/// <summary>
/// Performs the regression for a single date
/// </summary>
/// <param name="date">The date.</param>
/// <param name="simulatedCFs">The simulated c fs.</param>
/// <param name="simulatedRegs">The simulated regs.</param>
/// <param name="subPortfolio">The sub portfolio.</param>
/// <returns></returns>
private double[] PerformRegression(Date date, SimulatedCashflows simulatedCFs, SimulatedRegressors simulatedRegs,
List <int> subPortfolio)
{
double[] cfs = simulatedCFs.GetPathwisePV(date, subPortfolio);
double[] fitted = simulatedRegs.FitCFs(date, cfs);
return(fitted);
}
/// <summary>
/// Initializes the Coordinator, runs the simulation, applies early exercise rules,
/// derives forward value paths.
/// </summary>
/// <param name="portfolioIn">The portfolio in.</param>
/// <param name="valueDate">The value date.</param>
/// <param name="fwdValueDates">The forward value dates.</param>
private void CalculateAll(IProduct[] portfolioIn, Date valueDate, Date[] fwdValueDates)
{
_valueDate = valueDate;
PreparePortfolios(portfolioIn, fwdValueDates);
_simulatedCFs =
new SimulatedCashflows(_allTrades.Count,
_numberOfPaths); // initialized outside to allow multiple threads.
_simulatedRegs = new SimulatedRegressors(_allDates, _numberOfPaths, GetNumberOfUnderlyingFactors());
PerformSimulation();
ApplyEarlyExercise();
if (fwdValueDates.Length > 0) // Only regress if forward values are required.
{
_regressedValues = ApplyForwardValueRegressions(fwdValueDates.ToList());
}
}
/// <summary>
/// Initializes the Coordinator, runs the suimulation, applies early exercise rules,
/// derives forward value paths.
/// </summary>
/// <param name="portfolioIn">The portfolio in.</param>
/// <param name="valueDate">The value date.</param>
/// <param name="fwdValueDates">The forward value dates.</param>
private void CalculateAll(Product[] portfolioIn, Date valueDate, Date[] fwdValueDates)
{
this.valueDate = valueDate;
PreparePortfolios(portfolioIn, fwdValueDates);
AssociateFactorsWithSimulators(allTrades);
InitializeSimulators(allTrades, fwdValueDates.ToList());
simulatedCFs = new SimulatedCashflows(allTrades.Count, N); // initialized outside to allow multiple threads.
simulatedRegs = new SimulatedRegressors(allDates, N, simulators);
PerformSimulation();
ApplyEarlyExercise();
if (fwdValueDates.Length > 0) // Only regress is forward values are required.
{
regressedValues = ApplyForwardValueRegressions(fwdValueDates.ToList());
}
}
/// <summary>
/// Performs the simulation chunk that updates
/// the cashflows per product and per path.
/// the
/// </summary>
/// <param name="portfolio"></param>
/// <param name="allDates">The dates at which the underlying factors will be saved for later regression.</param>
/// <param name="simulatedCFs">The cashflows converted to the value currency and deflated with the numeraire. Updated
/// by this function.</param>
/// <param name="simulatedRegs">The values of the regressors by path and date.</param>
/// <param name="pathStart">The path start.</param>
/// <param name="pathEnd">The path end.</param>
private void PerformSimulationChunk(List <IProduct> portfolio, List <Date> allDates,
SimulatedCashflows simulatedCFs, SimulatedRegressors simulatedRegs, int pathStart, int pathEnd)
{
// clone the simulators and portfolio if this is running multi threaded
var localPortfolio = portfolio.Clone();
var(localNumeraire, localSimulators) = GetCopyOfSimulators();
var mappedSimulators = AssociateFactorsWithSimulators(localPortfolio, localNumeraire, localSimulators);
PrepareSimulators(_valueDate, localPortfolio, allDates, localNumeraire, mappedSimulators,
localSimulators);
foreach (var product in localPortfolio)
{
product.SetValueDate(_valueDate);
}
for (var pathCounter = pathStart; pathCounter < pathEnd; pathCounter++)
{
var numeraireAtValue = localNumeraire.Numeraire(_valueDate);
// Run the simulation
foreach (var simulator in localSimulators)
{
simulator.RunSimulation(pathCounter);
}
// get the underlying factors
for (var fwdDateCounter = 0; fwdDateCounter < allDates.Count; fwdDateCounter++)
{
var independentCounter = 0;
foreach (var simulator in localSimulators)
{
var underlyingFactors = simulator.GetUnderlyingFactors(allDates[fwdDateCounter]);
foreach (var factor in underlyingFactors)
{
simulatedRegs.Add(pathCounter, fwdDateCounter, independentCounter, factor);
independentCounter++;
}
}
}
// use the simulators that now contain a simulation to provide market observables to the
// products.
