public void TestOutputCsv(RegulationRole regulationRole, String csvFile)
{
FxRatesProvider ratesProvider = m_TestsFixture.RatesProvider;
ReadOnlyCollection <DataEntity> dataEntities = m_TestsFixture.DataEntities;
OutputWriterCsv writer = m_TestsFixture.WriterCsv;
Engine engine = Engine.Of(Currency.Usd, ratesProvider);
String csvExpectedFile = Utilities.GetStaticFilePath(csvFile);
String csvActualFile = Utilities.GetRandomFilePath(".csv");
MarginTotal margin = engine.CalculateDetailed(regulationRole, dataEntities);
writer.Write(csvActualFile, margin);
String expected = Utilities.ComputeHash(File.ReadAllText(csvExpectedFile));
String actual = Utilities.ComputeHash(File.ReadAllText(csvActualFile));
try
{
File.Delete(csvActualFile);
}
catch { }
Assert.Equal(expected, actual);
}
/// <summary>Writes the specified calculation result into the specified plain-text file.</summary>
/// <param name="filePath">The <see cref="T:System.String"/> representing the file to write to.</param>
/// <param name="margin">The <see cref="T:InitialMargin.Core.MarginTotal"/> object to write.</param>
/// <exception cref="T:System.ArgumentException">Thrown when <paramref name="filePath">filePath</paramref> is invalid or does not refer to a plain-text file.</exception>
/// <exception cref="T:System.ArgumentNullException">Thrown when <paramref name="margin">margin</paramref> is <c>null</c>.</exception>
public void Write(String filePath, MarginTotal margin)
{
if (String.IsNullOrWhiteSpace(filePath))
{
throw new ArgumentException("Invalid file path specified.", nameof(filePath));
}
if (!s_ValidExtensions.Contains(Path.GetExtension(filePath).ToUpperInvariant()))
{
throw new ArgumentException($"Invalid file extension specified (accepted extensions are: {String.Join(", ", s_ValidExtensions).Replace(".", String.Empty)}).", nameof(filePath));
}
if (margin == null)
{
throw new ArgumentNullException(nameof(margin));
}
StringBuilder builder = new StringBuilder("Total");
builder.AppendLine($" = {Amount.Round(margin.Value, 2).ToString(m_FormatProvider, CurrencyCodeSymbol.None)}");
if (margin.ChildrenCount > 0)
{
Int32 lastIndex = margin.ChildrenCount - 1;
for (Int32 i = 0; i < margin.ChildrenCount; ++i)
{
WriteTreeNodeChild(margin.Children[i], builder, String.Empty, (i == lastIndex));
}
}
String result = builder.ToString().Trim();
File.WriteAllText(filePath, result, m_Encoding);
}
/// <summary>Writes the specified calculation result into the specified CSV file, using the specified delimiter.</summary>
/// <param name="filePath">The <see cref="T:System.String"/> representing the file to write to.</param>
/// <param name="margin">The <see cref="T:InitialMargin.Core.MarginTotal"/> object to write.</param>
/// <param name="delimiter">The <see cref="T:System.Char"/> representing the delimiter.</param>
/// <exception cref="T:System.ArgumentException">Thrown when <paramref name="filePath">filePath</paramref> is invalid or does not refer to a CSV file, or when <paramref name="delimiter">delimiter</paramref> is invalid (see <see cref="M:InitialMargin.IO.CsvUtilities.IsValidDelimiter(System.Char)"/>).</exception>
/// <exception cref="T:System.ArgumentNullException">Thrown when <paramref name="margin">margin</paramref> is <c>null</c>.</exception>
public void Write(String filePath, MarginTotal margin, Char delimiter)
{
if (String.IsNullOrWhiteSpace(filePath))
{
throw new ArgumentException("Invalid file path specified.", nameof(filePath));
}
if (Path.GetExtension(filePath).ToUpperInvariant() != ".CSV")
{
throw new ArgumentException("The specified file must be a CSV.", nameof(filePath));
}
if (margin == null)
{
throw new ArgumentNullException(nameof(margin));
}
if (!CsvUtilities.IsValidDelimiter(delimiter))
{
throw new ArgumentException($"Invalid delimiter specified (accepted delimiters are: {CsvUtilities.ValidDelimiters}).", nameof(delimiter));
}
