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);
}));
}
