public IPriceCurve Solve(List <AsianSwapStrip> instruments, List <DateTime> pillars, IIrCurve discountCurve, DateTime buildDate, ICurrencyProvider currencyProvider)
{
_currencyProvider = currencyProvider;
_curveInstruments = instruments;
_pillars = pillars.ToArray();
_numberOfInstruments = _curveInstruments.Count;
_numberOfPillars = pillars.Count;
_discountCurve = discountCurve;
_buildDate = buildDate;
_currentGuess = Enumerable.Repeat(instruments.Average(x => x.Swaplets.Average(s => s.Strike)), _numberOfPillars).ToArray();
_currentCurve = new SparsePriceCurve(_buildDate, _pillars, _currentGuess, SparsePriceCurveType.Coal, currencyProvider, null);
_currentPVs = ComputePVs();
ComputeJacobian();
for (var i = 0; i < MaxItterations; i++)
{
ComputeNextGuess();
_currentCurve = new SparsePriceCurve(_buildDate, _pillars, _currentGuess, SparsePriceCurveType.Coal, _currencyProvider);
_currentPVs = ComputePVs();
if (_currentPVs.Max(x => System.Math.Abs(x)) < Tollerance)
{
UsedItterations = i + 1;
break;
}
ComputeJacobian();
}
return(_currentCurve);
}
public static double SwapPv(IPriceCurve priceCurve, AsianSwapStrip swap, IIrCurve discountCurve)
{
var swapletPVs = swap.Swaplets.Select(s =>
(priceCurve.GetAveragePriceForDates(s.FixingDates.AddPeriod(RollType.F, s.FixingCalendar, s.SpotLag)) - s.Strike)
* (s.Direction == TradeDirection.Long ? 1.0 : -1.0)
* discountCurve.GetDf(priceCurve.BuildDate, s.PaymentDate));
return(swapletPVs.Sum());
}
public BasisPriceCurve(List <IAssetInstrument> instruments, List <DateTime> pillars, IIrCurve discountCurve, IPriceCurve baseCurve, DateTime buildDate, PriceCurveType curveType, INewtonRaphsonAssetBasisCurveSolver solver, List <string> pillarLabels = null)
{
Instruments = instruments;
Pillars = pillars;
DiscountCurve = discountCurve;
BaseCurve = baseCurve;
CurveType = curveType;
Solver = solver;
BuildDate = buildDate;
PillarLabels = pillarLabels ?? pillars.Select(x => x.ToString("yyyy-MM-dd")).ToList();
Curve = solver.SolveCurve(Instruments, Pillars, DiscountCurve, BaseCurve, BuildDate, CurveType);
}
private void ComputeJacobian()
{
_jacobian = Math.Matrix.DoubleArrayFunctions.MatrixCreate(_numberOfPillars, _numberOfPillars);
for (var i = 0; i < _numberOfPillars; i++)
{
_currentCurve = new SparsePriceCurve(_buildDate, _pillars, _currentGuess.Select((g, ix) => ix == i ? g + JacobianBump : g).ToArray(), SparsePriceCurveType.Coal, _currencyProvider);
var bumpedPVs = ComputePVs();
for (var j = 0; j < bumpedPVs.Length; j++)
{
_jacobian[i][j] = (bumpedPVs[j] - _currentPVs[j]) / JacobianBump;
}
}
}
public BasisPriceCurve(TO_BasisPriceCurve transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
Instruments = transportObject.Instruments
.Select(x => (IAssetInstrument)InstrumentFactory.GetInstrument(x, currencyProvider, calendarProvider))
.ToList();
Pillars = transportObject.Pillars;
DiscountCurve = new IrCurve(transportObject.DiscountCurve, currencyProvider);
//need to re-link via the active model
Curve = PriceCurveFactory.GetPriceCurve(transportObject.Curve, currencyProvider, calendarProvider);
BaseCurve = PriceCurveFactory.GetPriceCurve(transportObject.BaseCurve, currencyProvider, calendarProvider);
Name = transportObject.Name;
AssetId = transportObject.AssetId;
BuildDate = transportObject.BuildDate;
PillarLabels = transportObject.PillarLabels;
Currency = currencyProvider.GetCurrencySafe(transportObject.Currency);
SpotCalendar = calendarProvider.GetCalendarSafe(transportObject.SpotCalendar);
if (transportObject.SpotLag != null)
{
SpotLag = new Frequency(transportObject.SpotLag);
}
CurveType = transportObject.CurveType;
}
public void AddPriceCurve(string name, IPriceCurve curve) => _assetCurves[name] = curve;
public static RiskyFlySurface ToRiskyFlySurfaceStepFlat(this Dictionary <DateTime, IInterpolator1D> smiles, DateTime valDate, IPriceCurve priceCurve, List <DateTime> allExpiries, ICurrencyProvider currencyProvider)
{
var wingDeltas = new[] { 0.25, 0.1 };
var expiries = smiles.Keys.ToArray();
var expiriesDouble = expiries.Select(e => e.ToOADate()).ToArray();
var atmVols = smiles.Select(x => x.Value.Interpolate(0.5)).ToArray();
var riskies = smiles.Select(x =>
