public AssetFxModel BuildModel(DateTime valDate, ModelBuilderSpec spec, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var indices = spec.RateIndices.ToDictionary(x => x.Key, x => new FloatRateIndex(x.Value, calendarProvider, currencyProvider));
var fxPairs = spec.FxPairs.Select(x => new FxPair(x, currencyProvider, calendarProvider)).ToList();
var priceCurves = new List <IPriceCurve>();
var surfaces = new List <IVolSurface>();
var fxSurfaces = new List <IVolSurface>();
foreach (var c in spec.NymexSpecs)
{
var curve = NYMEXModelBuilder.GetCurveForCode(c.NymexCodeFuture, Path.Combine(_filepath, FilenameNymexFuture), c.QwackCode, futureSettingsProvider, currencyProvider);
priceCurves.Add(curve);
if (!string.IsNullOrWhiteSpace(c.NymexCodeOption))
{
var surface = NYMEXModelBuilder.GetSurfaceForCode(c.NymexCodeOption, Path.Combine(_filepath, FilenameNymexOption), c.QwackCode, curve, calendarProvider, currencyProvider, futureSettingsProvider);
surface.AssetId = c.QwackCode;
surfaces.Add(surface);
}
}
var irCurves = new Dictionary <string, IrCurve>();
foreach (var c in spec.CmeBaseCurveSpecs)
{
var ixForThis = new Dictionary <string, FloatRateIndex> {
{ c.QwackCode, indices[c.FloatRateIndex] }
};
var curve = CMEModelBuilder.GetCurveForCode(c.CmeCode, Path.Combine(_filepath, c.IsCbot? FilenameCbot:FilenameCme), c.QwackCode, c.CurveName, ixForThis,
new Dictionary <string, string>()
{
{ c.QwackCode, c.CurveName }
}, futureSettingsProvider, currencyProvider, calendarProvider);
irCurves.Add(c.CurveName, curve);
}
foreach (var c in spec.CmeBasisCurveSpecs)
{
var fxPair = fxPairs.Single(x => $"{x.Domestic}{x.Foreign}" == c.FxPair);
var curve = CMEModelBuilder.StripFxBasisCurve(Path.Combine(_filepath, FilenameCmeFwdsXml), fxPair, c.CmeFxPair, currencyProvider.GetCurrency(c.Currency), c.CurveName, valDate, irCurves[c.BaseCurveName], currencyProvider, calendarProvider);
irCurves.Add(c.CurveName, curve);
}
foreach (var c in spec.CmeFxFutureSpecs)
{
var curve = CMEModelBuilder.GetFuturesCurveForCode(c.CmeCodeFut, Path.Combine(_filepath, FilenameCme), currencyProvider);
var surface = CMEModelBuilder.GetFxSurfaceForCode(c.CmeCodeOpt, Path.Combine(_filepath, FilenameCme), curve, currencyProvider);
surface.AssetId = c.FxPair;
fxSurfaces.Add(surface);
}
var pairMap = spec.CmeBasisCurveSpecs.ToDictionary(x => x.FxPair, x => x.CmeFxPair);
var pairCcyMap = spec.CmeBasisCurveSpecs.ToDictionary(x => x.FxPair, x => currencyProvider.GetCurrency(x.Currency));
var spotRates = CMEModelBuilder.GetSpotFxRatesFromFwdFile(Path.Combine(_filepath, FilenameCmeFwdsXml), valDate, pairMap, currencyProvider, calendarProvider);
var discountMap = spec.CmeBasisCurveSpecs.ToDictionary(x => pairCcyMap[x.FxPair], x => x.CurveName);
foreach (var c in spec.CmxMetalCurves)
{
var fxPair = fxPairs.Single(x => $"{x.Domestic}{x.Foreign}" == c.MetalPair);
var(curve, spotPrice) = COMEXModelBuilder.GetMetalCurveForCode(Path.Combine(_filepath, FilenameCmxFwdsXml), c.CmxSymbol, fxPair, c.CurveName, valDate, irCurves[c.BaseCurveName], currencyProvider, calendarProvider);
irCurves.Add(c.CurveName, curve);
spotRates.Add(c.MetalPair, spotPrice);
discountMap.Add(currencyProvider.GetCurrency(c.Currency), c.CurveName);
