public static object TurnbullWakemanFuturesPV(
[ExcelArgument(Description = "Fixing dates")] double[] FixingDates,
[ExcelArgument(Description = "Eval date")] DateTime EvalDate,
[ExcelArgument(Description = "Pay date")] DateTime PayDate,
[ExcelArgument(Description = "Forward curve")] string Curve,
[ExcelArgument(Description = "Fixings")] string FixingDictionary,
[ExcelArgument(Description = "Vol surface")] string Surface,
[ExcelArgument(Description = "Strike")] double K,
[ExcelArgument(Description = "Discounting rate")] double R,
[ExcelArgument(Description = "Call or Put")] string CP)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!Enum.TryParse(CP, out OptionType optType))
{
return $"Could not parse call or put flag - {CP}";
}
var curve = ContainerStores.GetObjectCache <IPriceCurve>().GetObjectOrThrow(Curve, $"Curve {Curve} not found");
var surface = ContainerStores.GetObjectCache <IVolSurface>().GetObjectOrThrow(Surface, $"Surface {Surface} not found");
var fd = new FixingDictionary();
var dates = FixingDates.ToDateTimeArray();
if (dates.First() < EvalDate)
{
fd = ContainerStores.GetObjectCache <FixingDictionary>().GetObjectOrThrow(FixingDictionary, $"Fixing dictionary {FixingDictionary} not found").Value;
}
var fwds = dates.Select(d => d > EvalDate?curve.Value.GetPriceForDate(d): fd.GetFixing(d)).ToArray();
var vols = dates.Select((d, ix) => surface.Value.GetVolForAbsoluteStrike(K, d, fwds[ix])).ToArray();
return Qwack.Options.Asians.TurnbullWakeman.PV(fwds, dates, EvalDate, PayDate, vols, K, R, optType);
}));
}
public static object PortfolioPvCvaCapital_B2_SM(
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "Exposure dates")] double[] ExposureDates,
[ExcelArgument(Description = "Party risk weight")] double CvaRiskWeight,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap)
{
return(ExcelHelper.Execute(_logger, () =>
{
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = ExposureDates.ToDateTimeArray(model.Value.BuildDate);
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.Clone();
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.PvCvaCapital_BII_SM(model.Value.BuildDate, expDates, models, portfolio, repCcy, disc.Value, CvaRiskWeight, assetIdToCategory, categoryToCCF, ContainerStores.CurrencyProvider);
return result;
}));
}
public static object FilterCubeSpecific(
[ExcelArgument(Description = "Output cube name")] string OutputObjectName,
[ExcelArgument(Description = "Input cube name")] string InputObjectName,
[ExcelArgument(Description = "Filter field")] string FilterField,
[ExcelArgument(Description = "Filter value")] object FilterValue,
[ExcelArgument(Description = "Filter out? default false (i.e. filter in)")] object FilterOut)
{
return(ExcelHelper.Execute(_logger, () =>
{
var filterOut = FilterOut.OptionalExcel(false);
var cubeCache = ContainerStores.GetObjectCache <ICube>();
var inCube = cubeCache.GetObjectOrThrow(InputObjectName, $"Could not find cube {InputObjectName}");
var filterDeets = new Dictionary <string, object>()
{
{ FilterField, FilterValue }
};
var outCube = inCube.Value.Filter(filterDeets, filterOut);
cubeCache.PutObject(OutputObjectName, new SessionItem <ICube> {
Name = OutputObjectName, Value = outCube
});
return OutputObjectName + '¬' + cubeCache.GetObject(OutputObjectName).Version;
}));
}
public static object GenerateCompoSurface(
[ExcelArgument(Description = "Output surface name")] string ObjectName,
[ExcelArgument(Description = "Asset-fx model name")] string AssetFxModel,
[ExcelArgument(Description = "AssetId")] string AssetId,
[ExcelArgument(Description = "FxPair")] string FxPair,
[ExcelArgument(Description = "Correlation")] double Correlation,
[ExcelArgument(Description = "Number of samples")] int NumberOfSamples)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (ContainerStores.GetObjectCache <IAssetFxModel>().TryGetObject(AssetFxModel, out var model))
{
if (!model.Value.FundingModel.VolSurfaces.ContainsKey(FxPair))
{
throw new Exception($"No vol surface found in model for fx pair {FxPair}");
}
model.Value.GetVolSurface(AssetId);
var surface = model.Value.GenerateCompositeSurface(AssetId, FxPair, NumberOfSamples, Correlation, true);
return ExcelHelper.PushToCache <IVolSurface>(surface, ObjectName);
}
else
{
return $"Model {AssetFxModel} not found in cache";
