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;
}
FixedRateBond::FixedRateBond(Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate,
const Calendar& paymentCalendar)
: Bond(settlementDays,
paymentCalendar==Calendar() ? schedule.calendar() : paymentCalendar,
issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter) {
maturityDate_ = schedule.endDate();
cashflows_ = FixedRateLeg(schedule)
.withNotionals(faceAmount)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentCalendar(calendar_)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
}
FixedRateBond::FixedRateBond(Natural settlementDays,
const Calendar& calendar,
Real faceAmount,
const Date& startDate,
const Date& maturityDate,
const Period& tenor,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention accrualConvention,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate,
const Date& stubDate,
DateGeneration::Rule rule,
bool endOfMonth,
const Calendar& paymentCalendar)
: Bond(settlementDays,
paymentCalendar==Calendar() ? calendar : paymentCalendar,
issueDate),
frequency_(tenor.frequency()), dayCounter_(accrualDayCounter) {
maturityDate_ = maturityDate;
Date firstDate, nextToLastDate;
switch (rule) {
case DateGeneration::Backward:
firstDate = Date();
nextToLastDate = stubDate;
break;
case DateGeneration::Forward:
firstDate = stubDate;
nextToLastDate = Date();
break;
case DateGeneration::Zero:
case DateGeneration::ThirdWednesday:
case DateGeneration::Twentieth:
case DateGeneration::TwentiethIMM:
QL_FAIL("stub date (" << stubDate << ") not allowed with " <<
rule << " DateGeneration::Rule");
default:
QL_FAIL("unknown DateGeneration::Rule (" << Integer(rule) << ")");
}
Schedule schedule(startDate, maturityDate_, tenor,
calendar, accrualConvention, accrualConvention,
rule, endOfMonth,
firstDate, nextToLastDate);
cashflows_ = FixedRateLeg(schedule)
.withNotionals(faceAmount)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentCalendar(calendar_)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
}
void CallableFixedRateBond::setupArguments(
PricingEngine::arguments* args) const {
Bond::setupArguments(args);
CallableBond::arguments* arguments =
dynamic_cast<CallableBond::arguments*>(args);
QL_REQUIRE(arguments != 0, "no arguments given");
Date settlement = arguments->settlementDate;
arguments->redemption = redemption()->amount();
arguments->redemptionDate = redemption()->date();
const Leg& cfs = cashflows();
arguments->couponDates.clear();
arguments->couponDates.reserve(cfs.size()-1);
arguments->couponAmounts.clear();
arguments->couponAmounts.reserve(cfs.size()-1);
for (Size i=0; i<cfs.size()-1; i++) {
if (!cfs[i]->hasOccurred(settlement, false)) {
arguments->couponDates.push_back(cfs[i]->date());
arguments->couponAmounts.push_back(cfs[i]->amount());
}
}
arguments->callabilityPrices.clear();
arguments->callabilityDates.clear();
arguments->callabilityPrices.reserve(putCallSchedule_.size());
arguments->callabilityDates.reserve(putCallSchedule_.size());
arguments->paymentDayCounter = paymentDayCounter_;
arguments->frequency = frequency_;
arguments->putCallSchedule = putCallSchedule_;
for (Size i=0; i<putCallSchedule_.size(); i++) {
if (!putCallSchedule_[i]->hasOccurred(settlement, false)) {
arguments->callabilityDates.push_back(
putCallSchedule_[i]->date());
arguments->callabilityPrices.push_back(
putCallSchedule_[i]->price().amount());
if (putCallSchedule_[i]->price().type()==
Callability::Price::Clean) {
/* calling accrued() forces accrued interest to be zero
if future option date is also coupon date, so that dirty
price = clean price. Use here because callability is
always applied before coupon in the tree engine.
