public void LessComplexCurve()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _jhb, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _jhb, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var FIC = new FundingInstrumentCollection();
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m });
var S = new NewtonRaphsonMultiCurveSolverStagedWithAnalyticJacobian();
//var S = new NewtonRaphsonMultiCurveSolverStaged();
S.Solve(engine, FIC);
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
}
private DateTime GetNextResetDate(DateTime currentReset, bool fwdDirection)
{
if (RollDay == "IMM")
{
return(fwdDirection ? currentReset.GetNextImmDate() : currentReset.GetPrevImmDate());
}
if (RollDay == "EOM")
{
if (fwdDirection)
{
var d1 = currentReset.AddPeriod(ResetRollType, ResetCalendar, ResetFrequency);
return(d1.LastDayOfMonth().AddPeriod(RollType.P, ResetCalendar, 0.Bd()));
}
else
{
var d1 = currentReset.SubtractPeriod(ResetRollType, ResetCalendar, ResetFrequency);
return(d1.LastDayOfMonth().AddPeriod(RollType.P, ResetCalendar, 0.Bd()));
}
}
if (int.TryParse(RollDay, out var rollOut))
{
if (fwdDirection)
{
var d1 = currentReset.AddPeriod(ResetRollType, ResetCalendar, ResetFrequency);
return(new DateTime(d1.Year, d1.Month, rollOut).AddPeriod(ResetRollType, ResetCalendar, 0.Bd()));
}
else
{
var d1 = currentReset.SubtractPeriod(ResetRollType, ResetCalendar, ResetFrequency);
return(new DateTime(d1.Year, d1.Month, rollOut).AddPeriod(ResetRollType, ResetCalendar, 0.Bd()));
}
}
return(fwdDirection ? currentReset.AddPeriod(ResetRollType, ResetCalendar, ResetFrequency) : currentReset.SubtractPeriod(ResetRollType, ResetCalendar, ResetFrequency));
}
public void BasicSelfDiscounting()
{
var startDate = new DateTime(2016, 05, 20);
var swapTenor2 = new Frequency("2y");
var jhb = TestProviderHelper.CalendarProvider.Collection["JHB"];
var pillarDate = startDate.AddPeriod(RollType.MF, jhb, 1.Years());
var pillarDate2 = startDate.AddPeriod(RollType.MF, jhb, swapTenor2);
var pillarDateDepo = startDate.AddPeriod(RollType.MF, jhb, 3.Months());
var ccyZar = TestProviderHelper.CurrencyProvider["JHB"];
var zar3m = new FloatRateIndex()
{
Currency = ccyZar,
DayCountBasis = DayCountBasis.Act_365F,
DayCountBasisFixed = DayCountBasis.Act_365F,
ResetTenor = 3.Months(),
FixingOffset = 0.Bd(),
HolidayCalendars = jhb,
RollConvention = RollType.MF
};
var swap = new IrSwap(startDate, 1.Years(), zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var swap2 = new IrSwap(startDate, swapTenor2, zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var depo = new IrSwap(startDate, 3.Months(), zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider)
{
swap,
swap2,
depo
};
var curve = new IrCurve(new [] { pillarDateDepo, pillarDate, pillarDate2 }, new double[3], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar);
var model = new FundingModel(startDate, new[] { curve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var s = new Calibrators.NewtonRaphsonMultiCurveSolver();
if (IsCoverageOnly)
{
s.Tollerance = 1;
}
s.Solve(model, fic);
var resultSwap1 = swap.Pv(model, false);
var resultSwap2 = swap2.Pv(model, false);
var resultDepo = depo.Pv(model, false);
if (!IsCoverageOnly)
{
Assert.Equal(0, resultSwap1, 6);
Assert.Equal(0, resultSwap2, 6);
Assert.Equal(0, resultDepo, 6);
}
}
public ForwardRateAgreement(DateTime valDate, string fraCode, double parRate, FloatRateIndex rateIndex, SwapPayReceiveType payRec, FraDiscountingType fraType, string forecastCurve, string discountCurve)
{
var code = fraCode.ToUpper().Split('X');
StartDate = valDate.AddPeriod(rateIndex.RollConvention, rateIndex.HolidayCalendars, new Frequency(code[0] + "M"));
ResetDate = StartDate.AddPeriod(RollType.P, rateIndex.HolidayCalendars, rateIndex.FixingOffset);
