/// <summary>
/// public constructs, Fra Rate class acts as a
/// container which holds all the necessary information
/// </summary>
/// <param name="logger">logger</param>
/// <param name="cache">cache</param>
/// <param name="nameSpace">The clients namespace</param>
/// <param name="fixingCalendar">fixingCalendar</param>
/// <param name="rollCalendar">rollCalendar</param>
/// <param name="properties">curve properties</param>
/// <param name="instruments">list of instruments</param>
/// <param name="values">value of each instrument</param>
/// <param name="initialFraRates">initial guesses for fra rate</param>
/// <param name="shockedInsturmentIndices">array of shocked instrument indices</param>
/// <param name="initialRates"></param>
public FraSolver(ILogger logger, ICoreCache cache, string nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar,
NamedValueSet properties,
List <string> instruments,
IEnumerable <decimal> values,
IEnumerable <decimal> initialFraRates,
ICollection <int> shockedInsturmentIndices,
List <decimal> initialRates)
{
//SetInstruments(GetInstrumentIds(instruments));
Instruments = instruments;
Properties = properties.Clone();
SetRates(values);
FixingCalendar = fixingCalendar;
RollCalendar = rollCalendar;
//initially set the rates value to the initial curve rates
SetRateAdjustment(shockedInsturmentIndices.Count);
SetFraGuesses(initialFraRates);
Currency = Properties.GetString(CurveProp.Currency1, true);
SetDayCounter(cache, nameSpace, Currency);
SetShockedInstrumentIndices(shockedInsturmentIndices);
SetPropertiesOfShockedCurves(properties, shockedInsturmentIndices.Count);
SetInitialCurve(logger, cache, nameSpace, fixingCalendar, rollCalendar, Properties, Instruments.ToArray(), Rates.ToArray());
SetFraDates(cache, nameSpace, _initialCurve, ShockedInsturmentsIndices);
SetInitalFraRates(_initialCurve, FraStartDates, FraEndDates);
InitialRates = initialRates;
}
/// <summary>
/// Generates a perturbed curve for those items specified.
/// If the instruments are not valid they are excluded.
/// </summary>
/// <param name="perturbationArray">The perturbation Array: instrumentId and value.</param>
/// <returns></returns>
public IPricingStructure PerturbCurve(List <Pair <string, decimal> > perturbationArray)
{
if (PriceableOptionAssets == null)
{
return(null);
}
//Set the parameters and properties.
NamedValueSet properties = GetPricingStructureId().Properties.Clone();
string uniqueId = GetPricingStructureId().UniqueIdentifier;
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
curveProperties.Set("PerturbedCurve", true);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + "PerturbedCurve");
foreach (var instrument in perturbationArray)
{
//TODO clone the priceable assets.
var asset = PriceableOptionAssets.FindAll(a => a.Id.Equals(instrument.First));
if (asset[0] == null)
{
continue;
}
var temp = asset[0];
temp.MarketQuote.value = temp.MarketQuote.value + instrument.Second / 10000;
}
//Create the new curve.
var capVolatilityCurve = new CapVolatilityCurve(curveProperties, PriceableOptionAssets, DiscountCurve, ForecastCurve, Holder);
return(capVolatilityCurve);
}
//public static NamedValueSet CombinePropertySets(NamedValueSet baseProperties, NamedValueSet additionalProperties)
//{
// var properties = additionalProperties.ToDictionary();
// foreach (var nvs in properties.Keys)
// {
// var value = properties[nvs];
// baseProperties.Set(nvs, value);
// }
// return baseProperties;
//}
public static NamedValueSet CombinePropertySetsClone(NamedValueSet baseProperties, NamedValueSet additionalProperties)
{
var properties = additionalProperties.ToDictionary();
var cloneProperties = baseProperties.Clone();
foreach (var nvs in properties.Keys)
{
var value = properties[nvs];
cloneProperties.Set(nvs, value);
}
return(cloneProperties);
}
/// <summary>
/// Create a Sorted list of bootstrap engines from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
/// <param name="discountCurve">The discount rate curve.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, CapVolatilityCurve> CreateCurves(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, IRateCurve discountCurve, IRateCurve forecastCurve, String[] instruments,
Decimal[] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, rawVolatilityGrid, null);
var engines = new SortedList <decimal, CapVolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var engine = new CapVolatilityCurve(logger, cache, nameSpace, clonedProperties, quotedAssetSet, discountCurve, forecastCurve, null, null);
// Add engine
engines.Add(0, engine);
return(engines);
}
/// <summary>
/// Create a Sortedlist of volatility curves from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, VolatilityCurve> VolatilityCurveCreate(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, String[] instruments,
Decimal[] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, rawVolatilityGrid, null);
var engines = new SortedList <decimal, VolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var volatilityCurve = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties, quotedAssetSet);
// Add engine
if (volatilityCurve is VolatilityCurve vCurve)
{
engines.Add(0, vCurve);
}
return(engines);
}
/// <summary>
/// PreCondition, check the initialCurvePorperties
/// </summary>
/// <param name="initialCurvePorperties"></param>
/// <param name="numOfShockedInsturments"></param>
private void SetPropertiesOfShockedCurves(NamedValueSet initialCurvePorperties, int numOfShockedInsturments)
{
ShockedCurvesProperties = new List <NamedValueSet>();
for (int i = 0; i < numOfShockedInsturments; ++i)
{
NamedValueSet newProperties = initialCurvePorperties.Clone();
string curveName = initialCurvePorperties.GetString(CurveProp.CurveName, false);
if (!string.IsNullOrEmpty(curveName))
{
newProperties.Set(CurveProp.CurveName, curveName + "ShockedCurve-" + i);
}
string id = initialCurvePorperties.GetString("Identifier", false);
if (!string.IsNullOrEmpty(id))
{
newProperties.Set(CurveProp.CurveName, id + "ShockedCurve-" + i);
}
ShockedCurvesProperties.Add(newProperties);
}
}
/// <summary>
/// Creates the basic rate curve risk set, using the current curve as the base curve.
