public double script(ScriptFunctions sf, ScriptData sd)
{
double bond = 0.0;
double put = 0.0;
double binaryStrip = 0.0;
double swap = 0.0;
int i = 0;
double time = 0.0;
double strike = sd.INDEX("strike")[0];
double couponBond = sd.INDEX("couponBond")[0];
double couponBinary = sd.INDEX("couponBinary")[0];
double barrierDown = sd.INDEX("barrierDown")[0];
double recovery = sd.INDEX("recovery")[0];
double maturity = sd.ENDTIME("fixing");
double div = 0.0;
double rf = 0.0;
double survpb = 1.0;
double survpb_m1 = 1.0;
double vol = 0.0;
double s = 0.0;
// Go through all dates //
for (int t = 0; t < sf.PATHNB(); t++)
{
s = sf.PATHVALUE(t);
time = sf.PATHTIME(t);
if ((time == sd.TIME("fixing")[i]) && (time != maturity))
{
bond = 0.0;
put = 0.0;
binaryStrip = 0.0;
//bond
for (int j = i; j < sd.TIME("fixing").Count - 1; j++)
{
bond = couponBond * sf.DISCOUNT(sd.TIME("fixing")[j]);
}
//bond += sf.DISCOUNT(maturity);
bond = bond / sf.DISCOUNT(time);
sf.INSPOUT("Bond" + i, bond);
//pdi
vol = sf.VOLATILITY(maturity - time, s);
rf = sf.RISKFREERATE(maturity, time);
div = sf.DIVIDENDRATE(maturity, time);
put = sf.OPTIONPRICE(maturity, time, barrierDown, s, div, rf, vol, Option.Type.Put);
put = put / barrierDown;
sf.INSPOUT("PDI" + i, put);
// binary strip
for (int j = i; j < sd.TIME("fixing").Count - 1; j++)
{
vol = sf.VOLATILITY(sd.TIME("fixing")[j] - time, s);
rf = sf.RISKFREERATE(maturity, time);
div = sf.DIVIDENDRATE(maturity, time);
binaryStrip += couponBinary / sf.DISCOUNT(time) * sf.BINARYPRICE(maturity, time, barrierDown, s, div, rf, vol, Option.Type.Call);
}
sf.INSPOUT("Binary" + i, binaryStrip);
// Swap
survpb = sf.SURVIVALPB(time);
swap += (survpb_m1 - survpb) * Math.Max(0.0, recovery - bond + binaryStrip - put) * sf.DISCOUNT(time);
sf.INSPOUT("CondProba" + i, (survpb_m1 - survpb));
survpb_m1 = survpb;
i++;
}
}
sf.INSPOUT("yield ", s);
// return payoff //
return(swap);
}
