public static (IrCurve curve, double spotPrice) GetMetalCurveForCode(string cmxSettleFwdFilename, string cmxSymbol, FxPair metalPair, string curveName, DateTime valDate, IrCurve baseCurve, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider) { var blob = CMEFileParser.Instance.GetBlob(cmxSettleFwdFilename); var fwds = blob.Batch.Where(b => b.Instrmt.Sym == cmxSymbol).ToDictionary(x => x.Instrmt.MatDt, x => Convert.ToDouble(x.Full.Where(x => x.Typ == "6").First().Px)); var curveCcy = metalPair.Domestic; var bc = baseCurve.Clone(); bc.SolveStage = -1; var spotDate = metalPair.SpotDate(valDate); var spotRate = Convert.ToDouble(fwds[spotDate]); fwds = Downsample(fwds, spotDate, metalPair.PrimaryCalendar); var fwdObjects = fwds.Select(x => new FxForward { DomesticCCY = metalPair.Foreign, DeliveryDate = x.Key, DomesticQuantity = 1e6, ForeignCCY = metalPair.Domestic, PillarDate = x.Key, SolveCurve = curveName, Strike = Convert.ToDouble(x.Value), ForeignDiscountCurve = baseCurve.Name, }); var fic = new FundingInstrumentCollection(currencyProvider); fic.AddRange(fwdObjects); var pillars = fwds.Keys.OrderBy(x => x).ToArray(); var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), valDate, curveName, Interpolator1DType.Linear, curveCcy); var fm = new FundingModel(valDate, new[] { curve, bc }, currencyProvider, calendarProvider); var matrix = new FxMatrix(currencyProvider); var discoMap = new Dictionary <Currency, string> { { curveCcy, curveName }, { baseCurve.Currency, baseCurve.Name } }; matrix.Init(metalPair.Foreign, valDate, new Dictionary <Currency, double> { { metalPair.Domestic, spotRate } }, new List <FxPair> { metalPair }, discoMap); fm.SetupFx(matrix); var solver = new NewtonRaphsonMultiCurveSolverStaged() { InLineCurveGuessing = true }; solver.Solve(fm, fic); return(curve, spotRate); }
public static IrCurve StripFxBasisCurve(string cmeFwdFileName, FxPair ccyPair, string cmePair, Currency curveCcy, string curveName, DateTime valDate, IrCurve baseCurve, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider) { var fwdsDict = GetFwdFxRatesFromFwdFile(cmeFwdFileName, new Dictionary <string, string> { { ccyPair.ToString(), cmePair } }); var bc = baseCurve.Clone(); bc.SolveStage = -1; var fwds = fwdsDict[ccyPair.ToString()]; var spotDate = ccyPair.SpotDate(valDate); var spotRate = fwds[spotDate]; fwds = Downsample(fwds, spotDate, ccyPair.PrimaryCalendar); var fwdObjects = fwds.Select(x => new FxForward { DomesticCCY = ccyPair.Domestic, DeliveryDate = x.Key, DomesticQuantity = 1e6, ForeignCCY = ccyPair.Foreign, PillarDate = x.Key, SolveCurve = curveName, Strike = x.Value, ForeignDiscountCurve = ccyPair.Foreign == curveCcy ? curveName : baseCurve.Name, }); var fic = new FundingInstrumentCollection(currencyProvider); fic.AddRange(fwdObjects); var pillars = fwds.Keys.OrderBy(x => x).ToArray(); var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), valDate, curveName, Interpolator1DType.Linear, curveCcy); var fm = new FundingModel(valDate, new[] { curve, bc }, currencyProvider, calendarProvider); var matrix = new FxMatrix(currencyProvider); var discoMap = new Dictionary <Currency, string> { { curveCcy, curveName }, { baseCurve.Currency, baseCurve.Name } }; matrix.Init(ccyPair.Domestic, valDate, new Dictionary <Currency, double> { { ccyPair.Foreign, spotRate } }, new List <FxPair> { ccyPair }, discoMap); fm.SetupFx(matrix); var solver = new NewtonRaphsonMultiCurveSolverStaged() { InLineCurveGuessing = true }; solver.Solve(fm, fic); return(curve); }
public static IrCurve GetCurveForCode(string cmeId, string cmeFilename, string qwackCode, string curveName, Dictionary <string, FloatRateIndex> indices, Dictionary <string, string> curves, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider) { var parsed = CMEFileParser.Parse(cmeFilename).Where(r => r.ID == cmeId && r.SecTyp == "FUT"); var q = parsed.ToDictionary(x => DateTime.ParseExact(x.MatDt, "yyyy-MM-dd", CultureInfo.InvariantCulture), x => x.SettlePrice); var origin = DateTime.ParseExact(parsed.First().BizDt, "yyyy-MM-dd", CultureInfo.InvariantCulture); var instruments = parsed.Select(p => ToQwackIns(p, qwackCode, futureSettingsProvider, currencyProvider, indices, curves)).ToList(); var pillars = instruments.Select(x => x.PillarDate).OrderBy(x => x).ToArray(); var fic = new FundingInstrumentCollection(currencyProvider); fic.AddRange(instruments); var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), origin, curveName, Interpolator1DType.Linear, currencyProvider.GetCurrency("USD")); var fm = new FundingModel(origin, new[] { curve }, currencyProvider, calendarProvider); var solver = new NewtonRaphsonMultiCurveSolverStaged(); solver.Solve(fm, fic); return(curve); }