public override void calculate()
{
Utils.QL_REQUIRE(numericalFix_ == NumericalFix.None || numericalFix_ == NumericalFix.Taylor, () =>
"numerical fix must be None or Taylor");
Utils.QL_REQUIRE(accrualBias_ == AccrualBias.HalfDayBias || accrualBias_ == AccrualBias.NoBias, () =>
"accrual bias must be HalfDayBias or NoBias");
Utils.QL_REQUIRE(forwardsInCouponPeriod_ == ForwardsInCouponPeriod.Flat ||
forwardsInCouponPeriod_ == ForwardsInCouponPeriod.Piecewise, () =>
"forwards in coupon period must be Flat or Piecewise");
// it would be possible to handle the cases which are excluded below,
// but the ISDA engine is not explicitly specified to handle them,
// so we just forbid them too
Actual365Fixed dc = new Actual365Fixed();
Actual360 dc1 = new Actual360();
Actual360 dc2 = new Actual360(true);
Date evalDate = Settings.evaluationDate();
// check if given curves are ISDA compatible
// (the interpolation is checked below)
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discount term structure set");
Utils.QL_REQUIRE(!probability_.empty(), () => "no probability term structure set");
Utils.QL_REQUIRE(discountCurve_.link.dayCounter() == dc, () =>
"yield term structure day counter (" + discountCurve_.link.dayCounter() + ") should be Act/365(Fixed)");
Utils.QL_REQUIRE(probability_.link.dayCounter() == dc, () =>
"probability term structure day counter (" + probability_.link.dayCounter() + ") should be "
+ "Act/365(Fixed)");
Utils.QL_REQUIRE(discountCurve_.link.referenceDate() == evalDate, () =>
"yield term structure reference date (" + discountCurve_.link.referenceDate()
+ " should be evaluation date (" + evalDate + ")");
Utils.QL_REQUIRE(probability_.link.referenceDate() == evalDate, () =>
"probability term structure reference date (" + probability_.link.referenceDate()
+ " should be evaluation date (" + evalDate + ")");
Utils.QL_REQUIRE(arguments_.settlesAccrual, () => "ISDA engine not compatible with non accrual paying CDS");
Utils.QL_REQUIRE(arguments_.paysAtDefaultTime, () => "ISDA engine not compatible with end period payment");
Utils.QL_REQUIRE((arguments_.claim as FaceValueClaim) != null, () =>
"ISDA engine not compatible with non face value claim");
Date maturity = arguments_.maturity;
Date effectiveProtectionStart = Date.Max(arguments_.protectionStart, evalDate + 1);
// collect nodes from both curves and sort them
List <Date> yDates = new List <Date>(), cDates = new List <Date>();
var castY1 = discountCurve_.link as PiecewiseYieldCurve <Discount, LogLinear>;
var castY2 = discountCurve_.link as InterpolatedForwardCurve <BackwardFlat>;
var castY3 = discountCurve_.link as InterpolatedForwardCurve <ForwardFlat>;
var castY4 = discountCurve_.link as FlatForward;
if (castY1 != null)
{
if (castY1.dates() != null)
{
yDates = castY1.dates();
}
}
else if (castY2 != null)
{
yDates = castY2.dates();
}
else if (castY3 != null)
{
yDates = castY3.dates();
}
else if (castY4 != null)
{
}
else
{
Utils.QL_FAIL("Yield curve must be flat forward interpolated");
}
var castC1 = probability_.link as InterpolatedSurvivalProbabilityCurve <LogLinear>;
var castC2 = probability_.link as InterpolatedHazardRateCurve <BackwardFlat>;
var castC3 = probability_.link as FlatHazardRate;
if (castC1 != null)
{
cDates = castC1.dates();
}
else if (castC2 != null)
{
cDates = castC2.dates();
}
else if (castC3 != null)
{
}
else
{
Utils.QL_FAIL("Credit curve must be flat forward interpolated");
}
// Todo check
List <Date> nodes = yDates.Union(cDates).ToList();
if (nodes.empty())
{
nodes.Add(maturity);
}
double nFix = (numericalFix_ == NumericalFix.None ? 1E-50 : 0.0);
