private IPvModel GenerateTestData()
{
Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false;
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var originDate = DateTime.Parse("2019-04-25");
var ins = new Forward
{
TradeId = "TestA",
AssetId = "FakeAsset",
ExpiryDate = originDate.AddDays(30),
PaymentCurrency = zar,
Notional = 1e6,
Strike = 1400,
DiscountCurve = "DISCO-ZAR"
};
var pf = new Portfolio {
Instruments = new List <IInstrument> {
ins
}
};
var discoUsd = new FlatIrCurve(0.00, usd, "DISCO-USD");
var discoZar = new FlatIrCurve(0.00, zar, "DISCO-ZAR");
var fxpairs = new List <FxPair>
{
new FxPair {
Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
new FxPair {
Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(usd, originDate, new Dictionary <Currency, double> {
{ zar, 14.0 }
}, fxpairs, new Dictionary <Currency, string> {
{ usd, "DISCO-USD" }, { zar, "DISCO-ZAR" }
});
var fModel = new FundingModel(originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var model = new AssetFxModel(originDate, fModel);
var curve = new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider);
model.AddPriceCurve("FakeAsset", curve);
model.AddFixingDictionary("FakeAsset", new FixingDictionary());
model.AttachPortfolio(pf);
return(model);
}
private AssetFxModel GetModel()
{
var vol = new ConstantVolSurface(valDate, assetVol)
{
AssetId = assetId,
Name = assetId
};
var fwd = new ConstantPriceCurve(assetPrice, valDate, TestProviderHelper.CurrencyProvider)
{
AssetId = assetId,
Name = assetId
};
var ir = new FlatIrCurve(0.0, usd, "USD");
var fm = new FundingModel(valDate, new[] { ir }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var am = new AssetFxModel(valDate, fm);
am.AddPriceCurve(assetId, fwd);
am.AddVolSurface(assetId, vol);
return(am);
}
public void ComputeCVAFacts()
{
var hz = new HazzardCurve(DateTime.Today, DayCountBasis.Act365F, new DummyPointInterpolator(0.0));
var disco = new FlatIrCurve(0.0, ContainerStores.CurrencyProvider.GetCurrency("ZAR"), "disco");
ContainerStores.GetObjectCache <HazzardCurve>().PutObject("hz", new SessionItem <HazzardCurve>()
{
Name = "hz", Value = hz
});
ContainerStores.GetObjectCache <IIrCurve>().PutObject("disco", new SessionItem <IIrCurve>()
{
Name = "disco", Value = disco
});
Assert.Equal("Hazzard curve blash not found", CapitalFunctions.ComputeCVA("blash", DateTime.Today, "woo", null, 0.0));
Assert.Equal("Discount curve woo not found", CapitalFunctions.ComputeCVA("hz", DateTime.Today, "woo", null, 0.0));
Assert.Equal("Expected Nx2 array for EPE", CapitalFunctions.ComputeCVA("hz", DateTime.Today, "disco", new object[1, 1], 0.0));
Assert.Equal("EPE profile must be cube reference or Nx2 array", CapitalFunctions.ComputeCVA("hz", DateTime.Today, "disco", 7, 0.0));
Assert.Equal(0.0, CapitalFunctions.ComputeCVA("hz", DateTime.Today, "disco", new object[1, 2] {
{ DateTime.Today, 0.0 }
}, 0.0));
}
private (IAssetFxModel startModel, IAssetFxModel endModel, Portfolio portfolio) GenerateTestData()
{
Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false;
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var originDate = DateTime.Parse("2019-04-25");
var ins = new FxForward
{
TradeId = "TestA",
DeliveryDate = originDate.AddDays(30),
DomesticCCY = zar,
ForeignCCY = usd,
DomesticQuantity = 1e6,
Strike = 14,
ForeignDiscountCurve = "DISCO-USD"
};
var pf = new Portfolio {
Instruments = new List <IInstrument> {
ins
}
};
var discoUsd = new FlatIrCurve(0.02, usd, "DISCO-USD");
var discoZar = new FlatIrCurve(0.05, zar, "DISCO-ZAR");
var fxpairs = new List <FxPair>
{
new FxPair {
Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
new FxPair {
Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(zar, originDate, new Dictionary <Currency, double> {
{ usd, 14.0 }
}, fxpairs, new Dictionary <Currency, string> {
{ usd, "DISCO-USD" }, { zar, "DISCO-ZAR" }
});
var fModel = new FundingModel(originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var startModel = new AssetFxModel(originDate, fModel);
startModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
startModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
startModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
var endFModel = fModel.DeepClone();
endFModel.FxMatrix.SpotRates[usd] = 15;
var endModel = startModel.Clone(endFModel);
endModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
endModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
endModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
return(startModel, endModel, pf);
}
