public void ConstVol()
{
var constVolA = 0.32;
var constVolB = 0.16;
var originDate = new DateTime(2017, 02, 21);
var impliedSurfaceA = new ConstantVolSurface(originDate, constVolA)
{
AssetId = "A"
};
var impliedSurfaceB = new ConstantVolSurface(originDate, constVolB)
{
AssetId = "B"
};
var model = new AssetFxModel(originDate, null);
model.AddVolSurface("A", impliedSurfaceA);
model.AddVolSurface("B", impliedSurfaceB);
var timesteps = Enumerable.Range(1, 4).Select(x => x / 4.0).ToArray();
var termCorrels = new[] { 0.9, 0.85, 0.8, 0.75 };
var correlVector = new CorrelationTimeVector("A", "B", termCorrels, timesteps);
model.CorrelationMatrix = correlVector;
var lc = model.LocalCorrelationRaw(timesteps);
var lcVec = lc.Select(x => x[0][0]).ToArray();
for (var i = 0; i < termCorrels.Length; i++)
{
var expected = lcVec.Take(i + 1).Average();
Assert.Equal(expected, termCorrels[i], 8);
}
}
public void CorrelTimeVectorFacts()
{
var z = new CorrelationTimeVector();
z = new CorrelationTimeVector("x", "y", new[] { 0.999, 0.998 }, new[] { 1.0, 2.0 });
Assert.Throws <Exception>(() => z.GetCorrelation("x", "z"));
Assert.False(z.TryGetCorrelation("x", "z", out var c));
var zz = z.Clone();
var bumped = zz.Bump(0.5);
Assert.True(bumped.GetCorrelation("x", "y") < 1.0);
}
public static object CreateCorrelationTimeVecvtor(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Label A")] string LabelA,
[ExcelArgument(Description = "Labels B")] object[] LabelsB,
[ExcelArgument(Description = "Times")] double[] Times,
[ExcelArgument(Description = "Correlations")] double[,] Correlations,
[ExcelArgument(Description = "Interpolation type, default Linear")] object InterpType)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!Enum.TryParse <Interpolator1DType>(InterpType.OptionalExcel("Linear"), out var iType))
{
throw new Exception($"Could not parse interpolator type {InterpType}");
}
var matrix = new CorrelationTimeVector(LabelA, LabelsB.ObjectRangeToVector <string>(), Correlations.SquareToJagged(), Times, iType);
return ExcelHelper.PushToCache <ICorrelationMatrix>(matrix, ObjectName);
}));
}
private AssetFxMCModel GetSut()
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
var zar = TestProviderHelper.CurrencyProvider["ZAR"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var pair = new FxPair()
{
Domestic = zar, Foreign = usd, PrimaryCalendar = usdCal, SpotLag = 2.Bd()
};
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Interpolator1DType.Linear, usd, "DISCO");
var dates = new[] { buildDate, buildDate.AddDays(32), buildDate.AddDays(60), buildDate.AddDays(90) };
var times = dates.Select(d => buildDate.CalculateYearFraction(d, DayCountBasis.Act365F)).ToArray();
var vols = new[] { 0.32, 0.30, 0.29, 0.28 };
var comCurve = new PriceCurve(buildDate, dates, new[] { 100.0, 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new GridVolSurface(buildDate, new[] { 0.5 }, dates, vols.Select(x => new double[] { x }).ToArray(), StrikeType.ForwardDelta, Interpolator1DType.Linear, Interpolator1DType.LinearInVariance, DayCountBasis.Act365F)
{
AssetId = "CL"
};
var fxSurface = new ConstantVolSurface(buildDate, 0.16)
{
AssetId = "USD/ZAR"
};
var correlVector = new CorrelationTimeVector("CL", "USD/ZAR", _correls, times);
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>()
{
{ zar, 14.0 }
}, new List <FxPair>()
{
pair
}, new Dictionary <Currency, string> {
{ usd, "DISCO" }, { zar, "DISCO" }
});
fModel.SetupFx(fxM);
fModel.VolSurfaces.Add("ZAR/USD", fxSurface);
fModel.VolSurfaces.Add("USD/ZAR", fxSurface);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
aModel.CorrelationMatrix = correlVector;
var product1 = AssetProductFactory.CreateAsianOption(dates[1], dates[1], 1400, "CL", OptionType.Call, usdCal, dates[1], zar);
product1.TradeId = "P1";
product1.DiscountCurve = "DISCO";
product1.FxConversionType = FxConversionType.AverageThenConvert;
var product2 = AssetProductFactory.CreateAsianOption(dates[2], dates[2], 1400, "CL", OptionType.Call, usdCal, dates[2], zar);
product2.TradeId = "P2";
product2.DiscountCurve = "DISCO";
product2.FxConversionType = FxConversionType.AverageThenConvert;
var product3 = AssetProductFactory.CreateAsianOption(dates[3], dates[3], 1400, "CL", OptionType.Call, usdCal, dates[3], zar);
product3.TradeId = "P3";
product3.DiscountCurve = "DISCO";
product3.FxConversionType = FxConversionType.AverageThenConvert;
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product1, product2, product3
}
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
NumberOfPaths = (int)2.0.IntPow(15),
NumberOfTimesteps = 1,
ReportingCurrency = zar,
Parallelize = false,
LocalCorrelation = true,
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