// protection leg pricing (npv is always negative at this stage)
double protectionNpv = 0.0;
Date d0 = effectiveProtectionStart - 1;
double P0 = discountCurve_.link.discount(d0);
double Q0 = probability_.link.survivalProbability(d0);
Date d1;
int result = nodes.FindIndex(item => item > effectiveProtectionStart);
for (int it = result; it < nodes.Count; ++it)
{
if (nodes[it] > maturity)
{
d1 = maturity;
it = nodes.Count - 1; //early exit
}
else
{
d1 = nodes[it];
}
double P1 = discountCurve_.link.discount(d1);
double Q1 = probability_.link.survivalProbability(d1);
double fhat = Math.Log(P0) - Math.Log(P1);
double hhat = Math.Log(Q0) - Math.Log(Q1);
double fhphh = fhat + hhat;
if (fhphh < 1E-4 && numericalFix_ == NumericalFix.Taylor)
{
double fhphhq = fhphh * fhphh;
protectionNpv +=
P0 * Q0 * hhat * (1.0 - 0.5 * fhphh + 1.0 / 6.0 * fhphhq -
1.0 / 24.0 * fhphhq * fhphh +
1.0 / 120 * fhphhq * fhphhq);
}
else
{
protectionNpv += hhat / (fhphh + nFix) * (P0 * Q0 - P1 * Q1);
}
d0 = d1;
P0 = P1;
Q0 = Q1;
}
protectionNpv *= arguments_.claim.amount(null, arguments_.notional.Value, recoveryRate_);
results_.defaultLegNPV = protectionNpv;
// premium leg pricing (npv is always positive at this stage)
double premiumNpv = 0.0, defaultAccrualNpv = 0.0;
for (int i = 0; i < arguments_.leg.Count; ++i)
{
FixedRateCoupon coupon = arguments_.leg[i] as FixedRateCoupon;
Utils.QL_REQUIRE(coupon.dayCounter() == dc ||
coupon.dayCounter() == dc1 ||
coupon.dayCounter() == dc2, () =>
"ISDA engine requires a coupon day counter Act/365Fixed "
+ "or Act/360 (" + coupon.dayCounter() + ")");
// premium coupons
if (!arguments_.leg[i].hasOccurred(evalDate, includeSettlementDateFlows_))
{
double x1 = coupon.amount();
double x2 = discountCurve_.link.discount(coupon.date());
double x3 = probability_.link.survivalProbability(coupon.date() - 1);
premiumNpv +=
coupon.amount() *
discountCurve_.link.discount(coupon.date()) *
probability_.link.survivalProbability(coupon.date() - 1);
}
// default accruals
if (!new simple_event(coupon.accrualEndDate())
.hasOccurred(effectiveProtectionStart, false))
{
Date start = Date.Max(coupon.accrualStartDate(), effectiveProtectionStart) - 1;
Date end = coupon.date() - 1;
double tstart = discountCurve_.link.timeFromReference(coupon.accrualStartDate() - 1) -
(accrualBias_ == AccrualBias.HalfDayBias ? 1.0 / 730.0 : 0.0);
List <Date> localNodes = new List <Date>();
localNodes.Add(start);
//add intermediary nodes, if any
if (forwardsInCouponPeriod_ == ForwardsInCouponPeriod.Piecewise)
{
foreach (Date node in nodes)
{
if (node > start && node < end)
{
localNodes.Add(node);
}
}
//std::vector<Date>::const_iterator it0 = std::upper_bound(nodes.begin(), nodes.end(), start);
//std::vector<Date>::const_iterator it1 = std::lower_bound(nodes.begin(), nodes.end(), end);
//localNodes.insert(localNodes.end(), it0, it1);
}
localNodes.Add(end);
double defaultAccrThisNode = 0.0;
Date firstnode = localNodes.First();
double t0 = discountCurve_.link.timeFromReference(firstnode);
P0 = discountCurve_.link.discount(firstnode);
Q0 = probability_.link.survivalProbability(firstnode);
foreach (Date node in localNodes.Skip(1)) //for (++node; node != localNodes.Last(); ++node)
{
double t1 = discountCurve_.link.timeFromReference(node);
double P1 = discountCurve_.link.discount(node);
double Q1 = probability_.link.survivalProbability(node);
double fhat = Math.Log(P0) - Math.Log(P1);
double hhat = Math.Log(Q0) - Math.Log(Q1);
double fhphh = fhat + hhat;
if (fhphh < 1E-4 && numericalFix_ == NumericalFix.Taylor)
{
// see above, terms up to (f+h)^3 seem more than enough,
// what exactly is implemented in the standard isda C
// code ?