EndDate = new TenorDateRelative(rateIndex.ResetTenor);
ParRate = parRate;
Basis = rateIndex.DayCountBasis;
PayRec = payRec;
FraLeg = new GenericSwapLeg(StartDate, EndDate.Date(StartDate, rateIndex.RollConvention, rateIndex.HolidayCalendars), rateIndex.HolidayCalendars, rateIndex.Currency, rateIndex.ResetTenor, Basis)
{
FixedRateOrMargin = (decimal)ParRate
};
FlowScheduleFra = FraLeg.GenerateSchedule();
FraLeg.FixedRateOrMargin = (decimal)ParRate;
FraLeg.LegType = SwapLegType.Fra;
FlowScheduleFra.Flows[0].SettleDate = StartDate;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
FraType = fraType;
}
public MunicipalityTax Create(string name, DateTime date, Period period, decimal tax)
{
var municipality = _municipalitiesRepository.GetAllItems().FirstOrDefault(a => a.Name == name);
if (municipality == default(Municipality))
{
municipality = new Municipality
{
Name = name
};
}
var municipalityTax = new MunicipalityTax
{
TaxPeriod = new TaxPeriod
{
DateFrom = date.Date,
DateTo = date.AddPeriod(period),
Period = period
},
Municipality = municipality,
Tax = tax
};
return(_taxesRepository.AddOrUpdate(municipalityTax));
}
public static AsianOption CreateAsianOption(DateTime start, DateTime end, double strike, string assetId, OptionType putCall, Calendar fixingCalendar, Calendar payCalendar, Frequency payOffset, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var fixingDates = start == end ? new List <DateTime> {
start
} :
fixingDateType == DateGenerationType.BusinessDays ?
start.BusinessDaysInPeriod(end, fixingCalendar) :
start.FridaysInPeriod(end, fixingCalendar);
return(new AsianOption
{
AssetId = assetId,
AverageStartDate = start,
AverageEndDate = end,
FixingCalendar = fixingCalendar,
Strike = strike,
FixingDates = fixingDates.ToArray(),
SpotLag = spotLag,
CallPut = putCall,
PaymentCalendar = payCalendar,
PaymentLag = payOffset,
PaymentDate = end.AddPeriod(RollType.F, fixingCalendar, payOffset),
PaymentCurrency = currency,
Direction = tradeDirection,
Notional = notional,
FxConversionType = currency.Ccy == "USD" ? FxConversionType.None : FxConversionType.AverageThenConvert
});
}
/// <summary>
/// Returns spot date for a given val date
/// e.g. for USD/ZAR, calendar would be for ZAR and otherCal would be for USD
/// </summary>
/// <param name="valDate"></param>
/// <param name="spotLag"></param>
/// <param name="calendar"></param>
/// <param name="otherCal"></param>
/// <returns></returns>
public static DateTime SpotDate(this FxPair fxPair, DateTime valDate)
{
var d = valDate.AddPeriod(RollType.F, fxPair.PrimaryCalendar, fxPair.SpotLag);
d = d.IfHolidayRollForward(fxPair.SecondaryCalendar);
return(d);
}
/// <summary>
/// Returns spot date for a given val date
/// e.g. for USD/ZAR, calendar would be for ZAR and otherCal would be for USD
/// </summary>
/// <param name="valDate"></param>
/// <param name="spotLag"></param>
/// <param name="calendar"></param>
/// <param name="otherCal"></param>
/// <returns></returns>
public static DateTime SpotDate(this DateTime valDate, Frequency spotLag, Calendar calendar, Calendar otherCal)
{
var d = valDate.AddPeriod(RollType.F, calendar, spotLag);
d = d.IfHolidayRollForward(otherCal);
return(d);
}
private void FeedPrevious(DateTime dateTime)
{
DateTime previous = dateTime.AddPeriod(Period, PeriodCount, -1);
if (_begin >= dateTime)
{
return;
}
if (_list.ContainsKey(previous))
{
return;
}
while (!_list.ContainsKey(previous))
{
previous = previous.AddPeriod(Period, PeriodCount, -1);
}
Candle lastCandle = _list[previous];
foreach (DateTime date in previous.GetPeriods(dateTime, Period, PeriodCount))
{
if (!_list.ContainsKey(date))
{
_list[date] = Candle.CreateZeroCandle(lastCandle, date);
}
}
}
/// <summary>
/// Calculates the next payment date for this instance.
