public void SetRequests()
{
RequiredResults.Clear();
foreach (Request request in ActualRequests)
{
if (IsMy)
{
if (request.AuthorID == Storage.User.Id)
{
Client client = Users.GetInfoAboutUser(request.AuthorID).User;
RequiredResults.Add(new Models.RequestModel()
{
AuthorID = request.AuthorID.ToString(),
AuthorName = client.Surname + " " + client.Name,
BloodGroup = request.BloodGroup,
RFactor = request.RFactor,
ExtraBloodData = request.ExtraBloodData,
Region = request.Region,
Description = request.Descripton
});
}
}
else
//If we have no data about user's blood we need to show to him/her all the results
if ((request.BloodGroup == Storage.User.BloodGroup || Storage.User.BloodGroup == "") &&
(request.RFactor == Storage.User.RFactor || Storage.User.RFactor == "") &&
request.Solved == false)
{
Client client = Users.GetInfoAboutUser(request.AuthorID).User;
RequiredResults.Add(new Models.RequestModel()
{
AuthorID = request.AuthorID.ToString(),
AuthorName = client.Surname + " " + client.Name,
BloodGroup = request.BloodGroup,
RFactor = request.RFactor,
ExtraBloodData = request.ExtraBloodData,
Region = request.Region,
Description = request.Descripton
});
}
}
if (RequiredResults.Count == 0)
{
RequiredResults.Add(new Models.RequestModel()
{
AuthorID = "-1",
AuthorName = "Нет данных",
BloodGroup = "Нет данных",
RFactor = "Нет данных",
ExtraBloodData = "Нет данных",
Description = "Поиск не дал результатов"
});
}
NotifList.ItemsSource = RequiredResults;
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
fSettlementOffsetHelper.InitialiseHolidayCalendars(factors.CalendarData);
deal.Cashflows.SetCashflowRounding(Cashflow_Rounding);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CommitmentDeal deal = (CommitmentDeal)Deal;
// Add to valuation time grid
fT.Add(deal.Effective_Date - 1.0);
fT.Add(deal.Effective_Date);
for (int i = 0; i < deal.Amortisation.Count; ++i)
{
fT.AddPayDate(deal.Amortisation[i].Date);
}
}
private void SearchRequests(object sender, System.EventArgs e)
{
string text = SearchEntry.Text;
if (!string.IsNullOrEmpty(text))
{
RequiredResults.Clear();
string[] data = text.Split();
foreach (Request request in ActualRequests)
{
foreach (string str in data)
{
if ((str != null) && (request.ToString().ToLower().IndexOf(str.ToLower()) != -1))
{
if (IsMy)
{
if (request.AuthorID == Storage.User.Id)
{
Client client = Users.GetInfoAboutUser(request.AuthorID).User;
RequiredResults.Add(new Models.RequestModel()
{
AuthorID = request.AuthorID.ToString(),
AuthorName = client.Surname + " " + client.Name,
BloodGroup = request.BloodGroup,
RFactor = request.RFactor,
ExtraBloodData = request.ExtraBloodData,
Region = request.Region,
Description = request.Descripton
});
}
}
else
{
if ((request.BloodGroup == Storage.User.BloodGroup || Storage.User.BloodGroup == "") &&
(request.RFactor == Storage.User.RFactor || Storage.User.RFactor == "") &&
request.Solved == false)
{
Client client = Users.GetInfoAboutUser(request.AuthorID).User;
RequiredResults.Add(new Models.RequestModel()
{
AuthorID = request.AuthorID.ToString(),
AuthorName = client.Surname + " " + client.Name,
BloodGroup = request.BloodGroup,
RFactor = request.RFactor,
ExtraBloodData = request.ExtraBloodData,
Region = request.Region,
Description = request.Descripton
});
}
}
}
break;
}
}
}
else
{
RequiredResults.Clear();
SetRequests();
}
if (RequiredResults.Count == 0)
{
RequiredResults.Add(new Models.RequestModel()
{
AuthorID = "-1",
AuthorName = "Нет данных",
BloodGroup = "Нет данных",
RFactor = "Нет данных",
ExtraBloodData = "Нет данных",
Description = "Поиск не дал результатов"
});
}
NotifList.ItemsSource = RequiredResults;
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
BaseCliquetOption deal = (BaseCliquetOption)fDeal;
DateList accrualDates = CashflowGeneration.GenerateStripOfDates(deal.Effective_Date, deal.Maturity_Date, deal.Frequency, deal.GetHolidayCalendar());
fTimes = new double[accrualDates.Count];
for (int i = 0; i < accrualDates.Count; ++i)
{
fTimes[i] = CalcUtils.DaysToYears(accrualDates[i] - factors.BaseDate);
}
// Get the asset price from the deal helper
var dealHelper = (BaseAssetFxDealHelper)deal.GetDealHelper();
IAssetPrice assetPrice = dealHelper.GetAssetPrice(factors);
fKnownPrices = deal.GetKnownPrices(accrualDates, factors, assetPrice);
// Add expiry dates to valuation time grid.
