/// <summary>
/// Initializes a new instance of the <see cref="FxSingleLegPricer"/> class. All the cashfloews must be signed.
/// </summary>
/// <param name="fxLeg">The fxLeg.</param>
/// <param name="baseParty">The the base party.</param>
/// <param name="productType">THe product type: This should only be FxSpot or FxForward.</param>
public FxSingleLegPricer(FxSingleLeg fxLeg, string baseParty, ProductTypeSimpleEnum productType)
{
Multiplier = 1.0m;
OrderedPartyNames = new List <string>();
Id = fxLeg.id;
AnalyticsModel = new FxLegAnalytic();
ProductType = productType;
ExchangeRate = fxLeg.exchangeRate;
HybridValuation = true;
//Get the currency.
PaymentCurrencies = new List <string>();
Currency1 = fxLeg.exchangedCurrency1.paymentAmount.currency;
Currency2 = fxLeg.exchangedCurrency2.paymentAmount.currency;
if (!PaymentCurrencies.Contains(Currency1.Value))
{
PaymentCurrencies.Add(Currency1.Value);
}
if (!PaymentCurrencies.Contains(Currency2.Value))
{
PaymentCurrencies.Add(Currency2.Value);
}
//Set the default discount curve name.
Currency1DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency1.Value, true);
//Set the default discount curve name.
Currency2DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency2.Value, true);
//TODO
//Set the appropraiet cross
//if the quotebasis is : Currency1PerCurrency2 the currency curve is: currency1-currency2
if (ExchangeRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency2PerCurrency1)
{
FxIndexCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(Currency1.Value,
Currency2.Value);
} //Otherwise it is Currency2-Currency1
else
{
FxIndexCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(Currency2.Value,
Currency1.Value);
}
if (fxLeg.nonDeliverableSettlement != null)//TODO Not implemented yet.
{
IsNonDeliverableForward = true;
SettlementCurrency = fxLeg.nonDeliverableSettlement.settlementCurrency;
SettlementCurrencyDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(SettlementCurrency.Value, true);
}
//Build the coupons and principal exchanges.
Payments = PriceableInstrumentsFactory.CreatePriceableFxLegPayment(baseParty, fxLeg);
//TODO: add extra cashflowss.
RiskMaturityDate = fxLeg.Items1ElementName[0] == Items1ChoiceType.valueDate ? fxLeg.Items1[0] : LastDate();
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashflowId">The stream id.</param>
/// <param name="startIndex">The start Index. If null then the cash flow is not a differenctial.</param>
/// <param name="observedIndex">The observed Index. If null then the cash flow is not a differenctial. </param>
/// <param name="isCurrency1Base">The isCurrency1Base flag. </param>
/// <param name="currency2PayerIsBase">The currency2PayerIsBase lag.</param>
/// <param name="isSettlementInCurrency1">The isSettlementInCurrency1 flag</param>
/// <param name="hybridValuation">Is hybrid valuation used, or the base fa curve. </param>
/// <param name="currency1NotionalAmount">The currency1 notional amount.</param>
/// <param name="fixingDateRelativeOffset">The fixingDateRelativeOffset.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
protected PriceableFxRateCashflow
(
string cashflowId
, FxRate startIndex
, FxRate observedIndex
, bool isCurrency1Base
, bool currency2PayerIsBase
, bool isSettlementInCurrency1
, bool hybridValuation
, Money currency1NotionalAmount
, AdjustableOrAdjustedDate paymentDate
, RelativeDateOffset fixingDateRelativeOffset
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(
cashflowId
, FloatingIndexType.Fx
, startIndex.rate
, IsObserved(observedIndex)
, currency2PayerIsBase
, currency1NotionalAmount
, paymentDate
, fixingDateRelativeOffset
, fixingCalendar
, paymentCalendar)
{
ModelIdentifier = "FloatingFxRateCashflowModel";
StartFxRate = startIndex;
IsSettlementInCurrency1 = isSettlementInCurrency1;
HybridValuation = hybridValuation;
if (StartFxRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency1PerCurrency2)
{
InvertFxRate = true;
}
IsCurrency1Base = isCurrency1Base;
Currency1 = StartFxRate.quotedCurrencyPair.currency1;
Currency2 = StartFxRate.quotedCurrencyPair.currency2;
//Set the default discount curve name.
Currency1DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency1.Value, true);
//Set the default discount curve name.