List <String[]> fieldsMatrix = new List <String[]>();
WriteCsvRecursive(margin, fieldsMatrix);
String result = CsvUtilities.FinalizeFieldsMatrix(s_CsvHeaderFields, fieldsMatrix, delimiter, Environment.NewLine);
File.WriteAllText(filePath, result, m_Encoding);
}
/// <summary>Calculates the total margin of each regulation for the specified regulation role, value entities and parameter entities.</summary>
/// <param name="regulationRole">An enumerator value of type <see cref="T:InitialMargin.Core.RegulationRole"/> that specifies the target regulation role.</param>
/// <param name="values">The <see cref="System.Collections.Generic.ICollection{T}"/> of <see cref="T:InitialMargin.Core.DataValue"/> objects representing the target value entities.</param>
/// <param name="parameters">The <see cref="System.Collections.Generic.ICollection{T}"/> of <see cref="T:InitialMargin.Core.DataParameter"/> objects representing the target parameter entities.</param>
/// <returns>An <see cref="System.Collections.Generic.IDictionary{TKey,TValue}"/> of pairs defined by <see cref="T:InitialMargin.Core.Regulation"/> keys and <see cref="T:InitialMargin.Core.Amount"/> values representing the regulation/margin couples.</returns>
/// <exception cref="T:System.ArgumentNullException">Thrown when <paramref name="values">values</paramref> is <c>null</c> or when <paramref name="parameters">parameters</paramref> is <c>null</c>.</exception>
/// <exception cref="T:System.ComponentModel.InvalidEnumArgumentException">Thrown when <paramref name="regulationRole">regulationRole</paramref> is undefined.</exception>
public IDictionary <Regulation, MarginTotal> CalculateDetailedByRole(RegulationRole regulationRole, ICollection <DataValue> values, ICollection <DataParameter> parameters)
{
if (!Enum.IsDefined(typeof(RegulationRole), regulationRole))
{
throw new InvalidEnumArgumentException("Invalid regulation role specified.");
}
if (values == null)
{
throw new ArgumentNullException(nameof(values));
}
if (parameters == null)
{
throw new ArgumentNullException(nameof(parameters));
}
List <Regulation> regulations = values.SelectMany(x => SelectRegulations(x, regulationRole))
.Concat(parameters.SelectMany(x => SelectRegulations(x, regulationRole)))
.OrderBy(x => x)
.Distinct().ToList();
if (regulations.Count == 0)
{
return(new Dictionary <Regulation, MarginTotal>());
}
List <DataValue> valuesFinal = values.Where(x => !(x is PresentValue) && !(x is Sensitivity)).Select(x => (DataValue)x.Clone())
.Concat(values.OfType <PresentValue>().Select(x => AdjustedClone(x, regulationRole)))
.Concat(values.OfType <Sensitivity>().Select(x => AdjustedClone(x, regulationRole)))
.ToList();
List <DataParameter> parametersFinal = parameters
.Select(x => (DataParameter)x.Clone())
.ToList();
Dictionary <Regulation, MarginTotal> result = new Dictionary <Regulation, MarginTotal>();
foreach (Regulation regulation in regulations)
{
List <DataValue> valuesByRegulation = valuesFinal.Where(x => SelectRegulations(x, regulationRole).Contains(regulation)).ToList();
List <DataParameter> parametersByRegulation = parametersFinal.Where(x => SelectRegulations(x, regulationRole).Contains(regulation)).ToList();
List <IMargin> margins = new List <IMargin>(m_Processors.Count);
foreach (Processor processor in m_Processors)
{
margins.Add(processor.Process(valuesByRegulation, parametersByRegulation));
}
result[regulation] = MarginTotal.Of(regulationRole, regulation, m_ValuationDate, m_CalculationCurrency, margins);
}
return(result);
}
private MarginTotal Process(List <Notional> notionals, List <PresentValue> presentValues)
{
if (notionals == null)
{
throw new ArgumentNullException(nameof(notionals));
}
if (presentValues == null)
{
throw new ArgumentNullException(nameof(presentValues));
}
List <ScheduleObject> scheduleObjects = SanitizeData(notionals, presentValues);
if (scheduleObjects.Count == 0)
{
