/// <summary>
/// Value the fixed and floating legs of the swap.
/// </summary>
private void ValueFixedAndFloatingLegs(TimeGridIterator tgi, Vector fixedPv, Vector fixedCash, double baseDate, Vector floatPv, Vector floatCash)
{
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartSwaptionCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T,
CashflowType.FixedLeg, fSwaptionDeal.Floating_Margin))
{
// Calculate value of fixed side
fixedPv.Clear();
fixedCash.Clear();
fFixedCashflowList.Value(fixedPv, fixedCash, null, baseDate, tgi.Date, null, fDiscountRate, null, null, null, fIntraValuationDiagnosticsWriter, 0.0);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, fixedPv);
}
using (IntraValuationDiagnosticsHelper.StartSwaptionCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T,
CashflowType.FloatingLeg, fSwaptionDeal.Floating_Margin))
{
// Calculate value of floating side
floatPv.Clear();
floatCash.Clear();
fFloatCashflowList.ValueSwap(floatPv, floatCash, null, baseDate, tgi.Date, null, 0.0, fDiscountRate, fForecastRate, false, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, floatPv);
}
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
BondOptionDeal deal = (BondOptionDeal)Deal;
double baseDate = factors.BaseDate;
double notional = deal.Notional;
double interval = deal.Coupon_Interval;
double buySign = (deal.Buy_Sell == BuySell.Buy) ? +1 : -1;
double paySign = (deal.Option_Type == OptionType.Call) ? +1 : -1;
double coupon = Percentage.PercentagePoint * deal.Coupon_Rate;
double tExpiry = CalcUtils.DaysToYears(deal.Expiry_Date - baseDate);
double tMaturity = CalcUtils.DaysToYears(deal.Bond_Maturity_Date - baseDate);
IInterestYieldVol interestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
if ((deal.Amortisation) != null && (deal.Amortisation.Count > 0))
{
notional = deal.Amortisation.GetPrincipal(notional, deal.Expiry_Date);
}
bool respectDefault = Respect_Default == YesNo.Yes && fCreditRating != null;
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, Deal))
{
using (var pricerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultTime = null;
Vector bondIsAlive = null;
Vector historicalRecovery = null;
if (respectDefault)
{
defaultTime = pricerCache.Get();
bondIsAlive = pricerCache.Get(1.0);
historicalRecovery = pricerCache.GetClear();
fCreditRating.DefaultTime(defaultTime);
}
var defaultedBeforeBaseDate = respectDefault && CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
VectorEngine.For(tgi, () =>
{
using (IntraValuationDiagnosticsHelper.StartValuation(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector optionValue = cache.GetClear();
Vector stdDev = cache.Get(); // Std.Dev of Price
Vector stdDevYield = cache.Get(); //Std.Dev of Yield
Vector price = cache.Get();
Vector yield = cache.Get();
Vector macaulayDuration = cache.Get();
Vector bondValue = cache.Get();
Vector df = cache.Get();
Vector dfr = fRepoIsDiscount ? null : cache.Get();
if (defaultedBeforeBaseDate)
{
result.AppendVector(tgi.Date, optionValue);
return(LoopAction.Break);
}
// This BondPrice function returns the value of the bond cashflows after ExpiryDate, including accrual, discounted back to T.date
double accrual, cash;
PricingFunctions.BondPrice(bondValue, out accrual, out cash, baseDate, tgi.Date, deal.Expiry_Date, deal.Issue_Date, deal.Bond_Maturity_Date, notional, coupon, fPayDates, fAccruals, fDiscountRate, deal.Amortisation, fPrincipals, fFinalPrincipal, fSurvivalProb, +1.0);
// Now check scenario by scenario for defaults, overwriting bondValue as necessary
if (respectDefault)
{
AdjustBondValueForDefault(notional, tExpiry, bondValue, bondIsAlive, historicalRecovery, defaultTime, tgi.T, fDiscountRate, fRecoveryRate);
}
// convert price and duration to forward (tExpiry) basis
if (tgi.Date == deal.Expiry_Date)
{
optionValue.Assign(buySign * VectorMath.Max(0.0, paySign * (bondValue - notional * fStrike)));
cashAccumulators.Accumulate(fFxRate, tgi.Date, optionValue);
}
else
{
fDiscountRate.GetValue(df, tgi.T, tExpiry);
if (fRepoIsDiscount)
{
dfr = df;
}
else
{
fRepoRate.GetValue(dfr, tgi.T, tExpiry);
}
// Need yield and duration to convert yield vol to price vol.
