/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
SetModelParameters(fItems);
PreValueDeals(fItems, factors);
CallableStructuredDeal deal = (CallableStructuredDeal)Deal;
// Set volatility price factors if they have been registered by model or underlying deals
InterestVol.TryGet <IInterestRateVol>(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency, out fInterestRateVol);
InterestVol.TryGet <IInterestYieldVol>(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency, out fInterestYieldVol);
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
if (needRating)
{
fCreditRating = factors.Get <CreditRating>(deal.Issuer);
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
if (needSurvival)
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
BondFutureOption deal = (BondFutureOption)Deal;
fInterestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
var bfb = (BondFuturesBasis)fFuturesBasis;
GenerateCTD(factors.BaseDate, bfb.CTD_Issue_Date, bfb.CTD_Maturity_Date, bfb.CTD_Coupon_Interval, bfb.CTD_First_Coupon_Date, bfb.CTD_Penultimate_Coupon_Date, bfb.CTD_Day_Count, Deal.GetHolidayCalendar(), bfb.CTD_Coupon_Rate, bfb.CTD_Conversion_Factor);
if (NeedRating(Respect_Default, deal.Issuer))
{
fCreditRating = factors.Get <CreditRating>(deal.Issuer);
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
else
{
fCreditRating = null;
fRecoveryRate = null;
}
if (NeedSurvivalProbability(Use_Survival_Probability, deal.Issuer))
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(InterestRateUtils.GetRateId(deal.Survival_Probability, deal.Issuer));
}
else
{
fSurvivalProb = null;
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CallableBondForward deal = (CallableBondForward)Deal;
fInterestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
fNeedsCreditRating = NeedCreditRating();
fCreditRating = NeedCreditRating() ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = NeedRecovery() ? factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate) : null;
fSurvivalProb = NeedSurvivalProb() ? factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability) : null;
}
/// <summary>
/// Constructor.
/// </summary>
public CreditValuationParameters(DealCreditBase deal, CreditBaseValuation valuation, PriceFactorList factors, VectorScopedCache.Scope cache)
{
DF = DiscountRate.Get(factors, InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency));
X = factors.GetInterface <IFxRate>(deal.Currency);
SP = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Name : deal.Survival_Probability);
RR = null;
CR = null;
DefaultTime = null;
Weights = null;
NamesDefaultedBeforeBaseDate = null;
if (valuation.Respect_Default == YesNo.Yes)
{
List <string> names = new List <string>();
if (deal.ProtectionReferenceType() == DealCreditBase.ReferenceType.Single_Name)
{
names.Add(deal.Name);
Weights = new double[] { 1.0 };
}
else
{
IndexCDSPool indexCds = factors.Get <IndexCDSPool>(deal.Name);
Weights = new double[indexCds.Names.Count];
for (int i = 0; i < indexCds.Names.Count; ++i)
{
names.Add(indexCds.Names[i].Name);
Weights[i] = indexCds.Names[i].Weight;
}
}
if (valuation.RequiresRecoveryOnDefault())
{
RR = new RecoveryRate[names.Count];
for (int i = 0; i < names.Count; ++i)
{
RR[i] = factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? names[i] : deal.Recovery_Rate);
}
}
CR = new CreditRating[names.Count];
NamesDefaultedBeforeBaseDate = new bool[names.Count];
DefaultTime = new Vector[names.Count];
for (int i = 0; i < names.Count; ++i)
{
DefaultTime[i] = cache.Get();
CR[i] = factors.Get <CreditRating>(names[i]);
NamesDefaultedBeforeBaseDate[i] = CreditRating.DefaultedBeforeBaseDate(CR[i], factors.BaseDate);
CR[i].DefaultTime(DefaultTime[i]);
}
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
/// <param name="factors">Price factors.</param>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
BondOptionDeal deal = (BondOptionDeal)Deal;
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needRecovery = needRating;
fCreditRating = needRating ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = needRecovery ? factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate) : null;
fSurvivalProb = needSurvival ? factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability) : null;
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
/// <param name="factors">Price factors.</param>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
fIsDefaultNever = !NeedCreditRating();
fCreditRating = NeedCreditRating() ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = NeedRecoveryRate() ? factors.Get <RecoveryRate>(GetRecoveryRateID()) : null;
fSurvivalProb = NeedSurvivalProb() ? factors.GetInterface <ISurvivalProb>(GetSurvivalProbID()) : null;
fInflationRate = !string.IsNullOrEmpty(deal.Index) ? factors.GetInterface <IInflationRate>(deal.Index) : null;
fRepoRate = !string.IsNullOrEmpty(deal.Repo_Rate) ? factors.GetInterface <IInterestRate>(deal.Repo_Rate) : fDiscountRate;
fIndexVolatility = deal is InflationOptionCashflowListDeal?factors.GetInterface <IPriceIndexVolatility>(GetPriceIndexVolatility()) : null;
}
/// <summary>
/// Create option pricer and other preparation.
