public static object CubeToCSV(
[ExcelArgument(Description = "Input cube name")] string InputObjectName,
[ExcelArgument(Description = "Output filename")] string FileName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cubeCache = ContainerStores.GetObjectCache <ICube>();
var inCube = cubeCache.GetObjectOrThrow(InputObjectName, $"Could not find cube {InputObjectName}");
inCube.Value.ToCSVFile(FileName);
return $"Saved to {FileName}";
}));
}
public static object CreateInvertedFxSurface(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Input surface name")] string InputSurface)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (ContainerStores.GetObjectCache <IVolSurface>().TryGetObject(InputSurface, out var volSurface) && volSurface.Value is IATMVolSurface atmSurface)
{
return ExcelHelper.PushToCache <IVolSurface>(new InverseFxSurface(ObjectName, atmSurface, ContainerStores.CurrencyProvider), ObjectName);
}
return $"Vol surface {InputSurface} not found in cache or could not be case to ATM Surface";
}));
}
public static object ExtractCurveFromModel(
[ExcelArgument(Description = "Funding model name")] string FundingModelName,
[ExcelArgument(Description = "Curve name")] string CurveName,
[ExcelArgument(Description = "Output curve object name")] string OutputName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = ContainerStores.GetObjectCache <IFundingModel>().GetObject(FundingModelName).Value;
return model.Curves.TryGetValue(CurveName, out var curve) ?
ExcelHelper.PushToCache <IIrCurve>(curve, OutputName) :
$"Curve {CurveName} not found in model";
}));
}
public static object GetAveragePrice(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Price dates")] double[] Dates)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (ContainerStores.GetObjectCache <IPriceCurve>().TryGetObject(ObjectName, out var curve))
{
return curve.Value.GetAveragePriceForDates(Dates.ToDateTimeArray());
}
return $"Price curve {ObjectName} not found in cache";
}));
}
public static object CreatePriceCurve(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
[ExcelArgument(Description = "Array of prices values")] double[] Prices,
[ExcelArgument(Description = "Type of curve, e.g. LME, ICE, NYMEX etc")] object CurveType,
[ExcelArgument(Description = "Array of pillar labels (optional)")] object PillarLabels,
[ExcelArgument(Description = "Currency - default USD")] object Currency,
[ExcelArgument(Description = "Collateral spec, required for delta calculation - default LIBOR.3M")] object CollateralSpec,
[ExcelArgument(Description = "Spot lag, required for theta, default 0b")] object SpotLag,
[ExcelArgument(Description = "Spot calendar, required for theta, default USD")] object SpotCalendar)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curveTypeStr = CurveType.OptionalExcel("Linear");
var ccy = Currency.OptionalExcel("USD");
var colSpec = CollateralSpec.OptionalExcel("LIBOR.3M");
var spotLagStr = SpotLag.OptionalExcel("0b");
var spotCalStr = SpotCalendar.OptionalExcel("USD");
if (!Enum.TryParse(curveTypeStr, out PriceCurveType cType))
{
return $"Could not parse price curve type - {curveTypeStr}";
}
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ccy, out var ccyCal);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(spotCalStr, out var spotCal);
var ccyObj = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>()[ccy];
var labels = (PillarLabels is ExcelMissing) ? null : ((object[, ])PillarLabels).ObjectRangeToVector <string>();
