public static object CreateFundingInstrumentCollection(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsA,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsB,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsC,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsD,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsE,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsF,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsG,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsH,
[ExcelArgument(Description = "Instruments")] object[] InstrumentsI)
{
return(ExcelHelper.Execute(_logger, () =>
{
var Instruments = InstrumentsA
.Concat(InstrumentsB)
.Concat(InstrumentsC)
.Concat(InstrumentsD)
.Concat(InstrumentsE)
.Concat(InstrumentsF)
.Concat(InstrumentsG)
.Concat(InstrumentsH)
.Concat(InstrumentsI)
.ToArray();
var swaps = Instruments.GetAnyFromCache <IrSwap>();
var fras = Instruments.GetAnyFromCache <ForwardRateAgreement>();
var futures = Instruments.GetAnyFromCache <STIRFuture>();
var oisFutures = Instruments.GetAnyFromCache <OISFuture>();
var fxFwds = Instruments.GetAnyFromCache <FxForward>();
var xccySwaps = Instruments.GetAnyFromCache <XccyBasisSwap>();
var basisSwaps = Instruments.GetAnyFromCache <IrBasisSwap>();
var loanDepos = Instruments.GetAnyFromCache <FixedRateLoanDeposit>();
var ctgoSwaps = Instruments.GetAnyFromCache <ContangoSwap>();
//allows merging of FICs into portfolios
var ficInstruments = Instruments.GetAnyFromCache <FundingInstrumentCollection>()
.SelectMany(s => s);
var fic = new FundingInstrumentCollection(ContainerStores.CurrencyProvider);
fic.AddRange(swaps);
fic.AddRange(fras);
fic.AddRange(futures);
fic.AddRange(oisFutures);
fic.AddRange(fxFwds);
fic.AddRange(xccySwaps);
fic.AddRange(basisSwaps);
fic.AddRange(ficInstruments);
fic.AddRange(loanDepos);
fic.AddRange(ctgoSwaps);
return ExcelHelper.PushToCache(fic, ObjectName);
}));
}
public static (IrCurve curve, double spotPrice) GetMetalCurveForCode(string cmxSettleFwdFilename, string cmxSymbol, FxPair metalPair, string curveName, DateTime valDate, IrCurve baseCurve, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var blob = CMEFileParser.Instance.GetBlob(cmxSettleFwdFilename);
var fwds = blob.Batch.Where(b => b.Instrmt.Sym == cmxSymbol).ToDictionary(x => x.Instrmt.MatDt, x => Convert.ToDouble(x.Full.Where(x => x.Typ == "6").First().Px));
var curveCcy = metalPair.Domestic;
var bc = baseCurve.Clone();
bc.SolveStage = -1;
var spotDate = metalPair.SpotDate(valDate);
var spotRate = Convert.ToDouble(fwds[spotDate]);
fwds = Downsample(fwds, spotDate, metalPair.PrimaryCalendar);
var fwdObjects = fwds.Select(x => new FxForward
{
DomesticCCY = metalPair.Foreign,
DeliveryDate = x.Key,
DomesticQuantity = 1e6,
ForeignCCY = metalPair.Domestic,
PillarDate = x.Key,
SolveCurve = curveName,
Strike = Convert.ToDouble(x.Value),
ForeignDiscountCurve = baseCurve.Name,
});
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(fwdObjects);
var pillars = fwds.Keys.OrderBy(x => x).ToArray();
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), valDate, curveName, Interpolator1DType.Linear, curveCcy);
var fm = new FundingModel(valDate, new[] { curve, bc }, currencyProvider, calendarProvider);
var matrix = new FxMatrix(currencyProvider);
