public static void RiskJacobian_Make(string baseHandle, string linearRateModelHandle, DateTime asOf, string[] calibSetsHandles, string[] curveTenors, bool useAd = false)
{
LinearRateModel model = ObjectMap.LinearRateModels[linearRateModelHandle];
RiskJacobian jacobian = new RiskJacobian(model, asOf);
if (calibSetsHandles.Length != curveTenors.Length)
{
throw new InvalidOperationException("CurveTenor and Calibration set handles must have same dimension.");
}
for (int i = 0; i < calibSetsHandles.Length; i++)
{
jacobian.AddInstruments(ObjectMap.CalibrationInstrumentSets[calibSetsHandles[i]], StrToEnum.CurveTenorConvert(curveTenors[i]));
}
// Using this procedure, the instruments are actually sorted.
jacobian.Initialize();
if (useAd)
{
// Construct using AD
jacobian.ConstructUsingAD();
}
else
{
jacobian.ConstructUsingBumpAndRun();
}
ObjectMap.RiskJacobians[baseHandle] = jacobian;
}
public static void RiskEngineNew_Make(string baseHandle, string portfolioHandle, string riskJacobianHandle, bool useAd)
{
RiskJacobian jacobian = ObjectMap.RiskJacobians[riskJacobianHandle];
double determinant = jacobian.Jacobian.Determinant();
LinearRateModel model = jacobian.Model;
Portfolio portfolio = ObjectMap.Portfolios[portfolioHandle];
ObjectMap.RiskEngines[baseHandle] = new RiskEngine(model, portfolio, jacobian, useAd);
}
