private Tuple <double, double> GetReturns(string TrancheID, double Price, DateTime AsOfDate, DateTime CallDate)
{
// Set up
string DealID = TrancheID.Split('.')[0];
string trancheLabel = TrancheID.Split('.')[1];
string[] RateName = new string[] { "Libor 1M", "Libor 2M", "Libor 3M", "Libor 6M", "Libor 1Y", "Swap 2Y", "Swap 3Y", "Swap 4Y", "Swap 5Y", "Swap 6Y" };
double[] YearFracs = new double[] { 1 / 12.0, 2 / 12.0, 3 / 12.0, 6 / 12.0, 1, 2, 3, 4, 5, 6 };
double[] Rates = new double[RateName.Length];
double FixRate = 0;
ITranche targetTranche = null;
// Load Econ
ObjCDONet.Application.Economy().Load(CDONetDealLib_Settings.StandardEcon);
ObjCDONet.Application.Economy().CallDateOverrideOption = "Input";
ObjCDONet.Application.Economy().CallDateOverrideValue = CallDate;
ObjCDONet.Application.Economy().LoadRatesFromLibrary(AsOfDate);
ObjCDONet.Application.Economy().Model.PrincipalLossSeverity = 60;
ObjCDONet.Application.Deal().DefaultRate = 2;
for (int i = 0; i < RateName.Length; i++)
{
Rates[i] = ObjCDONet.Economy.Rates().IndexRates[RateName[i]];
}
FixRate = ToolKit.lagrange((CallDate - AsOfDate).Days / 365.25, YearFracs, Rates) / 100;
// Run Cashflows
ObjCDONet.Application.Deal().Run();
// Calculate Numbers
foreach (ITranche itranche in ObjCDONet.Application.Deal().CMO().Tranches)
{
if (itranche.Label == trancheLabel)
{
targetTranche = itranche;
break;
}
}
bool ToStop = false;
List <double> Cashflows = new List <double>();
List <DateTime> AllDates = new List <DateTime>();
double CurrentSize = targetTranche.UpdateFace;
double IRR = 0;
for (int m = 0; m < 100; m++)
{
if (!ToStop)
{
DateTime iPayDate = targetTranche.PayDate[(short)m];
double iCashflow = targetTranche.Interest[(short)m] + targetTranche.Principal[(short)m];
if (iPayDate > AsOfDate && iCashflow != 0)
{
Cashflows.Add(iCashflow);
AllDates.Add(iPayDate);
}
ToStop = (targetTranche.Balance[(short)m] == 0);
}
}
Cashflows.Insert(0, -CurrentSize * Price / 100);
AllDates.Insert(0, AsOfDate);
IRR = XIRR.GetIRR(Cashflows.ToArray(), AllDates.ToArray());
return(new Tuple <double, double>(IRR, IRR - FixRate));
}
private Tuple <double, double> GetCleanDirty(string TrancheID, DateTime AsOfDate, double ReqDM, DateTime CallDate)
{
// Set up
string DealID = TrancheID.Split('.')[0];
string trancheLabel = TrancheID.Split('.')[1];
string[] RateName = new string[] { "Libor 1M", "Libor 2M", "Libor 3M", "Libor 6M", "Libor 1Y", "Swap 2Y", "Swap 3Y", "Swap 4Y", "Swap 5Y", "Swap 6Y" };
double[] YearFracs = new double[] { 1 / 12.0, 2 / 12.0, 3 / 12.0, 6 / 12.0, 1, 2, 3, 4, 5, 6 };
double[] Rates = new double[RateName.Length];
double FixRate = 0;
double CleanPrice, DirtyPrice = 0;
DateTime StartAccrualDate = new DateTime(1, 1, 1);
ITranche targetTranche = null;
// Load Econ
ObjCDONet.Application.Economy().Load(CDONetDealLib_Settings.StandardEcon);
ObjCDONet.Application.Economy().CallDateOverrideOption = "Input";
ObjCDONet.Application.Economy().CallDateOverrideValue = CallDate;
ObjCDONet.Application.Economy().LoadRatesFromLibrary(AsOfDate);
ObjCDONet.Application.Economy().Model.PrincipalLossSeverity = 60;
ObjCDONet.Application.Deal().DefaultRate = 2;
for (int i = 0; i < RateName.Length; i++)
{
Rates[i] = ObjCDONet.Economy.Rates().IndexRates[RateName[i]];
}
FixRate = ToolKit.lagrange((CallDate - AsOfDate).Days / 365.25, YearFracs, Rates) / 100;
// Run Cashflows
ObjCDONet.Application.Deal().Run();
// Get Target Tranche
foreach (ITranche itranche in ObjCDONet.Application.Deal().CMO().Tranches)
{
if (itranche.Label == trancheLabel)
{
targetTranche = itranche;
break;
}
}
// Get Start Accrual Date
for (int i = 0; i < 50; i++)
{
if (ObjCDONet.Application.Deal().CMO().LiabilityFlow.PayDate[(short)i] < AsOfDate)
{
StartAccrualDate = ObjCDONet.Application.Deal().CMO().LiabilityFlow.PayDate[(short)i];
}
else
{
break;
}
}
if (StartAccrualDate.Year == 1)
{
StartAccrualDate = ObjCDONet.Application.Deal().CMO().CutoffDatedDate;
}
// Calculate Numbers
bool ToStop = false;
List <double> CleanCashflows = new List <double>();
List <double> DirtyCashflows = new List <double>();
List <DateTime> AllDates = new List <DateTime>();
double CurrentSize = targetTranche.UpdateFace;
double IRR = 0;
for (int m = 0; m < 100; m++)
{
if (!ToStop)
{
DateTime iPayDate = targetTranche.PayDate[(short)m];
double iCashflow = targetTranche.Interest[(short)m] + targetTranche.Principal[(short)m];
if (iPayDate > AsOfDate && iCashflow != 0)
{
CleanCashflows.Add(iCashflow);
AllDates.Add(iPayDate);
}
ToStop = (targetTranche.Balance[(short)m] == 0);
}
}
DirtyCashflows = new List <double>(CleanCashflows);
DirtyCashflows[0] *= (1 + ((AsOfDate - StartAccrualDate).TotalDays - 1) / ((AllDates[0] - StartAccrualDate).TotalDays - 1));
CleanPrice = ToolKit.XNPV(ReqDM + FixRate, CleanCashflows.ToArray(), AllDates.ToArray(), AsOfDate) / targetTranche.UpdateFace;
DirtyPrice = ToolKit.XNPV(ReqDM + FixRate, DirtyCashflows.ToArray(), AllDates.ToArray(), AsOfDate) / targetTranche.UpdateFace;
return(new Tuple <double, double>(CleanPrice, DirtyPrice));
}
