public static void LoadStressDefinitions(ILogger logger, ICoreCache targetClient)
{
// generate stress definitions
// - ZeroStress: the curve definition with the market quotes adjusted by zero
// - ParallelUp/Dn: the curve definition with the market quotes adjusted by +/- 100bp
// - PercentUp/Dn: the curve definition with the market quotes adjusted by +/- 1, 5, and 10%
logger.LogDebug("Loading stress definitions...");
var stressRules = new List <StressRule>();
{
//IExpression excludedCurveFilter =
// Expr.BoolOR(
// Expr.IsEQU(CurveProp.PricingStructureType, "RateBasisCurve"),
// Expr.IsEQU(CurveProp.PricingStructureType, "RateSpreadCurve"));
//IExpression anyOtherCurveFilter =
// Expr.BoolAND(
// Expr.IsNEQ(CurveProp.PricingStructureType, "RateBasisCurve"),
// Expr.IsNEQ(CurveProp.PricingStructureType, "RateSpreadCurve"));
// build rules
stressRules.Add(MakeStressRule("ZeroStress", "1", 1, Expr.ALL, NoAdjustment()));
stressRules.Add(MakeStressRule(StressConst.ParallelUp001, "1", 1, Expr.ALL, ParallelUp(0.0001M)));
stressRules.Add(MakeStressRule(StressConst.ParallelDn001, "1", 1, Expr.ALL, ParallelDn(0.0001M)));
stressRules.Add(MakeStressRule(StressConst.ParallelUp050, "1", 1, Expr.ALL, ParallelUp(0.0050M)));
stressRules.Add(MakeStressRule(StressConst.ParallelDn050, "1", 1, Expr.ALL, ParallelDn(0.0050M)));
stressRules.Add(MakeStressRule(StressConst.ParallelUp100, "1", 1, Expr.ALL, ParallelUp(0.0100M)));
stressRules.Add(MakeStressRule(StressConst.ParallelDn100, "1", 1, Expr.ALL, ParallelDn(0.0100M)));
stressRules.Add(MakeStressRule(StressConst.PercentUp01, "1", 1, Expr.ALL, PercentUp(0.01M)));
stressRules.Add(MakeStressRule(StressConst.PercentDn01, "1", 1, Expr.ALL, PercentDn(0.01M)));
stressRules.Add(MakeStressRule(StressConst.PercentUp05, "1", 1, Expr.ALL, PercentUp(0.05M)));
stressRules.Add(MakeStressRule(StressConst.PercentDn05, "1", 1, Expr.ALL, PercentDn(0.05M)));
stressRules.Add(MakeStressRule(StressConst.PercentUp10, "1", 1, Expr.ALL, PercentUp(0.10M)));
stressRules.Add(MakeStressRule(StressConst.PercentDn10, "1", 1, Expr.ALL, PercentDn(0.10M)));
}
// save stress rules
foreach (StressRule stressRule in stressRules)
{
const string itemType = "StressDefinition";
string idSuffix = stressRule.StressId + "." + stressRule.RuleId;
logger.LogDebug(" Loading {0} ...", idSuffix);
Pair <string, NamedValueSet> itemInfo = LoadConfigDataHelper.StandardConfigProps(null, itemType, idSuffix);
TimeSpan lifetime = stressRule.Disabled ? TimeSpan.FromDays(30) : TimeSpan.MaxValue;
targetClient.SaveObject(stressRule, itemInfo.First, itemInfo.Second, false, lifetime);
}
logger.LogDebug("Loaded {0} stress definitions", stressRules.Count);
}
public static void LoadScenarioDefinitions(ILogger logger, ICoreCache targetClient)
{
// generate scenario definitions
