.impliedHazardRate(-this.Notional * Spread_traded * accrued / 360, this.Notional,
                                                                                this.tradedate, spread, mat, yt, dayCounter, frequency, firstpaymentdate, this.formerpaymentdate, this.Jump_Nodes, recovery);

                    this.piecewiseHazardRate = flatrate;
                }
                else if (Upfront > 0)
                {
                    // Infer the constant hazard rate from the quoted upfront

                    /*When the Upfront is input: Solve for the Constant Hazard Rate that gives the
                     * Standard CDS a MTM equal to Notional * Upfront – AccruedPremium discounted riskless to T*/
                    impliedhazardrate ih     = new impliedhazardrate();
                    List <double>     spread = new List <double> {
                        Spread_traded
                    };
                    List <DateTime> mat = new List <DateTime> {
                        maturity
                    };
                    PiecewiseconstantHazardRate flatrate = ih.impliedHazardRate(this.Notional * Upfront - this.accruedamt, this.Notional, this.tradedate,
                                                                                spread, mat, yt, dayCounter, frequency, firstpaymentdate, this.formerpaymentdate, this.Jump_Nodes, recovery);
                    this.piecewiseHazardRate = flatrate;
                }
            }
            else
            //  Construct the credit curve with the predefined term structure
            {
                dates.Add(firstpaymentdate.AddMonths(6));
                dates.Add(firstpaymentdate.AddYears(1));
                dates.Add(firstpaymentdate.AddYears(3));
                dates.Add(firstpaymentdate.AddYears(5));
                dates.Add(firstpaymentdate.AddYears(7));
                dates.Add(firstpaymentdate.AddYears(10));
                for (int i = 0; i < QuotedSpread.Count(); i++)
                {
                    QuotedSpread[i] = QuotedSpread[i] / 10000;
                }
                impliedhazardrate           implied     = new impliedhazardrate();
                PiecewiseconstantHazardRate hazardcurve = implied.impliedHazardRate(0, this.Notional, this.tradedate, QuotedSpread, dates, yt, dayCounter,
                                                                                    frequency, this.firstpaymentdate, this.formerpaymentdate, this.Jump_Nodes, recovery);
                this.piecewiseHazardRate = hazardcurve;
                List <double> survival = new List <double>();
                for (int i = 0; i < dates.Count; i++)
                {
                    survival.Add(piecewiseHazardRate.SurvivalProb(dates[i].AddDays(1)));
                }
            }
        }