public void Process(IPathBlock block)
{
if (CompactMode)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _factorIndex);
SetupAverages(steps);
if (CompactMode)
{
if (!PathSumsByBlock.ContainsKey(block.GlobalPathIndex))
{
PathSumsByBlock.Add(block.GlobalPathIndex, new double[steps.Length]);
PathCountsByBlock.Add(block.GlobalPathIndex, steps.Length);
}
for (var i = 0; i < steps.Length; i++)
{
for (var j = 0; j < Vector <double> .Count; j++)
{
PathSumsByBlock[block.GlobalPathIndex][i] += steps[i][j];
}
}
}
else
{
for (var i = 0; i < steps.Length; i++)
{
for (var j = 0; j < Vector <double> .Count; j++)
{
lock (_threadLock)
{
PathSum[i] += steps[i][j];
}
}
}
}
}
}
else
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _factorIndex);
SetupAverages(steps);
for (var i = 0; i < steps.Length; i++)
{
for (var j = 0; j < Vector <double> .Count; j++)
{
lock (_threadLock)
{
PathSum[i] += steps[i][j];
}
}
}
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var p1 = block.GetStepsForFactor(path, _assetIndex1);
var p2 = block.GetStepsForFactor(path, _assetIndex2);
var p1Arr = new double[Vector <double> .Count][];
var p2Arr = new double[Vector <double> .Count][];
for (var i = 0; i < Vector <double> .Count; i++)
{
p1Arr[i] = new double[p1.Length];
p2Arr[i] = new double[p2.Length];
}
for (var step = 0; step < p1.Length; step++)
{
for (var i = 0; i < Vector <double> .Count; i++)
{
p1Arr[i][step] = p1[step][i];
p2Arr[i][step] = p2[step][i];
}
}
var correls = new double[Vector <double> .Count];
for (var i = 0; i < correls.Length; i++)
{
var returns1 = p1Arr[i].Returns(true);
var returns2 = p2Arr[i].Returns(true);
correls[i] = returns1.Correlation(returns2).Correlation;
}
_results.Add(new Vector <double>(correls));
}
}
public void Process(IPathBlock block)
{
ParallelUtils.Instance.For(0, block.NumberOfPaths, Vector <double> .Count, path =>
//for (var path = 0; path < block.NumberOfPaths; path += Vector<double>.Count)
{
var stepsMain = block.GetStepsForFactor(path, _mainFactorIndex);
for (var f = 0; f < _factorIndices.Length; f++)
//ParallelUtils.Instance.For(0,_factorIndices.Length,1,f=>
{
var previousStep = new Vector <double>(_forwardCurve(_futuresExpiries[f]));
var steps = block.GetStepsForFactor(path, _factorIndices[f]);
var c = 0;
foreach (var kv in _pastFixings.Where(x => x.Key < _startDate))
{
steps[c] = new Vector <double>(kv.Value);
c++;
}
steps[c] = previousStep;
for (var step = c + 1; step < block.NumberOfSteps; step++)
{
var W = steps[step];
var dt = new Vector <double>(_timesteps.TimeSteps[step]);
var bm = (_vols[step][f] * _vols[step][f] / 2.0) * dt + (_vols[step][f] * _timesteps.TimeStepsSqrt[step] * W);
previousStep *= bm.Exp();
steps[step] = previousStep;
}
}//).Wait();
for (var step = 0; step < block.NumberOfSteps; step++)
{
var frontMonth = block.GetStepsForFactor(path, _frontMonthFactors[step]);
stepsMain[step] = frontMonth[step];
}
}).Wait();
}
public void Process(IPathBlock block)
{
SetupFactors();
if (PathCalc.CompactMode)
{
var averagesForThisBlock = PathCalc.PathSumsByBlock[block.GlobalPathIndex].Select(a => a / PathCalc.PathCountsByBlock[block.GlobalPathIndex]).ToArray();
var factorsForThisBlock = _fwds.Select((f, ix) => new Vector <double>(f / averagesForThisBlock[ix])).ToArray();
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _factorIndex);