double fhphhq = fhphh * fhphh;
defaultAccrThisNode +=
hhat * P0 * Q0 *
((t0 - tstart) *
(1.0 - 0.5 * fhphh + 1.0 / 6.0 * fhphhq -
1.0 / 24.0 * fhphhq * fhphh) +
(t1 - t0) *
(0.5 - 1.0 / 3.0 * fhphh + 1.0 / 8.0 * fhphhq -
1.0 / 30.0 * fhphhq * fhphh));
}
else
{
defaultAccrThisNode +=
(hhat / (fhphh + nFix)) *
((t1 - t0) * ((P0 * Q0 - P1 * Q1) / (fhphh + nFix) -
P1 * Q1) +
(t0 - tstart) * (P0 * Q0 - P1 * Q1));
}
t0 = t1;
P0 = P1;
Q0 = Q1;
}
defaultAccrualNpv += defaultAccrThisNode * arguments_.notional.Value *
coupon.rate() * 365.0 / 360.0;
}
}
results_.couponLegNPV = premiumNpv + defaultAccrualNpv;
// upfront flow npv
double upfPVO1 = 0.0;
results_.upfrontNPV = 0.0;
if (!arguments_.upfrontPayment.hasOccurred(
evalDate, includeSettlementDateFlows_))
{
upfPVO1 =
discountCurve_.link.discount(arguments_.upfrontPayment.date());
if (arguments_.upfrontPayment.amount().IsNotEqual(0.0))
{
results_.upfrontNPV = upfPVO1 * arguments_.upfrontPayment.amount();
}
}
results_.accrualRebateNPV = 0.0;
if (arguments_.accrualRebate != null &&
arguments_.accrualRebate.amount().IsNotEqual(0.0) &&
!arguments_.accrualRebate.hasOccurred(evalDate, includeSettlementDateFlows_))
{
results_.accrualRebateNPV =
discountCurve_.link.discount(arguments_.accrualRebate.date()) *
arguments_.accrualRebate.amount();
}
double upfrontSign = 1;
if (arguments_.side == Protection.Side.Seller)
{
results_.defaultLegNPV *= -1.0;
results_.accrualRebateNPV *= -1.0;
}
else
{
results_.couponLegNPV *= -1.0;
results_.upfrontNPV *= -1.0;
}
results_.value = results_.defaultLegNPV + results_.couponLegNPV +
results_.upfrontNPV + results_.accrualRebateNPV;
results_.errorEstimate = null;
if (results_.couponLegNPV.IsNotEqual(0.0))
{
results_.fairSpread =
-results_.defaultLegNPV * arguments_.spread /
(results_.couponLegNPV + results_.accrualRebateNPV);
}
else
{
results_.fairSpread = null;
}
double upfrontSensitivity = upfPVO1 * arguments_.notional.Value;
if (upfrontSensitivity.IsNotEqual(0.0))
{
results_.fairUpfront =
-upfrontSign * (results_.defaultLegNPV + results_.couponLegNPV +
results_.accrualRebateNPV) /
upfrontSensitivity;
}
else
{
results_.fairUpfront = null;
}
if (arguments_.spread.IsNotEqual(0.0))
{
results_.couponLegBPS =
results_.couponLegNPV * Const.BASIS_POINT / arguments_.spread;
}
else
{
results_.couponLegBPS = null;
}
if (arguments_.upfront != null && arguments_.upfront.IsNotEqual(0.0))
{
results_.upfrontBPS =
results_.upfrontNPV * Const.BASIS_POINT / (arguments_.upfront);
}
else
{
results_.upfrontBPS = null;
}
}
public override void calculate()
{
double basisPoint = 1.0e-4;
Date exerciseDate = arguments_.exercise.date(0);
// the part of the swap preceding exerciseDate should be truncated
// to avoid taking into account unwanted cashflows
// for the moment we add a check avoiding this situation
VanillaSwap swap = arguments_.swap;
double strike = swap.fixedRate;
List <CashFlow> fixedLeg = swap.fixedLeg();
FixedRateCoupon firstCoupon = fixedLeg[0] as FixedRateCoupon;
Utils.QL_REQUIRE(firstCoupon != null, () => "wrong coupon type");
Utils.QL_REQUIRE(firstCoupon.accrualStartDate() >= exerciseDate,