/// </summary>
/// <param name="fromDate"></param>
/// <returns>The next date for payment or null if there are no more payments</returns>
public DateTime?NextDue(DateTime fromDate)
{
// Have payments started?
if (fromDate < this.StartDate)
{
return(this.StartDate);
}
// Have payments finished?
if (fromDate > this.EndDate)
{
return(null);
}
// Initialise to last payment
DateTime payDate = (DateTime)this.LastDue(fromDate);
// Calculate next date after fromDate
payDate = payDate.AddPeriod(this.Frequency, this.Period);
if (payDate > this.EndDate)
{
return(this.EndDate);
}
else
{
return(payDate);
}
}
private void AddedCandle(object sender, Candle addedCandle)
{
DateTime eventTime = addedCandle.DateTime;
DateTime startTime = eventTime.AddPeriod(_collection.Period, _collection.PeriodCount, -_periodCount);
var candles = _collection.GetCandles(startTime, eventTime);
if (candles.Count() < _periodCount)
{
return;
}
Candle startCandle = candles.First();
decimal longPip = candles.Max(c => c.Close) - startCandle.Open;
decimal shortPip = startCandle.Open - candles.Min(c => c.Close);
longPip = longPip < 0 ? 0 : longPip * 10000;
shortPip = shortPip < 0 ? 0 : shortPip * 10000;
_futurPip[startTime] = new PipWin()
{
Short = shortPip,
Long = longPip
};
}
public IrSwap(DateTime startDate, Frequency swapTenor, FloatRateIndex rateIndex, double parRate,
SwapPayReceiveType swapType, string forecastCurve, string discountCurve)
{
SwapTenor = swapTenor;
ResetFrequency = rateIndex.ResetTenor;
StartDate = startDate;
EndDate = StartDate.AddPeriod(rateIndex.RollConvention, rateIndex.HolidayCalendars, SwapTenor);
ParRate = parRate;
BasisFloat = rateIndex.DayCountBasis;
BasisFixed = rateIndex.DayCountBasisFixed;
SwapType = swapType;
FixedLeg = new GenericSwapLeg(StartDate, swapTenor, rateIndex.HolidayCalendars, rateIndex.Currency,
ResetFrequency, BasisFixed)
{
FixedRateOrMargin = (decimal)parRate,
LegType = SwapLegType.Fixed,
Nominal = 1e6M * (swapType == SwapPayReceiveType.Payer ? -1.0M : 1.0M)
};
FloatLeg = new GenericSwapLeg(StartDate, swapTenor, rateIndex.HolidayCalendars, rateIndex.Currency,
ResetFrequency, BasisFloat)
{
FixedRateOrMargin = 0.0M,
LegType = SwapLegType.Float,
Nominal = 1e6M * (swapType == SwapPayReceiveType.Payer ? 1.0M : -1.0M)
};
FlowScheduleFixed = FixedLeg.GenerateSchedule();
FlowScheduleFloat = FloatLeg.GenerateSchedule();
ResetDates = FlowScheduleFloat.Flows.Select(x => x.FixingDateStart).ToArray();
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
}
public void LME3mRule()
{
var calendar = new Calendar();
calendar.DaysToAlwaysExclude.Add(DayOfWeek.Saturday);
calendar.DaysToAlwaysExclude.Add(DayOfWeek.Sunday);
var date = new DateTime(2017, 01, 30);
var lme3mDate = date.AddPeriod(RollType.LME, calendar, new Frequency("3m"));
Assert.Equal(new DateTime(2017, 04, 28), lme3mDate);
//easter 2017
calendar.DaysToExclude.Add(new DateTime(2017, 04, 14));
calendar.DaysToExclude.Add(new DateTime(2017, 04, 17));
date = new DateTime(2017, 01, 14);
lme3mDate = date.AddPeriod(RollType.LME, calendar, new Frequency("3m"));
Assert.Equal(new DateTime(2017, 04, 13), lme3mDate);
date = new DateTime(2017, 01, 15);
lme3mDate = date.AddPeriod(RollType.LME, calendar, new Frequency("3m"));
Assert.Equal(new DateTime(2017, 04, 13), lme3mDate);
date = new DateTime(2017, 01, 16);
lme3mDate = date.AddPeriod(RollType.LME, calendar, new Frequency("3m"));
Assert.Equal(new DateTime(2017, 04, 18), lme3mDate);
}
public ForwardRateAgreement(DateTime startDate, double parRate, FloatRateIndex rateIndex, SwapPayReceiveType payRec, FraDiscountingType fraType, string forecastCurve, string discountCurve)
