public void BasicRiskMatrixFacts()
{
var model = GenerateTestData();
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var rm = new RiskMatrix("FakeAsset", zar, MutationType.FlatShift, RiskMetric.FxDelta, 10, 0.1, 2, TestProviderHelper.CurrencyProvider, true)
{
FxPairsForDelta = new List <FxPair>()
{
new FxPair()
{
Domestic = zar, Foreign = usd
}
}
};
var cube = rm.Generate(model);
foreach (var row in cube.GetAllRows())
{
if ((string)row.MetaData[5] == "FakeAsset~0" && (string)row.MetaData[6] == "ZAR~0")
{
Assert.Equal(0.0, row.Value);
}
}
}
public static object PortfolioRiskMatrix(
[ExcelArgument(Description = "Result object name")] string ResultObjectName,
[ExcelArgument(Description = "Portolio object name")] string PortfolioName,
[ExcelArgument(Description = "Asset-FX model name")] string ModelName,
[ExcelArgument(Description = "Asset Id to bump")] string AssetId,
[ExcelArgument(Description = "Currency to bump")] string Currency,
[ExcelArgument(Description = "Bump type, defualt FlatShift")] object BumpType,
[ExcelArgument(Description = "Number of bumps (returns 2*N+1 values)")] int NScenarios,
[ExcelArgument(Description = "Bump step size asset")] double BumpStepAsset,
[ExcelArgument(Description = "Bump step size fx")] double BumpStepFx,
[ExcelArgument(Description = "Risk metric to produce for each scenario")] object RiskMetric,
[ExcelArgument(Description = "Return differential to base case, default True")] object ReturnDiff,
[ExcelArgument(Description = "List of FxPairs for fx metrics")] object[] PairsToRisk)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
if (!Enum.TryParse(BumpType.OptionalExcel("FlatShift"), out MutationType bType))
{
throw new Exception($"Unknown bump/mutation type {BumpType}");
}
if (!Enum.TryParse(RiskMetric.OptionalExcel("AssetCurveDelta"), out RiskMetric metric))
{
throw new Exception($"Unknown risk metric {RiskMetric}");
}
var retDiff = ReturnDiff.OptionalExcel(true);
var isFxFx = AssetId.Length == 7 && AssetId[3] == '/' &&
Currency.Length == 7 && Currency[3] == '/';
ICube result = null;
if (isFxFx)
{
var pair1 = Currency.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
var pair2 = AssetId.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
var riskMatrix = new RiskMatrix(pair2, pair1, bType, metric, BumpStepAsset, BumpStepFx, NScenarios, ContainerStores.CurrencyProvider, retDiff);
if (PairsToRisk != null && PairsToRisk.Any())
{
riskMatrix.FxPairsForDelta = PairsToRisk.ObjectRangeToVector <string>()
.Select(x => x.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider))
.ToList();
}
result = riskMatrix.Generate(model, model.Portfolio);
}
else
{
var ccy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var riskMatrix = new RiskMatrix(AssetId, ccy, bType, metric, BumpStepAsset, BumpStepFx, NScenarios, ContainerStores.CurrencyProvider, retDiff);
if (PairsToRisk != null && PairsToRisk.Any())
{
riskMatrix.FxPairsForDelta = PairsToRisk.ObjectRangeToVector <string>()
.Select(x => x.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider))
.ToList();
}
result = riskMatrix.Generate(model, model.Portfolio);
}
return PushCubeToCache(result, ResultObjectName);
}));
}
