/// <summary> /// Get price factors. /// </summary> private void PreValue(PriceFactorList factors) { var deal = (CalendarSpreadOption)Deal; // Get forward price samples. fForwardSample = factors.Get <ForwardPriceSample>(deal.Sampling_Type); // Get ReferencePrice price factors. fReferencePrice1 = factors.GetInterface <IReferencePrice>(deal.Reference_Type); fReferencePrice2 = factors.GetInterface <IReferencePrice>(deal.Reference_Type); // Get ReferenceVol price factors. // Default to Reference Type if Reference Vol Type is not set. if (string.IsNullOrEmpty(deal.Reference_Vol_Type)) { fReferenceVol1 = factors.Get <ReferenceVol>(deal.Reference_Type); fReferenceVol2 = factors.Get <ReferenceVol>(deal.Reference_Type); } else { fReferenceVol1 = factors.Get <ReferenceVol>(deal.Reference_Vol_Type); fReferenceVol2 = factors.Get <ReferenceVol>(deal.Reference_Vol_Type); } // Get correlation price factor based on the ID of the forward price. fCorrelations = factors.Get <ForwardPriceCorrelations>(fReferencePrice1.GetForwardPrice()); // Get FX rate price factors. fFxRate = factors.GetInterface <IFxRate>(deal.Currency); fFxPayoffRate = factors.GetInterface <IFxRate>(deal.DealCurrency()); fPriceFactorFxRate = factors.GetInterface <IFxRate>(fReferencePrice1.DomesticCurrency()); // Get discount rate price factor. fDiscountRate = factors.GetInterface <IInterestRate>(InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency)); }
/// <summary> /// Prepare for valuation anything that is dependent upon the scenario. /// </summary> public override void PreValue(PriceFactorList factors) { base.PreValue(factors); CFFixedInterestListDeal deal = (CFFixedInterestListDeal)fDeal; // Get factor for translation from rate currency to settlement currency for cashflows with FX reset date if (!string.IsNullOrEmpty(deal.Rate_Currency) && deal.Rate_Currency != fCurrency) { fRateFxRate = factors.GetInterface <IFxRate>(deal.Rate_Currency); } }
/// <summary> /// Prepare for valuation. /// </summary> public override void PreValue(PriceFactorList factors) { var deal = (CFFloatingInterestListDeal)Deal; base.PreValue(factors); bool quanto = fForecastIsForeign && fCharacteristics.HasQuanto && Quanto_Correction == YesNo.Yes; bool convexity = !fCharacteristics.IsStandardLibor && Convexity_Correction == YesNo.Yes; // volatility surfaces for forecast rate if (fCharacteristics.HasCms) { fForecastYieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency); } if (fCharacteristics.HasLibor && (fCharacteristics.HasOptionlet || convexity || quanto)) { fForecastRateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency); } // volatility surfaces for discount rate if (convexity) { // Discount rate volatility and correlation for convexity correction if (fCharacteristics.HasCms) { fDiscountYieldVol = InterestVolBase.GetYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency); } if (fCharacteristics.HasLibor) { fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency); } } if (fForecastIsForeign) { // Get factor for translation from forecast rate currency to settlement currency for cashflows with FX reset date if (fCharacteristics.HasFXReset) { fForecastFxRate = factors.GetInterface <IFxRate>(fForecastCurrency); } if (quanto) { fForecastFxVol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency); fForecastFxCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency); fForecastDiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fCurrency, null); } } }
