/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleOptionAsset"/> class.
/// </summary>
/// <param name="cache">The cache.</param>
/// <param name="logger">The logger.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="baseDate">The base date.</param>
/// <param name="expiryTenor">The expiry tenor.</param>
/// <param name="underlyingAssetIdentifier">The underlying asset.</param>
/// <param name="strike">The strike.</param>
/// <param name="volatility">The volatility.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
/// <param name="discountCurve">The discount rate curve. Not used yet, as only the implied rate is caclulated.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public PriceableSimpleOptionAsset(ILogger logger, ICoreCache cache, string nameSpace, String underlyingAssetIdentifier, DateTime baseDate,
Period expiryTenor, Decimal?strike, Decimal volatility, IRateCurve discountCurve, ICurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
UnderlyingAssetRef = underlyingAssetIdentifier;
var expiryOffset = new Offset
{
period = expiryTenor.period,
periodMultiplier = expiryTenor.periodMultiplier,
periodSpecified = true,
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true
};
var expiryDate = expiryOffset.Add(baseDate);
var assetProperties = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, underlyingAssetIdentifier, expiryDate);
var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, underlyingAssetIdentifier);
var quotation = BasicQuotationHelper.CreateRate(0.05m);
var quote = BasicAssetValuationHelper.Create(quotation);
UnderlyingPriceableAsset = PriceableAssetFactory.Create(logger, cache, nameSpace, instrument, quote, assetProperties, fixingCalendar, rollCalendar);
BaseDate = baseDate;
ForwardIndex = UnderlyingPriceableAsset.CalculateImpliedQuote(forecastCurve);
if (strike != null)
{
Strike = (Decimal)strike;
}
else
{
Strike = ForwardIndex;
}
DayCounter = new Actual365();
ExpiryDate = expiryDate;
Volatility = volatility;
TimeToExpiry = DayCounter.DayCount(BaseDate, ExpiryDate);
}
public SABRVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, String[] expiryTenors, Double[] strikes,
Double[,] volSurface)
: base(logger, cache, nameSpace, properties, expiryTenors, strikes, volSurface)
{
var assetClass = properties.GetString(CurveProp.AssetClass, true);
var type = EnumHelper.Parse <AssetClass>(assetClass);
var assetId = properties.GetValue <string>(CurveProp.AssetId, true);
var baseDate = properties.GetValue <DateTime>(CurveProp.BaseDate, true);
PricingStructureData = new PricingStructureData(CurveType.Parent, type);
UnderlyingPriceableAssets = new List <IPriceableAssetController>();
foreach (var tenor in expiryTenors)
{
var expiryTenor = PeriodHelper.Parse(tenor);
var offset = new Offset
{
period = expiryTenor.period,
periodMultiplier = expiryTenor.periodMultiplier,
periodSpecified = true,
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true
};
var expiryDate = offset.Add(baseDate);
var assetProperties = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, assetId, expiryDate);
var asset = PriceableAssetFactory.Create(logger, cache, nameSpace, null, assetProperties, null, null);
UnderlyingPriceableAssets.Add(asset);
}
}
public static Reindexer Make(FigureRecipe parent, FigureRecipe[] children)
{
int childCount = children.Length;
//build hidden face set
int parentFaceCount = parent.Geometry.Faces.Length;
bool[] hiddenFaceSet = new bool[parentFaceCount];
for (int childIdx = 0; childIdx < children.Length; ++childIdx)
{
Graft graft = children[childIdx].Geometry.Graft;
if (graft != null)
{
foreach (int hiddenFace in graft.HiddenFaces)
{
hiddenFaceSet[hiddenFace] = true;
}
}
}
//build parent face map
int[] parentFaceMap = new int[parent.Geometry.Faces.Length];
int nonHiddenParentFaceCount = 0;
for (int faceIdx = 0; faceIdx < parentFaceCount; ++faceIdx)
{
if (hiddenFaceSet[faceIdx])
{
parentFaceMap[faceIdx] = -1;
}
else
{
parentFaceMap[faceIdx] = nonHiddenParentFaceCount;
nonHiddenParentFaceCount += 1;
}
}
//build child offsets and totals
Offset[] offsets = new Offset[childCount];
Offset currentOffset = new Offset(
parent.Geometry.GetVertexCount(),
nonHiddenParentFaceCount,
parent.Geometry.GetSurfaceCount()
);
for (int i = 0; i < childCount; ++i)
{
offsets[i] = currentOffset;
FigureRecipe currentFigure = children[i];
currentOffset = currentOffset.Add(
currentFigure.Geometry.GetVertexCount(),
currentFigure.Geometry.Faces.Length,
currentFigure.Geometry.GetSurfaceCount());
}
Offset totals = currentOffset;
return(new Reindexer(parentFaceMap, offsets, totals));
}
public void Add()
{
var leftHandOffset = Offset.FromHours(5);
var rightHandOffset = Offset.FromHours(6);
var result = Snippet.For(Offset.Add(leftHandOffset, rightHandOffset));
Assert.AreEqual(Offset.FromHours(11), result);
}
/// <summary>
/// Converts to a date time.
