public static object PortfolioPvCcrCapital_B2_SM(
[ExcelArgument(Description = "Hazzard curve")] string HazzardCurveName,
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Loss-given-default, e.g. 0.4")] double LGD,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "Exposure dates")] double[] ExposureDates,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap)
{
return(ExcelHelper.Execute(_logger, () =>
{
var hz = ContainerStores.GetObjectCache <HazzardCurve>().GetObjectOrThrow(HazzardCurveName, $"Hazzard curve {HazzardCurveName} not found");
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = ExposureDates.ToDateTimeArray(model.Value.BuildDate);
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.Clone();
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.PvCcrCapital_BII_SM(model.Value.BuildDate, expDates, models, portfolio, hz.Value, repCcy, disc.Value, LGD, assetIdToCategory, categoryToCCF, ContainerStores.CurrencyProvider);
return result;
}));
}
public IPvModel Rebuild(IAssetFxModel newVanillaModel, Portfolio portfolio)
{
var m = newVanillaModel.Clone();
m.AttachPortfolio(portfolio);
return(m);
}
public static IVolSurface GenerateCompositeSurface(this IAssetFxModel model, string AssetId, string FxPair, int numSamples, double correlation, bool newMethod = false)
{
var inSurface = model.GetVolSurface(AssetId);
var inFxSurface = model.FundingModel.GetVolSurface(FxPair);
var priceCurve = model.GetPriceCurve(AssetId);
var fxPair = model.FundingModel.FxMatrix.GetFxPair(FxPair);
var compoInterpolators = new Dictionary <DateTime, IInterpolator1D>();
var fwds = new Dictionary <DateTime, double>();
var locker = new object();
ParallelUtils.Instance.Foreach(inSurface.Expiries, expiry =>
{
var assetFwd = priceCurve.GetPriceForFixingDate(expiry);
var fxFwd = model.FundingModel.GetFxRate(fxPair.SpotDate(expiry), FxPair);
var compoSmile = newMethod ?
GenerateCompositeSmile(inSurface, inFxSurface, numSamples, expiry, assetFwd, fxFwd, correlation, true) :
GenerateCompositeSmileBasic(inSurface, inFxSurface, numSamples, expiry, assetFwd, fxFwd, correlation, true);
lock (locker)
{
compoInterpolators.Add(expiry, compoSmile);
fwds.Add(expiry, assetFwd * fxFwd);
}
}).Wait();
var ATMs = compoInterpolators.OrderBy(x => x.Key).Select(x => x.Value.Interpolate(0.5)).ToArray();
var wingDeltas = new[] { 0.25, 0.1 };
var riskies = compoInterpolators.OrderBy(x => x.Key).Select(x => wingDeltas.Select(w => x.Value.Interpolate(1 - w) - x.Value.Interpolate(w)).ToArray()).ToArray();
var flies = compoInterpolators.OrderBy(x => x.Key).Select(x => wingDeltas.Select(w => (x.Value.Interpolate(1 - w) + x.Value.Interpolate(w)) / 2.0 - x.Value.Interpolate(0.5)).ToArray()).ToArray();
var outSurface = new RiskyFlySurface(model.BuildDate, ATMs, inSurface.Expiries, wingDeltas, riskies, flies, fwds.OrderBy(x => x.Key).Select(x => x.Value).ToArray(), WingQuoteType.Simple, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.GaussianKernel, Interpolator1DType.LinearInVariance);
return(outSurface);
}
public string[] IrCurves(IAssetFxModel model)
{
if (IsFx)
{
var ccys = AssetId.Split('/');
var c1 = model.FundingModel.FxMatrix.GetDiscountCurve(ccys[0]);
var c2 = model.FundingModel.FxMatrix.GetDiscountCurve(ccys[1]);
return((new[] { DiscountCurve, c1, c2 }).Distinct().Where(x => !string.IsNullOrWhiteSpace(x)).ToArray());
}
else
{
if (string.IsNullOrEmpty(FxPair(model)))
{
return new[] { DiscountCurve }
}
;
else
{
var fxCurve = model.FundingModel.FxMatrix.DiscountCurveMap[PaymentCurrency];
var assetCurveCcy = model.GetPriceCurve(AssetId).Currency;
var assetCurve = model.FundingModel.FxMatrix.DiscountCurveMap[assetCurveCcy];
return((new[] { DiscountCurve, fxCurve, assetCurve }).Distinct().ToArray());
}
}
}
public string[] IrCurves(IAssetFxModel model)
{
if (IsFx)
{
var ccys = AssetId.Split('/');
var c1 = model.FundingModel.FxMatrix.GetDiscountCurve(ccys[0]);
var c2 = model.FundingModel.FxMatrix.GetDiscountCurve(ccys[1]);
