private AssetFxMCModel GetSut()
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Interpolator1DType.Linear, usd, "DISCO");
var comCurve = new BasicPriceCurve(buildDate, new[] { buildDate, buildDate.AddDays(15), buildDate.AddDays(100) }, new[] { 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new ConstantVolSurface(buildDate, 0.32)
{
AssetId = "CL"
};
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>(), new List <FxPair>(), new Dictionary <Currency, string> {
{ usd, "DISCO" }
});
fModel.SetupFx(fxM);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
var product = AssetProductFactory.CreateAsianOption(buildDate.AddDays(10), buildDate.AddDays(20), 101, "CL", OptionType.Call, usdCal, buildDate.AddDays(21), usd);
product.TradeId = "waaah";
product.DiscountCurve = "DISCO";
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product
}
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
NumberOfPaths = (int)System.Math.Pow(2, 13),
NumberOfTimesteps = 1,
ReportingCurrency = usd,
Parallelize = false,
CreditSettings = new CreditSettings
{
ExposureDates = new DateTime[] { buildDate.AddDays(5), buildDate.AddDays(20), buildDate.AddDays(22) }
},
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
public static object CreateMcSettings(
[ExcelArgument(Description = "Settings object name")] string ObjectName,
[ExcelArgument(Description = "Number of paths")] int NumberOfPaths,
[ExcelArgument(Description = "Number of timesteps")] int NumberOfTimesteps,
[ExcelArgument(Description = "Random number generator, e.g. Sobol or MersenneTwister")] object RandomGenerator,
[ExcelArgument(Description = "Reporting currency")] object ReportingCurrency,
[ExcelArgument(Description = "Model to use, e.g. Black,LocalVol or TurboSkew")] string McModel,
[ExcelArgument(Description = "Full futures simulation? (True/False)")] bool FuturesSim,
[ExcelArgument(Description = "Parallel execution? (True/False)")] bool Parallel,
[ExcelArgument(Description = "Futures mapping dictionary, assetId to futures code")] object FutMappingDict,
[ExcelArgument(Description = "Enable debug mode")] object DebugMode,
[ExcelArgument(Description = "Enable average path correction")] object PathCorrection,
[ExcelArgument(Description = "Enable reduced memory operation")] object CompactMemoryMode,
[ExcelArgument(Description = "Avoid regresison if possible for BackPricing options")] object AvoidBPRegression,
[ExcelArgument(Description = "Enable local correlation? (True/False)")] bool LocalCorrelation,
[ExcelArgument(Description = "Credit settings object")] object CreditSettings)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().TryGetCurrency(ReportingCurrency.OptionalExcel("USD"), out var repCcy))
{
return $"Could not find currency {ReportingCurrency} in cache";
}
if (!Enum.TryParse(RandomGenerator.OptionalExcel("MersenneTwister"), true, out RandomGeneratorType randomGenerator))
{
return $"Could not parse random generator name - {RandomGenerator}";
}
if (!Enum.TryParse(McModel.OptionalExcel("Black"), true, out McModelType mcModel))
{
return $"Could not parse model type - {McModel}";
}
var settings = new McSettings
{
Generator = randomGenerator,
NumberOfPaths = NumberOfPaths,
NumberOfTimesteps = NumberOfTimesteps,
ReportingCurrency = repCcy,
McModelType = mcModel,
ExpensiveFuturesSimulation = FuturesSim,
Parallelize = Parallel,
FuturesMappingTable = (FutMappingDict is ExcelMissing) ?
