public void LessComplexCurve()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _jhb, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _jhb, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var FIC = new FundingInstrumentCollection();
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m });
var S = new NewtonRaphsonMultiCurveSolverStagedWithAnalyticJacobian();
//var S = new NewtonRaphsonMultiCurveSolverStaged();
S.Solve(engine, FIC);
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
}
public static object CreateFundingInstrumentCollection(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsA,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsB,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsC,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsD,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsE,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsF,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsG,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsH,
[ExcelArgument(Description = "Instruments")] object[,] InstrumentsI)
{
return(ExcelHelper.Execute(_logger, () =>
{
var Instruments = InstrumentsA.Flatten2d <object>()
.Concat(InstrumentsB.Flatten2d <object>())
.Concat(InstrumentsC.Flatten2d <object>())
.Concat(InstrumentsD.Flatten2d <object>())
.Concat(InstrumentsE.Flatten2d <object>())
.Concat(InstrumentsF.Flatten2d <object>())
.Concat(InstrumentsG.Flatten2d <object>())
.Concat(InstrumentsH.Flatten2d <object>())
.Concat(InstrumentsI.Flatten2d <object>())
.ToArray();
var swaps = Instruments.GetAnyFromCache <IrSwap>();
var fras = Instruments.GetAnyFromCache <ForwardRateAgreement>();
var futures = Instruments.GetAnyFromCache <STIRFuture>();
var oisFutures = Instruments.GetAnyFromCache <OISFuture>();
var fxFwds = Instruments.GetAnyFromCache <FxForward>();
var fxSwaps = Instruments.GetAnyFromCache <FxSwap>();
var xccySwaps = Instruments.GetAnyFromCache <XccyBasisSwap>();
var basisSwaps = Instruments.GetAnyFromCache <IrBasisSwap>();
var loanDepos = Instruments.GetAnyFromCache <FixedRateLoanDeposit>();
var ctgoSwaps = Instruments.GetAnyFromCache <ContangoSwap>();
var flrDepos = Instruments.GetAnyFromCache <FloatingRateLoanDepo>();
//allows merging of FICs into portfolios
var ficInstruments = Instruments.GetAnyFromCache <FundingInstrumentCollection>()
.SelectMany(s => s);
var fic = new FundingInstrumentCollection(ContainerStores.CurrencyProvider);
fic.AddRange(swaps);
fic.AddRange(fras);
fic.AddRange(futures);
fic.AddRange(oisFutures);
fic.AddRange(fxFwds);
fic.AddRange(fxSwaps);
fic.AddRange(xccySwaps);
fic.AddRange(basisSwaps);
fic.AddRange(ficInstruments);
fic.AddRange(loanDepos);
fic.AddRange(ctgoSwaps);
fic.AddRange(flrDepos);
return ExcelHelper.PushToCache(fic, ObjectName);
}));
}
public void BasicRiskMatrixFacts()
{
var model = GenerateTestData();
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var ix = new FloatRateIndex
{
Currency = usd,
DayCountBasis = DayCountBasis.Act365F,
DayCountBasisFixed = DayCountBasis.Act365F,
FixingOffset = 0.Bd(),
ResetTenor = 3.Months(),
ResetTenorFixed = 3.Months(),
RollConvention = RollType.F
};
var f1 = new STIRFuture
{
ContractSize = 1e6,
Currency = usd,
DCF = 0.25,
Expiry = _originDate.AddDays(1),
Position = 1.0,
Index = ix,
ForecastCurve = "DISCO-USD",
SolveCurve = "DISCO-USD",
TradeId = "f1",
Price = 95,
PillarDate = _originDate.AddDays(90)
};
var f2 = new STIRFuture
{
ContractSize = 1e6,
Currency = usd,
DCF = 0.25,
Expiry = _originDate.AddDays(90),
Position = 1.0,
Index = ix,
ForecastCurve = "DISCO-USD",
SolveCurve = "DISCO-USD",
TradeId = "f2",
Price = 95,
PillarDate = _originDate.AddDays(180),
};
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider)
{
f1,
f2
};
var cube = model.BenchmarkRisk(fic, TestProviderHelper.CurrencyProvider, usd);
var riskSum = cube.SumOfAllRows;
Assert.Equal(-13.0, riskSum, 0);
}
public void BasicSelfDiscounting()
{
var startDate = new DateTime(2016, 05, 20);
var swapTenor2 = new Frequency("2y");
var jhb = TestProviderHelper.CalendarProvider.Collection["JHB"];
var pillarDate = startDate.AddPeriod(RollType.MF, jhb, 1.Years());
var pillarDate2 = startDate.AddPeriod(RollType.MF, jhb, swapTenor2);
var pillarDateDepo = startDate.AddPeriod(RollType.MF, jhb, 3.Months());