return((new[] { DiscountCurve, c1, c2 }).Distinct().ToArray());
}
else
{
if (FxConversionType == FxConversionType.None)
{
return new[] { DiscountCurve }
}
;
else
{
var fxCurve = model.FundingModel.FxMatrix.DiscountCurveMap[PaymentCurrency];
var assetCurveCcy = model.GetPriceCurve(AssetId).Currency;
var assetCurve = model.FundingModel.FxMatrix.DiscountCurveMap[assetCurveCcy];
return((new[] { DiscountCurve, fxCurve, assetCurve }).Distinct().ToArray());
}
}
}
public static object PortfolioPvCvaCapital_B2_SM(
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "EPE cube")] string EPECube,
[ExcelArgument(Description = "Party risk weight")] double CvaRiskWeight,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap)
{
return(ExcelHelper.Execute(_logger, () =>
{
var epeCube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(EPECube, $"EPE cube {EPECube} not found");
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = epeCube.Value.GetAllRows().Select(r => (DateTime)r.MetaData[0]).ToArray();
var epeValues = epeCube.Value.GetAllRows().Select(r => r.Value).ToArray();
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.TrimModel(portfolio);
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.PvCvaCapital_BII_SM(model.Value.BuildDate, expDates, models, portfolio, repCcy, disc.Value, CvaRiskWeight,
assetIdToCategory, categoryToCCF, ContainerStores.CurrencyProvider, epeValues);
return result;
}));
}
public static object PortfolioExpectedEadSplit(
[ExcelArgument(Description = "Output cube name")] string OutputName,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "EPE cube")] string EPECube,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap,
[ExcelArgument(Description = "Basel II / Basel II cutover date")] DateTime ChangeOverDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var epeCube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(EPECube, $"EPE cube {EPECube} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = epeCube.Value.GetAllRows().Select(r => (DateTime)r.MetaData[0]).ToArray();
var epeValues = epeCube.Value.GetAllRows().Select(r => r.Value).ToArray();
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.TrimModel(portfolio);
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.EAD_Split(model.Value.BuildDate, expDates, epeValues, models, portfolio, repCcy,
assetIdToCategory, categoryToCCF, ChangeOverDate, ContainerStores.CurrencyProvider);
var cube = ExcelHelper.PackResults(expDates, result, "EAD");
return ExcelHelper.PushToCache(cube, OutputName);
}));
}
public static double SolveStrikeForPV(this Portfolio portfolio, IAssetFxModel model, double targetPV)
{
var insList = portfolio.Instruments.Select(x => x as IAssetInstrument).ToList();
if (insList.Any(x => x == null))
{
throw new Exception("Not all instruments in the portfolio implement IAssetInstrument");
}
var targetFunc = new Func <double, double>(k =>
{
var newPf = new Portfolio()
{
Instruments = insList.Select(i => (IInstrument)i.SetStrike(k)).ToList()
};
var pv = newPf.PV(model).GetAllRows().Sum(x => x.Value);
return(pv - targetPV);
});
var firstGuess = insList.Average(i => i.ParRate(model));
var solvedStrike = Math.Solvers.Newton1D.MethodSolve(targetFunc, firstGuess, 1e-8, 1000, 1e-9);
if (System.Math.Abs(targetFunc(solvedStrike)) < 1e-8)
{
return(solvedStrike);
}
else
{
throw new Exception("Failed to find solution after 1000 itterations");
}
}
public string[] IrCurves(IAssetFxModel model) =>
new[] {
ForeignDiscountCurve,
model.FundingModel.FxMatrix.DiscountCurveMap[ForeignCCY],
model.FundingModel.FxMatrix.DiscountCurveMap[DomesticCCY]
}
.Distinct()
.ToArray();
public static IAssetFxModel FxSpotShift(Currency ccy, double shiftSize, IAssetFxModel model)
{
var o = model.Clone();
var spot = model.FundingModel.FxMatrix.GetSpotRate(ccy);
o.FundingModel.FxMatrix.SpotRates[ccy] = spot + shiftSize;
return(o);
}
internal double Fwd(IAssetFxModel model)
{
var fxRate = model.GetPriceCurve(AssetId).Currency == Currency ?
