public void ConstVol()
{
var constVolA = 0.32;
var constVolB = 0.16;
var originDate = new DateTime(2017, 02, 21);
var impliedSurfaceA = new ConstantVolSurface(originDate, constVolA)
{
AssetId = "A"
};
var impliedSurfaceB = new ConstantVolSurface(originDate, constVolB)
{
AssetId = "B"
};
var model = new AssetFxModel(originDate, null);
model.AddVolSurface("A", impliedSurfaceA);
model.AddVolSurface("B", impliedSurfaceB);
var timesteps = Enumerable.Range(1, 4).Select(x => x / 4.0).ToArray();
var termCorrels = new[] { 0.9, 0.85, 0.8, 0.75 };
var correlVector = new CorrelationTimeVector("A", "B", termCorrels, timesteps);
model.CorrelationMatrix = correlVector;
var lc = model.LocalCorrelationRaw(timesteps);
var lcVec = lc.Select(x => x[0][0]).ToArray();
for (var i = 0; i < termCorrels.Length; i++)
{
var expected = lcVec.Take(i + 1).Average();
Assert.Equal(expected, termCorrels[i], 8);
}
}
private AssetFxMCModel GetSut()
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Interpolator1DType.Linear, usd, "DISCO");
var comCurve = new BasicPriceCurve(buildDate, new[] { buildDate, buildDate.AddDays(15), buildDate.AddDays(100) }, new[] { 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new ConstantVolSurface(buildDate, 0.32)
{
AssetId = "CL"
};
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>(), new List <FxPair>(), new Dictionary <Currency, string> {
{ usd, "DISCO" }
});
fModel.SetupFx(fxM);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
var product = AssetProductFactory.CreateAsianOption(buildDate.AddDays(10), buildDate.AddDays(20), 101, "CL", OptionType.Call, usdCal, buildDate.AddDays(21), usd);
product.TradeId = "waaah";
product.DiscountCurve = "DISCO";
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product
}
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
NumberOfPaths = (int)System.Math.Pow(2, 13),
NumberOfTimesteps = 1,
ReportingCurrency = usd,
Parallelize = false,
CreditSettings = new CreditSettings
{
ExposureDates = new DateTime[] { buildDate.AddDays(5), buildDate.AddDays(20), buildDate.AddDays(22) }
},
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
private AssetFxModel GetModel()
{
var irCurveZar = new ConstantRateIrCurve(0.07, ValDate, "ZAR-IR", zar);
var irCurveUsd = new ConstantRateIrCurve(0.02, ValDate, "USD-IR", zar);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var fxPair = new FxPair()
{
Domestic = usd,
Foreign = zar,
PrimaryCalendar = TestProviderHelper.CalendarProvider.GetCalendar("ZAR"),
SecondaryCalendar = TestProviderHelper.CalendarProvider.GetCalendar("USD"),
SpotLag = new Frequency("2b")
};
fxMatrix.Init(usd, ValDate, new Dictionary <Currency, double> {
{ zar, 20.0 }
}, new List <FxPair> {
fxPair
}, new Dictionary <Currency, string> {
{ zar, "ZAR-IR" }, { usd, "USD-IR" }
});
var fModel = new FundingModel(ValDate, new[] { irCurveUsd, irCurveZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var fxSurface = new ConstantVolSurface(ValDate, 0.16);
fModel.VolSurfaces.Add("USD/ZAR", fxSurface);
var crudeCurve = new ConstantPriceCurve(100, ValDate, TestProviderHelper.CurrencyProvider)
{
Name = "OIL",
AssetId = "OIL",
Currency = usd
};
var crudeSurface = new ConstantVolSurface(ValDate, 0.32)
{
Name = "OIL",
AssetId = "OIL",
Currency = usd
};
var aModel = new AssetFxModel(ValDate, fModel);
aModel.AddPriceCurve("OIL", crudeCurve);
aModel.AddVolSurface("OIL", crudeSurface);
aModel.CorrelationMatrix = new CorrelationMatrix(new[] { "OIL" }, new[] { "USD/ZAR" }, new double[][] { new [] { 0.5 } });
return(aModel);
}
public static object CreateAssetFxModel(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Price curves")] object[] PriceCurves,
[ExcelArgument(Description = "Vol surfaces")] object[] VolSurfaces,
[ExcelArgument(Description = "Funding model")] object[] FundingModel,
[ExcelArgument(Description = "Fixing dictionaries")] object[] Fixings,
[ExcelArgument(Description = "Correlation matrix")] object[] CorrelationMatrix)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curves = PriceCurves.GetAnyFromCache <IPriceCurve>();
var fundingModel = FundingModel.GetAnyFromCache <IFundingModel>().First();
