コード例 #1
0
        public void calculate()
        {
            model_ = new HullWhite(discountCurve_, a_, sigma_);
            // initialize data structure
            // this includes time 0
            pfeMatrix_ = new Dictionary <int, List <List <double> > >(portfolio_.Count + 1); // last one is portfolio
            int nSteps = (int)timeGrid_.size();                                              // with mandatory steps, this may not equal to simsteps+1

            double npvPortfolio = 0;

            for (int v = 0; v < portfolio_.Count; v++)          // for each asset
            {
                DiscountingSwapEngine pricingEngine_ = new DiscountingSwapEngine(discountCurve_);
                portfolio_[v].setPricingEngine(pricingEngine_);
                double npv = portfolio_[v].NPV();
                npvPortfolio += npv;

                List <List <double> > oneDeal = new List <List <double> >(sampleSize_);
                for (int j = 0; j < sampleSize_; j++)
                {
                    List <double> oneDealOnePath = new List <double>(nSteps);
                    oneDealOnePath.Add(npv);
                    oneDeal.Add(oneDealOnePath);
                }
                pfeMatrix_.Add(v, oneDeal);
            }
            // portfolio
            List <List <double> > onePort = new List <List <double> >(sampleSize_);

            for (int j = 0; j < sampleSize_; j++)
            {
                List <double> onePortOnePath = new List <double>(nSteps);
                onePortOnePath.Add(npvPortfolio);
                onePort.Add(onePortOnePath);
            }
            pfeMatrix_.Add(portfolio_.Count, onePort);
            // add fixing
            usdIndex_.addFixing(asOfDate_, discountCurve_.zeroRate(0.25, Compounding.Simple).rate());

            // For each sample path
            for (int i = 0; i < sampleSize_; i++)
            {
                SamplePath path = pathGenerator_.next();

                int steps = (int)path.value().timeGrid().size();
                Debug.WriteLine("Path time grid size is: " + steps +
                                " from time " + path.value().time(0) +
                                " to time " + path.value().time((uint)steps - 1));

                // for each simulation step
                for (uint j = 1; j < nSteps; j++)
                {
                    Date   d0 = schedule_.date(j);      // new start date
                    Date   dT = calendar_.advance(d0, 30, TimeUnit.Years);
                    double r0 = path.value().value(j);  // new short rate


                    Schedule sch = new Schedule(d0, dT, new Period(Frequency.Monthly), calendar_,
                                                BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing, DateGeneration.Rule.Forward, true);

                    DateVector   x = new DateVector();      // time
                    DoubleVector y = new DoubleVector();    // discount
                    for (uint ts = 0; ts < sch.size(); ts++)
                    {
                        x.Add(sch.date(ts));
                        y.Add(model_.discountBond(daycounter_.yearFraction(d0, d0),
                                                  daycounter_.yearFraction(d0, sch.date(ts)), r0));
                    }

                    // 1. construct discount yield curve
                    YieldTermStructure       newyieldcurve       = new DiscountCurve(x, y, daycounter_); // LogLinear by default
                    YieldTermStructureHandle newyieldcurvehandle = new YieldTermStructureHandle(newyieldcurve);
                    //forwardingTS_.linkTo(newyieldcurve);
                    DiscountingSwapEngine pricingEngine_ = new DiscountingSwapEngine(newyieldcurvehandle);
                    // 2. reprice each deal
                    Settings.instance().setEvaluationDate(d0);
                    double discount = discountCurve_.discount(d0);           // discount. Used for CVA/DVA

                    double sum = 0;
                    for (int v = 0; v < portfolio_.Count; v++)
                    {
                        portfolio_[v].setPricingEngine(pricingEngine_);
                        // add to path matrix
                        pfeMatrix_[v][i].Add(portfolio_[v].NPV());
                        sum += portfolio_[v].NPV();
                    }
                    pfeMatrix_[portfolio_.Count][i].Add(sum);

                    // clear fixings
                    usdIndex_.addFixing(asOfDate_, newyieldcurve.zeroRate(0.25, Compounding.Simple).rate());
                } // for each simulation step j
            }     // for each sample path i

            // restore settings
            Settings.instance().setEvaluationDate(settingsToday_);
        } // function end
コード例 #2
0
        public static object eqIRCurveLoadCurveFromDisk(
            [ExcelArgument(Description = "asofdate ")] DateTime asofdate,
            [ExcelArgument(Description = "Interpolation Method (Linear, LogLinear) ")] string interp,
            [ExcelArgument(Description = "trigger ")] object trigger)
        {
            if (ExcelUtil.CallFromWizard())
            {
                return("");
            }

            string callerAddress = "";

            callerAddress = ExcelUtil.getActiveCellAddress();

            try
            {
                Xl.Range rng = ExcelUtil.getActiveCellRange();
                if (ExcelUtil.isNull(asofdate))
                {
                    asofdate = DateTime.Today;
                }

                string[]             curves = new string[] { "USDOIS", "USDLIB3M", "USDLIB1M", "USDLIB6M", "USDLIB12M" };
                string               path;
                EliteQuant.IborIndex idx = new EliteQuant.USDLibor(new EliteQuant.Period(3, EliteQuant.TimeUnit.Months));

                foreach (var s in curves)
                {
                    string targetcurve;
                    if (s.Contains("@"))
                    {
                        targetcurve = s;
                    }
                    else
                    {
                        targetcurve = "CRV@" + s;
                    }

                    string interpmethod;
                    if (ExcelUtil.isNull(interp))
                    {
                        interpmethod = "LOGLINEAR";
                    }
                    else
                    {
                        interpmethod = interp.ToUpper();
                    }

                    path = EliteQuant.ConfigManager.Instance.IRRootDir + @"Curves\"
                           + EliteQuant.EQConverter.DateTimeToString(asofdate) + "\\";

                    string[] crv = System.IO.File.ReadAllLines(path + s + ".csv");

                    EliteQuant.DateVector   dtv   = new EliteQuant.DateVector();
                    EliteQuant.DoubleVector discv = new EliteQuant.DoubleVector();
                    foreach (var c in crv)
                    {
                        string[] cc = c.Split(',');
                        Date     dt = new Date(Convert.ToInt32(cc[0]));
                        dtv.Add(dt);
                        discv.Add(Convert.ToDouble(cc[1]));
                    }

                    YieldTermStructure yth = null;

                    if (interpmethod == "LINEAR")
                    {
                        yth = new EliteQuant.LinearDiscountCurve(dtv, discv, idx.dayCounter(), idx.fixingCalendar());
                    }
                    else
                    {
                        yth = new EliteQuant.DiscountCurve(dtv, discv, idx.dayCounter(), idx.fixingCalendar());
                    }

                    string targetcrvid = "CRV@" + s;
                    OHRepository.Instance.storeObject(targetcrvid, yth, callerAddress);     // callerAddress or null ?
                }

                return(asofdate);
            }
            catch (Exception e)
            {
                ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
                return(e.Message);
            }
        }