public void PortfolioPVFact()
{
InstrumentFunctions.CreateAsianSwap("swpFake", "Jan-19", "xx", "USD", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value);
var model = new Mock <IAssetFxModel>();
model.Setup(m => m.GetPriceCurve("xx", null)).Returns(new ConstantPriceCurve(100, DateTime.Today, TestProviderHelper.CurrencyProvider));
var fModel = new Mock <IFundingModel>();
fModel.Setup(fm => fm.GetDf(It.IsAny <Currency>(), It.IsAny <DateTime>(), It.IsAny <DateTime>())).Returns(1.0);
model.Setup(m => m.FundingModel).Returns(fModel.Object);
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("model", new SessionItem <IAssetFxModel>()
{
Name = "model", Value = model.Object
});
Assert.Equal("Could not find portfolio or trade with name trd",
InstrumentFunctions.AssetPortfolioPV("out", "trd", "xxx", Value));
Assert.Equal("Could not find model with name xxx",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "xxx", Value));
Assert.Equal("out¬0",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "model", Value));
Assert.Equal("out¬1",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "model", "USD"));
}
public void CreateBackpricingOptionFact()
{
Assert.Equal("Could not parse put/call flag - px",
InstrumentFunctions.CreateBackPricingOption("swp", "Jan-19", "xx", "ZAR", "px", 0.0, "xxx", "xxx", "2b", "2b", Value, "disco"));
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateBackPricingOption("swp", "Jan-19", "xx", "ZAR", "P", 0.0, "xxx", "xxx", "2z", "2f", Value, "disco"));
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateBackPricingOption("swp", "Jan-19", "xx", "ZAR", "P", 0.0, "NYC", "xxx", "2z", "2f", Value, "disco"));
Assert.Equal("Could not parse date generation type - zzzz",
InstrumentFunctions.CreateBackPricingOption("swp", "Jan-19", "xx", "ZAR", "P", 0.0, "NYC", "NYC", "2b", "2b", "zzzz", "disco"));
Assert.Equal("BPopttt¬0",
InstrumentFunctions.CreateBackPricingOption("BPopttt", "Jan-19", "xx", "ZAR", "P", 0.0, "NYC", "NYC", "2b", "2b", Value, "disco"));
Assert.Equal("BPoptttA¬0",
InstrumentFunctions.CreateBackPricingOption("BPoptttA", new object[, ] {
{ DateTime.Today.ToOADate(), DateTime.Today.ToOADate() }
}, "xx", "ZAR", "P", 0.0, "NYC", "NYC", "2b", "2b", Value, "disco"));
Assert.Equal("BPoptttB¬0",
InstrumentFunctions.CreateBackPricingOption("BPoptttB", DateTime.Today.ToOADate(), "xx", "ZAR", "P", 0.0, "NYC", "NYC", "2b", "2b", Value, "disco"));
Assert.Equal("BPoptttC¬0",
InstrumentFunctions.CreateBackPricingOption("BPoptttC", new object[, ] {
{ DateTime.Today.ToOADate(), DateTime.Today.ToOADate(), DateTime.Today.ToOADate() }
}, "xx", "ZAR", "P", 0.0, "NYC", "NYC", "2b", "2b", Value, "disco"));
}
public void AssetPnLAttributionExplainWithActivityFacts()
{
InstrumentFunctions.CreateAsianSwap("swpFake", "Jan-19", "xx", "USD", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value);
var model = new Mock <IAssetFxModel>();
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("model", new SessionItem <IAssetFxModel>()
{
Name = "model", Value = model.Object
});
var pnlAttribMock = new Mock <IPnLAttributor>();
pnlAttribMock
.Setup(p => p.ExplainAttribution(It.IsAny <Portfolio>(), It.IsAny <Portfolio>(), It.IsAny <IAssetFxModel>(), It.IsAny <IAssetFxModel>(), It.IsAny <Currency>(), It.IsAny <ICurrencyProvider>(), It.IsAny <bool>()))
.Returns(new ResultCube());
ContainerStores.PnLAttributor = pnlAttribMock.Object;
Assert.Equal("Could not find portfolio or trade with name trdS",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "trdS", "trdE", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find portfolio or trade with name trdE",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "trdE", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find model with name ms1",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find model with name ms2",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "model", "ms2", "USD", false));
