public void TestCurrencyAmount()
{
// test to string
CurrencyAmount amount = new CurrencyAmount(123.45);
Assert.AreEqual("123.45", amount.ToString());
// test parse
amount = CurrencyAmount.Parse("123.45");
Assert.AreEqual("123.45", amount.ToString());
// test add
CurrencyAmount amount2 = new CurrencyAmount(543.21);
amount = new CurrencyAmount(123.45);
Assert.AreEqual("666.66", CurrencyAmount.Add(amount, amount2).ToString());
amount.AddTo(amount2);
Assert.AreEqual("666.66", amount.ToString());
// test minus
amount2 = new CurrencyAmount(543.21);
amount = new CurrencyAmount(123.45);
Assert.AreEqual("-419.76", CurrencyAmount.Minus(amount, amount2).ToString());
Assert.AreEqual("419.76", CurrencyAmount.Minus(amount2, amount).ToString());
Assert.AreEqual("0.00", CurrencyAmount.Minus(amount2, amount2).ToString());
// is zero
Assert.AreEqual(true, CurrencyAmount.Minus(amount2, amount2).IsZero());
}
protected override void OnPropertyChanged(string propertyName = null)
{
base.OnPropertyChanged(propertyName);
if (propertyName == CurrencyCodeProperty.PropertyName)
{
currencyCode.Text = CurrencyCode;
if (CurrencyCode == "BTCZ")
{
removeButton.IsVisible = false;
currencyRate.IsVisible = false;
sendButton.IsVisible = true;
//receiveButton.IsVisible = true;
}
}
else if (propertyName == CurrencyNameProperty.PropertyName)
{
currencyName.Text = CurrencyName;
//if (CurrencyCode == "BTCZ")
//{
// removeButton.IsVisible = false;
//}
}
else if (propertyName == CurrencyAmountProperty.PropertyName)
{
currencyAmount.Text = CurrencyAmount.ToString();
}
else if (propertyName == CurrencyRateProperty.PropertyName)
{
currencyRate.Text = String.Format("Rate: {0}", CurrencyRate.ToString());
}
}
/// <summary>
/// Parse memory to xml
/// </summary>
/// <returns></returns>
public override XElement ToXML()
{
XElement xelem = base.ToXML();
if (_bankAccount != null)
{
xelem.Add(new XAttribute(MasterDataUtils.XML_BANK_ACCOUNT
, _bankAccount.ToString()));
}
xelem.Add(new XAttribute(MasterDataUtils.XML_INIT_AMOUNT
, _initAmount.ToString()));
return(xelem);
}
/// <summary>
/// set balance data
/// </summary>
private void setBalanceData()
{
// int index = MonthSelection.SelectedIndex;
MonthItem monthItem = MonthSelection.SelectedItem as MonthItem;
if (monthItem == null)
{
return;
}
CoreDriver coreDriver = DataCore.GetInstance().BackendCoreDriver;
if (coreDriver.IsInitialize == false)
{
return;
}
TransactionDataManagement transMgmt = coreDriver.TransMgmt;
GLAccountBalanceCollection balCol = transMgmt.AccountBalanceCol;
#region revenue
CurrencyAmount revenue = new CurrencyAmount();
foreach (GLAccountGroupENUM group in GLAccountGroup.REVENUE_GROUP)
{
CurrencyAmount cur = balCol
.GetGroupBalance(group, monthItem.MonthId, monthItem.MonthId);
cur.Negate();
revenue.AddTo(cur);
}
// set value
incomingAmount.Text = revenue.ToString();
#endregion
#region cost
CurrencyAmount cost = new CurrencyAmount();
foreach (GLAccountGroupENUM group in GLAccountGroup.COST_GROUP)
{
CurrencyAmount cur = balCol
.GetGroupBalance(group, monthItem.MonthId, monthItem.MonthId);
cost.AddTo(cur);
}
// set value
this.outgoingAmount.Text = cost.ToString();
#endregion
#region balance
CurrencyAmount balance = new CurrencyAmount();
foreach (GLAccountGroupENUM group in GLAccountGroup.BALANCE_GROUP)
{
CurrencyAmount cur = balCol
.GetGroupBalance(group);
balance.AddTo(cur);
}
// set value
this.balanceAmount.Text = balance.ToString();
#endregion
#region liquidity
CurrencyAmount liquidity = new CurrencyAmount();
foreach (GLAccountGroupENUM group in GLAccountGroup.Liquidity_GROUP)
{
CurrencyAmount cur = balCol
.GetGroupBalance(group);
liquidity.AddTo(cur);
}
// set value
this.liquidityAmount.Text = liquidity.ToString();
#endregion
}
//-------------------------------------------------------------------------
/// <summary>
/// Runs the calibration of SABR on swaptions and print on the console the present value, bucketed PV01 and
/// the bucketed Vega of a 18M x 4Y swaption.