logger.LogDebug("Loading scenario definitions...");
var scenarioRules = new List <ScenarioRule>
{
MakeFxCurveScenarioRule(ScenarioConst.AUD_Up01pc, 1, "AUD",
StressConst.PercentUp01, "AUD+1%"),
MakeFxCurveScenarioRule(ScenarioConst.AUD_Up05pc, 1, "AUD",
StressConst.PercentUp05, "AUD+5%"),
MakeFxCurveScenarioRule(ScenarioConst.AUD_Up10pc, 1, "AUD",
StressConst.PercentUp10, "AUD+10%"),
MakeFxCurveScenarioRule(ScenarioConst.AUD_Dn01pc, 1, "AUD",
StressConst.PercentDn01, "AUD-1%"),
MakeFxCurveScenarioRule(ScenarioConst.AUD_Dn05pc, 1, "AUD",
StressConst.PercentDn05, "AUD-5%"),
MakeFxCurveScenarioRule(ScenarioConst.AUD_Dn10pc, 1, "AUD",
StressConst.PercentDn10, "AUD-10%"),
MakeFxCurveScenarioRule(ScenarioConst.GBP_Up01pc, 1, "GBP",
StressConst.PercentUp01, "GBP+1%"),
MakeFxCurveScenarioRule(ScenarioConst.GBP_Up05pc, 1, "GBP",
StressConst.PercentUp05, "GBP+5%"),
MakeFxCurveScenarioRule(ScenarioConst.GBP_Up10pc, 1, "GBP",
StressConst.PercentUp10, "GBP+10%"),
MakeFxCurveScenarioRule(ScenarioConst.GBP_Dn01pc, 1, "GBP",
StressConst.PercentDn01, "GBP-1%"),
MakeFxCurveScenarioRule(ScenarioConst.GBP_Dn05pc, 1, "GBP",
StressConst.PercentDn05, "GBP-5%"),
MakeFxCurveScenarioRule(ScenarioConst.GBP_Dn10pc, 1, "GBP",
StressConst.PercentDn10, "GBP-10%"),
MakeFxCurveScenarioRule(ScenarioConst.EUR_Up01pc, 1, "EUR",
StressConst.PercentUp01, "EUR+1%"),
MakeFxCurveScenarioRule(ScenarioConst.EUR_Up05pc, 1, "EUR",
StressConst.PercentUp05, "EUR+5%"),
MakeFxCurveScenarioRule(ScenarioConst.EUR_Up10pc, 1, "EUR",
StressConst.PercentUp10, "EUR+10%"),
MakeFxCurveScenarioRule(ScenarioConst.EUR_Dn01pc, 1, "EUR",
StressConst.PercentDn01, "EUR-1%"),
MakeFxCurveScenarioRule(ScenarioConst.EUR_Dn05pc, 1, "EUR",
StressConst.PercentDn05, "EUR-5%"),
MakeFxCurveScenarioRule(ScenarioConst.EUR_Dn10pc, 1, "EUR",
StressConst.PercentDn10, "EUR-10%"),
MakeFxCurveScenarioRule(ScenarioConst.JPY_Up01pc, 1, "JPY",
StressConst.PercentUp01, "JPY+1%"),
MakeFxCurveScenarioRule(ScenarioConst.JPY_Up05pc, 1, "JPY",
StressConst.PercentUp05, "JPY+5%"),
MakeFxCurveScenarioRule(ScenarioConst.JPY_Up10pc, 1, "JPY",
StressConst.PercentUp10, "JPY+10%"),
MakeFxCurveScenarioRule(ScenarioConst.JPY_Dn01pc, 1, "JPY",
StressConst.PercentDn01, "JPY-1%"),
MakeFxCurveScenarioRule(ScenarioConst.JPY_Dn05pc, 1, "JPY",
StressConst.PercentDn05, "JPY-5%"),
MakeFxCurveScenarioRule(ScenarioConst.JPY_Dn10pc, 1, "JPY",
StressConst.PercentDn10, "JPY-10%"),
MakeFxCurveScenarioRule(ScenarioConst.NZD_Up01pc, 1, "NZD",
StressConst.PercentUp01, "NZD+1%"),
MakeFxCurveScenarioRule(ScenarioConst.NZD_Up05pc, 1, "NZD",
StressConst.PercentUp05, "NZD+5%"),
MakeFxCurveScenarioRule(ScenarioConst.NZD_Up10pc, 1, "NZD",
StressConst.PercentUp10, "NZD+10%"),
MakeFxCurveScenarioRule(ScenarioConst.NZD_Dn01pc, 1, "NZD",