PricingFunctions.BondForwardPriceAndAdjustedMacaulayDuration(price, macaulayDuration, tgi.T, tExpiry, tMaturity, coupon, interval, df, fDiscountRate, fSurvivalProb);
PricingFunctions.BondYieldFromPrice(yield, tExpiry, tMaturity, coupon, interval, price);
// Calculate Modified Duration from Macaulay Duration.
Vector modifiedDuration = cache.GetClear();
PricingFunctions.GetModifiedDuration(modifiedDuration, macaulayDuration, yield, interval);
// Calculate Std.Dev of Yield and Price
interestYieldVol.GetStdDev(stdDevYield, tgi.T, yield, fStrikeYield, tExpiry, tMaturity - tExpiry);
stdDev.Assign(modifiedDuration * stdDevYield);
if (interestYieldVol.GetDistributionType() == ProbabilityDistribution.Lognormal)
{
stdDev.MultiplyBy(yield);
}
price.AssignQuotient(bondValue, df);
PricingFunctions.BlackFunction(optionValue, deal.Option_Type, price, notional * fStrike, stdDev);
optionValue.MultiplyBy(buySign * dfr);
if (fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
// Add Intra-valuation Diagnostics
using (var volatilitiesAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
using (var volatilitiesYieldAtDateStore = IntraValuationDiagnosticsHelper.CreateVolatilitiesAtDateStore(fIntraValuationDiagnosticsWriter, factors.NumScenarios))
{
volatilitiesAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDev);
volatilitiesYieldAtDateStore.Add(tgi.Date, tgi.TimeGrid.fEndDate, stdDevYield);
IntraValuationDiagnosticsHelper.AddBondOptionProperties(fIntraValuationDiagnosticsWriter, price, dfr, bondValue, accrual,
volatilitiesAtDateStore, volatilitiesYieldAtDateStore);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, optionValue);
}
}
}
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * optionValue);
return(LoopAction.Continue);
}
}
});
}
result.Complete(fT);
}
}
/// <summary>
/// Calculate a valuation profile for the deal for the current scenario.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var deal = (CFListBaseDeal <TCashflowList>)fDeal;
double baseDate = factors.BaseDate;
var tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
double endDate = deal.EndDate();
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, fDeal))
{
using (var outerCache = Vector.Cache(factors.NumScenarios))
{
Vector defaultDate = fCreditRating != null?outerCache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
var defaultedBeforeBaseDate = CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
bool collectCash = ValueOnCashflowDates();
var saccrResult = SACCRResultFactory.Create(valuationResults, deal.GetDealReferenceProvider().DealReference,
() => new SACCROptionResult(factors.NumScenarios));
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.GetClear();
Vector cash = collectCash ? cache.GetClear() : null;
if (!defaultedBeforeBaseDate)
{
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T, deal))
{
Value(pv, cash, baseDate, tgi.Date, saccrResult, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, pv);
}
}
if (fCreditRating != null)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
GetDefaultValue(baseDate, tgi.Date, defaultDate, fRecoveryRate, pv, cash);
}
}
result.AppendVector(tgi.Date, pv * fFxRate.Get(tgi.T));
if (!cashAccumulators.Ignore && cash != null)
{
// Realise all value as cash on deal end date
if (tgi.Date == endDate)
{
cash.Assign(pv);
}
cashAccumulators.Accumulate(fFxRate, tgi.Date, cash);
}
}
});
if (!cashAccumulators.Ignore && !collectCash)
{
CollectCashflows(cashAccumulators, baseDate, fT.fHorizon);
// Consolidate and net in order to avoid getting Net incoming and outgoing cashflows with the same payment date,
// e.g. for compounding swaps with both positive and negative rates.