for (var step = 0; step < block.NumberOfSteps; step++)
{
steps[step] *= factorsForThisBlock[step];
}
}
}
else
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _factorIndex);
for (var step = 0; step < block.NumberOfSteps; step++)
{
steps[step] *= _correctionFactors[step];
}
}
}
}
public void Process(IPathBlock block)
{
var nFactors = block.Factors;
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var randsForSteps = new Vector <double> [nFactors][];
for (var r = 0; r < randsForSteps.Length; r++)
{
randsForSteps[r] = block.GetStepsForFactor(path, r).ToArray();
}
for (var step = 0; step < block.NumberOfSteps; step++)
{
var randsForThisStep = new Vector <double> [nFactors];
for (var r = 0; r < randsForThisStep.Length; r++)
{
randsForThisStep[r] = randsForSteps[r][step];
}
var correlatedRands = Correlate(randsForThisStep);
for (var r = 0; r < randsForSteps.Length; r++)
{
var x = block.GetStepsForFactor(path, r);
x[step] = correlatedRands[r];
}
}
}
}
public override void Process(IPathBlock block)
{
var blockBaseIx = block.GlobalPathIndex;
if (_callPut == OptionType.C)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
Span <Vector <double> > stepsFx = null;
if (_fxName != null)
{
stepsFx = block.GetStepsForFactor(path, _fxIndex);
}
var minValue = new Vector <double>(double.MaxValue);
for (var i = 0; i < _dateIndexes.Length; i++)
{
minValue = Vector.Min(steps[_dateIndexes[i]] * (_fxName != null ? stepsFx[_dateIndexes[i]] : _one), minValue);
}
var lastValue = steps[_dateIndexes.Last()] * (_fxName != null ? stepsFx[_dateIndexes.Last()] : _one);
var payoff = (lastValue - minValue) * _notional;
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
}
else
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
Span <Vector <double> > stepsFx = null;
if (_fxName != null)
{
stepsFx = block.GetStepsForFactor(path, _fxIndex);
}
var maxValue = new Vector <double>(double.MinValue);
for (var i = 0; i < _dateIndexes.Length; i++)
{
maxValue = Vector.Max(steps[_dateIndexes[i]] * (_fxName != null ? stepsFx[_dateIndexes[i]] : _one), maxValue);
}
var lastValue = steps[_dateIndexes.Last()] * (_fxName != null ? stepsFx[_dateIndexes.Last()] : _one);
var payoff = (maxValue - lastValue) * _notional;
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _fxPairIx);
var stepsInv = block.GetStepsForFactor(path, _invertedFxPairIx);
for (var s = 0; s < steps.Length; s++)
{
stepsInv[s] = _one / steps[s];
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
for (var d = 0; d < _nDims; d++)
{
var steps = block.GetStepsForFactor(path, d);
var targetIx = 0;
var nextTarget = _dateIndexes[targetIx];
for (var s = 0; s < steps.Length; s++)
{
if (s == nextTarget)
{
for (var v = 0; v < Vector <double> .Count; v++)
{
_pathwiseValues[targetIx][block.GlobalPathIndex + path + v][d] = steps[s][v];
}
targetIx++;
if (targetIx == _dateIndexes.Length)
{
break;
}
nextTarget = _dateIndexes[targetIx];
}
}
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
for (var d = 0; d < _nDims; d++)
{
var steps = block.GetStepsForFactor(path, _assetIxs[d]);
for (var fd = 0; fd < _dateIxsFwd.Length; fd++)
{
for (var v = 0; v < Vector <double> .Count; v++)
{
if (d == 0)
{
_pathwiseValuesFwd[block.GlobalPathIndex + path + v][fd] = steps[_dateIxsFwd[fd]][v];
_pathwiseValuesReg[block.GlobalPathIndex + path + v] = steps[_dateIxRegression][v];
}
else
{