pairCcyMap.Add(c.MetalPair, currencyProvider.GetCurrency(c.Currency));
if (!string.IsNullOrWhiteSpace(c.CmxOptCode))
{
var surface = COMEXModelBuilder.GetMetalSurfaceForCode(c.CmxOptCode, Path.Combine(_filepath, FilenameCmxXml), currencyProvider);
surface.AssetId = c.MetalPair;
fxSurfaces.Add(surface);
}
}
var fm = new FundingModel(valDate, irCurves, currencyProvider, calendarProvider);
var spotRatesByCcy = spotRates.ToDictionary(x => pairCcyMap[x.Key], x => x.Key.StartsWith("USD") ? x.Value : 1.0 / x.Value);
var fxMatrix = new FxMatrix(currencyProvider);
fxMatrix.Init(
baseCurrency: currencyProvider.GetCurrency("USD"),
buildDate: valDate,
spotRates: spotRatesByCcy,
fXPairDefinitions: fxPairs,
discountCurveMap: discountMap);
fm.SetupFx(fxMatrix);
foreach (var fxs in fxSurfaces)
{
fm.VolSurfaces.Add(fxs.AssetId, fxs);
}
var o = new AssetFxModel(valDate, fm);
o.AddVolSurfaces(surfaces.ToDictionary(s => s.AssetId, s => s));
o.AddPriceCurves(priceCurves.ToDictionary(c => c.AssetId, c => c));
return(o);
}
public static void BuildSampleSpec(string outputFileName)
{
var floatRate_Libor3m = new TO_FloatRateIndex()
{
Currency = "USD",
DayCountBasis = DayCountBasis.Act360,
FixingOffset = "2b",
HolidayCalendars = "NYC+LON",
ResetTenor = "3m",
RollConvention = RollType.MF,
ResetTenorFixed = "3m"
};
var floatRate_FedFunds = new TO_FloatRateIndex()
{
Currency = "USD",
DayCountBasis = DayCountBasis.Act360,
FixingOffset = "0b",
HolidayCalendars = "NYC",
ResetTenor = "1m",
ResetTenorFixed = "1m",
RollConvention = RollType.MF,
};
var o = new ModelBuilderSpec
{
RateIndices = new Dictionary <string, TO_FloatRateIndex>
{
{ "USD.LIBOR.3M", floatRate_Libor3m },
{ "USD.OIS.1B", floatRate_FedFunds },
},
NymexSpecs = new List <ModelBuilderSpecNymex>
{
new ModelBuilderSpecNymex {
QwackCode = "CL", NymexCodeFuture = "CL", NymexCodeOption = "LO"
}, //WTI
new ModelBuilderSpecNymex {
QwackCode = "CO", NymexCodeFuture = "BB", NymexCodeOption = "BZO"
}, //Brent
//new ModelBuilderSpecNymex {QwackCode="Dated",NymexCodeFuture="UB"},//Dated Brent
new ModelBuilderSpecNymex {
QwackCode = "NG", NymexCodeFuture = "NG", NymexCodeOption = "ON"
}, //HH
new ModelBuilderSpecNymex {
QwackCode = "UkNbp", NymexCodeFuture = "UKG"
}, //UK Gas
new ModelBuilderSpecNymex {
QwackCode = "HO", NymexCodeFuture = "HO", NymexCodeOption = "OH"
}, //Heat
new ModelBuilderSpecNymex {
QwackCode = "XB", NymexCodeFuture = "RB", NymexCodeOption = "OB"
}, //RBOB
new ModelBuilderSpecNymex {
QwackCode = "QS", NymexCodeFuture = "7F"
}, //ICE Gasoil
new ModelBuilderSpecNymex {
QwackCode = "Sing0.5", NymexCodeFuture = "S5M"
}, //0.5% Sing
new ModelBuilderSpecNymex {
QwackCode = "Sing180", NymexCodeFuture = "UA"
}, //Sing180
new ModelBuilderSpecNymex {
QwackCode = "Sing380", NymexCodeFuture = "SE"
}, //Sing380
new ModelBuilderSpecNymex {
QwackCode = "NWE3.5", NymexCodeFuture = "0D"
}, //3.5% NWE
new ModelBuilderSpecNymex {
QwackCode = "NWE1.0", NymexCodeFuture = "0B"
}, //1.0% NWE
new ModelBuilderSpecNymex {
QwackCode = "NWE0.5", NymexCodeFuture = "R5M"
}, //0.5% NWE
new ModelBuilderSpecNymex {
QwackCode = "XO", NymexCodeFuture = "MFF"
}, //API4
new ModelBuilderSpecNymex {
QwackCode = "XA", NymexCodeFuture = "MTF"
}, //API2
new ModelBuilderSpecNymex {