/// <summary> /// Constructor. /// </summary> public CreditValuationParameters(DealCreditBase deal, CreditBaseValuation valuation, PriceFactorList factors, VectorScopedCache.Scope cache) { DF = DiscountRate.Get(factors, InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency)); X = factors.GetInterface <IFxRate>(deal.Currency); SP = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Name : deal.Survival_Probability); RR = null; CR = null; DefaultTime = null; Weights = null; NamesDefaultedBeforeBaseDate = null; if (valuation.Respect_Default == YesNo.Yes) { List <string> names = new List <string>(); if (deal.ProtectionReferenceType() == DealCreditBase.ReferenceType.Single_Name) { names.Add(deal.Name); Weights = new double[] { 1.0 }; } else { IndexCDSPool indexCds = factors.Get <IndexCDSPool>(deal.Name); Weights = new double[indexCds.Names.Count]; for (int i = 0; i < indexCds.Names.Count; ++i) { names.Add(indexCds.Names[i].Name); Weights[i] = indexCds.Names[i].Weight; } } if (valuation.RequiresRecoveryOnDefault()) { RR = new RecoveryRate[names.Count]; for (int i = 0; i < names.Count; ++i) { RR[i] = factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? names[i] : deal.Recovery_Rate); } } CR = new CreditRating[names.Count]; NamesDefaultedBeforeBaseDate = new bool[names.Count]; DefaultTime = new Vector[names.Count]; for (int i = 0; i < names.Count; ++i) { DefaultTime[i] = cache.Get(); CR[i] = factors.Get <CreditRating>(names[i]); NamesDefaultedBeforeBaseDate[i] = CreditRating.DefaultedBeforeBaseDate(CR[i], factors.BaseDate); CR[i].DefaultTime(DefaultTime[i]); } } }
/// <inheritdoc /> public void PreValue(PriceFactorList factors) { var deal = (SwaptionDeal)Deal; var discountId = InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency); var forecastId = InterestRateUtils.GetRateId(deal.Forecast_Rate, discountId); fModelParameters = factors.Get <HullWhite1FactorModelParameters>(fModelParametersId); fFxRate = factors.GetInterface <IFxRate>(deal.Currency); fDiscountRate = DiscountRate.Get(factors, discountId); fForecastRate = factors.GetInterface <IInterestRate>(forecastId); fQuadrature = new Lazy <GaussHermiteNormalQuadrature>(() => new GaussHermiteNormalQuadrature(30)); }
/// <summary> /// Calculate a valuation profile for a range of scenarios. /// </summary> public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes) { IAssetPrice price = GetAssetPrice(factors); PVProfiles result = valuationResults.Profile; double scale = fDeal.Units * (fDeal.Buy_Sell == BuySell.Buy ? +1 : -1); var tgi = new TimeGridIterator(fT); VectorEngine.For(tgi, () => result.AppendVector(tgi.Date, scale * price.Get(tgi.T))); result.Complete(fT); CashAccumulators cashAccumulators = valuationResults.Cash; double endDate = Deal.EndDate(); if (!cashAccumulators.Ignore && endDate <= fT.fHorizon) { double tEnd = CalcUtils.DaysToYears(endDate - factors.BaseDate); IFxRate fxRate = factors.GetInterface <IFxRate>(fDeal.Currency); cashAccumulators.Accumulate(fxRate, endDate, scale * price.Get(tEnd) / fxRate.Get(tEnd)); } }
/// <summary> /// Prepare for valuation. /// </summary> public override void PreValue(PriceFactorList factors) { base.PreValue(factors); var deal = (CFEquityFloatingInterestListDeal)Deal; deal.GetDealHelper().PreValueAsset(out fEquity, out fEquityVol, ref fEquityQuantoCompo, factors); // Get FX rate price factors fEquityCurrency = deal.Equity_Currency; fEquityPayoffCurrency = string.IsNullOrEmpty(deal.Equity_Payoff_Currency) ? fEquityCurrency : deal.Equity_Payoff_Currency; fEquityFXRate = factors.GetInterface <IFxRate>(fEquityCurrency); fEquityPayoffFXRate = fEquityPayoffCurrency != fEquityCurrency?factors.GetInterface <IFxRate>(fEquityPayoffCurrency) : fEquityFXRate; bool quanto = fForecastIsForeign && Quanto_Correction == YesNo.Yes; if (fCharacteristics.fHasLibor) { // volatility