public override double yearFraction(Date d1, Date d2, Date d3, Date d4)
{
if (d1 == d2)
{
return(0.0);
}
if (d2 < d1)
{
return(-yearFraction(d2, d1, d3, d4));
}
List <Date> couponDates =
getListOfPeriodDatesIncludingQuasiPayments(schedule_);
double yearFractionSum = 0.0;
for (int i = 0; i < couponDates.Count - 1; i++)
{
Date startReferencePeriod = couponDates[i];
Date endReferencePeriod = couponDates[i + 1];
if (d1 < endReferencePeriod && d2 > startReferencePeriod)
{
yearFractionSum +=
yearFractionWithReferenceDates(this,
Date.Max(d1, startReferencePeriod),
Date.Min(d2, endReferencePeriod),
startReferencePeriod,
endReferencePeriod);
}
}
return(yearFractionSum);
}
public override double swapletRate()
{
List <Date> fixingDates = coupon_.fixingDates();
InterestRateIndex index = coupon_.index();
int cutoffDays = 0; // to be verified
Date startDate = coupon_.accrualStartDate() - cutoffDays,
endDate = coupon_.accrualEndDate() - cutoffDays,
d1 = startDate,
d2 = startDate;
if (!(fixingDates.Count > 0))
{
throw new ApplicationException("fixing date list empty");
}
if (!(index.valueDate(fixingDates.First()) <= startDate))
{
throw new ApplicationException("first fixing date valid after period start");
}
if (!(index.valueDate(fixingDates.Last()) >= endDate))
{
throw new ApplicationException("last fixing date valid before period end");
}
double avgBMA = 0.0;
int days = 0;
for (int i = 0; i < fixingDates.Count - 1; ++i)
{
Date valueDate = index.valueDate(fixingDates[i]);
Date nextValueDate = index.valueDate(fixingDates[i + 1]);
if (fixingDates[i] >= endDate || valueDate >= endDate)
{
break;
}
if (fixingDates[i + 1] < startDate || nextValueDate <= startDate)
{
continue;
}
d2 = Date.Min(nextValueDate, endDate);
avgBMA += index.fixing(fixingDates[i]) * (d2 - d1);
days += d2 - d1;
d1 = d2;
}
avgBMA /= (endDate - startDate);
if (!(days == endDate - startDate))
{
throw new ApplicationException("averaging days " + days + " differ from " +
"interest days " + (endDate - startDate));
}
return(coupon_.gearing() * avgBMA + coupon_.spread());
}
public override Date maxDate()
{
Date maxDate = Date.Min(underlyingDividendTS_.currentLink().maxDate(),
riskFreeTS_.currentLink().maxDate());
maxDate = Date.Min(maxDate, foreignRiskFreeTS_.currentLink().maxDate());
maxDate = Date.Min(maxDate, underlyingBlackVolTS_.currentLink().maxDate());
maxDate = Date.Min(maxDate, exchRateBlackVolTS_.currentLink().maxDate());
return(maxDate);
}
//! accrued days at the given date
public int accruedDays(Date d)
{
if (d <= accrualStartDate_ || d > paymentDate_)
{
return(0);
}
else
{
return(dayCounter().dayCount(accrualStartDate_, Date.Min(d, accrualEndDate_)));
}
}
public override double accruedAmount(Date d)
{
if (d <= accrualStartDate_ || d > paymentDate_)
{
return(0);
}
else
{
return(nominal() * rate() *
dayCounter().yearFraction(accrualStartDate_, Date.Min(d, accrualEndDate_), refPeriodStart_, refPeriodEnd_));
}
}
public override double accruedAmount(Date d)
{
if (d <= accrualStartDate_ || d > paymentDate_)
{
return(0);
}
else
{
return(nominal() * (rate_.compoundFactor(accrualStartDate_, Date.Min(d, accrualEndDate_),
refPeriodStart_, refPeriodEnd_) - 1.0));
}
}
//! accrued period as fraction of year at the given date
public double accruedPeriod(Date d)
{
if (d <= accrualStartDate_ || d > paymentDate_)
{
return(0.0);
}
else
{
return(dayCounter().yearFraction(accrualStartDate_,
Date.Min(d, accrualEndDate_),
refPeriodStart_,
refPeriodEnd_));
}
}
public static Date startDate(Leg leg)
{
Utils.QL_REQUIRE(!leg.empty(), () => "empty leg");
Date d = Date.maxDate();
for (int i = 0; i < leg.Count; ++i)
{
Coupon c = leg[i] as Coupon;
if (c != null)
{
d = Date.Min(d, c.accrualStartDate());
}
else
{
d = Date.Min(d, leg[i].date());
}
}
return(d);
}
public override void calculate()
{
Utils.QL_REQUIRE(integrationStep_ != null, () => "null period set");
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discount term structure set");
Utils.QL_REQUIRE(!probability_.empty(), () => "no probability term structure set");
Date today = Settings.evaluationDate();
Date settlementDate = discountCurve_.link.referenceDate();
// Upfront Flow NPV. Either we are on-the-run (no flow)
// or we are forward start
double upfPVO1 = 0.0;
if (!arguments_.upfrontPayment.hasOccurred(settlementDate, includeSettlementDateFlows_))
{
// date determining the probability survival so we have to pay
// the upfront (did not knock out)
Date effectiveUpfrontDate =
arguments_.protectionStart > probability_.link.referenceDate() ?
