public void CapletRateCouponAnalyicsNonDiscounted()
{
foreach (var val in paramRange)
{
IRateCouponParameters analyticModelParameters
= new RateCouponParameters
{
Rate = .05m,
DiscountType = DiscountType.None,
IsCall = true,
YearFraction = 0.25m,
NotionalAmount = 10000000m,
HasReset = false,
Volatility = .20m,
Strike = .05m,
EndDiscountFactor = 0.9m,
PaymentDiscountFactor = 0.99m,
StartDiscountFactor = 1.0m,
ExpiryYearFraction = val,
CurveYearFraction = val,
PeriodAsTimesPerYear = 0.25m
};
var model = new RateOptionCouponAnalytic
{
AnalyticParameters = analyticModelParameters
};
var result = model.ExpectedValue;
var delta1 = model.Delta1;
var delta0 = model.Delta0;
Debug.Print("ExpectedValue1 : {0} Delta1 : {1} Delta0 : {3} CurveYearFraction : {2} ", result, delta1,
analyticModelParameters.CurveYearFraction, delta0);
}
foreach (var val in paramRange)
{
IRateCouponParameters analyticModelParameters = new RateCouponParameters
{
Rate = .05m,
DiscountType = DiscountType.None,
IsCall = true,
YearFraction = val,
NotionalAmount = 10000000m,
HasReset = false,
Volatility = .20m,
Strike = .05m,
EndDiscountFactor = 0.9m,
PaymentDiscountFactor = 0.99m,
StartDiscountFactor = 1.0m,
ExpiryYearFraction = val,
CurveYearFraction = val,
PeriodAsTimesPerYear = 0.25m
};
var model = new RateOptionCouponAnalytic
{
AnalyticParameters = analyticModelParameters
};
var result = model.ExpectedValue;
var delta1 = model.Delta1;
var delta0 = model.Delta0;
Debug.Print("ExpectedValue2 : {0} Delta1 : {1} Delta0 : {4} CurveYearFraction : {2} YearFraction : {3}", result, delta1, analyticModelParameters.CurveYearFraction,
analyticModelParameters.YearFraction, delta0);
}
foreach (var val in paramRange)
{
IRateCouponParameters analyticModelParameters = new RateCouponParameters
{
Rate = .05m,
DiscountType = DiscountType.None,
IsCall = true,
YearFraction = 0.25m,
NotionalAmount = 10000000m,
HasReset = false,
Volatility = .20m,
Strike = val,
EndDiscountFactor = 0.9m,
PaymentDiscountFactor = 0.99m,
StartDiscountFactor = 1.0m,
ExpiryYearFraction = 3.0m,
CurveYearFraction = 3.0m,
PeriodAsTimesPerYear = 0.25m
};
var model = new RateOptionCouponAnalytic
{
AnalyticParameters = analyticModelParameters
};
var result = model.ExpectedValue;
var delta1 = model.Delta1;
var delta0 = model.Delta0;
Debug.Print("ExpectedValue3 : {0} Delta1 : {1} Delta0 : {4} ForwardRate : {2} Strike : {3}", result, delta1, analyticModelParameters.Rate,
analyticModelParameters.Strike, delta0);
}
foreach (var val in paramRange)
{
IRateCouponParameters analyticModelParameters = new RateCouponParameters
{
Rate = .05m,
DiscountType = DiscountType.None,
IsCall = true,
YearFraction = 0.25m,
NotionalAmount = 10000000m,
HasReset = false,
Volatility = val,
Strike = .05m,
EndDiscountFactor = 0.9m,
PaymentDiscountFactor = 0.99m,
StartDiscountFactor = 1.0m,
ExpiryYearFraction = 3.0m,
CurveYearFraction = 3.0m,
PeriodAsTimesPerYear = 0.25m
};
var model = new RateOptionCouponAnalytic
{
AnalyticParameters = analyticModelParameters
};
var result = model.ExpectedValue;
var delta1 = model.Delta1;
var delta0 = model.Delta0;
Debug.Print("ExpectedValue4 : {0} Delta1 : {1} Delta0 : {3} Volatility : {2}", result, delta1,
analyticModelParameters.Volatility, delta0);
}
foreach (var val in paramRange)
{
IRateCouponParameters analyticModelParameters = new RateCouponParameters
{
Rate = .05m,
DiscountType = DiscountType.None,
IsCall = true,
YearFraction = 0.25m,
NotionalAmount = 10000000m,
HasReset = false,
Volatility = 0.2m,
Strike = val,
EndDiscountFactor = 0.9m,
PaymentDiscountFactor = 0.99m,
StartDiscountFactor = 1.0m,
ExpiryYearFraction = 3.0m,
CurveYearFraction = 3.0m,
PeriodAsTimesPerYear = 0.25m
};
var model = new RateOptionCouponAnalytic
{
AnalyticParameters = analyticModelParameters
};
var result = model.ExpectedValue;
var delta1 = model.Delta1;
var delta0 = model.Delta0;
