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_));
}
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)));
}
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)));
}
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]);
}
//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);
}
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)));
}
}
}