Currency2DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency2.Value, true);
ForecastCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(StartFxRate.quotedCurrencyPair.currency1.Value,
StartFxRate.quotedCurrencyPair.currency2.Value);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>//TODO the floating delta?
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
AnalyticsModel = new FxRateCashflowAnalytic();
CalculationResults = null;
YearFractionToCashFlowPayment = Convert.ToDecimal(CDefaultDayCounter.YearFraction(ModelData.ValuationDate, PaymentDate));
//Make sure there are some bucket dates even if not set previously.
if (BucketedDates.Length < 1)
{
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
}
IsRealised = HasBeenRealised(ModelData.ValuationDate);
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.RiskNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
//Check if risk calc are required.
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
ModelData.AssetValuation.quote = quotes.ToArray();
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
IFxCurve fxCurve = null;
IRateCurve discountCurve = null;
IFxCurve currencyCurve = null;
var reportingCurrency = ModelData.ReportingCurrency == null ? PaymentCurrency.Value : ModelData.ReportingCurrency.Value;
//Set the basic model.
var analyticModelParameters = new FxRateCashflowParameters
{
Multiplier = Multiplier,
ValuationDate = ModelData.ValuationDate,
PaymentDate = PaymentDate,
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
NotionalAmount = PaymentAmount.amount,
StartIndex = StartIndex,
IsRealised = IsRealised,
CurveYearFraction =
YearFractionToCashFlowPayment,
PeriodAsTimesPerYear = 0.25m,
BucketingRate = 0.05m
};
if (modelData.MarketEnvironment is ISwapLegEnvironment environment)
{
var marketEnvironment = environment;
//The discount curve.
discountCurve = marketEnvironment.GetDiscountRateCurve();
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
//Check if it is our of currency.
if (ModelData.ReportingCurrency != null && ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
fxCurve = marketEnvironment.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
discountCurve = (IRateCurve)market.SearchForPricingStructureType(DiscountCurveName);
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
var currencyCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(StartFxRate.quotedCurrencyPair.currency1.Value, StartFxRate.quotedCurrencyPair.currency2.Value);
currencyCurve = (IFxCurve)market.SearchForPricingStructureType(currencyCurveName);
currencyCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
if (delta1PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta1PDH");
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (delta0PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta0PDH");//TODO The fx deltas
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (modelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
string curveName = MarketEnvironmentHelper.ResolveFxCurveNames(PaymentCurrency.Value, modelData.ReportingCurrency.Value);
fxCurve = (IFxCurve)market.SearchForPricingStructureType(curveName);
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
if (HybridValuation)
{
var currency1RateCurve = (IRateCurve)market.SearchForPricingStructureType(Currency1DiscountCurveName);
currency1RateCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
var currency2RateCurve = (IRateCurve)market.SearchForPricingStructureType(Currency2DiscountCurveName);
currency2RateCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
AnalyticsModel = new FxRateCashflowAnalytic(ModelData.ValuationDate, PaymentDate, currencyCurve, currency1RateCurve, currency2RateCurve, !InvertFxRate, IsSettlementInCurrency1, fxCurve);
}
}
// store inputs and results from this run
AnalyticModelParameters = analyticModelParameters;
if (!HybridValuation)
{
AnalyticsModel = new FxRateCashflowAnalytic(ModelData.ValuationDate, PaymentDate,
fxCurve, currencyCurve, discountCurve);
} //TODO Fix this with a generic index curve.
//AnalyticsModel = analyticsModel;
CalculationResults = AnalyticsModel.Calculate <IFloatingCashflowResults, FloatingCashflowResults>(AnalyticModelParameters, metrics.ToArray());
CalculationPerformedIndicator = true;
PaymentDiscountFactor = ((FxRateCashflowAnalytic)AnalyticsModel).PaymentDiscountFactor;
ForecastAmount = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyExpectedValue, PaymentAmount.currency);
NPV = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyNPV, PaymentAmount.currency);
AssetValuation valuation = GetValue(CalculationResults, modelData.ValuationDate);
valuation.id = Id;
return(valuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
AnalyticsModel = new FloatingRateCouponAnalytic();
RequiresReset = modelData.ValuationDate > ResetDate;
IsRealised = HasBeenRealised(ModelData.ValuationDate);
//Make sure there are some bucket dates even if not set previously.
if (BucketedDates.Length < 1)
{
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
}
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.BreakEvenRate.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.BreakEvenRate.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.RiskNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.RiskNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
//Check if risk calc are required.
