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 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 AssetFxMCModel(DateTime originDate, Portfolio portfolio, IAssetFxModel model, McSettings settings, ICurrencyProvider currencyProvider, IFutureSettingsProvider futureSettingsProvider, ICalendarProvider calendarProvider)
{
if (settings.CompactMemoryMode && settings.AveragePathCorrection)
{
throw new Exception("Can't use both CompactMemoryMode and PathCorrection");
}
_currencyProvider = currencyProvider;
_futureSettingsProvider = futureSettingsProvider;
_calendarProvider = calendarProvider;
Engine = new PathEngine(settings.NumberOfPaths)
{
Parallelize = settings.Parallelize,
CompactMemoryMode = settings.CompactMemoryMode
};
OriginDate = originDate;
Portfolio = portfolio;
Model = model;
Settings = settings;
switch (settings.Generator)
{
case RandomGeneratorType.MersenneTwister:
Engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
break;
case RandomGeneratorType.Sobol:
var directionNumers = new Random.Sobol.SobolDirectionNumbers(GetSobolFilename());
Engine.AddPathProcess(new Random.Sobol.SobolPathGenerator(directionNumers, 1000)
{
UseNormalInverse = true
});
break;
case RandomGeneratorType.Constant:
Engine.AddPathProcess(new Random.Constant.Constant()
{
UseNormalInverse = true,
});
break;
case RandomGeneratorType.FlipFlop:
Engine.AddPathProcess(new Random.Constant.FlipFlop(settings.CreditSettings.ConfidenceInterval, true));
break;
}
Engine.IncrementDepth();
if (model.CorrelationMatrix != null)
{
if (settings.LocalCorrelation)
{
Engine.AddPathProcess(new CholeskyWithTime(model.CorrelationMatrix, model));
}
else
{
Engine.AddPathProcess(new Cholesky(model.CorrelationMatrix));
}
Engine.IncrementDepth();
}
var lastDate = portfolio.LastSensitivityDate;
var assetIds = portfolio.AssetIds();
var assetInstruments = portfolio.Instruments
.Where(x => x is IAssetInstrument)
.Select(x => x as IAssetInstrument);
var fixingsNeeded = new Dictionary <string, List <DateTime> >();
foreach (var ins in assetInstruments)
{
var fixingsForIns = ins.PastFixingDates(originDate);
if (fixingsForIns.Any())
{
foreach (var kv in fixingsForIns)
{
if (!fixingsNeeded.ContainsKey(kv.Key))
{
fixingsNeeded.Add(kv.Key, new List <DateTime>());
}
fixingsNeeded[kv.Key] = fixingsNeeded[kv.Key].Concat(kv.Value).Distinct().ToList();
}
}
}
//asset processes
var fxAssetsToAdd = new List <string>();
var corrections = new Dictionary <string, SimpleAveragePathCorrector>();
foreach (var assetId in assetIds)
{
if (assetId.Length == 7 && assetId[3] == '/')
{
fxAssetsToAdd.Add(assetId);
continue;
}
if (!(model.GetVolSurface(assetId) is IATMVolSurface surface))
{
throw new Exception($"Vol surface for asset {assetId} could not be cast to IATMVolSurface");
}
var fixingDict = fixingsNeeded.ContainsKey(assetId) ? model.GetFixingDictionary(assetId) : null;
var fixings = fixingDict != null ?