/// </summary>
protected override InterestRateOptionPricer CreateOptionPricer(PriceFactorList factors)
{
CallableStructuredDeal deal = (CallableStructuredDeal)fDeal;
LinearGaussMarkovFactor lgmPriceFactor = factors.Get <LinearGaussMarkovFactor>(fModelParametersId);
return(new LinearGaussMarkovOptionPricer(deal.Option_Type, fExercises, fItems, fDiscountRate, fForecastRate, fInterestRateVol, fInterestYieldVol, fSurvivalProb, factors.NumScenarios, lgmPriceFactor, Driver_Space_Points, Standard_Deviations, Integration_Points));
}
public PriceFactorList Factors; // temporary expedient
/// <summary>
/// Constructor.
/// </summary>
public CDOBottomUpValuationParameters(DealCDO deal, CDOValuationBottomUp valuation, PriceFactorList factors)
: base(deal, factors)
{
Factors = factors;
IndexCDO = factors.Get <IndexCDO>(deal.Reference_Index);
IndexCDO.SetPricer(new CDOPricer(valuation.Number_Of_Loss_Buckets, valuation.Number_Integration_Steps, valuation.Bucket_Type, !CalcUtils.IsTiny(deal.Spread), deal.Payoff_Is_Digital == YesNo.Yes, deal.Digital_Payoff_Percentage));
}
/// <summary>
/// Fetch the recovery rate price factor, or null if not applicable.
/// </summary>
protected override RecoveryRate GetRecoveryRate(PriceFactorList factors)
{
if (Respect_Default == YesNo.Yes)
{
var deal = (DealCreditLinkedNote)Deal;
return(factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Name : deal.Recovery_Rate));
}
else
{
return(null);
}
}
/// <summary>
/// Get price factors.
/// </summary>
private void PreValue(PriceFactorList factors)
{
var deal = (CalendarSpreadOption)Deal;
// Get forward price samples.
fForwardSample = factors.Get <ForwardPriceSample>(deal.Sampling_Type);
// Get ReferencePrice price factors.
fReferencePrice1 = factors.GetInterface <IReferencePrice>(deal.Reference_Type);
fReferencePrice2 = factors.GetInterface <IReferencePrice>(deal.Reference_Type);
// Get ReferenceVol price factors.
// Default to Reference Type if Reference Vol Type is not set.
if (string.IsNullOrEmpty(deal.Reference_Vol_Type))
{
fReferenceVol1 = factors.Get <ReferenceVol>(deal.Reference_Type);
fReferenceVol2 = factors.Get <ReferenceVol>(deal.Reference_Type);
}
else
{
fReferenceVol1 = factors.Get <ReferenceVol>(deal.Reference_Vol_Type);
fReferenceVol2 = factors.Get <ReferenceVol>(deal.Reference_Vol_Type);
}
// Get correlation price factor based on the ID of the forward price.
fCorrelations = factors.Get <ForwardPriceCorrelations>(fReferencePrice1.GetForwardPrice());
// Get FX rate price factors.
fFxRate = factors.GetInterface <IFxRate>(deal.Currency);
fFxPayoffRate = factors.GetInterface <IFxRate>(deal.DealCurrency());
fPriceFactorFxRate = factors.GetInterface <IFxRate>(fReferencePrice1.DomesticCurrency());
// Get discount rate price factor.