var ccyZar = TestProviderHelper.CurrencyProvider["JHB"];
var zar3m = new FloatRateIndex()
{
Currency = ccyZar,
DayCountBasis = DayCountBasis.Act_365F,
DayCountBasisFixed = DayCountBasis.Act_365F,
ResetTenor = 3.Months(),
FixingOffset = 0.Bd(),
HolidayCalendars = jhb,
RollConvention = RollType.MF
};
var swap = new IrSwap(startDate, 1.Years(), zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var swap2 = new IrSwap(startDate, swapTenor2, zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var depo = new IrSwap(startDate, 3.Months(), zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider)
{
swap,
swap2,
depo
};
var curve = new IrCurve(new [] { pillarDateDepo, pillarDate, pillarDate2 }, new double[3], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar);
var model = new FundingModel(startDate, new[] { curve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var s = new Calibrators.NewtonRaphsonMultiCurveSolver();
if (IsCoverageOnly)
{
s.Tollerance = 1;
}
s.Solve(model, fic);
var resultSwap1 = swap.Pv(model, false);
var resultSwap2 = swap2.Pv(model, false);
var resultDepo = depo.Pv(model, false);
if (!IsCoverageOnly)
{
Assert.Equal(0, resultSwap1, 6);
Assert.Equal(0, resultSwap2, 6);
Assert.Equal(0, resultDepo, 6);
}
}
public static IrCurve StripFxBasisCurve(string cmeFwdFileName, FxPair ccyPair, string cmePair, Currency curveCcy, string curveName, DateTime valDate, IrCurve baseCurve, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var fwdsDict = GetFwdFxRatesFromFwdFile(cmeFwdFileName, new Dictionary <string, string> {
{ ccyPair.ToString(), cmePair }
});
var bc = baseCurve.Clone();
bc.SolveStage = -1;
var fwds = fwdsDict[ccyPair.ToString()];
var spotDate = ccyPair.SpotDate(valDate);
var spotRate = fwds[spotDate];
fwds = Downsample(fwds, spotDate, ccyPair.PrimaryCalendar);
var fwdObjects = fwds.Select(x => new FxForward
{
DomesticCCY = ccyPair.Domestic,
DeliveryDate = x.Key,
DomesticQuantity = 1e6,
ForeignCCY = ccyPair.Foreign,
PillarDate = x.Key,
SolveCurve = curveName,
Strike = x.Value,
ForeignDiscountCurve = ccyPair.Foreign == curveCcy ? curveName : baseCurve.Name,
});
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(fwdObjects);
var pillars = fwds.Keys.OrderBy(x => x).ToArray();
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), valDate, curveName, Interpolator1DType.Linear, curveCcy);
var fm = new FundingModel(valDate, new[] { curve, bc }, currencyProvider, calendarProvider);
var matrix = new FxMatrix(currencyProvider);
var discoMap = new Dictionary <Currency, string> {
{ curveCcy, curveName }, { baseCurve.Currency, baseCurve.Name }
};
matrix.Init(ccyPair.Domestic, valDate, new Dictionary <Currency, double> {
{ ccyPair.Foreign, spotRate }
}, new List <FxPair> {
ccyPair
}, discoMap);
fm.SetupFx(matrix);
var solver = new NewtonRaphsonMultiCurveSolverStaged()
{
InLineCurveGuessing = true
};
solver.Solve(fm, fic);
return(curve);
}
public static (IrCurve curve, double spotPrice) GetMetalCurveForCode(string cmxSettleFwdFilename, string cmxSymbol, FxPair metalPair, string curveName, DateTime valDate, IrCurve baseCurve, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var blob = CMEFileParser.Instance.GetBlob(cmxSettleFwdFilename);
var fwds = blob.Batch.Where(b => b.Instrmt.Sym == cmxSymbol).ToDictionary(x => x.Instrmt.MatDt, x => Convert.ToDouble(x.Full.Where(x => x.Typ == "6").First().Px));
var curveCcy = metalPair.Domestic;
var bc = baseCurve.Clone();
bc.SolveStage = -1;
var spotDate = metalPair.SpotDate(valDate);
var spotRate = Convert.ToDouble(fwds[spotDate]);
fwds = Downsample(fwds, spotDate, metalPair.PrimaryCalendar);
var fwdObjects = fwds.Select(x => new FxForward
{
DomesticCCY = metalPair.Foreign,
DeliveryDate = x.Key,
DomesticQuantity = 1e6,
ForeignCCY = metalPair.Domestic,
PillarDate = x.Key,
SolveCurve = curveName,
Strike = Convert.ToDouble(x.Value),
ForeignDiscountCurve = baseCurve.Name,
});
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(fwdObjects);
var pillars = fwds.Keys.OrderBy(x => x).ToArray();
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), valDate, curveName, Interpolator1DType.Linear, curveCcy);
var fm = new FundingModel(valDate, new[] { curve, bc }, currencyProvider, calendarProvider);