1.0 :
model.FundingModel.GetFxAverage(FixingDates, model.GetPriceCurve(AssetId).Currency, Currency);
return(model.GetPriceCurve(AssetId).GetAveragePriceForDates(FixingDates) * fxRate);
}
public double PV(IAssetFxModel model)
{
var date = model.BuildDate.AddPeriod(RollType.F, SettleCalendar, SettleLag);
var curve = model.GetPriceCurve(AssetId, PaymentCurrency);
var fwd = curve.GetPriceForDate(date);
var fx = curve.Currency == PaymentCurrency ? 1.0 : model.FundingModel.GetFxRate(LastSensitivityDate, curve.Currency, PaymentCurrency);
return(fwd * Notional * ScalingFactor * fx);
}
public List <CashFlow> ExpectedCashFlows(IAssetFxModel model) => new List <CashFlow>
{
new CashFlow()
{
Currency = Currency,
SettleDate = MaturityDate,
Notional = Notional,
Fv = Notional
}
};
public ExpectedCapitalCalculator(Portfolio portfolio, double counterpartyRiskWeight, Dictionary <string, string> assetIdToGroupMap, Currency reportingCurrency, IAssetFxModel assetFxModel, DateTime[] calculationDates)
{
_portfolio = portfolio;
_counterpartyRiskWeight = counterpartyRiskWeight;
_assetIdToGroupMap = assetIdToGroupMap;
_reportingCurrency = reportingCurrency;
_assetFxModel = assetFxModel;
_calculationDates = calculationDates;
_assetIds = _portfolio.AssetIds().Concat(_portfolio.FxPairs(assetFxModel)).ToArray();
}
public EADCalculator(Portfolio portfolio, double counterpartyRiskWeight, Dictionary <string, string> assetIdToGroupMap, Currency reportingCurrency, IAssetFxModel assetFxModel, DateTime[] calculationDates, ICurrencyProvider currencyProvider)
{
_portfolio = portfolio;
_counterpartyRiskWeight = counterpartyRiskWeight;
_assetIdToGroupMap = assetIdToGroupMap;
_reportingCurrency = reportingCurrency;
_assetFxModel = assetFxModel;
_calculationDates = calculationDates;
_currencyProvider = currencyProvider;
_endDate = portfolio.LastSensitivityDate;
}
public IInterpolator1D[] Regress(IAssetFxModel model)
{
if (_regressors != null)
{
return(_regressors);
}
var o = new IInterpolator1D[_dateIndexes.Length];
var nPaths = _pathwiseValues.First().Length;
var finalSchedules = _portfolio.Select(x => x.ExpectedFlowsByPath(model)).ToArray();
ParallelUtils.Instance.For(0, _dateIndexes.Length, 1, d =>
{
var exposureDate = _regressionDates[d];
var sortedFinalValues = new KeyValuePair <double, double> [nPaths];
for (var p = 0; p < nPaths; p++)
{
var finalValue = 0.0;
foreach (var schedule in finalSchedules)
{
foreach (var flow in schedule[p].Flows)
{
if (flow.SettleDate > exposureDate)
{
finalValue += flow.Pv;
}
}
}
sortedFinalValues[p] = new KeyValuePair <double, double>(_pathwiseValues[d][p], finalValue);
}
sortedFinalValues = sortedFinalValues.OrderBy(q => q.Key).ToArray();
if (_requireContinuity)
{
o[d] = SegmentedLinearRegression.Regress(sortedFinalValues.Select(x => x.Key).ToArray(), sortedFinalValues.Select(y => y.Value).ToArray(), 5);
}
else
{
o[d] = SegmentedLinearRegression.RegressNotContinuous(sortedFinalValues.Select(x => x.Key).ToArray(), sortedFinalValues.Select(y => y.Value).ToArray(), 5);
}
if (DebugMode)
{
DumpDataToDisk(sortedFinalValues, o[d], $@"C:\temp\regData{d}.csv");
}
}).Wait();
_regressors = o;
return(o);
}
public double[] ENE(IAssetFxModel model)
{
var o = new double[_dateIndexes.Length];
var regressors = Regress(model);
ParallelUtils.Instance.For(0, _dateIndexes.Length, 1, d =>
