public void BuildCube(Portfolio portfolio, List <ValuationCalculator> calculators)
{
QLNet.Utils.QL_REQUIRE(portfolio.Size() > 0, () => "ValuationEngine: Error portfolio is empty");
ObservationMode.Mode om = ObservationMode.Mode.Disable;
double updateTime = 0.0;
double pricingTime = 0.0;
double fixingTime = 0.0;
int samples = 1;
List <Date> dates = _dg.Dates();
List <Trade> trades = portfolio.Trades();
int numFRC = 0;
// initialise state objects for each trade (required for path-dependent derivatives in particular)
for (int i = 0; i < trades.Count; i++)
{
QLNet.Utils.QL_REQUIRE(trades[i].NpvCurrency() != "", () => "NPV currency not set for trade " + trades[i].Id());
//DLOG("Initialise wrapper for trade " << trades[i]->id());
trades[i].Instrument();// ->initialise(dates);
// T0 values
foreach (var calc in calculators)
{
calc.CalculateT0(trades[i], i, _simMarket); //, outputCube);
}
// TODO: Fix me!
if (om == ObservationMode.Mode.Unregister)
{
foreach (var leg in trades[i].Legs())
{
for (int n = 0; n < leg.Count; n++)
{
FloatingRateCoupon frc = leg[n] as FloatingRateCoupon;
if (frc != null)
{
//frc.unregisterWith(frc.index());
//trades[i]->instrument()->qlInstrument()->unregisterWith(frc);
//// Unregister with eval dates
//frc->unregisterWith(Settings::instance().evaluationDate());
//frc->index()->unregisterWith(Settings::instance().evaluationDate());
//trades[i]->instrument()->qlInstrument()->unregisterWith(Settings::instance().evaluationDate());
}
}
}
}
}
// LOG("Total number of swaps = " << portfolio->size());
// LOG("Total number of FRC = " << numFRC);
// simMarket_->fixingManager()->initialise(portfolio);
Stopwatch timer = new Stopwatch();
Stopwatch loopTimer = new Stopwatch();
// We call Cube::samples() each time her to allow for dynamic stopping times
// e.g. MC convergence tests
for (int sample = 0; sample < samples; ++sample)
{
//updateProgress(sample, outputCube->samples());
foreach (var trade in trades)
{
//trade.Instrument().Reset();
}
// loop over Dates
for (int i = 0; i < dates.Count; ++i)
{
Date d = dates[i];
timer.Start();
//simMarket_->update(d);
// recalibrate models
//foreach (var b in modelBuilders_)
//{
// if (om == ObservationMode::Mode::Disable)
// {
// b.second->recalculate();
// }
// b.second->recalibrate();
//}
updateTime += timer.ElapsedMilliseconds / 1000.0;
// loop over trades
timer.Restart();
for (int j = 0; j < trades.Count; ++j)
{
var trade = trades[j];
// We can avoid checking mode here and always call updateQlInstruments()
if (om == ObservationMode.Mode.Disable)
{
trade.Instrument().update(); // ->updateQlInstruments();
}
foreach (var calc in calculators)
{
calc.Calculate(trade, j, _simMarket, d, i); //, outputCube, d, i, sample);
}
}
pricingTime += timer.ElapsedMilliseconds / 1000.0;
}
timer.Restart();
//simMarket_->fixingManager()->reset();
fixingTime += timer.ElapsedMilliseconds / 1000.0;
}
//simMarket_->reset();
//updateProgress(outputCube->samples(), outputCube->samples());
//LOG("ValuationEngine completed: loop " << setprecision(2) << loopTimer.elapsed() << " sec, "
// << "pricing " << pricingTime << " sec, "
// << "update " << updateTime << " sec "
// << "fixing " << fixingTime);
}
public override void Update(Date d)
{
QLNet.Utils.QL_REQUIRE(_scenarioGenerator != null, () => "ScenarioSimMarket::update: no scenario generator set");
ObservationMode.Mode om = ObservationMode.Mode.Disable;
//if (om == ObservationMode.Disable)
// ObservableSettings::instance().disableUpdates(false);
//else if (om == ObservationMode.Defer)
// ObservableSettings::instance().disableUpdates(true);
Scenario scenario = _scenarioGenerator.Next(d);
QLNet.Utils.QL_REQUIRE(scenario.AsOf() == d, () => "Invalid Scenario date " + scenario.AsOf() + ", expected " + d);
_numeraire = scenario.GetNumeraire();
if (d != Settings.evaluationDate())
{
Settings.setEvaluationDate(d);
}
else if (om == ObservationMode.Mode.Unregister)
{
// Due to some of the notification chains having been unregistered,
// it is possible that some lazy objects might be missed in the case
// that the evaluation date has not been updated. Therefore, we
// manually kick off an observer notification from this level.
// We have unit regression tests in OREAnalyticsTestSuite to ensure
// the various ObservationMode settings return the anticipated results.
//QLNet.IObservable obs = Settings.evaluationDate();
//obs.notifyObservers();
}
ApplyScenario(scenario);
// Observation Mode - key to update these before fixings are set
if (om == ObservationMode.Mode.Disable)
{
Refresh();
//ObservableSettings::instance().enableUpdates();
}
else if (om == ObservationMode.Mode.Defer)
{
//ObservableSettings::instance().enableUpdates();
}
// Apply fixings as historical fixings. Must do this before we populate ASD
//_fixingManager.update(d);
//if (asd_)
//{
// // add additional scenario data to the given container, if required
// for (auto i : parameters_->additionalScenarioDataIndices())
// {
// boost::shared_ptr<QuantLib::Index> index;
// try
// {
// index = *iborIndex(i);
// }
// catch (...) {
// }
// try
// {
// index = *swapIndex(i);
// }
// catch (...) {
// }
// QL_REQUIRE(index != nullptr, "ScenarioSimMarket::update() index " << i << " not found in sim market");
// asd_->set(index->fixing(d), AggregationScenarioDataType::IndexFixing, i);
// }
// for (auto c : parameters_->additionalScenarioDataCcys())
// {
// if (c != parameters_->baseCcy())
// asd_->set(fxSpot(c + parameters_->baseCcy())->value(), AggregationScenarioDataType::FXSpot, c);
// }
// asd_->set(numeraire_, AggregationScenarioDataType::Numeraire);
// asd_->next();
}