Debug.Print("ExpectedValue5 : {0} Delta1 : {1} Delta0 : {3} Strike : {2}", result, delta1,
analyticModelParameters.Strike, delta0);
}
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
AnalyticsModel = new RateOptionCouponAnalytic();
RequiresReset = modelData.ValuationDate > ResetDate;
IsRealised = HasBeenRealised(ModelData.ValuationDate);
TimeToExpiry = GetPaymentYearFraction(ModelData.ValuationDate, AdjustedFixingDate);
var volatilityCurveNodeTime = GetPaymentYearFraction(ModelData.ValuationDate, AccrualStartDate);
IFxCurve fxCurve = null;
IRateCurve discountCurve = null;
IRateCurve forecastCurve = null;
IVolatilitySurface indexVolSurface = null;
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.BreakEvenRate.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.BreakEvenRate.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue");
quotes.Add(quote);
}
//Check if risk calc are required.
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
ModelData.AssetValuation.quote = quotes.ToArray();
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
//// Determine if DFAM has been requested - if so that is all we evaluate - every other metric is ignored
//if (metrics.Contains(InstrumentMetrics.DiscountFactorAtMaturity))
//{
// metrics.RemoveAll(metricItem => metricItem != InstrumentMetrics.DiscountFactorAtMaturity);
//}
//Set the forecast rate dates. The ForecastRateInterpolation should have been set.
ForwardStartDate = AccrualStartDate;
ForwardEndDate = ForecastRateInterpolation ? AccrualEndDate : AdjustedDateHelper.ToAdjustedDate(FixingCalendar, ForecastRateIndex.indexTenor.Add(ForwardStartDate), AccrualBusinessDayAdjustments);
//Set the strike
var strike1 = 0.0m;
var strike2 = 0.0m;
var isCollar = false;
if (PriceableCouponType == CouponType.Cap)
{
if (CapStrike != null)
{
strike1 = (decimal)CapStrike;
}
}
if (PriceableCouponType == CouponType.Floor)
{
if (FloorStrike != null)
{
strike1 = (decimal)FloorStrike;
}
}
if (PriceableCouponType == CouponType.Collar)//TODO Need to add the Floor calculation which will require a new model or extension of the current model.
{
if (CapStrike != null)
{
strike1 = (decimal)CapStrike;
}
if (FloorStrike != null)
{
strike2 = (decimal)FloorStrike;
}
isCollar = true;
}
//var metricsToEvaluate = metrics.ToArray();
if (metrics.Count > 0)
{
YearFractionToCashFlowPayment = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
var reportingCurrency = ModelData.ReportingCurrency == null
? PaymentCurrency.Value
: ModelData.ReportingCurrency.Value;
IRateCouponParameters analyticModelParameters = new RateCouponParameters {
Multiplier = Multiplier,
ValuationDate = modelData.ValuationDate,
PaymentDate = PaymentDate,
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
DiscountType = DiscountType,
IsRealised = IsRealised,
HasReset = RequiresReset,
NotionalAmount = NotionalAmount.amount,
Spread = Margin,
YearFraction = CouponYearFraction,
CurveYearFraction = YearFractionToCashFlowPayment,
ExpiryYearFraction = TimeToExpiry,
IsCall = IsCall
};
// Curve Related
if (modelData.MarketEnvironment is ISwapLegEnvironment environment)
{
var streamMarket = environment;
discountCurve = streamMarket.GetDiscountRateCurve();
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
forecastCurve = streamMarket.GetForecastRateCurve();
forecastCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
indexVolSurface = streamMarket.GetVolatilitySurface();
indexVolSurface.PricingStructureEvolutionType = PricingStructureEvolutionType;
DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier;
ForecastCurveName = forecastCurve.GetPricingStructureId().UniqueIdentifier;
VolatilitySurfaceName = indexVolSurface.GetPricingStructureId().UniqueIdentifier;
// Bucketed Delta
if (BucketedDates.Length > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0],
BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve,
ModelData.
