/// <summary>
/// Modify the pv and cash taking the date of default into account.
/// </summary>
/// <remarks>
/// The default value considers the buy/sell sign or whether it's a forward deal, but it doesn't consider whether the call option has been exercised or not.
/// This is partly to respect the method signature of the base class, but partly the call exercise feature can be taken care of by modifying the actual
/// underlier default date - if the name is in default but the call option has been exercised, the default has no consequence, and the "effective"
/// default date can be moved to inifinity (as far as default value is concerned).
/// </remarks>
public override void GetDefaultValue(double baseDate, double valueDate, Vector defaultDate, RecoveryRate recoveryRate, Vector pv, Vector cash)
{
double principal = CFFixedInterestListValuation.GetPrincipal(fCashflowList, valueDate);
var deal = (CallableBondForward)Deal;
double settlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double buySellSign = deal.Buy_Sell == BuySell.Buy ? 1.0 : -1.0;
using (var cache = Vector.CacheLike(pv))
{
// Approximation: recover only principal, neglecting accrued interest
Vector recovery = cache.Get(buySellSign * 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 = buySellSign * 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>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CallableBondForward deal = (CallableBondForward)Deal;
double firstCallDate = deal.First_Call_Date;
double lastCallDate = deal.Last_Call_Date;
double baseDate = factors.BaseDate;
double issueDate = deal.Issue_Date;
double settlementDate = deal.Settlement_Date;
double priceDate = Math.Max(baseDate, settlementDate + 1.0); // bond cashflows before priceDate do not contribute to bond price
double maturityDate = deal.Bond_Maturity_Date;
double couponInterval = deal.Coupon_Interval;
double notional = deal.Notional;
IHolidayCalendar holidayCalendar = deal.GetHolidayCalendar();
DateGenerationParams dateGenerationParams = new DateGenerationParams
{
EffectiveDate = issueDate,
MaturityDate = maturityDate,
AccrualDayCount = deal.Accrual_Day_Count,
FirstCouponDate = deal.First_Coupon_Date,
PenultimateCouponDate = deal.Penultimate_Coupon_Date,
Amortisation = deal.Amortisation,
CouponPeriod = couponInterval,
Principal = notional,
PrincipalExchange = PrincipalExchange.Start_Maturity,
AccrualCalendar = holidayCalendar
};
CashflowListDetail detail = CashflowGeneration.GenerateCashflowListDetail(dateGenerationParams);
// Collect reset dates as we loop.
var resetDates = new DateList(detail.Coupon_Details.Count);
// Create cashflow list
fCashflowList = new CFFixedInterestList();
fCashflowList.Compounding = YesNo.No;
foreach (CouponDetail couponDetail in detail.Coupon_Details)
{
if (couponDetail.Payment_Date < priceDate)
{
continue;
}
foreach (AccrualDetail accrualDetail in couponDetail.Accrual_Details)
{
resetDates.Add(accrualDetail.Accrual_Start_Date);
if (couponDetail.Payment_Date < priceDate)
{
continue;
}
var cashflow = new CFFixedInterest
{
Payment_Date = couponDetail.Payment_Date,
Notional = accrualDetail.Notional,
Accrual_Start_Date = accrualDetail.Accrual_Start_Date,
Accrual_End_Date = accrualDetail.Accrual_End_Date,
Accrual_Year_Fraction = accrualDetail.Accrual_Year_Fraction,
Rate = deal.Coupon_Rate * Percentage.PercentagePoint,
Accrual_Day_Count = deal.Accrual_Day_Count,
Discounted = YesNo.No
};
fCashflowList.Items.Add(cashflow);
}
}
IRBaseDealSkin.ApplyRateSchedule(fCashflowList.Items, deal.Coupon_Rate_Schedule, Percentage.PercentagePoint, holidayCalendar, DateAdjustmentMethod.Modified_Following);
// Calculate fixed interest cashflows.
fCashflowList.CalculateInterest(baseDate);
fFixedCashflowList = PrincipalCashflows(priceDate, issueDate, maturityDate, PrincipalExchange.Start_Maturity, notional, deal.Amortisation, 1.0);
fSettlementAmount = 0.0;
fAccrued = 0.0;
bool payDatesRequired = requiredResults.CashRequired();
if (settlementDate >= baseDate)
{
double settlementPrincipal = CFFixedInterestListValuation.GetPrincipal(fCashflowList, settlementDate);
fSettlementAmount = settlementPrincipal * deal.Price * Percentage.PercentagePoint;
for (int i = 0; i < fCashflowList.Items.Count; ++i)
{
CFFixedInterest cashflow = fCashflowList[i];
if (cashflow.Accrual_Start_Date >= settlementDate)
{
break;
}
if (settlementDate < cashflow.Accrual_End_Date)
{
fAccrued += cashflow.Interest() * (settlementDate - cashflow.Accrual_Start_Date) / (cashflow.Accrual_End_Date - cashflow.Accrual_Start_Date);
}
}
if (deal.Price_Is_Clean == YesNo.Yes)
{
fSettlementAmount += fAccrued; // add accrued interest
}
fT.AddPayDate(settlementDate, payDatesRequired);
}
// Add the floating and fixed cashflow dates to the time grid.
fT.AddPayDates <CFFixedInterest>(fCashflowList, payDatesRequired);
fT.AddPayDates <CFFixed>(fFixedCashflowList, payDatesRequired);
// We only need an option pricer if callable on or after the settlement date.
fSwaptionPricer = null;
if (lastCallDate >= settlementDate)
{
// Snap call dates to grid of reset dates and
// ensure that first call date is on or after settlement date
int iLast = resetDates.IndexOfNextDate(lastCallDate);
lastCallDate = resetDates[iLast];
int iFirst = resetDates.IndexOfNextDate(firstCallDate);
while ((iFirst < resetDates.Count - 1) && (resetDates[iFirst] < settlementDate))
{
// move first exercise date forward
iFirst++;
}
firstCallDate = resetDates[iFirst];
int paySign = deal.Call_Put == OptionType.Put ? +1 : -1;
RateList exerciseFees = new RateList();
foreach (Rate price in deal.Call_Prices)
{
Rate fee = new Rate();
fee.Value = paySign * (Percentage.OverPercentagePoint - price.Value);
fee.Date = price.Date;
exerciseFees.Add(fee);
}
var amortisation = AllocateAmortisationToPaymentDates <CFFixedInterest>(deal.Amortisation, fCashflowList.Items);
fSwaptionPricer = new SwaptionPricer(issueDate, maturityDate, couponInterval, couponInterval,
deal.Accrual_Day_Count, holidayCalendar, DayCount.ACT_365, holidayCalendar, firstCallDate, lastCallDate, baseDate,
paySign, paySign, 0.0, null, notional, amortisation, deal.Coupon_Rate, null, deal.Coupon_Rate_Schedule, exerciseFees,
null, OptionStyle2.Bermudan, Max_Nodes, Step_Size, fT, true, requiredResults.CashRequired());
}
if (NeedSurvivalProb())
{
fRecoveryList = new CFRecoveryList();
fRecoveryList.PopulateRecoveryCashflowList(baseDate, settlementDate, fCashflowList);
}
}