void EnergyCommodity::calculateSecondaryCostAmounts(
const CommodityType& commodityType,
Real totalQuantityValue,
const Date& evaluationDate) const {
secondaryCostAmounts_.empty();
if (secondaryCosts_ != 0) {
const Currency& baseCurrency =
CommoditySettings::instance().currency();
try {
for (SecondaryCosts::const_iterator i = secondaryCosts_->begin();
i != secondaryCosts_->end(); i++) {
if (boost::any_cast<CommodityUnitCost>(&i->second)) {
Real value =
calculateUnitCost(
commodityType,
boost::any_cast<CommodityUnitCost>(i->second),
evaluationDate) * totalQuantityValue;
secondaryCostAmounts_[i->first] =
Money(baseCurrency, value);
} else if (boost::any_cast<Money>(&i->second)) {
const Money& amount = boost::any_cast<Money>(i->second);
Real fxConversionFactor =
calculateFxConversionFactor(amount.currency(),
baseCurrency,
evaluationDate);
secondaryCostAmounts_[i->first] =
Money(baseCurrency,
amount.value() * fxConversionFactor);
}
}
} catch (const std::exception& e) {
QL_FAIL("error calculating secondary costs: " << e.what());
}
}
}
Real EnergyCommodity::calculateUnitCost(const CommodityType& commodityType,
const CommodityUnitCost& unitCost,
const Date& evaluationDate) const {
if (unitCost.amount().value() != 0) {
const Currency& baseCurrency =
CommoditySettings::instance().currency();
const UnitOfMeasure baseUnitOfMeasure =
CommoditySettings::instance().unitOfMeasure();
Real unitCostUomConversionFactor =
calculateUomConversionFactor(commodityType,
unitCost.unitOfMeasure(),
baseUnitOfMeasure);
Real unitCostFxConversionFactor =
calculateFxConversionFactor(unitCost.amount().currency(),
baseCurrency, evaluationDate);
return unitCost.amount().value() * unitCostUomConversionFactor
* unitCostFxConversionFactor;
}
return 0;
}
void EnergyBasisSwap::performCalculations() const {
try {
if (payIndex_->empty()) {
if (payIndex_->forwardCurveEmpty()) {
QL_FAIL("index [" + payIndex_->name() +
"] does not have any quotes or forward prices");
} else {
addPricingError(PricingError::Warning,
"index [" + payIndex_->name() +
"] does not have any quotes; "
"using forward prices from [" +
payIndex_->forwardCurve()->name() + "]");
}
}
if (receiveIndex_->empty()) {
if (receiveIndex_->forwardCurveEmpty()) {
QL_FAIL("index [" + receiveIndex_->name() +
"] does not have any quotes or forward prices");
} else {
addPricingError(PricingError::Warning,
"index [" + receiveIndex_->name() +
"] does not have any quotes; "
"using forward prices from [" +
receiveIndex_->forwardCurve()->name() +
"]");
}
}
NPV_ = 0.0;
additionalResults_.clear();
dailyPositions_.clear();
paymentCashFlows_.clear();
Date evaluationDate = Settings::instance().evaluationDate();
const Currency& baseCurrency =
CommoditySettings::instance().currency();
const UnitOfMeasure baseUnitOfMeasure =
CommoditySettings::instance().unitOfMeasure();
Real quantityUomConversionFactor =
calculateUomConversionFactor(
pricingPeriods_[0]->quantity().commodityType(),
baseUnitOfMeasure,
pricingPeriods_[0]->quantity().unitOfMeasure());
Real payIndexUomConversionFactor =
calculateUomConversionFactor(payIndex_->commodityType(),
payIndex_->unitOfMeasure(),
baseUnitOfMeasure);
Real receiveIndexUomConversionFactor =
calculateUomConversionFactor(receiveIndex_->commodityType(),
receiveIndex_->unitOfMeasure(),
baseUnitOfMeasure);
Real payIndexFxConversionFactor =
calculateFxConversionFactor(payIndex_->currency(),
baseCurrency, evaluationDate);
Real receiveIndexFxConversionFactor =
calculateFxConversionFactor(receiveIndex_->currency(),
baseCurrency, evaluationDate);
Real payLegFxConversionFactor =
calculateFxConversionFactor(baseCurrency, payCurrency_,
evaluationDate);
Real receiveLegFxConversionFactor =
calculateFxConversionFactor(baseCurrency, receiveCurrency_,
evaluationDate);
Real basisUomConversionFactor =
calculateUomConversionFactor(
pricingPeriods_[0]->quantity().commodityType(),
basis_.unitOfMeasure(), baseUnitOfMeasure);
Real basisFxConversionFactor =
calculateFxConversionFactor(baseCurrency,
basis_.amount().currency(),
evaluationDate);
Real basisValue = basis_.amount().value() *
basisUomConversionFactor * basisFxConversionFactor;
Date lastPayIndexQuoteDate = payIndex_->lastQuoteDate();
Date lastReceiveIndexQuoteDate = receiveIndex_->lastQuoteDate();
if (lastPayIndexQuoteDate < evaluationDate - 1) {
std::ostringstream message;
message << "index [" << payIndex_->name()
<< "] has last quote date of "
<< io::iso_date(lastPayIndexQuoteDate);
addPricingError(PricingError::Warning, message.str());
}
if (lastReceiveIndexQuoteDate < evaluationDate - 1) {
std::ostringstream message;
message << "index [" << receiveIndex_->name()
<< "] has last quote date of "
<< io::iso_date(lastReceiveIndexQuoteDate);
addPricingError(PricingError::Warning, message.str());
