public void FactorPriceCurveFact()
{
var baseCurve = new ConstantPriceCurve(100, DateTime.Today, TestProviderHelper.CurrencyProvider)
{
AssetId = "wooo",
Currency = TestProviderHelper.CurrencyProvider.GetCurrency("USD"),
CollateralSpec = "hooo",
Name = "booo",
SpotCalendar = TestProviderHelper.CalendarProvider.Collection["NYC"],
SpotLag = new Dates.Frequency("0d")
};
var sut = new FactorPriceCurve(baseCurve, 3);
Assert.Equal(300.0, sut.GetPriceForDate(DateTime.Today));
Assert.Equal(300.0, sut.GetPriceForFixingDate(DateTime.Today));
Assert.Equal(300.0, sut.GetAveragePriceForDates(new[] { DateTime.Today, DateTime.Today.AddDays(1) }));
Assert.Equal(baseCurve.AssetId, sut.AssetId);
Assert.Equal(baseCurve.Currency, sut.Currency);
Assert.Equal(baseCurve.Name, sut.Name);
Assert.Equal(baseCurve.SpotCalendar, sut.SpotCalendar);
Assert.Equal(baseCurve.SpotLag, sut.SpotLag);
Assert.Equal(baseCurve.CurveType, sut.CurveType);
Assert.Equal(baseCurve.PillarDates, sut.PillarDates);
Assert.Equal(baseCurve.NumberOfPillars, sut.NumberOfPillars);
Assert.Equal(baseCurve.BuildDate, sut.BuildDate);
Assert.Equal(baseCurve.UnderlyingsAreForwards, sut.UnderlyingsAreForwards);
Assert.Equal(baseCurve.PillarDatesForLabel(DateTime.Today.ToString("yyyy-MM-dd")), sut.PillarDatesForLabel(DateTime.Today.ToString("yyyy-MM-dd")));
Assert.Throws <NotImplementedException>(() => sut.RebaseDate(DateTime.Today));
Assert.Throws <NotImplementedException>(() => sut.Name = "yooooo");
Assert.Throws <NotImplementedException>(() => sut.Currency = null);
Assert.Throws <NotImplementedException>(() => sut.SpotCalendar = null);
Assert.Throws <NotImplementedException>(() => sut.SpotLag = new Dates.Frequency());
Assert.Throws <NotImplementedException>(() => sut.GetDeltaScenarios(0.0, DateTime.Today));
}
public void Process(IPathBlock block)
{
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var stepsByFactor = new Dictionary <int, Vector <double>[]>();
foreach (var ix in _assetIndices)
{
stepsByFactor.Add(ix, block.GetStepsForFactor(path, ix).ToArray());
}
var indexCounter = 0;
var nextIndex = _calculationDateIndices[indexCounter];
var steps = stepsByFactor.First().Value;
var fixingDictionaries = _assetFxModel.FixingDictionaryNames.ToDictionary(x => x, x => (IFixingDictionary) new FixingDictionary(_assetFxModel.GetFixingDictionary(x)));
for (var i = 0; i < steps.Length; i++)
{
var d = _timeFeature.Dates[i];
for (var j = 0; j < Vector <double> .Count; j++)
{
for (var a = 0; a < _assetIndices.Length; a++)
{
if (!fixingDictionaries.TryGetValue(_assetIds[a], out var fd))
{
throw new Exception($"Fixing dictionary not found for asset {_assetIds[a]} ");
}
fd[d] = stepsByFactor[a][i][j];
}
}
if (i == nextIndex)
{
var currentDate = _calculationDates[indexCounter];
var newModel = _assetFxModel.Clone();
newModel.OverrideBuildDate(currentDate);
newModel.AddFixingDictionaries(fixingDictionaries);
var spotsByAsset = stepsByFactor.ToDictionary(x => x.Key, x => x.Value[i]);
for (var j = 0; j < Vector <double> .Count; j++)
{
//build on-path price curves in model
foreach (var spot in spotsByAsset)
{
var assetId = _assetIds[spot.Key];
var baseCurve = _assetFxModel.GetPriceCurve(assetId);
var spotOnCurve = baseCurve.GetPriceForFixingDate(currentDate);
var ratio = spot.Value[j] / spotOnCurve;
var newCurve = new FactorPriceCurve(baseCurve, ratio);
newModel.AddPriceCurve(assetId, newCurve);
}
var ead = _portfolio.SaCcrEAD(newModel, _reportingCurrency, _assetIdToGroupMap);
var capital = _counterpartyRiskWeight * ead;
if (!_expectedCapital.ContainsKey(currentDate))
{
lock (_threadLock)
{
if (!_expectedCapital.ContainsKey(currentDate))
{
_expectedCapital.Add(currentDate, 0.0);
}
}
}
if (double.IsNaN(capital) || double.IsInfinity(capital))
{
throw new Exception("Invalid capital generated");
}
_expectedCapital[currentDate] += capital;
}
indexCounter++;
nextIndex = indexCounter < _calculationDateIndices.Length
? _calculationDateIndices[indexCounter] : int.MaxValue;
}
}
}
}