QwackCode = "IronOre62", NymexCodeFuture = "TIO"
}, //62% Iron Ore TSI
},
CmeBaseCurveSpecs = new List <ModelBuilderSpecCmeBaseCurve>
{
new ModelBuilderSpecCmeBaseCurve {
CmeCode = "ED", QwackCode = "ED", CurveName = "USD.LIBOR.3M", FloatRateIndex = "USD.LIBOR.3M", IsCbot = false
},
new ModelBuilderSpecCmeBaseCurve {
CmeCode = "41", QwackCode = "FF", CurveName = "USD.OIS.1B", FloatRateIndex = "USD.OIS.1B", IsCbot = true
},
},
CmeBasisCurveSpecs = new List <ModelBuilderSpecCmeBasisCurve>
{
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDZRC", Currency = "ZAR", CurveName = "ZAR.DISC.[USD.LIBOR.3M]", FxPair = "USDZAR", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDJYC", Currency = "JPY", CurveName = "JPY.DISC.[USD.LIBOR.3M]", FxPair = "USDJPY", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "EURUSN", Currency = "EUR", CurveName = "EUR.DISC.[USD.LIBOR.3M]", FxPair = "EURUSD", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "GBPUSN", Currency = "GBP", CurveName = "GPB.DISC.[USD.LIBOR.3M]", FxPair = "GBPUSD", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDCAC", Currency = "CAD", CurveName = "CAD.DISC.[USD.LIBOR.3M]", FxPair = "USDCAD", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "AUDUSN", Currency = "AUD", CurveName = "AUD.DISC.[USD.LIBOR.3M]", FxPair = "AUDUSD", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "NZDUSC", Currency = "NZD", CurveName = "NZD.DISC.[USD.LIBOR.3M]", FxPair = "NZDUSD", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDDKC", Currency = "DKK", CurveName = "DKK.DISC.[USD.LIBOR.3M]", FxPair = "USDDKK", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDNKC", Currency = "NOK", CurveName = "NOK.DISC.[USD.LIBOR.3M]", FxPair = "USDNOK", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDSKC", Currency = "SEK", CurveName = "SEK.DISC.[USD.LIBOR.3M]", FxPair = "USDSEK", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDRUB", Currency = "RUB", CurveName = "RUB.DISC.[USD.LIBOR.3M]", FxPair = "USDRUB", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDBRL", Currency = "BRL", CurveName = "BRL.DISC.[USD.LIBOR.3M]", FxPair = "USDBRL", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDCNY", Currency = "CNY", CurveName = "CNY.DISC.[USD.LIBOR.3M]", FxPair = "USDCNY", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDKRW", Currency = "KRW", CurveName = "KRW.DISC.[USD.LIBOR.3M]", FxPair = "USDKRW", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDINR", Currency = "INR", CurveName = "INR.DISC.[USD.LIBOR.3M]", FxPair = "USDINR", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDPHP", Currency = "PHP", CurveName = "PHP.DISC.[USD.LIBOR.3M]", FxPair = "USDPHP", BaseCurveName = "USD.LIBOR.3M"
},
new ModelBuilderSpecCmeBasisCurve {
CmeFxPair = "USDTWD", Currency = "TWD", CurveName = "TWD.DISC.[USD.LIBOR.3M]", FxPair = "USDTWD", BaseCurveName = "USD.LIBOR.3M"
},
},
FxPairs = new List <TO_FxPair>
{
new TO_FxPair {
Domestic = "USD", Foreign = "ZAR", PrimaryCalendar = "ZAR", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "JPY", PrimaryCalendar = "JPY", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "EUR", Foreign = "USD", PrimaryCalendar = "EUR", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "GBP", Foreign = "USD", PrimaryCalendar = "GBP", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "CAD", PrimaryCalendar = "CAD", SecondaryCalendar = "USD", SpotLag = "1b"
