/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate">The payment date. The same rest period is assumed as with the spot date.</param>
/// <param name="indexCurve">The index curve should be already in the correct form for the fx.</param>
/// <param name="currency2">Normally the foreign rate curve.</param>
/// <param name="currency2PerCurrency1">The currency2PerCurrency1 flag. </param>
/// <param name="currency1">Normally the domestic rate curve. </param>
/// <param name="indexVolatilitySurface">The index volatility surface. </param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve, IRateCurve currency1, IRateCurve currency2,
bool currency2PerCurrency1, decimal strike, decimal expiryTime, decimal timeToIndex, IVolatilitySurface indexVolatilitySurface, FxOptionType fxOptionType)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
var todayRate = indexCurve.GetForward(valuationDate, valuationDate); //TODO The spot rate may not be the same due to the carry effect, but the evolution works.
var df1 = currency1.GetDiscountFactor(valuationDate, paymentDate);
var df2 = currency2.GetDiscountFactor(valuationDate, paymentDate);
var forward = df1 / df2;
if (!currency2PerCurrency1)
{
forward = df2 / df1;
}
ForwardFxRate = (decimal)(todayRate * forward);
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolatilitySurface.GetValue((double)timeToIndex, (double)strike)
};
}
/// <summary>
/// Gets the discount factor.
/// </summary>
/// <param name="fxCurve">The fx curve.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public decimal GetForwardAtMaturity(IFxCurve fxCurve, DateTime targetDate,
DateTime valuationDate)
{
var point = new DateTimePoint1D(valuationDate, targetDate);
var discountFactor = (decimal)fxCurve.Value(point);
return(discountFactor);
}
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="startDate">The start date of the coupon.</param>
/// <param name="endDate">The end date of the coupon.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="timeToIndex">The timeToIndex. Not necessarily the time to expiry. This is used for surface interpolation..</param>
/// <param name="strike">The strike.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
/// <param name="forecastCurve">The forecast curve.</param>
/// <param name="indexVolSurface">The index volatility surface.</param>
public RateOptionCouponAnalytic(DateTime valuationDate, DateTime startDate, DateTime endDate, DateTime paymentDate,
decimal timeToIndex, decimal strike, IFxCurve reportingCurrencyFxCurve, IRateCurve discountCurve, IRateCurve forecastCurve, IVolatilitySurface indexVolSurface)
: base(valuationDate, startDate, endDate, paymentDate, reportingCurrencyFxCurve, discountCurve, forecastCurve)
{
Strike = strike;
TimeToIndex = timeToIndex;
Volatility = (decimal)indexVolSurface.GetValue((double)timeToIndex, (double)strike);
}
///// <param name="isCall">The isCall flag. If [true] then the the option is a call.</param>
///// <param name="rate">The rate.</param>
///// <param name="timeToExpiry">The time To Expiry.</param>
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="timeToIndex">The timeToIndex. Not necessarily the time to expiry. This is used for surface interpolation..</param>
/// <param name="strike">The strike.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="indexVolSurface">THe volatility surface to use. </param>
///// <param name="discountCurve">The rate curve to use for discounting.</param>
public SimpleIRSwaptionInstrumentAnalytic(DateTime valuationDate, //DateTime paymentDate, bool isCall,
decimal timeToIndex, decimal strike,
//decimal timeToExpiry, decimal rate,
IFxCurve reportingCurrencyFxCurve, IVolatilitySurface indexVolSurface) //IRateCurve discountCurve, /// <param name="paymentDate">The payment date of the cash flow.</param>
{
ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
TimeToIndex = timeToIndex;
Strike = strike;
Volatility = (decimal)indexVolSurface.GetValue((double)timeToIndex, (double)strike);
}
/// <summary>
/// Evaluating the fx rate.
/// </summary>
/// <returns>The fx rate</returns>
protected decimal EvaluateReportingCurrencyFxRate(DateTime valuationDate, IFxCurve fxCurve)
{
var result = 1.0m;
if (fxCurve != null)
{
result = (decimal)fxCurve.GetForward(valuationDate, valuationDate);
}
return(result);
}
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="indexCurve">The rate curve to use for calculating the forward index.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
public FxRateCashflowAnalytic(DateTime valuationDate, DateTime paymentDate,
IFxCurve reportingCurrencyFxCurve, ICurve indexCurve, IRateCurve discountCurve)
{
ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
if (indexCurve != null)
{
FloatingIndex = (decimal)indexCurve.GetValue(new DateTimePoint1D(valuationDate, paymentDate)).Value;
}
if (discountCurve != null)
{
PaymentDiscountFactor = (decimal)discountCurve.GetDiscountFactor(valuationDate, paymentDate);
}
}
/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate">The payment date. The same rest period is assumed as with the spot date.</param>
/// <param name="indexCurve">The index curve should be already in the correct form for the fx.</param>
/// <param name="currency2">Normaly the foreign rate curve.</param>
/// <param name="currency2PerCurrency1">The currency2PerCurrency1 flag. </param>
/// <param name="currency1">Normally the domestic rate curve. </param>
public FxLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve, IRateCurve currency1, IRateCurve currency2,
bool currency2PerCurrency1)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
var todayRate = indexCurve.GetForward(valuationDate, valuationDate); //TODO The spot rate may not be the same due to the carry effect, but the evolution works.