var discoMap = new Dictionary <Currency, string> {
{ curveCcy, curveName }, { baseCurve.Currency, baseCurve.Name }
};
matrix.Init(metalPair.Foreign, valDate, new Dictionary <Currency, double> {
{ metalPair.Domestic, spotRate }
}, new List <FxPair> {
metalPair
}, discoMap);
fm.SetupFx(matrix);
var solver = new NewtonRaphsonMultiCurveSolverStaged()
{
InLineCurveGuessing = true
};
solver.Solve(fm, fic);
return(curve, spotRate);
}
public static IrCurve StripFxBasisCurve(string cmeFwdFileName, FxPair ccyPair, string cmePair, Currency curveCcy, string curveName, DateTime valDate, IrCurve baseCurve, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var fwdsDict = GetFwdFxRatesFromFwdFile(cmeFwdFileName, new Dictionary <string, string> {
{ ccyPair.ToString(), cmePair }
});
var bc = baseCurve.Clone();
bc.SolveStage = -1;
var fwds = fwdsDict[ccyPair.ToString()];
var spotDate = ccyPair.SpotDate(valDate);
var spotRate = fwds[spotDate];
fwds = Downsample(fwds, spotDate, ccyPair.PrimaryCalendar);
var fwdObjects = fwds.Select(x => new FxForward
{
DomesticCCY = ccyPair.Domestic,
DeliveryDate = x.Key,
DomesticQuantity = 1e6,
ForeignCCY = ccyPair.Foreign,
PillarDate = x.Key,
SolveCurve = curveName,
Strike = x.Value,
ForeignDiscountCurve = ccyPair.Foreign == curveCcy ? curveName : baseCurve.Name,
});
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(fwdObjects);
var pillars = fwds.Keys.OrderBy(x => x).ToArray();
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), valDate, curveName, Interpolator1DType.Linear, curveCcy);
var fm = new FundingModel(valDate, new[] { curve, bc }, currencyProvider, calendarProvider);
var matrix = new FxMatrix(currencyProvider);
var discoMap = new Dictionary <Currency, string> {
{ curveCcy, curveName }, { baseCurve.Currency, baseCurve.Name }
};
matrix.Init(ccyPair.Domestic, valDate, new Dictionary <Currency, double> {
{ ccyPair.Foreign, spotRate }
}, new List <FxPair> {
ccyPair
}, discoMap);
fm.SetupFx(matrix);
var solver = new NewtonRaphsonMultiCurveSolverStaged()
{
InLineCurveGuessing = true
};
solver.Solve(fm, fic);
return(curve);
}
public static IrCurve GetCurveForCode(string cmeId, string cmeFilename, string qwackCode, string curveName, Dictionary <string, FloatRateIndex> indices, Dictionary <string, string> curves, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var parsed = CMEFileParser.Parse(cmeFilename).Where(r => r.ID == cmeId && r.SecTyp == "FUT");
var q = parsed.ToDictionary(x => DateTime.ParseExact(x.MatDt, "yyyy-MM-dd", CultureInfo.InvariantCulture), x => x.SettlePrice);
var origin = DateTime.ParseExact(parsed.First().BizDt, "yyyy-MM-dd", CultureInfo.InvariantCulture);
var instruments = parsed.Select(p => ToQwackIns(p, qwackCode, futureSettingsProvider, currencyProvider, indices, curves)).ToList();
var pillars = instruments.Select(x => x.PillarDate).OrderBy(x => x).ToArray();
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(instruments);
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), origin, curveName, Interpolator1DType.Linear, currencyProvider.GetCurrency("USD"));
var fm = new FundingModel(origin, new[] { curve }, currencyProvider, calendarProvider);
var solver = new NewtonRaphsonMultiCurveSolverStaged();
solver.Solve(fm, fic);
return(curve);
}
