public LinearCurveTest()
{
_points = new[] {
new Position(10, 10),
new Position(20, 20)
};
_curve = new LinearCurve(_points, 10);
}
public PerfectCurveTest()
{
_points = new[] {
new Position(10, 10),
new Position(20, 20),
new Position(30, 10)
};
_curve = new PerfectCurve(_points, -1);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="ratecurve"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <returns></returns>
public virtual decimal[] CalculatePDH(ILogger logger, ICoreCache cache, CurveBase ratecurve, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SimpleSwapAsset":
case "ClearedSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic();
break;
case "SimpleDiscountSwapAsset":
case "DiscountClearedSwapAsset":
AnalyticsModel = new SimpleDiscountSwapAssetAnalytic();
break;
}
}
var result = new List <decimal>();
if (ratecurve != null)
{
var riskCurves = ratecurve.CreateCurveRiskSet(1);
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = Notional,
//2. Get the discount factors
DiscountFactors =
GetDiscountFactors(ratecurve,
AdjustedPeriodDates.ToArray(),
BaseDate),
//3. Get the respective year fractions
YearFractions = YearFractions,
Rate =
MarketQuoteHelper.NormalisePriceUnits(
FixedRate, "DecimalRate").value
};
//4. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.DiscountFactors.Length - 1);
//4. Set the anaytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
var analyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.NPV });
var baseNPV = analyticResults.NPV;
//Now loop through the risk curves.
foreach (var curve in riskCurves)
{
analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add(analyticResults.NPV - baseNPV);
}
}
}
return(result.ToArray());
}
/// <summary>
/// Awake.
/// </summary>
void Awake()
{
if (!this.initFlag)
{
this.curve = this.gameObject.GetComponent <CurveBase>();
this.lineRenderer = this.gameObject.GetComponent <LineRenderer>();
if (this.curve != null)
{
this.curve.ValueChanged += this.OnCurveEvaluatorValueChanged;
this.typeTxt.text = this.curveType.ToString();
this.DrawCurve();
}
this.initFlag = true;
}
}
public BezierTest()
{
_points = new[] {
new Position(10, 10),
new Position(20, 20),
new Position(20, 20),
new Position(30, 10)
};
var _points2 = new[] {
new Position(10, 10),
new Position(20, 20),
new Position(20, 20),
new Position(27, 17),
new Position(30, 10)
};
_curve = new BezierCurve(_points, -1);
_curve2 = new BezierCurve(_points2, -1);
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="discountCurve">The discount curve.</param>
/// <param name="forecastCurve">The forecast curve</param>
/// <param name="curveToPerturb">The curve to perturb: the discount curve, the forecast curve or both.</param>
/// <returns></returns>
public IDictionary <string, Decimal> CalculatePDH(CurveBase discountCurve, CurveBase forecastCurve, CurvePerturbation curveToPerturb)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SwapAsset":
AnalyticsModel = new SwapAssetAnalytic();
break;
case "DiscountSwapAsset":
AnalyticsModel = new DiscountSwapAssetAnalytic();
break;
}
}
var result = new Dictionary <string, Decimal>();
if (discountCurve != null && forecastCurve != null)
{
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = Notional,
//2. Get the discount factors
DiscountFactors =
GetDiscountFactors(discountCurve,
AdjustedPeriodDates.ToArray(),
BaseDate),
//3. Get the respective year fractions
YearFractions = YearFractions,
Weightings = Weightings,
Rate =
MarketQuoteHelper.NormalisePriceUnits(
FixedRate, "DecimalRate").value,
FloatingLegDiscountFactors =
GetDiscountFactors(discountCurve,
FloatingLegAdjustedPeriodDates.ToArray(),
BaseDate),
FloatingLegForecastDiscountFactors =
GetDiscountFactors(forecastCurve, FloatingLegAdjustedPeriodDates.ToArray(), BaseDate),
FloatingLegYearFractions = FloatingLegYearFractions,
FloatingLegWeightings = FloatingLegWeightings,
FloatingLegSpread =
MarketQuoteHelper.NormalisePriceUnits(
FloatingLegSpread, "DecimalRate").value
};
if (ForwardRates != null)
{
analyticModelParameters.FloatingLegForwardRates = ForwardRates;
}
//4. Set the analytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
var analyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.NPV });
AnalyticResults = analyticResults;
analyticModelParameters.BaseNPV = analyticResults.NPV;
//Now loop through the risk curves.
if (curveToPerturb == CurvePerturbation.DiscountCurve)
{
var riskCurves = discountCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("DiscountCurve:" + perturbedAsset, analyticResults.NPVChange);
}
}
if (curveToPerturb == CurvePerturbation.ForecastCurve)
{
var riskCurves = forecastCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("ForecastCurve:" + perturbedAsset, analyticResults.NPVChange);
}
}
if (curveToPerturb == CurvePerturbation.Both)
{
var riskCurves1 = discountCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves1)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("DiscountCurve:" + perturbedAsset, analyticResults.NPVChange);
}
var riskCurves2 = forecastCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves2)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("ForecastCurve:" + perturbedAsset, analyticResults.NPVChange);
}
}
}
}
return(result);
}
private void Add(CurveBase curveBase)
{
// if(curveBase == )
}
/// <summary>
/// カーブタイプの変更。
/// </summary>
void ChangeCurveType(CurveType curveType)
{
if (this.curve != null &&
((curveType == CurveType.StraightLine && this.curve.GetType() == typeof(StraightLine)) ||
(curveType == CurveType.HermiteCurve && this.curve.GetType() == typeof(HermiteCurve)) ||
(curveType == CurveType.BezierCurve && this.curve.GetType() == typeof(BezierCurve)) ||
(curveType == CurveType.RationalBezierCurve && this.curve.GetType() == typeof(RationalBezierCurve)) ||
(curveType == CurveType.BSplineCurve && this.curve.GetType() == typeof(BSplineCurve)) ||
(curveType == CurveType.NURBSCurve && this.curve.GetType() == typeof(NURBSCurve))) ||
(curveType == CurveType.CatmullRomSplineCurve && this.curve.GetType() == typeof(CatmullRomSplineCurve)))
{
return;
}
this.curveType = curveType;
this.typeTxt.text = this.curveType.ToString();
// see : http://anchan828.hatenablog.jp/entry/2013/11/18/012021
EditorApplication.delayCall += () => {
if (this.curve != null)
{
this.curve.ValueChanged -= this.OnCurveEvaluatorValueChanged;
DestroyImmediate(this.curve);
this.curve = null;
}
switch (curveType)
{
case CurveType.None:
return;
break;
case CurveType.StraightLine:
this.curve = this.gameObject.AddComponent <StraightLine>();
break;
case CurveType.HermiteCurve:
this.curve = this.gameObject.AddComponent <HermiteCurve>();
break;
case CurveType.BezierCurve:
this.curve = this.gameObject.AddComponent <BezierCurve>();
break;
case CurveType.RationalBezierCurve:
this.curve = this.gameObject.AddComponent <RationalBezierCurve>();
break;
case CurveType.BSplineCurve:
this.curve = this.gameObject.AddComponent <BSplineCurve>();
break;
case CurveType.NURBSCurve:
this.curve = this.gameObject.AddComponent <NURBSCurve>();
break;
case CurveType.CatmullRomSplineCurve:
this.curve = this.gameObject.AddComponent <CatmullRomSplineCurve>();
break;
}
if (this.curve != null)
{
this.curve.ValueChanged += this.OnCurveEvaluatorValueChanged;
this.DrawCurve();
}
};
}