{
StartDate = startDate;
ResetDate = StartDate.AddPeriod(RollType.P, rateIndex.HolidayCalendars, rateIndex.FixingOffset);
EndDate = new TenorDateRelative(rateIndex.ResetTenor);
RateIndex = rateIndex;
ParRate = parRate;
Basis = rateIndex.DayCountBasis;
PayRec = payRec;
FraLeg = new GenericSwapLeg(StartDate, EndDate.Date(StartDate, rateIndex.RollConvention, rateIndex.HolidayCalendars), rateIndex.HolidayCalendars, rateIndex.Currency, rateIndex.ResetTenor, Basis)
{
FixedRateOrMargin = (decimal)ParRate
};
FlowScheduleFra = FraLeg.GenerateSchedule();
FraLeg.FixedRateOrMargin = (decimal)ParRate;
FraLeg.LegType = SwapLegType.Fra;
FlowScheduleFra.Flows[0].SettleDate = StartDate;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
FraType = fraType;
PillarDate = FlowScheduleFra.Flows[0].AccrualPeriodEnd;
}
public static double CalculateAnnuity(
DateTime repaymentPeriodStartDate,
DateTime firstInstallmentDate,
int numberOfInstallments,
int installmentFrequencyPeriod,
SimpleUnitOfTime installmentFrequencyUnitOfTime,
double ratePercentage,
SimpleUnitOfTime rateUnitOfTime,
bool isCompound,
CalendarBasisKind calendarBasis,
double principalAmount,
bool adjustFirstInstallment = false)
{
DateTime d2 = firstInstallmentDate.AddPeriod(installmentFrequencyPeriod * (numberOfInstallments - 1), installmentFrequencyUnitOfTime);
double dummyAnnuity = 100;
double outstanding = 0;
double basis = 0;
double interest = 0;
DateTime d1;
while (d2 > firstInstallmentDate)
{
d1 = d2.AddPeriod(-installmentFrequencyPeriod, installmentFrequencyUnitOfTime);
basis = outstanding + dummyAnnuity;
interest = InterestCalculation.CalculateInterest(d2, d1, d1, ratePercentage, rateUnitOfTime.CharLiteral(), isCompound, calendarBasis, basis).Sum(it => it.Interest);
outstanding = basis + interest;
d2 = d1;
}
d1 = repaymentPeriodStartDate;
if (adjustFirstInstallment)
{
var prevDate = firstInstallmentDate.AddPeriod(-installmentFrequencyPeriod, installmentFrequencyUnitOfTime);
if (prevDate < repaymentPeriodStartDate)
{
d1 = prevDate;
}
}
basis = outstanding + dummyAnnuity;
interest = InterestCalculation.CalculateInterest(d2, d1, d1, ratePercentage, rateUnitOfTime.CharLiteral(), isCompound, calendarBasis, basis).Sum(it => it.Interest);
outstanding = basis + interest;
return(principalAmount / outstanding * dummyAnnuity);
}
public FXUnderlying(Frequency spotLag, Calendar holidays, DateTime originDate, double spot, ICurve domesticCurve, ICurve foreignCurve)
{
SpotLag = spotLag;
Spot = spot;
DomesticCurve = domesticCurve;
ForeignCurve = foreignCurve;
Holidays = holidays;
OriginDate = originDate;
SpotDate = OriginDate.AddPeriod(RollType.F, Holidays, SpotLag);
}
public static Dictionary <DateTime, double> Downsample(Dictionary <DateTime, double> curvePoints, DateTime valDate, Calendar calendar)
{
var tenors = new[] { "1b", "1w", "2w", "3w", "1m", "2m", "3m", "4m", "5m", "6m", "9m", "12m", "15m", "18m", "24m", "30m", "36m", "42m", "48m", "54m", "60m" };
var dates = tenors.Select(t => valDate.AddPeriod(t.EndsWith("m") ? RollType.MF : RollType.F, calendar, new Frequency(t)));
var p = curvePoints.Keys.OrderBy(x => x).ToList();
var ixs = dates.Select(d => p.BinarySearch(d)).Select(x => x < 0 ? ~x : x).Where(x => x < p.Count()).Distinct().ToArray();
var smaller = ixs.ToDictionary(x => p[x], x => curvePoints[p[x]]);
return(smaller);
}
public double GetVolForStrikeAndDate(string name, DateTime expiry, double strike)
{
var surface = GetVolSurface(name);
var curve = GetPriceCurve(name);
var fwd = surface.OverrideSpotLag == null?