var pDates = Pillars.ToDateTimeArray();
var cObj = new BasicPriceCurve(BuildDate, pDates, Prices, cType, ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>(), labels)
{
Name = AssetId ?? ObjectName,
AssetId = AssetId ?? ObjectName,
Currency = ccyObj,
CollateralSpec = colSpec,
SpotCalendar = spotCal,
SpotLag = new Frequency(spotLagStr)
};
var cache = ContainerStores.GetObjectCache <IPriceCurve>();
cache.PutObject(ObjectName, new SessionItem <IPriceCurve> {
Name = ObjectName, Value = cObj
});
return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
}));
}
public static object FieldValues(
[ExcelArgument(Description = "Input cube name")] string InputObjectName,
[ExcelArgument(Description = "Field name")] string FieldName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cubeCache = ContainerStores.GetObjectCache <ICube>();
var inCube = cubeCache.GetObjectOrThrow(InputObjectName, $"Could not find cube {InputObjectName}");
var output = inCube.Value.KeysForField <string>(FieldName);
return ((object[])output).ReturnExcelRangeVector();
}));
}
public static object ImplySolveStages(
[ExcelArgument(Description = "Funding Instrument Collection Name")] string FICName,
[ExcelArgument(Description = "Fx Matrix Name")] string FxMatrixName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var fic = ContainerStores.GetObjectCache <FundingInstrumentCollection>().GetObjectOrThrow(FICName, $"Could not find FIC {FICName}");
var fx = ContainerStores.GetObjectCache <FxMatrix>().GetObjectOrThrow(FxMatrixName, $"Could not find FxMatrix {FxMatrixName}");
var stages = fic.Value.ImplySolveStages(fx.Value);
return stages.DictionaryToRange();
}));
}
public static object CreateCreditSettings(
[ExcelArgument(Description = "Credit settings object name")] string ObjectName,
[ExcelArgument(Description = "Forward exposure dates for PFE etc")] object PFEDates,
[ExcelArgument(Description = "Portfolio regression method for PFE etc")] object PortfolioRegressor,
[ExcelArgument(Description = "Metric to calculate, default PV")] object Metric,
[ExcelArgument(Description = "Credit curve for CVA calc")] object CreditCurve,
[ExcelArgument(Description = "Funding curve for xVA")] object FundingCurve,
[ExcelArgument(Description = "Base discount curve for xVA")] object BaseDiscountCurve,
[ExcelArgument(Description = "Loss-given-default, e.g. 0.4")] double LGD,
[ExcelArgument(Description = "Confidence interval, e.g. 0.95")] double ConfidenceInterval,
[ExcelArgument(Description = "Counterparty risk weighting, e.g. 1.20")] double PartyRiskWeighting)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!Enum.TryParse(PortfolioRegressor.OptionalExcel("MultiLinear"), true, out PFERegressorType regType))
{
return $"Could not parse portfolio regressor type - {PortfolioRegressor}";
}
if (!Enum.TryParse(Metric.OptionalExcel("PV"), true, out BaseMetric metric))
{
return $"Could not parse metric - {Metric}";
}
var fCurve = FundingCurve is ExcelMissing || !(FundingCurve is string fStr) ?
null :
ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(fStr, $"Unable to find IrCurve {FundingCurve}");
var bCurve = BaseDiscountCurve is ExcelMissing || !(BaseDiscountCurve is string bStr) ?
null :
ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(bStr, $"Unable to find IrCurve {BaseDiscountCurve}");
var cCurve = CreditCurve is ExcelMissing || !(CreditCurve is string cStr) ?