StressConst.PercentDn01, "NZD-1%"),
MakeFxCurveScenarioRule(ScenarioConst.NZD_Dn05pc, 1, "NZD",
StressConst.PercentDn05, "NZD-5%"),
MakeFxCurveScenarioRule(ScenarioConst.NZD_Dn10pc, 1, "NZD",
StressConst.PercentDn10, "NZD-10%"),
MakeIrCurveScenarioRule(ScenarioConst.GlobalIRUp001bp, 1, null, null, null,
StressConst.ParallelUp001, "GlobalIR+1bp"),
MakeIrCurveScenarioRule(ScenarioConst.GlobalIRUp050bp, 1, null, null, null,
StressConst.ParallelUp050, "GlobalIR+50bp"),
MakeIrCurveScenarioRule(ScenarioConst.GlobalIRUp100bp, 1, null, null, null,
StressConst.ParallelUp100, "GlobalIR+100bp"),
MakeIrCurveScenarioRule(ScenarioConst.AUDBBSWUp001bp, 1, "AUD", null, null,
StressConst.ParallelUp001, "AUDBBSW+1bp"),
MakeIrCurveScenarioRule(ScenarioConst.AUDBBSWUp050bp, 1, "AUD", null, null,
StressConst.ParallelUp050, "AUDBBSW+50bp"),
MakeIrCurveScenarioRule(ScenarioConst.AUDBBSWUp100bp, 1, "AUD", null, null,
StressConst.ParallelUp100, "AUDBBSW+100bp"),
MakeIrCurveScenarioRule(ScenarioConst.AUDBBSWDn050bp, 1, "AUD", null, null,
StressConst.ParallelDn050, "AUDBBSW-50bp"),
MakeIrCurveScenarioRule(ScenarioConst.USDLIBORUp001bp, 1, "USD", null, null,
StressConst.ParallelUp001, "USDLIB+1bp"),
MakeIrCurveScenarioRule(ScenarioConst.USDLIBORUp050bp, 1, "USD", null, null,
StressConst.ParallelUp050, "USDLIB+50bp"),
MakeIrCurveScenarioRule(ScenarioConst.USDLIBORUp100bp, 1, "USD", null, null,
StressConst.ParallelUp100, "USDLIB+100bp"),
MakeIrCurveScenarioRule(ScenarioConst.GBPLIBORUp001bp, 1, "GBP", null, null,
StressConst.ParallelUp001, "GBPLIB+1bp"),
MakeIrCurveScenarioRule(ScenarioConst.GBPLIBORUp050bp, 1, "GBP", null, null,
StressConst.ParallelUp050, "GBPLIB+50bp"),
MakeIrCurveScenarioRule(ScenarioConst.GBPLIBORUp100bp, 1, "GBP", null, null,
StressConst.ParallelUp100, "GBPLIB+100bp")
};
// FX scenarios
//scenarioRules.Add(MakeFxCurveScenarioRule(ScenarioConst.CurrentFx, 1, null, null, null, "Current FX"));
// AUD
// GBP
// EUR
// JPY
// NZD
// IR scenarios
//scenarioRules.Add(MakeIrCurveScenarioRule(ScenarioConst.CurrentIR, 1, null, null, null, null, "Current IR"));
// save scenario rules
foreach (ScenarioRule scenarioRule in scenarioRules)
{
const string itemType = "ScenarioDefinition";
string idSuffix = scenarioRule.ScenarioId; // +"." + scenarioRule.RuleId;
logger.LogDebug(" Loading {0} ...", idSuffix);
var scenarioProps = new NamedValueSet();
scenarioProps.Set(ValueProp.Scenario, scenarioRule.ScenarioId);
Pair <string, NamedValueSet> itemInfo = LoadConfigDataHelper.StandardConfigProps(scenarioProps, itemType, idSuffix);
TimeSpan lifetime = scenarioRule.Disabled ? TimeSpan.FromDays(30) : TimeSpan.MaxValue;
targetClient.SaveObject(scenarioRule, itemInfo.First, itemInfo.Second, false, lifetime);
}
logger.LogDebug("Loaded {0} scenario definitions", scenarioRules.Count);
}