Exemplo n.º 1
0
        public static double nominal(Leg leg, bool includeSettlementDateFlows, Date settlementDate = null)
        {
            CashFlow cf = nextCashFlow(leg, includeSettlementDateFlows, settlementDate);

            if (cf == null)
            {
                return(0.0);
            }

            Date paymentDate = cf.date();

            foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
            {
                Coupon cp = x as Coupon;
                if (cp != null)
                {
                    return(cp.nominal());
                }
            }
            return(0.0);
        }
Exemplo n.º 2
0
        // helper function used to calculate Time-To-Discount for each stage when calculating discount factor stepwisely
        public static double getStepwiseDiscountTime(CashFlow cashFlow, DayCounter dc, Date npvDate, Date lastDate)
        {
            Date   cashFlowDate = cashFlow.date();
            Date   refStartDate, refEndDate;
            Coupon coupon = cashFlow as Coupon;

            if (coupon != null)
            {
                refStartDate = coupon.referencePeriodStart;
                refEndDate   = coupon.referencePeriodEnd;
            }
            else
            {
                if (lastDate == npvDate)
                {
                    // we don't have a previous coupon date,
                    // so we fake it
                    refStartDate = cashFlowDate - new Period(1, TimeUnit.Years);
                }
                else
                {
                    refStartDate = lastDate;
                }

                refEndDate = cashFlowDate;
            }

            if (coupon != null && lastDate != coupon.accrualStartDate())
            {
                double couponPeriod  = dc.yearFraction(coupon.accrualStartDate(), cashFlowDate, refStartDate, refEndDate);
                double accruedPeriod = dc.yearFraction(coupon.accrualStartDate(), lastDate, refStartDate, refEndDate);
                return(couponPeriod - accruedPeriod);
            }
            else
            {
                return(dc.yearFraction(lastDate, cashFlowDate, refStartDate, refEndDate));
            }
        }
Exemplo n.º 3
0
        public static double nextCouponRate(List <CashFlow> leg, bool includeSettlementDateFlows, Date settlementDate = null)
        {
            CashFlow cf = nextCashFlow(leg, includeSettlementDateFlows, settlementDate);

            return(aggregateRate(leg, cf));
        }
Exemplo n.º 4
0
 public void visit(CashFlow cf)
 {
     nonSensNPV_ += cf.amount() * discountCurve_.discount(cf.date());
 }
Exemplo n.º 5
0
 public void visit(CashFlow c)
 {
     // nothing to do
 }
Exemplo n.º 6
0
 protected double cashFlowRiskyValue(CashFlow cf, NotionalPath notionalPath)
 {
     return(cf.amount() * notionalPath.notionalRate(cf.date())); //TODO: fix for more complicated cashflows
 }
Exemplo n.º 7
0
        // other
        public override void setupArguments(IPricingEngineArguments args)
        {
            base.setupArguments(args);

            Arguments arguments = args as Arguments;

            Utils.QL_REQUIRE(arguments != null, () => "argument type does not match");

            arguments.type     = type_;
            arguments.nominal1 = nominal1_;
            arguments.nominal2 = nominal2_;
            arguments.index1   = index1_;
            arguments.index2   = index2_;

            List <CashFlow> leg1Coupons = leg1();
            List <CashFlow> leg2Coupons = leg2();

            arguments.leg1ResetDates      = arguments.leg1PayDates =
                arguments.leg1FixingDates = new InitializedList <Date>(leg1Coupons.Count);
            arguments.leg2ResetDates      = arguments.leg2PayDates =
                arguments.leg2FixingDates = new InitializedList <Date>(leg2Coupons.Count);

            arguments.leg1Spreads      = arguments.leg1AccrualTimes =
                arguments.leg1Gearings = new InitializedList <double>(leg1Coupons.Count);
            arguments.leg2Spreads      = arguments.leg2AccrualTimes =
                arguments.leg2Gearings = new InitializedList <double>(leg2Coupons.Count);

            arguments.leg1Coupons = new InitializedList <double?>(leg1Coupons.Count, null);
            arguments.leg2Coupons = new InitializedList <double?>(leg2Coupons.Count, null);

            arguments.leg1IsRedemptionFlow = new InitializedList <bool>(leg1Coupons.Count, false);
            arguments.leg2IsRedemptionFlow = new InitializedList <bool>(leg2Coupons.Count, false);