/// This function takes a curves, creates a rate curve for each instrument and applying
/// supplied basis point pertubation/spread to the underlying instrument in the spread curve
/// </summary>
/// <param name="basisPointPerturbation">The basis point perturbation.</param>
/// <returns>A list of pertubed rate curves</returns>
public override List <IPricingStructure> CreateCurveRiskSet(decimal basisPointPerturbation)
{
if (PriceableOptionAssets == null)
{
return(null);
}
//Set the parameters and properties.
decimal perturbation = basisPointPerturbation / 10000.0m;
NamedValueSet properties = GetPricingStructureId().Properties.Clone();
properties.Set("PerturbedAmount", basisPointPerturbation);
string uniqueId = GetPricingStructureId().UniqueIdentifier;
//Get the assets
int index = 0;
var structures = new List <IPricingStructure>();
//Get the original quotes
var quotes = GetMarketQuotes(PriceableOptionAssets);
//Copy the assets.
var priceableRateOptionAssets = new IPriceableOptionAssetController[PriceableOptionAssets.Count];
PriceableOptionAssets.CopyTo(priceableRateOptionAssets);
foreach (var instrument in priceableRateOptionAssets)
{
var perturbations = new decimal[quotes.Count];
quotes.CopyTo(perturbations);
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
perturbations[index] = quotes[index] + perturbation;
curveProperties.Set("PerturbedAsset", instrument.Id);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + instrument.Id);
curveProperties.Set(CurveProp.Tolerance, Tolerance);
//Perturb the quotes
PerturbedPriceableAssets(priceableRateOptionAssets.ToList(), perturbations);
IPricingStructure rateCurve = new CapVolatilityCurve(curveProperties, priceableRateOptionAssets.ToList(), DiscountCurve, ForecastCurve, Holder);
structures.Add(rateCurve);
//Set the counter.
perturbations[index] = 0;
index++;
}
return(structures);
}
/// <summary>
/// Creates the basic rate curve risk set.
/// This function takes a curves, creates a rate curve for each instrument and applying
/// supplied basis point pertubation/spread to the underlying instrument in the spread curve
/// </summary>
/// <param name="basisPointPerturbation">The basis point perturbation.</param>
/// <returns>A list of pertubed rate curves</returns>
public override List <IPricingStructure> CreateCurveRiskSet(decimal basisPointPerturbation)//TODO make proportional perturbations!
{
if (PriceableEquityAssets == null)
{
return(null);
}
//Set the parameters and properties.
decimal perturbation = basisPointPerturbation / 10000.0m;
NamedValueSet properties = GetPricingStructureId().Properties.Clone();
properties.Set("PerturbedAmount", basisPointPerturbation);
string uniqueId = GetPricingStructureId().UniqueIdentifier;
//Get the assets, BUT REMOVE ALL THE BASIS SWAPS, to prevent double accounting of risks.
int index = 0;
var structures = new List <IPricingStructure>();
//Get the original quotes
var quotes = GetMarketQuotes(PriceableEquityAssets);
foreach (var instrument in PriceableEquityAssets)
{
var perturbations = new decimal[quotes.Count];
quotes.CopyTo(perturbations);
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
perturbations[index] = quotes[index] + perturbation;
curveProperties.Set("PerturbedAsset", instrument.Id);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + instrument.Id);
curveProperties.Set(CurveProp.Tolerance, Tolerance);
//Create the new curve.
