/// <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);
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
// Set up cashflow list
deal.Cashflows.CalculateInterest(factors.BaseDate);
// Add to valuation time grid
bool payDatesRequired = ValueOnCashflowDates() && requiredResults.CashRequired();
fT.AddPayDates <CFFixedInterest>(deal.Cashflows, payDatesRequired);
double baseDate = factors.BaseDate;
double settlementDate = deal.Settlement_Date;
if (settlementDate >= baseDate)
{
fT.AddPayDate(settlementDate, payDatesRequired);
var accrualCalendar = deal.GetHolidayCalendar();
fAccruedInterest = deal.Cashflows.CalculateAccrual(settlementDate, false, accrualCalendar);
fSettlementAmount = deal.Settlement_Amount;
if (deal.Settlement_Amount_Is_Clean == YesNo.Yes)
{
fSettlementAmount += fAccruedInterest;
}
}
// Settlement date takes precedence.
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, deal.Cashflows);
}
}
/// <summary>
/// Calculate valuation metrics requested by the Base Valuation calculation.
/// </summary>
private void CalculateMetrics(ValuationResults valuationResults, PriceFactorList factors, CFFixedInterestListDeal deal)
{
var results = valuationResults.Results <ValuationMetrics>();
if (results == null)
{
return;
}
if (results.IsMetricRequested(ValuationMetricConstants.Duration))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector duration = cache.GetClear();
Vector settlementDate = cache.Get(deal.Settlement_Date);
deal.Cashflows.Duration(duration, factors.BaseDate, factors.BaseDate, settlementDate, fDiscountRate, fCutoffDate);
results.SetMetricValue(ValuationMetricConstants.Duration, new ValuationId(this), duration[0]);
}
}
if (results.IsMetricRequested(ValuationMetricConstants.AccruedInterest))
{
double?parameter = results.GetMetricParameter(ValuationMetricParameterConstants.AccrueFromToday);
bool accrueFromToday = parameter.HasValue && parameter.Value == 1.0;
double accruedInterest = deal.Cashflows.CalculateAccrual(factors.BaseDate, accrueFromToday, deal.GetHolidayCalendar());
double buySellSign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
results.SetMetricValue(ValuationMetricConstants.AccruedInterest, new ValuationId(this), buySellSign * accruedInterest);
}
}
/// <summary>
/// Value the deal.
/// </summary>
/// <param name="pv">Present value to be updated.</param>
/// <param name="cash">Realised cash to be updated.</param>
public override void Value(Vector pv, Vector cash, double baseDate, double valueDate, ISACCRResult saccrResult,
IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
Value(pv, cash, baseDate, valueDate, null, fDiscountRate, null, fRepoRate, null, null, fSurvivalProb, saccrResult,
intraValuationDiagnosticsWriter);
// Add accruedInterest to Intra-valuation diagnostics
if (intraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
using (var cache = Vector.CacheLike(pv))
{
Vector accruedInterest = cache.Get(deal.Cashflows.CalculateAccrual(valueDate, false, deal.GetHolidayCalendar()));
IntraValuationDiagnosticsHelper.AddCashflowsAccruedInterest(fIntraValuationDiagnosticsWriter, accruedInterest);
}
}
}
