public static object CreateFixingDictionary(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Fixings array, 1st column dates / 2nd column fixings")] object[,] Fixings,
[ExcelArgument(Description = "Type, Asset or FX - default Asset")] object FixingType,
[ExcelArgument(Description = "Fx pair (optional)")] string FxPair)
{
return(ExcelHelper.Execute(_logger, () =>
{
var fixTypeStr = FixingType.OptionalExcel("Asset");
if (!Enum.TryParse <FixingDictionaryType>(fixTypeStr, out var fixType))
{
throw new Exception($"Unknown fixing dictionary type {fixTypeStr}");
}
var dict = new FixingDictionary
{
Name = AssetId,
AssetId = AssetId,
FixingDictionaryType = fixType,
FxPair = FxPair
};
var dictData = Fixings.RangeToDictionary <DateTime, double>();
foreach (var kv in dictData)
{
dict.Add(kv.Key, kv.Value);
}
return ExcelHelper.PushToCache <IFixingDictionary>(dict, ObjectName);
}));
}
public static object TurnbullWakemanFuturesPV(
[ExcelArgument(Description = "Fixing dates")] double[] FixingDates,
[ExcelArgument(Description = "Eval date")] DateTime EvalDate,
[ExcelArgument(Description = "Pay date")] DateTime PayDate,
[ExcelArgument(Description = "Forward curve")] string Curve,
[ExcelArgument(Description = "Fixings")] string FixingDictionary,
[ExcelArgument(Description = "Vol surface")] string Surface,
[ExcelArgument(Description = "Strike")] double K,
[ExcelArgument(Description = "Discounting rate")] double R,
[ExcelArgument(Description = "Call or Put")] string CP)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!Enum.TryParse(CP, out OptionType optType))
{
return $"Could not parse call or put flag - {CP}";
}
var curve = ContainerStores.GetObjectCache <IPriceCurve>().GetObjectOrThrow(Curve, $"Curve {Curve} not found");
var surface = ContainerStores.GetObjectCache <IVolSurface>().GetObjectOrThrow(Surface, $"Surface {Surface} not found");
var fd = new FixingDictionary();
var dates = FixingDates.ToDateTimeArray();
if (dates.First() < EvalDate)
{
fd = ContainerStores.GetObjectCache <FixingDictionary>().GetObjectOrThrow(FixingDictionary, $"Fixing dictionary {FixingDictionary} not found").Value;
}
var fwds = dates.Select(d => d > EvalDate?curve.Value.GetPriceForDate(d): fd.GetFixing(d)).ToArray();
var vols = dates.Select((d, ix) => surface.Value.GetVolForAbsoluteStrike(K, d, fwds[ix])).ToArray();
return Qwack.Options.Asians.TurnbullWakeman.PV(fwds, dates, EvalDate, PayDate, vols, K, R, optType);
}));
}
public static object TurnbullWakemanStrikeForPVFutures(
[ExcelArgument(Description = "Evaluation Date")] DateTime EvalDate,
[ExcelArgument(Description = "Fixing dates")] double[] FixingDates,
[ExcelArgument(Description = "Settlement Date")] DateTime PayDate,
[ExcelArgument(Description = "Target PV")] double PV,
[ExcelArgument(Description = "Forward curve")] string FwdCurve,
[ExcelArgument(Description = "Fixing dictionary")] string FixingDictionary,
[ExcelArgument(Description = "Discounting rate")] double R,
[ExcelArgument(Description = "Volatility Surface")] string VolSurface,
[ExcelArgument(Description = "Call or Put")] string CP)
{
return(ExcelHelper.Execute(_logger, () =>
{
var surface = ContainerStores.GetObjectCache <IVolSurface>().GetObjectOrThrow(VolSurface, $"Could not parse find vol surface {VolSurface} in the cache");
var curve = ContainerStores.GetObjectCache <IPriceCurve>().GetObjectOrThrow(FwdCurve, $"Fwd curve {FwdCurve} not found");
