/// <summary>
/// Calculates the exposure profile using the Basel III methodology.
/// </summary>
private static void CollateralBasel3(Vector mtmPlus, double collateral, Vector addOnHp, double threshold,
bool inHoldingPeriod, double date,
PVProfiles nettedExposure, PVProfiles collateralExposure)
{
using (var cache = Vector.Cache(mtmPlus.Count))
{
Vector payoff = cache.GetClear();
Vector mtmPlusLessThanThreshold = cache.GetClear();
Vector mtmPlusMinusCollGreaterThanThreshold = cache.GetClear();
Vector caseCLogic = cache.GetClear();
Vector caseDAndELogic = cache.GetClear();
Vector caseFLogic = cache.GetClear();
Vector sumOfCases = cache.Get();
if (inHoldingPeriod)
{
payoff.Assign(VectorMath.Max(0.0, nettedExposure[date] - collateral));
}
else
{
mtmPlusLessThanThreshold.AssignConditional(mtmPlus < threshold, 1.0, 0.0);
mtmPlusMinusCollGreaterThanThreshold.AssignConditional(mtmPlus >= threshold + collateral, 1.0, 0.0);
caseCLogic.Assign(mtmPlusLessThanThreshold);
caseDAndELogic.AssignConditional(mtmPlusMinusCollGreaterThanThreshold * (1.0 - mtmPlusLessThanThreshold), 1.0, 0.0);
caseFLogic.AssignConditional((1.0 - mtmPlusLessThanThreshold) * (1.0 - mtmPlusLessThanThreshold), 1.0, 0.0);
sumOfCases.Assign(caseCLogic + caseDAndELogic + caseFLogic);
double values;
if (sumOfCases.AllElementsTheSame(out values) && values == 1.0)
{
payoff.AssignConditional(caseCLogic, nettedExposure[date], payoff);
payoff.AssignConditional(caseDAndELogic, VectorMath.Min(threshold + addOnHp, nettedExposure[date] - collateral), payoff);
payoff.AssignConditional(caseFLogic, VectorMath.Max(0.0, VectorMath.Min(threshold + addOnHp, nettedExposure[date])), payoff);
}
else
{
payoff.Assign(-1.0);
}
}
collateralExposure.AppendVector(date, payoff);
}
}
/// <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 cashAccumulator = valuationResults.Cash;
double baseDate = factors.BaseDate;
CallableStructuredDeal deal = (CallableStructuredDeal)fDeal;
int buySellSign = deal.Buy_Sell == BuySell.Buy ? +1 : -1;
int callPutSign = deal.Option_Type == OptionType.Call ? 1 : -1;
InterestRateOptionPricer optionPricer = CreateOptionPricer(factors);
CalcUtils.CreateDealProfilesIfRequired(valuationResults, fItems, factors);
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector exercised = cache.GetClear(); // vector taking value 0 or 1 indicating exercise before tgi.date
Vector exercisedToday = cache.Get(); // vector taking value 0 or 1 indicating exercise at tgi.date
Vector optionPv = cache.Get();
Vector pv = cache.Get();
Vector cash = cache.Get();
Vector settlementDateAtExercise = cache.GetClear();
Vector defaultDate = needRating ? cache.Get(CalcUtils.DateTimeMaxValueAsDouble) : null;
var defaultedBeforeBaseDate = needRating &&
CreditRating.DefaultedBeforeBaseDate(fCreditRating, baseDate);
while (tgi.Next())
{
if (defaultedBeforeBaseDate)
{
pv.Clear();
result.AppendVector(tgi.Date, pv);
break;
}
if (needRating)
{
UpdateDefaultDate(fCreditRating, tgi.Date, tgi.T, defaultDate);
}
double val;
bool allExercised = exercised.AllElementsTheSame(out val) && val == 1.0;
if (deal.Settlement_Style == SettlementType2.Physical)
{
// Calculate value of option (option value is zero after last exercise date)
if (!allExercised)
{
optionPricer.Value(baseDate, tgi.Date, optionPv, exercised, exercisedToday, settlementDateAtExercise, defaultDate);
}
// Calculate value of underlying cashflows after settlementDateAtExercise
pv.Clear();
cash.Clear();
InterestRateOptionPricer.ValueDeals(fItems, pv, cash, baseDate, tgi.Date, settlementDateAtExercise, defaultDate, fDiscountRate, fForecastRate, fRepoRate, fInterestRateVol, fInterestYieldVol, fSurvivalProb, fRecoveryRate);
pv.MultiplyBy(callPutSign);
cash.MultiplyBy(callPutSign);
if (!allExercised)
{
// If exercised today the cashflow is the value of the option minus the value of the physically settled part
// Else if already exercised, cash is the unnderlying cash.
// Else (before exercise) there is no cash.
cash.AssignConditional(exercisedToday, optionPv - pv, exercised * cash);
// If already exercised, pv is the unnderlying pv.
// Else (before exercise or exercised today), pv is the option pv.
pv.AssignConditional(exercised, pv, optionPv);
pv.AssignConditional(exercisedToday, optionPv, pv);
}
}
else
{
if (allExercised)
{
// Already exercised on all scenarios
result.AppendZeroVector(tgi.Date);
continue;
}
if (deal.Settlement_Style == SettlementType2.Cash)
{
// Calculate value of option
optionPricer.Value(baseDate, tgi.Date, pv, exercised, exercisedToday, settlementDateAtExercise, defaultDate);
// If exercised today then option pv is settled today, otherwise there is no cash
cash.AssignProduct(pv, exercisedToday);
}
else // Embedded option (callable or puttable)
{
// Calculate underlying value
pv.Clear();
cash.Clear();
InterestRateOptionPricer.ValueDeals(fItems, pv, cash, baseDate, tgi.Date, null, defaultDate, fDiscountRate, fForecastRate, fRepoRate, fInterestRateVol, fInterestYieldVol, fSurvivalProb, fRecoveryRate);
// Calculate value of option
optionPricer.Value(baseDate, tgi.Date, optionPv, exercised, exercisedToday, settlementDateAtExercise, defaultDate);
// Add or subtract value of embedded option
pv.AddProduct(-callPutSign, optionPv);
// Option payoff is Max(callPutSign * (underlyingPv - accruedInterest - discountedFee), 0)
// Callable/puttable payoff on exercise is
// underlyingPv - callPutSign * (callPutSign * (underlyingPv - accruedInterest - discountedFee))
// = accruedInterest + discountedFee
// Set pv and cash to zero if already exercised.
// If exercised today then the pv is settled today.
pv.AssignConditional(exercised, exercisedToday * pv, pv);
cash.AssignConditional(exercised, exercisedToday * pv, cash);
}
}
pv.MultiplyBy(buySellSign);
cash.MultiplyBy(buySellSign);
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * pv);
cashAccumulator.Accumulate(fFxRate, tgi.Date, cash);
}
}
result.Complete(fT);
}