null :
ContainerStores.GetObjectCache <HazzardCurve>().GetObjectOrThrow(cStr, $"Unable to find hazzard curve {CreditCurve}");
var cSettings = new CreditSettings
{
Metric = metric,
FundingCurve = fCurve?.Value,
CreditCurve = cCurve?.Value,
BaseDiscountCurve = bCurve?.Value,
ExposureDates = PFEDates is object[,] pd ? pd.ObjectRangeToVector <double>().ToDateTimeArray(DateTime.MinValue.AddDays(1)) :
(PFEDates is double pdd ? new[] { DateTime.FromOADate(pdd) } : null),
PfeRegressorType = regType,
ConfidenceInterval = ConfidenceInterval,
LGD = LGD,
CounterpartyRiskWeighting = PartyRiskWeighting,
};
public static object GetDF(
[ExcelArgument(Description = "Curve object name")] string ObjectName,
[ExcelArgument(Description = "Discount factor start date")] DateTime StartDate,
[ExcelArgument(Description = "Discount factor end date")] DateTime EndDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (ContainerStores.GetObjectCache <IIrCurve>().TryGetObject(ObjectName, out var curve))
{
return curve.Value.GetDf(StartDate, EndDate);
}
return $"IR curve {ObjectName} not found in cache";
}));
}
public static object ComputeEAD(
[ExcelArgument(Description = "Portfolio object")] string PortfolioName,
[ExcelArgument(Description = "AssetFx model")] string VanillaModel,
[ExcelArgument(Description = "Reporting currency")] string ReportingCurrency,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap)
{
return(ExcelHelper.Execute(_logger, () =>
{
var pf = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(PortfolioName);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(VanillaModel, $"Model {VanillaModel} not found");
var ccy = ContainerStores.CurrencyProvider.GetCurrency(ReportingCurrency);
var mappingDict = AssetIdToCategoryMap.RangeToDictionary <string, string>();
return pf.SaCcrEAD(model.Value, ccy, mappingDict);
}));
}
public static object CreateConstantVolSurface(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "Volatility")] double Volatility)
{
return(ExcelHelper.Execute(_logger, () =>
{
var surface = new ConstantVolSurface(OriginDate, Volatility);
var cache = ContainerStores.GetObjectCache <ConstantVolSurface>();
cache.PutObject(ObjectName, new SessionItem <ConstantVolSurface> {
Name = ObjectName, Value = surface
});
return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
}));
}
public static IEnumerable <T> GetAnyFromCache <T>(this object[] Names)
{
var tCache = ContainerStores.GetObjectCache <T>();
var ts = new List <T>();
for (var i = 0; i < Names.GetLength(0); i++)
{
var s = Names[i];
if (!(s is ExcelMissing) && !(s is ExcelEmpty) && !string.IsNullOrWhiteSpace(s as string) &&
tCache.TryGetObject(s as string, out var o))
{
ts.Add(o.Value);
}
}
return(ts);
}
public static object PortfolioIrBenchmarkDelta(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Funding instrument collection name")] string FICName,
[ExcelArgument(Description = "Reporting currency")] string ReportingCcy)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var fic = ContainerStores.GetObjectCache <FundingInstrumentCollection>().GetObjectOrThrow(FICName, $"FIC {FICName} not found in cache");
var ccy = ContainerStores.CurrencyProvider.GetCurrency(ReportingCcy);
var result = model.BenchmarkRisk(fic.Value, ContainerStores.CurrencyProvider, ccy);
return PushCubeToCache(result, ResultObjectName);
}));
}
public static object GetRiskyDiscountFactor(
[ExcelArgument(Description = "Credit curve object name")] string ObjectName,
[ExcelArgument(Description = "Discount curve object name")] string DiscoObjectName,
[ExcelArgument(Description = "Start date")] DateTime StartDate,
[ExcelArgument(Description = "End date")] DateTime EndDate,
[ExcelArgument(Description = "LGD, e.g. 0.45")] double LGD)
{
return(ExcelHelper.Execute(_logger, () =>
{
var disco = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscoObjectName, $"Could not find discount curve {DiscoObjectName}");