var fd = new FixingDictionary();
var dates = FixingDates.ToDateTimeArray();
if (dates.First() < EvalDate)
{
fd = ContainerStores.GetObjectCache <FixingDictionary>().GetObjectOrThrow(FixingDictionary, $"Fixing dictionary {FixingDictionary} not found").Value;
}
var F = dates.Select(d => d > EvalDate ? curve.Value.GetPriceForDate(d) : fd.GetFixing(d)).ToArray();
if (!Enum.TryParse(CP, out OptionType optType))
{
return $"Could not parse call or put flag - {CP}";
}
return Qwack.Options.Asians.TurnbullWakeman.StrikeForPV(PV, F, FixingDates.ToDateTimeArray(), surface.Value, EvalDate, PayDate, R, optType);
}));
}
public void FixingDictionaryFact()
{
IFixingDictionary z = new FixingDictionary();
z = new FixingDictionary(new Dictionary <DateTime, double>()
{
{ DateTime.Today, 1.0 }
});
var zz = new FixingDictionary(z);
var zzz = zz.Clone();
Assert.Throws <Exception>(() => zzz.GetFixing(DateTime.MinValue));
Assert.Equal(1.0, zzz.GetFixing(DateTime.Today));
Assert.True(zzz.TryGetFixing(DateTime.Today, out var f));
}
public static object CreateFixingDictionaryFromVectors(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Fixings dates")] double[] FixingDates,
[ExcelArgument(Description = "Fixings dates")] double[] Fixings,
[ExcelArgument(Description = "Type, Asset or FX - default Asset")] object FixingType,
[ExcelArgument(Description = "Fx pair (optional)")] string FxPair)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (FixingDates.Length != Fixings.Length)
{
throw new Exception("Fixings and FixingDates must be of same length");
}
var fixTypeStr = FixingType.OptionalExcel("Asset");
if (!Enum.TryParse <FixingDictionaryType>(fixTypeStr, out var fixType))
{
throw new Exception($"Unknown fixing dictionary type {fixTypeStr}");
}
var dict = new FixingDictionary
{
Name = AssetId,
AssetId = AssetId,
FixingDictionaryType = fixType,
FxPair = FxPair
};
for (var i = 0; i < FixingDates.Length; i++)
{
if (FixingDates[i] != 0)
{
dict.Add(DateTime.FromOADate(FixingDates[i]), Fixings[i]);
}
}
return ExcelHelper.PushToCache <IFixingDictionary>(dict, ObjectName);
}));
}
public static object CreateFixingDictionaryForRollingFuture(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Futures code, e.g. QS or CO")] string FuturesCode,
[ExcelArgument(Description = "1st month fixings array, 1st column dates / 2nd column fixings")] object[,] Fixings1m,
[ExcelArgument(Description = "2nd month fixings array, 1st column dates / 2nd column fixings")] object[,] Fixings2m)
{
return(ExcelHelper.Execute(_logger, () =>
{
var dict = new FixingDictionary
{
Name = AssetId,
AssetId = AssetId,
FixingDictionaryType = FixingDictionaryType.Asset
};
var futuresProvider = ContainerStores.SessionContainer.GetRequiredService <IFutureSettingsProvider>();
var dictData1m = Fixings1m.RangeToDictionary <DateTime, double>();
var dictData2m = Fixings2m.RangeToDictionary <DateTime, double>();
var fc = new FutureCode(FuturesCode, futuresProvider);
fc.YearBeforeWhich2DigitDatesAreUsed = DateTime.Today.Year - 2;
foreach (var kv in dictData1m)
{
var currentFM = fc.GetFrontMonth(kv.Key, true);
var cfm = new FutureCode(currentFM, DateTime.Today.Year - 2, futuresProvider);
if (kv.Key <= cfm.GetRollDate())
{
dict.Add(kv.Key, kv.Value);
}
else
{
dict.Add(kv.Key, dictData2m[kv.Key]);
}
}
return ExcelHelper.PushToCache <IFixingDictionary>(dict, ObjectName);
}));
}