_pathwiseValuesFwd[block.GlobalPathIndex + path + v][fd] *= steps[_dateIxsFwd[fd]][v];
_pathwiseValuesReg[block.GlobalPathIndex + path + v] *= steps[_dateIxRegression][v];
}
}
}
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var previousStep = new Vector <double>(_forwardCurve(0));
var steps = block.GetStepsForFactor(path, _factorIndex);
var c = 0;
foreach (var kv in _pastFixings.Where(x => x.Key < _startDate))
{
steps[c] = new Vector <double>(kv.Value);
c++;
}
steps[c] = previousStep;
for (var step = c + 1; step < block.NumberOfSteps; step++)
{
var W = steps[step];
var dt = new Vector <double>(_timesteps.TimeSteps[step]);
var vols = new double[Vector <double> .Count];
for (var s = 0; s < vols.Length; s++)
{
vols[s] = Sqrt(Max(0, _lvInterps[step - 1].Interpolate(previousStep[s])));
}
var volVec = new Vector <double>(vols);
var bm = (_drifts[step] - volVec * volVec / _two) * dt + (volVec * _timesteps.TimeStepsSqrt[step] * W);
previousStep *= bm.Exp();
steps[step] = previousStep;
}
}
}
public void Process(IPathBlock block)
{
var temp = new double[Vector <double> .Count];
for (var s = 0; s < block.NumberOfSteps; s++)
{
for (var f = 0; f < block.Factors; f++)
{
var dim = f * block.NumberOfSteps + s;
for (var p = 0; p < block.NumberOfPaths; p += Vector <double> .Count)
{
var path = p + block.GlobalPathIndex + 1;
var x = GetValueViaGreyCode(path, dim);
temp[0] = ConvertRandToDouble(x, dim);
for (var i = 1; i < Vector <double> .Count; i++)
{
path = i + p + block.GlobalPathIndex + 1;
x ^= _v[dim + _seed][BitShifting.FindFirstSet(~(uint)path) - 1];
temp[i] = ConvertRandToDouble(x, dim);
}
var pathSpan = block.GetStepsForFactor(p, f);
pathSpan[s] = new Vector <double>(temp);
}
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
var finalValues = steps[_expiryIndex] - (new Vector <double>(_strike));
finalValues = Vector.Max(new Vector <double>(0), finalValues);
_results.Add(finalValues);
}
}
public unsafe void Process(IPathBlock block)
{
for (var f = 0; f < block.Factors; f++)
{
for (var p = 0; p < block.NumberOfPaths; p += Vector <double> .Count)
{
var s = block.GetStepsForFactor(p, f);
for (var i = 0; i < block.NumberOfSteps; i++)
{
s[i] = _returnVec;
}
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
var finalValues = new Vector <double>(0.0);
for (var i = 0; i < _dateIndexes.Length; i++)
{
finalValues += steps[_dateIndexes[i]];
}
finalValues = (new Vector <double>(_strike)) - (finalValues / new Vector <double>(_dateIndexes.Length));
finalValues = Vector.Max(new Vector <double>(0), finalValues);
_results.Add(finalValues);
}
}
internal void ConvertToSimCcyIfNeeded(IPathBlock block, int pathId, Vector <double> values, int payDateIndex)
{
if (_requiresConversionToSimCcy)
{
var stepsFxConv = block.GetStepsForFactor(pathId, _conversionToSimCcyIx);
if (_requiresConversionToSimCcyInverted)
{
values *= stepsFxConv[payDateIndex];
}
else
{
values /= stepsFxConv[payDateIndex];
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
//This should be set to the spot price here
var previousStep = new Vector <double>(_spot);
var steps = block.GetStepsForFactor(path, _factorIndex);
steps[0] = previousStep;
for (var step = 1; step < block.NumberOfSteps; step++)
{
var drift = _drift * _timesteps.TimeSteps[step] * previousStep;
var delta = _scaledVol * steps[step] * previousStep;