/// </summary>
/// <param name="cache"></param>
/// <param name="unadjustedDate"></param>
/// <param name="businessDayAdjustments"></param>
/// <param name="offset"></param>
/// <param name="nameSpace"></param>
/// <returns></returns>
public static DateTime ToAdjustedDate(ICoreCache cache, DateTime unadjustedDate, BusinessDayAdjustments businessDayAdjustments, Offset offset, string nameSpace)
{
if (DayTypeEnum.Business != offset.dayType && DayTypeEnum.Calendar != offset.dayType)
{
throw new NotSupportedException(
$"Only {DayTypeEnum.Business}, {DayTypeEnum.Calendar} day types supported of Offset type.");
}
IBusinessCalendar businessCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, businessDayAdjustments.businessCenters, nameSpace);
int periodMultiplier = Int32.Parse(offset.periodMultiplier);
// offset using calendar days
//
switch (offset.dayType)
{
case DayTypeEnum.Business:
{
switch (offset.period)
{
case PeriodEnum.D:
{
// Advance using given number of business days
//
int periodMultiplierSign = Math.Sign(periodMultiplier);
DateTime offsetedDate = unadjustedDate;
while (periodMultiplier-- > 0)
{
offsetedDate = offsetedDate.AddDays(periodMultiplierSign);
offsetedDate = businessCalendar.Roll(offsetedDate, businessDayAdjustments.businessDayConvention);
}
return(offsetedDate);
}
default:
throw new NotSupportedException(
$"{offset.period} not supported in conjunction with '{offset.dayType} day type'");
} //~switch(offset.period)
}
case DayTypeEnum.Calendar:
{
// Convert offset to period.
DateTime adjustedDate = offset.Add(unadjustedDate);
return(adjustedDate);
}
default:
{
throw new NotSupportedException(
$"Only {DayTypeEnum.Business}, {DayTypeEnum.Calendar} day types supported of Offset type.");
}
}
}
public IReadOnlyList <PointI> GetPointOfGaps()
{
var result = new List <PointI>();
for (var i = 0; i < Size; i++)
{
for (var j = 0; j < Size; j++)
{
var point = Offset.Add(PointI.CreateXZ(i, j));
if (!chunks.ContainsKey(point))
{
result.Add(point);
}
}
}
return(result);
}
public Keyframes()
{
// The minimal working file requires a visibility and offset keyframes.
Visibility.Add(new Keyframe <bool>(0, true, Interpolation.None));
Offset.Add(new Keyframe <int>(0, 0, Interpolation.None));
}
public void MethodAdd_NonZero()
{
Assert.AreEqual(TestObjects.CreatePositiveOffset(6, 0, 0, 0), Offset.Add(ThreeHours, ThreeHours), "3,000,000 + 1");
Assert.AreEqual(Offset.Zero, Offset.Add(ThreeHours, NegativeThreeHours), "1 + (-1)");
Assert.AreEqual(TestObjects.CreateNegativeOffset(9, 0, 0, 0), Offset.Add(NegativeTwelveHours, ThreeHours), "-TwelveHours + threeHours");
}
public void MethodAdd_Zero_IsNeutralElement()
{
Assert.AreEqual(0, Offset.Add(Offset.Zero, Offset.Zero).Milliseconds, "0 + 0");
Assert.AreEqual(TestObjects.CreatePositiveOffset(3, 0, 0, 0), Offset.Add(ThreeHours, Offset.Zero), "1 + 0");
Assert.AreEqual(TestObjects.CreatePositiveOffset(3, 0, 0, 0), Offset.Add(Offset.Zero, ThreeHours), "0 + 1");
}