var df1 = currency1.GetDiscountFactor(valuationDate, paymentDate);
var df2 = currency2.GetDiscountFactor(valuationDate, paymentDate);
var forward = df1 / df2;
if (!currency2PerCurrency1)
{
forward = df2 / df1;
}
ForwardFxRate = (decimal)(todayRate * forward);
}
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="reportingCurrencyFxCurve">The fx curve. It must already be normalised.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
public CashflowAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve reportingCurrencyFxCurve, IRateCurve discountCurve)
{
ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
PaymentDiscountFactor = EvaluateDiscountFactor(valuationDate, paymentDate, discountCurve);
var paymentDiscountFactor = PaymentDiscountFactor;
var days = (paymentDate - valuationDate).Days;
if (days == 0)
{
days = 1;
paymentDiscountFactor = EvaluateDiscountFactor(valuationDate, paymentDate.AddDays(1), discountCurve);
}
var time = days / 365.25;
ContinuousRate = -(Decimal)(Math.Log((double)paymentDiscountFactor) / time);
}
/// <summary>
/// Intantiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="indexCurve">The rate curve to use for calculating the forward index.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
/// <param name="indexVolSurface">The index volatility surface.</param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionAnalytic(DateTime valuationDate, DateTime paymentDate, decimal strike, decimal expiryTime, decimal timeToIndex,
IFxCurve reportingCurrencyFxCurve, ICurve indexCurve, IRateCurve discountCurve, IVolatilitySurface indexVolSurface, FxOptionType fxOptionType)
: base(valuationDate, paymentDate, reportingCurrencyFxCurve, indexCurve, discountCurve)
{
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolSurface.GetValue((double)timeToIndex, (double)strike)
};
}
/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate"></param>
/// <param name="indexCurve"></param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="indexVolatilitySurface">The index volatility surface. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve, decimal strike, decimal expiryTime, decimal timeToIndex
, IVolatilitySurface indexVolatilitySurface, FxOptionType fxOptionType)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
ForwardFxRate = (decimal)indexCurve.GetForward(valuationDate, paymentDate);
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolatilitySurface.GetValue((double)timeToIndex, (double)strike)
};
}
/// <summary>
/// Initializes a new instance of the <see cref="RateXccySpreadCurve"/> class,
/// by applying spreads to an existing RateCurve. Using FX Curve to create synthetic swaps
/// for the period under 1Y.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="properties">The properties of the new curve. One of the mandatory properties for this curve type:
/// CutOverTerm, is the tenor at which point all Fx Curve points are removed form the RateXccyCurve bootstrap.
/// Normally this is 1Y.</param>
/// <param name="currency1Curve">The base zero curve.</param>
/// <param name="fxCurve">The FX curve, used for constructing synthetic deposits. The fx points map from the base curve to the non-base curve.</param>
/// <param name="currency2Curve">The non-Base Curve.</param>
/// <param name="spreadInstruments">The spread instruments and their values.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public RateXccySpreadCurve(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, RateCurve currency1Curve, IFxCurve fxCurve,
RateCurve currency2Curve, QuotedAssetSet spreadInstruments, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties))
{
//Set the base curve.
BaseCurve = currency1Curve;
ReferenceCurveId = BaseCurve.GetPricingStructureId();
//PricingStructureIdentifier = new RateCurveIdentifier(properties);
Currency2Curve = currency2Curve;
//Get the cut-over date.
var cutOverTerm = properties.GetValue <string>("CutOverTerm");
if (cutOverTerm != null)
{
CutOverTerm = PeriodHelper.Parse(cutOverTerm);
}
//set the fx curve.
ReferenceFxCurve = fxCurve;
IsCurrency1RateCurve = properties.GetValue <bool>("Currency1RateCurve");
//Check the pricing structure type.
var pricingStructureId = (RateCurveIdentifier)PricingStructureIdentifier;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.RateXccyCurve ||
ReferenceFxCurve == null)
{
return;
}
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadInstruments))
{
return;
}
PriceableRateSpreadAssets =
PriceableAssetFactory.CreatePriceableRateSpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadInstruments, fixingCalendar, rollCalendar);
Build(logger, cache, nameSpace, fixingCalendar, rollCalendar);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new SimpleXccySwapInstrumentAnalytic();
}
var swapControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation swapValuation;
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
ModelData.AssetValuation.quote = quotes.ToArray();
//Sets the evolution type for calculations.
foreach (var leg in Legs)
{
leg.PricingStructureEvolutionType = PricingStructureEvolutionType;
leg.BucketedDates = BucketedDates;
leg.Multiplier = Multiplier;
}
if (AdditionalPayments != null)
{
foreach (var payment in AdditionalPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
}
var legControllers = new List <InstrumentControllerBase> {
PayLeg, ReceiveLeg
};
//The assetValuation list.
