/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
SetModelParameters(fItems);
PreValueDeals(fItems, factors);
CallableStructuredDeal deal = (CallableStructuredDeal)Deal;
// Set volatility price factors if they have been registered by model or underlying deals
InterestVol.TryGet <IInterestRateVol>(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency, out fInterestRateVol);
InterestVol.TryGet <IInterestYieldVol>(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency, out fInterestYieldVol);
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
if (needRating)
{
fCreditRating = factors.Get <CreditRating>(deal.Issuer);
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
if (needSurvival)
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CallableBondForward deal = (CallableBondForward)Deal;
fInterestYieldVol = InterestVolBase.GetYieldVol(factors, deal.Yield_Volatility, fCurrency);
fNeedsCreditRating = NeedCreditRating();
fCreditRating = NeedCreditRating() ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = NeedRecovery() ? factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate) : null;
fSurvivalProb = NeedSurvivalProb() ? factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability) : null;
}
/// <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);
BondOptionDeal deal = (BondOptionDeal)Deal;
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needRecovery = needRating;
fCreditRating = needRating ? factors.Get <CreditRating>(deal.Issuer) : null;
fRecoveryRate = needRecovery ? factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate) : null;
fSurvivalProb = needSurvival ? factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability) : null;
}
/// <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;
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
var deal = (BondRepoBase)fDeal;
if (string.IsNullOrEmpty(deal.Issuer))
{
return;
}
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
fRecoveryRate = factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? deal.Issuer : deal.Recovery_Rate);
}
public void OnGet()
{
Deaths = diagnosisService.Deaths();
Recovered = diagnosisService.Recovered();
Diagnoses = diagnosisService.GetDiagnosesWithCorona();
var newDiagnosis = Diagnoses
.Where(x => (x.Death == true && x.Recovered == true) || (x.Death == true && x.Recovered == false) || (x.Death == false && x.Recovered == true))
.GroupBy(d => d.Recovered);
foreach (var item in newDiagnosis)
{
RecoveryRate.Add(new StatisticsCore
{
Recovered = item.Key == true ?
"Recovered " + String.Format("{0:0.00}", ((double)item.Count() / (Deaths.Count() + Recovered.Count())) * 100) + "%"
: "Deaths " + String.Format("{0:0.00}", ((double)item.Count() / (Deaths.Count() + Recovered.Count())) * 100) + "%",
TotalPatients = item.GroupBy(x => x.Patient.Name).Count()
});
}
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
if (string.IsNullOrEmpty(fDeal.GetIssuer()))
{
return;
}
if (UseSurvivalProbability())
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.GetSurvivalProbability()) ? deal.GetIssuer() : deal.GetSurvivalProbability());
}
if (RespectDefault())
{
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.GetRecoveryRate(), deal.GetIssuer()));
fCreditRating = factors.Get <CreditRating>(deal.GetIssuer());
}
}
/// <summary>
/// This method Adjusts the bond price vector by taking the default into account give the default time vector.
/// </summary>
public static void AdjustForDefault(double baseDate, double valueDate, Vector bondPrice, TDate expiryDate, bool respectDefault, Vector underlyingIsAlive, Vector historicalRecovery, Vector defaultTime, IInterestRate discountRate, RecoveryRate recoveryRate)
{
// Adjust the bond price for default: check scenario by scenario for defaults, overwriting bondPrice as necessary
if (!respectDefault)
{
return;
}
double currentTime = CalcUtils.DaysToYears(valueDate - baseDate);
double tExpiry = CalcUtils.DaysToYears(expiryDate - baseDate);
BondOptionValuation.AdjustBondValueForDefault(1.0, tExpiry, bondPrice, underlyingIsAlive,
historicalRecovery, defaultTime, currentTime, discountRate,
recoveryRate);
}
/// <summary>
/// Modify the pv and cash taking the date of default into account.