wingDeltas.Select(w => x.Value.Interpolate(1.0 - w) - x.Value.Interpolate(w))
.ToArray())
.ToArray();
var flies = smiles.Select((x, ix) =>
wingDeltas.Select(w => (x.Value.Interpolate(1.0 - w) + x.Value.Interpolate(w)) / 2.0 - atmVols[ix])
.ToArray())
.ToArray();
SmoothSmiles(wingDeltas, smiles, ref riskies, ref flies);
var fwds = allExpiries.Select(x => priceCurve.GetPriceForDate(x)).ToArray();
var atmInterp = InterpolatorFactory.GetInterpolator(expiriesDouble, atmVols, Interpolator1DType.LinearInVariance);
var riskyInterps = wingDeltas.Select((w, ixw) => InterpolatorFactory.GetInterpolator(expiriesDouble, riskies.Select(r => r[ixw]).ToArray(), Interpolator1DType.LinearFlatExtrap)).ToArray();
var flyInterps = wingDeltas.Select((w, ixw) => InterpolatorFactory.GetInterpolator(expiriesDouble, flies.Select(f => f[ixw]).ToArray(), Interpolator1DType.LinearFlatExtrap)).ToArray();
var expandedRiskies = allExpiries.Select(e => wingDeltas.Select((w, ixw) => riskyInterps[ixw].Interpolate(e.ToOADate())).ToArray()).ToArray();
var expandedFlies = allExpiries.Select(e => wingDeltas.Select((w, ixw) => flyInterps[ixw].Interpolate(e.ToOADate())).ToArray()).ToArray();
var expandedAtms = allExpiries.Select(e => atmInterp.Interpolate(e.ToOADate())).ToArray();
var expandedFwds = allExpiries.Select(e => priceCurve.GetPriceForDate(e)).ToArray();
var o = new RiskyFlySurface(valDate, expandedAtms, allExpiries.ToArray(), wingDeltas, expandedRiskies, expandedFlies, expandedFwds, WingQuoteType.Arithmatic,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.CubicSpline, Interpolator1DType.NextValue)
{
Currency = currencyProvider.GetCurrency("USD")
};
return(o);
}
public BasisPriceCurve ReCalibrate(IPriceCurve NewBaseCurve)
=> new BasisPriceCurve(Instruments.Select(x => (IAssetInstrument)x.Clone()).ToList(), Pillars, DiscountCurve, NewBaseCurve, BuildDate, CurveType, Solver)
{
Currency = Currency, AssetId = AssetId, Name = Name
};
public void RemovePriceCurve(IPriceCurve curve)
{
_assetCurves.Remove(curve.Name);
}
public FactorPriceCurve(IPriceCurve baseCurve, double scalingFactor)
{
BaseCurve = baseCurve;
ScalingFactor = scalingFactor;
}
public Product(IPriceCurve curve, ITax tax, IPriceDeduction deduction)
{
Curve = curve;
Tax = tax;
Deduction = deduction;
}
public Product(IPriceCurve curve, ITax tax)
{
Curve = curve;
Tax = tax;
}
public static TO_PriceCurve GetTransportObject(this IPriceCurve curve)
{
switch (curve)
{
case ConstantPriceCurve cons:
return(new TO_PriceCurve
{
ConstantPriceCurve = new TO_ConstantPriceCurve
{
AssetId = cons.AssetId,
BuildDate = cons.BuildDate,
Currency = cons.Currency,
Name = cons.Name,
Price = cons.Price,
}
});
case BasicPriceCurve basic:
return(new TO_PriceCurve
{
BasicPriceCurve = new TO_BasicPriceCurve
{
AssetId = basic.AssetId,
BuildDate = basic.BuildDate,
CollateralSpec = basic.CollateralSpec,
Currency = basic.Currency,
CurveType = basic.CurveType,
Name = basic.Name,
PillarDates = basic.PillarDates,
PillarLabels = basic.PillarLabels,
Prices = basic.Prices,
SpotCalendar = basic.SpotCalendar?.Name,
SpotLag = basic.SpotLag.ToString()
}
});
case BasisPriceCurve basis:
return(new TO_PriceCurve
{
BasisPriceCurve = new TO_BasisPriceCurve
{
AssetId = basis.AssetId,
Currency = basis.Currency.Ccy,
Name = basis.Name,
SpotCalendar = basis.SpotCalendar?.Name,
SpotLag = basis.SpotLag.ToString(),
BaseCurve = basis.BaseCurve.GetTransportObject(),
BuildDate = basis.BuildDate,
Curve = basis.Curve.GetTransportObject(),
CurveType = basis.CurveType,
DiscountCurve = ((IrCurve)basis.DiscountCurve).GetTransportObject(),
Instruments = basis.Instruments.Select(x => x.GetTransportObject()).ToList(),
PillarLabels = basis.PillarLabels,
Pillars = basis.Pillars
}
});
case ContangoPriceCurve c:
return(new TO_PriceCurve
{
ContangoPriceCurve = new TO_ContangoPriceCurve
{
AssetId = c.AssetId,
Currency = c.Currency,
Name = c.Name,
SpotCalendar = c.SpotCalendar?.Name,
SpotLag = c.SpotLag.ToString(),
BuildDate = c.BuildDate,
PillarLabels = c.PillarLabels,
PillarDates = c.PillarDates,
Basis = c.Basis,
Contangos = c.Contangos,
Spot = c.Spot,
SpotDate = c.SpotDate
}
});
default:
throw new Exception($"Unable to serialize price curve of type {curve.GetType()}");
}
}