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
if (modelData.MarketEnvironment is ISwapLegEnvironment)
{
var market = (SwapLegEnvironment)modelData.MarketEnvironment;
IRateCurve discountCurve = null;
IRateCurve forecastCurve = null;
IFxCurve currencyCurve = null;
foreach (var leg in legControllers)
{
var stream = (PriceableInterestRateStream)leg;
if (modelData.ReportingCurrency == null)
{
modelData.ReportingCurrency = stream.Currency;
}
if (stream.DiscountCurveName != null)
{
discountCurve = market.GetDiscountRateCurve();
}
if (stream.ForecastCurveName != null)
{
forecastCurve = market.GetForecastRateCurve();
}
if (modelData.ReportingCurrency.Value != stream.Currency.Value)
{
//stream.ReportingCurrencyFxCurveName =
// MarketEnvironmentHelper.ResolveFxCurveNames(stream.Currency.Value, modelData.ReportingCurrency.Value);
currencyCurve = market.GetReportingCurrencyFxCurve();
}
modelData.MarketEnvironment = MarketEnvironmentHelper.CreateInterestRateStreamEnvironment(modelData.ValuationDate, discountCurve, forecastCurve, currencyCurve);
childValuations.Add(leg.Calculate(modelData));
}
if (GetAdditionalPayments() != null)
{
var paymentControllers = new List <InstrumentControllerBase>(GetAdditionalPayments());
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
}
else
{
childValuations = EvaluateChildMetrics(legControllers, modelData, Metrics);
}
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
childControllerValuations.id = Id + ".InterestRateStreams";
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swapControllerMetrics.Count > 0)
{
//TODO need to fix this calculation.
var payStreamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.AccrualFactor.ToString()); //AggregateMetric(InstrumentMetrics.AccrualFactor, childValuations);
var payStreamNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.NPV.ToString()); //AggregateMetric(InstrumentMetrics.NPV, childValuations);
var payStreamFloatingNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.FloatingNPV.ToString()); //AggregateMetric(InstrumentMetrics.FloatingNPV, childValuations);
var receiveStreamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.AccrualFactor.ToString()); //AggregateMetric(InstrumentMetrics.AccrualFactor, childValuations);
var receiveStreamNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.NPV.ToString()); //AggregateMetric(InstrumentMetrics.NPV, childValuations);
var receiveStreamFloatingNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.FloatingNPV.ToString());
IIRSwapInstrumentParameters analyticModelParameters = new SwapInstrumentParameters
{
IsPayFixedInd = true,
PayStreamAccrualFactor = payStreamAccrualFactor.value,
PayStreamFloatingNPV = payStreamFloatingNPV.value,
PayStreamNPV = payStreamNPV.value,
ReceiveStreamFloatingNPV = receiveStreamFloatingNPV.value,
ReceiveStreamNPV = receiveStreamNPV.value,
ReceiveStreamAccrualFactor = receiveStreamAccrualFactor.value,
NPV = payStreamNPV.value + receiveStreamNPV.value
};
CalculationResults = AnalyticsModel.Calculate <IIRSwapInstrumentResults, SwapInstrumentResults>(analyticModelParameters, swapControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
swapValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swapControllerMetrics), new List <string>(Metrics));
}
else
{
swapValuation = childControllerValuations;
}
CalculationPerfomedIndicator = true;
swapValuation.id = Id;
return(swapValuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>//TODO the floating delta?
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
AnalyticsModel = new FxRateCashflowAnalytic();
CalculationResults = null;
YearFractionToCashFlowPayment = Convert.ToDecimal(CDefaultDayCounter.YearFraction(ModelData.ValuationDate, PaymentDate));
//Make sure there are some bucket dates even if not set previously.
if (BucketedDates.Length < 1)
{
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
}
IsRealised = HasBeenRealised(ModelData.ValuationDate);
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.RiskNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
//Check if risk calc are required.