            arguments.leg1CappedRates = arguments.leg1FlooredRates =
                new InitializedList <double?>(leg1Coupons.Count, null);
            arguments.leg2CappedRates = arguments.leg2FlooredRates =
                new InitializedList <double?>(leg2Coupons.Count, null);

            for (int i = 0; i < leg1Coupons.Count; ++i)
            {
                FloatingRateCoupon coupon = leg1Coupons[i] as FloatingRateCoupon;
                if (coupon != null)
                {
                    arguments.leg1AccrualTimes[i] = coupon.accrualPeriod();
                    arguments.leg1PayDates[i]     = coupon.date();
                    arguments.leg1ResetDates[i]   = coupon.accrualStartDate();
                    arguments.leg1FixingDates[i]  = coupon.fixingDate();
                    arguments.leg1Spreads[i]      = coupon.spread();
                    arguments.leg1Gearings[i]     = coupon.gearing();
                    try
                    {
                        arguments.leg1Coupons[i] = coupon.amount();
                    }
                    catch (Exception)
                    {
                        arguments.leg1Coupons[i] = null;
                    }
                    CappedFlooredCoupon cfcoupon = leg1Coupons[i] as CappedFlooredCoupon;
                    if (cfcoupon != null)
                    {
                        arguments.leg1CappedRates[i]  = cfcoupon.cap();
                        arguments.leg1FlooredRates[i] = cfcoupon.floor();
                    }
                }
                else
                {
                    CashFlow cashflow = leg1Coupons[i] as CashFlow;
                    int      j        = arguments.leg1PayDates.FindIndex(x => x == cashflow.date());
                    Utils.QL_REQUIRE(j != -1, () =>
                                     "nominal redemption on " + cashflow.date() + "has no corresponding coupon");
                    int jIdx = j; // Size jIdx = j - arguments->leg1PayDates.begin();
                    arguments.leg1IsRedemptionFlow[i] = true;
                    arguments.leg1Coupons[i]          = cashflow.amount();
                    arguments.leg1ResetDates[i]       = arguments.leg1ResetDates[jIdx];
                    arguments.leg1FixingDates[i]      = arguments.leg1FixingDates[jIdx];
                    arguments.leg1AccrualTimes[i]     = 0.0;
                    arguments.leg1Spreads[i]          = 0.0;
                    arguments.leg1Gearings[i]         = 1.0;
                    arguments.leg1PayDates[i]         = cashflow.date();
                }
            }

            for (int i = 0; i < leg2Coupons.Count; ++i)
            {
                FloatingRateCoupon coupon = leg2Coupons[i] as FloatingRateCoupon;
                if (coupon != null)
                {
                    arguments.leg2AccrualTimes[i] = coupon.accrualPeriod();
                    arguments.leg2PayDates[i]     = coupon.date();
                    arguments.leg2ResetDates[i]   = coupon.accrualStartDate();
                    arguments.leg2FixingDates[i]  = coupon.fixingDate();
                    arguments.leg2Spreads[i]      = coupon.spread();
                    arguments.leg2Gearings[i]     = coupon.gearing();
                    try
                    {
                        arguments.leg2Coupons[i] = coupon.amount();
                    }
                    catch (Exception)
                    {
                        arguments.leg2Coupons[i] = null;
                    }
                    CappedFlooredCoupon cfcoupon = leg2Coupons[i] as CappedFlooredCoupon;
                    if (cfcoupon != null)
                    {
                        arguments.leg2CappedRates[i]  = cfcoupon.cap();
                        arguments.leg2FlooredRates[i] = cfcoupon.floor();
                    }
                }
                else
                {
                    CashFlow cashflow = leg2Coupons[i] as CashFlow;
                    int      j        = arguments.leg2PayDates.FindIndex(x => x == cashflow.date());
                    Utils.QL_REQUIRE(j != -1, () =>
                                     "nominal redemption on " + cashflow.date() + "has no corresponding coupon");
                    int jIdx = j; // j - arguments->leg2PayDates.begin();
                    arguments.leg2IsRedemptionFlow[i] = true;
                    arguments.leg2Coupons[i]          = cashflow.amount();
                    arguments.leg2ResetDates[i]       = arguments.leg2ResetDates[jIdx];
                    arguments.leg2FixingDates[i]      =
                        arguments.leg2FixingDates[jIdx];
                    arguments.leg2AccrualTimes[i] = 0.0;
                    arguments.leg2Spreads[i]      = 0.0;
                    arguments.leg2Gearings[i]     = 1.0;
                    arguments.leg2PayDates[i]     = cashflow.date();
                }
            }
        }