fixingsNeeded[assetId].ToDictionary(x => x, x => fixingDict.GetFixing(x))
: new Dictionary <DateTime, double>();
var futuresSim = settings.ExpensiveFuturesSimulation &&
(model.GetPriceCurve(assetId).CurveType == PriceCurveType.ICE || model.GetPriceCurve(assetId).CurveType == PriceCurveType.NYMEX);
if (futuresSim)
{
var fwdCurve = new Func <DateTime, double>(t =>
{
return(model.GetPriceCurve(assetId).GetPriceForDate(t));
});
var asset = new BlackFuturesCurve
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: Settings.FuturesMappingTable[assetId],
pastFixings: fixings,
futureSettingsProvider: _futureSettingsProvider
);
Engine.AddPathProcess(asset);
}
else
{
var fwdCurve = new Func <double, double>(t =>
{
var c = model.GetPriceCurve(assetId);
var d = originDate.AddYearFraction(t, DayCountBasis.ACT365F);
if (c is PriceCurve pc)
{
d = d.AddPeriod(RollType.F, pc.SpotCalendar, pc.SpotLag);
}
else if (c is ContangoPriceCurve cc)
{
d = d.AddPeriod(RollType.F, cc.SpotCalendar, cc.SpotLag);
}
return(c.GetPriceForDate(d));
});
IATMVolSurface adjSurface = null;
var correlation = 0.0;
if (settings.ReportingCurrency != model.GetPriceCurve(assetId).Currency)
{
var fxAdjPair = settings.ReportingCurrency + "/" + model.GetPriceCurve(assetId).Currency;
var fxAdjPairInv = model.GetPriceCurve(assetId).Currency + "/" + settings.ReportingCurrency;
if (!(model.FundingModel.GetVolSurface(fxAdjPair) is IATMVolSurface adjSurface2))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
adjSurface = adjSurface2;
if (model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, assetId, out var correl))
{
correlation = correl;
}
else if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPairInv, assetId, out var correl2))
{
correlation = -correl2;
}
}
}
if (settings.McModelType == McModelType.LocalVol)
{
var asset = new LVSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
else if (settings.McModelType == McModelType.TurboSkew)
{
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
else
{
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
if (settings.AveragePathCorrection)
{
corrections.Add(assetId, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(assetId)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, assetId, fixings, adjSurface, correlation));
}
}
}
//fx pairs
var pairsAdded = new List <string>();
var fxPairs = portfolio.FxPairs(model).Concat(fxAssetsToAdd);
var payoutCcys = portfolio.Instruments.Select(i => i.Currency);
if (payoutCcys.Any(p => p != settings.ReportingCurrency))
{
var ccysToAdd = payoutCcys.Where(p => p != settings.ReportingCurrency).Distinct();
var pairsToAdd = ccysToAdd.Select(c => $"{c.Ccy}/{settings.ReportingCurrency}");
fxPairs = fxPairs.Concat(pairsToAdd).Distinct();
}
foreach (var fxPair in fxPairs)
{
var fxPairName = fxPair;
var pair = fxPairName.FxPairFromString(_currencyProvider, _calendarProvider);
if (pairsAdded.Contains(pair.ToString()))
{
continue;
}
if (!(model.FundingModel.VolSurfaces[fxPairName] is IATMVolSurface surface))
{
throw new Exception($"Vol surface for fx pair {fxPairName} could not be cast to IATMVolSurface");
}
var fwdCurve = new Func <double, double>(t =>
{
var date = originDate.AddYearFraction(t, DayCountBasis.ACT365F);
var spotDate = pair.SpotDate(date);
return(model.FundingModel.GetFxRate(spotDate, fxPairName));
});
pairsAdded.Add(pair.ToString());
if (settings.McModelType == McModelType.LocalVol)
{
var asset = new LVSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
else if (settings.McModelType == McModelType.TurboSkew)
{
if (fxPairName.Substring(fxPairName.Length - 3, 3) != settings.ReportingCurrency)
{//needs to be drift-adjusted
var fxAdjPair = settings.ReportingCurrency + "/" + fxPairName.Substring(fxPairName.Length - 3, 3);
