public void GetPPDTest()
{
string[] rows = new string[] { "1 MONTH", "2 MONTH", "3 MONTH", "6 MONTH", "1 YEAR", "2 YEAR", "3 YEAR", "5 YEAR", "7 YEAR", "10 YEAR" };
string[] cols = new string[] { "1YEAR", "2 YEAR", "3 YEAR", "4 YEAR", "5 YEAR", "6 YEAR", "7 YEAR", "8 YEAR", "9 YEAR", "10 YEAR" };
object[][] data = new object[][]
{
new object[] { 6.4M, 6.4M, 6.6M, 7M, 7M, 7M, 6.9M, 6.9M, 6.9M, 6.8M },
new object[] { 6.4M, 6.4M, 6.6M, 7M, 7M, 7M, 6.9M, 6.9M, 6.9M, 6.8M },
new object[] { 6.5M, 6.6M, 6.7M, 6.8M, 6.8M, 6.8M, 6.7M, 6.7M, 6.7M, 6.6M },
new object[] { 6.5M, 6.6M, 6.7M, 6.8M, 6.8M, 6.8M, 6.7M, 6.7M, 6.7M, 6.5M },
new object[] { 6.5M, 6.5M, 6.4M, 6.35M, 6.4M, 6.4M, 6.3M, 6.3M, 6.3M, 6.2M },
new object[] { 6.4M, 6.4M, 6.2M, 6.15M, 6.1M, 6.1M, 6M, 6M, 6M, 5.9M },
new object[] { 6.1M, 6.25M, 5.8M, 5.55M, 5.3M, 5.3M, 5.2M, 5.2M, 5.2M, 5.1M },
new object[] { 5.7M, 5.4M, 5.2M, 5M, 4.9M, 4.9M, 4.85M, 4.85M, 4.85M, 4.75M },
new object[] { 5.7M, 5.4M, 5.2M, 5M, 4.9M, 4.9M, 4.85M, 4.85M, 4.85M, 4.75M },
new object[] { 5.7M, 5.4M, 5.2M, 5M, 4.9M, 4.9M, 4.85M, 4.85M, 4.85M, 4.75M }
};
SwaptionPPDGrid target = new SwaptionPPDGrid(rows, cols, data);
string expiry = "3M";
string tenor = "3Y";
decimal expected = 6.7m;
decimal actual = target.GetPPD(expiry, tenor);
Assert.AreEqual(expected, actual);
expiry = "2Y";
tenor = "5Y";
expected = 6.1m;
actual = target.GetPPD(expiry, tenor);
Assert.AreEqual(expected, actual);
}
public string PublishLpmSwaptionVolMatrix(object[][] structurePropertiesRange, object[][] publishPropertiesRange, object[][] valuesRange, object[][] rateCurveFiltersRange)
{
NamedValueSet structureProperties = structurePropertiesRange.ToNamedValueSet();
object[,] values = valuesRange.ConvertArrayToMatrix();
string[] tenors = Array.ConvertAll(values.GetRow(0).Skip(1).ToArray(), Convert.ToString);
string[] expiries = Array.ConvertAll(values.GetColumn(0).Skip(1).ToArray(), Convert.ToString);
object[][] dataObjects = values.GetRows(1, values.RowCount(), 1, values.ColumnCount());
object[][] data = dataObjects.Select(a => a.Select(b => b).ToArray()).ToArray();
// Setup base values needed to build
var baseDate = structureProperties.GetValue <DateTime>(CurveProp.BaseDate, false);
if (baseDate == DateTime.MinValue)
{
baseDate = structureProperties.GetValue <DateTime>(CurveProp.BuildDateTime, false).Date;
if (baseDate == DateTime.MinValue)
{
baseDate = DateTime.Today;
}
}
string sourceName = structureProperties.GetString("Source", true);
string currency = structureProperties.GetString(CurveProp.Currency1, true);
string marketName = structureProperties.GetString(CurveProp.MarketAndDate, true);
string indexName = structureProperties.GetString(CurveProp.IndexName, true);
int year = baseDate.Year;
int weekOfYear = CultureInfo.CurrentCulture.Calendar.GetWeekOfYear(baseDate, CalendarWeekRule.FirstDay, DayOfWeek.Monday);
string id = $"LPMSwaptionCurve.{currency}.{baseDate:yyyy-MM-dd}";
var ppdGrid = new SwaptionPPDGrid(expiries, tenors, data);
// Load underlying curve
Market market = GetCurve(Logger.Target, Cache, NameSpace, rateCurveFiltersRange);
Market matrix = LPMSwaptionCurve.ProcessSwaption(Logger.Target, Cache, market, ppdGrid, id, NameSpace);
string newId = $"{marketName}.{indexName}.Swaption.{currency}.{sourceName}.{year}.Week{weekOfYear}";
string name = $"Swaption-{currency}-{sourceName}-{baseDate:dd/MM/yyyy}";
structureProperties.Set("Identifier", newId);
structureProperties.Set("Name", name);
// Save
Publish(matrix, "Market." + newId, structureProperties, publishPropertiesRange);
return(newId);
}
/// <summary>
/// Process a PPD Grid. The result is a Market structure that can be published.