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
ModelData.AssetValuation.quote = quotes.ToArray();
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
IFxCurve fxCurve = null;
IRateCurve discountCurve = null;
IRateCurve forecastCurve = null;
//// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
//if (metrics.Contains(InstrumentMetrics.DiscountFactorAtMaturity))
//{
// metrics.RemoveAll(metricItem => metricItem != InstrumentMetrics.DiscountFactorAtMaturity);
//}
//Set the forrecast rate dates. The ForecastRateInterpolation shhould have been set.
ForwardStartDate = AccrualStartDate;
ForwardEndDate = ForecastRateInterpolation ? AccrualEndDate : AdjustedDateHelper.ToAdjustedDate(FixingCalendar, ForecastRateIndex.indexTenor.Add(ForwardStartDate), AccrualBusinessDayAdjustments);
//var metricsToEvaluate = metrics.ToArray();
if (metrics.Count > 0)
{
YearFractionToCashFlowPayment = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
var reportingCurrency = ModelData.ReportingCurrency == null ? PaymentCurrency.Value : ModelData.ReportingCurrency.Value;
var amount = NotionalAmount.amount;
IRateCouponParameters analyticModelParameters = new RateCouponParameters {
Multiplier = Multiplier,
ValuationDate = modelData.ValuationDate,
PaymentDate = PaymentDate,
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
DiscountType = DiscountType,
IsRealised = IsRealised,
HasReset = RequiresReset,
NotionalAmount = amount,
Spread = Margin,
YearFraction = CouponYearFraction,
CurveYearFraction = YearFractionToCashFlowPayment
};
decimal?discountRate = null;
// Curve Related
if (modelData.MarketEnvironment is ISwapLegEnvironment environment)
{
var streamMarket = environment;
discountCurve = streamMarket.GetDiscountRateCurve();
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
forecastCurve = streamMarket.GetForecastRateCurve();
forecastCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier;
analyticModelParameters.DiscountCurve = discountCurve;
ForecastCurveName = forecastCurve.GetPricingStructureId().UniqueIdentifier;
analyticModelParameters.ForecastCurve = forecastCurve;
// Bucketed Delta
if (BucketedDates.Length > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0],
BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve,
ModelData.
ValuationDate,
BucketedDates);
}
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
fxCurve = streamMarket.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
}
AnalyticModelParameters = analyticModelParameters;
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
discountCurve = (IRateCurve)market.SearchForPricingStructureType(DiscountCurveName);
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
forecastCurve = (IRateCurve)market.SearchForPricingStructureType(ForecastCurveName);
forecastCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
analyticModelParameters.ForecastCurve = forecastCurve;
// Bucketed Delta
if (BucketedDates.Length > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0],
BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve,
ModelData.
ValuationDate,
BucketedDates);
}
if (delta1PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta1PDH");
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (delta0PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(ForecastCurveName, "delta0PDH");
analyticModelParameters.Delta0PDHCurves = riskMarket;
analyticModelParameters.Delta0PDHPerturbation = 10;
}
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
string curveName = MarketEnvironmentHelper.ResolveFxCurveNames(PaymentCurrency.Value, modelData.ReportingCurrency.Value);
fxCurve = (IFxCurve)market.SearchForPricingStructureType(curveName);
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
}
AnalyticModelParameters = analyticModelParameters;
}
//Set the base rate. Default is zero
if (AnalyticModelParameters != null)
{
AnalyticModelParameters.BaseRate = BaseRate;
}
if (UseObservedRate)
{
AnalyticsModel = new FixedRateCouponAnalytic(ModelData.ValuationDate, AccrualStartDate, AccrualEndDate, PaymentDate, Rate,
analyticModelParameters.YearFraction, DiscountType, fxCurve, discountCurve, forecastCurve);
if (Rate != null)
{
analyticModelParameters.Rate = (decimal)Rate;
}
}
else
{
if (Rate != null)
{
discountRate = Rate;
}
if (DiscountRate != null)
{
discountRate = DiscountRate;
}
AnalyticsModel = new FloatingRateCouponAnalytic(ModelData.ValuationDate, AccrualStartDate,
AccrualEndDate, PaymentDate, discountRate,
analyticModelParameters.YearFraction,
DiscountType, fxCurve, discountCurve,
forecastCurve);
}
CalculationResults = AnalyticsModel.Calculate <IRateInstrumentResults, RateInstrumentResults>(AnalyticModelParameters, metrics.ToArray());
CalculationPerfomedIndicator = true;
PaymentDiscountFactor = ((FixedRateCouponAnalytic)AnalyticsModel).PaymentDiscountFactor;
if (!UseObservedRate)
{
Rate = CalculationResults.BreakEvenRate;
}
ForecastAmount = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyExpectedValue, PaymentAmount.currency);
NPV = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyNPV, PaymentAmount.currency);
}
AssetValuation valuation = GetValue(CalculationResults, modelData.ValuationDate);
valuation.id = Id;
return(valuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
AnalyticsModel = new FxOptionAnalytic();
CalculationResults = null;
YearFractionToCashFlowPayment = Convert.ToDecimal(CDefaultDayCounter.YearFraction(ModelData.ValuationDate, PaymentDate));
//Make sure there are some bucket dates even if not set previously.