{
o[d] = _pathwiseValues[d].Select(p => Min(0, regressors[d].Interpolate(p))).OrderBy(x => x).Average();
o[d] /= model.FundingModel.GetDf(_repCcy, model.BuildDate, _regressionDates[d]);
}).Wait();
return(o);
}
public double[] EPE(IAssetFxModel model)
{
var o = new double[_dateIndexes.Length];
var regressors = Regress(model);
var nPaths = _pathwiseValues.First().Length;
ParallelUtils.Instance.For(0, _dateIndexes.Length, 1, d =>
{
o[d] = _pathwiseValues[d].Select(p => Max(0, regressors[d].Regress(p))).Average();
o[d] /= model.FundingModel.GetDf(_repCcy, model.BuildDate, _regressionDates[d]);
}).Wait();
return(o);
}
public MultipleLinearRegressor[] Regress(IAssetFxModel model)
{
if (_regressors != null)
{
return(_regressors);
}
var nPaths = _pathwiseValues.First().Length;
var finalSchedules = _portfolio.Select(x => x.ExpectedFlowsByPath(model)).ToArray();
var finalValues = new double[_dateIndexes.Length][];
ParallelUtils.Instance.For(0, _dateIndexes.Length, 1, d =>
{
var exposureDate = _regressionDates[d];
finalValues[d] = new double[nPaths];
foreach (var schedule in finalSchedules)
{
for (var p = 0; p < finalValues[d].Length; p++)
{
foreach (var flow in schedule[p].Flows)
{
if (flow.SettleDate > exposureDate)
{
finalValues[d][p] += flow.Pv;
}
}
}
}
}).Wait();
var o = new MultipleLinearRegressor[_dateIndexes.Length];
ParallelUtils.Instance.For(0, _dateIndexes.Length, 1, d =>
{
if (_regressionDates[d] <= model.BuildDate)
{
var detVec = new double[_pathwiseValues[d][0].Length + 1];
detVec[0] = finalValues[d].Average();
o[d] = new MultipleLinearRegressor(detVec);
}
else
{
var mlr = MultipleLinearRegression.Regress(_pathwiseValues[d], finalValues[d]);
o[d] = new MultipleLinearRegressor(mlr);
}
}).Wait();
_regressors = o;
return(o);
}
public string FxPair(IAssetFxModel model)
{
if (IsFx)
{
return(AssetId);
}
else if (Currency != model.GetPriceCurve(AssetId).Currency)
{
return($"{model.GetPriceCurve(AssetId).Currency}/{PaymentCurrency}");
}
else
{
return(string.Empty);
}
}
public double[] PFE(IAssetFxModel model, double confidenceInterval)
{
var o = new double[_dateIndexes.Length];
var regressors = Regress(model);
var nPaths = _pathwiseValues.First().Length;
var targetIx = (int)(nPaths * confidenceInterval);
ParallelUtils.Instance.For(0, _dateIndexes.Length, 1, d =>
{
var exposures = _pathwiseValues[d].Select(p => regressors[d].Interpolate(p)).OrderBy(x => x).ToList();
o[d] = Max(0.0, exposures[targetIx]);
o[d] /= model.FundingModel.GetDf(_repCcy, model.BuildDate, _regressionDates[d]);
}).Wait();
return(o);
}
public string[] IrCurves(IAssetFxModel model)
{
if (FxConversionType == FxConversionType.None)
{
return new[] { DiscountCurve }
}
;
else
{
var fxCurve = model.FundingModel.FxMatrix.DiscountCurveMap[PaymentCurrency];
var assetCurveCcy = model.GetPriceCurve(AssetId).Currency;
var assetCurve = model.FundingModel.FxMatrix.DiscountCurveMap[assetCurveCcy];
return((new[] { DiscountCurve, fxCurve, assetCurve }).Distinct().ToArray());
}
}
public static List <CorrelationMatrix> LocalCorrelationObjects(this IAssetFxModel model, double[] times)
{
var o = new List <double[][]>();
var matrix = model.CorrelationMatrix;
for (var it = 0; it < times.Length; it++)
{
o.Add(new double[matrix.LabelsX.Length][]);
}
for (var ix = 0; ix < matrix.LabelsX.Length; ix++)
{