if (accrualDates.Count > 1)
{
DateList expiryDates = new DateList(accrualDates);
expiryDates.RemoveAt(0);
fT.AddPayDates(expiryDates, requiredResults.CashRequired());
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
// Set up cashflow list
deal.Cashflows.CalculateInterest(factors.BaseDate);
// Add to valuation time grid
bool payDatesRequired = ValueOnCashflowDates() && requiredResults.CashRequired();
fT.AddPayDates <CFFixedInterest>(deal.Cashflows, payDatesRequired);
double baseDate = factors.BaseDate;
double settlementDate = deal.Settlement_Date;
if (settlementDate >= baseDate)
{
fT.AddPayDate(settlementDate, payDatesRequired);
var accrualCalendar = deal.GetHolidayCalendar();
fAccruedInterest = deal.Cashflows.CalculateAccrual(settlementDate, false, accrualCalendar);
fSettlementAmount = deal.Settlement_Amount;
if (deal.Settlement_Amount_Is_Clean == YesNo.Yes)
{
fSettlementAmount += fAccruedInterest;
}
}
// Settlement date takes precedence.
if (Use_Settlement_Offset == YesNo.Yes && settlementDate != 0.0)
{
fCutoffDate = 0.0;
}
if (deal.Investment_Horizon > 0.0)
{
fT.AddPayDate(deal.Investment_Horizon, payDatesRequired);
}
if (Use_Survival_Probability == YesNo.Yes)
{
fRecoveryList = new CFRecoveryList();
fRecoveryList.PopulateRecoveryCashflowList(baseDate, settlementDate, deal.Cashflows);
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (IDIOptionDeal)Deal;
fStrike = deal.StrikeForValuation();
fBaseDate = factors.BaseDate;
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (BondOptionDeal)Deal;
var tExpiry = deal.GetTimeToExpiry(factors.BaseDate);
var tMaturity = CalcUtils.DaysToYears(deal.Bond_Maturity_Date - factors.BaseDate);
var dateGenerationResults = deal.GetDateGenerationResults();
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fPrincipals = dateGenerationResults.Principals;
fFinalPrincipal = dateGenerationResults.FinalPrincipal;
fStrike = deal.Strike_Price;
fStrikeYield = deal.GetStrikeYield(ref fStrike, tExpiry, tMaturity, fPayDates, fAccruals);
fT.AddPayDate(deal.Expiry_Date, requiredResults.CashRequired());
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CFFixedListDeal deal = (CFFixedListDeal)Deal;
// Add to valuation time grid
fT.AddPayDates <CFFixed>(deal.Cashflows);
}
/// <inheritdoc />
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
fItems.PreCloneInitialize(factors, baseTimes, requiredResults);
int fixedCount = fFixedCashflowList.Count();
int floatCount = fFloatCashflowList.Count();
fDates = new DateList();
// Get a list of all the relevant dates for the deal.
for (int i = 0; i < fixedCount; i++)
{
var fixedDate = fFixedCashflowList[i].Payment_Date;
fDates.Add(fixedDate);
}
for (int i = 0; i < floatCount; i++)
{
var payDate = fFloatCashflowList[i].Payment_Date;
var startDate = fFloatCashflowList[i].Resets[0].Rate_Start_Date;
if (!fDates.Contains(payDate))
{
fDates.Add(payDate);
}
if (!fDates.Contains(startDate))
{
fDates.Add(startDate);
}
}
int count = fDates.Count;
fFixedCouponWeight = new double[count];
fFixedCouponRate = new double[count];
// Calucate the static parts of the coefficients
foreach (var cf in fFixedCashflowList)
{
int idx = fDates.IndexOf(cf.Payment_Date);
fFixedCouponWeight[idx] += cf.Accrual_Year_Fraction * cf.Notional;
fFixedCouponRate[idx] = cf.Rate;
}
fFloatingCouponWeight = new double[count];
foreach (var cf in fFloatCashflowList)
{
int idx = fDates.IndexOf(cf.Payment_Date);
double rateYearFraction = cf.Resets[0].Rate_Year_Fraction;
double yearFractionRatio = (rateYearFraction < CalcUtils.TINY) ? 1.0 : cf.Accrual_Year_Fraction / rateYearFraction;
fFloatingCouponWeight[idx] += cf.Notional * yearFractionRatio;
}
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
var deal = (SwaptionBaseDeal)Deal;
// Call HeadNodeInitialize on leg models to create time grid on leg models.