curve.GetPriceForFixingDate(expiry) :
curve.GetPriceForDate(expiry.AddPeriod(RollType.F, curve.SpotCalendar, surface.OverrideSpotLag));
var vol = surface.GetVolForAbsoluteStrike(strike, expiry, fwd);
return(vol);
}
public XccyBasisSwap(DateTime startDate, Frequency swapTenor, double parSpread, bool spreadOnPayLeg, FloatRateIndex payIndex, FloatRateIndex recIndex, ExchangeType notionalExchange, MTMSwapType mtmSwapType, string forecastCurvePay, string forecastCurveRec, string discountCurvePay, string discountCurveRec)
{
SwapTenor = swapTenor;
NotionalExchange = notionalExchange;
MtmSwapType = mtmSwapType;
RateIndexPay = payIndex;
RateIndexRec = recIndex;
ResetFrequencyRec = recIndex.ResetTenor;
ResetFrequencyPay = payIndex.ResetTenor;
StartDate = startDate;
EndDate = StartDate.AddPeriod(payIndex.RollConvention, payIndex.HolidayCalendars, SwapTenor);
ParSpreadPay = spreadOnPayLeg ? parSpread : 0.0;
ParSpreadRec = spreadOnPayLeg ? 0.0 : parSpread;
BasisPay = payIndex.DayCountBasis;
BasisRec = recIndex.DayCountBasis;
CcyPay = payIndex.Currency;
CcyRec = recIndex.Currency;
PayLeg = new GenericSwapLeg(StartDate, swapTenor, payIndex.HolidayCalendars, payIndex.Currency, ResetFrequencyPay, BasisPay)
{
FixedRateOrMargin = (decimal)ParSpreadPay,
NotionalExchange = NotionalExchange,
Direction = SwapPayReceiveType.Payer,
LegType = SwapLegType.Float
};
RecLeg = new GenericSwapLeg(StartDate, swapTenor, recIndex.HolidayCalendars, recIndex.Currency, ResetFrequencyRec, BasisRec)
{
FixedRateOrMargin = (decimal)ParSpreadRec,
NotionalExchange = NotionalExchange
};
PayLeg.Direction = SwapPayReceiveType.Receiver;
RecLeg.LegType = SwapLegType.Float;
FlowSchedulePay = PayLeg.GenerateSchedule();
FlowScheduleRec = RecLeg.GenerateSchedule();
ResetDates = FlowSchedulePay.Flows.Select(x => x.FixingDateStart)
.Union(FlowScheduleRec.Flows.Select(y => y.FixingDateStart))
.Distinct()
.OrderBy(x => x)
.ToArray();
ForecastCurvePay = forecastCurvePay;
ForecastCurveRec = forecastCurveRec;
DiscountCurvePay = discountCurvePay;
DiscountCurveRec = discountCurveRec;
}
public void TSMC_PathsGenerated()
{
var origin = new DateTime(2019, 06, 28);
var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 17));
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = true
});
var tenorsStr = new[] { "1m", "2m", "3m", "6m", "9m", "1y" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { 0.1, 0.25, 0.5, 0.75, 0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
StrikeType.ForwardDelta, Interpolator1DType.GaussianKernel,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t); });
var asset = new TurboSkewSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: 1,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddYears(1));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddYears(1));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackVol = volSurface.GetVolForAbsoluteStrike(900, origin.AddYears(1), fwdCurve(1.0));
var blackPv = BlackFunctions.BlackPV(1000, 900, 0, 1, blackVol, OptionType.P);
if (!IsCoverageOnly)
{
Assert.Equal(blackPv, pv, 0);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(1) / fwd - 1.0) < 0.002);
}
}
public static object GetLME3mDate(
[ExcelArgument(Description = "Value date")] DateTime ValueDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
ContainerStores.