public static ICube BenchmarkRisk(this IPvModel pvModel, FundingInstrumentCollection riskCollection, ICurrencyProvider currencyProvider, Currency reportingCcy)
{
var cube = new ResultCube();
var dataTypes = new Dictionary <string, Type>
{
{ "TradeId", typeof(string) },
{ "TradeType", typeof(string) },
{ "Curve", typeof(string) },
{ "RiskDate", typeof(DateTime) },
{ "Benchmark", typeof(string) },
{ "Metric", typeof(string) },
{ "Units", typeof(string) },
{ "BumpSize", typeof(double) },
};
cube.Initialize(dataTypes);
//var lastDate = pvModel.Portfolio.LastSensitivityDate;
var insByCurve = riskCollection.GroupBy(x => x.SolveCurve);
var dependencies = riskCollection.FindDependenciesInverse(pvModel.VanillaModel.FundingModel.FxMatrix);
var lastDateByCurve = insByCurve.ToDictionary(x => x.Key, x => DateTime.MinValue);
foreach (var ins in pvModel.Portfolio.UnWrapWrappers().Instruments)
{
if (ins is IFundingInstrument fins)
{
var cvs = fins.Dependencies(pvModel.VanillaModel.FundingModel.FxMatrix);
foreach (var c in cvs)
{
if (!lastDateByCurve.ContainsKey(c))
{
lastDateByCurve[c] = DateTime.MinValue;
}
lastDateByCurve[c] = lastDateByCurve[c].Max(ins.LastSensitivityDate);
}
}
else if (ins is IAssetInstrument ains)
{
var cvs = ains.IrCurves(pvModel.VanillaModel);
foreach (var c in cvs)
{
if (!lastDateByCurve.ContainsKey(c))
{
lastDateByCurve[c] = DateTime.MinValue;
}
lastDateByCurve[c] = lastDateByCurve[c].Max(ins.LastSensitivityDate);
}
}
}
foreach (var c in lastDateByCurve.Keys.ToArray())
{
if (dependencies.ContainsKey(c))
{
foreach (var d in dependencies[c])
{
lastDateByCurve[c] = lastDateByCurve[c].Max(lastDateByCurve[d]);
}
}
}
var insToRisk = new List <IFundingInstrument>();
foreach (var gp in insByCurve)
{
var lastDate = lastDateByCurve[gp.Key];
var sorted = gp.OrderBy(x => x.LastSensitivityDate).ToList();
if (sorted.Last().LastSensitivityDate <= lastDate)
{
insToRisk.AddRange(sorted);
}
else
{
var lastIns = sorted.First(x => x.LastSensitivityDate > lastDate);
var lastIx = sorted.IndexOf(lastIns);
lastIx = System.Math.Min(lastIx + 1, sorted.Count);
insToRisk.AddRange(sorted.Take(lastIx));
}
}
var parRates = insToRisk.Select(x => x.CalculateParRate(pvModel.VanillaModel.FundingModel)).ToList();
var newIns = insToRisk.Select((x, ix) => x.SetParRate(parRates[ix]));
var newFic = new FundingInstrumentCollection(currencyProvider);
newFic.AddRange(newIns.OrderBy(x => x.SolveCurve).ThenBy(x => x.PillarDate));
var fModel = pvModel.VanillaModel.FundingModel.DeepClone(null);
var s = new NewtonRaphsonMultiCurveSolverStaged();
s.Solve(fModel, newFic);
var vModel = pvModel.VanillaModel.Clone(fModel);
var newPvModel = pvModel.Rebuild(vModel, pvModel.Portfolio);
//var basePVbyCurrency = new Dictionary<Currency, ICube>();
var basePV = newPvModel.PV(reportingCcy);
ParallelUtils.Instance.For(0, newIns.Count(), 1, i =>
//for (var i = 0; i < newIns.Count(); i++)
{
//if (!basePVbyCurrency.TryGetValue(insToRisk[i].Currency, out var basePV))
//{
// basePV = newPvModel.PV(insToRisk[i].Currency);
// basePVbyCurrency[insToRisk[i].Currency] = basePV;
//}
var tIdIx = basePV.GetColumnIndex("TradeId");
var tTypeIx = basePV.GetColumnIndex("TradeType");
var bumpSize = GetBumpSize(insToRisk[i]);
var bumpedIns = newIns.Select((x, ix) => x.SetParRate(parRates[ix] + (ix == i ? bumpSize : 0.0)));