var matrix = new FxMatrix(currencyProvider);
var discoMap = new Dictionary <Currency, string> {
{ curveCcy, curveName }, { baseCurve.Currency, baseCurve.Name }
};
matrix.Init(metalPair.Foreign, valDate, new Dictionary <Currency, double> {
{ metalPair.Domestic, spotRate }
}, new List <FxPair> {
metalPair
}, discoMap);
fm.SetupFx(matrix);
var solver = new NewtonRaphsonMultiCurveSolverStaged()
{
InLineCurveGuessing = true
};
solver.Solve(fm, fic);
return(curve, spotRate);
}
public static IrCurve GetCurveForCode(string cmeId, string cmeFilename, string qwackCode, string curveName, Dictionary <string, FloatRateIndex> indices, Dictionary <string, string> curves, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var parsed = CMEFileParser.Parse(cmeFilename).Where(r => r.ID == cmeId && r.SecTyp == "FUT");
var q = parsed.ToDictionary(x => DateTime.ParseExact(x.MatDt, "yyyy-MM-dd", CultureInfo.InvariantCulture), x => x.SettlePrice);
var origin = DateTime.ParseExact(parsed.First().BizDt, "yyyy-MM-dd", CultureInfo.InvariantCulture);
var instruments = parsed.Select(p => ToQwackIns(p, qwackCode, futureSettingsProvider, currencyProvider, indices, curves)).ToList();
var pillars = instruments.Select(x => x.PillarDate).OrderBy(x => x).ToArray();
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(instruments);
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), origin, curveName, Interpolator1DType.Linear, currencyProvider.GetCurrency("USD"));
var fm = new FundingModel(origin, new[] { curve }, currencyProvider, calendarProvider);
var solver = new NewtonRaphsonMultiCurveSolverStaged();
solver.Solve(fm, fic);
return(curve);
}
public void ImplySolveStagesTest()
{
var f = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider)
{
new IrSwap
{
SolveCurve = "usd.forecast",
DiscountCurve = "usd.discount",
ForecastCurve = "usd.forecast"
},
new IrBasisSwap
{
SolveCurve = "usd.discount",
DiscountCurve = "usd.discount",
ForecastCurvePay = "usd.forecast",
ForecastCurveRec = "usd.discount"
},
new XccyBasisSwap
{
SolveCurve = "zar.discount.usd",
DiscountCurvePay = "zar.discount.usd",
ForecastCurvePay = "zar.discount.usd",
DiscountCurveRec = "usd.discount",
ForecastCurveRec = "usd.forecast"
}
};
var x = f.ImplySolveStages(null);
Assert.Equal(3, x.Count);
Assert.Equal(2, x.Where(xx => xx.Value == 0).Count());
Assert.Equal("zar.discount.usd", x.Single(xx => xx.Value == 1).Key);
f.Add(new IrBasisSwap
{
SolveCurve = "usd.discount2",
DiscountCurve = "usd.discount2",
ForecastCurvePay = "usd.forecast2",
ForecastCurveRec = "usd.discount2"
});
Assert.Throws <Exception>(() => f.ImplySolveStages(null));
}
public void Solve(FundingModel fundingModel, FundingInstrumentCollection instruments)
{
var maxStage = fundingModel.Curves.Max(x => x.Value.SolveStage);
var curvesForStage = new List <ICurve>();
var fundingInstruments = new List <IFundingInstrument>();
for (var stage = 0; stage <= maxStage; stage++)
{
curvesForStage.Clear();
fundingInstruments.Clear();
foreach (var kv in fundingModel.Curves)
{
if (kv.Value.SolveStage == stage)
{
curvesForStage.Add(kv.Value);
foreach (var inst in instruments)
{
if (inst.SolveCurve == kv.Value.Name)
{
fundingInstruments.Add(inst);
}
}
}
}
var currentGuess = new double[fundingInstruments.Count];
_currentPvs = new double[fundingInstruments.Count];
var bumpedPvs = new double[fundingInstruments.Count];
_jacobian = Math.Matrix.DoubleArrayFunctions.MatrixCreate(fundingInstruments.Count, fundingInstruments.Count);
for (var i = 0; i < MaxItterations; i++)
{
ComputePVs(true, fundingInstruments, fundingModel, _currentPvs);
if (_currentPvs.Max(x => System.Math.Abs(x)) < Tollerance)
{
UsedItterations = i + 1;
break;
}
ComputeJacobian(fundingInstruments, fundingModel, curvesForStage, currentGuess, bumpedPvs);
ComputeNextGuess(currentGuess, fundingInstruments.Count, curvesForStage);
}
}
}
public void Solve(FundingModel fundingModel, FundingInstrumentCollection instruments)
{
_curveEngine = fundingModel;
_fundingInstruments = instruments;
_numberOfInstruments = _fundingInstruments.Count;
_numberOfPillars = _curveEngine.Curves.Select(kv => kv.Value.NumberOfPillars).Sum();
_numberOfCurves = _curveEngine.Curves.Count;
_currentGuess = new double[_numberOfPillars];