SessionContainer.
GetService <ICalendarProvider>().
Collection.
TryGetCalendar("LON+NYC", out var cal);
return ValueDate.AddPeriod(RollType.LME_Nearest, cal, new Frequency(3, DatePeriodType.M));
}));
}
public IrBasisSwap(DateTime startDate, Frequency swapTenor, double parSpread, bool spreadOnPayLeg, FloatRateIndex payIndex, FloatRateIndex recIndex, string forecastCurvePay, string forecastCurveRec, string discountCurve, decimal?notional = null) : base()
{
SwapTenor = swapTenor;
ResetFrequencyRec = recIndex.ResetTenor;
ResetFrequencyPay = payIndex.ResetTenor;
PayIndex = payIndex;
RecIndex = recIndex;
StartDate = startDate;
EndDate = StartDate.AddPeriod(payIndex.RollConvention, payIndex.HolidayCalendars, SwapTenor);
ParSpreadPay = spreadOnPayLeg ? parSpread : 0.0;
ParSpreadRec = spreadOnPayLeg ? 0.0 : parSpread;
BasisPay = payIndex.DayCountBasis;
BasisRec = recIndex.DayCountBasis;
Notional = (double)(notional ?? 1e6M);
PayLeg = new GenericSwapLeg(StartDate, swapTenor, payIndex.HolidayCalendars, payIndex.Currency, ResetFrequencyPay, BasisPay)
{
FixedRateOrMargin = (decimal)ParSpreadPay,
LegType = SwapLegType.Float,
Nominal = -(notional ?? 1e6M),
AccrualDCB = payIndex.DayCountBasis
};
RecLeg = new GenericSwapLeg(StartDate, swapTenor, recIndex.HolidayCalendars, recIndex.Currency, ResetFrequencyRec, BasisRec)
{
FixedRateOrMargin = (decimal)ParSpreadRec,
LegType = SwapLegType.Float,
Nominal = notional ?? 1e6M,
AccrualDCB = recIndex.DayCountBasis
};
FlowSchedulePay = PayLeg.GenerateSchedule();
FlowScheduleRec = RecLeg.GenerateSchedule();
ResetDates = FlowSchedulePay.Flows.Select(x => x.FixingDateStart)
.Union(FlowScheduleRec.Flows.Select(y => y.FixingDateStart))
.Distinct()
.OrderBy(x => x)
.ToArray();
ForecastCurvePay = forecastCurvePay;
ForecastCurveRec = forecastCurveRec;
DiscountCurve = discountCurve;
}
public void Finish(IFeatureCollection collection)
{
var dims = collection.GetFeature <IPathMappingFeature>();
_assetIndex = dims.GetDimension(_assetName);
if (!string.IsNullOrEmpty(_fxName))
{
_fxIndex = dims.GetDimension(_fxName);
}
var dates = collection.GetFeature <ITimeStepsFeature>();
_dateIndexes = _avgDates
.Select(x => x.Select(y => dates.GetDateIndex(y)).ToArray())
.ToList();
_dateIndexesPast = _avgDates
.Select(y => y
.Where(x => x <= _decisionDate)
.Select(x => dates.GetDateIndex(x))
.ToArray())
.ToList();
_dateIndexesFuture = _avgDates
.Select(y => y
.Where(x => x > _decisionDate)
.Select(x => dates.GetDateIndex(x))
.ToArray())
.ToList();
_decisionDateIx = dates.GetDateIndex(_decisionDate);
_nPast = _dateIndexesPast.Select(x => x.Length).ToArray();