var newFicb = new FundingInstrumentCollection(currencyProvider);
newFicb.AddRange(bumpedIns);
var fModelb = fModel.DeepClone(null);
var sb = new NewtonRaphsonMultiCurveSolverStaged();
sb.Solve(fModelb, newFicb);
var vModelb = pvModel.VanillaModel.Clone(fModelb);
var newPvModelb = pvModel.Rebuild(vModelb, pvModel.Portfolio);
//var bumpedPV = newPvModelb.PV(insToRisk[i].Currency);
var bumpedPV = newPvModelb.PV(reportingCcy);
var bumpName = insToRisk[i].TradeId;
var riskDate = insToRisk[i].PillarDate;
var riskCurve = insToRisk[i].SolveCurve;
var riskUnits = GetRiskUnits(insToRisk[i]);
var deltaCube = bumpedPV.QuickDifference(basePV);
var deltaScale = GetScaleFactor(insToRisk[i], parRates[i], parRates[i] + bumpSize, fModel);
var fxToCurveCcy = fModel.GetFxRate(fModel.BuildDate, reportingCcy, insToRisk[i].Currency);
foreach (var dRow in deltaCube.GetAllRows())
{
if (dRow.Value == 0.0)
{
continue;
}
var row = new Dictionary <string, object>
{
{ "TradeId", dRow.MetaData[tIdIx] },
{ "TradeType", dRow.MetaData[tTypeIx] },
{ "Benchmark", bumpName },
{ "RiskDate", riskDate },
{ "Curve", riskCurve },
{ "Metric", "IrBenchmarkDelta" },
{ "Units", riskUnits },
{ "BumpSize", bumpSize },
};
cube.AddRow(row, dRow.Value * deltaScale * fxToCurveCcy);
}
}).Wait();
return(cube.Sort(new List <string> {
"Curve", "RiskDate", "TradeId"
}));
}
public void FuturesStripWithConvexity()
{
var volatility = 0.03;
var startDate = new DateTime(2017, 01, 17);
var nContracts = 24;
var currentDate = startDate.GetNextImmDate();
var expiries = new DateTime[nContracts];
var pillars = new DateTime[nContracts];
var instruments = new IFundingInstrument[nContracts];
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var lon = TestProviderHelper.CalendarProvider.Collection["LON"];
var ccyUsd = TestProviderHelper.CurrencyProvider["USD"];
var usd3m = new FloatRateIndex()
{
Currency = ccyUsd,
DayCountBasis = DayCountBasis.Act_360,
DayCountBasisFixed = DayCountBasis.Act_360,
ResetTenor = 3.Months(),
FixingOffset = 2.Bd(),
HolidayCalendars = nyc,
RollConvention = RollType.MF
};
for (var i = 0; i < nContracts; i++)
{
var wed3rd = currentDate.ThirdWednesday();
expiries[i] = wed3rd.SubtractPeriod(RollType.P, lon, 2.Bd());
pillars[i] = wed3rd.AddPeriod(usd3m.RollConvention, usd3m.HolidayCalendars, usd3m.ResetTenor);
instruments[i] = new STIRFuture()
{
Currency = ccyUsd,
ContractSize = 1e6,
ConvexityAdjustment = FuturesConvexityUtils.CalculateConvexityAdjustment(startDate, expiries[i], pillars[i], volatility),
DCF = 0.25,
Expiry = expiries[i],
ForecastCurve = "USD.LIBOR.3M",
Index = usd3m,
Position = 1.0,
Price = 99.50,
SolveCurve = "USD.LIBOR.3M"
};
currentDate = currentDate.AddMonths(3);
}
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
fic.AddRange(instruments);
var curve = new IrCurve(pillars, new double[nContracts], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd);
var model = new FundingModel(startDate, new[] { curve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var s = new Calibrators.NewtonRaphsonMultiCurveSolver()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001
};
s.Solve(model, fic);
if (!IsCoverageOnly)
{
for (var i = 0; i < nContracts; i++)
{
var resultPV = instruments[i].Pv(model, false);
Assert.Equal(0, resultPV, 6);
}
}
}