for (var productCounter = 0; productCounter < localPortfolio.Count; productCounter++)
{
var product = localPortfolio[productCounter];
product.Reset();
foreach (var index in product.GetRequiredIndices())
{
var simulator = mappedSimulators[index];
var requiredDates = product.GetRequiredIndexDates(index);
var indices = simulator.GetIndices(index, requiredDates);
product.SetIndexValues(index, indices);
}
var timesAndCfs = product.GetCFs();
foreach (var cf in timesAndCfs)
{
if (cf.Currency.Equals(_numeraireSimulator.GetNumeraireCurrency()))
{
var cfValue = cf.Amount * numeraireAtValue / localNumeraire.Numeraire(cf.Date);
simulatedCFs.Add(productCounter, pathCounter, new Cashflow(cf.Date, cfValue, cf.Currency));
}
else
{
var currencyPair = GetCcyPair(localNumeraire, cf.Currency);
var simulator = mappedSimulators[currencyPair];
var fxRate = simulator.GetIndices(currencyPair, new List <Date> {
cf.Date
})[0];
var cfValue = fxRate * cf.Amount * numeraireAtValue / localNumeraire.Numeraire(cf.Date);
simulatedCFs.Add(productCounter, pathCounter, new Cashflow(cf.Date, cfValue, cf.Currency));
}
}
}
}
}
/// <summary>
/// Performs the simulation chunk that updates
/// the cashflows per product and per path.
/// the
/// </summary>
/// <param name="portfolio"></param>
/// <param name="fwdValueDates">The dates at which the underlying factors will be saved for later regression.</param>
/// <param name="simulatedCFs">The cashflows converted to the value currency and deflated witht he numeaire. Updated
/// by this function.</param>
/// <param name="simulatedRegs">The valuesor the regressors by path and date.</param>
/// <param name="pathStart">The path start.</param>
/// <param name="pathEnd">The path end.</param>
private void PerformSimulationChunk(List <Product> portfolio, List <Date> fwdValueDates,
SimulatedCashflows simulatedCFs, SimulatedRegressors simulatedRegs, int pathStart, int pathEnd)
{
// clone the simulators and portfolio if this is running multi threaded
List <Product> localPortfolio;
NumeraireSimulator localNumeraire = null;
List <Simulator> localSimulators = null;
if (useThreads)
{
localPortfolio = portfolio.Clone();
CopySimulators(out localNumeraire, out localSimulators);
}
else
{
localPortfolio = portfolio;
localNumeraire = numeraire;
localSimulators = simulators;
}
for (int pathCounter = pathStart; pathCounter < pathEnd; pathCounter++)
{
double numeraireAtValue = localNumeraire.Numeraire(valueDate);
// Run the simulation
foreach (Simulator simulator in localSimulators)
{
simulator.RunSimulation(pathCounter);
}
// get the underlying factors
for (int fwdDateCounter = 0; fwdDateCounter < fwdValueDates.Count; fwdDateCounter++)
{
int independentCounter = 0;
foreach (Simulator simulator in localSimulators)
{
double[] underlyingFactors = simulator.GetUnderlyingFactors(fwdValueDates[fwdDateCounter]);
for (int thisIndependentCounter = 0; thisIndependentCounter < underlyingFactors.Length; thisIndependentCounter++)
{
simulatedRegs.Add(pathCounter, fwdDateCounter, independentCounter, underlyingFactors[thisIndependentCounter]);
independentCounter++;
}
}
}
// use the simulators that now contain a simulation to provide market observables to the
// products.
for (int productCounter = 0; productCounter < localPortfolio.Count; productCounter++)
{
Product product = localPortfolio[productCounter];
product.Reset();
foreach (MarketObservable index in product.GetRequiredIndices())
{
Simulator simulator = localSimulators[indexSources[index]];
List <Date> requiredDates = product.GetRequiredIndexDates(index);
double[] indices = simulator.GetIndices(index, requiredDates);
product.SetIndexValues(index, indices);
}
List <Cashflow> timesAndCFS = product.GetCFs();
foreach (Cashflow cf in timesAndCFS)
{
if (cf.currency.Equals(valueCurrency))
{
double cfValue = cf.amount * numeraireAtValue / localNumeraire.Numeraire(cf.date);
simulatedCFs.Add(productCounter, pathCounter, new Cashflow(cf.date, cfValue, cf.currency));
}
else
{
MarketObservable currencyPair = new CurrencyPair(cf.currency, localNumeraire.GetNumeraireCurrency());
Simulator simulator = localSimulators[indexSources[currencyPair]];
double fxRate = simulator.GetIndices(currencyPair, new List <Date> {
cf.date
})[0];
double cfValue = fxRate * cf.amount * numeraireAtValue / localNumeraire.Numeraire(cf.date);
simulatedCFs.Add(productCounter, pathCounter, new Cashflow(cf.date, cfValue, cf.currency));
}
}
}
}
}