return ContainerStores
.GetObjectCache <HazzardCurve>()
.GetObjectOrThrow(ObjectName, $"Could not find curve {ObjectName}")
.Value.RiskyDiscountFactor(StartDate, EndDate, disco.Value, LGD);
}));
}
public static object CreateHazzardCurveFromCDSs(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "CDSs")] object[,] CDSs,
[ExcelArgument(Description = "Recovery Rate")] double RecoveryRate,
[ExcelArgument(Description = "Discount Curve")] string DiscountCurve)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cdsObjects = ExcelHelper.GetAnyFromCache <CDS>(CDSs);
var disco = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Could not find discount curve {DiscountCurve}");
var solver = new NewtonRaphsonCreditCurveSolver();
var hzCurve = solver.Solve(cdsObjects.ToList(), RecoveryRate, disco.Value, OriginDate);
return ExcelHelper.PushToCache(hzCurve, ObjectName);
}));
}
public static object CubeToMatrix(
[ExcelArgument(Description = "Input cube name")] string InputObjectName,
[ExcelArgument(Description = "Field name vertical")] string FieldNameV,
[ExcelArgument(Description = "Field name horizontal")] string FieldNameH,
[ExcelArgument(Description = "Sort fields - true or false")] bool SortFields)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cubeCache = ContainerStores.GetObjectCache <ICube>();
var inCube = cubeCache.GetObjectOrThrow(InputObjectName, $"Could not find cube {InputObjectName}");
var output = inCube.Value.ToMatrix(FieldNameV, FieldNameH, SortFields);
return output.ReturnPrettyExcelRangeVector();
}));
}
public static object GetForwardFxRate(
[ExcelArgument(Description = "Funding model object name")] string ObjectName,
[ExcelArgument(Description = "Settlement date")] DateTime SettleDate,
[ExcelArgument(Description = "Currency pair")] string CcyPair)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <IFundingModel>().TryGetObject(ObjectName, out var model))
{
return $"Funding model with name {ObjectName} not found";
}
var fwd = model.Value.GetFxRate(SettleDate, CcyPair);
return fwd;
}));
}
public static object CreatePriceCurveFromBasisSwaps(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Base curve object")] string BaseCurve,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
[ExcelArgument(Description = "Array of swap objects")] object[] Swaps,
[ExcelArgument(Description = "Discount curve name")] string DiscountCurveName,
[ExcelArgument(Description = "Type of curve, e.g. LME, ICE, NYMEX etc")] object CurveType)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curveTypeStr = CurveType.OptionalExcel <string>("Coal");
if (!Enum.TryParse(curveTypeStr, out PriceCurveType cType))
{
return $"Could not parse price curve type - {curveTypeStr}";
}
var irCache = ContainerStores.GetObjectCache <IIrCurve>();
if (!irCache.TryGetObject(DiscountCurveName, out var irCurveObj))
{
return $"Could not find ir curve with name {DiscountCurveName}";
}
var irCurve = irCurveObj.Value;
var curveCache = ContainerStores.GetObjectCache <IPriceCurve>();
if (!curveCache.TryGetObject(BaseCurve, out var bCurveObj))
{
return $"Could not find ir curve with name {DiscountCurveName}";
}
var baseCurve = bCurveObj.Value;
var swapCache = ContainerStores.GetObjectCache <AsianBasisSwap>();
var swaps = Swaps.Select(s => swapCache.GetObject(s as string)).Select(x => (IAssetInstrument)x.Value);
var pDates = Pillars.ToDateTimeArray();
var fitter = new Models.Calibrators.NewtonRaphsonAssetBasisCurveSolver(ContainerStores.CurrencyProvider);
var cObj = (BasicPriceCurve)fitter.SolveCurve(swaps.ToList(), pDates.ToList(), irCurve, baseCurve, BuildDate, cType);
cObj.Name = AssetId ?? ObjectName;
cObj.AssetId = AssetId ?? ObjectName;
curveCache.PutObject(ObjectName, new SessionItem <IPriceCurve> {
Name = ObjectName, Value = cObj
});
return ObjectName + '¬' + curveCache.GetObject(ObjectName).Version;
}));
}