ValuationDate,
BucketedDates);
}
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
fxCurve = streamMarket.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
}
}
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
discountCurve = (IRateCurve)market.SearchForPricingStructureType(DiscountCurveName);
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
forecastCurve = (IRateCurve)market.SearchForPricingStructureType(ForecastCurveName);
forecastCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
indexVolSurface = (IVolatilitySurface)market.SearchForPricingStructureType(VolatilitySurfaceName);
indexVolSurface.PricingStructureEvolutionType = PricingStructureEvolutionType;
if (!UseObservedRate)
{
Rate = GetRate(ForwardStartDate, ForwardEndDate, forecastCurve, ModelData.ValuationDate);
}
//the rate params
analyticModelParameters.Rate = GetRate(ForwardStartDate, ForwardEndDate, forecastCurve, ModelData.ValuationDate);
// Bucketed Delta
if (BucketedDates.Length > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0],
BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve,
ModelData.
ValuationDate,
BucketedDates);
}
if (delta1PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta1PDH");
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (delta0PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(ForecastCurveName, "delta0PDH");
analyticModelParameters.Delta0PDHCurves = riskMarket;
analyticModelParameters.Delta0PDHPerturbation = 10;
}
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
string curveName = MarketEnvironmentHelper.ResolveFxCurveNames(PaymentCurrency.Value, modelData.ReportingCurrency.Value);
fxCurve = (IFxCurve)market.SearchForPricingStructureType(curveName);
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
}
}
}
analyticModelParameters.DiscountCurve = discountCurve;
analyticModelParameters.ForecastCurve = forecastCurve;
analyticModelParameters.VolatilitySurface = indexVolSurface;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
AnalyticModelParameters = analyticModelParameters;
//Set the base rate. Default is zero
if (AnalyticModelParameters != null)
{
AnalyticModelParameters.BaseRate = BaseRate;
}
if (UseObservedRate)
{
AnalyticsModel = new FixedRateCouponAnalytic(ModelData.ValuationDate, AccrualStartDate, AccrualEndDate, PaymentDate, Rate,
analyticModelParameters.YearFraction, DiscountType, fxCurve, discountCurve, forecastCurve);
if (Rate != null)
{
analyticModelParameters.Rate = (decimal)Rate;
}
}
if (!isCollar)
{
AnalyticsModel = new RateOptionCouponAnalytic(ModelData.ValuationDate, AccrualStartDate, AccrualEndDate, PaymentDate, volatilityCurveNodeTime,
strike1, fxCurve, discountCurve, forecastCurve, indexVolSurface);
}
else
{
AnalyticsModel = new RateOptionCouponAnalytic(ModelData.ValuationDate, AccrualStartDate, AccrualEndDate, PaymentDate, volatilityCurveNodeTime,
strike1, strike2, fxCurve, discountCurve, forecastCurve, indexVolSurface);
}
CalculationResults = AnalyticsModel.Calculate <IRateInstrumentResults, RateInstrumentResults>(AnalyticModelParameters, metrics.ToArray());
CalculationPerformedIndicator = true;
PaymentDiscountFactor = ((FixedRateCouponAnalytic)AnalyticsModel).PaymentDiscountFactor;
if (!UseObservedRate)
{
Rate = CalculationResults.BreakEvenRate;
}
ForecastAmount = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyExpectedValue, PaymentAmount.currency);
NPV = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyNPV, PaymentAmount.currency);
}
AssetValuation valuation = GetValue(CalculationResults, modelData.ValuationDate);
valuation.id = Id;
return(valuation);
}