Assert.Equal("outzzy¬0",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "model", "model", "USD", false));
pnlAttribMock.Verify(p => p.ExplainAttribution(It.IsAny <Portfolio>(), It.IsAny <Portfolio>(), It.IsAny <IAssetFxModel>(), It.IsAny <IAssetFxModel>(), It.IsAny <Currency>(), It.IsAny <ICurrencyProvider>(), It.IsAny <bool>()), Times.Once);
}
public static object PortfolioTimeLadder(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Number of bumps (returns 2*N+1 values)")] int NScenarios,
[ExcelArgument(Description = "Calendar, default ZAR")] object Calendar,
[ExcelArgument(Description = "Risk metric to produce for each scenario")] object RiskMetric,
[ExcelArgument(Description = "Return differential to base case, default True")] object ReturnDiff)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var fCal = Calendar.OptionalExcel("ZAR");
if (!ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(fCal, out var cal))
{
_logger?.LogInformation("Calendar {calendar} not found in cache", fCal);
return $"Calendar {fCal} not found in cache";
}
if (!Enum.TryParse(RiskMetric.OptionalExcel("AssetCurveDelta"), out RiskMetric metric))
{
throw new Exception($"Unknown risk metric {RiskMetric}");
}
var retDiff = ReturnDiff.OptionalExcel(true);
var riskLadder = new TimeLadder(metric, NScenarios, cal, ContainerStores.CurrencyProvider, retDiff);
var result = riskLadder.Generate(model, model.Portfolio);
return PushCubeToCache(result, ResultObjectName);
}));
}
private static string ThetaCharm(string ResultObjectName, string PortfolioName, string ModelName, DateTime FwdValDate, string ReportingCcy, bool computeCharm, List <FxPair> fxPairs = null)
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var ccy = ContainerStores.CurrencyProvider[ReportingCcy];
var result = model.AssetThetaCharm(FwdValDate, ccy, ContainerStores.CurrencyProvider, computeCharm, fxPairs);
return(PushCubeToCache(result, ResultObjectName));
}
public void CreateEuropeanOptionFact()
{
Assert.Equal("Could not parse put/call flag - px",
InstrumentFunctions.CreateEuropeanOption("euOptt", DateTime.Today, "xx", "ZAR", 100.0, "px", 0.0, "xxx", "2b", "2b", "disco"));
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateEuropeanOption("euOptt", DateTime.Today, "xx", "ZAR", 100.0, "P", 0.0, "xxx", "2b", "2b", "disco"));
Assert.Equal("euOptt¬0",
InstrumentFunctions.CreateEuropeanOption("euOptt", DateTime.Today, "xx", "ZAR", 100.0, "P", 0.0, "NYC", "2b", "2b", "disco"));
}
public void CreateFutureOptionPositionSwap()
{
Assert.Equal("Could not parse call/put flag xyxy",
InstrumentFunctions.CreateFutureOption("futOptXXX", DateTime.Today, "CO", "USD", 74, 1000, 1000, "xyxy", "xxxxx", "xxxx"));
Assert.Equal("Could not parse option style flag xxxxx",
InstrumentFunctions.CreateFutureOption("futOptXXX", DateTime.Today, "CO", "USD", 74, 1000, 1000, "C", "xxxxx", "xxxx"));
Assert.Equal("Could not parse margining type flag xxxx",
InstrumentFunctions.CreateFutureOption("futOptXXX", DateTime.Today, "CO", "USD", 74, 1000, 1000, "C", "European", "xxxx"));
Assert.Equal("futOptXXX¬0",
InstrumentFunctions.CreateFutureOption("futOptXXX", DateTime.Today, "CO", "USD", 74, 1000, 1000, "C", "European", "FuturesStyle"));
}
public static object PortfolioParallelDelta(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX or MC model name")] string ModelName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var result = model.AssetParallelDelta(ContainerStores.CurrencyProvider);
return PushCubeToCache(result, ResultObjectName);
}));
}
public void FilterPortfolioByNameFacts()
{
InstrumentFunctions.CreateAsianSwap("swpFake", "Jan-19", "xx", "USD", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value);
