public double CalculateParRate(IFundingModel model)
{
var farFx = model.GetFxRate(FarDate, DomesticCcy, ForeignCcy);
var nearFx = model.GetFxRate(NearDate, DomesticCcy, ForeignCcy);
return((farFx - nearFx) * Divisor);
}
public double CalculateParRate(IFundingModel model)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var fwd = model.GetFxRate(DeliveryDate, MetalCCY, CashCCY);
var ctgo = (fwd / SpotRate - 1.0) / t;
return(ctgo);
}
public double CalculateParRate(IFundingModel model)
{
var discountCurvePay = model.Curves[DiscountCurvePay];
var discountCurveRec = model.Curves[DiscountCurveRec];
var forecastCurvePay = model.Curves[ForecastCurvePay];
var forecastCurveRec = model.Curves[ForecastCurveRec];
var payCCY = MtmSwapType == MTMSwapType.ReceiveNotionalFixed ? CcyRec : CcyPay;
var recCCY = MtmSwapType == MTMSwapType.PayNotionalFixed ? CcyPay : CcyRec;
var baseCCY = Pvccy ?? payCCY;
var fxPayToBase = model.GetFxRate(model.BuildDate, payCCY, baseCCY);
var fxRecToBase = model.GetFxRate(model.BuildDate, recCCY, baseCCY);
if (ParSpreadPay != 0.0)
{
var newSched = FlowSchedulePay.Clone();
var recPV = FlowScheduleRec.PV(discountCurveRec, forecastCurveRec, true, true, true, BasisRec, null);
recPV *= fxRecToBase;
var targetFunc = new Func <double, double>(spread =>
{
foreach (var s in newSched.Flows.Where(x => x.FlowType == FlowType.FloatRate))
{
s.FixedRateOrMargin = spread;
}
var pv = newSched.PV(discountCurvePay, forecastCurvePay, true, true, true, BasisPay, null);
pv *= fxPayToBase;
return(pv - recPV);
}
);
var newSpread = Math.Solvers.Newton1D.MethodSolve(targetFunc, 0, 0.000001);
return(newSpread);
}
else
{
var newSched = FlowScheduleRec.Clone();
var payPV = FlowSchedulePay.PV(discountCurvePay, forecastCurvePay, true, true, true, BasisPay, null);
payPV *= fxPayToBase;
var targetFunc = new Func <double, double>(spread =>
{
foreach (var s in newSched.Flows.Where(x => x.FlowType == FlowType.FloatRate))
{
s.FixedRateOrMargin = spread;
}
var pv = newSched.PV(discountCurveRec, forecastCurveRec, true, true, true, BasisRec, null);
pv *= fxRecToBase;
return(pv - payPV);
}
);
var newSpread = Math.Solvers.Newton1D.MethodSolve(targetFunc, 0, 0.000001);
return(newSpread);
}
}
public double Pv(IFundingModel model, bool updateState)
{
var discName = model.FxMatrix.GetDiscountCurve(ForeignCcy);
var discCurve = model.GetCurve(discName);
var farFx = model.GetFxRate(FarDate, DomesticCcy, ForeignCcy);
var nearFx = model.GetFxRate(NearDate, DomesticCcy, ForeignCcy);
var farStrike = nearFx + SwapPoints / Divisor;
var farPv = -(farFx - farStrike) * Notional * discCurve.GetDf(model.BuildDate, FarDate);
return(farPv);
}
public double Pv(IFundingModel model, bool updateState)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var strike = SpotRate * (1.0 + ContangoRate * t);
var fwd = model.GetFxRate(DeliveryDate, MetalCCY, CashCCY);
var FV = (fwd - strike) * MetalQuantity;
var PV = discountCurve.Pv(FV, DeliveryDate);
return(PV);
}
public Dictionary <string, Dictionary <DateTime, double> > Sensitivities(IFundingModel model)
{
var foreignCurve = model.FxMatrix.DiscountCurveMap[CashCCY];
var domesticCurve = model.FxMatrix.DiscountCurveMap[MetalCCY];
var discountCurve = model.Curves[CashDiscountCurve];
var df = discountCurve.Pv(1.0, DeliveryDate);
var t = discountCurve.Basis.CalculateYearFraction(discountCurve.BuildDate, DeliveryDate);
var spotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var strike = spotRate * (1.0 + ContangoRate * t);
var fwdRate = model.GetFxRate(DeliveryDate, MetalCCY, CashCCY);
var domesticDict = new Dictionary <DateTime, double>()
{
{ DeliveryDate, fwdRate *MetalQuantity *df *t }
};
Dictionary <DateTime, double> foreignDict;
if (foreignCurve == CashDiscountCurve)
{
foreignDict = new Dictionary <DateTime, double>()
{
{ DeliveryDate, MetalQuantity *df *(fwdRate * -2 * t + strike * t) }
};