if (!(model.FundingModel.VolSurfaces[fxAdjPair] is IATMVolSurface adjSurface))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
var correlation = fxPair == fxAdjPair ? -1.0 : 0.0;
if (correlation != -1.0 && model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, fxPair, out var correl))
{
correlation = correl;
}
}
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName, null, adjSurface, correlation));
}
}
else
{
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
}
else
{
if (fxPairName.Substring(fxPairName.Length - 3, 3) != settings.ReportingCurrency)
{//needs to be drift-adjusted
var fxAdjPair = settings.ReportingCurrency + "/" + fxPairName.Substring(fxPairName.Length - 3, 3);
if (!(model.FundingModel.VolSurfaces[fxAdjPair] is IATMVolSurface adjSurface))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
var correlation = fxPair == fxAdjPair ? -1.0 : 0.0;
if (correlation != -1.0 && model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, fxPair, out var correl))
{
correlation = correl;
}
}
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName, null, adjSurface, correlation));
}
}
else
{
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
}
}
//apply path correctin
if (settings.AveragePathCorrection && corrections.Any())
{
Engine.IncrementDepth();
foreach (var pc in corrections)
{
Engine.AddPathProcess(pc.Value.PathCalc);
}
Engine.IncrementDepth();
foreach (var pc in corrections)
{
Engine.AddPathProcess(pc.Value);
}
}
//payoffs
Engine.IncrementDepth();
_payoffs = assetInstruments.ToDictionary(x => x.TradeId, y => new AssetPathPayoff(y, _currencyProvider, _calendarProvider, settings.ReportingCurrency));
if (!settings.AvoidRegressionForBackPricing && _payoffs.Any(x => x.Value.Regressors != null))
{
var regressorsToAdd = _payoffs.Where(x => x.Value.Regressors != null)
.SelectMany(x => x.Value.Regressors)
.Distinct();
foreach (var regressor in regressorsToAdd)
{
Engine.AddPathProcess(regressor);
foreach (var payoff in _payoffs.Where(x => x.Value.Regressors != null))
{
if (payoff.Value.Regressors.Any(x => x == regressor))
{
payoff.Value.SetRegressor(regressor);
}
}
}
Engine.IncrementDepth();
}
foreach (var product in _payoffs)
{
if (settings.AvoidRegressionForBackPricing && (product.Value.AssetInstrument is BackPricingOption || product.Value.AssetInstrument is MultiPeriodBackpricingOption))
{
product.Value.VanillaModel = VanillaModel;
}
Engine.AddPathProcess(product.Value);
}
var metricsNeedRegression = new[] { BaseMetric.PFE, BaseMetric.KVA, BaseMetric.CVA, BaseMetric.FVA, BaseMetric.EPE };
//Need to calculate PFE
if (settings.CreditSettings != null && settings.CreditSettings.ExposureDates != null && settings.ReportingCurrency != null && metricsNeedRegression.Contains(settings.CreditSettings.Metric))//setup for PFE, etc
{
Engine.IncrementDepth();
switch (settings.CreditSettings.PfeRegressorType)
{
case PFERegressorType.MultiLinear:
_regressor = new LinearPortfolioValueRegressor(settings.CreditSettings.ExposureDates,
_payoffs.Values.ToArray(), settings);
break;
case PFERegressorType.MonoLinear:
_regressor = new MonoIndexRegressor(settings.CreditSettings.ExposureDates,
_payoffs.Values.ToArray(), settings, true);
break;
}
Engine.AddPathProcess(_regressor);
}
//Need to calculate expected capital
if (settings.CreditSettings != null && settings.CreditSettings.ExposureDates != null && settings.ReportingCurrency != null && settings.CreditSettings.Metric == BaseMetric.ExpectedCapital)
{
Engine.IncrementDepth();
_capitalCalc = new ExpectedCapitalCalculator(Portfolio, settings.CreditSettings.CounterpartyRiskWeighting, settings.CreditSettings.AssetIdToHedgeGroupMap, settings.ReportingCurrency, VanillaModel, settings.CreditSettings.ExposureDates);
Engine.AddPathProcess(_capitalCalc);
}
Engine.SetupFeatures();
}