arguments_.protectionStart : probability_.link.referenceDate();
upfPVO1 =
probability_.link.survivalProbability(effectiveUpfrontDate) *
discountCurve_.link.discount(arguments_.upfrontPayment.date());
}
results_.upfrontNPV = upfPVO1 * arguments_.upfrontPayment.amount();
results_.couponLegNPV = 0.0;
results_.defaultLegNPV = 0.0;
for (int i = 0; i < arguments_.leg.Count; ++i)
{
if (arguments_.leg[i].hasOccurred(settlementDate,
includeSettlementDateFlows_))
{
continue;
}
FixedRateCoupon coupon = arguments_.leg[i] as FixedRateCoupon;
// In order to avoid a few switches, we calculate the NPV
// of both legs as a positive quantity. We'll give them
// the right sign at the end.
Date paymentDate = coupon.date(),
startDate = (i == 0 ? arguments_.protectionStart :
coupon.accrualStartDate()),
endDate = coupon.accrualEndDate();
Date effectiveStartDate =
(startDate <= today && today <= endDate) ? today : startDate;
double couponAmount = coupon.amount();
double S = probability_.link.survivalProbability(paymentDate);
// On one side, we add the fixed rate payments in case of
// survival.
results_.couponLegNPV +=
S * couponAmount * discountCurve_.link.discount(paymentDate);
// On the other side, we add the payment (and possibly the
// accrual) in case of default.
Period step = integrationStep_;
Date d0 = effectiveStartDate;
Date d1 = Date.Min(d0 + step, endDate);
double P0 = probability_.link.defaultProbability(d0);
double endDiscount = discountCurve_.link.discount(paymentDate);
do
{
double B =
arguments_.paysAtDefaultTime ?
discountCurve_.link.discount(d1) :
endDiscount;
double P1 = probability_.link.defaultProbability(d1);
double dP = P1 - P0;
// accrual...
if (arguments_.settlesAccrual)
{
if (arguments_.paysAtDefaultTime)
{
results_.couponLegNPV +=
coupon.accruedAmount(d1) * B * dP;
}
else
{
results_.couponLegNPV +=
couponAmount * B * dP;
}
}
// ...and claim.
double claim = arguments_.claim.amount(d1,
arguments_.notional.Value,
recoveryRate_);
results_.defaultLegNPV += claim * B * dP;
// setup for next time around the loop
P0 = P1;
d0 = d1;
d1 = Date.Min(d0 + step, endDate);
} while (d0 < endDate);
}
double upfrontSign = 1.0;
switch (arguments_.side)
{
case Protection.Side.Seller:
results_.defaultLegNPV *= -1.0;
break;
case Protection.Side.Buyer:
results_.couponLegNPV *= -1.0;
results_.upfrontNPV *= -1.0;
upfrontSign = -1.0;
break;
default:
Utils.QL_FAIL("unknown protection side");
break;
}
results_.value =
results_.defaultLegNPV + results_.couponLegNPV + results_.upfrontNPV;
results_.errorEstimate = null;
if (results_.couponLegNPV != 0.0)
{
results_.fairSpread =
-results_.defaultLegNPV * arguments_.spread / results_.couponLegNPV;
}
else
{
results_.fairSpread = null;
}
double upfrontSensitivity = upfPVO1 * arguments_.notional.Value;
if (upfrontSensitivity != 0.0)
{
results_.fairUpfront =
-upfrontSign * (results_.defaultLegNPV + results_.couponLegNPV)
/ upfrontSensitivity;
}
else
{
results_.fairUpfront = null;
}
if (arguments_.spread != 0.0)
{
results_.couponLegBPS =
results_.couponLegNPV * basisPoint / arguments_.spread;
}
else
{
results_.couponLegBPS = null;
}
if (arguments_.upfront.HasValue && arguments_.upfront.Value != 0.0)
{
results_.upfrontBPS =
results_.upfrontNPV * basisPoint / (arguments_.upfront.Value);
}
else
{
results_.upfrontBPS = null;
}
}