new Dictionary <string, string>() :
((object[, ])FutMappingDict).RangeToDictionary <string, string>(),
DebugMode = DebugMode.OptionalExcel(false),
AveragePathCorrection = PathCorrection.OptionalExcel(false),
CompactMemoryMode = CompactMemoryMode.OptionalExcel(false),
AvoidRegressionForBackPricing = AvoidBPRegression.OptionalExcel(false),
LocalCorrelation = LocalCorrelation,
CreditSettings = (CreditSettings is ExcelMissing) ? null : ContainerStores.GetObjectCache <CreditSettings>().GetObjectOrThrow(CreditSettings as string, $"Unable to find Credit Settings {CreditSettings}").Value
};
return ExcelHelper.PushToCache(settings, ObjectName);
}));
}
public MonoIndexRegressor(DateTime[] regressionDates, IAssetPathPayoff[] portfolio, McSettings settings, bool requireContinuity)
{
_regressionDates = regressionDates;
_portfolio = portfolio;
_requireContinuity = requireContinuity;
_repCcy = settings.ReportingCurrency;
_pathwiseValues = new double[_regressionDates.Length][];
DebugMode = settings.DebugMode;
for (var i = 0; i < _pathwiseValues.Length; i++)
{
_pathwiseValues[i] = new double[settings.NumberOfPaths];
}
}
private AssetFxMCModel GetSut()
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
var zar = TestProviderHelper.CurrencyProvider["ZAR"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var pair = new FxPair()
{
Domestic = zar, Foreign = usd, PrimaryCalendar = usdCal, SpotLag = 2.Bd()
};
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Interpolator1DType.Linear, usd, "DISCO");
var dates = new[] { buildDate, buildDate.AddDays(32), buildDate.AddDays(60), buildDate.AddDays(90) };
var times = dates.Select(d => buildDate.CalculateYearFraction(d, DayCountBasis.Act365F)).ToArray();
var vols = new[] { 0.32, 0.30, 0.29, 0.28 };
var comCurve = new PriceCurve(buildDate, dates, new[] { 100.0, 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new GridVolSurface(buildDate, new[] { 0.5 }, dates, vols.Select(x => new double[] { x }).ToArray(), StrikeType.ForwardDelta, Interpolator1DType.Linear, Interpolator1DType.LinearInVariance, DayCountBasis.Act365F)
{
AssetId = "CL"
};
var fxSurface = new ConstantVolSurface(buildDate, 0.16)
{
AssetId = "USD/ZAR"
};
var correlVector = new CorrelationTimeVector("CL", "USD/ZAR", _correls, times);
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>()
{
{ zar, 14.0 }
}, new List <FxPair>()
{
pair
}, new Dictionary <Currency, string> {
{ usd, "DISCO" }, { zar, "DISCO" }
});
fModel.SetupFx(fxM);
fModel.VolSurfaces.Add("ZAR/USD", fxSurface);
fModel.VolSurfaces.Add("USD/ZAR", fxSurface);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
aModel.CorrelationMatrix = correlVector;
var product1 = AssetProductFactory.CreateAsianOption(dates[1], dates[1], 1400, "CL", OptionType.Call, usdCal, dates[1], zar);
product1.TradeId = "P1";
product1.DiscountCurve = "DISCO";
product1.FxConversionType = FxConversionType.AverageThenConvert;
var product2 = AssetProductFactory.CreateAsianOption(dates[2], dates[2], 1400, "CL", OptionType.Call, usdCal, dates[2], zar);
product2.TradeId = "P2";
product2.DiscountCurve = "DISCO";
product2.FxConversionType = FxConversionType.AverageThenConvert;
var product3 = AssetProductFactory.CreateAsianOption(dates[3], dates[3], 1400, "CL", OptionType.Call, usdCal, dates[3], zar);
product3.TradeId = "P3";
product3.DiscountCurve = "DISCO";
product3.FxConversionType = FxConversionType.AverageThenConvert;
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product1, product2, product3