InstrumentFunctions.CreatePortfolio("pfOutK", new object[, ] {
{ "swpFake" }
}, Value, Value, Value, Value);
Assert.Equal("Portfolio hhhh not found",
InstrumentFunctions.FilterPortfolioByName("filterPfOutKk", "hhhh", new object[] { "swpFake" }));
Assert.Equal("filterPfOutKk¬0",
InstrumentFunctions.FilterPortfolioByName("filterPfOutKk", "pfOutK", new object[] { "swpFake" }));
}
public void CreateAsianCrackDiffSwap()
{
Assert.Equal("Calendar xxxP not found in cache",
InstrumentFunctions.CreateAsianCrackDiffSwap("cswp", "Jan-19", "xxP", "xxR", "ZAR", 0.0, 0.0, 0.0, "xxxP", "xxxR", "xxxPay", "2b", "2b", "2b", "disco"));
Assert.Equal("Calendar xxxR not found in cache",
InstrumentFunctions.CreateAsianCrackDiffSwap("cswp", "Jan-19", "xxP", "xxR", "ZAR", 0.0, 0.0, 0.0, "NYC", "xxxR", "xxxPay", "2b", "2b", "2b", "disco"));
Assert.Equal("Calendar xxxPay not found in cache",
InstrumentFunctions.CreateAsianCrackDiffSwap("cswp", "Jan-19", "xxP", "xxR", "ZAR", 0.0, 0.0, 0.0, "NYC", "NYC", "xxxPay", "2b", "2b", "2b", "disco"));
Assert.Equal("cswp¬0",
InstrumentFunctions.CreateAsianCrackDiffSwap("cswp", "Jan-19", "xxP", "xxR", "ZAR", 0.0, 0.0, 0.0, "NYC", "NYC", "NYC", "2b", "2b", "2b", "disco"));
Assert.Equal("ccswp¬0",
InstrumentFunctions.CreateAsianCrackDiffSwap("ccswp", (new DateTime(2019, 1, 1)).ToOADate(), "xxP", "xxR", "ZAR", 0.0, 0.0, 0.0, "NYC", "NYC", "NYC", "2b", "2b", "2b", "disco"));
}
public static object PortfolioDelta(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX or MC model name")] string ModelName,
[ExcelArgument(Description = "Compute gamma, default false")] object ComputeGamma,
[ExcelArgument(Description = "Parallel execution, default true")] object Parallelize)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var result = model.AssetDelta(ComputeGamma.OptionalExcel(false), Parallelize.OptionalExcel(true));
return PushCubeToCache(result, ResultObjectName);
}));
}
public static object PortfolioCorrelationDelta(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Reporting currency")] string ReportingCcy,
[ExcelArgument(Description = "Epsilon bump size, rho' = rho + epsilon * (1-rho)")] double Epsilon)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var ccy = ContainerStores.CurrencyProvider.GetCurrency(ReportingCcy);
var result = model.CorrelationDelta(ccy, Epsilon);
return PushCubeToCache(result, ResultObjectName);
}));
}
public static object PortfolioVega(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX or MC model name")] string ModelName,
[ExcelArgument(Description = "Reporting currency")] string ReportingCcy,
[ExcelArgument(Description = "Parallel execution, default true")] object Parallelize)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var ccy = ContainerStores.CurrencyProvider[ReportingCcy];
var result = model.AssetVega(ccy, Parallelize.OptionalExcel(true));
return PushCubeToCache(result, ResultObjectName);
}));
}
public static object PortfolioIrDelta(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Optional reporting ccy")] string ReportingCurrency,
[ExcelArgument(Description = "Bump size, default 0.0001")] object BumpSize)
{
return(ExcelHelper.Execute(_logger, () =>
{
var bump = BumpSize.OptionalExcel(0.0001);
var repCCy = ContainerStores.CurrencyProvider.TryGetCurrency(ReportingCurrency, out var ccy) ? ccy : null;
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var result = model.AssetIrDelta(repCCy, bump);
return PushCubeToCache(result, ResultObjectName);
}));
}
public static object PortfolioIrBenchmarkDelta(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Funding instrument collection name")] string FICName,
[ExcelArgument(Description = "Reporting currency")] string ReportingCcy)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var fic = ContainerStores.GetObjectCache <FundingInstrumentCollection>().GetObjectOrThrow(FICName, $"FIC {FICName} not found in cache");