/// </summary>
public override void GetDefaultValue(double baseDate, double valueDate, Vector defaultDate, RecoveryRate recoveryRate, Vector pv, Vector cash)
{
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)fDeal;
double principal = GetPrincipal(deal.Cashflows, valueDate);
double settlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
using (var cache = Vector.CacheLike(pv))
{
// Approximation: recover only principal, neglecting accrued interest
Vector recovery = cache.Get(fBuySellSign * principal * recoveryRate.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).
double tSettle = CalcUtils.DaysToYears(settlementDate - baseDate);
double settlementAmount = fBuySellSign * fSettlementAmount;
Vector hasDefaulted = cache.Get(defaultDate <= valueDate);
pv.AssignConditional(hasDefaulted, fRepoRate.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);
}
}
}
}
/// <summary>
/// This method check scenario by scenario for defaults, overwriting bondValue as necessary
/// </summary>
public static void AdjustBondValueForDefault(double notional, double expiryTime, Vector bondValue, Vector bondIsAlive,
Vector historicalRecovery, Vector defaultTime, double currentTime, IInterestRate discountRate, RecoveryRate recoveryRate)
{
using (var cache = Vector.CacheLike(bondValue))
{
Vector recoveryValue = cache.Get();
Vector expiryDf = cache.Get();
discountRate.GetValue(expiryDf, currentTime, expiryTime);
recoveryRate.GetValue(recoveryValue, currentTime);
// If this is the period when the bond defaults fill in the historical recovery amount.
historicalRecovery.AssignConditional((defaultTime <= currentTime).And(bondIsAlive), recoveryValue * notional, historicalRecovery);
bondValue.AssignConditional((defaultTime <= currentTime), expiryDf * historicalRecovery, bondValue);
bondIsAlive.AssignConditional((defaultTime <= currentTime), 0.0, bondIsAlive);
}
}
/// <summary>
/// Returns the recovery rate to be used for realized default.
/// </summary>
protected override void RealizedRecoveryRate(Vector vout, RecoveryRate RR, double t)
{
RR.GetValue(vout, t);
}
/// <summary> /// Returns the recovery rate to be used for realized default. /// </summary> protected abstract void RealizedRecoveryRate(Vector vout, RecoveryRate RR, double t);
/// <summary>
/// Vector valuation function.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators accumulator = valuationResults.Cash;
DealCreditLinkedNoteBase deal = (DealCreditLinkedNoteBase)fDeal;
ISurvivalProb SP = GetSurvivalProbability(factors);
RecoveryRate RR = GetRecoveryRate(factors);
CreditRating CR = GetCreditRating(factors);
double tEffective = CalcUtils.DaysToYears(deal.Effective_Date - factors.BaseDate);
double scale = (deal.Buy_Sell == BuySell.Buy) ? +deal.Notional_Amount : -deal.Notional_Amount;
double purchasePrice = Percentage.PercentagePoint * deal.Price;
double couponRate = (deal.Coupon_Type == InterestRateType.Fixed) ? Percentage.PercentagePoint * deal.Coupon_Rate : 0.0;
double couponSpread = (deal.Coupon_Type == InterestRateType.Fixed) ? 0.0 : BasisPoint.BasisPointValue * deal.Coupon_Spread;
double indexTenor = (deal.Index_Tenor > 0.0) ? deal.Index_Tenor : deal.Coupon_Interval;
using (var cache = Vector.Cache(factors.NumScenarios))
{
bool[] hasDefaulted = (Respect_Default == YesNo.Yes) ? new bool[factors.NumScenarios] : null;
Vector defaultTime = (Respect_Default == YesNo.Yes) ? cache.Get() : null;
Vector historicalRecovery = (Respect_Default == YesNo.Yes) ? cache.GetClear() : null;
if (hasDefaulted != null && CR != null)
{
DefaultTime(defaultTime, CR);
}
Vector npv = cache.Get();
Vector cash = cache.Get();
Vector pStart = cache.Get();
Vector pEnd = cache.Get();
Vector amount = cache.Get();
Vector recovery = cache.Get();
Vector dfLast = cache.Get();
Vector df = cache.Get();
cash.Clear();
var defaultedBeforeTheBaseDate = Respect_Default == YesNo.Yes &&
CreditRating.DefaultedBeforeBaseDate(CR, factors.BaseDate);
while (tgi.Next())
{
if (defaultedBeforeTheBaseDate)
{
npv.Clear();
result.AppendVector(tgi.Date, npv);
break;
}
if (!deal.Principal_Guaranteed && Respect_Default == YesNo.Yes)
{