}
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
NumberOfPaths = (int)2.0.IntPow(15),
NumberOfTimesteps = 1,
ReportingCurrency = zar,
Parallelize = false,
LocalCorrelation = true,
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
public LinearPortfolioValueRegressor(DateTime[] regressionDates, IAssetPathPayoff[] portfolio, McSettings settings)
{
_regressionDates = regressionDates;
_portfolio = portfolio;
_repCcy = settings.ReportingCurrency;
_pathwiseValues = new double[_regressionDates.Length][][];
for (var i = 0; i < _pathwiseValues.Length; i++)
{
_pathwiseValues[i] = new double[settings.NumberOfPaths][];
}
}
public AssetFxMCModel(DateTime originDate, Portfolio portfolio, IAssetFxModel model, McSettings settings, ICurrencyProvider currencyProvider, IFutureSettingsProvider futureSettingsProvider, ICalendarProvider calendarProvider)
{
if (settings.CompactMemoryMode && settings.AveragePathCorrection)
{
throw new Exception("Can't use both CompactMemoryMode and PathCorrection");
}
_currencyProvider = currencyProvider;
_futureSettingsProvider = futureSettingsProvider;
_calendarProvider = calendarProvider;
Engine = new PathEngine(settings.NumberOfPaths)
{
Parallelize = settings.Parallelize,
CompactMemoryMode = settings.CompactMemoryMode
};
OriginDate = originDate;
Portfolio = portfolio;
Model = model;
Settings = settings;
switch (settings.Generator)
{
case RandomGeneratorType.MersenneTwister:
Engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
break;
case RandomGeneratorType.Sobol:
var directionNumers = new Random.Sobol.SobolDirectionNumbers(GetSobolFilename());
Engine.AddPathProcess(new Random.Sobol.SobolPathGenerator(directionNumers, 1000)
{
UseNormalInverse = true
});
break;
case RandomGeneratorType.Constant:
Engine.AddPathProcess(new Random.Constant.Constant()
{
UseNormalInverse = true,
});
break;
case RandomGeneratorType.FlipFlop:
Engine.AddPathProcess(new Random.Constant.FlipFlop(settings.CreditSettings.ConfidenceInterval, true));
break;
}
Engine.IncrementDepth();
if (model.CorrelationMatrix != null)
{
if (settings.LocalCorrelation)
{
Engine.AddPathProcess(new CholeskyWithTime(model.CorrelationMatrix, model));
}
else
{
Engine.AddPathProcess(new Cholesky(model.CorrelationMatrix));
}
Engine.IncrementDepth();
}
var lastDate = portfolio.LastSensitivityDate;
var assetIds = portfolio.AssetIds();
var assetInstruments = portfolio.Instruments
.Where(x => x is IAssetInstrument)
.Select(x => x as IAssetInstrument);
var fixingsNeeded = new Dictionary <string, List <DateTime> >();
foreach (var ins in assetInstruments)
{
var fixingsForIns = ins.PastFixingDates(originDate);
if (fixingsForIns.Any())
{
foreach (var kv in fixingsForIns)
{
if (!fixingsNeeded.ContainsKey(kv.Key))
{
fixingsNeeded.Add(kv.Key, new List <DateTime>());
}
fixingsNeeded[kv.Key] = fixingsNeeded[kv.Key].Concat(kv.Value).Distinct().ToList();
}
}
}
//asset processes
var fxAssetsToAdd = new List <string>();
var corrections = new Dictionary <string, SimpleAveragePathCorrector>();
foreach (var assetId in assetIds)
{
if (assetId.Length == 7 && assetId[3] == '/')
{
fxAssetsToAdd.Add(assetId);
continue;
}
if (!(model.GetVolSurface(assetId) is IATMVolSurface surface))
{
throw new Exception($"Vol surface for asset {assetId} could not be cast to IATMVolSurface");
}
var fixingDict = fixingsNeeded.ContainsKey(assetId) ? model.GetFixingDictionary(assetId) : null;
var fixings = fixingDict != null ?
