public override void PriceTradelet(Tradelet tradelet, Exposure _expo, DateTime marketDate)
{
Trade trade = tradelet.MyTrade;
if (trade.isExcercised) return;
Product prod = tradelet.MyTrade.MyProduct;
CurveSeries curves = prod.ReturnCurveSeries();
VolCurveSeries volCurves = prod.ReturnVolCurveSeries();
TradingCenter tc = prod.TC;
double Premium, Delta, FwdDelta, Gamma, FwdGamma, Vega, Theta, Rho, vol, priceUL, iRate, hcRate;
DateTime expDate, matDate;
iRate = 0; //@@@
hcRate = 0; // @@@
List<DateTime> delDates, expoDates;
double nrDays = (tradelet.DelEnd - tradelet.DelStart).TotalDays;
double dailyDelta;
if (trade.OptionTenorType == TENOR_TYPE.DAY) // @@@better switch! also we can use EACHTENOR! which provides exactely this!!
{
delDates = TradingCenter.TCEachDay(tradelet.DelStart, tradelet.DelEnd).ToList();
}
else
{
delDates = new List<DateTime>();
delDates.Add(tradelet.DelStart);
}
foreach (DateTime day in delDates.Where(k => k > marketDate).ToList()) // no exposure on option trades, although we should never get here as expired? @@@ first introduce an "Expired!"
{
expDate = tc.GetGasOptExDate(trade.OptionTenorType, day, isExchange);
if (expDate <= marketDate) break; // @@@ make dates eventually with hours, etc. // on marketDate the excercise will be triggered
matDate = tc.GetGasMaturityDate(trade.OptionTenorType, day, isExchange); // @@@ ICE payment date?
priceUL = curves.GetValue(trade.OptionTenorType, day, marketDate);
vol = volCurves.GetValue(trade.OptionTenorType, day, marketDate, SURFACE_TYPE.MONEYNESS, trade.Strike / priceUL);
Debugger.AddDebugLine("Dnum = " + trade.DealID + "; marketDate = " + marketDate.ToShortDateString() + "; expDate = " + expDate.ToShortDateString());
RWE_API.Final_Wrapper.GenOptWithGreeks(out Premium, out Delta, out FwdDelta, out Gamma, out FwdGamma, out Vega,
out Theta, out Rho, trade.OptionType, priceUL, trade.Strike, vol, iRate, hcRate, expDate, matDate, marketDate);
dailyDelta = prod.UnitSet.ToFullSize(trade.Volume, 1) * FwdDelta; //@@@ watch out for Exposure Type FWDDELTA vs DELTA!! ... fix
if (trade.OptionTenorType == TENOR_TYPE.DAY)
{
expoDates = new List<DateTime>(); expoDates.Add(day);
}
else
{
expoDates = delDates;
}
SplitExpoToDaily_tofix(_expo, EXPOSURE_TYPE.DELTA, expoDates, dailyDelta);
SplitExpoToDaily_tofix(_expo, EXPOSURE_TYPE.PNL, expoDates, dailyDelta * (Premium - trade.Price));
// @@@ CFDate wrong
}
}
public void PriceSet()
{
foreach (Trade trade in _trades.Values) trade.PriceTrade(this.MarketDate);
this.Expo = Exposure.CumulateExposures(this.MarketDate, _trades.Values.Select(k => k._expo), Exposure.StandardUnit, Exposure.StandardCCY); // @@@ add to Backtest as settings
Product prod;
foreach (string name in GetProductNames())
{
prod = DynamicData.GetProduct(name);
this.ProductExpoures[name] = Exposure.CumulateExposures(this.MarketDate, _trades.Values.Where(k => k.ProductName == name).Select(k => k._expo), prod.UnitName, prod.CCY);
}
}
/// <summary>
/// Creates a new ExposureItem that has accumulated every expoType in every tenorType over one MarketDate. @@@ slow?
/// [Note CF is accumulated on delivery date?? @@@ check // plus how to accumulate monthly?]
/// </summary>
public static Exposure CumulateExposures(DateTime marketDate, IEnumerable<Exposure> items, string targetUnit, string targetCCY)
{
var totalExpo = new Exposure(marketDate, DynamicData.GetUnit(targetUnit), targetCCY); // @@@ all total Exposures are in therms/EUR - create a new Exposure Constructor and add this to the backtest as setting.
foreach(Exposure expo in items) // exposure of different items, e.g. different trades or portfolios
{
foreach (int tenor in TENOR_TYPE.ToStringMapper.Keys) // @@ why loop this way /
{
foreach (int expoType in expo.DataContainer.Keys)
{
foreach (DateTime day in expo.DataContainer[tenor][expoType].Keys) totalExpo.AddExpo(expoType, tenor, day, expo.GetExpoValue(expoType, day, tenor) * 1); //Unit.ConvertVolume(expo.UnitSet, totalExpo.UnitSet));
}
}
}
return totalExpo;
}
public void PriceTrade(DateTime marketDate)
{
_expo = new Exposure(marketDate, DynamicData.GetUnit(this.UnitName), this.CCY);
foreach (Tradelet item in this.tradelets.Values) { _instrument.PriceTradelet(item, _expo, marketDate); }
}
// remember: 'virtual' can be overwritten, 'abstract' must be overwritten
public virtual void PriceTradelet(Tradelet tradelet, Exposure _expo, DateTime marketDate)
{
if (tradelet.DelEnd < marketDate) return;
Trade trade = tradelet.MyTrade;
Product prod = tradelet.MyTrade.MyProduct;
CurveSeries curves = prod.ReturnCurveSeries();
TradingCenter tc = prod.TC;
List<DateTime> delDates, expoDates;
double nrDays = (tradelet.DelEnd - tradelet.DelStart).TotalDays;
double dailyDelta;
delDates = TradingCenter.TCEachDay(tradelet.DelStart, tradelet.DelEnd).ToList();
double priceUL = 0;
foreach (DateTime day in delDates)
{
if (day > marketDate) priceUL = curves.GetValue(TENOR_TYPE.DAY, day, marketDate);
dailyDelta = prod.UnitSet.ToFullSize(trade.Volume, 1);
_expo.AddExpo(EXPOSURE_TYPE.DELTA, TENOR_TYPE.DAY, day, dailyDelta);
if(day > marketDate) _expo.AddExpo(EXPOSURE_TYPE.PNL, TENOR_TYPE.DAY, day, dailyDelta * (priceUL - trade.Price));
}
}
private void SplitExpoToDaily_tofix(Exposure expo, int expoType, IEnumerable<DateTime> expoDates, double expoValue)
{
foreach (DateTime day in expoDates)
{
expo.AddExpo(EXPOSURE_TYPE.DELTA, TENOR_TYPE.DAY, day, expoValue);
}
}