Basic Products

Financial instruments are decomposed into legs.

A product is a collection of one or more legs.

Basic Cash Flow Legs

DiffFusion.CashFlowLeg — Type

abstract type CashFlowLeg end

A CashFlowLeg combines CashFlow objects in a single currency and adds notional and payer/receiver information and discounting.

We apply the convention that notionals are non-negative and cash flows are modelled from the receiving counter party perspective. This does include the exceptions of negative spread cash flows or negative notional exchange cash flows.

source

DiffFusion.DeterministicCashFlowLeg — Type

struct DeterministicCashFlowLeg <: CashFlowLeg
    alias::String
    cashflows::AbstractVector
    notionals::AbstractVector
    curve_key::String
    fx_key::Union{String, Nothing}
    payer_receiver::ModelValue
end

A DeterministicCashFlowLeg models legs with deterministic notionals.

source

DiffFusion.cashflow_leg — Function

cashflow_leg(
    alias::String,
    cashflows::AbstractVector,
    notionals::AbstractVector,
    curve_key::Union{String, Nothing} = nothing,
    fx_key::Union{String, Nothing} = nothing,
    payer_receiver = 1.0,
    )

Create a DeterministicCashFlowLeg.

source

cashflow_leg(
    alias::String,
    cashflows::AbstractVector,
    notional::ModelValue,
    curve_key::Union{String, Nothing} = nothing,
    fx_key::Union{String, Nothing} = nothing,
    payer_receiver = 1.0,
    )

Create a constant notional CashFlowLeg.

source

Cross Currency Swap Legs

DiffFusion.MtMCashFlowLeg — Type

struct MtMCashFlowLeg <: CashFlowLeg
    alias::String
    cashflows::AbstractVector
    intitial_notional::ModelValue
    curve_key_dom::String
    curve_key_for::String
    fx_key_dom::Union{String, Nothing}
    fx_key_for::Union{String, Nothing}
    fx_reset_times::AbstractVector
    fx_pay_times::AbstractVector
    payer_receiver::ModelValue
end

A mark-to-market (MtM) cross currency cash flow leg adds notional resets to the cash flow payments.

Notional resets are calculated from FX rates at reset times.

We consider a setting with numeraire currency, domestic currency and foreign currency.

Cash flows are denominated in domestic currency. Initial notional is expressed in foreign currency and simulation is modelled in numeraire currency.

We denote fx_key_for the FOR-NUM asset key and fx_key_dom the DOM-NUM asset key.

FX rates for notional exchange are fixed at fx_reset_times and notional cash flows are exchanged at fx_pay_times. The very first notional exchange is not modelled because it is either in the past or foreign and domestic notional exchange offset each other.

As a consequence, we have one fx_reset_time and one fx_pay_time per cash flow. The fx_reset_time is at (or before) the start of the coupon period and fx_pay_time is at (or after) the end of the coupon period.

source

DiffFusion.mtm_cashflow_leg — Function

mtm_cashflow_leg(
    alias::String,
    cashflows::AbstractVector,
    intitial_notional::ModelValue,
    curve_key_dom::String,
    curve_key_for::String,
    fx_key_dom::Union{String, Nothing},
    fx_key_for::Union{String, Nothing},
    fx_reset_times::AbstractVector,
    fx_pay_times::AbstractVector,
    payer_receiver::ModelValue,
    )

Create a MTM cash flow leg.

source

mtm_cashflow_leg(
    alias::String,
    leg::DeterministicCashFlowLeg,
    intitial_notional::ModelValue,  # in foreign currency
    initial_reset_time::ModelValue,
    curve_key_for::String,
    fx_key_for::Union{String, Nothing},
    )

Create a MtM cash flow leg from a deterministic leg.

source

Cash and Assets

DiffFusion.CashBalanceLeg — Type

struct CashBalance <: CashFlowLeg
    alias::String
    notional::ModelValue
    fx_key::Union{String, Nothing}
    payer_receiver::ModelValue
    maturity_time::Union{Nothing, ModelTime}
end

A CashLeg represents a constant cash balance in domestic or foreign corrency.

source

DiffFusion.cash_balance_leg — Function

cash_balance_leg(
    alias::String,
    notional::ModelValue,
    fx_key::Union{String, Nothing} = nothing,
    payer_receiver::ModelValue = +1.0,
    maturity_time::Union{Nothing, ModelTime} = nothing
    )

Create a CashBalance object.

source

DiffFusion.AssetLeg — Type

An AssetLeg represents a position in a tradeable asset. Such tradeable asset can be, e.g., a share price, index price or an (FOR-DOM) FX rate where DOM currency differs from numeraire currency.

source

Cash Flow Leg Functions

Future Cash Flows (Undiscounted)

DiffFusion.future_cashflows — Method

future_cashflows(leg::CashFlowLeg, obs_time::ModelTime)

Calculate the list of future undiscounted payoffs in numeraire currency.

source

DiffFusion.future_cashflows — Method

future_cashflows(leg::DeterministicCashFlowLeg, obs_time::ModelTime)

Calculate the list of future undiscounted payoffs in numeraire currency.

source

DiffFusion.future_cashflows — Method

future_cashflows(leg::MtMCashFlowLeg, obs_time::ModelTime)

Calculate the list of future undiscounted payoffs in numeraire currency.

source

DiffFusion.future_cashflows — Method

future_cashflows(leg::AssetLeg, obs_time::ModelTime)

Calculate the list of future undiscounted payoffs in numeraire currency.

source

DiffFusion.future_cashflows — Method

future_cashflows(leg::CashBalanceLeg, obs_time::ModelTime)

Calculate the list of future undiscounted payoffs in numeraire currency.

source