},
new TO_FxPair {
Domestic = "AUD", Foreign = "USD", PrimaryCalendar = "AUD", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "NZD", Foreign = "USD", PrimaryCalendar = "NZD", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "DKK", PrimaryCalendar = "DKK", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "SEK", PrimaryCalendar = "SEK", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "NOK", PrimaryCalendar = "NOK", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "RUB", PrimaryCalendar = "RUB", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "BRL", PrimaryCalendar = "BRL", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "CNY", PrimaryCalendar = "CNY", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "KRW", PrimaryCalendar = "KRW", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "INR", PrimaryCalendar = "INR", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "PHP", PrimaryCalendar = "PHP", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "USD", Foreign = "TWD", PrimaryCalendar = "TWD", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "BTC", Foreign = "USD", PrimaryCalendar = "USD", SecondaryCalendar = "USD", SpotLag = "0b"
},
new TO_FxPair {
Domestic = "XAU", Foreign = "USD", PrimaryCalendar = "LON", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "XAG", Foreign = "USD", PrimaryCalendar = "LON", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "XPT", Foreign = "USD", PrimaryCalendar = "LON", SecondaryCalendar = "USD", SpotLag = "2b"
},
new TO_FxPair {
Domestic = "XPD", Foreign = "USD", PrimaryCalendar = "LON", SecondaryCalendar = "USD", SpotLag = "2b"
},
},
CmeFxFutureSpecs = new List <ModelBuilderSpecFxFuture>
{
new ModelBuilderSpecFxFuture {
CmeCodeFut = "6E", CmeCodeOpt = "EUU", Currency = "USD", FxPair = "EURUSD"
},
new ModelBuilderSpecFxFuture {
CmeCodeFut = "6B", CmeCodeOpt = "GBU", Currency = "USD", FxPair = "GBPUSD"
},
new ModelBuilderSpecFxFuture {
CmeCodeFut = "6J", CmeCodeOpt = "JPU", Currency = "USD", FxPair = "JPYUSD"
},
new ModelBuilderSpecFxFuture {
CmeCodeFut = "6A", CmeCodeOpt = "ADU", Currency = "USD", FxPair = "AUDUSD"
},
new ModelBuilderSpecFxFuture {
CmeCodeFut = "6C", CmeCodeOpt = "CAU", Currency = "USD", FxPair = "CADUSD"
},
new ModelBuilderSpecFxFuture {
CmeCodeFut = "6L", CmeCodeOpt = "BR", Currency = "USD", FxPair = "BRLUSD"
},
new ModelBuilderSpecFxFuture {
CmeCodeFut = "BTC", CmeCodeOpt = "BTC", Currency = "USD", FxPair = "BTCUSD"
},
},
CmxMetalCurves = new List <ModelBuilderSpecCmxMetalCurve>
{
new ModelBuilderSpecCmxMetalCurve {
Currency = "XAU", MetalPair = "XAUUSD", CmxSymbol = "GB", CurveName = "XAU.DISC.[USD.LIBOR.3M]", BaseCurveName = "USD.LIBOR.3M", CmxFutCode = "GC", CmxOptCode = "OG"
},
new ModelBuilderSpecCmxMetalCurve {
Currency = "XAG", MetalPair = "XAGUSD", CmxSymbol = "LSF", CurveName = "XAG.DISC.[USD.LIBOR.3M]", BaseCurveName = "USD.LIBOR.3M", CmxFutCode = "SI", CmxOptCode = "SO"
},
}
};
var tw = new StringWriter();
var js = JsonSerializer.Create();
js.Serialize(tw, o);
File.WriteAllText(outputFileName, tw.ToString());
}