/// <summary>
/// Initializes a new instance of the <see cref="VanillaEuropeanFxOptionPricer"/> class. All the cashflows must be signed.
/// </summary>
/// <param name="paymentCalendar">The payment calendar</param>
/// <param name="fxOptionLeg">The fxLeg.</param>
/// <param name="baseParty">The the base party.</param>
/// <param name="logger">The logger</param>
/// <param name="cache">The cache</param>
/// <param name="nameSpace">The namespace</param>
/// <param name="fixingCalendar">The fixing calendar</param>
public VanillaEuropeanFxOptionPricer(ILogger logger, ICoreCache cache,
String nameSpace, IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar, FxOption fxOptionLeg, string baseParty)
{
OrderedPartyNames = new List <string>();
Multiplier = 1.0m;
Id = fxOptionLeg.id;
AnalyticsModel = new FxOptionLegAnalytic();
ProductType = ProductTypeSimpleEnum.FxOption;
HybridValuation = true;
BuyerPartyReference = fxOptionLeg.buyerPartyReference.href;
SellerPartyReference = fxOptionLeg.sellerPartyReference.href;
BasePartyBuyer = baseParty == BuyerPartyReference;
FxOptionType = FxOptionType.Put;
ProductType = ProductTypeSimpleEnum.FxOption;
if (fxOptionLeg.spotRateSpecified)
{
SpotRate = fxOptionLeg.spotRate;
}
FpMLProductType = ProductTypeHelper.GetProductType(fxOptionLeg.Items, fxOptionLeg.ItemsElementName);
//Temporary values used to build the fx and option trades.
PutCurrencyAmount = fxOptionLeg.putCurrencyAmount.amount;
PutCurrency = fxOptionLeg.callCurrencyAmount.currency.Value;
CallCurrencyAmount = fxOptionLeg.callCurrencyAmount.amount;
CallCurrency = fxOptionLeg.putCurrencyAmount.currency.Value;
FxStrike = fxOptionLeg.strike.rate;
StrikeQuoteBasis = fxOptionLeg.strike.strikeQuoteBasis;
if (IsCall())
{
FxOptionType = FxOptionType.Call;
}
SoldAs = fxOptionLeg.soldAs;
if (fxOptionLeg.tenorPeriod != null)
{
QuotedTenor = fxOptionLeg.tenorPeriod.ToString();
}
var vanillaOption = fxOptionLeg.Item as FxEuropeanExercise;
if (vanillaOption != null)
{
ExpiryDate = vanillaOption.expiryDate;
ExpiryTimeBusinessCenter = vanillaOption.expiryTime.businessCenter.Value;
ExpiryTime = vanillaOption.expiryTime.hourMinuteTime; //TODO Not Implemented yet!
CutName = vanillaOption.cutName;
ValueDate = vanillaOption.valueDate;
}
var type = HasBeenExercised ? ProductTypeSimpleEnum.FxSpot : ProductTypeSimpleEnum.FxForward;
//Create the fxleg.
//TODO Currently this does not handle non-deliverable forwards or a third settlement currency.
var fxLeg = FxOption.CreateFxSingleLeg(HasBeenExercised, BuyerPartyReference, SellerPartyReference, PutCurrencyAmount, PutCurrency, CallCurrencyAmount,
CallCurrency, StrikeQuoteBasis, ValueDate, FxStrike);
FxLeg = new FxSingleLegPricer(fxLeg, baseParty, type);
VolatilitySurfaceName = fxOptionLeg.GetRequiredVolatilitySurfaces()[0];
//FxOptionType;
//Get the currency.
PaymentCurrencies = new List <string>();
PaymentCurrencies.AddRange(FxLeg.PaymentCurrencies);
//Add the premia
Premia = new List <PriceableFxOptionPremium>();
if (fxOptionLeg.premium != null)
{
foreach (var premium in fxOptionLeg.premium)
{
var priceablePayment = PriceableInstrumentsFactory.CreatePriceableFxOptionPremium(cache, nameSpace, null, baseParty, premium, fixingCalendar, paymentCalendar);
Premia.Add(priceablePayment);
PaymentCurrencies.AddRange(priceablePayment.PaymentCurrencies);
}
}
PaymentCurrencies = PaymentCurrencies.Distinct().ToList();
if (fxOptionLeg.cashSettlement != null)
{
IsCashSettled = true;
CashSettlementCurrency = fxOptionLeg.cashSettlement.settlementCurrency;
//Only a single fixing date is currency implemented.
if (fxOptionLeg.cashSettlement.fixing != null && fxOptionLeg.cashSettlement.fixing[0].fixingDateSpecified)
{
FixingDate = fxOptionLeg.cashSettlement.fixing[0].fixingDate;
FixingQuotedCurrencyPair = fxOptionLeg.cashSettlement.fixing[0].quotedCurrencyPair;
}
}
if (vanillaOption != null)
{
RiskMaturityDate = vanillaOption.valueDate;
}
logger.LogInfo("FxOption trade created :");
}
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);
}
public VanillaEuropeanFxOptionPricer()
{
AnalyticsModel = new FxOptionLegAnalytic();
}
