public void FixedRateCouponAnalyicsNonDiscounted()
{
IRateCouponParameters analyticModelParameters = new RateCouponParameters
{
Rate = .05m,
DiscountType = DiscountType.None,
YearFraction = 0.25m,
NotionalAmount = 10000000m,
HasReset = false,
PaymentDiscountFactor = 0.99m,
StartDiscountFactor = .999m,
EndDiscountFactor = 0.99m,
CurveYearFraction = 3.0m
};
var model = new FixedRateCouponAnalytic();
model.AnalyticParameters = analyticModelParameters;
var value = analyticModelParameters.NotionalAmount * analyticModelParameters.Rate * analyticModelParameters.YearFraction;
var result = model.ImpliedQuote;
var delta1 = model.Delta1;
var delta0 = model.Delta0;
var expectedValue = model.ExpectedValue;
Debug.Print(result.ToString());
Debug.Print(value.ToString());
Debug.Print(delta1.ToString());
Debug.Print(delta0.ToString());
Debug.Print(expectedValue.ToString());
Assert.AreEqual(delta1, 37.125m);
Assert.AreEqual(delta0, 0.0m);
Assert.AreEqual(expectedValue, 125000m);
}
public void FixedRateCouponAnalyicsDiscountedBuckettedDelta1()
{
IRateCouponParameters analyticModelParameters = new RateCouponParameters
{
//Rate = .05m,
DiscountType = DiscountType.AFMA,
YearFraction = 0.25m,
NotionalAmount = 10000000m,
HasReset = false,
EndDiscountFactor = 0.9m,
PaymentDiscountFactor = 0.99m,
StartDiscountFactor = 1.0m,
CurveYearFraction = 3.1m,
PeriodAsTimesPerYear = 0.25m
};
var model = new FixedRateCouponAnalytic
{
AnalyticParameters = analyticModelParameters
};
var value = analyticModelParameters.NotionalAmount * analyticModelParameters.Rate * analyticModelParameters.YearFraction;
var result = model.BucketedDeltaVector2;
var sum = 0.0m;
foreach (var element in result)
{
Debug.Print(element.ToString());
// Assert.AreEqual(element, -3.0178326474622770919067215333m);
}
foreach (var element in result)
{
sum += element;
// Assert.AreEqual(element, -3.0178326474622770919067215333m);
}
Debug.Print(sum.ToString());
}
public void FixedRateCouponAnalyticsDiscounted()
{
IRateCouponParameters analyticModelParameters = new RateCouponParameters
{
Rate = .05m,
DiscountType = DiscountType.AFMA,
YearFraction = 0.25m,
NotionalAmount = 10000000m,
HasReset = false,
EndDiscountFactor = 0.9m,
PaymentDiscountFactor = 0.99m,
StartDiscountFactor = 1.0m,
CurveYearFraction = 3.0m,
PeriodAsTimesPerYear = 0.25m,
DiscountRate = .05m
};
var model = new FixedRateCouponAnalytic
{
AnalyticParameters = analyticModelParameters
};
var value = analyticModelParameters.NotionalAmount * analyticModelParameters.Rate * analyticModelParameters.YearFraction;
var result = model.ImpliedQuote;
var delta1 = model.Delta1;
var delta0 = model.Delta0;
var expectedValue = model.ExpectedValue;
Debug.Print(result.ToString());
Debug.Print(value.ToString());
Debug.Print(delta1.ToString());
Debug.Print(delta0.ToString());
Debug.Print(expectedValue.ToString());
Assert.AreEqual(delta1, 36.666666666666666666666666630m);
}
public void FixedRateCouponAnalyicsNonDiscounted()
{
IRateCouponParameters anlayticModelParameters = new RateCouponParameters();
anlayticModelParameters.Rate = .05m;
anlayticModelParameters.IsDiscounted = false;
anlayticModelParameters.YearFraction = 0.25m;
anlayticModelParameters.NotionalAmount = 10000000m;
anlayticModelParameters.HasReset = false;
anlayticModelParameters.EndDiscountFactor = 0.9m;
anlayticModelParameters.PaymentDiscountFactor = 0.99m;
anlayticModelParameters.StartDiscountFactor = 1.0m;
anlayticModelParameters.CurveYearFraction = 3.0m;
var model = new FixedRateCouponAnalytic
{
AnalyticParameters = anlayticModelParameters
};
var value = anlayticModelParameters.NotionalAmount * anlayticModelParameters.Rate * anlayticModelParameters.YearFraction;
var result = model.ImpliedQuote;
var delta1 = model.Delta1;
var delta0 = model.Delta0;
var expectedValue = model.ExpectedValue;
Debug.Print(result.ToString());
Debug.Print(value.ToString());
Debug.Print(delta1.ToString());
Debug.Print(delta0.ToString());