_nFuture = _dateIndexesFuture.Select(x => x.Length).ToArray();
_nTotal = _nPast.Select((x, ix) => x + _nFuture[ix]).ToArray();
var engine = collection.GetFeature <IEngineFeature>();
_results = new Vector <double> [engine.NumberOfPaths / Vector <double> .Count];
if (VanillaModel != null)
{
var curve = VanillaModel.GetPriceCurve(_assetName);
var decisionSpotDate = _decisionDate.AddPeriod(RollType.F, curve.SpotCalendar, curve.SpotLag);
_expiryToSettleCarry = curve.GetPriceForDate(_payDate) / curve.GetPriceForDate(decisionSpotDate);
}
_isComplete = true;
}
internal void InitializeEvaluation(ITransformer transformer)
{
_evaluation = new Dictionary <DateTime, float>();
DateTime from = _featurables.Min(c => c.Begin);
//to = _featurables.Max(c => c.End);
Period period = Period.S;
int periodCount = 5;
List <Dictionary <string, float> > features = new List <Dictionary <string, float> >();
for (DateTime date = from; date < DateTime.Now; date = date.AddPeriod(period, periodCount))
{
if (_featurables.All(c => c.HasFeatures(date)))
{
Dictionary <string, float> feature = new Dictionary <string, float>();
var featuresDictionnary = GetFeatures(date);
if (featuresDictionnary == null)
{
continue;
}
foreach (var item in featuresDictionnary)
{
feature.Add(item.Key, item.Value);
}
feature["Label"] = 0;
features.Add(feature);
_evaluation[date] = 0;
}
}
IDataView data = new FloatsDataView(features);
IDataView result = transformer.Transform(data);
float[] scoreColumn = result.GetColumn <float>("Score").ToArray();
int iterator = 0;
for (DateTime date = from; date < DateTime.Now; date = date.AddPeriod(period, periodCount))
{
if (_evaluation.ContainsKey(date))
{
_evaluation[date] = scoreColumn[iterator++];
}
}
}
public static object NextLMECurveDate(
[ExcelArgument(Description = "Previous date")] DateTime PrevDate,
[ExcelArgument(Description = "3m date")] DateTime ThreeMonthDate,
[ExcelArgument(Description = "Whether all daily expiries are required")] bool DailyExpiries)
{
return(ExcelHelper.Execute(_logger, () =>
{
ContainerStores.
SessionContainer.
GetService <ICalendarProvider>().
Collection.
TryGetCalendar("LON+NYC", out var cal);
if (DailyExpiries)
{
if (PrevDate < ThreeMonthDate)
{
return PrevDate.AddPeriod(RollType.F, cal, new Frequency(1, DatePeriodType.B));
}
if (PrevDate < ThreeMonthDate.AddMonths(3))
{
return PrevDate.GetNextWeekday(DayOfWeek.Wednesday).IfHolidayRollForward(cal);
}
if (PrevDate < PrevDate.ThirdWednesday())
{
return PrevDate.ThirdWednesday();
}
return PrevDate.AddMonths(1).ThirdWednesday();
}
else
{
var next3w = (PrevDate < PrevDate.ThirdWednesday()) ?