}
Date lastQuoteDate = std::min(lastPayIndexQuoteDate,
lastReceiveIndexQuoteDate);
Real totalQuantityAmount = 0;
// price each period
for (PricingPeriods::const_iterator pi = pricingPeriods_.begin();
pi != pricingPeriods_.end(); ++pi) {
const boost::shared_ptr<PricingPeriod>& pricingPeriod = *pi;
Integer periodDayCount = 0;
// get the index quotes
Date periodStartDate =
calendar_.adjust(pricingPeriod->startDate());
for (Date stepDate = periodStartDate;
stepDate <= pricingPeriod->endDate();
stepDate = calendar_.advance(stepDate, 1*Days)) {
bool unrealized = stepDate > evaluationDate;
Real payQuoteValue = 0;
Real receiveQuoteValue = 0;
if (stepDate <= lastQuoteDate) {
payQuoteValue = payIndex_->price(stepDate);
receiveQuoteValue = receiveIndex_->price(stepDate);
} else {
payQuoteValue = payIndex_->forwardPrice(stepDate);
receiveQuoteValue =
receiveIndex_->forwardPrice(stepDate);
}
if (payQuoteValue == 0) {
std::ostringstream message;
message << "pay quote value for curve ["
<< payIndex_->name() << "] is 0 for date "
<< io::iso_date(stepDate);
addPricingError(PricingError::Warning, message.str());
}
if (receiveQuoteValue == 0) {
std::ostringstream message;
message << "receive quote value for curve ["
<< receiveIndex_->name() << "] is 0 for date "
<< io::iso_date(stepDate);
addPricingError(PricingError::Warning, message.str());
}
QL_REQUIRE(payQuoteValue != Null<Real>(),
"curve [" << payIndex_->name() <<
"] missing value for pricing date: "
<< stepDate);
QL_REQUIRE(receiveQuoteValue != Null<Real>(),
"curve [" << receiveIndex_->name() <<
"] missing value for pricing date: "
<< stepDate);
Real payLegPriceValue =
payQuoteValue * payIndexUomConversionFactor *
payIndexFxConversionFactor;
Real receiveLegPriceValue =
receiveQuoteValue * receiveIndexUomConversionFactor *
receiveIndexFxConversionFactor;
if (spreadToPayLeg_)
payLegPriceValue += basisValue;
else
receiveLegPriceValue += basisValue;
dailyPositions_[stepDate] =
EnergyDailyPosition(stepDate, payLegPriceValue,
receiveLegPriceValue, unrealized);
periodDayCount++;
}
Real periodQuantityAmount =
pricingPeriod->quantity().amount() *
quantityUomConversionFactor;
totalQuantityAmount += periodQuantityAmount;
Real avgDailyQuantityAmount =
periodDayCount == 0 ? 0 :
periodQuantityAmount / periodDayCount;
Real payLegValue = 0;
Real receiveLegValue = 0;
for (std::map<Date, EnergyDailyPosition>::iterator dpi =
dailyPositions_.find(periodStartDate);
dpi != dailyPositions_.end() &&
dpi->first <= pricingPeriod->endDate(); ++dpi) {
EnergyDailyPosition& dailyPosition = dpi->second;
dailyPosition.quantityAmount = avgDailyQuantityAmount;
dailyPosition.riskDelta =
(-dailyPosition.payLegPrice + dailyPosition.receiveLegPrice) * avgDailyQuantityAmount;
payLegValue += -dailyPosition.payLegPrice * avgDailyQuantityAmount;
receiveLegValue += dailyPosition.receiveLegPrice * avgDailyQuantityAmount;
}
Real discountFactor = 1;
Real payLegDiscountFactor = 1;
Real receiveLegDiscountFactor = 1;
if (pricingPeriod->paymentDate() >= evaluationDate + 2 /* settlement days*/) {
discountFactor =
discountTermStructure_->discount(
pricingPeriod->paymentDate());
payLegDiscountFactor =
payLegTermStructure_->discount(
pricingPeriod->paymentDate());
receiveLegDiscountFactor =
receiveLegTermStructure_->discount(
pricingPeriod->paymentDate());
}
Real uDelta = receiveLegValue + payLegValue;
Real dDelta = (receiveLegValue * receiveLegDiscountFactor) +
(payLegValue * payLegDiscountFactor);
Real pmtFxConversionFactor =
(dDelta > 0) ? payLegFxConversionFactor : receiveLegFxConversionFactor;
Currency pmtCurrency =
(dDelta > 0) ? receiveCurrency_ : payCurrency_;
Real pmtDiscountFactor =
(dDelta > 0) ? receiveLegDiscountFactor : payLegDiscountFactor;
paymentCashFlows_[pricingPeriod->paymentDate()] =
boost::shared_ptr<CommodityCashFlow> (
new CommodityCashFlow(pricingPeriod->paymentDate(),
Money(baseCurrency,
uDelta * discountFactor),
Money(baseCurrency, uDelta),
Money(pmtCurrency,
dDelta * pmtFxConversionFactor),
Money(pmtCurrency,
uDelta * pmtFxConversionFactor),
discountFactor,
pmtDiscountFactor,
pricingPeriod->paymentDate() <= evaluationDate));
calculateSecondaryCostAmounts(
pricingPeriods_[0]->quantity().commodityType(),
totalQuantityAmount, evaluationDate);
NPV_ += dDelta;
}
QL_REQUIRE(paymentCashFlows_.size() > 0, "no cashflows");
for (SecondaryCostAmounts::const_iterator i =
secondaryCostAmounts_.begin();
i != secondaryCostAmounts_.end(); ++i) {
Real amount = i->second.value();
NPV_ -= amount;
}
additionalResults_["dailyPositions"] = dailyPositions_;
} catch (const QuantLib::Error& e) {
addPricingError(PricingError::Error, e.what());
throw;
} catch (const std::exception& e) {
addPricingError(PricingError::Error, e.what());
throw;
}
}