public void curve_output(YieldTermStructure yt, PiecewiseconstantHazardRate ct) { double it = ct.SurvivalProb(new DateTime(2021, 06, 20)); List <double> yield = new List <double>(); for (int j = 1; j < 120; j++) { DateTime t = this.evalDate.AddMonths(j); double t_ = (double)j / 12; yield.Add(-Math.Log(yt.discount(t)) / t_); } this.yield_series = yield; List <double> survival = new List <double>(); for (int j = 1; j < 120; j++) { DateTime t = this.tradedate.AddMonths(j); survival.Add(ct.SurvivalProb(t)); } this.survival_prob = survival; }
public List <CashFlow> Calculation(double fixrate, double initialNotional, List <DateTime> fixedSchedule, DateTime tradedate, YieldTermStructure yt, PiecewiseconstantHazardRate piecewiseFlatHazardRate, int settlement, DateTime lastpaymentdate) { List <CashFlow> result = new List <CashFlow>(); OMLib.Conventions.DayCount.Actual360 daycountconvention = new OMLib.Conventions.DayCount.Actual360(); for (int i = 0; i < fixedSchedule.Count; i++) { CashFlow cf = new CashFlow(); Calendar calendar = new UnitedStates(); //fixedSchedule[i] = calendar.adjust(fixedSchedule[i], BusinessDayConvention.Following); cf.CashFlowDate = fixedSchedule[i]; if (i == 0) { //The protection buyer pays the next coupon in full on the coupon date, //(even if this is the next day); in return the buyer receives (from the protection seller) the accrued //interest[Geoff Chaplin. Credit Derivatives.], which is paid on the cash settlement date. if (lastpaymentdate != null) { lastpaymentdate = calendar.adjust(lastpaymentdate, BusinessDayConvention.Following); cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(lastpaymentdate, fixedSchedule[i])) / 360; } else { cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(tradedate, fixedSchedule[i])) / 360; } } else { //Each coupon is equal to (annual coupon/360) (# of days in accrual period). //The accrual period always stretches from (previous coupon payment date) through (this coupon //payment date–1), inclusive; except a contract's last accrual period, which ends with (and //includes) the unadjusted maturity date. if (i == fixedSchedule.Count - 1) { cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(fixedSchedule[i - 1], fixedSchedule[i].AddDays(1))) / 360; } else { cf.Amount = (double)initialNotional * fixrate * (daycountconvention.DayCount(fixedSchedule[i - 1], fixedSchedule[i])) / 360; } } //Assume all cash flows are discounted to the cash settlement date cf.DiscountFactor = yt.discount(fixedSchedule[i]); if (i == fixedSchedule.Count - 1) { cf.Survivalprobability = piecewiseFlatHazardRate.SurvivalProb(fixedSchedule[i].AddDays(1)); } else { cf.Survivalprobability = piecewiseFlatHazardRate.SurvivalProb(fixedSchedule[i]); } result.Add(cf); } return(result); }