var ccy = ContainerStores.CurrencyProvider.GetCurrency(ReportingCcy);
var result = model.BenchmarkRisk(fic.Value, ContainerStores.CurrencyProvider, ccy);
return PushCubeToCache(result, ResultObjectName);
}));
}
public static object PortfolioGreeks(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Fwd value date, usually T+1")] DateTime FwdValDate,
[ExcelArgument(Description = "Reporting currency")] string ReportingCcy)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var ccy = ContainerStores.CurrencyProvider.GetCurrency(ReportingCcy);
var result = model.AssetGreeks(FwdValDate, ccy, ContainerStores.CurrencyProvider).Result;
return PushCubeToCache(result, ResultObjectName);
}));
}
public void CreateAmericanBarrierOptionFact()
{
Assert.Equal("Could not parse barrier side bs",
InstrumentFunctions.CreateAmericanBarrierOption("swp", "xx", DateTime.Today, DateTime.Today, DateTime.Today, DateTime.Today, "ZAR", "px", 0.0, 100.0, 110.0, "bs", "bt", "disco", "2b", "nocal"));
Assert.Equal("Could not parse barrier type bt",
InstrumentFunctions.CreateAmericanBarrierOption("swp", "xx", DateTime.Today, DateTime.Today, DateTime.Today, DateTime.Today, "ZAR", "px", 0.0, 100.0, 110.0, "Up", "bt", "disco", "2b", "nocal"));
Assert.Equal("Could not parse put/call flag - px",
InstrumentFunctions.CreateAmericanBarrierOption("swp", "xx", DateTime.Today, DateTime.Today, DateTime.Today, DateTime.Today, "ZAR", "px", 0.0, 100.0, 110.0, "Up", "KO", "disco", "2b", "nocal"));
Assert.Equal("Calendar nocal not found in cache",
InstrumentFunctions.CreateAmericanBarrierOption("swp", "xx", DateTime.Today, DateTime.Today, DateTime.Today, DateTime.Today, "ZAR", "P", 0.0, 100.0, 110.0, "Up", "KO", "disco", "2b", "nocal"));
Assert.Equal("ambo¬0",
InstrumentFunctions.CreateAmericanBarrierOption("ambo", "xx", DateTime.Today, DateTime.Today, DateTime.Today, DateTime.Today, "ZAR", "P", 0.0, 100.0, 110.0, "Up", "KO", "disco", "2b", "NYC"));
}
public static object PortfolioFxDelta(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX or MC model name")] string ModelName,
[ExcelArgument(Description = "Home currency, e.g. ZAR")] string HomeCcy,
[ExcelArgument(Description = "Compute gamma, default false")] object ComputeGamma,
[ExcelArgument(Description = "Report delta on opposite side of pair, default true")] object InverseDelta)
{
return(ExcelHelper.Execute(_logger, () =>
{
var gamma = ComputeGamma.OptionalExcel(false);
var inverseD = InverseDelta.OptionalExcel(true);
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var ccy = ContainerStores.CurrencyProvider[HomeCcy];
var result = model.FxDelta(ccy, ContainerStores.CurrencyProvider, gamma, inverseD);
return PushCubeToCache(result, ResultObjectName);
}));
}
public static object PortfolioFxDeltaSpecific(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX or MC model name")] string ModelName,
[ExcelArgument(Description = "Pairs to bump")] object[] PairsToBump,
[ExcelArgument(Description = "Home currency, e.g. ZAR")] string HomeCcy,
[ExcelArgument(Description = "Compute gamma, default false")] object ComputeGamma)
{
return(ExcelHelper.Execute(_logger, () =>
{
var gamma = ComputeGamma.OptionalExcel(false);
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
var ccy = ContainerStores.CurrencyProvider[HomeCcy];
var pairsToBumpStr = PairsToBump.ObjectRangeToVector <string>();
var pairsToBump = pairsToBumpStr.Select(p => p.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider)).ToList();
var result = model.FxDeltaSpecific(ccy, pairsToBump, ContainerStores.CurrencyProvider, gamma);
return PushCubeToCache(result, ResultObjectName);
}));
}
public void CreateMultiPeriodBackpricingOptionFact()
{
Assert.Equal("Could not parse put/call flag - px",