public static object DisplayFixingDictionary(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Optional - fixing date")] object FixingDate,
[ExcelArgument(Description = "Reverse sort order, False (default) or True")] bool ReverseSort)
{
return(ExcelHelper.Execute(_logger, () =>
{
var dict = ContainerStores.GetObjectCache <IFixingDictionary>().GetObjectOrThrow(ObjectName, $"Fixing dictionary not found with name {ObjectName}");
if (FixingDate is ExcelMissing)
{
var o = new object[dict.Value.Count, 2];
var c = 0;
if (ReverseSort)
{
foreach (var kv in dict.Value.OrderByDescending(x => x.Key))
{
o[c, 0] = kv.Key;
o[c, 1] = kv.Value;
c++;
}
}
else
{
foreach (var kv in dict.Value)
{
o[c, 0] = kv.Key;
o[c, 1] = kv.Value;
c++;
}
}
return o;
}
else
{
var d = FixingDate as double?;
if (!d.HasValue || !dict.Value.TryGetValue(DateTime.FromOADate(d.Value), out var fixing))
{
throw new Exception($"Fixing not found for date {FixingDate}");
}
return fixing;
}
}));
}
public static object GetVolForAbsoluteStrike(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Absolute Strike")] double Strike,
[ExcelArgument(Description = "Expiry")] DateTime Expiry,
[ExcelArgument(Description = "Forward")] double Forward
)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (ContainerStores.GetObjectCache <IVolSurface>().TryGetObject(ObjectName, out var volSurface))
{
return volSurface.Value.GetVolForAbsoluteStrike(Strike, Expiry, Forward);
}
return $"Vol surface {ObjectName} not found in cache";
}));
}
public void ComputeEADFacts()
{
var curve = new PriceCurve(DateTime.MinValue, new[] { DateTime.MinValue }, new[] { 0.0 }, PriceCurveType.Flat, ContainerStores.CurrencyProvider)
{
Currency = ContainerStores.CurrencyProvider.GetCurrency("ZAR")
};
var moqModel = new Mock <IAssetFxModel>();
moqModel.Setup(m => m.GetPriceCurve("fakeAsset", null)).Returns(curve);
moqModel.Setup(m => m.VanillaModel).Returns(moqModel.Object);
moqModel.Setup(m => m.Rebuild(It.IsAny <IAssetFxModel>(), It.IsAny <Portfolio>())).Returns(moqModel.Object);
var cube = new ResultCube();
cube.Initialize(new Dictionary <string, Type>()
{
{ "xxx", typeof(string) }
});
moqModel.Setup(m => m.PV(It.IsAny <Currency>())).Returns(cube);
var swap = new AsianSwap()
{
AssetId = "fakeAsset",
PaymentCurrency = ContainerStores.CurrencyProvider.GetCurrency("ZAR"),
FixingDates = new[] { DateTime.MinValue }
};
var pf = new Portfolio {
Instruments = new List <IInstrument>()
{
swap
}
};
ContainerStores.GetObjectCache <Portfolio>().PutObject("moqPf", new SessionItem <Portfolio>()
{
Name = "moqPf", Value = pf
});
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("moqModel", new SessionItem <IAssetFxModel>()
{
Name = "moqModel", Value = moqModel.Object
});
Assert.Equal("Could not find portfolio or trade with name blash", CapitalFunctions.ComputeEAD("blash", "frah", "ZAR", null));
Assert.Equal("Model frah not found", CapitalFunctions.ComputeEAD("moqPf", "frah", "ZAR", null));
Assert.Equal(0.0, CapitalFunctions.ComputeEAD("moqPf", "moqModel", "ZAR", new object[, ] {
{ "fakeAsset", "woooh" }
}));
}
public static object CreateSTIRFromCode(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Futures Code, e.g. EDZ9")] string FuturesCode,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Price")] double Price,
[ExcelArgument(Description = "Quantity in lots")] double Quantity,
[ExcelArgument(Description = "Convexity adjustment")] double ConvexityAdjustment,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
var expiry = c.GetExpiry();
var accrualStart = expiry.AddPeriod(RollType.F, rIndex.Value.HolidayCalendars, rIndex.Value.FixingOffset);
var accrualEnd = accrualStart.AddPeriod(rIndex.Value.RollConvention, rIndex.Value.HolidayCalendars, rIndex.Value.ResetTenor);
//var dcf = accrualStart.CalculateYearFraction(accrualEnd, rIndex.Value.DayCountBasis);
var product = new STIRFuture
{
Currency = rIndex.Value.Currency,
ContractSize = c.Settings.LotSize,
//DCF = dcf,