fItems.HeadNodeInitialize(factors, baseTimes, requiredResults);
SwaptionBaseValuation.SetCashflowLists(null, deal, ref fFixedCashflowList, ref fFloatCashflowList);
Debug.Assert(fFloatCashflowList != null && fFixedCashflowList != null, "One or both of the underlying swap legs are null.");
// Calculate fixed interest cashflows
fFixedCashflowList.CalculateInterest(factors.BaseDate);
// Add to valuation time grid
bool cashRequired = requiredResults.CashRequired();
fT.Add(deal.Option_Expiry_Date, true);
if (deal.Settlement_Style == SettlementType.Physical)
{
fT.AddPayDates(fFixedCashflowList, cashRequired);
fT.AddPayDates(fFloatCashflowList, cashRequired);
}
else
{
fT.AddPayDate(deal.Settlement_Date, cashRequired);
}
}
/// <summary>
/// Add required results.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, resultsRequired);
if (resultsRequired.Result <AddOnProfiles>() == null)
{
var addOnProfiles = new AddOnProfiles(resultsRequired.Result <PVProfiles>().VectorSize);
resultsRequired.Add(addOnProfiles);
}
if (resultsRequired.Result <PositiveMtmProfiles>() == null)
{
var mtmPositiveProfiles = new PositiveMtmProfiles(resultsRequired.Result <PVProfiles>().VectorSize);
resultsRequired.Add(mtmPositiveProfiles);
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults ResultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, ResultsRequired);
fItems.PreCloneInitialize(factors, baseTimes, ResultsRequired);
CallableStructuredDeal deal = (CallableStructuredDeal)fDeal;
// Create a list of sorted exercise items with exercise date >= baseDate and exercise date <= deal's end date.
fExercises = CreateExerciseList(factors.BaseDate, deal.EndDate(), deal.Exercise_Dates, deal.Principal);
AddDatesToValuationGrid(factors.BaseDate, ResultsRequired.CashRequired());
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.HeadNodeInitialize(factors, baseTimes, resultsRequired);
fItems.HeadNodeInitialize(factors, baseTimes, resultsRequired);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
fBuySellSign = deal.Buy_Sell == BuySell.Buy ? +1 : -1;
fCutoffDate = fSettlementOffsetHelper.GetCutoffDate(factors.BaseDate);
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
Prepare(factors.BaseDate, factors.RateFixings);
fSettlementOffsetHelper.InitialiseHolidayCalendars(factors.CalendarData);
}
/// <inheritdoc />
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, resultsRequired);
// Add to valuation time grid
fT.AddPayDate(fPaymentDate, resultsRequired.CashRequired());
fCutoffDate = fSettlementOffsetHelper.GetCutoffDate(factors.BaseDate);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
FixedCashflowDeal deal = (FixedCashflowDeal)fDeal;
fAmount = deal.Amount;
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, resultsRequired);
// Set up date lists
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresAccrualDates = true,
RequiresYearFractions = true
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = fDeal.Effective_Date,
MaturityDate = fDeal.Maturity_Date,
CouponPeriod = fDeal.Pay_Frequency,
AccrualCalendar = fDeal.GetHolidayCalendar(),
AccrualDayCount = fDeal.Accrual_Day_Count,
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
AccrualDates = dateGenerationResults.AccrualDates;
PayDates = dateGenerationResults.PayDates;
Accruals = dateGenerationResults.AccrualYearFractions;
bool cashRequired = resultsRequired.CashRequired();