_currentPVs = ComputePVs();
_curveNames = fundingModel.Curves.Keys.ToArray();
if (_numberOfPillars != _numberOfInstruments)
{
throw new ArgumentException();
}
var pillarToCurveMap = new List <Tuple <int, int> >();
for (var i = 0; i < _numberOfCurves; i++)
{
var currentCurve = _curveEngine.Curves[_curveNames[i]];
var nPillarsOnCurve = currentCurve.NumberOfPillars;
var i1 = i;
pillarToCurveMap.AddRange(Enumerable.Range(0, nPillarsOnCurve).Select(x => new Tuple <int, int>(i1, x)));
}
_pillarToCurveMapping = pillarToCurveMap.ToArray();
ComputeJacobian();
for (var i = 0; i < MaxItterations; i++)
{
ComputeNextGuess();
_currentPVs = ComputePVs();
if (_currentPVs.Max(x => System.Math.Abs(x)) < Tollerance)
{
UsedItterations = i + 1;
break;
}
ComputeJacobian();
}
}
public void FundingInstrumentCollection()
{
var f = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider)
{
new FxForward {
SolveCurve = "1.blah"
},
new FxForward {
SolveCurve = "1.blah"
},
new FxForward {
SolveCurve = "2.blah"
}
};
Assert.True(Enumerable.SequenceEqual(f.SolveCurves, new[] { "1.blah", "2.blah" }));
var f2 = f.Clone();
Assert.True(Enumerable.SequenceEqual(f, f2));
}
public void PillarDatesTest()
{
var f = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider)
{
new FxForward {
SolveCurve = "usd.1blah", PillarDate = DateTime.Today
},
new FxForward {
SolveCurve = "usd.2blah", PillarDate = DateTime.Today.AddDays(1)
},
new FxForward {
SolveCurve = "usd.2blah", PillarDate = DateTime.Today
}
};
var x = f.ImplyContainedCurves(DateTime.Today, Interpolator1DType.Linear);
//double up on one pillar on the same curve
f.Add(new FxForward {
SolveCurve = "usd.2blah", PillarDate = DateTime.Today
});
Assert.Throws <Exception>(() => f.ImplyContainedCurves(DateTime.Today, Interpolator1DType.Linear));
}
public void ComplexCurve()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var FIC = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, usdon, usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDoisSwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDdeposOIS[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var ZARcurve3m0 = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS0 = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m0 = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS0 = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var engine0 = new FundingModel(startDate, new IrCurve[] { ZARcurve3m0, ZARcurveOIS0, USDcurve3m0, USDcurveOIS0 }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var S = new NewtonRaphsonMultiCurveSolverStagedWithAnalyticJacobian()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
var S0 = new NewtonRaphsonMultiCurveSolverStaged()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(engine, FIC);
S0.Solve(engine0, FIC);
if (!IsCoverageOnly)
{
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
foreach (var curve in engine.Curves)
{
var otherCurve = engine0.Curves[curve.Key];
Assert.Equal(curve.Value.NumberOfPillars, otherCurve.NumberOfPillars);
var otherRates = otherCurve.GetRates();
var rates = curve.Value.GetRates();
for (var i = 0; i < otherRates.Length; i++)
{
Assert.Equal(otherRates[i], rates[i], 10);
}
}
}
}
public void FuturesStripWithConvexity()
{
var volatility = 0.03;
var startDate = new DateTime(2017, 01, 17);
var nContracts = 24;
var currentDate = startDate.GetNextImmDate();
var expiries = new DateTime[nContracts];
var pillars = new DateTime[nContracts];
var instruments = new IFundingInstrument[nContracts];
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var lon = TestProviderHelper.CalendarProvider.Collection["LON"];
var ccyUsd = TestProviderHelper.CurrencyProvider["USD"];
var usd3m = new FloatRateIndex()
{
Currency = ccyUsd,
DayCountBasis = DayCountBasis.Act_360,
DayCountBasisFixed = DayCountBasis.Act_360,
ResetTenor = 3.Months(),
FixingOffset = 2.Bd(),
HolidayCalendars = nyc,
RollConvention = RollType.MF
};
for (var i = 0; i < nContracts; i++)
{
var wed3rd = currentDate.ThirdWednesday();
expiries[i] = wed3rd.SubtractPeriod(RollType.P, lon, 2.Bd());
pillars[i] = wed3rd.AddPeriod(usd3m.RollConvention, usd3m.HolidayCalendars, usd3m.ResetTenor);
instruments[i] = new STIRFuture()
{
Currency = ccyUsd,
ContractSize = 1e6,