return(new Dictionary <string, Dictionary <DateTime, double> >()
{
{ foreignCurve, foreignDict },
{ domesticCurve, domesticDict },
});
}
else
{
foreignDict = new Dictionary <DateTime, double>()
{
{ DeliveryDate, fwdRate *MetalQuantity *df * -t }
};
var foreignDiscDict = new Dictionary <DateTime, double>()
{
{ DeliveryDate, (fwdRate - strike) * MetalQuantity * df * -t }
};
return(new Dictionary <string, Dictionary <DateTime, double> >()
{
{ foreignCurve, foreignDict },
{ domesticCurve, domesticDict },
{ CashDiscountCurve, foreignDiscDict },
});
}
}
private static double GetScaleFactor(IFundingInstrument ins, double parFlat, double parBump, IFundingModel model)
{
switch (ins)
{
case FxForward fxf:
return(1.0 / (parBump - parFlat));
case STIRFuture st:
return(1.0 / ((parBump - parFlat) / 0.01 * st.UnitPV01));
case ForwardRateAgreement fra:
return(1.0 / ((parBump - parFlat) * fra.FlowScheduleFra.Flows.First().NotionalByYearFraction));
case ContangoSwap cs:
var t360 = (cs.PillarDate - model.BuildDate).TotalDays / 360.0;
var spot = model.GetFxRate(model.BuildDate, cs.MetalCCY, cs.CashCCY);
var fwdFlat = (1 + parFlat * t360) * spot;
var fwdBumped = (1 + parBump * t360) * spot;
return(1.0 / (fwdBumped - fwdFlat));
case IrSwap irs:
var pv = irs.SetParRate(parBump).Pv(model, true);
return(1.0 / pv * irs.Notional);
case FloatingRateLoanDepo fld:
var pvF = fld.SetParRate(parBump).Pv(model, true);
return(1.0 / pvF * fld.Notional);
default:
return(1.0);
}
}
public static double PV(this CashFlowSchedule schedule, Currency reportingCCy, IFundingModel model, string forecastCurve, DayCountBasis basisFloat, DateTime?filterDate)
{
var totalPv = 0.0;
for (var i = 0; i < schedule.Flows.Count; i++)
{
var flow = schedule.Flows[i];
if (filterDate.HasValue && flow.SettleDate < filterDate.Value)
{
continue;
}
double fv, pv;
var df = model.GetDf(reportingCCy, model.BuildDate, flow.SettleDate);
var fwdFxRate = model.GetFxRate(flow.SettleDate, flow.Currency, reportingCCy);
switch (flow.FlowType)
{
case FlowType.FixedRate:
{
var rateLin = flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
case FlowType.FloatRate:
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var rateLin = model.GetCurve(forecastCurve).GetForwardRate(s, e, RateType.Linear, basisFloat);
rateLin += flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
case FlowType.FixedAmount:
{
fv = flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
}
}
return(totalPv);
}
public double FlowsT0(IFundingModel Model)
{
if (DeliveryDate != Model.BuildDate)
{
return(0.0);
}
var fwdRate = Model.GetFxRate(DeliveryDate, DomesticCCY, ForeignCCY);
var FV = (fwdRate - Strike) * DomesticQuantity;
return(FV);
}
public double SuggestPillarValue(IFundingModel model)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var fwd = SpotRate * (1.0 + ContangoRate * t);
var fxr = fwd / SpotRate;
var df1 = discountCurve.GetDf(SpotDate, PillarDate);
var df2 = df1 / fxr;
var rate = -System.Math.Log(df2) / t;
return(rate);
}
public double Pv(IFundingModel Model, bool updateState, bool ignoreTodayFlows)
{
if (Model.BuildDate > DeliveryDate || (ignoreTodayFlows && Model.BuildDate == DeliveryDate))
{
return(0.0);
}
var discountCurve = Model.Curves[ForeignDiscountCurve];
var fwdRate = Model.GetFxRate(DeliveryDate, DomesticCCY, ForeignCCY);
var FV = (fwdRate - Strike) * DomesticQuantity;
var PV = discountCurve.Pv(FV, DeliveryDate);
return(PV);
}
public Dictionary <string, Dictionary <DateTime, double> > Sensitivities(IFundingModel model)
{
var foreignCurve = model.FxMatrix.DiscountCurveMap[ForeignCCY];
var domesticCurve = model.FxMatrix.DiscountCurveMap[DomesticCCY];
var discountCurve = model.Curves[ForeignDiscountCurve];
var df = discountCurve.Pv(1.0, DeliveryDate);
var t = discountCurve.Basis.CalculateYearFraction(discountCurve.BuildDate, DeliveryDate);
var fwdRate = model.GetFxRate(DeliveryDate, DomesticCCY, ForeignCCY);