fT.AddPayDate(fDeal.Upfront_Date, cashRequired);
fT.AddPayDates(PayDates, cashRequired);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
FixedCashflowBaseDeal deal = (FixedCashflowBaseDeal)fDeal;
// Add to valuation time grid
fT.AddPayDate(deal.Payment_Date);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (CalendarSpreadOption)Deal;
fCallPutSign = deal.Option_Type == OptionType.Call ? 1 : -1;
fScale = (deal.Buy_Sell == BuySell.Buy ? +1.0 : -1.0) * deal.Units * deal.Contract_Size;
// Add to valuation time grid
fT.AddPayDate(deal.Settlement_Date, requiredResults.CashRequired());
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (CFFloatingInterestListDeal)Deal;
// Set up cashflow list
fCashflows.SetUseConvexityCorrection(Convexity_Correction == YesNo.Yes);
fCashflows.SetUseQuantoCorrection(Quanto_Correction == YesNo.Yes);
fCashflows.SetFasterAveraging(Faster_Averaging_Valuation == YesNo.Yes);
fCashflows.SetOISCashflowGroupSize(OIS_Cashflow_Group_Size);
fCashflows.SetConvexityLowRateCutoff(Convexity_Low_Rate_Cutoff);
fCashflows.SetOISRateRounding(OIS_Rate_Rounding);
double baseDate = factors.BaseDate;
fCharacteristics = fCashflows.Analyze(baseDate);
if (fCharacteristics.IsOIS)
{
fCashflows.InitializeFastOISCalculation(baseDate);
}
if (fCharacteristics.IsVanillaSwap)
{
fCashflows.CalculateAmounts(baseDate);
}
// Add to valuation time grid
bool payDatesRequired = ValueOnCashflowDates() && requiredResults.CashRequired();
fT.AddPayDates(fCashflows, payDatesRequired);
double settlementDate = deal.Settlement_Date;
if (settlementDate > 0.0)
{
fT.AddPayDate(settlementDate, payDatesRequired);
}
if (Use_Settlement_Offset == YesNo.Yes && settlementDate != 0.0)
{
fCutoffDate = 0.0;
}
if (deal.Investment_Horizon > 0.0)
{
fT.AddPayDate(deal.Investment_Horizon, payDatesRequired);
}
if (Use_Survival_Probability == YesNo.Yes)
{
fRecoveryList = new CFRecoveryList();
fRecoveryList.PopulateRecoveryCashflowList(baseDate, settlementDate, fCashflows);
}
}
/// <summary>
/// Clones the cashflow list and applies missing fixings from the fixings file. If
/// fixings are applied, the clone is stored in place of the original deal.
/// </summary>
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
var baseDate = factors.BaseDate;
var deal = (CFFloatingInterestListDeal)fDeal;
fCashflows = deal.Cashflows;
// Apply any missing rate fixings, performing minimal cloning
if (fCashflows.HasMissingRates(baseDate))
{
fCashflows = CashflowsFixingsHelper.ApplyRateFixings(factors, deal, fCashflows);
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.HeadNodeInitialize(factors, baseTimes, resultsRequired);
var deal = (AverageForwardExplicitDealBase)Deal;
fScale = (deal.Buy_Sell == BuySell.Buy ? +1 : -1) * deal.GetUnits();
fSamplingTimes = new double[deal.Sampling_Data.Count];
fSamplingTimesPlusTenor = new double[deal.Sampling_Data.Count];
int index = 0;
Term tenorAsTerm = Period.ValueToTerm(deal.Tenor);
// Loop over sampling dates and generate relevant sampling times.
foreach (SamplingEntryAsset sample in deal.Sampling_Data)
{
double endDate = DateAdjuster.Add(sample.Date, tenorAsTerm, deal.GetHolidayCalendar());
double sampleTime = CalcUtils.DaysToYears(sample.Date - factors.BaseDate);
// Store the start time and the end time.
fSamplingTimes[index] = sampleTime; // Discount Factor and Forward Factor times are in Act365.