*/
arguments->callabilityPrices.back() +=
this->accrued(putCallSchedule_[i]->date());
}
}
}
}
Real RiskyBond::totalFutureFlows() const {
Date today = Settings::instance().evaluationDate();
Real flow = 0;
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
for (Size i = 0; i < cf.size(); i++) {
if (cf[i]->date() > today)
flow += cf[i]->amount();
}
return flow;
}
Real RiskyBond::totalFutureFlows() const {
Date today = Settings::instance().evaluationDate();
Date npvDate = calendar_.advance(today, settlementDays_, Days);
Real flow = 0;
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
for (Size i = 0; i < cf.size(); i++) {
if (cf[i]->date() > npvDate)
flow += cf[i]->amount();
}
return flow;
}
Real RiskyBond::riskfreeNPV() const {
Date today = Settings::instance().evaluationDate();
Real npv = 0;
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
for (Size i = 0; i < cf.size(); i++) {
Date d2 = cf[i]->date();
if (d2 > today)
npv += cf[i]->amount() * yieldTS()->discount(d2);
}
return npv;
}
void RiskyBond::performCalculations() const {
NPV_ = 0;
Date today = Settings::instance().evaluationDate();
std::vector<boost::shared_ptr<CashFlow> > cf = cashflows();
Date d1 = effectiveDate();
for (Size i = 0; i < cf.size(); i++) {
Date d2 = cf[i]->date();
if (d2 > today) {
d1 = max(today , d1);
Date defaultDate = d1 + (d2-d1)/2; // Mid-Point Rule
Real coupon = cf[i]->amount()
* defaultTS_->survivalProbability(d2);
Real recovery = notional(defaultDate) * recoveryRate_
* (defaultTS_->survivalProbability(d1)
-defaultTS_->survivalProbability(d2));
NPV_ += coupon * yieldTS()->discount(d2);
NPV_ += recovery * yieldTS()->discount(defaultDate);
}
d1 = d2;
}
}
FloatingCatBond::FloatingCatBond(
Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const boost::shared_ptr<IborIndex>& iborIndex,
const DayCounter& paymentDayCounter,
boost::shared_ptr<NotionalRisk> notionalRisk,
BusinessDayConvention paymentConvention,
Natural fixingDays,
const std::vector<Real>& gearings,
const std::vector<Spread>& spreads,
const std::vector<Rate>& caps,
const std::vector<Rate>& floors,
bool inArrears,
Real redemption,
const Date& issueDate)
: CatBond(settlementDays, schedule.calendar(), issueDate, notionalRisk) {
maturityDate_ = schedule.endDate();
cashflows_ = IborLeg(schedule, iborIndex)
.withNotionals(faceAmount)
.withPaymentDayCounter(paymentDayCounter)
.withPaymentAdjustment(paymentConvention)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
registerWith(iborIndex);
}
AmortizingFixedRateBond::AmortizingFixedRateBond(
Natural settlementDays,
const std::vector<Real>& notionals,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
const Date& issueDate)
: Bond(settlementDays, schedule.calendar(), issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter) {
maturityDate_ = schedule.endDate();
cashflows_ = FixedRateLeg(schedule)
.withNotionals(notionals)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows();
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
}
FloatingRateBond::FloatingRateBond(
Natural settlementDays,
Real faceAmount,
const Date& startDate,
const Date& maturityDate,
Frequency couponFrequency,
const Calendar& calendar,
const ext::shared_ptr<IborIndex>& iborIndex,
const DayCounter& accrualDayCounter,
BusinessDayConvention accrualConvention,
BusinessDayConvention paymentConvention,
Natural fixingDays,
const std::vector<Real>& gearings,
const std::vector<Spread>& spreads,
const std::vector<Rate>& caps,
const std::vector<Rate>& floors,
bool inArrears,
Real redemption,
const Date& issueDate,
const Date& stubDate,
DateGeneration::Rule rule,
bool endOfMonth)
: Bond(settlementDays, calendar, issueDate) {
maturityDate_ = maturityDate;
Date firstDate, nextToLastDate;
switch (rule) {
case DateGeneration::Backward:
firstDate = Date();
nextToLastDate = stubDate;
break;
case DateGeneration::Forward:
firstDate = stubDate;
nextToLastDate = Date();
break;
case DateGeneration::Zero:
case DateGeneration::ThirdWednesday:
case DateGeneration::Twentieth:
case DateGeneration::TwentiethIMM:
QL_FAIL("stub date (" << stubDate << ") not allowed with " <<
rule << " DateGeneration::Rule");
default:
QL_FAIL("unknown DateGeneration::Rule (" << Integer(rule) << ")");
}
Schedule schedule(startDate, maturityDate_, Period(couponFrequency),
calendar_, accrualConvention, accrualConvention,
rule, endOfMonth,
firstDate, nextToLastDate);
cashflows_ = IborLeg(schedule, iborIndex)
.withNotionals(faceAmount)
.withPaymentDayCounter(accrualDayCounter)
.withPaymentAdjustment(paymentConvention)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
.withFloors(floors)
.inArrears(inArrears);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
registerWith(iborIndex);
}
void MCIRDLSLSEngine::calculate() const {
for(Size i=0;i<additionalStats_.size();++i) {
additionalStats_[i].reset();
}
pathPricer_ = this->lsmPathPricer();
Size NeedRnd=randNum();
PseudoRandom::rsg_type gen = PseudoRandom::make_sequence_generator(NeedRnd, seed_);
const std::vector<Real>& rand = gen.nextSequence().value;
//Real values=this->pathPricer_->values(rand,nCalibrationSamples_);
Real values=this->pathPricer_->values(rand,maxSamples_);
this->pathPricer_->calibrate(nCalibrationSamples_);
values=this->pathPricer_->values(rand,maxSamples_);
results_.additionalResults["ImpliedCall"] = values;
const std::vector<Date> & fixings=this->arguments_.fixingDates;
Size sizeOfCouponNum=fixings.size();
Leg expectedCashflows;
Leg pastLeg = arguments_.payoffLeg->leg();
expectedCashflows=pastLeg;
std::vector<Real> cashflows(sizeOfCouponNum);
std::vector<Real> cashflowsDates(sizeOfCouponNum);
std::vector<Real> earlyExProbability;
std::vector<Real>& earlyExProbabilityM = pathPricer_->earlyExProbability(); // 그거 지난 일자는 빠진거.