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
ModelData.AssetValuation.quote = quotes.ToArray();
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
IFxCurve fxCurve = null;
IRateCurve discountCurve = null;
IFxCurve currencyCurve = null;
var reportingCurrency = ModelData.ReportingCurrency == null ? PaymentCurrency.Value : ModelData.ReportingCurrency.Value;
//Set the basic model.
var analyticModelParameters = new FxRateCashflowParameters
{
Multiplier = Multiplier,
ValuationDate = ModelData.ValuationDate,
PaymentDate = PaymentDate,
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
NotionalAmount = PaymentAmount.amount,
StartIndex = StartIndex,
IsRealised = IsRealised,
CurveYearFraction =
YearFractionToCashFlowPayment,
PeriodAsTimesPerYear = 0.25m,
BucketingRate = 0.05m
};
if (modelData.MarketEnvironment is ISwapLegEnvironment environment)
{
var marketEnvironment = environment;
//The discount curve.
discountCurve = marketEnvironment.GetDiscountRateCurve();
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
//Check if it is our of currency.
if (ModelData.ReportingCurrency != null && ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
fxCurve = marketEnvironment.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
discountCurve = (IRateCurve)market.SearchForPricingStructureType(DiscountCurveName);
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
var currencyCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(StartFxRate.quotedCurrencyPair.currency1.Value, StartFxRate.quotedCurrencyPair.currency2.Value);
currencyCurve = (IFxCurve)market.SearchForPricingStructureType(currencyCurveName);
currencyCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
if (delta1PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta1PDH");
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (delta0PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta0PDH");//TODO The fx deltas
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (modelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
string curveName = MarketEnvironmentHelper.ResolveFxCurveNames(PaymentCurrency.Value, modelData.ReportingCurrency.Value);
fxCurve = (IFxCurve)market.SearchForPricingStructureType(curveName);
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
if (HybridValuation)
{
var currency1RateCurve = (IRateCurve)market.SearchForPricingStructureType(Currency1DiscountCurveName);
currency1RateCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
var currency2RateCurve = (IRateCurve)market.SearchForPricingStructureType(Currency2DiscountCurveName);
currency2RateCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
AnalyticsModel = new FxRateCashflowAnalytic(ModelData.ValuationDate, PaymentDate, currencyCurve, currency1RateCurve, currency2RateCurve, !InvertFxRate, IsSettlementInCurrency1, fxCurve);
}
}
// store inputs and results from this run
AnalyticModelParameters = analyticModelParameters;
if (!HybridValuation)
{
AnalyticsModel = new FxRateCashflowAnalytic(ModelData.ValuationDate, PaymentDate,
fxCurve, currencyCurve, discountCurve);
} //TODO Fix this with a generic index curve.
//AnalyticsModel = analyticsModel;
CalculationResults = AnalyticsModel.Calculate <IFloatingCashflowResults, FloatingCashflowResults>(AnalyticModelParameters, metrics.ToArray());
CalculationPerformedIndicator = true;
PaymentDiscountFactor = ((FxRateCashflowAnalytic)AnalyticsModel).PaymentDiscountFactor;
ForecastAmount = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyExpectedValue, PaymentAmount.currency);
NPV = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyNPV, PaymentAmount.currency);
AssetValuation valuation = GetValue(CalculationResults, modelData.ValuationDate);
valuation.id = Id;
return(valuation);
}
/// <summary>
/// Creates a stream environment.
/// </summary>
/// <param name="baseDate"></param>
/// <param name="discountCurve"></param>
/// <param name="forecastCurve"></param>
/// <param name="fxCurve"></param>
/// <returns></returns>
public static ISwapLegEnvironment CreateInterestRateStreamEnvironment(DateTime baseDate, IRateCurve discountCurve, IRateCurve forecastCurve, IFxCurve fxCurve)
{
var market = new SwapLegEnvironment();
market.AddPricingStructure(InterestRateStreamPSTypes.DiscountCurve.ToString(), discountCurve);
market.AddPricingStructure(InterestRateStreamPSTypes.ForecastCurve.ToString(), forecastCurve);
market.AddPricingStructure(InterestRateStreamPSTypes.ReportingCurrencyFxCurve.ToString(), fxCurve);
return(market);
}
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="startDate">The start date of the coupon.</param>
/// <param name="endDate">The end date of the coupon.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
/// <param name="forecastCurve">The forecast curve.</param>
public StructuredRateCouponAnalytic(DateTime valuationDate, DateTime startDate, DateTime endDate, DateTime paymentDate,
IFxCurve reportingCurrencyFxCurve, IRateCurve discountCurve, IRateCurve forecastCurve)
: base(valuationDate, startDate, endDate, paymentDate, reportingCurrencyFxCurve, discountCurve, forecastCurve)
{
}
/// <summary>
/// Intantiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="startDate">The start date of the coupon.</param>
/// <param name="endDate">The end date of the coupon.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="yearFraction">The yearFraction.</param>
/// <param name="reportingCurrencyFxCurve">The reportingCurrencyFxCurve</param>
/// <param name="discountCurve">THe fx curve. It must already be normalised.</param>
/// <param name="discountType">The discountType.</param>
/// <param name="forecastCurve">The rate curve to use for forecasting.</param>
public FloatingRateCouponAnalytic(DateTime valuationDate, DateTime startDate, DateTime endDate, DateTime paymentDate, decimal?discountRate,
decimal yearFraction, DiscountType discountType, IFxCurve reportingCurrencyFxCurve, IRateCurve discountCurve, IRateCurve forecastCurve)
: base(valuationDate, startDate, endDate, paymentDate, discountRate, yearFraction, discountType, reportingCurrencyFxCurve, discountCurve, forecastCurve)
{
StartDate = startDate;
EndDate = endDate;
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new SimpleIRSwaptionInstrumentAnalytic();
}
var swaptionControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.BreakEvenRate.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.BreakEvenRate.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
ModelData.AssetValuation.quote = quotes.ToArray();
AssetValuation swaptionValuation;
//Sets the evolution type for calculations.