fixingsNeeded[assetId].ToDictionary(x => x, x => fixingDict.GetFixing(x))
: new Dictionary <DateTime, double>();
var futuresSim = settings.ExpensiveFuturesSimulation &&
(model.GetPriceCurve(assetId).CurveType == PriceCurveType.ICE || model.GetPriceCurve(assetId).CurveType == PriceCurveType.NYMEX);
if (futuresSim)
{
var fwdCurve = new Func <DateTime, double>(t =>
{
return(model.GetPriceCurve(assetId).GetPriceForDate(t));
});
var asset = new BlackFuturesCurve
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: Settings.FuturesMappingTable[assetId],
pastFixings: fixings,
futureSettingsProvider: _futureSettingsProvider
);
Engine.AddPathProcess(asset);
}
else
{
var fwdCurve = new Func <double, double>(t =>
{
var c = model.GetPriceCurve(assetId);
var d = originDate.AddYearFraction(t, DayCountBasis.ACT365F);
if (c is PriceCurve pc)
{
d = d.AddPeriod(RollType.F, pc.SpotCalendar, pc.SpotLag);
}
else if (c is ContangoPriceCurve cc)
{
d = d.AddPeriod(RollType.F, cc.SpotCalendar, cc.SpotLag);
}
return(c.GetPriceForDate(d));
});
IATMVolSurface adjSurface = null;
var correlation = 0.0;
if (settings.ReportingCurrency != model.GetPriceCurve(assetId).Currency)
{
var fxAdjPair = settings.ReportingCurrency + "/" + model.GetPriceCurve(assetId).Currency;
var fxAdjPairInv = model.GetPriceCurve(assetId).Currency + "/" + settings.ReportingCurrency;
if (!(model.FundingModel.GetVolSurface(fxAdjPair) is IATMVolSurface adjSurface2))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
adjSurface = adjSurface2;
if (model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, assetId, out var correl))
{
correlation = correl;
}
else if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPairInv, assetId, out var correl2))
{
correlation = -correl2;
}
}
}
if (settings.McModelType == McModelType.LocalVol)
{
var asset = new LVSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
else if (settings.McModelType == McModelType.TurboSkew)
{
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
else
{
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
if (settings.AveragePathCorrection)
{
corrections.Add(assetId, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(assetId)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, assetId, fixings, adjSurface, correlation));
}
}
}
//fx pairs
var pairsAdded = new List <string>();
var fxPairs = portfolio.FxPairs(model).Concat(fxAssetsToAdd);
var payoutCcys = portfolio.Instruments.Select(i => i.Currency);
if (payoutCcys.Any(p => p != settings.ReportingCurrency))
{
var ccysToAdd = payoutCcys.Where(p => p != settings.ReportingCurrency).Distinct();
var pairsToAdd = ccysToAdd.Select(c => $"{c.Ccy}/{settings.ReportingCurrency}");
fxPairs = fxPairs.Concat(pairsToAdd).Distinct();
}
foreach (var fxPair in fxPairs)
{
var fxPairName = fxPair;
var pair = fxPairName.FxPairFromString(_currencyProvider, _calendarProvider);
if (pairsAdded.Contains(pair.ToString()))
{
continue;
}
if (!(model.FundingModel.VolSurfaces[fxPairName] is IATMVolSurface surface))
{
throw new Exception($"Vol surface for fx pair {fxPairName} could not be cast to IATMVolSurface");
}
var fwdCurve = new Func <double, double>(t =>
{
var date = originDate.AddYearFraction(t, DayCountBasis.ACT365F);
var spotDate = pair.SpotDate(date);
return(model.FundingModel.GetFxRate(spotDate, fxPairName));
});
pairsAdded.Add(pair.ToString());
if (settings.McModelType == McModelType.LocalVol)
{
var asset = new LVSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
else if (settings.McModelType == McModelType.TurboSkew)
{
if (fxPairName.Substring(fxPairName.Length - 3, 3) != settings.ReportingCurrency)
{//needs to be drift-adjusted
var fxAdjPair = settings.ReportingCurrency + "/" + fxPairName.Substring(fxPairName.Length - 3, 3);