cashAccumulators.ConsolidateAndNet(fCurrency, factors);
}
result.Complete(fT);
}
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
var result = valuationResults.Profile;
var cashAccumulator = valuationResults.Cash;
var accruedResults = valuationResults.Results <AccruedInterest>();
var deal = (IInflationCashflowListDeal)Deal;
double sign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
var cashflows = deal.GetCashflows();
var calendar = deal.GetHolidayCalendar();
double baseDate = factors.BaseDate;
var tgi = new TimeGridIterator(fT);
CalculateMetrics(valuationResults, factors, deal);
using (IntraValuationDiagnosticsHelper.StartDeal(fIntraValuationDiagnosticsWriter, fDeal))
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector defaultDate = null;
if (!fIsDefaultNever)
{
defaultDate = fCreditRating != null?cache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
}
Vector pv = cache.GetClear();
Vector cash = cashAccumulator.Ignore ? null : cache.Get();
Vector accruedInterest = cache.GetClear();
VectorEngine.For(tgi, () =>
{
if (!fIsDefaultNever && CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate))
{
result.AppendVector(tgi.Date, pv);
return(LoopAction.Break);
}
using (IntraValuationDiagnosticsHelper.StartCashflowsOnDate(fIntraValuationDiagnosticsWriter, tgi.Date))
{
using (IntraValuationDiagnosticsHelper.StartCashflows(fIntraValuationDiagnosticsWriter, fFxRate, tgi.T, fDeal))
{
cashflows.Value(pv, cash, baseDate, tgi.Date, deal.Settlement_Date, fInflationRate, fIndexVolatility,
fDiscountRate, fRepoRate, fSurvivalProb, sign, fIntraValuationDiagnosticsWriter);
IntraValuationDiagnosticsHelper.AddCashflowsPV(fIntraValuationDiagnosticsWriter, pv);
if (fRecoveryCashflowList != null && fRecoveryCashflowList.Items.Count > 0)
{
fRecoveryCashflowList.Value(pv, cash, baseDate, tgi.Date, deal.Settlement_Date, fDiscountRate, fRepoRate, fInflationRate, fSurvivalProb, sign);
}
// Temporary fix up to avoid calculating default when we know the model doesn't support default
if (!fIsDefaultNever)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
GetDefaultValue(baseDate, tgi.Date, defaultDate, fInflationRate, fIndexVolatility, fRepoRate, pv, cash);
}
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * pv);
if (cash != null)
{
cashAccumulator.Accumulate(fFxRate, tgi.Date, cash);
}
if (accruedResults != null)
{
cashflows.CalculateAccrual(accruedInterest, baseDate, tgi.Date, accruedResults.AccrueFromToday, calendar, fInflationRate, fIndexVolatility, sign);
accruedResults.SetValue(tgi.Date, accruedInterest);
}
else if (fIntraValuationDiagnosticsWriter.Level > IntraValuationDiagnosticsLevel.None)
{
cashflows.CalculateAccrual(accruedInterest, baseDate, tgi.Date, false, calendar, fInflationRate, fIndexVolatility, sign);
}
IntraValuationDiagnosticsHelper.AddCashflowsAccruedInterest(fIntraValuationDiagnosticsWriter, accruedInterest);
}
}
return(LoopAction.Continue);
});
// On investment horizon or a bond forward's Settlement Date, the deal value is liquidated as cash.
double endDate = Deal.EndDate();
if (cash != null && endDate <= fT.fHorizon)
{
// If endDate on a payment date, cashflow has already been accummulated (as cash), otherwise is 0.
// Value liquidated is the value of the pv remaining after accummulating the cashflow.
cash.AssignDifference(pv, cash);
cashAccumulator.Accumulate(fFxRate, endDate, cash);
}
}
result.Complete(fT);
}
}