ConvexityAdjustment = FuturesConvexityUtils.CalculateConvexityAdjustment(startDate, expiries[i], pillars[i], volatility),
DCF = 0.25,
Expiry = expiries[i],
ForecastCurve = "USD.LIBOR.3M",
Index = usd3m,
Position = 1.0,
Price = 99.50,
SolveCurve = "USD.LIBOR.3M"
};
currentDate = currentDate.AddMonths(3);
}
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
fic.AddRange(instruments);
var curve = new IrCurve(pillars, new double[nContracts], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd);
var model = new FundingModel(startDate, new[] { curve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var s = new Calibrators.NewtonRaphsonMultiCurveSolver()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001
};
s.Solve(model, fic);
if (!IsCoverageOnly)
{
for (var i = 0; i < nContracts; i++)
{
var resultPV = instruments[i].Pv(model, false);
Assert.Equal(0, resultPV, 6);
}
}
}
public static void Setup()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
double[] crossxPrices = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var ccySwaps = new XccyBasisSwap[oisTenors.Length];
_instruments = new FundingInstrumentCollection();
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], CurveDataSetup._zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], CurveDataSetup.usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, CurveDataSetup.zaron, CurveDataSetup._zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
_instruments.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, CurveDataSetup.usdon, CurveDataSetup.usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
_instruments.Add(USDoisSwaps[i]);
ccySwaps[i] = new XccyBasisSwap(startDate, oisTenors[i], crossxPrices[i], true, CurveDataSetup.usd3m, CurveDataSetup._zar3m, ExchangeType.Both, MTMSwapType.ReceiveNotionalFixed, "USD.LIBOR.3M", "ZAR.JIBAR.3M", "USD.DISC.CSA_USD", "ZAR.DISC.CSA_USD");
//_instruments.Add(ccySwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], CurveDataSetup._zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], CurveDataSetup.usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], CurveDataSetup._zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], CurveDataSetup.usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], CurveDataSetup.zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
_instruments.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], CurveDataSetup.usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
_instruments.Add(USDdeposOIS[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 1
};
// var ZARccyBasisCurve = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap) { SolveStage = 2 };
_fundingModel = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS });
}
public void BasicOisCurveSolving()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
double[] depoPrices = { 0.06 };
string[] FRATenors = { "3x6", "6x9", "9x12" };
double[] FRAPrices = { 0.065, 0.07, 0.075 };
var swapTenors = new Frequency[] { 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 7.Years(), 10.Years(), 15.Years(), 20.Years() };
double[] swapPrices = { 0.075, 0.08, 0.085, 0.09, 0.095, 0.0975, 0.098, 0.099, 0.1 };
var oisTenors = new Frequency[] { 3.Months(), 6.Months(), 1.Years(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 7.Years(), 10.Years(), 15.Years(), 20.Years() };
var oisPrices = new double[] { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
var pillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var pillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var pillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var pillarDates3m = pillarDatesDepo.Union(pillarDatesSwap).Union(pillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var pillarDatesOIS = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var swaps = new IrSwap[swapTenors.Length];
var depos = new IrSwap[depoTenors.Length];
var oisSwaps = new IrBasisSwap[oisTenors.Length];
var FRAs = new ForwardRateAgreement[FRATenors.Length];
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRAs.Length; i++)
{
FRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPrices[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(FRAs[i]);
}
for (var i = 0; i < oisSwaps.Length; i++)
{
oisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPrices[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.OIS.1B", "ZAR.OIS.1B");
fic.Add(oisSwaps[i]);
}
for (var i = 0; i < swaps.Length; i++)
{
swaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPrices[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(swaps[i]);
}
for (var i = 0; i < depos.Length; i++)
{
depos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPrices[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(depos[i]);
}
var curve3m = new IrCurve(pillarDates3m, new double[pillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar);
var curveOIS = new IrCurve(pillarDatesOIS, new double[pillarDatesOIS.Length], startDate, "ZAR.OIS.1B", Interpolator1DType.LinearFlatExtrap, ccyZar);
var model = new FundingModel(startDate, new IrCurve[] { curve3m, curveOIS }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var S = new NewtonRaphsonMultiCurveSolver
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(model, fic);
if (!IsCoverageOnly)
{
foreach (var ins in fic)
{
var pv = ins.Pv(model, false);
Assert.Equal(0.0, pv, 7);
}
}
}
public void ComplexerCurve()
{
var startDate = new DateTime(2016, 05, 20);
Frequency[] depoTenors = { 3.Months() };
Frequency[] OISdepoTenors = { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var fxSpot = 14.0;
Frequency[] fxForwardTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years() };
double[] fxForwardPrices = { 14.10, 14.20, 14.40, 14.60, 14.80, 15.20 };
Frequency[] xcySwapTenors = { 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] xcySwapPrices = { 0.0055, 0.0050, 0.0045, 0.0040, 0.0035, 0.0030, 0.0025, 0.0020, 0.0015, 0.0010, 0.0005, 0.0000 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var fxForwardPillarDates = fxForwardTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var xcySwapDates = xcySwapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var fxPillarDates = fxForwardPillarDates.Union(xcySwapDates).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var fxForwards = new FxForward[fxForwardTenors.Length];
var xcySwaps = new XccyBasisSwap[xcySwapTenors.Length];
var FIC = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, usdon, usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDoisSwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDdeposOIS[i]);
}
for (var i = 0; i < fxForwards.Length; i++)
{
fxForwards[i] = new FxForward
{
SolveCurve = "ZAR.DISC.CSA_USD",
DeliveryDate = fxForwardPillarDates[i],
DomesticCCY = ccyUsd,
ForeignCCY = ccyZar,
DomesticQuantity = 1e6 / fxForwardPrices[i],
Strike = fxForwardPrices[i],
ForeignDiscountCurve = "ZAR.DISC.CSA_USD",
};
FIC.Add(fxForwards[i]);
}
for (var i = 0; i < xcySwapTenors.Length; i++)
{
xcySwaps[i] = new XccyBasisSwap(startDate, xcySwapTenors[i], xcySwapPrices[i], true, usd3m, _zar3m, ExchangeType.Both, MTMSwapType.ReceiveNotionalFixed, "USD.LIBOR.3M", "ZAR.JIBAR.3M", "USD.DISC.CSA_USD", "ZAR.DISC.CSA_USD")
{
SolveCurve = "ZAR.DISC.CSA_USD"
};
FIC.Add(xcySwaps[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var fxCurve = new IrCurve(fxPillarDates, new double[fxPillarDates.Length], startDate, "ZAR.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 2
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS, fxCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var spotRates = new Dictionary <Currency, double>
{
{ ccyZar, fxSpot }
};
var fxPairs = new List <FxPair>
{
new FxPair {
Domestic = ccyUsd, Foreign = ccyZar, SettlementCalendar = _usd, SpotLag = new Frequency("2b")
}
};
var discountMap = new Dictionary <Currency, string>
{
{ ccyUsd, "USD.DISC.CSA_USD" },
{ ccyZar, "ZAR.DISC.CSA_USD" },
};
fxMatrix.Init(ccyUsd, startDate, spotRates, fxPairs, discountMap);
engine.SetupFx(fxMatrix);
var S = new NewtonRaphsonMultiCurveSolverStaged()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(engine, FIC);
if (!IsCoverageOnly)
{
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
}
}
//private double[][] _jacobian;
//double[] _currentPvs;
public void Solve(IFundingModel fundingModel, FundingInstrumentCollection instruments)
{
var sw = new Stopwatch();
sw.Start();
var itterationsPerStage = new Dictionary <int, int>();
var curvesPerStange = new Dictionary <int, string>();
