public static double GetEffectiveFrequency(List <AmortisingResultItem> cashflowsSchedule,
BillsSwapPricer2TermsRange terms)
{
IDayCounter dayCounter = DayCounterHelper.Parse(terms.DayCountConvention);
double effectiveFrequency = GetEffectiveFrequency(cashflowsSchedule, dayCounter);
return(effectiveFrequency);
}
///<summary>
///</summary>
///<param name="valuationDate"></param>
///<param name="floatMargin"></param>
///<param name="fixedRate"></param>
///<param name="payTerms"></param>
///<param name="payRolls"></param>
///<param name="receiveTerms"></param>
///<param name="receiveRolls"></param>
///<param name="rateCurve"></param>
///<param name="bulletPaymentDate"></param>
///<param name="bulletPaymentValue"></param>
///<returns></returns>
public static double CalculateFixedSidePV(DateTime valuationDate, double floatMargin, double fixedRate,
BillsSwapPricer2TermsRange payTerms, List <AmortisingResultItem> payRolls,
BillsSwapPricer2TermsRange receiveTerms, List <AmortisingResultItem> receiveRolls,
RateCurve rateCurve, DateTime bulletPaymentDate, double bulletPaymentValue)
{
// pay == fixed.
//
IDayCounter dayCounter = DayCounterHelper.Parse(payTerms.DayCountConvention);
double fixedSidePV = GetFixedSidePV(valuationDate, payRolls, receiveRolls, dayCounter, rateCurve, floatMargin, fixedRate, bulletPaymentDate, bulletPaymentValue);
return(fixedSidePV);
}
///<summary>
///</summary>
///<param name="valuationDate"></param>
///<param name="floatMargin"></param>
///<param name="fixedRate"></param>
///<param name="payTerms"></param>
///<param name="payRolls"></param>
///<param name="receiveTerms"></param>
///<param name="receiveRolls"></param>
///<param name="originalReceiveCurve"></param>
///<param name="bulletPaymentDate"></param>
///<param name="bulletPaymentValue"></param>
///<param name="listInstrumentIdAndQuotes"></param>
///<param name="listPerturbations"></param>
///<param name="filterByInstruments"></param>
///<returns></returns>
public static double CalculateFixedSideDelta(DateTime valuationDate, double floatMargin, double fixedRate,
BillsSwapPricer2TermsRange payTerms, List <AmortisingResultItem> payRolls,
BillsSwapPricer2TermsRange receiveTerms, List <AmortisingResultItem> receiveRolls,
RateCurve originalReceiveCurve, DateTime bulletPaymentDate, double bulletPaymentValue,
List <InstrumentIdAndQuoteRangeItem> listInstrumentIdAndQuotes, List <DoubleRangeItem> listPerturbations, string filterByInstruments)
{
if (null == listPerturbations)
{
listPerturbations = new List <DoubleRangeItem>();
foreach (InstrumentIdAndQuoteRangeItem item in listInstrumentIdAndQuotes)
{
item.InstrumentId = RemoveExtraInformationFromInstrumentId(item.InstrumentId);
var defaultPerturbationAmount = new DoubleRangeItem
{
Value = GetDefaultPerturbationAmount(item.InstrumentId)
};
listPerturbations.Add(defaultPerturbationAmount);
}
}
var perturbationArray = new List <Pair <string, decimal> >();
for (int i = 0; i < listInstrumentIdAndQuotes.Count; i++)
{
InstrumentIdAndQuoteRangeItem item = listInstrumentIdAndQuotes[i];
item.InstrumentId = RemoveExtraInformationFromInstrumentId(item.InstrumentId);
DoubleRangeItem perturbItem = listPerturbations[i];
if (!String.IsNullOrEmpty(filterByInstruments))
{
if (item.InstrumentId.StartsWith(filterByInstruments, true, null))
{
perturbationArray.Add(new Pair <string, decimal>(item.InstrumentId, (decimal)perturbItem.Value));
}
}
else
{
perturbationArray.Add(new Pair <string, decimal>(item.InstrumentId, (decimal)perturbItem.Value));
}
}
//var perturbedCurveId = originalReceiveCurve.PerturbCurve(perturbationArray);
// Perturb the curve
//
//Curves.RateCurve perturbedReceiveCurve = RateCurveInMemoryCollection.Instance.Get(perturbedCurveId);
var perturbedReceiveCurve = (RateCurve)originalReceiveCurve.PerturbCurve(perturbationArray); //ObjectCacheHelper.GetPricingStructureFromSerialisable(perturbedCurveId);
// pay == fixed.