InstrumentFunctions.CreateMultiPeriodBackPricingOption("swp", "Jan-19", DateTime.Today, DateTime.Today, "xx", "ZAR", "px", 0.0, "xxx", "2b", Value, "disco"));
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateMultiPeriodBackPricingOption("swp", "Jan-19", DateTime.Today, DateTime.Today, "xx", "ZAR", "P", 0.0, "xxx", "2b", Value, "disco"));
Assert.Equal("Could not parse date generation type - zzzz",
InstrumentFunctions.CreateMultiPeriodBackPricingOption("swp", "Jan-19", DateTime.Today, DateTime.Today, "xx", "ZAR", "P", 0.0, "NYC", "2b", "zzzz", "disco"));
Assert.Equal("Period dates must be a Nx2 range",
InstrumentFunctions.CreateMultiPeriodBackPricingOption("mbpOptA", "Jan-19", DateTime.Today, DateTime.Today, "xx", "ZAR", "P", 0.0, "NYC", "2b", Value, "disco"));
Assert.Equal("mbpOptA¬0",
InstrumentFunctions.CreateMultiPeriodBackPricingOption("mbpOptA", new object[, ] {
{ DateTime.Today.ToOADate(), DateTime.Today.ToOADate() }
}, DateTime.Today, DateTime.Today, "xx", "ZAR", "P", 0.0, "NYC", "2b", Value, "disco"));
}
public static object PortfolioRiskLadder(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Asset Id to bump")] string AssetId,
[ExcelArgument(Description = "Bump type, defualt FlatShift")] object BumpType,
[ExcelArgument(Description = "Number of bumps (returns 2*N+1 values)")] int NScenarios,
[ExcelArgument(Description = "Bump step size")] double BumpStep,
[ExcelArgument(Description = "Risk metric to produce for each scenario")] object RiskMetric,
[ExcelArgument(Description = "Return differential to base case, default True")] object ReturnDiff)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
if (!Enum.TryParse(BumpType.OptionalExcel("FlatShift"), out MutationType bType))
{
throw new Exception($"Unknown bump/mutation type {BumpType}");
}
if (!Enum.TryParse(RiskMetric.OptionalExcel("AssetCurveDelta"), out RiskMetric metric))
{
throw new Exception($"Unknown risk metric {RiskMetric}");
}
var retDiff = ReturnDiff.OptionalExcel(true);
var isFx = AssetId.Length == 7 && AssetId[3] == '/';
ICube result;
if (isFx)
{
var ccy = ContainerStores.CurrencyProvider.GetCurrency(AssetId.Substring(0, 3));
var riskLadder = new RiskLadder(ccy, bType, metric, BumpStep, NScenarios, retDiff);
result = riskLadder.Generate(model, model.Portfolio);
}
else
{
var riskLadder = new RiskLadder(AssetId, bType, metric, BumpStep, NScenarios, retDiff);
result = riskLadder.Generate(model, model.Portfolio);
}
return PushCubeToCache(result, ResultObjectName);
}));
}
public void CreateMonthlyAsianSwapFact()
{
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateMonthlyAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, 0.0, "xxx", "xxx", "2z", "2f", Value, "disco"));
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateMonthlyAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, 0.0, "NYC", "xxx", "2z", "2f", Value, "disco"));
Assert.Equal("Could not parse date generation type - sqw",
InstrumentFunctions.CreateMonthlyAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, 0.0, "NYC", "NYC", "2b", "2b", "sqw", "disco"));
Assert.Equal("swppp1¬0",
InstrumentFunctions.CreateMonthlyAsianSwap("swppp1", "Jan-19", "xx", "ZAR", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco"));
Assert.Equal("swppq1¬0",
InstrumentFunctions.CreateMonthlyAsianSwap("swppq1", DateTime.Today.ToOADate(), "xx", "ZAR", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco"));
Assert.Equal("swppz1¬0",
InstrumentFunctions.CreateMonthlyAsianSwap("swppz1", new object[, ] {
{ DateTime.Today.ToOADate(), DateTime.Today.AddDays(100).ToOADate() }
}, "xx", "ZAR", 0.0, 0.0, "NYC", "NYC", "2b", "2b", "BusinessDays", "disco"));
}
public void CreateCustomAsianSwapFact()
{
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateCustomAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, new[] { 0.0 }, "xxx", "xxx", "2z", "2f", Value, "disco"));