var maxStage = fundingModel.Curves.Max(x => x.Value.SolveStage);
var curvesForStage = new List <IIrCurve>();
var fundingInstruments = new List <IFundingInstrument>();
for (var stage = 0; stage <= maxStage; stage++)
{
curvesForStage.Clear();
fundingInstruments.Clear();
foreach (var kv in fundingModel.Curves)
{
if (kv.Value.SolveStage == stage)
{
var insForCurve = new List <IFundingInstrument>();
curvesForStage.Add(kv.Value);
foreach (var inst in instruments)
{
if (inst.SolveCurve == kv.Value.Name)
{
insForCurve.Add(inst);
fundingInstruments.Add(inst);
}
}
if (InLineCurveGuessing)
{
var points = insForCurve.ToDictionary(x => x.PillarDate, x => x.SuggestPillarValue(fundingModel));
for (var i = 0; i < kv.Value.NumberOfPillars; i++)
{
kv.Value.SetRate(i, points[kv.Value.PillarDates[i]], true);
}
}
}
}
curvesPerStange[stage] = string.Join(",", curvesForStage.Select(c => c.Name).ToArray());
var currentGuess = new double[fundingInstruments.Count];
var currentPvs = new double[fundingInstruments.Count];
var bumpedPvs = new double[fundingInstruments.Count];
var jacobian = Math.Matrix.DoubleArrayFunctions.MatrixCreate(fundingInstruments.Count, fundingInstruments.Count);
for (var i = 0; i < MaxItterations; i++)
{
ComputePVs(true, fundingInstruments, fundingModel, currentPvs);
if (currentPvs.Max(x => System.Math.Abs(x)) < Tollerance)
{
UsedItterations += i + 1;
itterationsPerStage[stage] = i + 1;
break;
}
ComputeJacobian(fundingInstruments, fundingModel, curvesForStage, currentGuess, bumpedPvs, currentPvs, ref jacobian);
ComputeNextGuess(currentGuess, fundingInstruments.Count, curvesForStage, jacobian, currentPvs);
}
}
fundingModel.CalibrationItterations = itterationsPerStage;
fundingModel.CalibrationTimeMs = sw.ElapsedMilliseconds;
fundingModel.CalibrationCurves = curvesPerStange;
sw.Stop();
}
public static ICube BenchmarkRisk(this IPvModel pvModel, FundingInstrumentCollection riskCollection, ICurrencyProvider currencyProvider, Currency reportingCcy)
{
var cube = new ResultCube();
var dataTypes = new Dictionary <string, Type>
{
{ "TradeId", typeof(string) },
{ "TradeType", typeof(string) },
{ "Curve", typeof(string) },
{ "RiskDate", typeof(DateTime) },
{ "Benchmark", typeof(string) },
{ "Metric", typeof(string) },
{ "Units", typeof(string) },
{ "BumpSize", typeof(double) },
};
cube.Initialize(dataTypes);
//var lastDate = pvModel.Portfolio.LastSensitivityDate;
var insByCurve = riskCollection.GroupBy(x => x.SolveCurve);
var dependencies = riskCollection.FindDependenciesInverse(pvModel.VanillaModel.FundingModel.FxMatrix);
var lastDateByCurve = insByCurve.ToDictionary(x => x.Key, x => DateTime.MinValue);
foreach (var ins in pvModel.Portfolio.UnWrapWrappers().Instruments)
{
if (ins is IFundingInstrument fins)
{
var cvs = fins.Dependencies(pvModel.VanillaModel.FundingModel.FxMatrix);
foreach (var c in cvs)
{
if (!lastDateByCurve.ContainsKey(c))
{
lastDateByCurve[c] = DateTime.MinValue;
}
lastDateByCurve[c] = lastDateByCurve[c].Max(ins.LastSensitivityDate);
}
}
else if (ins is IAssetInstrument ains)
{
var cvs = ains.IrCurves(pvModel.VanillaModel);
foreach (var c in cvs)
{
if (!lastDateByCurve.ContainsKey(c))
{
lastDateByCurve[c] = DateTime.MinValue;
}
lastDateByCurve[c] = lastDateByCurve[c].Max(ins.LastSensitivityDate);
}
}
}
foreach (var c in lastDateByCurve.Keys.ToArray())
{
if (dependencies.ContainsKey(c))
{
foreach (var d in dependencies[c])
{
lastDateByCurve[c] = lastDateByCurve[c].Max(lastDateByCurve[d]);
}
}
}
var insToRisk = new List <IFundingInstrument>();
foreach (var gp in insByCurve)
{
var lastDate = lastDateByCurve[gp.Key];
var sorted = gp.OrderBy(x => x.LastSensitivityDate).ToList();
if (sorted.Last().LastSensitivityDate <= lastDate)
{
insToRisk.AddRange(sorted);
}
else
{
var lastIns = sorted.First(x => x.LastSensitivityDate > lastDate);
var lastIx = sorted.IndexOf(lastIns);
lastIx = System.Math.Min(lastIx + 1, sorted.Count);
insToRisk.AddRange(sorted.Take(lastIx));
}
}
var parRates = insToRisk.Select(x => x.CalculateParRate(pvModel.VanillaModel.FundingModel)).ToList();
var newIns = insToRisk.Select((x, ix) => x.SetParRate(parRates[ix]));
var newFic = new FundingInstrumentCollection(currencyProvider);
newFic.AddRange(newIns.OrderBy(x => x.SolveCurve).ThenBy(x => x.PillarDate));