previousStep = (previousStep + drift + delta);
steps[step] = previousStep;
}
}
}
public void Process(IPathBlock block)
{
for (var ix = 0; ix < _regressionIndices.Length; ix++)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _regressionIndices[ix]);
var targetIx = 0;
var nextTarget = _dateIndexes[targetIx];
for (var s = 0; s < steps.Length; s++)
{
if (s == nextTarget)
{
if (ix == 0)
{
for (var v = 0; v < Vector <double> .Count; v++)
{
_pathwiseValues[targetIx][block.GlobalPathIndex + path + v] = steps[s][v];
}
}
else
{
for (var v = 0; v < Vector <double> .Count; v++)
{
_pathwiseValues[targetIx][block.GlobalPathIndex + path + v] *= steps[s][v];
}
}
targetIx++;
if (targetIx == _dateIndexes.Length)
{
break;
}
nextTarget = _dateIndexes[targetIx];
}
}
}
}
}
public override void Process(IPathBlock block)
{
var blockBaseIx = block.GlobalPathIndex;
var barrierDownHit = new Vector <double>(0);
var barrierUpHit = new Vector <double>(0);
var expiryValue = new Vector <double>(0);
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
var minValue = new Vector <double>(double.MaxValue);
var maxValue = new Vector <double>(double.MinValue);
for (var i = 0; i < _dateIndexes.Length; i++)
{
minValue = Vector.Min(steps[_dateIndexes[i]], minValue);
maxValue = Vector.Max(steps[_dateIndexes[i]], maxValue);
}
barrierDownHit = Vector.Abs(Vector.ConvertToDouble(Vector.LessThan(minValue, _barrierDownVec)));
barrierUpHit = Vector.ConvertToDouble(Vector.GreaterThan(maxValue, _barrierUpVec));
if (_barrierType == BarrierType.KI)
{
var barrierHit = Vector.BitwiseAnd(barrierDownHit, barrierUpHit);
var payoff = barrierHit * _notional;
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
else //KO
{
var barrierHit = Vector.BitwiseAnd(Vector <double> .One - barrierDownHit, Vector <double> .One - barrierUpHit);
var payoff = barrierHit * _notional;
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var previousStep = new Vector <double>(_forwardCurve(0));
var steps = block.GetStepsForFactor(path, _factorIndex);
var c = 0;
foreach (var kv in _pastFixings.Where(x => x.Key < _startDate))
{
steps[c] = new Vector <double>(kv.Value);
c++;
}
steps[c] = previousStep;
for (var step = c + 1; step < block.NumberOfSteps; step++)
{
var W = steps[step];
var dt = new Vector <double>(_timesteps.TimeSteps[step]);
var bm = (_drifts[step] - _vols[step] * _vols[step] / 2.0) * dt + (_vols[step] * _timesteps.TimeStepsSqrt[step] * W);
previousStep *= bm.Exp();
steps[step] = previousStep;
}
//transform
for (var step = c + 1; step < block.NumberOfSteps; step++)
{
var ws = new double[Vector <double> .Count];
for (var v = 0; v < ws.Length; v++)
{
var t1 = Log(steps[step][v] / _spot0);
var t2 = (_spotDrifts[step] - _spotVols[step] * _spotVols[step] / 2.0) * _timesteps.Times[step];
t1 -= t2;
t1 /= _spotVols[step] * _spotTimesSqrt[step];
t1 = Statistics.NormSDist(t1);
ws[v] = _invCdfs[step].Interpolate(t1);
}
steps[step] = new Vector <double>(ws);
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var previousStep = new Vector <double>(_forwardCurve(0));
var steps = block.GetStepsForFactor(path, _factorIndex);
var c = 0;
foreach (var kv in _pastFixings.Where(x => x.Key < _startDate))
{
steps[c] = new Vector <double>(kv.Value);
c++;
}
steps[c] = previousStep;
if (_siegelInvert)
{
for (var step = c + 1; step < block.NumberOfSteps; step++)
{
var W = steps[step];
