public static ICube Calculate(IAssetFxModel model, Portfolio portfolio, double confidenceInterval, Currency reportingCcy, ICurrencyProvider currencyProvider,
ICalendarProvider calendarProvider, DateTime[] exposureDates = null, DatePeriodType sampleFreq = DatePeriodType.Month, bool correlationCorrection = true)
{
var types = portfolio.Instruments.Select(x => x.GetType()).Distinct();
if (!types.All(t => AllowedTypes.Contains(t)))
{
throw new Exception("Unsupported instrument types detected");
}
var pf = portfolio.UnStripStrips();
var assetIns = pf.Instruments.Select(x => ((IAssetInstrument)x));
//check everything facting in same direction
var pos = assetIns.Select(x => x.IsLongDeltaPosition()).Distinct();
if (pos.Count() > 1)
{
throw new Exception("All trades must have same delta direction");
}
//check everything same asset/currency
var keys = assetIns.Select(x => $"{x.Currency}~{string.Join("-",x.AssetIds)}").Distinct();
if (keys.Count() > 1)
{
throw new Exception("All trades must have same underlying and currency");
}
//flip tail of distribution if we are short
var ci = pos.Single() ? confidenceInterval : 1.0 - confidenceInterval;
if (exposureDates == null)
{
exposureDates = pf.ComputeSimDates(model.BuildDate, sampleFreq);
}
var m = model.TrimModel(portfolio);
var day0Pv = 0.0;
if (exposureDates.Contains(model.BuildDate))
{
day0Pv = Max(0, pf.PV(m, reportingCcy, true).SumOfAllRows);
}
//adjust fx surface for correlation if needed
var pairs = assetIns.Select(x => x.FxPair(model)).Where(x => !string.IsNullOrEmpty(x));
if (correlationCorrection && pairs.Any())
{
var pd = pairs.Distinct();
if (pd.Count() != 1)
{
throw new Exception("Expecting a single Fx pair, if any");
}
var pair = pd.Single();
var assetId = assetIns.SelectMany(x => x.AssetIds).Distinct().Single();
var(fxSurface, assetSurface) = model.ImplySurfaceToCorrelation(assetId, pair, assetIns.First().Currency, currencyProvider);
m.FundingModel.VolSurfaces[pair] = fxSurface;
m.AddVolSurface(assetId, assetSurface);
}
var fxPairsToRoll = assetIns.SelectMany(x => x.AssetIds).Where(x => x.Length == 7 && x.Substring(3, 1) == "/")
.Concat(assetIns.Select(x => x.FxPair(model)))
.Where(x => !string.IsNullOrWhiteSpace(x))
.Distinct().ToList();
var o = new double[exposureDates.Length];
for (var i = 0; i < exposureDates.Length; i++)
{
var mm = m.RollModelPfe(exposureDates[i], ci, currencyProvider, calendarProvider, fxPairsToRoll);
o[i] = exposureDates[i] == model.BuildDate ? day0Pv : Max(0, pf.PV(mm, reportingCcy, true).SumOfAllRows);
}
return(PackToCube(exposureDates, o, "PFE"));
}