//
//for(Size i=0;i<additionalStats_.size();++i) {
// expectedCashflows[sizeOfCouponNum-i-1]=boost::shared_ptr<CashFlow>(
// new SimpleCashFlow(additionalStats_[sizeOfCouponNum-i-1].mean(),fixings[sizeOfCouponNum-i-1]));
// cashflows[sizeOfCouponNum-i-1]=additionalStats_[sizeOfCouponNum-i-1].mean();
//
// //std::cout << additionalStats_[i].mean() << std::endl;
//}
Date today = Settings::instance().evaluationDate();
Size numberOfPastFixings=0;
for(Size i=0;i<sizeOfCouponNum;++i){
if(fixings[i]<today){
numberOfPastFixings=numberOfPastFixings+1;
}
}
for(Size i=0;i<numberOfPastFixings;++i) {
expectedCashflows[i]=boost::shared_ptr<CashFlow>(
new SimpleCashFlow((arguments_.payoffLeg->payoff())[i]->amount(),fixings[i]));
cashflows[i]=(arguments_.payoffLeg->payoff())[i]->amount(),fixings[i];
earlyExProbability.push_back(0.0);
}
for(Size i=0;i<additionalStats_.size();++i) {
expectedCashflows[sizeOfCouponNum-i-1]=boost::shared_ptr<CashFlow>(
new SimpleCashFlow(additionalStats_[additionalStats_.size()-i-1].mean(),fixings[sizeOfCouponNum-i-1]));
cashflows[sizeOfCouponNum-i-1]=additionalStats_[additionalStats_.size()-i-1].mean();
earlyExProbability.push_back(earlyExProbabilityM[i]/maxSamples_);
}
results_.additionalResults["cashflows"] = cashflows;
/*for(Size i=0;i<additionalStats_.size();++i) {
std::cout << "cashflows : "<< cashflows[i] << std::endl;
}*/
for(Size i=0;i<sizeOfCouponNum;++i){
cashflowsDates[i]=static_cast<Real>(fixings[i].serialNumber());
}
results_.additionalResults["cashflowsDates"] = cashflowsDates;
results_.additionalResults["EarlyExProbability"] = earlyExProbability;
//pricer에서 Notional을 더해서옴. 언제 상환될지 모르므로...
//Real Notional=arguments_.Notional;
//expectedCashflows.push_back(boost::shared_ptr<CashFlow>(new SimpleCashFlow(Notional,fixings.back())));
results_.expectedCashflows=expectedCashflows;
//expected Bond Price도 넣어야하나..?
QL_REQUIRE(!discountTS_.empty(),
"discounting term structure handle is empty");
results_.valuationDate = Settings::instance().evaluationDate();
bool includeRefDateFlows =false;
Real Notional=arguments_.Notional;
results_.additionalResults["nonCallableValue"] = pathPricer_->expectedBondPrice()*10000/maxSamples_;
results_.additionalResults["nonCallableUnitValue"] = pathPricer_->expectedBondPrice()*100000000/(maxSamples_*Notional);
results_.value = CashFlows::npv(results_.expectedCashflows,
**discountTS_,
includeRefDateFlows,
results_.valuationDate,
results_.valuationDate);
results_.settlementValue = CashFlows::npv(results_.expectedCashflows,
**discountTS_,
false,
arguments_.settlementDate,
arguments_.settlementDate);
results_.additionalResults["UnitValue"] = results_.value*10000/Notional;
}