var dt = new Vector <double>(_timesteps.TimeSteps[step]);
var bm = (_drifts[step] + _vols[step] * _vols[step] / 2.0) * dt + (_vols[step] * _timesteps.TimeStepsSqrt[step] * W);
previousStep *= bm.Exp();
steps[step] = previousStep;
}
}
else
{
for (var step = c + 1; step < block.NumberOfSteps; step++)
{
var W = steps[step];
var dt = new Vector <double>(_timesteps.TimeSteps[step]);
var bm = (_drifts[step] - _vols[step] * _vols[step] / 2.0) * dt + (_vols[step] * _timesteps.TimeStepsSqrt[step] * W);
previousStep *= bm.Exp();
steps[step] = previousStep;
}
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
var previousIndex = new double[Vector <double> .Count];
steps[0].CopyTo(previousIndex);
steps[0] = new Vector <double>(0);
for (var step = 1; step < block.NumberOfSteps; step++)
{
var currentIndex = new double[Vector <double> .Count];
steps[step].CopyTo(currentIndex);
if (_logReturns)
{
}
else
{
steps[step] = new Vector <double>(currentIndex) / new Vector <double>(previousIndex) - new Vector <double>(1.0);
}
previousIndex = currentIndex;
}
}
}
public override void Process(IPathBlock block)
{
var blockBaseIx = block.GlobalPathIndex;
var barrierHit = new Vector <double>(0);
var expiryValue = new Vector <double>(0);
if (_barrierSide == BarrierSide.Down)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
var minValue = new Vector <double>(double.MaxValue);
for (var i = 0; i < _dateIndexes.Length; i++)
{
minValue = Vector.Min(steps[_dateIndexes[i]], minValue);
}
barrierHit = Vector.ConvertToDouble(Vector.LessThan(minValue, _barrierVec));
expiryValue = steps[_expiryIx];
var vanillaValue = _callPut == OptionType.C
? Vector.Max(expiryValue - _strikeVec, _zero)
: Vector.Max(_strikeVec - expiryValue, _zero);
if (_barrierType == BarrierType.KI)
{
var payoff = vanillaValue * barrierHit * _notional;
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
else //KO
{
var didntHit = (new Vector <double>(1.0)) - barrierHit;
var payoff = vanillaValue * didntHit * _notional;
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
}
}
else
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
var maxValue = new Vector <double>(double.MinValue);
for (var i = 0; i < _dateIndexes.Length; i++)
{
maxValue = Vector.Max(steps[_dateIndexes[i]], maxValue);
}
barrierHit = Vector.ConvertToDouble(Vector.GreaterThan(maxValue, _barrierVec));
expiryValue = steps[_expiryIx];
var vanillaValue = _callPut == OptionType.C
? Vector.Max(expiryValue - _strikeVec, _zero)
: Vector.Max(_strikeVec - expiryValue, _zero);
if (_barrierType == BarrierType.KI)
{
var payoff = vanillaValue * barrierHit * _notional;
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
else //KO
{
var didntHit = (new Vector <double>(1.0)) + barrierHit;
var payoff = vanillaValue * didntHit * _notional;
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
}
}
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var stepsByFactor = new Dictionary <int, Vector <double>[]>();
foreach (var ix in _assetIndices)
{
stepsByFactor.Add(ix, block.GetStepsForFactor(path, ix).ToArray());
}
var indexCounter = 0;
var nextIndex = _calculationDateIndices[indexCounter];
var steps = stepsByFactor.First().Value;
var fixingDictionaries = _assetFxModel.FixingDictionaryNames.ToDictionary(x => x, x => (IFixingDictionary) new FixingDictionary(_assetFxModel.GetFixingDictionary(x)));