var fixings = Fixings.GetAnyFromCache <IFixingDictionary>();
var volSurfaces = VolSurfaces.GetAnyFromCache <IVolSurface>();
var correlatinMatrix = CorrelationMatrix.GetAnyFromCache <ICorrelationMatrix>();
var model = new AssetFxModel(BuildDate, fundingModel);
foreach (var curve in curves)
{
model.AddPriceCurve(curve.Name, curve);
}
foreach (var vs in volSurfaces)
{
model.AddVolSurface(vs.Name, vs);
}
foreach (var f in fixings)
{
model.AddFixingDictionary(f.Name, f);
}
if (correlatinMatrix.Any())
{
model.CorrelationMatrix = correlatinMatrix.First();
}
return ExcelHelper.PushToCache <IAssetFxModel>(model, ObjectName);
}));
}
private AssetFxModel GetModel()
{
var vol = new ConstantVolSurface(valDate, assetVol)
{
AssetId = assetId,
Name = assetId
};
var fwd = new ConstantPriceCurve(assetPrice, valDate, TestProviderHelper.CurrencyProvider)
{
AssetId = assetId,
Name = assetId
};
var ir = new FlatIrCurve(0.0, usd, "USD");
var fm = new FundingModel(valDate, new[] { ir }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var am = new AssetFxModel(valDate, fm);
am.AddPriceCurve(assetId, fwd);
am.AddVolSurface(assetId, vol);
return(am);
}
private AssetFxMCModel GetSut()
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
var zar = TestProviderHelper.CurrencyProvider["ZAR"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var pair = new FxPair()
{
Domestic = zar, Foreign = usd, PrimaryCalendar = usdCal, SpotLag = 2.Bd()
};
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Interpolator1DType.Linear, usd, "DISCO");
var dates = new[] { buildDate, buildDate.AddDays(32), buildDate.AddDays(60), buildDate.AddDays(90) };
var times = dates.Select(d => buildDate.CalculateYearFraction(d, DayCountBasis.Act365F)).ToArray();
var vols = new[] { 0.32, 0.30, 0.29, 0.28 };
var comCurve = new PriceCurve(buildDate, dates, new[] { 100.0, 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new GridVolSurface(buildDate, new[] { 0.5 }, dates, vols.Select(x => new double[] { x }).ToArray(), StrikeType.ForwardDelta, Interpolator1DType.Linear, Interpolator1DType.LinearInVariance, DayCountBasis.Act365F)
{
AssetId = "CL"
};
var fxSurface = new ConstantVolSurface(buildDate, 0.16)
{
AssetId = "USD/ZAR"
};
var correlVector = new CorrelationTimeVector("CL", "USD/ZAR", _correls, times);
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>()
{
{ zar, 14.0 }
}, new List <FxPair>()
{
pair
}, new Dictionary <Currency, string> {
{ usd, "DISCO" }, { zar, "DISCO" }
});
fModel.SetupFx(fxM);
fModel.VolSurfaces.Add("ZAR/USD", fxSurface);
fModel.VolSurfaces.Add("USD/ZAR", fxSurface);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
aModel.CorrelationMatrix = correlVector;
var product1 = AssetProductFactory.CreateAsianOption(dates[1], dates[1], 1400, "CL", OptionType.Call, usdCal, dates[1], zar);
product1.TradeId = "P1";
product1.DiscountCurve = "DISCO";
product1.FxConversionType = FxConversionType.AverageThenConvert;
var product2 = AssetProductFactory.CreateAsianOption(dates[2], dates[2], 1400, "CL", OptionType.Call, usdCal, dates[2], zar);
product2.TradeId = "P2";
product2.DiscountCurve = "DISCO";
product2.FxConversionType = FxConversionType.AverageThenConvert;
var product3 = AssetProductFactory.CreateAsianOption(dates[3], dates[3], 1400, "CL", OptionType.Call, usdCal, dates[3], zar);
product3.TradeId = "P3";
product3.DiscountCurve = "DISCO";
product3.FxConversionType = FxConversionType.AverageThenConvert;
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product1, product2, product3
}
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
NumberOfPaths = (int)2.0.IntPow(15),
NumberOfTimesteps = 1,
ReportingCurrency = zar,
Parallelize = false,
LocalCorrelation = true,
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
private (IAssetFxModel startModel, IAssetFxModel endModel, Portfolio portfolio) GenerateTestData()
{
Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false;
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var originDate = DateTime.Parse("2019-04-25");
var ins = new FxForward
{
TradeId = "TestA",
DeliveryDate = originDate.AddDays(30),
DomesticCCY = zar,
