protected void calculateNotionalsFromCashflows()
{
notionalSchedule_.Clear();
notionals_.Clear();
Date lastPaymentDate = new Date();
//notionalSchedule_.Add((Coupon)(cashflows_[0])accrualStartDate());
for (int i = 0; i < cashflows_.Count; ++i)
{
Coupon coupon = cashflows_[i] as Coupon;
if (coupon == null)
{
continue;
}
if (i == 0)
{
notionalSchedule_.Add(coupon.accrualStartDate());
}
double notional = coupon.nominal();
// we add the notional only if it is the first one...
if (notionals_.empty())
{
notionals_.Add(coupon.nominal());
lastPaymentDate = coupon.date();
}
else if (!Utils.close(notional, notionals_.Last()))
{
// ...or if it has changed.
if (!(notional < notionals_.Last()))
{
throw new ApplicationException("increasing coupon notionals");
}
notionals_.Add(coupon.nominal());
// in this case, we also add the last valid date for
// the previous one...
notionalSchedule_.Add(lastPaymentDate);
// ...and store the candidate for this one.
lastPaymentDate = coupon.date();
}
else
{
// otherwise, we just extend the valid range of dates
// for the current notional.
lastPaymentDate = coupon.date();
}
}
if (notionals_.empty())
{
throw new ApplicationException("no coupons provided");
}
notionals_.Add(0.0);
notionalSchedule_.Add(lastPaymentDate);
}
//! NPV and BPS of the cash flows.
// The NPV and BPS of the cash flows calculated together for performance reason
public static void npvbps(Leg leg, YieldTermStructure discountCurve, bool includeSettlementDateFlows,
Date settlementDate, Date npvDate, out double npv, out double bps)
{
npv = bps = 0.0;
if (leg.empty())
{
bps = 0.0;
return;
}
for (int i = 0; i < leg.Count; ++i)
{
CashFlow cf = leg[i];
if (!cf.hasOccurred(settlementDate, includeSettlementDateFlows) &&
!cf.tradingExCoupon(settlementDate))
{
Coupon cp = leg[i] as Coupon;
double df = discountCurve.discount(cf.date());
npv += cf.amount() * df;
if (cp != null)
{
bps += cp.nominal() * cp.accrualPeriod() * df;
}
}
}
double d = discountCurve.discount(npvDate);
npv /= d;
bps = Const.BASIS_POINT * bps / d;
}
public void visit(Coupon c)
{
double bps = c.nominal() *
c.accrualPeriod() *
discountCurve_.discount(c.date());
bps_ += bps;
}
private static double couponRate(List <CashFlow> leg, CashFlow cf)
{
if (cf == null)
{
return(0.0);
}
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0;
double accrualPeriod = 0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
{
Coupon cp = x as Coupon;
if (cp != null)
{
if (firstCouponFound)
{
if (!(nominal == cp.nominal() && accrualPeriod == cp.accrualPeriod() && dc == cp.dayCounter()))
{
throw new ApplicationException("cannot aggregate two different coupons on " + paymentDate);
}
}
else
{
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.rate();
}
}
if (!firstCouponFound)
{
throw new ApplicationException("next cashflow (" + paymentDate + ") is not a coupon");
}
return(result);
}
public double accruedAmount(Date settlement)
{
if (settlement == null)
{
settlement = settlementDate();
}
CashFlow cf = CashFlows.nextCashFlow(cashflows_, false, settlement);
if (cf == cashflows_.Last())
{
return(0.0);
}
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0;
double accrualPeriod = 0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in cashflows_.FindAll(x => x.date() == paymentDate && x.GetType().IsSubclassOf(typeof(Coupon))))
{
Coupon cp = (Coupon)x;
if (firstCouponFound)
{
if (!(nominal == cp.nominal() && accrualPeriod == cp.accrualPeriod() && dc == cp.dayCounter()))
{
throw new ApplicationException("cannot aggregate accrued amount of two different coupons on " + paymentDate);
}
}
else
{
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.accruedAmount(settlement);
}
return(result / notional(settlement) * 100.0);
}
private static double aggregateRate(Leg leg, CashFlow cf)
{
if (cf == null)
{
return(0.0);
}
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0.0;
double accrualPeriod = 0.0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
{
Coupon cp = x as Coupon;
if (cp != null)
{
if (firstCouponFound)
{
Utils.QL_REQUIRE(nominal.IsEqual(cp.nominal()) &&
accrualPeriod.IsEqual(cp.accrualPeriod()) &&
dc == cp.dayCounter(), () =>
"cannot aggregate two different coupons on "
+ paymentDate);
}
else
{
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.rate();
}
}
Utils.QL_REQUIRE(firstCouponFound, () => "no coupon paid at cashflow date " + paymentDate);
return(result);
}
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);
}
public void visit(Coupon c)
{
double bps = c.nominal() *
c.accrualPeriod() *
discountCurve_.discount(c.date());
bps_ += bps;
}
public void visit(Coupon c)
{
result_ += c.accrualPeriod() * c.nominal() * termStructure_.discount(c.date());
}
public void visit(Coupon c) {
result_ += c.accrualPeriod() * c.nominal() * termStructure_.discount(c.date());
}