var fModel = pvModel.VanillaModel.FundingModel.DeepClone(null);
var s = new NewtonRaphsonMultiCurveSolverStaged();
s.Solve(fModel, newFic);
var vModel = pvModel.VanillaModel.Clone(fModel);
var newPvModel = pvModel.Rebuild(vModel, pvModel.Portfolio);
//var basePVbyCurrency = new Dictionary<Currency, ICube>();
var basePV = newPvModel.PV(reportingCcy);
ParallelUtils.Instance.For(0, newIns.Count(), 1, i =>
//for (var i = 0; i < newIns.Count(); i++)
{
//if (!basePVbyCurrency.TryGetValue(insToRisk[i].Currency, out var basePV))
//{
// basePV = newPvModel.PV(insToRisk[i].Currency);
// basePVbyCurrency[insToRisk[i].Currency] = basePV;
//}
var tIdIx = basePV.GetColumnIndex("TradeId");
var tTypeIx = basePV.GetColumnIndex("TradeType");
var bumpSize = GetBumpSize(insToRisk[i]);
var bumpedIns = newIns.Select((x, ix) => x.SetParRate(parRates[ix] + (ix == i ? bumpSize : 0.0)));
var newFicb = new FundingInstrumentCollection(currencyProvider);
newFicb.AddRange(bumpedIns);
var fModelb = fModel.DeepClone(null);
var sb = new NewtonRaphsonMultiCurveSolverStaged();
sb.Solve(fModelb, newFicb);
var vModelb = pvModel.VanillaModel.Clone(fModelb);
var newPvModelb = pvModel.Rebuild(vModelb, pvModel.Portfolio);
//var bumpedPV = newPvModelb.PV(insToRisk[i].Currency);
var bumpedPV = newPvModelb.PV(reportingCcy);
var bumpName = insToRisk[i].TradeId;
var riskDate = insToRisk[i].PillarDate;
var riskCurve = insToRisk[i].SolveCurve;
var riskUnits = GetRiskUnits(insToRisk[i]);
var deltaCube = bumpedPV.QuickDifference(basePV);
var deltaScale = GetScaleFactor(insToRisk[i], parRates[i], parRates[i] + bumpSize, fModel);
var fxToCurveCcy = fModel.GetFxRate(fModel.BuildDate, reportingCcy, insToRisk[i].Currency);
foreach (var dRow in deltaCube.GetAllRows())
{
if (dRow.Value == 0.0)
{
continue;
}
var row = new Dictionary <string, object>
{
{ "TradeId", dRow.MetaData[tIdIx] },
{ "TradeType", dRow.MetaData[tTypeIx] },
{ "Benchmark", bumpName },
{ "RiskDate", riskDate },
{ "Curve", riskCurve },
{ "Metric", "IrBenchmarkDelta" },
{ "Units", riskUnits },
{ "BumpSize", bumpSize },
};
cube.AddRow(row, dRow.Value * deltaScale * fxToCurveCcy);
}
}).Wait();
return(cube.Sort(new List <string> {
"Curve", "RiskDate", "TradeId"
}));
}
public void Solve(IFundingModel fundingModel, FundingInstrumentCollection instruments, Dictionary <string, SolveStage> stages)
{
var sw = new Stopwatch();
sw.Start();
var itterationsPerStage = new Dictionary <SolveStage, int>();
var maxStage = stages.Values.Max(x => x.Stage);
for (var stage = 0; stage <= maxStage; stage++)
{
var inThisStage = stages.Where(x => x.Value.Stage == stage)
.GroupBy(x => x.Value.SubStage)
.ToDictionary(x => x.Key, x => x.Select(y => y.Key).ToArray());
ParallelUtils.Instance.Foreach(inThisStage.Keys.ToList(), subStage =>
{
var curvesForStage = inThisStage[subStage].Select(c => (IIrCurve)fundingModel.GetCurve(c)).ToList();
var fundingInstruments = new List <IFundingInstrument>();
var insForCurve = new List <IFundingInstrument>();
foreach (var curve in curvesForStage)
{
foreach (var inst in instruments)
{
if (inst.SolveCurve == curve.Name)
{
insForCurve.Add(inst);
fundingInstruments.Add(inst);
}
}
if (InLineCurveGuessing)
{
var points = insForCurve.ToDictionary(x => x.PillarDate, x => x.SuggestPillarValue(fundingModel));
for (var i = 0; i < curve.NumberOfPillars; i++)
{
curve.SetRate(i, points[((IrCurve)curve).PillarDates[i]], true);
}
}
}
var currentGuess = new double[fundingInstruments.Count];
var currentPvs = new double[fundingInstruments.Count];
var bumpedPvs = new double[fundingInstruments.Count];
var jacobian = Math.Matrix.DoubleArrayFunctions.MatrixCreate(fundingInstruments.Count, fundingInstruments.Count);
for (var i = 0; i < MaxItterations; i++)
{
ComputePVs(true, fundingInstruments, fundingModel, currentPvs);
if (currentPvs.Max(x => System.Math.Abs(x)) < Tollerance)
{
UsedItterations += i + 1;
break;
}
ComputeJacobian(fundingInstruments, fundingModel, curvesForStage, currentGuess, bumpedPvs, currentPvs, ref jacobian);
ComputeNextGuess(currentGuess, fundingInstruments.Count, curvesForStage, jacobian, currentPvs);
}
}).Wait();
}
//fundingModel.CalibrationItterations = itterationsPerStage;
fundingModel.CalibrationTimeMs = sw.ElapsedMilliseconds;
sw.Stop();
}