Swap.PricingStructureEvolutionType = PricingStructureEvolutionType;
Swap.BucketedDates = BucketedDates;
if (PremiumPayments != null)
{
foreach (var payment in PremiumPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
}
}
//The assetValuation list.
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
if (PremiumPayments != null)
{
var paymentControllers = new List <InstrumentControllerBase>(PremiumPayments);
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
var swapMetrics = Swap.Calculate(modelData);
//We assume the fixed leg is always the first leg!
var fixedLeg = Swap.GetLegs()[0].Calculate(modelData);
var breakEvenRate = AssetValuationHelper.GetQuotationByMeasureType(swapMetrics, InstrumentMetrics.BreakEvenRate.ToString()).value;
var timeToIndex = (Swap.EffectiveDate - ModelData.ValuationDate).Days / 365.0;
//This is European only.
var expiryTime = (ExerciseDates[0] - ModelData.ValuationDate).Days / 365.0;
IVolatilitySurface indexVolSurface = null;
if (modelData.MarketEnvironment is ISwapLegEnvironment streamMarket1)
{
indexVolSurface = streamMarket1.GetVolatilitySurface();
indexVolSurface.PricingStructureEvolutionType = PricingStructureEvolutionType;
VolatilitySurfaceName = indexVolSurface.GetPricingStructureId().UniqueIdentifier;
}
else
{
if (!string.IsNullOrEmpty(VolatilitySurfaceName))
{
indexVolSurface = (IVolatilitySurface)modelData.MarketEnvironment.GetPricingStructure(VolatilitySurfaceName);
}
}
//Calculate the delta
var delta = SimpleIRSwaptionInstrumentAnalytic.CalculateOptionDelta(IsCall, breakEvenRate, StrikeRate, expiryTime, timeToIndex, indexVolSurface);
//Set the multiplier using the delta of the option.
//Multiplier = delta;?
Swap.Multiplier = System.Math.Abs(delta);
//New function that converts the metrics by multiplying be the delta.
var swapCalculations = Swap.Calculate(modelData);
//childValuations.Add(swapCalculations);
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies); // modelData.ValuationDate);
var streamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(fixedLeg, InstrumentMetrics.AccrualFactor.ToString()); //TODO This is not correct!
var npv = AssetValuationHelper.GetQuotationByMeasureType(childControllerValuations, InstrumentMetrics.NPV.ToString());
childValuations.Add(swapCalculations);
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swaptionControllerMetrics.Count > 0)
{
//Get the market data.
IFxCurve fxCurve = null;
ISwaptionInstrumentParameters analyticModelParameters = new SwaptionInstrumentParameters
{
IsBought = IsBasePartyBuyer,
IsCall = IsCall,
SwapAccrualFactor = System.Math.Abs(streamAccrualFactor.value),
Strike = StrikeRate,
OtherNPV = npv.value,
TimeToExpiry = (decimal)expiryTime,
SwapBreakEvenRate = breakEvenRate,
//OtherNPV =
};
// Curve Related
if (modelData.MarketEnvironment is ISwapLegEnvironment streamMarket)
{
analyticModelParameters.VolatilitySurface = indexVolSurface;
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrencies[0])//This is an interest rate swap and so only has one currency.
