public static double PVCapital_BII_IMM(DateTime originDate, DateTime[] EADDates, double[] EADs, HazzardCurve hazzardCurve, IIrCurve discountCurve, double LGD, Portfolio portfolio) { if (EADDates.Length != EADs.Length) { throw new Exception("Number of EPE dates and EPE values must be equal"); } var pd = hazzardCurve.ConstantPD; var epees = EADs.Select((d, ix) => EADs.Skip(ix).Max()).ToArray(); var Ms = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray(); var ks = epees.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e * 1.4).ToArray(); var pvCapital = PvProfile(originDate, EADDates, ks, discountCurve); return(pvCapital); }
public static double KVA(DateTime originDate, ICube ExpectedCapital, IIrCurve fundingCurve) { if (!ExpectedCapital.DataTypes.TryGetValue("ExposureDate", out var type) || type != typeof(DateTime)) { throw new Exception("ExpectedCapital cube input not valid"); } var rows = ExpectedCapital.GetAllRows(); var dateIx = ExpectedCapital.GetColumnIndex("ExposureDate"); var epeDates = new DateTime[rows.Length]; var epeValues = new double[rows.Length]; for (var i = 0; i < rows.Length; i++) { epeDates[i] = (DateTime)rows[i].MetaData[dateIx]; epeValues[i] = rows[i].Value; } return(KVA(originDate, epeDates, epeValues, fundingCurve)); }
//http://www.bnikolic.co.uk/cds/cdsvaluation.html //var contingentLeg = (1.0 - recoveryRate) * public double PV_PiecewiseFlat(HazzardCurve hazzardCurve, IIrCurve discountCurve, double recoveryRate, bool payAccruedOnDefault = true) { var nodeDates = FixedSchedule.Flows.Select(f => f.AccrualPeriodEnd).ToArray(); var pv = 0.0; //contingent leg var d = hazzardCurve.OriginDate; foreach (var nd in nodeDates) { var deltaT = d.CalculateYearFraction(nd, hazzardCurve.Basis); var s = hazzardCurve.GetSurvivalProbability(d); var dd = discountCurve.GetDf(discountCurve.BuildDate, d); var lambda = System.Math.Log(s / hazzardCurve.GetSurvivalProbability(nd)) / deltaT; var f = System.Math.Log(dd / discountCurve.GetDf(discountCurve.BuildDate, nd)) / deltaT; var term1 = (lambda == 0 && f == 0) ? 1.0 : lambda / (lambda + f); pv += term1 * (1.0 - System.Math.Exp(-deltaT * (lambda + f))) * s * dd; d = nd; } pv *= (1.0 - recoveryRate) * Notional; //fixed leg foreach (var f in FixedSchedule.Flows) { pv -= f.Notional * f.YearFraction * Spread * discountCurve.GetDf(discountCurve.BuildDate, f.SettleDate) * hazzardCurve.GetSurvivalProbability(f.SettleDate); if (payAccruedOnDefault) { pv -= 0.5 * f.Notional * f.YearFraction * Spread * hazzardCurve.GetDefaultProbability(f.AccrualPeriodStart, f.AccrualPeriodEnd) * discountCurve.GetDf(discountCurve.BuildDate, f.SettleDate); } } return(pv); }
public static double KVA(DateTime originDate, DateTime[] ExEDates, double[] CapExposures, IIrCurve fundingCurve) { if (ExEDates.Length != CapExposures.Length) { throw new Exception("Number of exposure dates and values must be equal"); } var lastDate = originDate; var kva = 0.0; for (var i = 0; i < ExEDates.Length; i++) { if (ExEDates[i] < originDate) { continue; } var fwdDf = fundingCurve.GetDf(lastDate, ExEDates[i]); var df = fundingCurve.GetDf(originDate, ExEDates[i]); kva += CapExposures[i] / fwdDf * df; lastDate = ExEDates[i]; } return(kva); }
public static (double FBA, double FCA) FVA(DateTime originDate, ICube EPE, ICube ENE, HazzardCurve hazzardCurve, IIrCurve discountCurve, IIrCurve fundingCurve) { if (!EPE.DataTypes.TryGetValue("ExposureDate", out var type) || type != typeof(DateTime)) { throw new Exception("EPE cube input not valid"); } if (!ENE.DataTypes.TryGetValue("ExposureDate", out var type2) || type2 != typeof(DateTime)) { throw new Exception("ENE cube input not valid"); } var rowsEPE = EPE.GetAllRows(); var rowsENE = ENE.GetAllRows(); if (rowsEPE.Length != rowsENE.Length) { throw new Exception("EPE and ENE curves not of same size"); } var dateIx = EPE.GetColumnIndex("ExposureDate"); var epeDates = new DateTime[rowsEPE.Length]; var epeValues = new double[rowsEPE.Length]; var eneValues = new double[rowsENE.Length]; for (var i = 0; i < rowsENE.Length; i++) { epeDates[i] = (DateTime)rowsEPE[i].MetaData[dateIx]; epeValues[i] = rowsEPE[i].Value; eneValues[i] = rowsENE[i].Value; } return(FVA(originDate, epeDates, epeValues, eneValues, hazzardCurve, discountCurve, fundingCurve)); }