/// </summary>
/// <param name="args"> -s to use the spares data </param>
public static void Main(string[] args)
{
long start, end;
// Swaption description
BuySell payer = BuySell.BUY;
Period expiry = Period.ofMonths(18);
double notional = 1_000_000;
double strike = 0.0100;
Tenor tenor = Tenor.TENOR_4Y;
LocalDate expiryDate = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(expiry), REF_DATA);
SwapTrade underlying = EUR_FIXED_1Y_EURIBOR_6M.createTrade(expiryDate, tenor, payer, notional, strike, REF_DATA);
Swaption swaption = Swaption.builder().expiryDate(AdjustableDate.of(expiryDate)).expiryTime(LocalTime.of(11, 0x0)).expiryZone(ZoneId.of("Europe/Berlin")).underlying(underlying.Product).longShort(LongShort.LONG).swaptionSettlement(PhysicalSwaptionSettlement.DEFAULT).build();
ResolvedSwaption resolvedSwaption = swaption.resolve(REF_DATA);
// select data
TenorRawOptionData data = DATA_FULL;
if (args.Length > 0)
{
if (args[0].Equals("-s"))
{
data = DATA_SPARSE;
}
}
start = DateTimeHelper.CurrentUnixTimeMillis();
// Curve calibration
RatesProvider multicurve = CALIBRATOR.calibrate(CONFIGS, MARKET_QUOTES, REF_DATA);
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine("Curve calibration time: " + (end - start) + " ms.");
// SABR calibration
start = DateTimeHelper.CurrentUnixTimeMillis();
double beta = 0.50;
SurfaceMetadata betaMetadata = DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build();
Surface betaSurface = ConstantSurface.of(betaMetadata, beta);
double shift = 0.0300;
Surface shiftSurface = ConstantSurface.of("SABR-Shift", shift);
SabrParametersSwaptionVolatilities sabr = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, data, multicurve, betaSurface, shiftSurface);
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine("SABR calibration time: " + (end - start) + " ms.");
// Price and risk
Console.WriteLine("Risk measures: ");
start = DateTimeHelper.CurrentUnixTimeMillis();
CurrencyAmount pv = SWAPTION_PRICER.presentValue(resolvedSwaption, multicurve, sabr);
Console.WriteLine(" |-> PV: " + pv.ToString());
PointSensitivities deltaPts = SWAPTION_PRICER.presentValueSensitivityRatesStickyModel(resolvedSwaption, multicurve, sabr).build();
CurrencyParameterSensitivities deltaBucketed = multicurve.parameterSensitivity(deltaPts);
Console.WriteLine(" |-> Delta bucketed: " + deltaBucketed.ToString());
PointSensitivities vegaPts = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(resolvedSwaption, multicurve, sabr).build();
Console.WriteLine(" |-> Vega point: " + vegaPts.ToString());
CurrencyParameterSensitivities vegaBucketed = sabr.parameterSensitivity(vegaPts);
for (int i = 0; i < vegaBucketed.size(); i++)
{
Console.WriteLine(" |-> Vega bucketed: " + vegaBucketed.Sensitivities.get(i));
}
end = DateTimeHelper.CurrentUnixTimeMillis();
Console.WriteLine("PV and risk time: " + (end - start) + " ms.");
}
/// <summary>
/// set balance data
/// </summary>
private void setBalanceData()
{
// int index = MonthSelection.SelectedIndex;
MonthItem monthItem = MonthSelection.SelectedItem as MonthItem;
if (monthItem == null)
{
return;
}
CoreDriver coreDriver = DataCore.GetInstance().BackendCoreDriver;
if (coreDriver.IsInitialize == false)
{
return;
}
TransactionDataManagement transMgmt = coreDriver.TransMgmt;
GLAccountBalanceCollection balCol = transMgmt.AccountBalanceCol;
#region revenue
CurrencyAmount revenue = new CurrencyAmount();
foreach (GLAccountGroupENUM group in GLAccountGroup.REVENUE_GROUP) {
CurrencyAmount cur = balCol
.GetGroupBalance(group, monthItem.MonthId, monthItem.MonthId);
cur.Negate();
revenue.AddTo(cur);
}
// set value
incomingAmount.Text = revenue.ToString();
#endregion
#region cost
CurrencyAmount cost = new CurrencyAmount();
foreach (GLAccountGroupENUM group in GLAccountGroup.COST_GROUP)
{
CurrencyAmount cur = balCol
.GetGroupBalance(group, monthItem.MonthId, monthItem.MonthId);
cost.AddTo(cur);
}
// set value
this.outgoingAmount.Text = cost.ToString();
#endregion
#region balance
CurrencyAmount balance = new CurrencyAmount();
foreach (GLAccountGroupENUM group in GLAccountGroup.BALANCE_GROUP)
{
CurrencyAmount cur = balCol
.GetGroupBalance(group);
balance.AddTo(cur);
}
// set value
this.balanceAmount.Text = balance.ToString();
#endregion
#region liquidity
CurrencyAmount liquidity = new CurrencyAmount();
foreach (GLAccountGroupENUM group in GLAccountGroup.Liquidity_GROUP)
{
CurrencyAmount cur = balCol
.GetGroupBalance(group);
liquidity.AddTo(cur);
}
// set value
this.liquidityAmount.Text = liquidity.ToString();
#endregion
}
public void TestCurrencyAmount()
{
// test to string
CurrencyAmount amount = new CurrencyAmount(123.45);
Assert.AreEqual("123.45", amount.ToString());
// test parse
amount = CurrencyAmount.Parse("123.45");
Assert.AreEqual("123.45", amount.ToString());
// test add
CurrencyAmount amount2 = new CurrencyAmount(543.21);
amount = new CurrencyAmount(123.45);
Assert.AreEqual("666.66", CurrencyAmount.Add(amount, amount2).ToString());
amount.AddTo(amount2);
Assert.AreEqual("666.66", amount.ToString());
// test minus
amount2 = new CurrencyAmount(543.21);
amount = new CurrencyAmount(123.45);
Assert.AreEqual("-419.76", CurrencyAmount.Minus(amount, amount2).ToString());
Assert.AreEqual("419.76", CurrencyAmount.Minus(amount2, amount).ToString());
Assert.AreEqual("0.00", CurrencyAmount.Minus(amount2, amount2).ToString());
// is zero
Assert.AreEqual(true, CurrencyAmount.Minus(amount2, amount2).IsZero());
}
