public static object ComputeCVACapitalBaselIII(
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "EPE profile, cube or array")] object EPEProfile,
[ExcelArgument(Description = "Loss-given-default, e.g. 0.4")] double LGD,
[ExcelArgument(Description = "Probability-of-default, e.g. 0.02")] double PD,
[ExcelArgument(Description = "Counterparty weighting, e.g. 0.1")] double PartyWeight)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (EPEProfile is object[,] arr)
{
if (arr.GetLength(1) != 2)
{
throw new Exception("Expected Nx2 array for EPE");
}
var epeDates = new DateTime[arr.GetLength(0)];
var epeValues = new double[arr.GetLength(0)];
for (var i = 0; i < arr.GetLength(0); i++)
{
epeDates[i] = (DateTime)arr[i, 0];
epeValues[i] = (double)arr[i, 1];
}
return XVACalculator.RWA_BaselIII_CVA_IMM(OriginDate, epeDates, epeValues, PD, LGD, PartyWeight);
}
else if (EPEProfile is string epeCubeName)
{
var cube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(epeCubeName, $"Cube {epeCubeName} not found");
return XVACalculator.RWA_BaselIII_IMM(OriginDate, cube.Value, PD, LGD, PartyWeight);
}
throw new Exception("EPE profile must be cube reference or Nx2 array");
}));
}
public static object ComputeCVAApprox(
[ExcelArgument(Description = "Hazzard curve")] string HazzardCurveName,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "Exposure dates")] double[] ExposureDates,
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Loss-given-default, e.g. 0.4")] double LGD,
[ExcelArgument(Description = "Reporting currency")] string Currency)
{
return(ExcelHelper.Execute(_logger, () =>
{
var hz = ContainerStores.GetObjectCache <HazzardCurve>().GetObjectOrThrow(HazzardCurveName, $"Hazzard curve {HazzardCurveName} not found");
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var expDates = ExposureDates.ToDateTimeArray(model.Value.BuildDate);
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
return XVACalculator.CVA_Approx(expDates, portfolio, hz.Value, model.Value, disc.Value, LGD, repCcy, ContainerStores.CurrencyProvider);
}));
}
public static object ComputeCVA(
[ExcelArgument(Description = "Hazzard curve")] string HazzardCurveName,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "EPE profile, cube or array")] object EPEProfile,
[ExcelArgument(Description = "Loss-given-default, e.g. 0.4")] double LGD)
{
return(ExcelHelper.Execute(_logger, () =>
{
var hz = ContainerStores.GetObjectCache <HazzardCurve>().GetObjectOrThrow(HazzardCurveName, $"Hazzard curve {HazzardCurveName} not found");
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
if (EPEProfile is object[,] arr)
{
if (arr.GetLength(1) != 2)
{
throw new Exception("Expected Nx2 array for EPE");
}
var epeDates = new DateTime[arr.GetLength(0)];
var epeValues = new double[arr.GetLength(0)];
for (var i = 0; i < arr.GetLength(0); i++)
{
epeDates[i] = (DateTime)arr[i, 0];
epeValues[i] = (double)arr[i, 1];
}
return XVACalculator.CVA(OriginDate, epeDates, epeValues, hz.Value, disc.Value, LGD);
}
else if (EPEProfile is string epeCubeName)
{
var cube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(epeCubeName, $"Cube {epeCubeName} not found");
return XVACalculator.CVA(OriginDate, cube.Value, hz.Value, disc.Value, LGD);
}
throw new Exception("EPE profile must be cube reference or Nx2 array");
}));
}
public double CVA() => XVACalculator.CVA(Model.BuildDate, EPE(), Settings.CreditSettings.CreditCurve, Settings.CreditSettings.FundingCurve, Settings.CreditSettings.LGD);