return(MarginTotal.Of(m_ValuationDate, m_CalculationCurrency));
}
HashSet <Product> products = new HashSet <Product>();
List <Notional> notionalsNetted = new List <Notional>(scheduleObjects.Count);
List <PresentValue> presentValuesNetted = new List <PresentValue>(scheduleObjects.Count);
foreach (ScheduleObject obj in scheduleObjects)
{
Amount notionalsSum = Amount.Abs(Amount.Sum(obj.Notionals.Select(x => x.Amount), m_CalculationCurrency));
notionalsNetted.Add(Notional.Of(obj.Product, notionalsSum, RegulationsInfo.Empty, obj.TradeInfo));
Amount presentValuesSum = Amount.Sum(obj.PresentValues.Select(x => x.Amount), m_CalculationCurrency);
presentValuesNetted.Add(PresentValue.Of(obj.Product, presentValuesSum, RegulationsInfo.Empty, obj.TradeInfo));
products.Add(obj.Product);
}
List <MarginProduct> productMargins = new List <MarginProduct>(products.Count);
foreach (Product product in products.OrderBy(x => x))
{
List <Notional> notionalsByProduct = notionalsNetted.Where(x => x.Product == product).ToList();
List <PresentValue> presentValuesByProduct = presentValuesNetted.Where(x => x.Product == product).ToList();
MarginProduct productMargin = ScheduleCalculations.CalculateMarginProduct(m_ValuationDate, m_CalculationCurrency, product, notionalsByProduct, presentValuesByProduct);
productMargins.Add(productMargin);
}
Margin scheduleMargin = ScheduleCalculations.CalculateMargin(m_ValuationDate, m_CalculationCurrency, productMargins, notionals, presentValues);
return(MarginTotal.Of(m_ValuationDate, m_CalculationCurrency, scheduleMargin));
}
/// <summary>Calculates the total margin for the specified regulation role, value entities and parameter entities.</summary>
/// <param name="regulationRole">An enumerator value of type <see cref="T:InitialMargin.Core.RegulationRole"/> that specifies the target regulation role.</param>
/// <param name="values">The <see cref="System.Collections.Generic.ICollection{T}"/> of <see cref="T:InitialMargin.Core.DataValue"/> objects representing the target value entities.</param>
/// <param name="parameters">The <see cref="System.Collections.Generic.ICollection{T}"/> of <see cref="T:InitialMargin.Core.DataParameter"/> objects representing the target parameter entities.</param>
/// <returns>A <see cref="T:InitialMargin.Core.MarginTotal"/> object representing the total margin.</returns>
/// <exception cref="T:System.ArgumentNullException">Thrown when <paramref name="values">values</paramref> is <c>null</c> or when <paramref name="parameters">parameters</paramref> is <c>null</c>.</exception>
/// <exception cref="T:System.InvalidOperationException">Thrown when <paramref name="values">values</paramref> contains elements defined on different regulations or when <paramref name="parameters">parameters</paramref> contains elements defined on different regulations.</exception>
/// <exception cref="T:System.ComponentModel.InvalidEnumArgumentException">Thrown when <paramref name="regulationRole">regulationRole</paramref> is undefined.</exception>
public MarginTotal CalculateDetailed(RegulationRole regulationRole, ICollection <DataValue> values, ICollection <DataParameter> parameters)
{
if (!Enum.IsDefined(typeof(RegulationRole), regulationRole))
{
throw new InvalidEnumArgumentException("Invalid regulation role specified.");
}
if (values == null)
{
throw new ArgumentNullException(nameof(values));
}
if (parameters == null)
{
throw new ArgumentNullException(nameof(parameters));
}
List <Regulation> regulations = values.SelectMany(x => SelectRegulations(x, regulationRole))
.Concat(parameters.SelectMany(x => SelectRegulations(x, regulationRole)))
.OrderBy(x => x)
.Distinct().ToList();
if (regulations.Count > 1)
{
throw new InvalidOperationException($"All data entities must either have no regulations defined or belong to a single {((regulationRole == RegulationRole.Pledgor) ? "post" : "collect")} regulation.");
}
