public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new FxLegAnalytic();
}
AssetValuation streamValuation;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
var streamControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var childValuations = new List <AssetValuation>();
foreach (var payment in Payments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
if (modelData.MarketEnvironment is IFxLegEnvironment marketEnvironment)//TODO need to look at PricingStructureEvolutionType.
{
//Modify the second market.
var curveName1 = marketEnvironment.GetExchangeCurrencyPaymentEnvironment1();
var modelData1 = new InstrumentControllerData(modelData.AssetValuation, curveName1,
modelData.ValuationDate, modelData.ReportingCurrency);
var curveName2 = marketEnvironment.GetExchangeCurrencyPaymentEnvironment2();
var modelData2 = new InstrumentControllerData(modelData.AssetValuation, curveName2,
modelData.ValuationDate, modelData.ReportingCurrency);
childValuations.Add(Currency1Payment.Calculate(modelData1));
childValuations.Add(Currency2Payment.Calculate(modelData2));
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
if (delta0PDH)
{
//Force building of the risk curves.
//market.SearchForPerturbedPricingStructures(FxIndexCurveName, "delta0PDH");//TODO Need to add this perturbation to fxCurve.
}
if (delta1PDH)
{
//Force building of the risk curves.
market.SearchForPerturbedPricingStructures(Currency1DiscountCurveName, "delta1PDH");
market.SearchForPerturbedPricingStructures(Currency2DiscountCurveName, "delta1PDH");
}
//This defines the cross cureves from the payment currency to the reporting
//currency for each leg of the fx trade.
//
if (modelData.ReportingCurrency.Value != Currency1.Value)
{
ReportingCurrencyFxCurveName1 =
MarketEnvironmentHelper.ResolveFxCurveNames(Currency1.Value,
modelData.ReportingCurrency.Value);
}
if (modelData.ReportingCurrency.Value != Currency2.Value)
{
ReportingCurrencyFxCurveName2 =
MarketEnvironmentHelper.ResolveFxCurveNames(Currency2.Value,
modelData.ReportingCurrency.Value);
}
childValuations.Add(Currency1Payment.Calculate(modelData));
childValuations.Add(Currency2Payment.Calculate(modelData));
}
var paymentValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);
var childControllerValuations = new List <AssetValuation> {
paymentValuation
};
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (streamControllerMetrics.Count > 0)
{
var rate = ExchangeRate.rate;
if (modelData.MarketEnvironment is MarketEnvironment market)
{
var fxCurve = (IFxCurve)market.SearchForPricingStructureType(FxIndexCurveName);
if (HybridValuation)
{
var curve1 = (IRateCurve)market.SearchForPricingStructureType(Currency1DiscountCurveName);
var curve2 = (IRateCurve)market.SearchForPricingStructureType(Currency2DiscountCurveName);
var flag = ExchangeRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency2PerCurrency1;
AnalyticsModel = new FxLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve, curve1,
curve2, flag);
}
else
{
AnalyticsModel = new FxLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve);
}
}
IFxLegParameters analyticModelParameters = new FxLegParameters
{
Multiplier = Multiplier,
MarketQuote = rate,
};
CalculationResults =
AnalyticsModel.Calculate <IFxLegInstrumentResults, FxLegInstrumentResults>(
analyticModelParameters, streamControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var streamControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
streamValuation = AssetValuationHelper.UpdateValuation(streamControllerValuation,
childControllerValuations,
ConvertMetrics(streamControllerMetrics),
new List <string>(Metrics), PaymentCurrencies);
}
else
{
streamValuation = paymentValuation;
}
CalculationPerfomedIndicator = true;
streamValuation.id = Id;
return(streamValuation);
}
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new FxOptionLegAnalytic();
}
var marketEnvironment = modelData.MarketEnvironment as IFxLegEnvironment;
AssetValuation streamValuation;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
var streamControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
foreach (var payment in FxLeg.Payments)
{
payment.Multiplier = Multiplier;
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
}
foreach (var premium in Premia)
{
premium.Multiplier = 1.0m;
premium.PricingStructureEvolutionType = PricingStructureEvolutionType;
premium.BucketedDates = BucketedDates;
}
if (marketEnvironment != null)
{
//Modify the second market.
var modelData1 = new InstrumentControllerData(modelData.AssetValuation,
marketEnvironment.GetExchangeCurrencyPaymentEnvironment1(),
modelData.ValuationDate, modelData.ReportingCurrency);
var modelData2 = new InstrumentControllerData(modelData.AssetValuation,
marketEnvironment.GetExchangeCurrencyPaymentEnvironment2(),
modelData.ValuationDate, modelData.ReportingCurrency);
childValuations.Add(Currency1Payment.Calculate(modelData1));
childValuations.Add(Currency2Payment.Calculate(modelData2));
childValuations.AddRange(Premia.Select(premium => premium.Calculate(modelData2)));
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
if (delta0PDH)
{
// //Force building of the risk curves.
// market.SearchForPerturbedPricingStructures(FxIndexCurveName, "delta0PDH");//TODO Need to add this perturbation to fxCurve.
}
if (delta1PDH)
{
//Force building of the risk curves.
market.SearchForPerturbedPricingStructures(FxLeg.Currency1DiscountCurveName, "delta1PDH");
market.SearchForPerturbedPricingStructures(FxLeg.Currency2DiscountCurveName, "delta1PDH");
}
childValuations = EvaluateChildMetrics(GetChildren().ToList(), modelData, Metrics);
//childValuations.Add(Currency1Payment.Calculate(modelData));
}
var paymentValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
var childControllerValuations = new List <AssetValuation> {
paymentValuation
};
TimeToExpiry = GetPaymentYearFraction(ModelData.ValuationDate, ExpiryDate);
var volatilityCurveNodeTime = GetPaymentYearFraction(ModelData.ValuationDate, ValueDate);
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (streamControllerMetrics.Count > 0)
{
if (modelData.MarketEnvironment is MarketEnvironment market)
{
var fxCurve = (IFxCurve)market.SearchForPricingStructureType(FxLeg.FxIndexCurveName);
var indexSurface = (IVolatilitySurface)market.SearchForPricingStructureType(VolatilitySurfaceName);
if (HybridValuation)
{
var curve1 = (IRateCurve)market.SearchForPricingStructureType(FxLeg.Currency1DiscountCurveName);
var curve2 = (IRateCurve)market.SearchForPricingStructureType(FxLeg.Currency2DiscountCurveName);
var flag = FxLeg.ExchangeRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency2PerCurrency1;
AnalyticsModel = new FxOptionLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve, curve1,
curve2, flag, FxStrike, TimeToExpiry, volatilityCurveNodeTime, indexSurface, FxOptionType);
}
else
{
AnalyticsModel = new FxOptionLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve, FxStrike, TimeToExpiry, volatilityCurveNodeTime, indexSurface, FxOptionType);
}
}
decimal?premium = null;
if (Premia.Count > 1)
{
premium = Premia[0].PaymentAmount.amount; // We assume only a single premium in the basic case.
}
IFxOptionLegParameters analyticModelParameters = new FxOptionLegParameters
{
Premium = premium,
};
CalculationResults =
AnalyticsModel.Calculate <IFxOptionLegInstrumentResults, FxOptionLegInstrumentResults>(
analyticModelParameters, streamControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var streamControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
streamValuation = AssetValuationHelper.UpdateValuation(streamControllerValuation,
childControllerValuations,
ConvertMetrics(streamControllerMetrics),
new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
}
else
{
streamValuation = paymentValuation;
}
CalculationPerformedIndicator = true;
streamValuation.id = Id;
return(streamValuation);
}