/// </summary>
/// <param name="logger">The logger</param>
/// <param name="cache">The cache.</param>
/// <param name="swapCurve">The latest rate curve</param>
/// <param name="ppdGrid">The raw Points Per Day matrix supplied from the subscriber</param>
/// <param name="id">The id to use in publishing the curve</param>
/// <param name="nameSpace">The client namespace</param>
/// <returns></returns>
public static Market ProcessSwaption(ILogger logger, ICoreCache cache, Market swapCurve, SwaptionPPDGrid ppdGrid, string id, string nameSpace)
{
var mkt = swapCurve;
var curve = new SimpleRateCurve(mkt);
// List the values so we can build our ATM vols
var atmVols = new Dictionary <SimpleKey, decimal>();
// Create a calendar to use to modify the date
// default to be Sydney...
IBusinessCalendar bc = BusinessCenterHelper.ToBusinessCalendar(cache, new[] { "AUSY" }, nameSpace); //BusinessCalendarHelper("AUSY");
// Use some logic to get the spot date to use
// LPM Spot lag is 2 days (mod following)
DateTime spotDate = curve.GetSpotDate();
// Extract each surface and build an ATM engine therefrom
// Build a list of all possible engines
foreach (string e in ExpiryKeys)
{
// Assume frequency = 4 months until 3 years tenor is reached
Period expiration = PeriodHelper.Parse(e);
double expiryYearFraction = expiration.ToYearFraction();
foreach (string t in TenorKeys)
{
// Create a Swap rate for each expiry/tenor pair
// Assume frequency = 4 months until 3 years tenor is reached
double tenorYearFraction = PeriodHelper.Parse(t).ToYearFraction();
int frequency = tenorYearFraction < 4 ? 4 : 2;
// Calculation date
// Discount factors
// Offsets (elapsed days)
var rates = new SwapRate(logger, cache, nameSpace, "AUSY", curve.BaseDate, "ACT/365.FIXED", curve.GetDiscountFactors(), curve.GetDiscountFactorOffsets(), frequency, BusinessDayConventionEnum.MODFOLLOWING);
// Calculate the volatility given PPD and swap curve
DateTime expiry = bc.Roll(expiration.Add(spotDate), BusinessDayConventionEnum.FOLLOWING);
decimal vol = CalculateAtmVolatility(rates, expiry, ppdGrid, expiryYearFraction, tenorYearFraction);
atmVols.Add(new SimpleKey(e, t), vol);
}
}
var vols = new object[atmVols.Count + 1, 3];
var i = 1;
vols[0, 0] = "Expiry";
vols[0, 1] = "Tenor";
vols[0, 2] = "0";
foreach (var key in atmVols.Keys)
{
vols[i, 0] = key.Expiry;
vols[i, 1] = key.Tenor;
vols[i, 2] = atmVols[key];
i++;
}
DateTime buildDateTime = swapCurve.Items1[0].buildDateTime;
var volSurface = new VolatilitySurface(vols, new VolatilitySurfaceIdentifier(id), curve.BaseDate, buildDateTime);
return(CreateMarketDocument(volSurface.GetFpMLData()));
}
/// <summary>
/// Calculate an ATM volatility given a Price Per Day (PPD) value and a swap curve
/// The curve provides forward rates for the calculation
/// </summary>
private static decimal CalculateAtmVolatility(SwapRate rate, DateTime baseDate, SwaptionPPDGrid grid, double expiryYearFraction, double tenorYearFraction)
{
// Extract the forward rate
var swapRate = rate.ComputeSwapRate(baseDate, tenorYearFraction);
swapRate = swapRate * 100;
// Extract the correct ppd from the grid (compensate for the swap rate being * 100)
var ppd = grid.GetPPD(expiryYearFraction, tenorYearFraction) * 0.01m;
// Calculate the volatility from the parameters
var atmVolatility = (ppd * (decimal)System.Math.Sqrt(250.0)) / swapRate;
return(atmVolatility);
}