() => "swap start (" + firstCoupon.accrualStartDate() + ") before exercise date ("
+ exerciseDate + ") not supported in Black swaption engine");
// using the forecasting curve
swap.setPricingEngine(new DiscountingSwapEngine(swap.iborIndex().forwardingTermStructure()));
double atmForward = swap.fairRate();
// Volatilities are quoted for zero-spreaded swaps.
// Therefore, any spread on the floating leg must be removed
// with a corresponding correction on the fixed leg.
if (swap.spread.IsNotEqual(0.0))
{
double correction = swap.spread * Math.Abs(swap.floatingLegBPS() / swap.fixedLegBPS());
strike -= correction;
atmForward -= correction;
results_.additionalResults["spreadCorrection"] = correction;
}
else
{
results_.additionalResults["spreadCorrection"] = 0.0;
}
results_.additionalResults["strike"] = strike;
results_.additionalResults["atmForward"] = atmForward;
// using the discounting curve
swap.setPricingEngine(new DiscountingSwapEngine(discountCurve_, false));
double annuity = 0;
switch (arguments_.settlementType)
{
case Settlement.Type.Physical:
{
annuity = Math.Abs(swap.fixedLegBPS()) / basisPoint;
break;
}
case Settlement.Type.Cash:
{
DayCounter dayCount = firstCoupon.dayCounter();
// we assume that the cash settlement date is equal
// to the swap start date
Date discountDate = model_ == CashAnnuityModel.DiscountCurve
? firstCoupon.accrualStartDate()
: discountCurve_.link.referenceDate();
double fixedLegCashBPS =
CashFlows.bps(fixedLeg,
new InterestRate(atmForward, dayCount, Compounding.Compounded, Frequency.Annual), false,
discountDate);
annuity = Math.Abs(fixedLegCashBPS / basisPoint) * discountCurve_.link.discount(discountDate);
break;
}
default:
Utils.QL_FAIL("unknown settlement type");
break;
}
results_.additionalResults["annuity"] = annuity;
double swapLength = vol_.link.swapLength(swap.floatingSchedule().dates().First(),
swap.floatingSchedule().dates().Last());
results_.additionalResults["swapLength"] = swapLength;
double variance = vol_.link.blackVariance(exerciseDate,
swapLength,
strike);
double displacement = displacement_ == null
? vol_.link.shift(exerciseDate, swapLength)
: Convert.ToDouble(displacement_);
double stdDev = Math.Sqrt(variance);
results_.additionalResults["stdDev"] = stdDev;
Option.Type w = (arguments_.type == VanillaSwap.Type.Payer) ? Option.Type.Call : Option.Type.Put;
results_.value = new Spec().value(w, strike, atmForward, stdDev, annuity, displacement);
double exerciseTime = vol_.link.timeFromReference(exerciseDate);
results_.additionalResults["vega"] =
new Spec().vega(strike, atmForward, stdDev, exerciseTime, annuity, displacement);
}
public CommercialPaper(Type type, double nominal,
Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount,
Schedule principalSchedule, BusinessDayConvention?paymentConvention) :
base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = fixedSchedule_.businessDayConvention();
}
List <CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Discounting Pricipal
notionals_.Clear();
double n;
for (int i = 0; i < fixedLeg.Count; i++)