for (var i = 0; i < steps.Length; i++)
{
var d = _timeFeature.Dates[i];
for (var j = 0; j < Vector <double> .Count; j++)
{
for (var a = 0; a < _assetIndices.Length; a++)
{
if (!fixingDictionaries.TryGetValue(_assetIds[a], out var fd))
{
throw new Exception($"Fixing dictionary not found for asset {_assetIds[a]} ");
}
fd[d] = stepsByFactor[a][i][j];
}
}
if (i == nextIndex)
{
var currentDate = _calculationDates[indexCounter];
var newModel = _assetFxModel.Clone();
newModel.OverrideBuildDate(currentDate);
newModel.AddFixingDictionaries(fixingDictionaries);
var spotsByAsset = stepsByFactor.ToDictionary(x => x.Key, x => x.Value[i]);
for (var j = 0; j < Vector <double> .Count; j++)
{
//build on-path price curves in model
foreach (var spot in spotsByAsset)
{
var assetId = _assetIds[spot.Key];
var baseCurve = _assetFxModel.GetPriceCurve(assetId);
var spotOnCurve = baseCurve.GetPriceForFixingDate(currentDate);
var ratio = spot.Value[j] / spotOnCurve;
var newCurve = new FactorPriceCurve(baseCurve, ratio);
newModel.AddPriceCurve(assetId, newCurve);
}
var ead = _portfolio.SaCcrEAD(newModel, _reportingCurrency, _assetIdToGroupMap);
var capital = _counterpartyRiskWeight * ead;
if (!_expectedCapital.ContainsKey(currentDate))
{
lock (_threadLock)
{
if (!_expectedCapital.ContainsKey(currentDate))
{
_expectedCapital.Add(currentDate, 0.0);
}
}
}
if (double.IsNaN(capital) || double.IsInfinity(capital))
{
throw new Exception("Invalid capital generated");
}
_expectedCapital[currentDate] += capital;
}
indexCounter++;
nextIndex = indexCounter < _calculationDateIndices.Length
? _calculationDateIndices[indexCounter] : int.MaxValue;
}
}
}
}
public void Process(IPathBlock block)
{
var blockBaseIx = block.GlobalPathIndex;
var barrierHit = new Vector <double>(0);
var expiryValue = new Vector <double>(0);
if (_barrierSide == BarrierSide.Down)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
var minValue = new Vector <double>(double.MaxValue);
for (var i = 0; i < _dateIndexes.Length; i++)
{
minValue = Vector.Min(steps[_dateIndexes[i]], minValue);
}
barrierHit = Vector.ConvertToDouble(Vector.LessThan(minValue, _barrierVec));
if (_barrierType == BarrierType.KI)
{
var payoff = -barrierHit * _notional;
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
else //KO
{
var didntHit = (new Vector <double>(1.0)) + barrierHit;
var payoff = didntHit * _notional;
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
}
}
else
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
var maxValue = new Vector <double>(double.MinValue);
for (var i = 0; i < _dateIndexes.Length; i++)
{
maxValue = Vector.Max(steps[_dateIndexes[i]], maxValue);
}
barrierHit = Vector.ConvertToDouble(Vector.GreaterThan(maxValue, _barrierVec));
if (_barrierType == BarrierType.KI)
{
var payoff = barrierHit * _notional;
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
else //KO
{
var didntHit = (new Vector <double>(1.0)) + barrierHit;
var payoff = didntHit * _notional;
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff;
}
}
}
}
public void Process(IPathBlock block)
{
var blockBaseIx = block.GlobalPathIndex;
var nTotalVec = new Vector <double> [_nTotal.Length];
for (var i = 0; i < nTotalVec.Length; i++)
{
nTotalVec[i] = new Vector <double>(_nTotal[i]);
}
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
