/// <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>
/// Returns true if the cashflow list consists of vanilla swaplets, caplets and floorlets.
/// </summary>
private bool IsValidCashflowList(PriceFactorList factors, CFFloatingInterestListDeal deal)
{
// Get characteristics using cashflow list from the original deal.
CashflowListCharacteristics characteristics = deal.Cashflows.Analyze(factors.BaseDate);
bool isCompounding = deal.Cashflows.Compounding_Method != CompoundingMethod.None;
return(!fForecastIsForeign &&
characteristics.IsStandardPayoff &&
characteristics.IsStandardLibor &&
!isCompounding);
}
/// <summary>
/// Register price factors used in valuation.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CFFloatingInterestListDeal deal = (CFFloatingInterestListDeal)Deal;
// Deal validation specific to CFFloatingInterestListValuation
foreach (var cashflow in deal.Cashflows)
{
if (!cashflow.Resets.Any())
{
continue;
}
var lastResetDate = cashflow.Resets.Last().Reset_Date;
if (cashflow.FX_Reset_Date > 0.0 && cashflow.FX_Reset_Date < lastResetDate)
{
errors.Add(ErrorLevel.Warning, string.Format("Quanto adjustments for cashflow paying on {0} are not supported when the FX reset date {1} is before interest rate reset date {2}", cashflow.Payment_Date, cashflow.FX_Reset_Date, lastResetDate));
}
}
// Get characteristics
CashflowListCharacteristics characteristics = deal.Cashflows.Analyze(factors.BaseDate);
bool quanto = fForecastIsForeign && characteristics.HasQuanto && Quanto_Correction == YesNo.Yes;
bool convexity = !characteristics.IsStandardLibor && Convexity_Correction == YesNo.Yes;
var requirements = new VolatilityRequirements(
characteristics.HasCms,
characteristics.HasLibor && (characteristics.HasOptionlet || convexity || quanto),
characteristics.HasCms && convexity,
characteristics.HasLibor && convexity);
// Collect registered volatility price factors to check they have the same distribution type
var volPriceFactors = new List <IInterestVol>();
// register forecast rate volatility surfaces
if (requirements.NeedForecastYieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency));
}
if (requirements.NeedForecastRateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency));
}
if (requirements.NeedDiscountYieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency));
}
if (requirements.NeedDiscountRateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency));
}
if (fForecastIsForeign)
{
// Register factor for translation from forecast rate currency to settlement currency for cashflows with FX reset date
if (characteristics.HasFXReset)
{
factors.RegisterInterface <IFxRate>(fForecastCurrency);
}
if (quanto)
{
FXVolHelper.Register(factors, fForecastCurrency, fCurrency);
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IFxRate), fForecastCurrency, fCurrency);
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IInterestRate), fCurrency, null);
}
}
if (volPriceFactors.Select(pf => pf.GetDistributionType()).Distinct().Count() > 1)
{
deal.AddToErrors(errors, "Volatility price factors must have the same distribution type.");
}
ValidateUnnecessaryVolatilities(deal, requirements, errors);
}