fDiscountRate = factors.GetInterface <IInterestRate>(InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency));
}
/// <inheritdoc />
protected override void GetDefaultTime(Vector defaultTime, PriceFactorList factors)
{
BondFuture deal = (BondFuture)Deal;
if (NeedRating(Respect_Default, deal.Issuer))
{
var cr = factors.Get <CreditRating>(deal.Issuer);
cr.DefaultTime(defaultTime);
return;
}
base.GetDefaultTime(defaultTime, factors);
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
if (string.IsNullOrEmpty(fDeal.GetIssuer()))
{
return;
}
if (UseSurvivalProbability())
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.GetSurvivalProbability()) ? deal.GetIssuer() : deal.GetSurvivalProbability());
}
if (RespectDefault())
{
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.GetRecoveryRate(), deal.GetIssuer()));
fCreditRating = factors.Get <CreditRating>(deal.GetIssuer());
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
var deal = (BondRepoBase)fDeal;
if (string.IsNullOrEmpty(deal.Issuer))
{
return;
}
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
fRecoveryRate = factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate);
}
/// <inheritdoc />
public void PreValue(PriceFactorList factors)
{
var deal = (SwaptionDeal)Deal;
var discountId = InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency);
var forecastId = InterestRateUtils.GetRateId(deal.Forecast_Rate, discountId);
fModelParameters = factors.Get <HullWhite1FactorModelParameters>(fModelParametersId);
fFxRate = factors.GetInterface <IFxRate>(deal.Currency);
fDiscountRate = DiscountRate.Get(factors, discountId);
fForecastRate = factors.GetInterface <IInterestRate>(forecastId);
fQuadrature = new Lazy <GaussHermiteNormalQuadrature>(() => new GaussHermiteNormalQuadrature(30));
}
/// <inheritdoc />
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
fModelParameters = factors.Get <HullWhite1FactorModelParameters>(fModelParametersId);
}
/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFGeneralInterestSpreadListDeal deal = (CFGeneralInterestSpreadListDeal)Deal;
// Get spread flow characteristics
SpreadCashflowListCharacteristics spreadCashflowCharacteristics = fCashflows.ValuationPriceFactorDependencies(factors.BaseDate, fCurrency, fForecastCurrency, fForecast2Currency);
// vols for first forecast rate
if (spreadCashflowCharacteristics.NeedForecast1YieldVol)
{
fForecast1YieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate1_Swaption_Volatility, fForecastCurrency);
}
if (spreadCashflowCharacteristics.NeedForecast1RateVol)
{
fForecast1RateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate1_Cap_Volatility, fForecastCurrency);
}
// vols for second forecast rate
if (spreadCashflowCharacteristics.NeedForecast2YieldVol)
{
fForecast2YieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate2_Swaption_Volatility, fForecast2Currency);
}
if (spreadCashflowCharacteristics.NeedForecast2RateVol)
{
fForecast2RateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate2_Cap_Volatility, fForecast2Currency);
}
// vols for discount rate
if (spreadCashflowCharacteristics.NeedDiscountYieldVol)
{
fDiscountYieldVol = InterestVolBase.GetYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency);
}
if (spreadCashflowCharacteristics.NeedDiscountRateVol)
{
fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency);
}
bool convexity = spreadCashflowCharacteristics.NeedDiscountYieldVol || spreadCashflowCharacteristics.NeedDiscountRateVol;
if (fForecastCurrency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
fFx1Vol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency);
fForecast1Fx1Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency);
}
if (convexity)
{
fForecast1DiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fCurrency, null, typeof(InterestRate), fForecastCurrency, null);
}
}
if (fForecast2Currency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
fFx2Vol = FXVolHelper.Get(factors, fForecast2Currency, fCurrency);
fForecast2Fx2Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecast2Currency, null, typeof(FxRate), fForecast2Currency, fCurrency);
}
if (convexity)
{
fForecast2DiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fCurrency, null, typeof(InterestRate), fForecast2Currency, null);
}
}
if (spreadCashflowCharacteristics.NeedForecast1Forecast2Correlation)
{
if (fForecastCurrency == fForecast2Currency)
{
// correl between forecast rates in same currency
fForecast1Forecast2Correls = factors.Get <CMSRateCorrelations>(fForecastCurrency);
}
else
{
fForecast1Forecast2Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fForecast2Currency, null);
}
}
}
/// <inheritdoc />
protected override void GetFuturesPriceFactor(PriceFactorList factors)
{
BondFutureOption deal = (BondFutureOption)fDeal;
fFuturesBasis = factors.Get <BondFuturesBasis>(FutureBase.GetFactorID(deal.Contract, deal.Settlement_Date));
}
/// <summary>
/// Fetch the credit rating price factor, or null if not applicable.
/// </summary>
protected override CreditRating GetCreditRating(PriceFactorList factors)
{
return((Respect_Default == YesNo.Yes) ? factors.Get <CreditRating>(((DealCreditLinkedNote)Deal).Name) : null);
}