surfaces for forecast rate if ((!fCharacteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes) || quanto) { fForecastRateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency); } // volatility surfaces for discount rate if (!fCharacteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes) { fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency); } } if (quanto) { fForecastFXVol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency); fForecastFXCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency); fForecastDiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fCurrency, null); } }
private static decimal getSpread(IFxRate rate) { return Math.Round(rate.Offer - rate.Bid, 4); }
private static decimal getDelta(IFxRate rate) { return Math.Round(rate.Offer - rate.PreviousOffer, 4); }
/// <summary> /// Value the deal from given base date, price factors and time grid. /// </summary> public void Value(PVProfiles pvResults, CashAccumulators cashResults, double baseDate, IInterestRate discountRate, IInterestRate forecastRate1, IInterestRate forecastRate2, IFxRate fxRate, TimeGrid timeGrid, int numScenarios) { var tgi = new TimeGridIterator(timeGrid); var deal = (FloatingInterestCashflowInterpolatedDeal)Deal; bool hasRate1 = deal.HasRate1(); bool hasRate2 = deal.HasRate2(); double scale = deal.Buy_Sell == BuySell.Buy ? +deal.Principal : -deal.Principal; double tPay = CalcUtils.DaysToYears(fPaymentDate - baseDate); double tReset = CalcUtils.DaysToYears(deal.Reset_Date - baseDate); double tRateStart = CalcUtils.DaysToYears(deal.Rate_Start_Date - baseDate); double tRateEnd1 = hasRate1 ? CalcUtils.DaysToYears(fRate1EndDate - baseDate) : 0.0; double tRateEnd2 = hasRate2 ? CalcUtils.DaysToYears(fRate2EndDate - baseDate) : 0.0; double tRateEnd12 = tRateEnd2 - tRateEnd1; // Time from rate 1 end date to rate 2 end date. double tAccrualEnd = CalcUtils.DaysToYears(deal.Accrual_End_Date - baseDate); double interpCoefficient = Math.Abs(tRateEnd12) >= CalcUtils.MinTime ? (tAccrualEnd - tRateEnd1) / tRateEnd12 : 0.0; // Coefficient used to calculate interpolated rate. VectorEngine.For(tgi, () => { using (var cache = Vector.Cache(numScenarios)) { Vector pv = cache.Get(); if (tgi.Date <= fPaymentDate && fPaymentDate > fCutoffDate) { Vector interpRate = cache.GetClear(); Vector rate1 = cache.GetClear(); Vector rate2 = cache.GetClear(); if (hasRate1) { if (fKnownResetRate1.HasValue) { rate1.Assign(fKnownResetRate1.Value); } else { InterestRateUtils.LiborRate(rate1, forecastRate1, tgi.T, tReset, tRateStart, tRateEnd1, fRate1YearFraction); } } if (hasRate2) { if (fKnownResetRate2.HasValue) { rate2.Assign(fKnownResetRate2.Value); } else { InterestRateUtils.LiborRate(rate2, forecastRate2, tgi.T, tReset, tRateStart, tRateEnd2, fRate2YearFraction); } } if (hasRate1 && hasRate2) { if (Math.Abs(tRateEnd12) >= CalcUtils.MinTime) { interpRate.Assign(rate1 + interpCoefficient * (rate2 - rate1)); } else { interpRate.Assign(0.5 * rate1 + 0.5 * rate2); } } else { interpRate.Assign(hasRate1 ? rate1 : rate2); } // Round the calculated rate, regardless whether the valuation date is before or after the reset date. CFFloatingInterestList.RoundRateTo(deal.Interpolated_Rate_Rounding, interpRate); pv.Assign(scale * (interpRate + deal.Margin) * fAccrualYearFraction); CFFixedList.RoundCashflow(pv, Cashflow_Rounding); if (tgi.Date < fPaymentDate) { pv.MultiplyBy(discountRate.Get(tgi.T, tPay)); } else if (tgi.Date == fPaymentDate) { cashResults.Accumulate(fxRate, fPaymentDate, pv); } } else { pv.Clear(); } pvResults.AppendVector(tgi.Date, pv * fxRate.Get(tgi.T)); } }); // After maturity pvResults.Complete(timeGrid); }