public void Portfolio()
{
var bd = DateTime.Parse("2018-09-13");
var swp = AssetProductFactory.CreateTermAsianSwap(bd, bd.AddYears(1), 100, "AssetX", CalendarProvider.Collection["USD"], bd.AddYears(2), CcyProvider.GetCurrency("USD"));
var pf = new Portfolio()
{
Instruments = new List <IInstrument>()
};
Assert.Empty(PortfolioEx.AssetIds(pf));
pf.Instruments = new List <IInstrument> {
swp
};
Assert.Equal(swp.LastSensitivityDate, pf.LastSensitivityDate);
Assert.Equal("AssetX", PortfolioEx.AssetIds(pf).First());
Assert.Equal(bd.AddYears(2), pf.LastSensitivityDate);
var deets = PortfolioEx.Details(pf);
Assert.Throws <NotImplementedException>(() => pf.TradeId);
Assert.Throws <NotImplementedException>(() => pf.Counterparty);
Assert.Throws <NotImplementedException>(() => pf.Counterparty = null);
}
public void TurboPFETest()
{
var CI = 0.95;
var am = GetModel();
var swap = AssetProductFactory.CreateTermAsianSwap(valDate.AddDays(100), valDate.AddDays(100), assetPrice, "CL", null, valDate.AddDays(101), usd);
swap.DiscountCurve = "USD";
var pfe = swap.QuickPFE(CI, am);
var t = am.BuildDate.CalculateYearFraction(swap.AverageEndDate, Transport.BasicTypes.DayCountBasis.Act365F);
var pfePrice = assetPrice * Exp(-assetVol * assetVol * t / 2.0 + assetVol * Sqrt(t) * Statistics.NormInv(CI));
var expectedPfe = (pfePrice - swap.Strike) * swap.Notional;
Assert.Equal(expectedPfe, pfe, 6);
}
public void QuickPFETest()
{
var CI = 0.95;
var am = GetModel();
var swap = AssetProductFactory.CreateTermAsianSwap(valDate.AddDays(100), valDate.AddDays(100), assetPrice, "CL", null, valDate.AddDays(101), usd);
swap.DiscountCurve = "USD";
var pf = new Portfolio {
Instruments = new List <IInstrument> {
swap
}
};
var pfeCube = QuickPFECalculator.Calculate(am, pf, CI, usd, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var pfe = pfeCube.GetAllRows().Max(x => x.Value);
var t = am.BuildDate.CalculateYearFraction(swap.AverageEndDate, Transport.BasicTypes.DayCountBasis.Act365F);
var pfePrice = assetPrice * Exp(-assetVol * assetVol * t / 2.0 + assetVol * Sqrt(t) * Statistics.NormInv(CI));
var expectedPfe = (pfePrice - swap.Strike) * swap.Notional;
Assert.Equal(expectedPfe, pfe, 6);
}
private AssetFxMCModel GetSut(bool expensiveFutures, BaseMetric baseMetric = BaseMetric.PV)
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Math.Interpolation.Interpolator1DType.Linear, usd, "DISCO");
var comCurve = new PriceCurve(buildDate, new[] { buildDate, buildDate.AddDays(15), buildDate.AddDays(100) }, new[] { 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new ConstantVolSurface(buildDate, 0.32)
{
AssetId = "CL"
};
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>(), new List <FxPair>(), new Dictionary <Currency, string> {
{ usd, "DISCO" }
});
fModel.SetupFx(fxM);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
var product = AssetProductFactory.CreateTermAsianSwap(buildDate.AddDays(10), buildDate.AddDays(20), 99, "CL", usdCal, buildDate.AddDays(21), usd);
product.TradeId = "waaah";
product.DiscountCurve = "DISCO";
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product
}
};
var creditSettings = new CreditSettings
{
ExposureDates = new DateTime[] { buildDate.AddDays(5), buildDate.AddDays(20), buildDate.AddDays(22) },
Metric = baseMetric
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
McModelType = McModelType.Black,
NumberOfPaths = 2048,
NumberOfTimesteps = 1,
ReportingCurrency = usd,
ExpensiveFuturesSimulation = expensiveFutures,
Parallelize = false,
FuturesMappingTable = new Dictionary <string, string> {
{ "CL", "CL" }
},
CreditSettings = creditSettings
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}