Debug.Print(expectedValue.ToString());
Assert.AreEqual(delta1, -37.125m);
Assert.AreEqual(delta0, 0.0m);
Assert.AreEqual(expectedValue, 125000m);
}
public void TestBucketedDelta1()
{
DateTime swapStartDate = new DateTime(2008, 7, 22);
int len = _bucketedDates.Length;
var couponAnalytics = new FixedRateCouponAnalytic[len - 1];
IRateCouponParameters[] analyticModelParameters = new RateCouponParameters[len - 1];
int index = 0;
for (int i = 1; i < len; ++i)
{
IRateCouponParameters cp = new RateCouponParameters();
cp.BucketedDates = CreateArray <DateTime>(_bucketedDates, 0, i + 1);
cp.BucketedDiscountFactors = CreateArray <Decimal>(_bucketedDiscountFactors, 0, i + 1);
analyticModelParameters[index] = cp;
FixedRateCouponAnalytic am = new FixedRateCouponAnalytic();
am.AnalyticParameters = cp;
am.AnalyticParameters.YearFraction = (_bucketedDates[index + 1] - _bucketedDates[index]).Days / 365.0m;
am.AnalyticParameters.StartDiscountFactor = _bucketedDiscountFactors[index];
am.AnalyticParameters.EndDiscountFactor = _bucketedDiscountFactors[index + 1];
am.AnalyticParameters.NotionalAmount = 1.0m;
am.AnalyticParameters.Rate = 0.07431m;
am.AnalyticParameters.CurveYearFraction = (_bucketedDates[i] - swapStartDate).Days / 365;
am.AnalyticParameters.PeriodAsTimesPerYear = 0.5m;
couponAnalytics[index] = am;
++index;
}
Decimal bucketedDelta = 0.0m;
for (int i = 0; i < analyticModelParameters.Length; ++i)
{
bucketedDelta += couponAnalytics[i].BucketedDelta1;
}
}
public void Test2BucketedDelta1()
{
Decimal[] bucketedDFs = { 1.0m, 0.982613396m, 0.967914626m, 0.951866237m,
0.935722838m, 0.920271649m, 0.90599351m, 0.891917121m,
0.876331328m, 0.857381051m, 0.838427108m, 0.819274593m,
0.800559587m, 0.786315952m, 0.77267004m, 0.75896562m,
0.745504268m, 0.731916167m, 0.719003072m, 0.705894128m,
0.693024188m, 0.682143198m, 0.671798015m, 0.661269003m,
0.650905012m, 0.641254932m, 0.632061478m, 0.622696653m,
0.61347058m };
Decimal[] curveYearFractions = { 0.0m, 0.4958904110m, 1.0m, 1.495890411m,
2.005479452m, 2.495890411m, 3.002739726m, 3.501369863m,
4.002739726m, 4.498630137m, 5.002739726m, 5.498630137m,
6.002739726m, 6.498630137m };
FixedRateCouponAnalytic[] couponAnalytics;
IRateCouponParameters[] analyticModelParameters;
int len = curveYearFractions.Length;
analyticModelParameters = new RateCouponParameters[len];
couponAnalytics = new FixedRateCouponAnalytic[len];
for (int i = 0; i < len; ++i)
{
IRateCouponParameters cp = new RateCouponParameters();
cp.BucketedDiscountFactors = bucketedDFs;
analyticModelParameters[i] = cp;
FixedRateCouponAnalytic am = new FixedRateCouponAnalytic();
am.AnalyticParameters = cp;
am.AnalyticParameters.StartDiscountFactor = bucketedDFs[0];
am.AnalyticParameters.EndDiscountFactor = bucketedDFs[len - 1];
am.AnalyticParameters.NotionalAmount = 10000000.0m;
am.AnalyticParameters.Rate = 0.07m;
am.AnalyticParameters.YearFraction = 0.495890411m;
am.AnalyticParameters.CurveYearFraction = curveYearFractions[i];
am.AnalyticParameters.PeriodAsTimesPerYear = 0.252054795m;
couponAnalytics[i] = am;
}
Decimal bucketedDelta = 0.0m;
for (int i = 0; i < analyticModelParameters.Length; ++i)
{
bucketedDelta += couponAnalytics[i].BucketedDelta1;
}
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
AnalyticsModel = new FloatingRateCouponAnalytic();
RequiresReset = modelData.ValuationDate > ResetDate;
IsRealised = HasBeenRealised(ModelData.ValuationDate);
//Make sure there are some bucket dates even if not set previously.
if (BucketedDates.Length < 1)
{
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
}
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.BreakEvenRate.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.BreakEvenRate.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.RiskNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.RiskNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
//Check if risk calc are required.