var domesticDict = new Dictionary <DateTime, double>()
{
{ DeliveryDate, fwdRate *DomesticQuantity *df *t }
};
Dictionary <DateTime, double> foreignDict;
if (foreignCurve == ForeignDiscountCurve)
{
foreignDict = new Dictionary <DateTime, double>()
{
{ DeliveryDate, DomesticQuantity *df *(fwdRate * -2 * t + Strike * t) }
};
return(new Dictionary <string, Dictionary <DateTime, double> >()
{
{ foreignCurve, foreignDict },
{ domesticCurve, domesticDict },
});
}
else
{
foreignDict = new Dictionary <DateTime, double>()
{
{ DeliveryDate, fwdRate *DomesticQuantity *df * -t }
};
var foreignDiscDict = new Dictionary <DateTime, double>()
{
{ DeliveryDate, (fwdRate - Strike) * DomesticQuantity * df * -t }
};
return(new Dictionary <string, Dictionary <DateTime, double> >()
{
{ foreignCurve, foreignDict },
{ domesticCurve, domesticDict },
{ ForeignDiscountCurve, foreignDiscDict },
});
}
}
public double SuggestPillarValue(IFundingModel model)
{
var pair = model.FxMatrix.GetFxPair(Pair);
var spotDate = pair.SpotDate(model.BuildDate);
var fxr = Strike / model.GetFxRate(spotDate, Pair);
var df1 = model.GetCurve(model.FxMatrix.GetDiscountCurve(DomesticCCY.Ccy)).GetDf(spotDate, PillarDate);
var df2 = df1 / fxr;
var discountCurve = model.Curves[SolveCurve];
var t = discountCurve.Basis.CalculateYearFraction(spotDate, PillarDate);
var rate = -Log(df2) / t;
if (double.IsNaN(rate) || double.IsInfinity(rate))
{
rate = 0.05;
}
return(rate);
}
public double PV(IFundingModel model, bool updateState, bool updateDfPay, bool updateDfRec, bool updatePayEst, bool updateRecEst)
{
var discountCurvePay = model.Curves[DiscountCurvePay];
var discountCurveRec = model.Curves[DiscountCurveRec];
var forecastCurvePay = model.Curves[ForecastCurvePay];
var forecastCurveRec = model.Curves[ForecastCurveRec];
double totalPVRec = 0;
double totalPVPay = 0;
var payCCY = MtmSwapType == MTMSwapType.ReceiveNotionalFixed ? CcyRec : CcyPay;
var recCCY = MtmSwapType == MTMSwapType.PayNotionalFixed ? CcyPay : CcyRec;
var baseCCY = Pvccy ?? payCCY;
var fxPayToBase = model.GetFxRate(model.BuildDate, payCCY, baseCCY);
var fxRecToBase = model.GetFxRate(model.BuildDate, recCCY, baseCCY);
var fixedNotional = (double)(MtmSwapType == MTMSwapType.PayNotionalFixed ? PayLeg.Nominal :
MtmSwapType == MTMSwapType.ReceiveNotionalFixed ? RecLeg.Nominal : 0M);
for (var i = 0; i < FlowSchedulePay.Flows.Count; i++)
{
double fv, df;
var flow = FlowSchedulePay.Flows[i];
if (updatePayEst && flow.FlowType != FlowType.FixedAmount)
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var rateLin = forecastCurvePay.GetForwardRate(s, e, RateType.Linear, BasisPay)
+ flow.FixedRateOrMargin;
var YF = flow.NotionalByYearFraction;
fv = rateLin * YF *
(MtmSwapType == MTMSwapType.ReceiveNotionalFixed ? fixedNotional : flow.Notional);
fv *= -1.0;
}
else
{
fv = flow.Fv;
}
if (updateDfPay)
{
df = discountCurvePay.Pv(1, flow.SettleDate);
}
else
{
df = flow.Pv / flow.Fv;
}
var pv = df * fv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
totalPVPay += pv;
}
for (var i = 0; i < FlowScheduleRec.Flows.Count; i++)
{
double FV, DF;
var flow = FlowScheduleRec.Flows[i];
if (updateRecEst && flow.FlowType != FlowType.FixedAmount)
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var rateLin = forecastCurveRec.GetForwardRate(s, e, RateType.Linear, BasisRec)
+ flow.FixedRateOrMargin;
var YF = flow.NotionalByYearFraction;
FV = rateLin * YF * (MtmSwapType == MTMSwapType.PayNotionalFixed ? fixedNotional : flow.Notional);
}
else
{
FV = flow.Fv;
}
if (updateDfRec)
{
DF = discountCurveRec.Pv(1, flow.SettleDate);
}
else
{
DF = flow.Pv / flow.Fv;
}
var PV = DF * FV;
if (updateState)
{
flow.Fv = FV;
flow.Pv = PV;
}
totalPVPay += PV;
}
return(totalPVRec * fxRecToBase + totalPVPay * fxPayToBase);
}
public double CalculateParRate(IFundingModel Model) => Model.GetFxRate(DeliveryDate, DomesticCCY, ForeignCCY);