fSamplingTimesPlusTenor[index] = CalcUtils.DaysToYears(endDate - factors.BaseDate);
index++;
}
// Create a deep copy of the sampling data list and replace missing values with data from the rate fixings file
var assetPrice = ((BaseAssetFxDealHelper)deal.GetDealHelper()).GetAssetPrice(factors);
string assetCurrency = fPayoffType == PayoffType.Compo ? fPayoffCurrency : fCurrency;
fSamplingData = deal.Sampling_Data.FillMissingDataFromFixings(factors.RateFixings, factors, assetPrice, assetCurrency, deal, "calculation of asset average");
// Add to valuation time grid
fT.AddPayDate(deal.Maturity_Date, resultsRequired.CashRequired());
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (BondLendingBase)fDeal;
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
RequiresPrincipals = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = deal.Issue_Date,
MaturityDate = deal.Bond_Maturity_Date,
CouponPeriod = deal.Coupon_Interval,
FirstCouponDate = deal.First_Coupon_Date,
PenultimateCouponDate = deal.Penultimate_Coupon_Date,
AccrualCalendar = deal.GetHolidayCalendar(),
AccrualDayCount = deal.Accrual_Day_Count,
Principal = deal.Notional,
Amortisation = deal.Amortisation
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fPrincipals = dateGenerationResults.Principals;
fFinalPrincipal = dateGenerationResults.FinalPrincipal;
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
// Set up cashflow list
fCashflows.SetUseConvexityCorrection(Convexity_Correction == YesNo.Yes);
fCashflows.SetUseQuantoCorrection(Quanto_Correction == YesNo.Yes);
fCashflows.SetConvexityLowRateCutoff(Convexity_Low_Rate_Cutoff);
// Add to valuation time grid
fT.AddPayDates(fCashflows);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CallableBondForward deal = (CallableBondForward)Deal;
double firstCallDate = deal.First_Call_Date;
double lastCallDate = deal.Last_Call_Date;
double baseDate = factors.BaseDate;
double issueDate = deal.Issue_Date;
double settlementDate = deal.Settlement_Date;
double priceDate = Math.Max(baseDate, settlementDate + 1.0); // bond cashflows before priceDate do not contribute to bond price
double maturityDate = deal.Bond_Maturity_Date;
double couponInterval = deal.Coupon_Interval;
double notional = deal.Notional;
IHolidayCalendar holidayCalendar = deal.GetHolidayCalendar();
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
AccrualDayCount = deal.Accrual_Day_Count,
FirstCouponDate = deal.First_Coupon_Date,
PenultimateCouponDate = deal.Penultimate_Coupon_Date,
Amortisation = deal.Amortisation,
CouponPeriod = couponInterval,
Principal = notional,
PrincipalExchange = PrincipalExchange.Start_Maturity,
AccrualCalendar = holidayCalendar
};
CashflowListDetail detail = CashflowGeneration.GenerateCashflowListDetail(dateGenerationParams);
// Collect reset dates as we loop.
var resetDates = new DateList(detail.Coupon_Details.Count);
// Create cashflow list
fCashflowList = new CFFixedInterestList();
fCashflowList.Compounding = YesNo.No;
foreach (CouponDetail couponDetail in detail.Coupon_Details)
{
if (couponDetail.Payment_Date < priceDate)
{
continue;
}
foreach (AccrualDetail accrualDetail in couponDetail.Accrual_Details)
{
resetDates.Add(accrualDetail.Accrual_Start_Date);
if (couponDetail.Payment_Date < priceDate)
{
continue;
}
var cashflow = new CFFixedInterest
{
Payment_Date = couponDetail.Payment_Date,
Notional = accrualDetail.Notional,
Accrual_Start_Date = accrualDetail.Accrual_Start_Date,
Accrual_End_Date = accrualDetail.Accrual_End_Date,
Accrual_Year_Fraction = accrualDetail.Accrual_Year_Fraction,
Rate = deal.Coupon_Rate * Percentage.PercentagePoint,
Accrual_Day_Count = deal.Accrual_Day_Count,
Discounted = YesNo.No
};
fCashflowList.Items.Add(cashflow);
}
}
IRBaseDealSkin.ApplyRateSchedule(fCashflowList.Items, deal.Coupon_Rate_Schedule, Percentage.PercentagePoint, holidayCalendar, DateAdjustmentMethod.Modified_Following);
// Calculate fixed interest cashflows.
fCashflowList.CalculateInterest(baseDate);
fFixedCashflowList = PrincipalCashflows(priceDate, issueDate, maturityDate, PrincipalExchange.Start_Maturity, notional, deal.Amortisation, 1.0);
fSettlementAmount = 0.0;
fAccrued = 0.0;
bool payDatesRequired = requiredResults.CashRequired();
if (settlementDate >= baseDate)
{
double settlementPrincipal = CFFixedInterestListValuation.GetPrincipal(fCashflowList, settlementDate);
fSettlementAmount = settlementPrincipal * deal.Price * Percentage.PercentagePoint;
for (int i = 0; i < fCashflowList.Items.Count; ++i)
{
CFFixedInterest cashflow = fCashflowList[i];
if (cashflow.Accrual_Start_Date >= settlementDate)
{
break;
}
if (settlementDate < cashflow.Accrual_End_Date)
{
fAccrued += cashflow.Interest() * (settlementDate - cashflow.Accrual_Start_Date) / (cashflow.Accrual_End_Date - cashflow.Accrual_Start_Date);
}
}
if (deal.Price_Is_Clean == YesNo.Yes)
{
fSettlementAmount += fAccrued; // add accrued interest
}
fT.AddPayDate(settlementDate, payDatesRequired);
}
// Add the floating and fixed cashflow dates to the time grid.