ConvexityAdjustment = ConvexityAdjustment,
Expiry = expiry,
ForecastCurve = ForecastCurve,
Index = rIndex.Value,
Position = Quantity,
Price = Price,
SolveCurve = SolveCurve.OptionalExcel(ForecastCurve),
PillarDate = SolvePillarDate.OptionalExcel(accrualEnd),
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public static object GenerateCDFFromInterpolator(
[ExcelArgument(Description = "Output interpolator name")] string ObjectName,
[ExcelArgument(Description = "Input interpolator name")] string VolInterpolator,
[ExcelArgument(Description = "Expiry as year fraction")] double ExpiryYearFraction,
[ExcelArgument(Description = "Forward")] double Forward,
[ExcelArgument(Description = "Number of samples")] int NumberOfSamples)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (ContainerStores.GetObjectCache <IInterpolator1D>().TryGetObject(VolInterpolator, out var smile))
{
var interpolator = smile.Value.GenerateCDF(NumberOfSamples, ExpiryYearFraction, Forward);
return ExcelHelper.PushToCache(interpolator, ObjectName);
}
return $"Interpolator {VolInterpolator} not found in cache";
}));
}
public static object GeneratePDF(
[ExcelArgument(Description = "Output interpolator name")] string ObjectName,
[ExcelArgument(Description = "Volsurface name")] string VolSurface,
[ExcelArgument(Description = "Expiry date")] DateTime ExpiryDate,
[ExcelArgument(Description = "Forward")] double Forward,
[ExcelArgument(Description = "Number of samples")] int NumberOfSamples)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (ContainerStores.GetObjectCache <IVolSurface>().TryGetObject(VolSurface, out var volSurface))
{
var interpolator = volSurface.Value.GeneratePDF(NumberOfSamples, ExpiryDate, Forward);
return ExcelHelper.PushToCache(interpolator, ObjectName);
}
return $"Vol surface {VolSurface} not found in cache";
}));
}
public static object PortfolioPvCcrCapital(
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Expected EAD cube name")] string EADCubeName,
[ExcelArgument(Description = "Credit settings object name")] string CreditSettingsName,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var eadCube = ContainerStores.GetObjectCache <ICube>()
.GetObjectOrThrow(EADCubeName, $"Could not find cube with name {EADCubeName}");
var creditSettings = ContainerStores.GetObjectCache <CreditSettings>()
.GetObjectOrThrow(CreditSettingsName, $"Could not find credit settings with name {CreditSettingsName}");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var result = CapitalCalculator.PVCapital_BII_IMM(OriginDate, eadCube.Value, creditSettings.Value.CreditCurve, creditSettings.Value.BaseDiscountCurve, creditSettings.Value.LGD, portfolio);
return result;
}));
}
public static object CreateOISFutureFromCode(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Futures Code, e.g. EDZ9")] string FuturesCode,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Price")] double Price,
[ExcelArgument(Description = "Quantity in lots")] double Quantity,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
var expiry = c.GetExpiry();
var accrualStart = expiry.FirstDayOfMonth();
var accrualEnd = expiry.LastDayOfMonth();
var dcf = accrualStart.CalculateYearFraction(accrualEnd, rIndex.Value.DayCountBasis);
var product = new OISFuture
{
Currency = rIndex.Value.Currency,
ContractSize = c.Settings.LotSize,
DCF = dcf,
AverageStartDate = accrualStart,
AverageEndDate = accrualEnd,
ForecastCurve = ForecastCurve,
Index = rIndex.Value,
Position = Quantity,
Price = Price,
SolveCurve = SolveCurve.OptionalExcel(rIndex.Name),
PillarDate = SolvePillarDate.OptionalExcel(accrualEnd),
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public static object CreateIRBasisSwap(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Tenor")] string SwapTenor,
[ExcelArgument(Description = "Rate Index Pay")] string RateIndexPay,
[ExcelArgument(Description = "Rate Index Receive")] string RateIndexRec,