for (var iy = 0; iy < matrix.LabelsY.Length; iy++)
{
var labelX = matrix.LabelsX[ix];
var labelY = matrix.LabelsY[iy];
var lastVarBasket = 0.0;
var tLast = 0.0;
for (var it = 0; it < times.Length; it++)
{
if (o[it] == null)
{
o[it] = new double[matrix.LabelsX.Length][];
}
if (o[it][ix] == null)
{
o[it][ix] = new double[matrix.LabelsY.Length];
}
var t = times[it];
var dt = t - tLast;
var termCorrel = matrix.GetCorrelation(labelX, labelY, t);
var volX = ((IATMVolSurface)model.GetVolSurface(labelX)).GetForwardATMVol(0, t);
var volY = ((IATMVolSurface)model.GetVolSurface(labelY)).GetForwardATMVol(0, t);
var termVar = (volX * volX + volY * volY + 2 * termCorrel * volX * volY) * t;
var incrementalVar = (termVar - lastVarBasket) / dt;
var volXfwd = ((IATMVolSurface)model.GetVolSurface(labelX)).GetForwardATMVol(tLast, t);
var volYfwd = ((IATMVolSurface)model.GetVolSurface(labelY)).GetForwardATMVol(tLast, t);
var localCorrel = (incrementalVar - volXfwd * volXfwd - volYfwd * volYfwd) / (2 * volXfwd * volYfwd);
o[it][ix][iy] = (t == 0) ? termCorrel : localCorrel;
tLast = t;
lastVarBasket = termVar;
}
}
}
return(o.Select(m => new CorrelationMatrix(matrix.LabelsX, matrix.LabelsY, m)).ToList());
}
public List <CashFlow> ExpectedCashFlows(IAssetFxModel model) => !InTheMoney(model) ? new List <CashFlow>() : new List <CashFlow>
{
new CashFlow()
{
Currency = DomesticCCY,
SettleDate = DeliveryDate,
Notional = DomesticQuantity,
Fv = DomesticQuantity
},
new CashFlow()
{
Currency = ForeignCCY,
SettleDate = DeliveryDate,
Notional = DomesticQuantity * Strike,
Fv = DomesticQuantity * Strike
}
};
public static double SolveStrikeForGrossRoC(this Portfolio portfolio, IAssetFxModel model, double targetRoC, Currency reportingCurrency,
HazzardCurve hazzardCurve, double LGD, double xVA_LGD, double partyRiskWeight, double cvaCapitalWeight, IIrCurve discountCurve,
ICurrencyProvider currencyProvider, Dictionary <string, string> assetIdToHedgeMap, Dictionary <string, double> hedgeGroupCCFs)
{
var insList = portfolio.Instruments.Select(x => x as IAssetInstrument).ToList();
if (insList.Any(x => x == null))
{
throw new Exception("Not all instruments in the portfolio implement IAssetInstrument");
}
var rolledModels = new Dictionary <DateTime, IAssetFxModel>();
var d = model.BuildDate;
var lastModel = model;
while (d <= portfolio.LastSensitivityDate)
{
rolledModels.Add(d, lastModel);
d = d.AddDays(1);
lastModel = lastModel.RollModel(d, currencyProvider);
}
var targetFunc = new Func <double, double>(k =>
{
var newPf = new Portfolio()
{
Instruments = insList.Select(i => (IInstrument)i.SetStrike(k)).ToList()
};
var roc = newPf.GrossRoC(model, reportingCurrency, hazzardCurve, LGD, xVA_LGD, cvaCapitalWeight, partyRiskWeight, discountCurve, currencyProvider, rolledModels, assetIdToHedgeMap, hedgeGroupCCFs);
return(roc - targetRoC);
});
var firstGuess = insList.Average(i => i.ParRate(model));
var solvedStrike = Math.Solvers.Newton1D.MethodSolve(targetFunc, firstGuess, 1e-8, 1000, 1e-9);
if (System.Math.Abs(targetFunc(solvedStrike)) < 1e-8)
{
return(solvedStrike);
}
else
{
throw new Exception("Failed to find solution after 1000 itterations");
}
}
public CashFlowSchedule[] ExpectedFlowsByPath(IAssetFxModel model)
{
var df = model.FundingModel.Curves[_discountCurve].GetDf(model.BuildDate, _payDate);
return(ResultsByPath.Select(x => new CashFlowSchedule
