public static object PortfolioExpectedEadSplit(
[ExcelArgument(Description = "Output cube name")] string OutputName,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "Exposure dates")] double[] ExposureDates,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap,
[ExcelArgument(Description = "Basel II / Basel II cutover date")] DateTime ChangeOverDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = ExposureDates.ToDateTimeArray(model.Value.BuildDate);
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.Clone();
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.EAD_Split(model.Value.BuildDate, expDates, models, portfolio, repCcy,
assetIdToCategory, categoryToCCF, ChangeOverDate, ContainerStores.CurrencyProvider);
var cube = ExcelHelper.PackResults(expDates, result, "EAD");
return ExcelHelper.PushToCache(cube, OutputName);
}));
}
public static object PortfolioPvCvaCapital_B2_SM(
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "Exposure dates")] double[] ExposureDates,
[ExcelArgument(Description = "Party risk weight")] double CvaRiskWeight,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap)
{
return(ExcelHelper.Execute(_logger, () =>
{
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = ExposureDates.ToDateTimeArray(model.Value.BuildDate);
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.Clone();
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.PvCvaCapital_BII_SM(model.Value.BuildDate, expDates, models, portfolio, repCcy, disc.Value, CvaRiskWeight, assetIdToCategory, categoryToCCF, ContainerStores.CurrencyProvider);
return result;
}));
}
public static object PortfolioExpectedEad_B2_SM(
[ExcelArgument(Description = "Output cube name")] string OutputName,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "EPE cube")] string EPECube,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap)
{
return(ExcelHelper.Execute(_logger, () =>
{
var epeCube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(EPECube, $"EPE cube {EPECube} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = epeCube.Value.GetAllRows().Select(r => (DateTime)r.MetaData[0]).ToArray();
var epeValues = epeCube.Value.GetAllRows().Select(r => r.Value).ToArray();
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.TrimModel(portfolio);
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.EAD_BII_SM(model.Value.BuildDate, expDates, epeValues, models, portfolio, repCcy, assetIdToCategory, categoryToCCF, ContainerStores.CurrencyProvider);
var cube = ExcelHelper.PackResults(expDates, result, "EAD");
return ExcelHelper.PushToCache(cube, OutputName);
}));
}
public static object PortfolioPvCcrCapital(
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Expected EAD cube name")] string EADCubeName,
[ExcelArgument(Description = "Credit settings object name")] string CreditSettingsName,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var eadCube = ContainerStores.GetObjectCache <ICube>()
.GetObjectOrThrow(EADCubeName, $"Could not find cube with name {EADCubeName}");
var creditSettings = ContainerStores.GetObjectCache <CreditSettings>()
.GetObjectOrThrow(CreditSettingsName, $"Could not find credit settings with name {CreditSettingsName}");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var result = CapitalCalculator.PVCapital_BII_IMM(OriginDate, eadCube.Value, creditSettings.Value.CreditCurve, creditSettings.Value.BaseDiscountCurve, creditSettings.Value.LGD, portfolio);
return result;
}));
}
public ActionResult Index(CompareModel model)
{
if (ModelState.IsValid)
{
CapitalCalculator calc = new CapitalCalculator
{
Money = model.Money,
Percent = model.Percent
};
string[] dates = model.Range.Split('-');
calc.StartDate = DateTime.ParseExact(dates[0], "MM/dd/yyyy ", CultureInfo.InvariantCulture);
calc.StopDate = DateTime.ParseExact(dates[1], " MM/dd/yyyy", CultureInfo.InvariantCulture);
var result = calc.GetIncome(FundList);
ViewBag.depositIncome = result.Item2;
ViewBag.fundIncome = result.Item1;
ViewBag.chart = calc.Chart;
return(View(model));
}
return(View(model));
}
public static object PortfolioPvCapitalSplit(
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "Hazzard curve")] string HazzardCurve,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "EPE cube")] string EPECube,
[ExcelArgument(Description = "Loss-Given-Default")] double LGD,
[ExcelArgument(Description = "Cva risk weight")] double CvaRiskWeight,
[ExcelArgument(Description = "Party risk weight")] double PartyRiskWeight,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap,
[ExcelArgument(Description = "Basel II / Basel II cutover date")] DateTime ChangeOverDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var epeCube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(EPECube, $"EPE cube {EPECube} not found");
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
var hz = ContainerStores.GetObjectCache <HazzardCurve>().GetObjectOrThrow(HazzardCurve, $"Hazzard curve {HazzardCurve} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = epeCube.Value.GetAllRows().Select(r => (DateTime)r.MetaData[0]).ToArray();
var epeValues = epeCube.Value.GetAllRows().Select(r => r.Value).ToArray();
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.TrimModel(portfolio);
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.PvCapital_Split(model.Value.BuildDate, expDates, models, portfolio, hz.Value, repCcy, disc.Value,
LGD, CvaRiskWeight, PartyRiskWeight, assetIdToCategory, categoryToCCF, ContainerStores.CurrencyProvider, epeValues, ChangeOverDate);
return new object [, ] {
{ "CCR PV", result.CCR }, { "CVA PV", result.CVA }
};
}));
}