[ExcelArgument(Description = "Par Spread Pay")] double ParSpread,
[ExcelArgument(Description = "Spread on Pay leg?")] object ParSpreadOnPay,
[ExcelArgument(Description = "Notional")] double Notional,
[ExcelArgument(Description = "Forecast Curve Pay")] string ForecastCurvePay,
[ExcelArgument(Description = "Forecast Curve Receive")] string ForecastCurveRec,
[ExcelArgument(Description = "Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndexPay, out var rIndexPay))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndexPay);
return $"Rate index {RateIndexPay} not found in cache";
}
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndexRec, out var rIndexRec))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndexRec);
return $"Rate index {RateIndexRec} not found in cache";
}
var spreadOnPay = ParSpreadOnPay.OptionalExcel(true);
var tenor = new Frequency(SwapTenor);
var product = new IrBasisSwap(ValDate, tenor, ParSpread, spreadOnPay, rIndexPay.Value, rIndexRec.Value, ForecastCurvePay, ForecastCurveRec, DiscountCurve)
{
SolveCurve = SolveCurve.OptionalExcel(rIndexPay.Name),
TradeId = ObjectName
};
product.PillarDate = SolvePillarDate.OptionalExcel(product.EndDate);
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public static object SortCube(
[ExcelArgument(Description = "Output cube name")] string OutputObjectName,
[ExcelArgument(Description = "Input cube name")] string InputObjectName,
[ExcelArgument(Description = "Fields to sort on")] object[] SortDetails)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cubeCache = ContainerStores.GetObjectCache <ICube>();
var inCube = cubeCache.GetObjectOrThrow(InputObjectName, $"Could not find cube {InputObjectName}");
var sortDeets = SortDetails.ObjectRangeToVector <string>().ToList();
var outCube = inCube.Value.Sort(sortDeets);
cubeCache.PutObject(OutputObjectName, new SessionItem <ICube> {
Name = OutputObjectName, Value = outCube
});
return OutputObjectName + '¬' + cubeCache.GetObject(OutputObjectName).Version;
}));
}
public static object CreateIRS(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Tenor")] string SwapTenor,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Par Rate")] double ParRate,
[ExcelArgument(Description = "Notional")] double Notional,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "Pay / Receive")] object PayRec,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var payRec = PayRec.OptionalExcel("Pay");
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
if (!Enum.TryParse(payRec, out SwapPayReceiveType pType))
{
return $"Could not parse pay/rec - {payRec}";
}
var tenor = new Frequency(SwapTenor);
var product = new IrSwap(ValDate, tenor, rIndex.Value, ParRate, pType, ForecastCurve, DiscountCurve)
{
TradeId = ObjectName,
SolveCurve = SolveCurve.OptionalExcel(rIndex.Name),
Notional = Notional
};
product.PillarDate = SolvePillarDate.OptionalExcel(product.EndDate);
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public static object AggregateCube(
[ExcelArgument(Description = "Output cube name")] string OutputObjectName,
[ExcelArgument(Description = "Input cube name")] string InputObjectName,
[ExcelArgument(Description = "Field to aggregate by")] object[] AggregationField,
[ExcelArgument(Description = "Aggregation details")] string AggregateAction)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cubeCache = ContainerStores.GetObjectCache <ICube>();
var inCube = cubeCache.GetObjectOrThrow(InputObjectName, $"Could not find cube {InputObjectName}");
var aggDeets = (AggregationAction)Enum.Parse(typeof(AggregationAction), AggregateAction);
var outCube = inCube.Value.Pivot(AggregationField.ObjectRangeToVector <string>(), aggDeets);
cubeCache.PutObject(OutputObjectName, new SessionItem <ICube> {
Name = OutputObjectName, Value = outCube
});
return OutputObjectName + '¬' + cubeCache.GetObject(OutputObjectName).Version;
}));
}