private double SolveCouponRate(double upfrontMargin = 0.0)
{
// Display
Console.WriteLine("Solving for the coupon rate on {0}", pricingDate());
double targetPrice = 1.0 - upfrontMargin;
// Price with high level of coupon (upper bound)
double highCoupon = 0.10;
myAutocall AC_high = GetAutocall(1.0, highCoupon);
AC_high.setPricingEngine(Engine(pricingDate(), currentMarketData()));
double px_high = AC_high.NPV();
Console.WriteLine("Found a high price of {0}", px_high.ToString("P", System.Globalization.CultureInfo.InvariantCulture));
// price with low level of coupon (lower bound)
double lowCoupon = 0.00;
myAutocall AC_low = GetAutocall(1.0, lowCoupon);
AC_low.setPricingEngine(Engine(pricingDate(), currentMarketData()));
double px_low = AC_low.NPV();
Console.WriteLine("Found a low price of {0}", px_low.ToString("P", System.Globalization.CultureInfo.InvariantCulture));
// Coupon rate linear estimation
double estimation = lowCoupon + (highCoupon - lowCoupon) / (px_high - px_low) * (targetPrice - px_low);
Console.WriteLine("Coupon rate estimated at {0}", estimation.ToString("P", System.Globalization.CultureInfo.InvariantCulture));
// Return
return(estimation);
}
protected void Invest(DateTime date, double notional, MarkitSurface marketData)
{
// Get a new product for investment on date
myAutocall newProduct = _instrumentHelper.Instrument(date, notional, marketData);
Console.WriteLine("New autocall product constructed.");
// Withdrawing from bank account to fund investment
_bankAccount.Transaction(date, -1 * notional);
// Add new investment to active positions
Guid id = Guid.NewGuid();
_activePositions[id] = new AutocallPosition(newProduct, _instrumentHelper, id);
Console.WriteLine("New autocall product added to the active positions under GUID: {0}", id);
}
protected void SetEngine(myAutocall autocallInstrument, DateTime d, MarkitSurface marketData)
{
// Get stochastic process
var stochasticProcess = GetStochasticProcess(d, marketData);
// Set properties
IPricingEngine monteCarloEngine = new MakeMCEuropeanAutocallEngine <PseudoRandom>(stochasticProcess)
.withSteps(timeSteps())
.withAntitheticVariate(antithetic())
.withBrownianBridge(brownianBridge())
.withSamples(samples())
.withSeed(seed())
.value();
// Apply engine to instrument
autocallInstrument.setPricingEngine(monteCarloEngine);
}
