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);
}
}
public void ConstLV()
{
var constVol = 0.32;
var originDate = new DateTime(2017, 02, 21);
var impliedSurface = new ConstantVolSurface(originDate, constVol);
var strikes = new double[3][] {
new double[] { 1, 2 },
new double[] { 1, 2 },
new double[] { 1, 2 }
};
var timesteps = Enumerable.Range(0, 3).Select(x => (double)x / 3.0).ToArray();
Func <double, double> fwdCurve = (t => { return(1.5); });
var localVarianceGrid = impliedSurface.ComputeLocalVarianceOnGrid(strikes, timesteps, fwdCurve);
for (var t = 0; t < localVarianceGrid.Length; t++)
{
var expectedLocalVariance = constVol * constVol;
for (var k = 0; k < localVarianceGrid[t].Length; k++)
{
Assert.Equal(expectedLocalVariance, localVarianceGrid[t][k]);
}
}
}
public void StrikeForPVFacts()
{
var evalDate = DateTime.Today;
var avgStart = evalDate.AddDays(365);
var avgEnd = avgStart.AddDays(32);
var k = 110.0;
var f = 100.0;
var vol = 0.32;
var rf = 0.0;
var volSurface = new ConstantVolSurface(evalDate, vol);
var pv = TurnbullWakeman.PV(f, 0, vol, k, evalDate, avgStart, avgEnd, rf, OptionType.C);
var strike = TurnbullWakeman.StrikeForPV(pv, f, 0, volSurface, DateTime.Today, avgStart, avgEnd, rf, OptionType.C);
Assert.Equal(k, strike, 10);
var fixingDates = avgStart.CalendarDaysInPeriod(avgEnd).ToArray();
var fwds = fixingDates.Select(d => f).ToArray();
var sigmas = fixingDates.Select(d => vol).ToArray();
pv = TurnbullWakeman.PV(fwds, fixingDates, evalDate, avgEnd, sigmas, k, rf, OptionType.C);
strike = TurnbullWakeman.StrikeForPV(pv, fwds, fixingDates, volSurface, evalDate, avgEnd, rf, OptionType.C);
Assert.Equal(k, strike, 10);
}
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);
}
public void PremiumInterpolatorFacts()
{
var origin = new DateTime(2017, 02, 07);
var expiry = origin.AddYears(1);
var t = (expiry - origin).TotalDays / 365.0;
var volAsset = 0.32;
var fwd = 100.0;
var surfaceAsset = new ConstantVolSurface(origin, volAsset);
var premInterp = surfaceAsset.GeneratePremiumInterpolator(100, expiry, fwd, OptionType.P);
var strike = fwd * 0.8;
Assert.Equal(BlackFunctions.BlackPV(fwd, strike, 0.0, t, volAsset, OptionType.P), premInterp.Interpolate(strike), 2);
}
public static object CreateConstantVolSurface(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "Volatility")] double Volatility)
{
return(ExcelHelper.Execute(_logger, () =>
{
var surface = new ConstantVolSurface(OriginDate, Volatility);
var cache = ContainerStores.GetObjectCache <ConstantVolSurface>();
cache.PutObject(ObjectName, new SessionItem <ConstantVolSurface> {
Name = ObjectName, Value = surface
});
return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
}));
}
public void CompositeSmimleFacts_Trivial()
{
var origin = new DateTime(2017, 02, 07);
var volAsset = 0.32;
var volFx = 0.16;
var correl = 0.4;
var surfaceAsset = new ConstantVolSurface(origin, volAsset);
var surfaceFx = new ConstantVolSurface(origin, volFx);
var surfaceCompo = surfaceAsset.GenerateCompositeSmileBasic(surfaceFx, 100, origin.AddYears(1), 100, 10, correl);
var expectedVol = Sqrt(volFx * volFx + volAsset * volAsset + 2.0 * correl * volAsset * volFx);
Assert.Equal(expectedVol, surfaceCompo.Interpolate(100.0 * 10.0), 6);
Assert.Equal(expectedVol, surfaceCompo.Interpolate(200.0 * 10.0), 6);
Assert.Equal(expectedVol, surfaceCompo.Interpolate(0.0 * 10.0), 6);
Assert.Equal(expectedVol, surfaceCompo.Interpolate(101 * 10.0), 6);
}
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 CreateConstantVolSurface(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "Volatility")] double Volatility,
[ExcelArgument(Description = "Currency - default USD")] object Currency)
{
return(ExcelHelper.Execute(_logger, () =>
{
var ccyStr = Currency.OptionalExcel("USD");
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ccyStr, out var ccyCal);
var surface = new ConstantVolSurface(OriginDate, Volatility)
{
Currency = ContainerStores.CurrencyProvider[ccyStr],
Name = AssetId ?? ObjectName,
AssetId = AssetId ?? ObjectName,
};
return ExcelHelper.PushToCache <IVolSurface>(surface, ObjectName);
}));
}
public void BlackMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 15));
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
var volSurface = new ConstantVolSurface(origin, 0.32);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t); });
var asset = new BlackSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: IsCoverageOnly ? 1 : 10,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddYears(1));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddYears(1));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackPv = BlackFunctions.BlackPV(1000, 900, 0, 1, 0.32, OptionType.P);
if (!IsCoverageOnly)
{
Assert.True(System.Math.Abs(blackPv - pv) < 1.0);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(1) / fwd - 1.0) < 0.001);
}
}
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);
}