public static double CVA(DateTime originDate, DateTime[] EPEDates, double[] EPEExposures, HazzardCurve hazzardCurve, IIrCurve discountCurve, double LGD) { if (EPEDates.Length != EPEExposures.Length) { throw new Exception("Number of EPE dates and EPE values must be equal"); } var lastDate = originDate; var cva = 0.0; for (var i = 0; i < EPEDates.Length; i++) { if (EPEDates[i] < originDate) { continue; } var pDefault = hazzardCurve.GetDefaultProbability(lastDate, EPEDates[i]); var df = discountCurve.GetDf(originDate, EPEDates[i]); cva += EPEExposures[i] * pDefault * df * LGD; lastDate = EPEDates[i]; } return(-cva); }
public IPriceCurve Solve(List <AsianSwapStrip> instruments, List <DateTime> pillars, IIrCurve discountCurve, DateTime buildDate, ICurrencyProvider currencyProvider) { _currencyProvider = currencyProvider; _curveInstruments = instruments; _pillars = pillars.ToArray(); _numberOfInstruments = _curveInstruments.Count; _numberOfPillars = pillars.Count; _discountCurve = discountCurve; _buildDate = buildDate; _currentGuess = Enumerable.Repeat(instruments.Average(x => x.Swaplets.Average(s => s.Strike)), _numberOfPillars).ToArray(); _currentCurve = new SparsePriceCurve(_buildDate, _pillars, _currentGuess, SparsePriceCurveType.Coal, currencyProvider, null); _currentPVs = ComputePVs(); ComputeJacobian(); for (var i = 0; i < MaxItterations; i++) { ComputeNextGuess(); _currentCurve = new SparsePriceCurve(_buildDate, _pillars, _currentGuess, SparsePriceCurveType.Coal, _currencyProvider); _currentPVs = ComputePVs(); if (_currentPVs.Max(x => System.Math.Abs(x)) < Tollerance) { UsedItterations = i + 1; break; } ComputeJacobian(); } return(_currentCurve); }
public static (double FBA, double FCA) FVA(DateTime originDate, DateTime[] ExEDates, double[] EPEExposures, double[] ENEExposures, HazzardCurve hazzardCurve, IIrCurve discountCurve, IIrCurve fundingCurve) { if (ExEDates.Length != EPEExposures.Length) { throw new Exception("Number of EPE dates and EPE values must be equal"); } if (ExEDates.Length != ENEExposures.Length) { throw new Exception("Number of ENE dates and ENE values must be equal"); } var lastDate = originDate; var fba = 0.0; var fca = 0.0; for (var i = 0; i < ExEDates.Length; i++) { if (ExEDates[i] < originDate) { continue; } var pSurvival = hazzardCurve.GetSurvivalProbability(lastDate, ExEDates[i]); var fwdDf = fundingCurve.GetDf(lastDate, ExEDates[i]) / discountCurve.GetDf(lastDate, ExEDates[i]); var df = fundingCurve.GetDf(originDate, ExEDates[i]); fba += ENEExposures[i] * pSurvival / fwdDf * df; fca += EPEExposures[i] * pSurvival / fwdDf * df; lastDate = ExEDates[i]; } return(fba, fca); }
public static double SolveStrikeForGrossRoC(this Portfolio portfolio, IAssetFxModel model, double targetRoC, Currency reportingCurrency, HazzardCurve hazzardCurve, double LGD, double xVA_LGD, double partyRiskWeight, double cvaCapitalWeight, IIrCurve discountCurve, ICurrencyProvider currencyProvider, Dictionary <string, string> assetIdToHedgeMap, Dictionary <string, double> hedgeGroupCCFs) { var insList = portfolio.Instruments.Select(x => x as IAssetInstrument).ToList(); if (insList.Any(x => x == null)) { throw new Exception("Not all instruments in the portfolio implement IAssetInstrument"); } var rolledModels = new Dictionary <DateTime, IAssetFxModel>(); var d = model.BuildDate; var lastModel = model; while (d <= portfolio.LastSensitivityDate) { rolledModels.Add(d, lastModel); d = d.AddDays(1); lastModel = lastModel.RollModel(d, currencyProvider); } var targetFunc = new Func <double, double>(k => { var newPf = new Portfolio() { Instruments = insList.Select(i => (IInstrument)i.SetStrike(k)).ToList() }; var roc = newPf.GrossRoC(model, reportingCurrency, hazzardCurve, LGD, xVA_LGD, cvaCapitalWeight, partyRiskWeight, discountCurve, currencyProvider, rolledModels, assetIdToHedgeMap, hedgeGroupCCFs); return(roc - targetRoC); }); var firstGuess = insList.Average(i => i.ParRate(model)); var solvedStrike = Math.Solvers.Newton1D.MethodSolve(targetFunc, firstGuess, 1e-8, 1000, 1e-9); if (System.Math.Abs(targetFunc(solvedStrike)) < 1e-8) { return(solvedStrike); } else { throw new Exception("Failed to find solution after 1000 itterations"); } }
