/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="discountCurve">The discount curve.</param>
/// <param name="forecastCurve">The forward curve.</param>
/// <param name="volCurve">The volatility surface.
/// and discount curves when called with ForecastRateCurve.</param>
/// <param name="curveToPerturb">The curve to perturb: the discount curve, the forecast curve or both.</param>
/// <returns></returns>
public IDictionary <string, double> CalculateRatePDH(DateTime valuationDate,
IRateCurve discountCurve, IRateCurve forecastCurve, IVolatilitySurface volCurve, CurvePerturbation curveToPerturb)
{
var result = new Dictionary <string, double>();
AnalyticResults = new RateOptionAssetResults();
switch (ModelIdentifier)
{
case "CapAsset":
AnalyticsModel = new RateOptionAssetAnalytic();
break;
case "DiscountCapAsset":
AnalyticsModel = new RateOptionAssetAnalytic();
break;
}
ForecastCurveName = forecastCurve.GetPricingStructureId().UniqueIdentifier;
DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier;
VolatilityCurveName = volCurve.GetPricingStructureId().UniqueIdentifier;
var analyticModelParameters = new RateOptionAssetParameters {
IsPut = !IsCap, Notionals = Notionals
};
//and the rest rates
if (ResetRates != null)
{
analyticModelParameters.ForwardRates = ResetRates;
}
//2. Get the discount factors
analyticModelParameters.ForecastDiscountFactors =
GetDiscountFactors(forecastCurve, AdjustedPeriodDates.ToArray(), valuationDate);
analyticModelParameters.PaymentDiscountFactors =
GetDiscountFactors(discountCurve, AdjustedPeriodDates.ToArray(), valuationDate);
//3. Get the respective year fractions
analyticModelParameters.YearFractions = YearFractions;
//4. set the expiry times.
TimesToExpiry =
GetTimesToExpiry(ExpiryDates, valuationDate);
analyticModelParameters.TimesToExpiry = TimesToExpiry;
//5. Get the vols
analyticModelParameters.Volatilities =
GetVolatilties(volCurve, TimesToExpiry, Strikes);
//8. Get the Strikes
analyticModelParameters.Strikes = Strikes;
//9. Set the analytic input parameters and Calculate the respective metrics
var analyticResults =
AnalyticsModel.Calculate <IRateOptionAssetResults, RateOptionAssetResults>(analyticModelParameters,
new[] { RateOptionMetrics.NPV });
AnalyticResults = analyticResults;
var baseNPV = SumDoubleList(AnalyticResults.NPV, 0);
//Now loop through the risk curves.
if (curveToPerturb == CurvePerturbation.DiscountCurve)
{
var riskCurves = discountCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("DiscountCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0));
}
}
if (curveToPerturb == CurvePerturbation.ForecastCurve)
{
var riskCurves = forecastCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("ForecastCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0));
}
}
if (curveToPerturb == CurvePerturbation.Both)
{
var riskCurves1 = discountCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves1)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("DiscountCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0));
}
var riskCurves2 = forecastCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves2)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("ForecastCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0));
}
}
return(result);
}
