// --- Related to valuing linear rate instrument (non-AD)
public double ValueLinearRateProduct(LinearRateInstrument product)
{
switch (product.GetInstrumentType())
{
case Instrument.IrSwap:
return(IrSwapNpv((IrSwap)product));
case Instrument.Fra:
return(FraNpv((Fra)product));
case Instrument.Futures:
return(FuturesNpv((Futures)product));
case Instrument.OisSwap:
return(DiscCurve.OisSwapNpv((OisSwap)product, Interpolation));
case Instrument.BasisSwap:
return(BasisSwapNpv((TenorBasisSwap)product));
case Instrument.Deposit:
return(DepositNpv((Deposit)product));
default:
throw new InvalidOperationException("product instrument type is not valid.");
}
}
// Calcualate BnR disc risk on a linear rate instrument
public double BumpAndRunDisc(LinearRateInstrument product, int curvePoint, double bump = 0.0001)
{
double valueNoBump = ValueLinearRateProduct(product);
LinearRateModel newModel = BumpDiscCurveAndReturn(curvePoint, bump);
double valueBump = newModel.ValueLinearRateProduct(product);
return((valueBump - valueNoBump) / bump * 0.0001);
}
// Calculate BnR forward risk on a linear rate instrument
public double BumpAndRunFwdRisk(LinearRateInstrument product, CurveTenor fwdCurve, int curvePoint, double bump = 0.0001)
{
double valueNoBump = ValueLinearRateProduct(product);
LinearRateModel newModel = BumpFwdCurveAndReturn(fwdCurve, curvePoint, bump);
double valueBump = newModel.ValueLinearRateProduct(product);
return((valueBump - valueNoBump) / bump * 0.0001);
}
public static void CalibrationInstrumentSet_Make(string baseHandle, string[] linearRateProductHandles, string curveTenor)
{
CurveTenor tenor = StrToEnum.CurveTenorConvert(curveTenor);
List <CalibrationInstrument> calibrationInstruments = new List <CalibrationInstrument>();
for (int i = 0; i < linearRateProductHandles.Length; i++)
{
LinearRateInstrument product = ObjectMap.LinearRateInstruments[linearRateProductHandles[i]];
calibrationInstruments.Add(new CalibrationInstrument(linearRateProductHandles[i], product, tenor));
}
ObjectMap.CalibrationInstrumentSets[baseHandle] = calibrationInstruments;
}
public object[,] CreateTestOutputAD(LinearRateInstrument product)
{
double[] values = ZcbRiskProductAD(product);
string[] identifiers = CreateIdentArray();
object[,] output = new object[values.Length, 2];
for (int i = 0; i < values.Length; i++)
{
output[i, 0] = identifiers[i];
output[i, 1] = values[i];
}
return(output);
}
public double[] ZcbRiskProductAD(LinearRateInstrument product)
{
AADTape.ResetTape();
if (ADCurvesHasBeenSet == false)
{
SetAdCurvesFromOrdinaryCurve();
}
InitiateTapeFromModel();
ValueLinearRateProductAD(product);
AADTape.InterpretTape();
double[] output = AADTape.GetGradient();
AADTape.ResetTape();
return(ScaleGradient(0.0001, output));
}
public ZcbRiskOutputContainer RiskAgainstAllCurvesBumpAndRun(LinearRateInstrument product, DateTime asOf)
{
ZcbRiskOutputContainer output = new ZcbRiskOutputContainer();
List <CurveTenor> tenors = new CurveTenor[] { CurveTenor.Fwd1M, CurveTenor.Fwd3M, CurveTenor.Fwd6M, CurveTenor.Fwd1Y }.ToList();
foreach (CurveTenor tenor in tenors)
{
if (FwdCurveCollection.CurveExist(tenor) == false)
{
throw new InvalidOperationException(tenor.ToString() + " does not exist in model.");
}
output.AddForwardRisk(tenor, CalculateZcbRiskBumpAndRun(product, tenor, asOf));
}
output.AddDiscRisk(CalculateZcbRiskBumpAndRun(product, CurveTenor.DiscOis, asOf));
return(output);
}