if (!(model.FundingModel.VolSurfaces[fxAdjPair] is IATMVolSurface adjSurface))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
var correlation = fxPair == fxAdjPair ? -1.0 : 0.0;
if (correlation != -1.0 && model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, fxPair, out var correl))
{
correlation = correl;
}
}
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName, null, adjSurface, correlation));
}
}
else
{
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
}
else
{
if (fxPairName.Substring(fxPairName.Length - 3, 3) != settings.ReportingCurrency)
{//needs to be drift-adjusted
var fxAdjPair = settings.ReportingCurrency + "/" + fxPairName.Substring(fxPairName.Length - 3, 3);
if (!(model.FundingModel.VolSurfaces[fxAdjPair] is IATMVolSurface adjSurface))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
var correlation = fxPair == fxAdjPair ? -1.0 : 0.0;
if (correlation != -1.0 && model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, fxPair, out var correl))
{
correlation = correl;
}
}
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName, null, adjSurface, correlation));
}
}
else
{
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
}
}
//apply path correctin
if (settings.AveragePathCorrection && corrections.Any())
{
Engine.IncrementDepth();
foreach (var pc in corrections)
{
Engine.AddPathProcess(pc.Value.PathCalc);
}
Engine.IncrementDepth();
foreach (var pc in corrections)
{
Engine.AddPathProcess(pc.Value);
}
}
//payoffs
Engine.IncrementDepth();
_payoffs = assetInstruments.ToDictionary(x => x.TradeId, y => new AssetPathPayoff(y, _currencyProvider, _calendarProvider, settings.ReportingCurrency));
if (!settings.AvoidRegressionForBackPricing && _payoffs.Any(x => x.Value.Regressors != null))
{
var regressorsToAdd = _payoffs.Where(x => x.Value.Regressors != null)
.SelectMany(x => x.Value.Regressors)
.Distinct();
foreach (var regressor in regressorsToAdd)
{
Engine.AddPathProcess(regressor);
foreach (var payoff in _payoffs.Where(x => x.Value.Regressors != null))
{
if (payoff.Value.Regressors.Any(x => x == regressor))
{
payoff.Value.SetRegressor(regressor);
}
}
}
Engine.IncrementDepth();
}
foreach (var product in _payoffs)
{
if (settings.AvoidRegressionForBackPricing && (product.Value.AssetInstrument is BackPricingOption || product.Value.AssetInstrument is MultiPeriodBackpricingOption))
{
product.Value.VanillaModel = VanillaModel;
}
Engine.AddPathProcess(product.Value);
}
var metricsNeedRegression = new[] { BaseMetric.PFE, BaseMetric.KVA, BaseMetric.CVA, BaseMetric.FVA, BaseMetric.EPE };
//Need to calculate PFE
if (settings.CreditSettings != null && settings.CreditSettings.ExposureDates != null && settings.ReportingCurrency != null && metricsNeedRegression.Contains(settings.CreditSettings.Metric))//setup for PFE, etc
{
Engine.IncrementDepth();
switch (settings.CreditSettings.PfeRegressorType)
{
case PFERegressorType.MultiLinear:
_regressor = new LinearPortfolioValueRegressor(settings.CreditSettings.ExposureDates,
_payoffs.Values.ToArray(), settings);
break;
case PFERegressorType.MonoLinear:
_regressor = new MonoIndexRegressor(settings.CreditSettings.ExposureDates,
_payoffs.Values.ToArray(), settings, true);
break;
}
Engine.AddPathProcess(_regressor);
}
//Need to calculate expected capital
if (settings.CreditSettings != null && settings.CreditSettings.ExposureDates != null && settings.ReportingCurrency != null && settings.CreditSettings.Metric == BaseMetric.ExpectedCapital)
{
Engine.IncrementDepth();
_capitalCalc = new ExpectedCapitalCalculator(Portfolio, settings.CreditSettings.CounterpartyRiskWeighting, settings.CreditSettings.AssetIdToHedgeGroupMap, settings.ReportingCurrency, VanillaModel, settings.CreditSettings.ExposureDates);
Engine.AddPathProcess(_capitalCalc);
}
Engine.SetupFeatures();
}