{
FixedRateCoupon c = (FixedRateCoupon)fixedLeg[i];
n = i > 0 ? notionals_.Last() : c.nominal();
notionals_.Add(n / (1 + (c.rate() * c.dayCounter().yearFraction(c.referencePeriodStart, c.referencePeriodEnd))));
}
// New Leg
List <CashFlow> discountedFixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Adjust Principal
Principal p0 = (Principal)principalLeg[0];
p0.setAmount(notionals_.Last());
legs_[0] = discountedFixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
public override void calculate()
{
double basisPoint = 1.0e-4;
Date exerciseDate = arguments_.exercise.date(0);
// the part of the swap preceding exerciseDate should be truncated
// to avoid taking into account unwanted cashflows
VanillaSwap swap = arguments_.swap;
double strike = swap.fixedRate;
// using the forecasting curve
swap.setPricingEngine(new DiscountingSwapEngine(swap.iborIndex().forwardingTermStructure()));
double atmForward = swap.fairRate();
// Volatilities are quoted for zero-spreaded swaps.
// Therefore, any spread on the floating leg must be removed
// with a corresponding correction on the fixed leg.
if (swap.spread != 0.0)
{
double correction = swap.spread * Math.Abs(swap.floatingLegBPS() / swap.fixedLegBPS());
strike -= correction;
atmForward -= correction;
results_.additionalResults["spreadCorrection"] = correction;
}
else
{
results_.additionalResults["spreadCorrection"] = 0.0;
}
results_.additionalResults["strike"] = strike;
results_.additionalResults["atmForward"] = atmForward;
// using the discounting curve
swap.setPricingEngine(new DiscountingSwapEngine(termStructure_));
double annuity;
switch (arguments_.settlementType)
{
case Settlement.Type.Physical: {
annuity = Math.Abs(swap.fixedLegBPS()) / basisPoint;
break;
}
case Settlement.Type.Cash: {
List <CashFlow> fixedLeg = swap.fixedLeg();
FixedRateCoupon firstCoupon = (FixedRateCoupon)fixedLeg[0];
DayCounter dayCount = firstCoupon.dayCounter();
double fixedLegCashBPS =
CashFlows.bps(fixedLeg,
new InterestRate(atmForward, dayCount, QLNet.Compounding.Compounded, Frequency.Annual), false,
termStructure_.link.referenceDate());
annuity = Math.Abs(fixedLegCashBPS / basisPoint);
break;
}
default:
throw new ApplicationException("unknown settlement type");
}
results_.additionalResults["annuity"] = annuity;
// the swap length calculation might be improved using the value date
// of the exercise date
double swapLength = volatility_.link.swapLength(exerciseDate,
arguments_.floatingPayDates.Last());
results_.additionalResults["swapLength"] = swapLength;
double variance = volatility_.link.blackVariance(exerciseDate,
swapLength,
strike);
double stdDev = Math.Sqrt(variance);
results_.additionalResults["stdDev"] = stdDev;
Option.Type w = (arguments_.type == VanillaSwap.Type.Payer) ?
Option.Type.Call : Option.Type.Put;
results_.value = Utils.blackFormula(w, strike, atmForward, stdDev, annuity);
double exerciseTime = volatility_.link.timeFromReference(exerciseDate);
results_.additionalResults["vega"] = Math.Sqrt(exerciseTime) *
Utils.blackFormulaStdDevDerivative(strike, atmForward, stdDev, annuity);
}