{
fxCurve = streamMarket.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
}
}
}
var analyticsModel = new SimpleIRSwaptionInstrumentAnalytic(ModelData.ValuationDate, (decimal)timeToIndex,
StrikeRate, fxCurve, indexVolSurface);
AnalyticsModel = analyticsModel;
Volatility = analyticsModel.Volatility;
AnalyticModelParameters = analyticModelParameters;
CalculationResults = AnalyticsModel.Calculate <ISwaptionInstrumentResults, SwaptionInstrumentResults>(analyticModelParameters, swaptionControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
//childValuations.Add(swapControllerValuation);
childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
swaptionValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swaptionControllerMetrics), new List <string>(Metrics));
//swaptionValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List<string>(Metrics), modelData.ValuationDate);
}
else
{
swaptionValuation = childControllerValuations;
}
CalculationPerfomedIndicator = true;
swaptionValuation.id = Id;
return(swaptionValuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new FxRateAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<IFxRateAssetParameters, FxMetrics>>(_modelIdentifier);
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalForwardAtMaturity = false;
if (metrics.Contains(FxMetrics.ForwardAtMaturity))
{
bEvalForwardAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != FxMetrics.ForwardAtMaturity);
}
IFxRateAssetParameters analyticModelParameters = new FxRateAssetParameters();
CalculationResults = new FxAssetResults();
var metricsToEvaluate = metrics.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
//1. instantiate curve
//var fxCurve = (IFxCurve)modelData.MarketEnvironment.GetPricingStructure(FxCurveName);
IFxCurve fxCurve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
fxCurve = (IFxCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
FxCurveName = fxCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleFxMarketEnvironment))
{
fxCurve = ((ISimpleFxMarketEnvironment)marketEnvironment).GetFxCurve();
FxCurveName = fxCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
fxCurve = ((ISwapLegEnvironment)marketEnvironment).GetReportingCurrencyFxCurve();
FxCurveName = fxCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
fxCurve = (IFxCurve)modelData.MarketEnvironment.GetPricingStructure(FxCurveName);
}
//3. Get the Rate
if (FxRate != null)
{
analyticModelParameters.FxRate = FxRate.value;
}
if (bEvalForwardAtMaturity)
{
//4. Set the anaytic input parameters and Calculate the respective metrics
CalculationResults =
AnalyticsModel.Calculate <IFxAssetResults, FxAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
else
{
analyticModelParameters.NotionalAmount = NotionalAmount;
IDayCounter dc = Actual365.Instance;
analyticModelParameters.YearFraction = (decimal)dc.YearFraction(modelData.ValuationDate, RiskMaturityDate);
//3. Get the end discount factor - Need to fix this.
analyticModelParameters.FxCurveSpotRate =
GetForwardAtMaturity(fxCurve, GetRiskMaturityDate(), modelData.ValuationDate);
//4. Set the anaytic input parameters and Calculate the respective metrics
CalculationResults =
AnalyticsModel.Calculate <IFxAssetResults, FxAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(CalculationResults));
}
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="startDate">The start date of the coupon.</param>
/// <param name="endDate">The end date of the coupon.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="timeToIndex">The timeToIndex. Not necessarily the time to expiry. This is used for surface interpolation..</param>
/// <param name="capStrike">The cap strike.</param>
/// <param name="floorStrike">The floor strike.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
/// <param name="forecastCurve">The forecast curve.</param>
/// <param name="indexVolSurface">The index volatility surface.</param>
public RateOptionCouponAnalytic(DateTime valuationDate, DateTime startDate, DateTime endDate, DateTime paymentDate,
decimal timeToIndex, decimal capStrike, decimal floorStrike, IFxCurve reportingCurrencyFxCurve, IRateCurve discountCurve, IRateCurve forecastCurve, IVolatilitySurface indexVolSurface)
: this(valuationDate, startDate, endDate, paymentDate, timeToIndex, capStrike, reportingCurrencyFxCurve, discountCurve, forecastCurve, indexVolSurface)
{
IsCollar = true;
CollarFloorStrike = floorStrike;
CollarFloorVolatility = (decimal)indexVolSurface.GetValue((double)timeToIndex, (double)floorStrike);
}
//Clones a curve, maps the quoted assets specified and then returns an FpML structure back.
//
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace">THe client namespace</param>
/// <param name="referenceCurve"></param>
/// <param name="spreadValues"></param>
/// <param name="id"></param>
/// <param name="fixingCalendar"></param>
/// <param name="rollCalendar"></param>
/// <param name="baseDate"></param>
/// <returns></returns>
public static Pair <PricingStructure, PricingStructureValuation> ProcessQuotedAssetSet(ILogger logger, ICoreCache cache,
string nameSpace, IFxCurve referenceCurve,
FxRateSet spreadValues, string id, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar, DateTime baseDate)
{
//Clone the ref curves.
//
var clonedCurve = referenceCurve.Clone();
var fpml = ((IFxCurve)clonedCurve).GetFpMLData();
var fxCurveCloned = (FpML.V5r10.Reporting.FxCurve)fpml.First;
var fxvCurveCloned = (FxCurveValuation)fpml.Second;
// assign id to the cloned YieldCurve
//
fxCurveCloned.id = id;
// nullify the discount factor curve to make sure that bootstrapping will happen)
//
fxvCurveCloned.fxForwardCurve.point = null;
fxvCurveCloned.fxForwardPointsCurve = null;
//Manipulate the quated asset set.
//
fxvCurveCloned.spotRate = MappedQuotedAssetSet(logger, cache, nameSpace, referenceCurve, spreadValues, fixingCalendar, rollCalendar, baseDate);
return(fpml);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
AnalyticsModel = new FxOptionAnalytic();
CalculationResults = null;
YearFractionToCashFlowPayment = Convert.ToDecimal(CDefaultDayCounter.YearFraction(ModelData.ValuationDate, PaymentDate));
//Make sure there are some bucket dates even if not set previously.
if (BucketedDates.Length < 1)
{
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
}
IsRealised = HasBeenRealised(ModelData.ValuationDate);
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.RiskNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
//Check if risk calc are required.