{
Flows = new List <CashFlow>
{
new CashFlow
{
Fv = x,
Pv = x * df,
Currency = _ccy,
FlowType = FlowType.FixedAmount,
SettleDate = _payDate,
YearFraction = 1.0
}
}
}).ToArray());
}
public CashFlowSchedule ExpectedFlows(IAssetFxModel model)
{
var ar = AverageResult;
return(new CashFlowSchedule
{
Flows = new List <CashFlow>
{
new CashFlow
{
Fv = ar,
Pv = ar * model.FundingModel.Curves[_discountCurve].GetDf(model.BuildDate, _payDate),
Currency = _ccy,
FlowType = FlowType.FixedAmount,
SettleDate = _payDate,
YearFraction = 1.0
}
}
});
}
public static IAssetFxModel FxSpotShift(FxPair pair, double shiftSize, IAssetFxModel model)
{
var o = model.Clone();
if (pair.Domestic == model.FundingModel.FxMatrix.BaseCurrency)
{
var spot = model.FundingModel.FxMatrix.GetSpotRate(pair.Foreign);
o.FundingModel.FxMatrix.SpotRates[pair.Foreign] = spot + shiftSize;
}
else if (pair.Foreign == model.FundingModel.FxMatrix.BaseCurrency)
{
var spot = model.FundingModel.FxMatrix.GetSpotRate(pair.Domestic);
o.FundingModel.FxMatrix.SpotRates[pair.Domestic] = 1 / (1 / spot + shiftSize);
}
else
{
throw new Exception("Shifted FX pair must contain base currency of model");
}
return(o);
}
public void Process()
{
var currentFixingDate = _assetFxModel.BuildDate;
while (currentFixingDate <= _endDate)
{
currentFixingDate = currentFixingDate.AddDays(1);
_assetFxModel = _assetFxModel.RollModel(currentFixingDate, _currencyProvider);
}
ParallelUtils.Instance.For(0, _calculationDates.Length, 1, i =>
{
var d = _calculationDates[i];
var epe = _epeValues[i];
var newModel = _assetFxModel.Clone();
newModel.OverrideBuildDate(d);
var ead = _portfolio.SaCcrEAD(epe, newModel, _reportingCurrency, _assetIdToGroupMap);
var capital = _counterpartyRiskWeight * ead;
if (!_ead.ContainsKey(d))
{
lock (_threadLock)
{
if (!_ead.ContainsKey(d))
{
_ead.Add(d, 0.0);
}
}
}
if (double.IsNaN(capital) || double.IsInfinity(capital))
{
throw new Exception("Invalid capital generated");
}
lock (_threadLock)
{
_ead[d] += capital;
}
}).Wait();
}
public static object PortfolioPvCapitalSplit(
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "Hazzard curve")] string HazzardCurve,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "Exposure dates")] double[] ExposureDates,
[ExcelArgument(Description = "Loss-Given-Default")] double LGD,
[ExcelArgument(Description = "Cva risk weight")] double CvaRiskWeight,
[ExcelArgument(Description = "Party risk weight")] double PartyRiskWeight,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap,
[ExcelArgument(Description = "Basel II / Basel II cutover date")] DateTime ChangeOverDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
var hz = ContainerStores.GetObjectCache <HazzardCurve>().GetObjectOrThrow(HazzardCurve, $"Hazzard curve {HazzardCurve} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = ExposureDates.ToDateTimeArray(model.Value.BuildDate);
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.Clone();
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.PvCapital_Split(model.Value.BuildDate, expDates, models, portfolio, hz.Value, repCcy, disc.Value,
LGD, CvaRiskWeight, PartyRiskWeight, assetIdToCategory, categoryToCCF, ContainerStores.CurrencyProvider, ChangeOverDate);
return new object [, ] {
{ "CCR PV", result.CCR }, { "CVA PV", result.CVA }
};
}));
}