Assert.Equal("Calendar xxx not found in cache",
InstrumentFunctions.CreateCustomAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, new[] { 0.0 }, "NYC", "xxx", "2z", "2f", Value, "disco"));
Assert.Equal("Could not parse date generation type - sqw",
InstrumentFunctions.CreateCustomAsianSwap("swp", "Jan-19", "xx", "ZAR", 0.0, new[] { 0.0 }, "NYC", "NYC", "2b", "2b", "sqw", "disco"));
Assert.Equal("Expecting a Nx2 array of period dates",
InstrumentFunctions.CreateCustomAsianSwap("swppp", "Jan-19", "xx", "ZAR", 0.0, new[] { 0.0 }, "NYC", "NYC", "2b", "2b", Value, "disco"));
Assert.Equal("Number of notionals must match number of periods",
InstrumentFunctions.CreateCustomAsianSwap("swppp", new object[, ] {
{ DateTime.Today.ToOADate(), DateTime.Today.ToOADate() }
}, "xx", "ZAR", 0.0, new[] { 0.0, 0.0 }, "NYC", "NYC", "2b", "2b", Value, "disco"));
Assert.Equal("swppp¬0",
InstrumentFunctions.CreateCustomAsianSwap("swppp", new object[, ] {
{ DateTime.Today.ToOADate(), DateTime.Today.ToOADate() }
}, "xx", "ZAR", 0.0, new[] { 0.0 }, "NYC", "NYC", "2b", "2b", Value, "disco"));
}
public void CreateFuturesPositionSwap() => Assert.Equal("futXXX¬0",
InstrumentFunctions.CreateFuture("futXXX", DateTime.Today, "CO", "USD", 74, 1000, 1000, 1.0));
public static object PortfolioRiskMatrix(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Asset Id to bump")] string AssetId,
[ExcelArgument(Description = "Currency to bump")] string Currency,
[ExcelArgument(Description = "Bump type, defualt FlatShift")] object BumpType,
[ExcelArgument(Description = "Number of bumps (returns 2*N+1 values)")] int NScenarios,
[ExcelArgument(Description = "Bump step size asset")] double BumpStepAsset,
[ExcelArgument(Description = "Bump step size fx")] double BumpStepFx,
[ExcelArgument(Description = "Risk metric to produce for each scenario")] object RiskMetric,
[ExcelArgument(Description = "Return differential to base case, default True")] object ReturnDiff,
[ExcelArgument(Description = "List of FxPairs for fx metrics")] object[] PairsToRisk)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
if (!Enum.TryParse(BumpType.OptionalExcel("FlatShift"), out MutationType bType))
{
throw new Exception($"Unknown bump/mutation type {BumpType}");
}
if (!Enum.TryParse(RiskMetric.OptionalExcel("AssetCurveDelta"), out RiskMetric metric))
{
throw new Exception($"Unknown risk metric {RiskMetric}");
}
var retDiff = ReturnDiff.OptionalExcel(true);
var isFxFx = AssetId.Length == 7 && AssetId[3] == '/' &&
Currency.Length == 7 && Currency[3] == '/';
ICube result = null;
if (isFxFx)
{
var pair1 = Currency.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
var pair2 = AssetId.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
var riskMatrix = new RiskMatrix(pair2, pair1, bType, metric, BumpStepAsset, BumpStepFx, NScenarios, ContainerStores.CurrencyProvider, retDiff);
if (PairsToRisk != null && PairsToRisk.Any())
{
riskMatrix.FxPairsForDelta = PairsToRisk.ObjectRangeToVector <string>()
.Select(x => x.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider))
.ToList();
}
result = riskMatrix.Generate(model, model.Portfolio);
}
else
{
var ccy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var riskMatrix = new RiskMatrix(AssetId, ccy, bType, metric, BumpStepAsset, BumpStepFx, NScenarios, ContainerStores.CurrencyProvider, retDiff);
if (PairsToRisk != null && PairsToRisk.Any())
{
riskMatrix.FxPairsForDelta = PairsToRisk.ObjectRangeToVector <string>()
.Select(x => x.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider))
.ToList();
}
result = riskMatrix.Generate(model, model.Portfolio);
}
return PushCubeToCache(result, ResultObjectName);
}));
}
public void CreateFuturesCrackDiffSwap() => Assert.Equal("fdswap¬0",
InstrumentFunctions.CreateFutureCrackDiffSwap("fdswap", "COF9", "QSF9", "CO", "QS", "USD", -19, 1000, 7460, "DISCO"));