RealizedRecoveryRate(recovery, RR, tgi.T);
}
// Assume defaults are rare and start by valuing under all scenarios without realized defaults
// Value of principal repayment
SurvivalProbability(pEnd, factors, SP, tgi.T, fT.fLast);
fDiscountRate.GetValue(dfLast, tgi.T, fT.fLast);
if (deal.Principal_Guaranteed)
{
npv.Assign(dfLast);
}
else
{
npv.Assign(dfLast * pEnd);
}
if (accumulator != null && tgi.T == fT.fLast)
{
cash.Assign(npv);
}
// Value of coupons
for (int i = PayDates.Count - 1; i >= 0 && tgi.Date <= PayDates[i]; --i)
{
double tPay = CalcUtils.DaysToYears(PayDates[i] - factors.BaseDate);
double tReset = CalcUtils.DaysToYears(ResetDates[i] - factors.BaseDate);
double tPrevious = Math.Max(tgi.T, tReset);
SurvivalProbability(pStart, factors, SP, tgi.T, tPrevious);
if (deal.Coupon_Type == InterestRateType.Floating)
{
// Forecast a coupon, add the spread
InterestRateUtils.LiborRate(amount, fForecastRate, tgi.T, tReset, tReset, tReset + indexTenor, deal.Index_Day_Count);
amount.Add(couponSpread);
amount.MultiplyBy(Accruals[i]);
}
else
{
// Fixed coupon
amount.Assign(couponRate * Accruals[i]);
}
// The value of the coupon if no default
npv.Add(amount * fDiscountRate.Get(tgi.T, tPay) * pEnd);
if (accumulator != null && tgi.T == tPay)
{
cash.Assign(amount);
}
// The recovery value on default - assume guaranteed principal paid at end, recovery paid immediately
if (!deal.Principal_Guaranteed)
{
npv.Add(fDiscountRate.Get(tgi.T, 0.5 * (tPay + tPrevious)) * (pStart - pEnd) * PricingRecoveryRate(SP));
}
pEnd.DestructiveAssign(pStart);
}
// Now check for realized default scenario by scenario, overwriting NPV and cash as appropriate
if (Respect_Default == YesNo.Yes && defaultTime != null)
{
if (tgi.T < tEffective)
{
fDiscountRate.GetValue(df, tgi.T, tEffective);
}
for (int i = 0; i < npv.Count; ++i)
{
if (defaultTime[i] > tgi.T)
{
continue;
}
if (deal.Principal_Guaranteed)
{
npv[i] = dfLast[i]; // full principal paid at maturity
}
else
{
if (!hasDefaulted[i])
{
historicalRecovery[i] = recovery[i]; // record the historical recovery rate
}
if (tgi.T < tEffective)
{
npv[i] = df[i] * historicalRecovery[i]; // The discounted recovery value of the principal will be paid out on the effective date
}
else if (tgi.T == tEffective || !hasDefaulted[i])
{
npv[i] = historicalRecovery[i]; // The full recovery amount is paid out
}
else
{
npv[i] = 0.0; // default is in the past but we are after effective date; settlement has already occurred.
}
}
hasDefaulted[i] = true;
}
}
// Value of purchase price
if (tgi.T < tEffective)
{
npv.Add(-purchasePrice * fDiscountRate.Get(tgi.T, tEffective));
}
else if (tgi.T == tEffective)
{
npv.Add(-purchasePrice);
if (accumulator != null)
{
cash.Add(-purchasePrice);
}
}
result.AppendVector(tgi.Date, scale * npv * fFxRate.Get(tgi.T));
if (accumulator != null)
{
accumulator.Accumulate(fFxRate, tgi.Date, scale * cash);
}
}
// After maturity
result.Complete(fT);
}
}
/// <summary>
/// Modify the pv and cash taking the date of default into account.
/// </summary>
public override void GetDefaultValue(double baseDate, double valueDate, Vector defaultDate, RecoveryRate recoveryRate, Vector pv, Vector cash)
{
var deal = (CFFloatingInterestListDeal)Deal;
double principal = GetPrincipal(fCashflows, valueDate);
double settlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
using (var cache = Vector.CacheLike(pv))
{
// Approximation: recover only principal, neglecting accrued interest
Vector recovery = cache.Get(fBuySellSign * principal * recoveryRate.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).
double tSettle = CalcUtils.DaysToYears(settlementDate - baseDate);
Vector settlementAmount = cache.GetClear();
if (deal.Settlement_Amount_Is_Clean == YesNo.Yes)
{
fCashflows.CalculateAccrual(settlementAmount, baseDate, settlementDate, false, deal.AccrualHolidayCalendar(), fForecastRate);
}
settlementAmount.Add(deal.Settlement_Amount);
Vector hasDefaulted = cache.Get(defaultDate <= valueDate);
pv.AssignConditional(hasDefaulted, fRepoRate.Get(t, tSettle) * (recovery - fBuySellSign * 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);
}
}
}
}
