/// <summary>
///
/// </summary>
/// <param name="discountCurve"></param>
/// <param name="parameters"></param>
/// <returns></returns>
protected override IRateAssetResults RiskCalculationHelper(IRateCurve discountCurve, ISwapAssetParameters parameters)
{
parameters.FloatingLegDiscountFactors =
GetDiscountFactors(discountCurve,
AdjustedPeriodDates.ToArray(),
BaseDate);
parameters.DiscountFactors =
GetDiscountFactors(discountCurve,
FloatingLegAdjustedPeriodDates.ToArray(),
BaseDate);
//Set the analytic input parameters and Calculate the respective metrics
//
return(AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(parameters, new[] { RateMetrics.NPVChange }));
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <param name="discountedSpace">The OIS Space.</param>
/// <returns></returns>
public Decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace, IInterpolatedSpace discountedSpace)
{
switch (ModelIdentifier)
{
case "SwapAsset":
AnalyticsModel = new SwapAssetAnalytic();
break;
case "DiscountSwapAsset":
AnalyticsModel = new DiscountSwapAssetAnalytic();
break;
}
//1. Set the basic parameters.
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = Notional,
//2. Get the discount factors
DiscountFactors = GetDiscountFactors(discountedSpace, AdjustedPeriodDates.ToArray(), BaseDate),
//3. Get the respective year fractions
YearFractions = YearFractions,
Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value
};
//2. Get any rates that have reset.
if (ForwardRates != null)
{
analyticModelParameters.FloatingLegForwardRates = ForwardRates;
}
//4. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.DiscountFactors.Length - 1);
analyticModelParameters.FloatingLegDiscountFactors =
GetDiscountFactors(discountedSpace, FloatingLegAdjustedPeriodDates.ToArray(), BaseDate);
//6. Get the respective fixed leg year fractions
analyticModelParameters.FloatingLegYearFractions = FloatingLegYearFractions;
//7. Get the Fixed Leg Weightings
analyticModelParameters.FloatingLegWeightings = FloatingLegWeightings;
//8. Get the forecast curve discount factors.
analyticModelParameters.FloatingLegForecastDiscountFactors =
GetDiscountFactors(interpolatedSpace, FloatingLegAdjustedPeriodDates.ToArray(), BaseDate);
AnalyticResults = new RateAssetResults();
//4. Set the analytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.ImpliedQuote });
}
return(AnalyticResults.ImpliedQuote);
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="discountCurve">The discount curve.</param>
/// <param name="forecastCurve">The forecast curve</param>
/// <param name="curveToPerturb">The curve to perturb: the discount curve, the forecast curve or both.</param>
/// <returns></returns>
public IDictionary <string, Decimal> CalculatePDH(CurveBase discountCurve, CurveBase forecastCurve, CurvePerturbation curveToPerturb)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SwapAsset":
AnalyticsModel = new SwapAssetAnalytic();
break;
case "DiscountSwapAsset":
AnalyticsModel = new DiscountSwapAssetAnalytic();
break;
}
}
var result = new Dictionary <string, Decimal>();
if (discountCurve != null && forecastCurve != null)
{
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = Notional,
//2. Get the discount factors
DiscountFactors =
GetDiscountFactors(discountCurve,
AdjustedPeriodDates.ToArray(),
BaseDate),
//3. Get the respective year fractions
YearFractions = YearFractions,
Weightings = Weightings,
Rate =
MarketQuoteHelper.NormalisePriceUnits(
FixedRate, "DecimalRate").value,
FloatingLegDiscountFactors =
GetDiscountFactors(discountCurve,
FloatingLegAdjustedPeriodDates.ToArray(),
BaseDate),
FloatingLegForecastDiscountFactors =
GetDiscountFactors(forecastCurve, FloatingLegAdjustedPeriodDates.ToArray(), BaseDate),
FloatingLegYearFractions = FloatingLegYearFractions,
FloatingLegWeightings = FloatingLegWeightings,
FloatingLegSpread =
MarketQuoteHelper.NormalisePriceUnits(
FloatingLegSpread, "DecimalRate").value
};
if (ForwardRates != null)
{
analyticModelParameters.FloatingLegForwardRates = ForwardRates;
}
//4. Set the analytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
var analyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.NPV });
AnalyticResults = analyticResults;
analyticModelParameters.BaseNPV = analyticResults.NPV;
//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, analyticResults.NPVChange);
}
}
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, analyticResults.NPVChange);
}
}
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, analyticResults.NPVChange);
}
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, analyticResults.NPVChange);
}
}
}
}
return(result);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
switch (ModelIdentifier)
{
case "SwapAsset":
AnalyticsModel = new SwapAssetAnalytic();
break;
case "DiscountSwapAsset":
AnalyticsModel = new DiscountSwapAssetAnalytic();
break;
}
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalDiscountFactorAtMaturity = false;
if (metrics.Contains(RateMetrics.DiscountFactorAtMaturity))
{
bEvalDiscountFactorAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != RateMetrics.DiscountFactorAtMaturity);
}
var metricsToEvaluate = metrics.ToArray();
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters();
AnalyticResults = new RateAssetResults();
var marketEnvironment = modelData.MarketEnvironment;
IRateCurve curve = null;
IRateCurve forecastCurve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
curve = (IRateCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
ForecastCurveName = CurveName;
}
if (marketEnvironment.GetType() == typeof(SimpleRateMarketEnvironment))
{
curve = ((ISimpleRateMarketEnvironment)marketEnvironment).GetRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
ForecastCurveName = CurveName;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
curve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
forecastCurve = ((ISwapLegEnvironment)marketEnvironment).GetForecastRateCurve();
ForecastCurveName = forecastCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
curve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
if (ForecastCurveName != null)
{
forecastCurve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(ForecastCurveName);
}
}
if (forecastCurve == null)
{
forecastCurve = curve;
}
//2. Set the rate
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
if (bEvalDiscountFactorAtMaturity)
{
//3. Set the start diccount factor
analyticModelParameters.StartDiscountFactor =
GetDiscountFactor(curve, AdjustedStartDate, modelData.ValuationDate);
//4. Get the respective year fractions
analyticModelParameters.YearFractions = YearFractions;
//5. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
else
{
analyticModelParameters.NotionalAmount = Notional;
//1. Get any rates that have reset.
if (ForwardRates != null)
{
analyticModelParameters.FloatingLegForwardRates = ForwardRates;
}
//2. Get the discount factors
analyticModelParameters.DiscountFactors =
GetDiscountFactors(curve, AdjustedPeriodDates.ToArray(), modelData.ValuationDate);
//3. Get the respective year fractions
analyticModelParameters.YearFractions = YearFractions;
//4. Get the Weightings
analyticModelParameters.Weightings = Weightings;
//5. Get the respective year fractions
analyticModelParameters.FloatingLegYearFractions = FloatingLegYearFractions;
//6. Get the Weightings
analyticModelParameters.FloatingLegWeightings = FloatingLegWeightings;
//7. Get the floating discount factors
analyticModelParameters.FloatingLegDiscountFactors =
GetDiscountFactors(curve, FloatingLegAdjustedPeriodDates.ToArray(), modelData.ValuationDate);
//8. Get the forecast curve discount factors.
analyticModelParameters.FloatingLegForecastDiscountFactors =
GetDiscountFactors(forecastCurve, FloatingLegAdjustedPeriodDates.ToArray(), modelData.ValuationDate);
//9. Get the Spread
analyticModelParameters.FloatingLegSpread = FloatingLegSpread?.value ?? 0.0m;
//10. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