ForeignCCY = usd,
DomesticQuantity = 1e6,
Strike = 14,
ForeignDiscountCurve = "DISCO-USD"
};
var pf = new Portfolio {
Instruments = new List <IInstrument> {
ins
}
};
var discoUsd = new FlatIrCurve(0.02, usd, "DISCO-USD");
var discoZar = new FlatIrCurve(0.05, zar, "DISCO-ZAR");
var fxpairs = new List <FxPair>
{
new FxPair {
Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
new FxPair {
Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(zar, originDate, new Dictionary <Currency, double> {
{ usd, 14.0 }
}, fxpairs, new Dictionary <Currency, string> {
{ usd, "DISCO-USD" }, { zar, "DISCO-ZAR" }
});
var fModel = new FundingModel(originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var startModel = new AssetFxModel(originDate, fModel);
startModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
startModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
startModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
var endFModel = fModel.DeepClone();
endFModel.FxMatrix.SpotRates[usd] = 15;
var endModel = startModel.Clone(endFModel);
endModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
endModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
endModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
return(startModel, endModel, pf);
}
public void FixingsVolsCurvesFacts()
{
var fModel = new Mock <IFundingModel>();
var matrix = new Mock <IFxMatrix>();
var pair = new FxPair();
var dict = new Mock <IFixingDictionary>();
var surface = new Mock <IVolSurface>();
var surface2 = new Mock <IVolSurface>();
var surfaceFx = new Mock <IVolSurface>();
var curve = new Mock <IPriceCurve>();
curve.Setup(c => c.GetPriceForDate(DateTime.Today)).Returns(456.0);
curve.Setup(c => c.GetPriceForFixingDate(DateTime.Today)).Returns(457.0);
surface.Setup(s => s.AssetId).Returns("blah");
surface2.Setup(s => s.AssetId).Returns("blah2");
matrix.Setup(f => f.GetFxPair(It.IsAny <string>())).Returns(pair);
fModel.Setup(f => f.GetFxRate(It.IsAny <DateTime>(), It.IsAny <Currency>(), It.IsAny <Currency>())).Returns(77.0);
fModel.Setup(f => f.FxMatrix).Returns(matrix.Object);
fModel.Setup(f => f.VolSurfaces).Returns(new Dictionary <string, IVolSurface> {
{ "bla/haa", surfaceFx.Object }
});
var sut = new AssetFxModel(DateTime.Today, fModel.Object);
sut.AddPriceCurve("blah", curve.Object);
sut.AddPriceCurves(new Dictionary <string, IPriceCurve> {
{ "blah2", curve.Object }
});
Assert.Same(curve.Object, sut.GetPriceCurve("blah"));
Assert.Same(curve.Object, sut.GetPriceCurve("blah2"));
sut.AddFixingDictionary("blah", dict.Object);
sut.AddFixingDictionaries(new Dictionary <string, IFixingDictionary> {
{ "blah2", dict.Object }
});
Assert.Same(dict.Object, sut.GetFixingDictionary("blah"));
Assert.Same(dict.Object, sut.GetFixingDictionary("blah2"));
Assert.False(sut.TryGetFixingDictionary("wooo", out var flob));
sut.AddVolSurface("blah", surface.Object);
sut.AddVolSurfaces(new Dictionary <string, IVolSurface> {
{ "blah2", surface2.Object }
});
Assert.Same(surface.Object, sut.GetVolSurface("blah"));
Assert.Same(surface2.Object, sut.GetVolSurface("blah2"));
sut.GetVolForStrikeAndDate("blah", DateTime.Today, 123);
surface.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 456), Times.Once);
sut.GetVolForDeltaStrikeAndDate("blah", DateTime.Today, 123);
surface.Verify(s => s.GetVolForDeltaStrike(123, DateTime.Today, 457.0), Times.Once);
sut.GetAverageVolForStrikeAndDates("blah", new[] { DateTime.Today }, 123);
surface.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 456), Times.Exactly(2));
sut.GetAverageVolForMoneynessAndDates("blah", new[] { DateTime.Today }, 1.0);
surface.Verify(s => s.GetVolForAbsoluteStrike(456, DateTime.Today, 456), Times.Exactly(2));
sut.GetFxVolForStrikeAndDate("bla/haa", DateTime.Today, 123);
surfaceFx.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 77), Times.Once);
sut.GetFxVolForDeltaStrikeAndDate("bla/haa", DateTime.Today, 123);
surfaceFx.Verify(s => s.GetVolForDeltaStrike(123, DateTime.Today, 77), Times.Once);
sut.OverrideBuildDate(DateTime.MinValue);
Assert.Equal(DateTime.MinValue, sut.BuildDate);
sut.OverrideBuildDate(DateTime.Today);
}