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
ModelData.AssetValuation.quote = quotes.ToArray();
//Set the cash flowdetails.
HasReset = modelData.ValuationDate > ResetDate;
IsRealised = HasBeenRealised(ModelData.ValuationDate);
TimeToExpiry = GetPaymentYearFraction(ModelData.ValuationDate, AdjustedFixingDate);
var volatilityCurveNodeTime = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
IFxCurve fxCurve = null;
IRateCurve discountCurve = null;
IFxCurve currencyCurve = null;
IVolatilitySurface volSurface = null;
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
//var metricsToEvaluate = metrics.ToArray();
//if (metricsToEvaluate.Length > 0)
//{
YearFractionToCashFlowPayment = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
var reportingCurrency = ModelData.ReportingCurrency == null
? PaymentCurrency.Value
: ModelData.ReportingCurrency.Value;
decimal?premium = null;
if (Premium != null)
{
premium = Premium;
}
IFxRateCashflowParameters analyticModelParameters = new FxRateCashflowParameters
{
ValuationDate = modelData.ValuationDate,
PaymentDate = PaymentDate,
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
IsRealised = IsRealised,
IsReset = HasReset,
NotionalAmount = NotionalAmount.amount,
CurveYearFraction = YearFractionToCashFlowPayment,
ExpiryYearFraction = TimeToExpiry,
Premium = premium
};
// Curve Related
if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
discountCurve = (IRateCurve)market.SearchForPricingStructureType(DiscountCurveName);
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
volSurface = (IVolatilitySurface)market.SearchForPricingStructureType(VolatilitySurfaceName);
volSurface.PricingStructureEvolutionType = PricingStructureEvolutionType;
var currencyCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(StartFxRate.quotedCurrencyPair.currency1.Value,
StartFxRate.quotedCurrencyPair.currency2.Value);
currencyCurve = (IFxCurve)market.SearchForPricingStructureType(currencyCurveName);
currencyCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
if (delta1PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta1PDH");
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (delta0PDH)//TODO Do this for the fxrate
{
//var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta0PDH");
// //TODO The fx deltas
//analyticModelParameters.Delta1PDHCurves = riskMarket;
//analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (modelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
string curveName = MarketEnvironmentHelper.ResolveFxCurveNames(PaymentCurrency.Value,
modelData.ReportingCurrency.Value);
fxCurve = (IFxCurve)market.SearchForPricingStructureType(curveName);
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
if (HybridValuation)
{
var currency1RateCurve =
(IRateCurve)market.SearchForPricingStructureType(Currency1DiscountCurveName);
currency1RateCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
var currency2RateCurve =
(IRateCurve)market.SearchForPricingStructureType(Currency2DiscountCurveName);
currency2RateCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
AnalyticsModel = new FxOptionAnalytic(ModelData.ValuationDate, PaymentDate, currencyCurve, currency1RateCurve,
currency2RateCurve, IsSettlementInCurrency1, !InvertFxRate, Strike, TimeToExpiry, volatilityCurveNodeTime, volSurface, FxOptionType, fxCurve);
}
}
// store inputs and results from this run
AnalyticModelParameters = analyticModelParameters;
if (!HybridValuation)
{
AnalyticsModel = new FxOptionAnalytic(ModelData.ValuationDate, PaymentDate, Strike, TimeToExpiry, volatilityCurveNodeTime,
fxCurve, currencyCurve, discountCurve, volSurface, FxOptionType);
} //TODO Fix this with a generic index curve.
//AnalyticsModel = analyticsModel;
CalculationResults =
AnalyticsModel.Calculate <IFloatingCashflowResults, FloatingCashflowResults>(
AnalyticModelParameters, metrics.ToArray());
CalculationPerfomedIndicator = true;
PaymentDiscountFactor = ((FxRateCashflowAnalytic)AnalyticsModel).PaymentDiscountFactor;
ForecastAmount = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyExpectedValue,
PaymentAmount.currency);
NPV = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyNPV, PaymentAmount.currency);
AssetValuation valuation = GetValue(CalculationResults, modelData.ValuationDate);
valuation.id = Id;
return(valuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
AnalyticsModel = new FloatingRateCouponAnalytic();
RequiresReset = modelData.ValuationDate > ResetDate;
IsRealised = HasBeenRealised(ModelData.ValuationDate);
//Make sure there are some bucket dates even if not set previously.
if (BucketedDates.Length < 1)
{
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
}
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.BreakEvenRate.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.BreakEvenRate.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.RiskNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.RiskNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
//Check if risk calc are required.
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
ModelData.AssetValuation.quote = quotes.ToArray();
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
IFxCurve fxCurve = null;
IRateCurve discountCurve = null;
IRateCurve forecastCurve = null;
//// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
//if (metrics.Contains(InstrumentMetrics.DiscountFactorAtMaturity))
//{
// metrics.RemoveAll(metricItem => metricItem != InstrumentMetrics.DiscountFactorAtMaturity);
//}
//Set the forrecast rate dates. The ForecastRateInterpolation shhould have been set.