if (BucketedDates.Length < 1)
{
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
}
IsRealised = HasBeenRealised(ModelData.ValuationDate);
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyNPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.RiskNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, FloatingCashflowMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, FloatingCashflowMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue", ModelData.ValuationDate);
quotes.Add(quote);
}
//Check if risk calc are required.
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
ModelData.AssetValuation.quote = quotes.ToArray();
//Set the cash flowdetails.
HasReset = modelData.ValuationDate > ResetDate;
IsRealised = HasBeenRealised(ModelData.ValuationDate);
TimeToExpiry = GetPaymentYearFraction(ModelData.ValuationDate, AdjustedFixingDate);
var volatilityCurveNodeTime = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
IFxCurve fxCurve = null;
IRateCurve discountCurve = null;
IFxCurve currencyCurve = null;
IVolatilitySurface volSurface = null;
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
//var metricsToEvaluate = metrics.ToArray();
//if (metricsToEvaluate.Length > 0)
//{
YearFractionToCashFlowPayment = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
var reportingCurrency = ModelData.ReportingCurrency == null
? PaymentCurrency.Value
: ModelData.ReportingCurrency.Value;
decimal?premium = null;
if (Premium != null)
{
premium = Premium;
}
IFxRateCashflowParameters analyticModelParameters = new FxRateCashflowParameters
{
ValuationDate = modelData.ValuationDate,
PaymentDate = PaymentDate,
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
IsRealised = IsRealised,
IsReset = HasReset,
NotionalAmount = NotionalAmount.amount,
CurveYearFraction = YearFractionToCashFlowPayment,
ExpiryYearFraction = TimeToExpiry,
Premium = premium
};
// Curve Related
if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
discountCurve = (IRateCurve)market.SearchForPricingStructureType(DiscountCurveName);
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
volSurface = (IVolatilitySurface)market.SearchForPricingStructureType(VolatilitySurfaceName);
volSurface.PricingStructureEvolutionType = PricingStructureEvolutionType;
var currencyCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(StartFxRate.quotedCurrencyPair.currency1.Value,
StartFxRate.quotedCurrencyPair.currency2.Value);
currencyCurve = (IFxCurve)market.SearchForPricingStructureType(currencyCurveName);
currencyCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.DiscountCurve = discountCurve;
if (delta1PDH)
{
var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta1PDH");
analyticModelParameters.Delta1PDHCurves = riskMarket;
analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (delta0PDH)//TODO Do this for the fxrate
{
//var riskMarket = market.SearchForPerturbedPricingStructures(DiscountCurveName, "delta0PDH");
// //TODO The fx deltas
//analyticModelParameters.Delta1PDHCurves = riskMarket;
//analyticModelParameters.Delta1PDHPerturbation = 10;
}
if (modelData.ReportingCurrency.Value != PaymentCurrency.Value)
{
string curveName = MarketEnvironmentHelper.ResolveFxCurveNames(PaymentCurrency.Value,
modelData.ReportingCurrency.Value);
fxCurve = (IFxCurve)market.SearchForPricingStructureType(curveName);
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
analyticModelParameters.ReportingCurrencyFxCurve = fxCurve;
}
if (HybridValuation)
{
var currency1RateCurve =
(IRateCurve)market.SearchForPricingStructureType(Currency1DiscountCurveName);
currency1RateCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
var currency2RateCurve =
(IRateCurve)market.SearchForPricingStructureType(Currency2DiscountCurveName);
currency2RateCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
AnalyticsModel = new FxOptionAnalytic(ModelData.ValuationDate, PaymentDate, currencyCurve, currency1RateCurve,
currency2RateCurve, IsSettlementInCurrency1, !InvertFxRate, Strike, TimeToExpiry, volatilityCurveNodeTime, volSurface, FxOptionType, fxCurve);
}
}
// store inputs and results from this run
AnalyticModelParameters = analyticModelParameters;
if (!HybridValuation)
{
AnalyticsModel = new FxOptionAnalytic(ModelData.ValuationDate, PaymentDate, Strike, TimeToExpiry, volatilityCurveNodeTime,
fxCurve, currencyCurve, discountCurve, volSurface, FxOptionType);
} //TODO Fix this with a generic index curve.
