/// <summary> /// Calculates the specified model data. /// </summary> /// <param name="valuationDate">The valuation date.</param> /// <param name="discountCurve">The discount curve.</param> /// <param name="forecastCurve">The forward curve.</param> /// <param name="volCurve">The volatility surface. /// and discount curves when called with ForecastRateCurve.</param> /// <param name="curveToPerturb">The curve to perturb: the discount curve, the forecast curve or both.</param> /// <returns></returns> public IDictionary <string, double> CalculateRatePDH(DateTime valuationDate, IRateCurve discountCurve, IRateCurve forecastCurve, IVolatilitySurface volCurve, CurvePerturbation curveToPerturb) { var result = new Dictionary <string, double>(); AnalyticResults = new RateOptionAssetResults(); switch (ModelIdentifier) { case "CapAsset": AnalyticsModel = new RateOptionAssetAnalytic(); break; case "DiscountCapAsset": AnalyticsModel = new RateOptionAssetAnalytic(); break; } ForecastCurveName = forecastCurve.GetPricingStructureId().UniqueIdentifier; DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier; VolatilityCurveName = volCurve.GetPricingStructureId().UniqueIdentifier; var analyticModelParameters = new RateOptionAssetParameters { IsPut = !IsCap, Notionals = Notionals }; //and the rest rates if (ResetRates != null) { analyticModelParameters.ForwardRates = ResetRates; } //2. Get the discount factors analyticModelParameters.ForecastDiscountFactors = GetDiscountFactors(forecastCurve, AdjustedPeriodDates.ToArray(), valuationDate); analyticModelParameters.PaymentDiscountFactors = GetDiscountFactors(discountCurve, AdjustedPeriodDates.ToArray(), valuationDate); //3. Get the respective year fractions analyticModelParameters.YearFractions = YearFractions; //4. set the expiry times. TimesToExpiry = GetTimesToExpiry(ExpiryDates, valuationDate); analyticModelParameters.TimesToExpiry = TimesToExpiry; //5. Get the vols analyticModelParameters.Volatilities = GetVolatilties(volCurve, TimesToExpiry, Strikes); //8. Get the Strikes analyticModelParameters.Strikes = Strikes; //9. Set the analytic input parameters and Calculate the respective metrics var analyticResults = AnalyticsModel.Calculate <IRateOptionAssetResults, RateOptionAssetResults>(analyticModelParameters, new[] { RateOptionMetrics.NPV }); AnalyticResults = analyticResults; var baseNPV = SumDoubleList(AnalyticResults.NPV, 0); //Now loop through the risk curves. if (curveToPerturb == CurvePerturbation.DiscountCurve) { var riskCurves = discountCurve.CreateCurveRiskSet(1); foreach (var curve in riskCurves) { var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset"); analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters); result.Add("DiscountCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0)); } } if (curveToPerturb == CurvePerturbation.ForecastCurve) { var riskCurves = forecastCurve.CreateCurveRiskSet(1); foreach (var curve in riskCurves) { var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset"); analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters); result.Add("ForecastCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0)); } } if (curveToPerturb == CurvePerturbation.Both) { var riskCurves1 = discountCurve.CreateCurveRiskSet(1); foreach (var curve in riskCurves1) { var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset"); analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters); result.Add("DiscountCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0)); } var riskCurves2 = forecastCurve.CreateCurveRiskSet(1); foreach (var curve in riskCurves2) { var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset"); analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters); result.Add("ForecastCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0)); } } return(result); }
/// <summary> /// Calculates the specified metric for the fast bootstrapper. /// </summary> /// <param name="discountCurve">The discount curve.</param> /// <param name="forecastCurve">The forecast curve</param> /// <param name="curveToPerturb">The curve to perturb: the discount curve, the forecast curve or both.</param> /// <returns></returns> public IDictionary <string, Decimal> CalculatePDH(CurveBase discountCurve, CurveBase forecastCurve, CurvePerturbation curveToPerturb) { if (AnalyticsModel == null) { switch (ModelIdentifier) { case "SwapAsset": AnalyticsModel = new SwapAssetAnalytic(); break; case "DiscountSwapAsset": AnalyticsModel = new DiscountSwapAssetAnalytic(); break; } } var result = new Dictionary <string, Decimal>(); if (discountCurve != null && forecastCurve != null) { ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters { NotionalAmount = Notional, //2. Get the discount factors DiscountFactors = GetDiscountFactors(discountCurve, AdjustedPeriodDates.ToArray(), BaseDate), //3. Get the respective year fractions YearFractions = YearFractions, Weightings = Weightings, Rate = MarketQuoteHelper.NormalisePriceUnits( FixedRate, "DecimalRate").value, FloatingLegDiscountFactors = GetDiscountFactors(discountCurve, FloatingLegAdjustedPeriodDates.ToArray(), BaseDate), FloatingLegForecastDiscountFactors = GetDiscountFactors(forecastCurve, FloatingLegAdjustedPeriodDates.ToArray(), BaseDate), FloatingLegYearFractions = FloatingLegYearFractions, FloatingLegWeightings = FloatingLegWeightings, FloatingLegSpread = MarketQuoteHelper.NormalisePriceUnits( FloatingLegSpread, "DecimalRate").value }; if (ForwardRates != null) { analyticModelParameters.FloatingLegForwardRates = ForwardRates; } //4. Set the analytic input parameters and Calculate the respective metrics // if (AnalyticsModel != null) { var analyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.NPV }); AnalyticResults = analyticResults; analyticModelParameters.BaseNPV = analyticResults.NPV; //Now loop through the risk curves. if (curveToPerturb == CurvePerturbation.DiscountCurve) { var riskCurves = discountCurve.CreateCurveRiskSet(1); foreach (var curve in riskCurves) { var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset"); analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters); result.Add("DiscountCurve:" + perturbedAsset, analyticResults.NPVChange); } } if (curveToPerturb == CurvePerturbation.ForecastCurve) { var riskCurves = forecastCurve.CreateCurveRiskSet(1); foreach (var curve in riskCurves) { var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset"); analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters); result.Add("ForecastCurve:" + perturbedAsset, analyticResults.NPVChange); } } if (curveToPerturb == CurvePerturbation.Both) { var riskCurves1 = discountCurve.CreateCurveRiskSet(1); foreach (var curve in riskCurves1) { var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset"); analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters); result.Add("DiscountCurve:" + perturbedAsset, analyticResults.NPVChange); } var riskCurves2 = forecastCurve.CreateCurveRiskSet(1); foreach (var curve in riskCurves2) { var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset"); analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters); result.Add("ForecastCurve:" + perturbedAsset, analyticResults.NPVChange); } } } } return(result); }