public ZcbRiskOutputContainer ZcbRiskProductOutputContainer(LinearRateInstrument product, DateTime asOf)
{
double[] risk = ZcbRiskProductAD(product);
ZcbRiskOutputContainer output = new ZcbRiskOutputContainer();
ZcbRiskOutput discRisk = new MasterThesis.ZcbRiskOutput(asOf);
int j = 0;
for (int i = 0; i < DiscCurve.Dimension; i++)
{
discRisk.AddRiskCalculation(CurveTenor.DiscOis, DiscCurve.Dates[i], risk[j]);
j++;
}
output.AddDiscRisk(discRisk);
CurveTenor[] tenors = new CurveTenor[] { CurveTenor.Fwd1M, CurveTenor.Fwd3M, CurveTenor.Fwd6M, CurveTenor.Fwd1Y };
foreach (CurveTenor tenor in tenors.ToList())
{
ZcbRiskOutput tempFwdRisk = new ZcbRiskOutput(asOf);
for (int i = 0; i < FwdCurveCollection.GetCurve(tenor).Dimension; i++)
{
DateTime curvePoint = FwdCurveCollection.GetCurve(tenor).Dates[i];
tempFwdRisk.AddRiskCalculation(tenor, curvePoint, risk[j]);
j++;
}
output.AddForwardRisk(tenor, tempFwdRisk);
}
return(output);
}
public ZcbRiskOutput CalculateZcbRiskBumpAndRun(LinearRateInstrument product, CurveTenor tenor, DateTime asOf)
{
ZcbRiskOutput output = new MasterThesis.ZcbRiskOutput(asOf);
if (tenor == CurveTenor.DiscOis || tenor == CurveTenor.DiscLibor)
{
for (int i = 0; i < DiscCurve.Values.Count; i++)
{
DateTime curvePoint = DiscCurve.Dates[i];
double riskValue = BumpAndRunDisc(product, i);
output.AddRiskCalculation(CurveTenor.DiscOis, curvePoint, riskValue);
}
}
else if (EnumHelpers.IsFwdTenor(tenor))
{
for (int j = 0; j < FwdCurveCollection.GetCurve(tenor).Dates.Count; j++)
{
DateTime curvePoint = FwdCurveCollection.GetCurve(tenor).Dates[j];
double riskValue = BumpAndRunFwdRisk(product, tenor, j);
output.AddRiskCalculation(tenor, curvePoint, riskValue);
}
}
else
{
throw new InvalidOperationException("tenor is not valid.");
}
return(output);
}