fT.AddPayDates <CFFixedInterest>(fCashflowList, payDatesRequired);
fT.AddPayDates <CFFixed>(fFixedCashflowList, payDatesRequired);
// We only need an option pricer if callable on or after the settlement date.
fSwaptionPricer = null;
if (lastCallDate >= settlementDate)
{
// Snap call dates to grid of reset dates and
// ensure that first call date is on or after settlement date
int iLast = resetDates.IndexOfNextDate(lastCallDate);
lastCallDate = resetDates[iLast];
int iFirst = resetDates.IndexOfNextDate(firstCallDate);
while ((iFirst < resetDates.Count - 1) && (resetDates[iFirst] < settlementDate))
{
// move first exercise date forward
iFirst++;
}
firstCallDate = resetDates[iFirst];
int paySign = deal.Call_Put == OptionType.Put ? +1 : -1;
RateList exerciseFees = new RateList();
foreach (Rate price in deal.Call_Prices)
{
Rate fee = new Rate();
fee.Value = paySign * (Percentage.OverPercentagePoint - price.Value);
fee.Date = price.Date;
exerciseFees.Add(fee);
}
var amortisation = AllocateAmortisationToPaymentDates <CFFixedInterest>(deal.Amortisation, fCashflowList.Items);
fSwaptionPricer = new SwaptionPricer(issueDate, maturityDate, couponInterval, couponInterval,
deal.Accrual_Day_Count, holidayCalendar, DayCount.ACT_365, holidayCalendar, firstCallDate, lastCallDate, baseDate,
paySign, paySign, 0.0, null, notional, amortisation, deal.Coupon_Rate, null, deal.Coupon_Rate_Schedule, exerciseFees,
null, OptionStyle2.Bermudan, Max_Nodes, Step_Size, fT, true, requiredResults.CashRequired());
}
if (NeedSurvivalProb())
{
fRecoveryList = new CFRecoveryList();
fRecoveryList.PopulateRecoveryCashflowList(baseDate, settlementDate, fCashflowList);
}
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList Factors, BaseTimeGrid BaseTimes, RequiredResults ResultsRequired)
{
base.PreCloneInitialize(Factors, BaseTimes, ResultsRequired);
DealCreditLinkedNoteBase deal = (DealCreditLinkedNoteBase)fDeal;
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresResetDates = true,
RequiresYearFractions = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = deal.Effective_Date,
MaturityDate = deal.Maturity_Date,
CouponPeriod = deal.Coupon_Interval,
AccrualCalendar = deal.GetHolidayCalendar(),
AccrualDayCount = deal.Accrual_Day_Count,
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
PayDates = dateGenerationResults.PayDates;
Accruals = dateGenerationResults.AccrualYearFractions;
ResetDates = dateGenerationResults.ResetDates;
// Add to valuation time grid
bool cashRequired = ResultsRequired.CashRequired();
fT.AddPayDate(deal.Effective_Date, cashRequired);
fT.AddPayDates(PayDates, cashRequired);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (CFEquityFloatingInterestListDeal)Deal;
// Set up cashflow list
fCharacteristics = deal.Cashflows.Analyze(factors.BaseDate);
// Add to valuation time grid
fT.AddPayDates(deal.Cashflows);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
// Set up cashflow list
IInflationRate inflationRate = deal.NeedInflationRate() ? factors.GetInterface <IInflationRate>(deal.Index) : null;
deal.GetCashflows().PreCloneInitialize(factors.BaseDate, inflationRate, deal.GetHolidayCalendar());
// Add to valuation time grid
deal.AddPayDates(fT);
if (deal.Investment_Horizon > 0.0)
{
fT.AddPayDate(deal.Investment_Horizon, requiredResults.CashRequired());
}
if (deal.Settlement_Date > 0.0)
{
fT.AddPayDate(deal.Settlement_Date, requiredResults.CashRequired());
}
// Recovery cashflows are created on the fly to respect customized cashflows
if (NeedRecoveryCashflows())
{
fRecoveryCashflowList = new CFRecoveryInflationList();
fRecoveryCashflowList.PopulateRecoveryCashflowList(factors.BaseDate, deal.Settlement_Date, deal.GetCashflows());
}
}