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
ModelData.AssetValuation.quote = quotes.ToArray();
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
IFxCurve fxCurve = null;
IRateCurve discountCurve = null;
IRateCurve forecastCurve = null;
//// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
//if (metrics.Contains(InstrumentMetrics.DiscountFactorAtMaturity))
//{
// metrics.RemoveAll(metricItem => metricItem != InstrumentMetrics.DiscountFactorAtMaturity);
//}
//Set the forrecast rate dates. The ForecastRateInterpolation shhould have been set.
ForwardStartDate = AccrualStartDate;
ForwardEndDate = ForecastRateInterpolation ? AccrualEndDate : AdjustedDateHelper.ToAdjustedDate(FixingCalendar, ForecastRateIndex.indexTenor.Add(ForwardStartDate), AccrualBusinessDayAdjustments);
//var metricsToEvaluate = metrics.ToArray();
if (metrics.Count > 0)
{
YearFractionToCashFlowPayment = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
var reportingCurrency = ModelData.ReportingCurrency == null ? PaymentCurrency.Value : ModelData.ReportingCurrency.Value;
var amount = NotionalAmount.amount;
IRateCouponParameters analyticModelParameters = new RateCouponParameters {
Multiplier = Multiplier,
ValuationDate = modelData.ValuationDate,
PaymentDate = PaymentDate,
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
DiscountType = DiscountType,
IsRealised = IsRealised,
HasReset = RequiresReset,
NotionalAmount = amount,
Spread = Margin,
YearFraction = CouponYearFraction,
CurveYearFraction = YearFractionToCashFlowPayment
};
decimal?discountRate = null;
// Curve Related
if (modelData.MarketEnvironment is ISwapLegEnvironment environment)
{
var streamMarket = environment;
discountCurve = streamMarket.GetDiscountRateCurve();
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
forecastCurve = streamMarket.GetForecastRateCurve();
forecastCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier;
analyticModelParameters.DiscountCurve = discountCurve;
ForecastCurveName = forecastCurve.GetPricingStructureId().UniqueIdentifier;
analyticModelParameters.ForecastCurve = forecastCurve;
// Bucketed Delta
if (BucketedDates.Length > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0],
BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve,
ModelData.
ValuationDate,
BucketedDates);
}
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
fxCurve = streamMarket.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
}
AnalyticModelParameters = analyticModelParameters;
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
discountCurve = (IRateCurve)market.SearchForPricingStructureType(DiscountCurveName);
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
forecastCurve = (IRateCurve)market.SearchForPricingStructureType(ForecastCurveName);
forecastCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
analyticModelParameters.ForecastCurve = forecastCurve;
// Bucketed Delta
if (BucketedDates.Length > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0],
BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve,
ModelData.
ValuationDate,
BucketedDates);
}
if (delta1PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta1PDH");
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (delta0PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(ForecastCurveName, "delta0PDH");
analyticModelParameters.Delta0PDHCurves = riskMarket;
analyticModelParameters.Delta0PDHPerturbation = 10;
}
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
string curveName = MarketEnvironmentHelper.ResolveFxCurveNames(PaymentCurrency.Value, modelData.ReportingCurrency.Value);
fxCurve = (IFxCurve)market.SearchForPricingStructureType(curveName);
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
}
AnalyticModelParameters = analyticModelParameters;
}
//Set the base rate. Default is zero
if (AnalyticModelParameters != null)
{
AnalyticModelParameters.BaseRate = BaseRate;
}
if (UseObservedRate)
{
AnalyticsModel = new FixedRateCouponAnalytic(ModelData.ValuationDate, AccrualStartDate, AccrualEndDate, PaymentDate, Rate,
analyticModelParameters.YearFraction, DiscountType, fxCurve, discountCurve, forecastCurve);
if (Rate != null)
{
analyticModelParameters.Rate = (decimal)Rate;
}
}
else
{
if (Rate != null)
{
discountRate = Rate;
}
if (DiscountRate != null)
{
discountRate = DiscountRate;
}
AnalyticsModel = new FloatingRateCouponAnalytic(ModelData.ValuationDate, AccrualStartDate,
AccrualEndDate, PaymentDate, discountRate,
analyticModelParameters.YearFraction,
DiscountType, fxCurve, discountCurve,
forecastCurve);
}
CalculationResults = AnalyticsModel.Calculate <IRateInstrumentResults, RateInstrumentResults>(AnalyticModelParameters, metrics.ToArray());
CalculationPerfomedIndicator = true;
PaymentDiscountFactor = ((FixedRateCouponAnalytic)AnalyticsModel).PaymentDiscountFactor;
if (!UseObservedRate)
{
Rate = CalculationResults.BreakEvenRate;
}
ForecastAmount = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyExpectedValue, PaymentAmount.currency);
NPV = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyNPV, PaymentAmount.currency);
}
AssetValuation valuation = GetValue(CalculationResults, modelData.ValuationDate);
valuation.id = Id;
return(valuation);
}
