std::vector<boost::shared_ptr<CashFlow> > RiskyBond::expectedCashflows() {
std::vector<boost::shared_ptr<CashFlow> > expected;
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
Date today = Settings::instance().evaluationDate();
Date npvDate = calendar_.advance(today, settlementDays_, Days);
Date d1 = effectiveDate();
for (Size i = 0; i < cf.size(); i++) {
Date d2 = cf[i]->date();
if (d2 > npvDate) {
d1 = max(npvDate, d1);
Date defaultDate = d1 + (d2-d1)/2;
Real coupon = cf[i]->amount()
* defaultTS_->survivalProbability(d2);
Real recovery = notional(defaultDate) * recoveryRate_
* (defaultTS_->survivalProbability(d1)
-defaultTS_->survivalProbability(d2));
boost::shared_ptr<CashFlow>
flow1(new SimpleCashFlow(coupon, d2));
expected.push_back(flow1);
boost::shared_ptr<CashFlow>
flow2(new SimpleCashFlow(recovery, defaultDate));
expected.push_back(flow2);
}
d1 = d2;
}
return expected;
}
TER
Taker::cross (Offer const& leg1, Offer const& leg2)
{
assert (!done ());
assert (leg1.amount ().out.isNative ());
assert (leg2.amount ().in.isNative ());
Amounts amount1 (leg1.amount());
Amounts amount2 (leg2.amount());
if (m_options.sell)
amount1 = leg1.quality().ceil_in (amount1, m_remain.in);
else
amount2 = leg2.quality().ceil_out (amount2, m_remain.out);
if (amount1.out <= amount2.in)
amount2 = leg2.quality().ceil_in (amount2, amount1.out);
else
amount1 = leg1.quality().ceil_out (amount1, amount2.in);
assert (amount1.out == amount2.in);
// As written, flow can't handle a 3-party transfer, but this works for
// us because the output of leg1 and the input leg2 are XRP.
Amounts flow1 (flow (amount1, leg1, m_account));
amount2 = leg2.quality().ceil_in (amount2, flow1.out);
Amounts flow2 (flow (amount2, leg2, m_account));
m_remain.out -= amount2.out;
m_remain.in -= amount1.in;
return fill (leg1, flow1, leg2, flow2);
}
void runlogic()
{
init_script();
flow2();
ns_exit_session();
}
