public Dictionary <string, IPvModel> GenerateScenarios(IPvModel model)
{
var o = new Dictionary <string, IPvModel>();
var results = new KeyValuePair <string, IPvModel> [NScenarios * 2 + 1];
ParallelUtils.Instance.For(-NScenarios, NScenarios + 1, 1, (i) =>
{
var thisShift = i * ShiftSize;
var thisLabel = (string.IsNullOrWhiteSpace(AssetId) ? Ccy.Ccy : AssetId) + "~" + thisShift;
if (thisShift == 0)
{
results[i + NScenarios] = new KeyValuePair <string, IPvModel>(thisLabel, model);
}
else
{
if (string.IsNullOrWhiteSpace(AssetId))
{
IPvModel shifted;
switch (ShiftType)
{
case MutationType.FlatShift:
shifted = FlatShiftMutator.FxSpotShift(Ccy, thisShift, model);
break;
default:
throw new Exception($"Unable to process shift type {ShiftType}");
}
results[i + NScenarios] = new KeyValuePair <string, IPvModel>(thisLabel, shifted);
}
else
{
IPvModel shifted;
switch (ShiftType)
{
case MutationType.FlatShift:
shifted = FlatShiftMutator.AssetCurveShift(AssetId, thisShift, model);
break;
default:
throw new Exception($"Unable to process shift type {ShiftType}");
}
results[i + NScenarios] = new KeyValuePair <string, IPvModel>(thisLabel, shifted);
}
}
}).Wait();
foreach (var kv in results)
{
o.Add(kv.Key, kv.Value);
}
return(o);
}
private Dictionary <Tuple <string, string>, IPvModel> GenerateScenariosAssetFx(IPvModel model)
{
var o = new Dictionary <Tuple <string, string>, IPvModel>();
var axisLength = NScenarios * 2 + 1;
var results = new KeyValuePair <Tuple <string, string>, IPvModel> [axisLength * axisLength];
ParallelUtils.Instance.For(-NScenarios, NScenarios + 1, 1, (i) =>
{
var thisShiftAsset = i * ShiftSizeAsset;
var thisLabelAsset = AssetId + "~" + thisShiftAsset;
var assetIx = i + NScenarios;
IPvModel shifted;
if (thisShiftAsset == 0)
{
shifted = model;
}
else
{
switch (ShiftType)
{
case MutationType.FlatShift:
shifted = FlatShiftMutator.AssetCurveShift(AssetId, thisShiftAsset, model);
break;
default:
throw new Exception($"Unable to process shift type {ShiftType}");
}
}
for (var ifx = -NScenarios; ifx < NScenarios + 1; ifx++)
{
var fxIx = ifx + NScenarios;
var thisShiftFx = ifx * ShiftSizeFx;
var thisLabelFx = Ccy.Ccy + "~" + thisShiftFx;
IPvModel shiftedFx;
if (thisShiftAsset == 0)
{
shiftedFx = shifted;
}
else
{
shiftedFx = FlatShiftMutator.FxSpotShift(Ccy, thisShiftFx, shifted);
}
results[assetIx * axisLength + fxIx] = new KeyValuePair <Tuple <string, string>, IPvModel>(
new Tuple <string, string>(thisLabelAsset, thisLabelFx), shiftedFx);
}
}).Wait();
foreach (var kv in results)
{
o.Add(kv.Key, kv.Value);
}
return(o);
}