public static void ImplyVols(List <ListedOptionSettlementRecord> optionSettlements, Dictionary <string, double> futuresPrices, IIrCurve discountCurve = null) { var o = new Dictionary <DateTime, IInterpolator1D>(); foreach (var s in optionSettlements) { if (!futuresPrices.TryGetValue(s.UnderlyingFuturesCode, out var fut)) { throw new Exception($"No future price found for contract {s}"); } var t = s.ValDate.CalculateYearFraction(s.ExpiryDate, DayCountBasis.ACT365F); var r = 0.0; if (s.MarginType == OptionMarginingType.Regular) { if (discountCurve == null) { throw new Exception("To strip vols from options with regular margining, a discount curve must be supplied"); } r = discountCurve.GetRate(s.ExpiryDate); } if (s.ExerciseType == OptionExerciseType.European || s.MarginType == OptionMarginingType.FuturesStyle) { s.ImpliedVol = BlackFunctions.BlackImpliedVol(fut, s.Strike, r, t, s.PV, s.CallPut); } else if (s.ExerciseType == OptionExerciseType.American) { s.ImpliedVol = BinomialTree.AmericanFuturesOptionImpliedVol(fut, s.Strike, r, t, s.PV, s.CallPut); } else { throw new Exception("Unable to handle option in stripper"); } } }
public static double KVA(DateTime originDate, ICube ExpectedCapital, IIrCurve fundingCurve) { (var epeDates, var epeValues) = CubeToExposures(ExpectedCapital); return(KVA(originDate, epeDates, epeValues, fundingCurve)); }
public static double CVA_Approx(DateTime[] exposureDates, Portfolio portfolio, HazzardCurve hazzardCurve, IAssetFxModel model, IIrCurve discountCurve, double LGD, Currency reportingCurrency, ICurrencyProvider currencyProvider, Dictionary <DateTime, IAssetFxModel> models = null) { var exposures = EPE_Approx(exposureDates, portfolio, model, reportingCurrency, currencyProvider, models); return(CVA(model.BuildDate, exposureDates, exposures, hazzardCurve, discountCurve, LGD)); }
public static (double CVA, double CCR) PvCapital_Split(DateTime originDate, DateTime[] EADDates, IAssetFxModel[] models, Portfolio portfolio, HazzardCurve hazzardCurve, Currency reportingCurrency, IIrCurve discountCurve, double LGD, double partyCVAWeight, double riskWeight, Dictionary <string, string> assetIdToHedgeMap, Dictionary <string, double> hedgeGroupCCFs, ICurrencyProvider currencyProvider, double[] epeProfile, DateTime?B2B3ChangeDate = null, double[] eadProfile = null) { var pd = hazzardCurve.ConstantPD; if (!B2B3ChangeDate.HasValue) { B2B3ChangeDate = DateTime.MaxValue; } var eads = eadProfile ?? EAD_Split(originDate, EADDates, epeProfile, models, portfolio, reportingCurrency, assetIdToHedgeMap, hedgeGroupCCFs, B2B3ChangeDate.Value, currencyProvider); eads = eads.Select(e => e * riskWeight).ToArray(); var Ms = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray(); var dfs = Ms.Select(m => m == 0 ? 1.0 : (1.0 - Exp(-0.05 * m)) / (0.05 * m)).ToArray(); var ksCCR = eads.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e).ToArray(); var ksCVA = eads.Select((e, ix) => XVACalculator.Capital_BaselII_CVA_SM(e * dfs[ix], Ms[ix], partyCVAWeight)).ToArray(); var pvCapitalCCR = PvProfile(originDate, EADDates, ksCCR, discountCurve); var pvCapitalCVA = PvProfile(originDate, EADDates, ksCVA, discountCurve); return(pvCapitalCVA, pvCapitalCCR); }
