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
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);
}
}