//Perturb the quotes
PerturbedPriceableAssets(PriceableEquityAssets, perturbations);
IPricingStructure fxCurve = new EquityCurve(curveProperties, PriceableEquityAssets, Holder);
structures.Add(fxCurve);
//Set the counter.
perturbations[index] = 0;
index++;
}
return(structures);
}
/// <summary>
/// Create a Sortedlist of bootstrap engines from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="strikes">The strike array.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, VolatilityCurve> VolatilityCurvesCreate(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, String[] instruments,
Decimal[] strikes, Decimal[,] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Check there are valid strikes
if (strikes != null && rawVolatilityGrid != null)
{
//The matrix is zero based, but the upper bound returns the last column index.
var volColumns = rawVolatilityGrid.GetUpperBound(1) + 1;
var columns = Math.Min(strikes.Length, volColumns);
var engines = new SortedList <decimal, VolatilityCurve>();
// Loop through the strikes to create each new engine
for (var i = 0; i < columns; i++)
{
decimal[] adjustedRates = GenerateVolatilityMatrix(instruments, i, rawVolatilityGrid);
clonedProperties.Set("Strike", strikes[i]);
clonedProperties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.DecimalRate.ToString());
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, adjustedRates, null);
var engine = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties, quotedAssetSet) as VolatilityCurve;
// Add engine
engines.Add(strikes[i], engine);
}
return(engines);
}
{
var engines = new SortedList <decimal, VolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var engine = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties,
instruments, null, null) as VolatilityCurve;
// Add engine
engines.Add(0, engine);
return(engines);
}
}
/// <summary>
/// Creates the basic rate curve risk set, using the current curve as the base curve.
/// This function takes a curves, creates a rate curve for each instrument and applying
/// supplied basis point perturbation/spread to the underlying instrument in the spread curve
/// </summary>
/// <param name="basisPointPerturbation">The basis point perturbation.</param>
/// <param name="pricingStructureRiskSetType">This determine which assets to perturb. </param>
/// <returns>A list of perturbed rate curves</returns>
private List <IPricingStructure> CreateCurveRiskSet(decimal basisPointPerturbation, PricingStructureRiskSetType pricingStructureRiskSetType)
{
var structures = new List <IPricingStructure>();
if (PriceableRateSpreadAssets == null)
{
return(structures);
}
//Add the spread asset perturbed curves.
//
//Set the parameters and properties.
decimal perturbation = basisPointPerturbation / 10000.0m;
NamedValueSet properties = GetPricingStructureId().Properties.Clone();
properties.Set("PerturbedAmount", basisPointPerturbation);
string uniqueId = GetPricingStructureId().UniqueIdentifier;
int index = 0;
//Perturb the base curve quote set
if (BaseCurve.PriceableRateAssets != null && pricingStructureRiskSetType != PricingStructureRiskSetType.Child)
{
var basequotes = GetMarketQuotes(BaseCurve.PriceableRateAssets);
foreach (var instrument in BaseCurve.PriceableRateAssets)
{
var perturbations = new decimal[basequotes.Count];
basequotes.CopyTo(perturbations);
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
perturbations[index] = basequotes[index] + perturbation;
curveProperties.Set("PerturbedAsset", instrument.Id);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + instrument.Id);
curveProperties.Set(CurveProp.Tolerance, Tolerance);
//Perturb the quotes
PerturbedPriceableAssets(BaseCurve.PriceableRateAssets, perturbations);
//Create the new curve.
var baseCurve = new RateCurve(curveProperties, BaseCurve.PriceableRateAssets, Holder);
IPricingStructure rateCurve = new RateBasisCurve(curveProperties, baseCurve,
PriceableRateSpreadAssets, Holder);
structures.Add(rateCurve);
//Set the counter.
perturbations[index] = 0;
index++;
}
}
//Perturb the spread curve quotes
if (pricingStructureRiskSetType != PricingStructureRiskSetType.Parent)
{
var spreadquotes = GetMarketQuotes(PriceableRateSpreadAssets);
index = 0;
foreach (var instrument in PriceableRateSpreadAssets)
{
var perturbations = new decimal[spreadquotes.Count];
spreadquotes.CopyTo(perturbations);
//Clone the properties.
NamedValueSet curveProperties = properties.Clone();
perturbations[index] = spreadquotes[index] + perturbation;
curveProperties.Set("PerturbedAsset", instrument.Id);
curveProperties.Set("BaseCurve", uniqueId);
curveProperties.Set(CurveProp.UniqueIdentifier, uniqueId + "." + instrument.Id);
curveProperties.Set(CurveProp.Tolerance, Tolerance);
//Perturb the quotes
PerturbedPriceableAssets(new List <IPriceableRateAssetController>(PriceableRateSpreadAssets),
perturbations);
IPricingStructure rateCurve = new RateBasisCurve(curveProperties, BaseCurve,
PriceableRateSpreadAssets, Holder);
structures.Add(rateCurve);
//Set the counter.
perturbations[index] = 0;
index++;
}
}
return(structures);
}