ForwardStartDate = AccrualStartDate;
ForwardEndDate = ForecastRateInterpolation ? AccrualEndDate : AdjustedDateHelper.ToAdjustedDate(FixingCalendar, ForecastRateIndex.indexTenor.Add(ForwardStartDate), AccrualBusinessDayAdjustments);
//var metricsToEvaluate = metrics.ToArray();
if (metrics.Count > 0)
{
YearFractionToCashFlowPayment = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
var reportingCurrency = ModelData.ReportingCurrency == null ? PaymentCurrency.Value : ModelData.ReportingCurrency.Value;
var amount = NotionalAmount.amount;
IRateCouponParameters analyticModelParameters = new RateCouponParameters {
Multiplier = Multiplier,
ValuationDate = modelData.ValuationDate,
PaymentDate = PaymentDate,
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
DiscountType = DiscountType,
IsRealised = IsRealised,
HasReset = RequiresReset,
NotionalAmount = amount,
Spread = Margin,
YearFraction = CouponYearFraction,
CurveYearFraction = YearFractionToCashFlowPayment
};
decimal?discountRate = null;
// Curve Related
if (modelData.MarketEnvironment is ISwapLegEnvironment environment)
{
var streamMarket = environment;
discountCurve = streamMarket.GetDiscountRateCurve();
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
forecastCurve = streamMarket.GetForecastRateCurve();
forecastCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier;
analyticModelParameters.DiscountCurve = discountCurve;
ForecastCurveName = forecastCurve.GetPricingStructureId().UniqueIdentifier;
analyticModelParameters.ForecastCurve = forecastCurve;
// Bucketed Delta
if (BucketedDates.Length > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0],
BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve,
ModelData.
ValuationDate,
BucketedDates);
}
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
fxCurve = streamMarket.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
}
AnalyticModelParameters = analyticModelParameters;
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
discountCurve = (IRateCurve)market.SearchForPricingStructureType(DiscountCurveName);
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
forecastCurve = (IRateCurve)market.SearchForPricingStructureType(ForecastCurveName);
forecastCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
analyticModelParameters.ForecastCurve = forecastCurve;
// Bucketed Delta
if (BucketedDates.Length > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0],
BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve,
ModelData.
ValuationDate,
BucketedDates);
}
if (delta1PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta1PDH");
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (delta0PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(ForecastCurveName, "delta0PDH");
analyticModelParameters.Delta0PDHCurves = riskMarket;
analyticModelParameters.Delta0PDHPerturbation = 10;
}
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
string curveName = MarketEnvironmentHelper.ResolveFxCurveNames(PaymentCurrency.Value, modelData.ReportingCurrency.Value);
fxCurve = (IFxCurve)market.SearchForPricingStructureType(curveName);
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
}
AnalyticModelParameters = analyticModelParameters;
}
//Set the base rate. Default is zero
if (AnalyticModelParameters != null)
{
AnalyticModelParameters.BaseRate = BaseRate;
}
if (UseObservedRate)
{
AnalyticsModel = new FixedRateCouponAnalytic(ModelData.ValuationDate, AccrualStartDate, AccrualEndDate, PaymentDate, Rate,
analyticModelParameters.YearFraction, DiscountType, fxCurve, discountCurve, forecastCurve);
if (Rate != null)
{
analyticModelParameters.Rate = (decimal)Rate;
}
}
else
{
if (Rate != null)
{
discountRate = Rate;
}
if (DiscountRate != null)
{
discountRate = DiscountRate;
}
AnalyticsModel = new FloatingRateCouponAnalytic(ModelData.ValuationDate, AccrualStartDate,
AccrualEndDate, PaymentDate, discountRate,
analyticModelParameters.YearFraction,
DiscountType, fxCurve, discountCurve,
forecastCurve);
}
CalculationResults = AnalyticsModel.Calculate <IRateInstrumentResults, RateInstrumentResults>(AnalyticModelParameters, metrics.ToArray());
CalculationPerfomedIndicator = true;
PaymentDiscountFactor = ((FixedRateCouponAnalytic)AnalyticsModel).PaymentDiscountFactor;
if (!UseObservedRate)
{
Rate = CalculationResults.BreakEvenRate;
}
ForecastAmount = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyExpectedValue, PaymentAmount.currency);
NPV = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyNPV, PaymentAmount.currency);
}
AssetValuation valuation = GetValue(CalculationResults, modelData.ValuationDate);
valuation.id = Id;
return(valuation);
}
/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate"></param>
/// <param name="indexCurve"></param>
public FxLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
ForwardFxRate = (decimal)indexCurve.GetForward(valuationDate, paymentDate);
}