//
IDayCounter dayCounter = DayCounterHelper.Parse(payTerms.DayCountConvention);
double sensitivity = GetFixedSideSensitivity(valuationDate, payRolls, receiveRolls, dayCounter, originalReceiveCurve, perturbedReceiveCurve, floatMargin, fixedRate, bulletPaymentDate, bulletPaymentValue);
return(sensitivity);
}
///<summary>
///</summary>
///<param name="termsRange"></param>
///<param name="metaScheduleDefinitionRange"></param>
///<param name="paymentCalendar"></param>
///<returns></returns>
public static List <AmortisingResultItem> GenerateCashflowSchedule(BillsSwapPricer2TermsRange termsRange,
List <MetaScheduleRangeItem> metaScheduleDefinitionRange, IBusinessCalendar paymentCalendar)
{
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(termsRange.RollDay);
BusinessDayAdjustments businessDayAdjustments = BusinessDayAdjustmentsHelper.Create(termsRange.DateRollConvention, termsRange.Calendar);
bool backwardGeneration = (termsRange.BuildDates.ToLower() == "backward");
List <DateTime> adjustedDatesResult;
List <DateTime> unadjustedDatesResult;
if (termsRange.RollFrequency.ToLower().Contains("custom"))
{
var rollsMetaSchedule = metaScheduleDefinitionRange.Select(item => new MetaScheduleItem
{
RollFrequency = PeriodHelper.Parse(item.RollFrequency), Period = PeriodHelper.Parse(item.Period), RollConvention = RollConventionEnumHelper.Parse(item.RollConvention)
}).ToList();
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
else
{
Period interval = PeriodHelper.Parse(termsRange.RollFrequency);
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
var result = new List <AmortisingResultItem>();
for (int i = 0; i < adjustedDatesResult.Count; i++)
{
DateTime adjustedTime = adjustedDatesResult[i];
DateTime unadjustedTime = unadjustedDatesResult[i];
var amortisingResultItem = new AmortisingResultItem
{
WasRolled = (adjustedTime == unadjustedTime) ? "No" : "Yes",
RollDate = adjustedTime,
AmortisingAmount = 0,
OutstandingValue = termsRange.FaceValue
};
result.Add(amortisingResultItem);
}
return(result);
}
///<summary>
///</summary>
///<param name="valuationDate"></param>
///<param name="floatMargin"></param>
///<param name="fixedRate"></param>
///<param name="payTerms"></param>
///<param name="payRolls"></param>
///<param name="receiveTerms"></param>
///<param name="receiveRolls"></param>
///<param name="originalCurve"></param>
///<param name="bulletPaymentDate"></param>
///<param name="bulletPaymentValue"></param>
///<param name="listInstrumentIdAndQuotes"></param>
///<param name="listPerturbations"></param>
///<returns></returns>
public static List <DoubleRangeItem> CalculateFixedSideSensitivity2(DateTime valuationDate, double floatMargin, double fixedRate,
BillsSwapPricer2TermsRange payTerms, List <AmortisingResultItem> payRolls,
BillsSwapPricer2TermsRange receiveTerms, List <AmortisingResultItem> receiveRolls,
RateCurve originalCurve, DateTime bulletPaymentDate, double bulletPaymentValue,
List <InstrumentIdAndQuoteRangeItem> listInstrumentIdAndQuotes, List <DoubleRangeItem> listPerturbations)
{
var result = new List <DoubleRangeItem>();
if (null == listPerturbations)
{
listPerturbations = new List <DoubleRangeItem>();
foreach (InstrumentIdAndQuoteRangeItem item in listInstrumentIdAndQuotes)
{
item.InstrumentId = RemoveExtraInformationFromInstrumentId(item.InstrumentId);
var defaultPerturbationAmount = new DoubleRangeItem
{
Value = GetDefaultPerturbationAmount(item.InstrumentId)
};
listPerturbations.Add(defaultPerturbationAmount);
}
}
for (int i = 0; i < listInstrumentIdAndQuotes.Count; i++)
{
InstrumentIdAndQuoteRangeItem item = listInstrumentIdAndQuotes[i];
item.InstrumentId = RemoveExtraInformationFromInstrumentId(item.InstrumentId);
DoubleRangeItem perturbItem = listPerturbations[i];
// pay == fixed.
//
IDayCounter dayCounter = DayCounterHelper.Parse(payTerms.DayCountConvention);
var perturbationArray = new List <Pair <string, decimal> > {
new Pair <string, decimal>(item.InstrumentId, (decimal)perturbItem.Value)
};
//var perturbedCurveId = ObjectCacheHelper.PerturbRateCurve(curveId, perturbationArray);
// Perturb the curve
//
var perturbedReceiveCurve = (RateCurve)originalCurve.PerturbCurve(perturbationArray);
double sensitivity = GetFixedSideSensitivity(valuationDate, payRolls, receiveRolls, dayCounter, originalCurve, perturbedReceiveCurve, floatMargin, fixedRate, bulletPaymentDate, bulletPaymentValue);
var bucketSensitivityItem = new DoubleRangeItem {
Value = sensitivity
};
result.Add(bucketSensitivityItem);
}
return(result);
}
public static double CalculateFixedSideSensitivity(DateTime valuationDate, double floatMargin, double fixedRate,
BillsSwapPricer2TermsRange payTerms, List <AmortisingResultItem> payRolls,
BillsSwapPricer2TermsRange receiveTerms, List <AmortisingResultItem> receiveRolls,
RateCurve rateCurve, DateTime bulletPaymentDate, double bulletPaymentValue,
string curveInstrumentId, double perturbationAmount)
{
// pay == fixed.
var perturbationArray = new List <Pair <string, decimal> >
{
new Pair <string, decimal>(curveInstrumentId, (decimal)perturbationAmount)
};
IDayCounter dayCounter = DayCounterHelper.Parse(payTerms.DayCountConvention);
//var originalCurve = (RateCurve)cache.LoadObject(curveId);
var perturbedCurve = rateCurve.PerturbCurve(perturbationArray) as RateCurve;
// Perturb the curve
//
//var perturbedReceiveCurve = (RateCurve)ObjectCacheHelper.GetPricingStructureFromSerialisable(perturbedCurveId);
double sensitivity = GetFixedSideSensitivity(valuationDate, payRolls, receiveRolls, dayCounter, rateCurve, perturbedCurve,
floatMargin, fixedRate, bulletPaymentDate, bulletPaymentValue);
return(sensitivity);
}