Span <Vector <double> > stepsFx = null;
if (_fxName != null)
{
stepsFx = block.GetStepsForFactor(path, _fxIndex);
}
var avgs = new Vector <double> [_dateIndexes.Count];
var avgVec = new Vector <double>((_callPut == OptionType.C) ? double.MaxValue : double.MinValue);
var setReg = new double[Vector <double> .Count];
for (var a = 0; a < _dateIndexes.Count; a++)
{
var pastSum = new Vector <double>(0.0);
for (var p = 0; p < _dateIndexesPast[a].Length; p++)
{
pastSum += steps[_dateIndexesPast[a][p]] * (_fxName != null ? stepsFx[_dateIndexesPast[a][p]] : _one);
}
var spotAtExpiry = steps[_decisionDateIx] * (_fxName != null ? stepsFx[_decisionDateIx] : _one);
if (VanillaModel != null && AverageRegressors[a] == null)
{
avgs[a] = pastSum / nTotalVec[a];
for (var i = 0; i < Vector <double> .Count; i++)
{
setReg[i] = spotAtExpiry[i] * _expiryToSettleCarry;
}
}
else
{
var futSum = new double[Vector <double> .Count];
for (var i = 0; i < Vector <double> .Count; i++)
{
futSum[i] = AverageRegressors[a] == null ? 0.0 : AverageRegressors[a].Predict(spotAtExpiry[i]) * _nFuture[a];
setReg[i] = SettlementRegressor.Predict(spotAtExpiry[i]);
}
var futVec = new Vector <double>(futSum);
avgs[a] = (futVec + pastSum) / nTotalVec[a];
}
avgVec = (_callPut == OptionType.C) ?
Vector.Min(avgs[a], avgVec) :
Vector.Max(avgs[a], avgVec);
}
var setVec = new Vector <double>(setReg);
var payoff = (_callPut == OptionType.C) ?
Vector.Max(new Vector <double>(0), setVec - avgVec) :
Vector.Max(new Vector <double>(0), avgVec - setVec);
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff * _notional;
}
}
public override void Process(IPathBlock block)
{
var blockBaseIx = block.GlobalPathIndex;
var nTotalVec = new Vector <double>(_nTotal);
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
Span <Vector <double> > stepsFx = null;
if (_fxName != null)
{
stepsFx = block.GetStepsForFactor(path, _fxIndex);
}
var pastSum = new Vector <double>(0.0);
for (var p = 0; p < _dateIndexesPast.Length; p++)
{
pastSum += steps[_dateIndexesPast[p]] * (_fxName != null ? stepsFx[_dateIndexesPast[p]] : _one);
}
var spotAtExpiry = steps[_decisionDateIx] * (_fxName != null ? stepsFx[_decisionDateIx] : _one);
if (VanillaModel != null && AverageRegressor == null)
{
var setReg = new double[Vector <double> .Count];
for (var i = 0; i < Vector <double> .Count; i++)
{
setReg[i] = spotAtExpiry[i] + _expiryToSettleCarry;
}
var avgVec = pastSum / nTotalVec;
var setVec = new Vector <double>(setReg);
var payoff = (_callPut == OptionType.C) ?
Vector.Max(new Vector <double>(0), setVec - avgVec) :
Vector.Max(new Vector <double>(0), avgVec - setVec);
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff * _notional;
}
else
{
var futSum = new double[Vector <double> .Count];
var setReg = new double[Vector <double> .Count];
for (var i = 0; i < Vector <double> .Count; i++)
{
futSum[i] = AverageRegressor == null ? 0.0 : AverageRegressor.Predict(spotAtExpiry[i]) * _nFuture;
setReg[i] = SettlementRegressor.Predict(spotAtExpiry[i]);
}
var futVec = new Vector <double>(futSum);
var avgVec = (futVec + pastSum) / nTotalVec;
var setVec = new Vector <double>(setReg);
var payoff = (_callPut == OptionType.C) ?
Vector.Max(new Vector <double>(0), setVec - avgVec) :
Vector.Max(new Vector <double>(0), avgVec - setVec);
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff * _notional;
}
}
}