//AnalyticsModel = analyticsModel;
CalculationResults =
AnalyticsModel.Calculate <IFloatingCashflowResults, FloatingCashflowResults>(
AnalyticModelParameters, metrics.ToArray());
CalculationPerfomedIndicator = true;
PaymentDiscountFactor = ((FxRateCashflowAnalytic)AnalyticsModel).PaymentDiscountFactor;
ForecastAmount = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyExpectedValue,
PaymentAmount.currency);
NPV = MoneyHelper.GetAmount(CalculationResults.LocalCurrencyNPV, PaymentAmount.currency);
AssetValuation valuation = GetValue(CalculationResults, modelData.ValuationDate);
valuation.id = Id;
return(valuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new SimpleXccySwapInstrumentAnalytic();
}
var swapControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation swapValuation;
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
ModelData.AssetValuation.quote = quotes.ToArray();
//Sets the evolution type for calculations.
foreach (var leg in Legs)
{
leg.PricingStructureEvolutionType = PricingStructureEvolutionType;
leg.BucketedDates = BucketedDates;
leg.Multiplier = Multiplier;
}
if (AdditionalPayments != null)
{
foreach (var payment in AdditionalPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
}
var legControllers = new List <InstrumentControllerBase> {
PayLeg, ReceiveLeg
};
//The assetValuation list.
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
if (modelData.MarketEnvironment is ISwapLegEnvironment)
{
var market = (SwapLegEnvironment)modelData.MarketEnvironment;
IRateCurve discountCurve = null;
IRateCurve forecastCurve = null;
IFxCurve currencyCurve = null;
foreach (var leg in legControllers)
{
var stream = (PriceableInterestRateStream)leg;
if (modelData.ReportingCurrency == null)
{
modelData.ReportingCurrency = stream.Currency;
}
if (stream.DiscountCurveName != null)
{
discountCurve = market.GetDiscountRateCurve();
}
if (stream.ForecastCurveName != null)
{
forecastCurve = market.GetForecastRateCurve();
}
if (modelData.ReportingCurrency.Value != stream.Currency.Value)
{
//stream.ReportingCurrencyFxCurveName =
// MarketEnvironmentHelper.ResolveFxCurveNames(stream.Currency.Value, modelData.ReportingCurrency.Value);
currencyCurve = market.GetReportingCurrencyFxCurve();
}
modelData.MarketEnvironment = MarketEnvironmentHelper.CreateInterestRateStreamEnvironment(modelData.ValuationDate, discountCurve, forecastCurve, currencyCurve);
childValuations.Add(leg.Calculate(modelData));
}
if (GetAdditionalPayments() != null)
{
var paymentControllers = new List <InstrumentControllerBase>(GetAdditionalPayments());
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
}
else
{
childValuations = EvaluateChildMetrics(legControllers, modelData, Metrics);
}
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
childControllerValuations.id = Id + ".InterestRateStreams";
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swapControllerMetrics.Count > 0)
{
//TODO need to fix this calculation.
var payStreamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.AccrualFactor.ToString()); //AggregateMetric(InstrumentMetrics.AccrualFactor, childValuations);
var payStreamNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.NPV.ToString()); //AggregateMetric(InstrumentMetrics.NPV, childValuations);
var payStreamFloatingNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.FloatingNPV.ToString()); //AggregateMetric(InstrumentMetrics.FloatingNPV, childValuations);
var receiveStreamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.AccrualFactor.ToString()); //AggregateMetric(InstrumentMetrics.AccrualFactor, childValuations);
var receiveStreamNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.NPV.ToString()); //AggregateMetric(InstrumentMetrics.NPV, childValuations);
var receiveStreamFloatingNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.FloatingNPV.ToString());
IIRSwapInstrumentParameters analyticModelParameters = new SwapInstrumentParameters
{
IsPayFixedInd = true,
PayStreamAccrualFactor = payStreamAccrualFactor.value,
PayStreamFloatingNPV = payStreamFloatingNPV.value,
PayStreamNPV = payStreamNPV.value,
ReceiveStreamFloatingNPV = receiveStreamFloatingNPV.value,
ReceiveStreamNPV = receiveStreamNPV.value,
ReceiveStreamAccrualFactor = receiveStreamAccrualFactor.value,
NPV = payStreamNPV.value + receiveStreamNPV.value
};
CalculationResults = AnalyticsModel.Calculate <IIRSwapInstrumentResults, SwapInstrumentResults>(analyticModelParameters, swapControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
swapValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swapControllerMetrics), new List <string>(Metrics));
}
else
{
swapValuation = childControllerValuations;
}
CalculationPerfomedIndicator = true;
swapValuation.id = Id;
return(swapValuation);
}
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new FxLegAnalytic();
}
AssetValuation streamValuation;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
var streamControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var childValuations = new List <AssetValuation>();
foreach (var payment in Payments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
if (modelData.MarketEnvironment is IFxLegEnvironment marketEnvironment)//TODO need to look at PricingStructureEvolutionType.
{
//Modify the second market.
var curveName1 = marketEnvironment.GetExchangeCurrencyPaymentEnvironment1();
var modelData1 = new InstrumentControllerData(modelData.AssetValuation, curveName1,
modelData.ValuationDate, modelData.ReportingCurrency);
var curveName2 = marketEnvironment.GetExchangeCurrencyPaymentEnvironment2();
var modelData2 = new InstrumentControllerData(modelData.AssetValuation, curveName2,
modelData.ValuationDate, modelData.ReportingCurrency);
childValuations.Add(Currency1Payment.Calculate(modelData1));
childValuations.Add(Currency2Payment.Calculate(modelData2));
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
if (delta0PDH)
{
//Force building of the risk curves.
//market.SearchForPerturbedPricingStructures(FxIndexCurveName, "delta0PDH");//TODO Need to add this perturbation to fxCurve.
}
if (delta1PDH)
{
//Force building of the risk curves.
market.SearchForPerturbedPricingStructures(Currency1DiscountCurveName, "delta1PDH");
market.SearchForPerturbedPricingStructures(Currency2DiscountCurveName, "delta1PDH");
}
//This defines the cross cureves from the payment currency to the reporting
//currency for each leg of the fx trade.
//
if (modelData.ReportingCurrency.Value != Currency1.Value)
{
ReportingCurrencyFxCurveName1 =
MarketEnvironmentHelper.ResolveFxCurveNames(Currency1.Value,
modelData.ReportingCurrency.Value);
}
if (modelData.ReportingCurrency.Value != Currency2.Value)
{
ReportingCurrencyFxCurveName2 =
MarketEnvironmentHelper.ResolveFxCurveNames(Currency2.Value,
modelData.ReportingCurrency.Value);
}
childValuations.Add(Currency1Payment.Calculate(modelData));
childValuations.Add(Currency2Payment.Calculate(modelData));
}
var paymentValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);
var childControllerValuations = new List <AssetValuation> {
paymentValuation
};
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (streamControllerMetrics.Count > 0)
{
var rate = ExchangeRate.rate;
if (modelData.MarketEnvironment is MarketEnvironment market)
{
var fxCurve = (IFxCurve)market.SearchForPricingStructureType(FxIndexCurveName);
if (HybridValuation)
{
var curve1 = (IRateCurve)market.SearchForPricingStructureType(Currency1DiscountCurveName);
var curve2 = (IRateCurve)market.SearchForPricingStructureType(Currency2DiscountCurveName);
var flag = ExchangeRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency2PerCurrency1;
AnalyticsModel = new FxLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve, curve1,
curve2, flag);
}
else
{
AnalyticsModel = new FxLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve);
}
}
IFxLegParameters analyticModelParameters = new FxLegParameters
{
Multiplier = Multiplier,
MarketQuote = rate,
};
CalculationResults =
AnalyticsModel.Calculate <IFxLegInstrumentResults, FxLegInstrumentResults>(
analyticModelParameters, streamControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var streamControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
streamValuation = AssetValuationHelper.UpdateValuation(streamControllerValuation,
childControllerValuations,
ConvertMetrics(streamControllerMetrics),
new List <string>(Metrics), PaymentCurrencies);
}
else
{
streamValuation = paymentValuation;
}
CalculationPerfomedIndicator = true;
streamValuation.id = Id;
return(streamValuation);
}