PrevDate.ThirdWednesday() :
PrevDate.AddMonths(1).ThirdWednesday();
if (PrevDate < ThreeMonthDate && next3w > ThreeMonthDate)
{
return ThreeMonthDate;
}
return next3w;
}
}));
}
public static object QDates_AddPeriod(
[ExcelArgument(Description = "Starting date")] DateTime StartDate,
[ExcelArgument(Description = "Period specified as a string e.g. 1w")] string Period,
[ExcelArgument(Description = "Roll method")] string RollMethod,
[ExcelArgument(Description = "Calendar(s) to check against")] string Calendar)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ValidateCalendarAndRoll(RollMethod, Calendar, out var rollMethod, out var cal, out var errorMessage))
{
return errorMessage;
}
if (!Frequency.TryParse(Period, out var period))
{
return $"Could not parse period {Period}";
}
return StartDate.AddPeriod(rollMethod, cal, period);
}));
public DateTime GetExpiry()
{
var baseYear = (int)Math.Floor(YearBeforeWhich2DigitDatesAreUsed / 10.0) * 10;
var monthNum = s_futureMonths.ToList().IndexOf(MonthCode) + 1;
var dayOfMonthToStart = _settings.ExpiryGen.DayOfMonthToStart;
if (_settings.ExpiryGen.DayOfMonthToStart == 0 && !string.IsNullOrWhiteSpace(_settings.ExpiryGen.DayOfMonthToStartOther))
{
switch (_settings.ExpiryGen.DayOfMonthToStartOther)
{
case "WED3":
var dateInMonth = new DateTime(YearNumber, monthNum, 1);
dayOfMonthToStart = dateInMonth.NthSpecificWeekDay(DayOfWeek.Wednesday, 3).Day;
break;
case "LASTFRI":
var dateInMonth1 = new DateTime(YearNumber, monthNum, 1);
dayOfMonthToStart = dateInMonth1.NthLastSpecificWeekDay(DayOfWeek.Friday, 1)
.IfHolidayRollBack(_settings.RollGen.CalendarObject)
.Day;
break;
default:
throw new Exception($"Dont know how to handle date code {_settings.ExpiryGen.DayOfMonthToStartOther}");
}
}
var d = new DateTime(YearNumber, monthNum, dayOfMonthToStart);
d = d.AddMonths(_settings.ExpiryGen.MonthModifier);
var parts = _settings.ExpiryGen.DateOffsetModifier.Split(';');
foreach (var part in parts)
{
d = d.AddPeriod(RollType.P, _settings.ExpiryGen.CalendarObject, new Frequency(part));
}
return(d);
}
public static object QDates_AddPeriod(
[ExcelArgument(Description = "Starting date")] DateTime StartDate,
[ExcelArgument(Description = "Period specified as a string e.g. 1w")] string Period,
[ExcelArgument(Description = "Roll method")] string RollMethod,
[ExcelArgument(Description = "Calendar(s) to check against")] string Calendar)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(Calendar, out Calendar cal))
{
return $"Calendar {Calendar} not found in cache";
}
if (!Enum.TryParse(RollMethod, out RollType rollMethod))
{
return $"Unknown roll method {RollMethod}";
}
Frequency period = new Frequency(Period);
return StartDate.AddPeriod(rollMethod, cal, period);
}));
}
public static object QDates_AddPeriod(
[ExcelArgument(Description = "Starting date")] DateTime StartDate,
[ExcelArgument(Description = "Period specified as a string e.g. 1w")] string Period,
[ExcelArgument(Description = "Roll method, default following")] object RollMethod,
[ExcelArgument(Description = "Calendar(s) to check against, default Weekends")] object Calendar)
{
return(ExcelHelper.Execute(_logger, () =>
{
var _rollMethod = RollMethod.OptionalExcel("F");
var _calendar = Calendar.OptionalExcel("Weekends");
if (!ValidateCalendarAndRoll(_rollMethod, _calendar, out var rollMethod, out var cal, out var errorMessage))
{
return errorMessage;
}
if (!Frequency.TryParse(Period, out var period))
{
return $"Could not parse period {Period}";
}
return StartDate.AddPeriod(rollMethod, cal, period);
}));
protected override void ReceiveCandles(Candle[] candles, DateTime dateTime)
{
int beginIdx = 0;
int count = candles.Length;
double[] k = new double[candles.Length];
double[] d = new double[candles.Length];
Core.Stoch(0, candles.Length - 1,
candles.Select(c => (float)c.High).ToArray(),
candles.Select(c => (float)c.Low).ToArray(),
candles.Select(c => (float)c.Close).ToArray(),
5, 3, Core.MAType.Sma, 3, Core.MAType.Sma, out beginIdx, out count, k, d);
_statistics[dateTime] = new Stochastic()
{
K = k[0],
D = d[0]
};
if (_statistics.Count() >= candles.Length)
{
for (int i = 0; i < candles.Length; i++)
{
dateTime = dateTime.AddPeriod(Period, PeriodCount, -1);
if (!_statistics.ContainsKey(dateTime))
{
_statistics[dateTime] = new Stochastic()
{
K = k[i],
D = d[i]
};
}
}
}
}