public static double PvCcrCapital_BII_SM(DateTime originDate, DateTime[] EADDates, IAssetFxModel[] models, Portfolio portfolio, HazzardCurve hazzardCurve, Currency reportingCurrency, IIrCurve discountCurve, double LGD, Dictionary <string, string> assetIdToHedgeMap, Dictionary <string, double> hedgeGroupCCFs, ICurrencyProvider currencyProvider, double[] epeProfile, double[] eadProfile = null) { var pd = hazzardCurve.ConstantPD; var eads = eadProfile ?? EAD_BII_SM(originDate, EADDates, epeProfile, models, portfolio, reportingCurrency, assetIdToHedgeMap, hedgeGroupCCFs, currencyProvider); var Ms = EADDates.Select(d => Max(1.0, portfolio.WeightedMaturity(d))).ToArray(); var ks = eads.Select((e, ix) => BaselHelper.K(pd, LGD, Ms[ix]) * e).ToArray(); var pvCapital = PvProfile(originDate, EADDates, ks, discountCurve); return(pvCapital); }
public static double PvProfile(DateTime originDate, DateTime[] exposureDates, double[] exposures, IIrCurve discountCurve) { var capital = 0.0; var time = 0.0; if (exposureDates.Length != exposures.Length || exposures.Length < 1) { throw new DataMisalignedException(); } if (exposureDates.Length == 1) { return(discountCurve.GetDf(originDate, exposureDates[0]) * exposures[0]); } for (var i = 0; i < exposureDates.Length - 1; i++) { var exposure = (exposures[i] + exposures[i + 1]) / 2.0; var df = discountCurve.GetDf(originDate, exposureDates[i + 1]); var dt = exposureDates[i].CalculateYearFraction(exposureDates[i + 1], DayCountBasis.ACT365F); capital += exposure * dt * df; time += dt; } return(capital / time); }
public static double PVCapital_BII_IMM(DateTime originDate, ICube expectedEAD, HazzardCurve hazzardCurve, IIrCurve discountCurve, double LGD, Portfolio portfolio) { (var eadDates, var eadValues) = XVACalculator.CubeToExposures(expectedEAD); return(PVCapital_BII_IMM(originDate, eadDates, eadValues, hazzardCurve, discountCurve, LGD, portfolio)); }
public static IrCurve StripFxBasisCurve(string cmeFwdFileName, string ccyPair, Currency curveCcy, string curveName, DateTime valDate, IIrCurve baseCurve) { var fwds = GetFwdFxRatesFromFwdFile(cmeFwdFileName, ccyPair); var dfs = fwds.ToDictionary(f => f.Key, f => fwds[valDate] / f.Value * baseCurve.GetDf(valDate, f.Key)); if (ccyPair.EndsWith("USD")) //flip dfs { dfs = dfs.ToDictionary(x => x.Key, x => 1.0 / x.Value); } var pillars = dfs.Keys.OrderBy(k => k).ToArray(); var dfsValues = pillars.Select(p => dfs[p]).ToArray(); var curve = new IrCurve(pillars, dfsValues, valDate, curveName, Interpolator1DType.Linear, curveCcy, null, RateType.DF); return(curve); }
public static double CVA(DateTime originDate, ICube EPE, HazzardCurve hazzardCurve, IIrCurve discountCurve, double LGD) { (var epeDates, var epeValues) = CubeToExposures(EPE); return(CVA(originDate, epeDates, epeValues, hazzardCurve, discountCurve, LGD)); }
public static double CVA(DateTime originDate, ICube EPE, HazzardCurve hazzardCurve, IIrCurve discountCurve, double LGD) { if (!EPE.DataTypes.TryGetValue("ExposureDate", out var type) || type != typeof(DateTime)) { throw new Exception("EPE cube input not valid"); } var rows = EPE.GetAllRows(); var dateIx = EPE.GetColumnIndex("ExposureDate"); var epeDates = new DateTime[rows.Length]; var epeValues = new double[rows.Length]; for (var i = 0; i < rows.Length; i++) { epeDates[i] = (DateTime)rows[i].MetaData[dateIx]; epeValues[i] = rows[i].Value; } return(CVA(originDate, epeDates, epeValues, hazzardCurve, discountCurve, LGD)); }
public static double GetFloatRate(this CashFlow cashFlow, IIrCurve curve, DayCountBasis basis) => curve.GetForwardRate(cashFlow.AccrualPeriodStart, cashFlow.AccrualPeriodEnd, RateType.Linear, basis);
public BasisPriceCurve(List <IAssetInstrument> instruments, List <DateTime> pillars, IIrCurve discountCurve, IPriceCurve baseCurve, DateTime buildDate, PriceCurveType curveType, INewtonRaphsonAssetBasisCurveSolver solver, List <string> pillarLabels = null) { Instruments = instruments; Pillars = pillars; DiscountCurve = discountCurve; BaseCurve = baseCurve; CurveType = curveType; Solver = solver; BuildDate = buildDate; PillarLabels = pillarLabels ?? pillars.Select(x => x.ToString("yyyy-MM-dd")).ToList(); Curve = solver.SolveCurve(Instruments, Pillars, DiscountCurve, BaseCurve, BuildDate, CurveType); }