/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
var deal = (BondLendingBase)fDeal;
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
RequiresPrincipals = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = deal.Issue_Date,
MaturityDate = deal.Bond_Maturity_Date,
CouponPeriod = deal.Coupon_Interval,
FirstCouponDate = deal.First_Coupon_Date,
PenultimateCouponDate = deal.Penultimate_Coupon_Date,
AccrualCalendar = deal.GetHolidayCalendar(),
AccrualDayCount = deal.Accrual_Day_Count,
Principal = deal.Notional,
Amortisation = deal.Amortisation
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fPrincipals = dateGenerationResults.Principals;
fFinalPrincipal = dateGenerationResults.FinalPrincipal;
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.PreCloneInitialize(factors, baseTimes, resultsRequired);
// Set up date lists
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresAccrualDates = true,
RequiresYearFractions = true
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = fDeal.Effective_Date,
MaturityDate = fDeal.Maturity_Date,
CouponPeriod = fDeal.Pay_Frequency,
AccrualCalendar = fDeal.GetHolidayCalendar(),
AccrualDayCount = fDeal.Accrual_Day_Count,
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
AccrualDates = dateGenerationResults.AccrualDates;
PayDates = dateGenerationResults.PayDates;
Accruals = dateGenerationResults.AccrualYearFractions;
bool cashRequired = resultsRequired.CashRequired();
fT.AddPayDate(fDeal.Upfront_Date, cashRequired);
fT.AddPayDates(PayDates, cashRequired);
}
/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList Factors, BaseTimeGrid BaseTimes, RequiredResults ResultsRequired)
{
base.PreCloneInitialize(Factors, BaseTimes, ResultsRequired);
DealCreditLinkedNoteBase deal = (DealCreditLinkedNoteBase)fDeal;
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresResetDates = true,
RequiresYearFractions = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = deal.Effective_Date,
MaturityDate = deal.Maturity_Date,
CouponPeriod = deal.Coupon_Interval,
AccrualCalendar = deal.GetHolidayCalendar(),
AccrualDayCount = deal.Accrual_Day_Count,
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
PayDates = dateGenerationResults.PayDates;
Accruals = dateGenerationResults.AccrualYearFractions;
ResetDates = dateGenerationResults.ResetDates;
// Add to valuation time grid
bool cashRequired = ResultsRequired.CashRequired();
fT.AddPayDate(deal.Effective_Date, cashRequired);
fT.AddPayDates(PayDates, cashRequired);
}
/// <summary>
/// Returns a <see cref="DateGenerationResults"/> which contains bond futures option's dates and accrual information.
/// </summary>
/// <returns></returns>
public DateGenerationResults GetDateGenerationResults(double issueDate, double maturityDate, double couponInterval, double firstCouponDate, double penultimateCouponDate, DayCount dayCount, IHolidayCalendar calendar)
{
var dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
};
var dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
CouponPeriod = couponInterval,
FirstCouponDate = firstCouponDate,
PenultimateCouponDate = penultimateCouponDate,
AccrualCalendar = calendar,
AccrualDayCount = dayCount
};
return(CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams));
}
/// <summary>
/// Generate CTD dates and set CTD coupon rate and conversion factor.
/// </summary>
protected void GenerateCTD(double issueDate, double maturityDate, double couponInterval, double firstCouponDate, double penultimateCouponDate, DayCount dayCount, IHolidayCalendar calendar, double couponRate, double conversionFactor)
{
if (conversionFactor <= 0.0)
{
return; // No CTD details or details invalid
}
BondFuture deal = (BondFuture)fDeal;
if (deal.Settlement_Date >= maturityDate)
{
throw new AnalyticsException("Settlement date must be before cheapest-to-deliver maturity date.");
}
DateGenerationRequest dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresYearFractions = true,
};
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
CouponPeriod = couponInterval,
FirstCouponDate = firstCouponDate,
PenultimateCouponDate = penultimateCouponDate,
AccrualCalendar = calendar,
AccrualDayCount = dayCount
};
DateGenerationResults dateGenerationResults = CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams);
fPayDates = dateGenerationResults.PayDates;
fAccruals = dateGenerationResults.AccrualYearFractions;
fIssueDate = issueDate;
fMaturityDate = maturityDate;
fCouponRate = couponRate;
fConversionFactor = conversionFactor;
}
/// <summary>
/// Returns a <see cref="DateGenerationResults"/> which contains bond option's payment dates, pricipals and accrual year fractions information.
/// </summary>
public DateGenerationResults GetDateGenerationResults()
{
var dateGenerationRequest = new DateGenerationRequest
{
RequiresPayDates = true,
RequiresPrincipals = true,
RequiresYearFractions = true
};
var dateGenerationParams = new DateGenerationParams
{
EffectiveDate = Issue_Date,
MaturityDate = Bond_Maturity_Date,
CouponPeriod = Coupon_Interval,
FirstCouponDate = First_Coupon_Date,
PenultimateCouponDate = Penultimate_Coupon_Date,
AccrualCalendar = GetHolidayCalendar(),
AccrualDayCount = Accrual_Day_Count,
Principal = Notional,
Amortisation = Amortisation
};
return(CashflowGeneration.GenerateCashflowDateAndValueLists(dateGenerationRequest, dateGenerationParams));
}
