/// <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);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
// Set up cashflow list
IInflationRate inflationRate = deal.NeedInflationRate() ? factors.GetInterface <IInflationRate>(deal.Index) : null;
deal.GetCashflows().PreCloneInitialize(factors.BaseDate, inflationRate, deal.GetHolidayCalendar());
// Add to valuation time grid
deal.AddPayDates(fT);
if (deal.Investment_Horizon > 0.0)
{
fT.AddPayDate(deal.Investment_Horizon, requiredResults.CashRequired());
}
if (deal.Settlement_Date > 0.0)
{
fT.AddPayDate(deal.Settlement_Date, requiredResults.CashRequired());
}
// Recovery cashflows are created on the fly to respect customized cashflows
if (NeedRecoveryCashflows())
{
fRecoveryCashflowList = new CFRecoveryInflationList();
fRecoveryCashflowList.PopulateRecoveryCashflowList(factors.BaseDate, deal.Settlement_Date, deal.GetCashflows());
}
}
private static void Main(string[] args)
{
ServiceProvider serviceProvider = startup();
_inflation = serviceProvider.GetService <IInflationRate>();
// _inflation = new InflationRate();
var result = _inflation.GetInflationRateByYear(2030);
Console.WriteLine($"{result}");
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
/// <param name="factors">Price factors.</param>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
fIsDefaultNever = !NeedCreditRating();
fCreditRating = NeedCreditRating() ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = NeedRecoveryRate() ? factors.Get <RecoveryRate>(GetRecoveryRateID()) : null;
fSurvivalProb = NeedSurvivalProb() ? factors.GetInterface <ISurvivalProb>(GetSurvivalProbID()) : null;
fInflationRate = !string.IsNullOrEmpty(deal.Index) ? factors.GetInterface <IInflationRate>(deal.Index) : null;
fRepoRate = !string.IsNullOrEmpty(deal.Repo_Rate) ? factors.GetInterface <IInterestRate>(deal.Repo_Rate) : fDiscountRate;
fIndexVolatility = deal is InflationOptionCashflowListDeal?factors.GetInterface <IPriceIndexVolatility>(GetPriceIndexVolatility()) : null;
}
public AmountService(IInflationRate inflationRate, ILogger logger)
{
this.inflationRate = inflationRate;
this.logger = logger;
}
public InflationService(IInflationRate inflationRate, IMyLogger myLogger)
{
this._inflationRate = inflationRate;
this._myLogger = myLogger;
}
public SalaryService(IInflationRate inflationRate, ILog log)
{
this._inflationRate = inflationRate;
this._log = log;
}
public AmountService(ILogger logger, IInflationRate inflationRate)
{
_logger = logger;
this._inflationRate = inflationRate;
}
/// <summary>
/// Returns the payment amount on settlement date based on the cashflowlist.
/// </summary>
/// <remarks>
/// The payment amount on settlement date will be either the dirty price of the bond or the clean price of the bond plus
/// the accrued interest (two cashflows). Note that for a long position in a bond forward, this value is negative
/// (indicating outgoing cashflow).
/// </remarks>
protected virtual void GetSettlementAmount(Vector amount, double valueDate, double baseDate, IInflationRate inflationRate, IPriceIndexVolatility indexVolatility)
{
amount.Clear();
using (var cache = Vector.CacheLike(amount))
{
var deal = (IInflationCashflowListDeal)Deal;
var cashflows = deal.GetCashflows();
Vector settlementPay = cache.Get();
for (int i = 0; i < cashflows.Count(); ++i)
{
if (cashflows.GetCashflow(i).Payment_Date < deal.Settlement_Date)
{
continue;
}
else if (cashflows.GetCashflow(i).Payment_Date == deal.Settlement_Date)
{
cashflows.GetCashflow(i).ExpectedAmount(settlementPay, CalcUtils.DaysToYears(valueDate - baseDate), inflationRate, indexVolatility,
IntraValuationDiagnosticsWriterFactory.GetOrCreate(IntraValuationDiagnosticsLevel.None));
amount.Add(settlementPay);
}
else
{
break;
}
}
}
}
/// <summary>
/// Returns the current exposure amount in nominal dollars based on the recovery cashflowlist
/// </summary>
protected void GetCurrentExposure(Vector exposure, double t, double valueDate, IInflationRate inflationRate)
{
if (fRecoveryCashflowList != null)
{
for (int i = 0; i < fRecoveryCashflowList.Count(); i++)
{
if (fRecoveryCashflowList[i].Payment_Date >= valueDate)
{
var cashflow = fRecoveryCashflowList[i];
cashflow.GetExposure(exposure, t, valueDate, inflationRate);
return;
}
}
}
exposure.Assign(0.0);
}
/// <summary>
/// Modify the pv and cash taking the date of default into account.
/// </summary>
protected void GetDefaultValue(double baseDate, double valueDate, Vector defaultDate, IInflationRate inflationRate, IPriceIndexVolatility indexVolatility, IInterestRate repo, Vector pv, Vector cash)
{
IInflationCashflowListDeal deal = (IInflationCashflowListDeal)Deal;
double settlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double buySellSign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
if (repo == null)
{
repo = fDiscountRate;
}
using (var cache = Vector.CacheLike(pv))
{
Vector principal = cache.Get();
GetCurrentExposure(principal, t, valueDate, inflationRate);
// Approximation: recover only principal, neglecting accrued interest.
Vector recovery = cache.Get(buySellSign * principal * fRecoveryRate.Get(t));
if (valueDate <= settlementDate)
{
// Set the pv to (recovery - |settlementAmount|) * df when defaultDate <= valueDate <= settlementDate.
// Set cash to (recovery - |settlementAmount|) when defaultDate <= valueDate = settlementDate (cash is always zero before settlementDate).
// Note that GetSettlementAmount(...) will return a negative value for a long bond position, indicating an outgoing cashflow.
double tSettle = CalcUtils.DaysToYears(settlementDate - baseDate);
Vector settlementAmount = cache.Get();
GetSettlementAmount(settlementAmount, valueDate, baseDate, inflationRate, indexVolatility);
settlementAmount.MultiplyBy(buySellSign);
Vector hasDefaulted = cache.Get(defaultDate <= valueDate);
pv.AssignConditional(hasDefaulted, repo.Get(t, tSettle) * (recovery + settlementAmount), pv);
if (cash != null && valueDate == settlementDate)
{
cash.AssignConditional(hasDefaulted, pv, cash);
}
}
else
{
// after settlement date
recovery.MultiplyBy(defaultDate >= valueDate); // set to zero if already defaulted
Vector notDefaulted = cache.Get(defaultDate > valueDate);
pv.AssignConditional(notDefaulted, pv, recovery);
if (cash != null)
{
cash.AssignConditional(notDefaulted, cash, recovery);
}
}
}
}
public AmountService(IInflationRate object1, ILogger object2)
{
this._rate = object1;
this._log = object2;
}