List <DataValue> valuesFinal = values.Where(x => !(x is PresentValue) && !(x is Sensitivity)).Select(x => (DataValue)x.Clone())
.Concat(values.OfType <PresentValue>().Select(x => AdjustedClone(x, regulationRole)))
.Concat(values.OfType <Sensitivity>().Select(x => AdjustedClone(x, regulationRole)))
.ToList();
List <DataParameter> parametersFinal = parameters
.Select(x => (DataParameter)x.Clone())
.ToList();
List <IMargin> margins = new List <IMargin>(m_Processors.Count);
foreach (Processor processor in m_Processors)
{
margins.Add(processor.Process(valuesFinal, parametersFinal));
}
return(MarginTotal.Of(regulationRole, regulations.Single(), m_ValuationDate, m_CalculationCurrency, margins));
}
private MarginTotal Process(List <Sensitivity> sensitivities, List <AddOnProductMultiplier> productMultipliers, List <AddOnNotional> notionals, List <AddOnNotionalFactor> notionalFactors, List <AddOnFixedAmount> fixedAmounts)
{
if (sensitivities == null)
{
throw new ArgumentNullException(nameof(sensitivities));
}
if (productMultipliers == null)
{
throw new ArgumentNullException(nameof(productMultipliers));
}
if (notionals == null)
{
throw new ArgumentNullException(nameof(notionals));
}
if (notionalFactors == null)
{
throw new ArgumentNullException(nameof(notionalFactors));
}
if (fixedAmounts == null)
{
throw new ArgumentNullException(nameof(fixedAmounts));
}
ModelObject?modelObject = SanitizeData(sensitivities, productMultipliers, notionals, notionalFactors, fixedAmounts);
if (!modelObject.HasValue)
{
return(MarginTotal.Of(m_ValuationDate, m_CalculationCurrency));
}
ModelObject modelObjectValue = modelObject.Value;
sensitivities = modelObjectValue.Sensitivities;
notionals = modelObjectValue.Notionals;
notionalFactors = modelObjectValue.NotionalFactors;
productMultipliers = modelObjectValue.ProductMultipliers;
fixedAmounts = modelObjectValue.FixedAmounts;
List <Sensitivity> sensitivitiesVega = sensitivities
.RemoveAllAndGet(x => x.Category == SensitivityCategory.Vega)
.ToList();
if (sensitivitiesVega.Count > 0)
{
List <Sensitivity> sensitivitiesCurvature = sensitivitiesVega
.Select(x => x.ToCurvature(ModelCalculations.CalculateCurvatureAmount(x)))
.ToList();
List <Sensitivity> sensitivitiesVolatilityWeighted = sensitivitiesVega
.Concat(sensitivitiesCurvature)
.ToList();
foreach (Sensitivity sensitivity in sensitivitiesVolatilityWeighted)
{
sensitivity.ChangeAmount(sensitivity.Amount * ModelParameters.GetWeightVolatility(sensitivity));
}
sensitivities.AddRange(sensitivitiesVolatilityWeighted);
}
List <Sensitivity> sensitivitiesNetted = ModelCalculations.NetSensitivities(m_CalculationCurrency, sensitivities);
List <MarginProduct> productMargins = ModelCalculations.CalculateMarginsProduct(m_CalculationCurrency, m_RatesProvider, sensitivitiesNetted);
Amount productMarginsAmount = Amount.Sum(productMargins.Select(x => x.Value), m_CalculationCurrency);
MarginAddOn addOnMargin = ModelCalculations.CalculateMarginAddOn(m_CalculationCurrency, productMargins, productMultipliers, notionals, notionalFactors, fixedAmounts);
Amount addOnMarginAmount = addOnMargin?.Value ?? Amount.OfZero(m_CalculationCurrency);
Amount modelMarginAmount = productMarginsAmount + addOnMarginAmount;
Margin modelMargin = Margin.Of(modelMarginAmount, productMargins, addOnMargin);
return(MarginTotal.Of(m_ValuationDate, m_CalculationCurrency, modelMargin));
}
/// <summary>Writes the specified calculation result into the specified CSV file, using the default delimiter (see <see cref="P:InitialMargin.IO.CsvUtilities.DefaultDelimiter"/>).</summary>
/// <param name="filePath">The <see cref="T:System.String"/> representing the file to write to.</param>
/// <param name="margin">The <see cref="T:InitialMargin.Core.MarginTotal"/> object to write.</param>
public void Write(String filePath, MarginTotal margin)
{
Write(filePath, margin, CsvUtilities.DefaultDelimiter);
}