}
}));
}
public static object GetForwardRate(
[ExcelArgument(Description = "Curve object name")] string ObjectName,
[ExcelArgument(Description = "Rate start date")] DateTime StartDate,
[ExcelArgument(Description = "Rate end date")] DateTime EndDate,
[ExcelArgument(Description = "Rate type, e.g. linear, CC")] object RateType,
[ExcelArgument(Description = "Basis, e.g. Act365F")] object Basis)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (StartDate >= EndDate)
{
return "End date must be strictly greater that start date";
}
var rateType = RateType.OptionalExcel <string>("Linear");
var basis = Basis.OptionalExcel <string>("Act365F");
if (!Enum.TryParse(rateType, out RateType rType))
{
return $"Could not parse rate type - {rateType}";
}
if (!Enum.TryParse(basis, out DayCountBasis dType))
{
return $"Could not daycount basis - {basis}";
}
if (ContainerStores.GetObjectCache <IIrCurve>().TryGetObject(ObjectName, out var curve))
{
return curve.Value.GetForwardRate(StartDate, EndDate, rType, dType);
}
return $"IR curve {ObjectName} not found in cache";
}));
}
public static object CreateFxMatrix(
[ExcelArgument(Description = "Fx matrix name")] string ObjectName,
[ExcelArgument(Description = "Base currency")] string BaseCurrency,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Spot rates")] object[,] SpotRateMap,
[ExcelArgument(Description = "Fx pair definitions")] object[] FxPairDefinitions,
[ExcelArgument(Description = "DiscountCurves")] object[,] DiscountCurves)
{
return(ExcelHelper.Execute(_logger, () =>
{
var fxPairsCache = ContainerStores.GetObjectCache <FxPair>();
var fxPairs = FxPairDefinitions
.Where(s => fxPairsCache.Exists(s as string))
.Select(s => fxPairsCache.GetObject(s as string).Value)
.ToList();
var currencies = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>();
var spotRatesRaw = SpotRateMap.RangeToDictionary <string, double>();
var spotRates = spotRatesRaw.ToDictionary(y => currencies[y.Key], y => y.Value);
var discountCurvesRaw = DiscountCurves.RangeToDictionary <string, string>();
var discountCurves = discountCurvesRaw.ToDictionary(y => currencies[y.Key], y => y.Value);
var matrix = new FxMatrix(currencies);
matrix.Init(currencies[BaseCurrency], BuildDate, spotRates, fxPairs, discountCurves);
return ExcelHelper.PushToCache(matrix, ObjectName);
}));
}
public static object TurnbullWakemanStrikeForPVFutures(
[ExcelArgument(Description = "Evaluation Date")] DateTime EvalDate,
[ExcelArgument(Description = "Fixing dates")] double[] FixingDates,
[ExcelArgument(Description = "Settlement Date")] DateTime PayDate,
[ExcelArgument(Description = "Target PV")] double PV,
[ExcelArgument(Description = "Forward curve")] string FwdCurve,
[ExcelArgument(Description = "Fixing dictionary")] string FixingDictionary,
[ExcelArgument(Description = "Discounting rate")] double R,
[ExcelArgument(Description = "Volatility Surface")] string VolSurface,
[ExcelArgument(Description = "Call or Put")] string CP)
{
return(ExcelHelper.Execute(_logger, () =>
{
var surface = ContainerStores.GetObjectCache <IVolSurface>().GetObjectOrThrow(VolSurface, $"Could not parse find vol surface {VolSurface} in the cache");
var curve = ContainerStores.GetObjectCache <IPriceCurve>().GetObjectOrThrow(FwdCurve, $"Fwd curve {FwdCurve} not found");
var fd = new FixingDictionary();
var dates = FixingDates.ToDateTimeArray();
if (dates.First() < EvalDate)
{
fd = ContainerStores.GetObjectCache <FixingDictionary>().GetObjectOrThrow(FixingDictionary, $"Fixing dictionary {FixingDictionary} not found").Value;
}
var F = dates.Select(d => d > EvalDate ? curve.Value.GetPriceForDate(d) : fd.GetFixing(d)).ToArray();
if (!Enum.TryParse(CP, out OptionType optType))
{
return $"Could not parse call or put flag - {CP}";
}
return Qwack.Options.Asians.TurnbullWakeman.StrikeForPV(PV, F, FixingDates.ToDateTimeArray(), surface.Value, EvalDate, PayDate, R, optType);
}));
}
public static object PortfolioExpectedEad_B2_SM(
[ExcelArgument(Description = "Output cube name")] string OutputName,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "EPE cube")] string EPECube,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap)
{
return(ExcelHelper.Execute(_logger, () =>
{
var epeCube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(EPECube, $"EPE cube {EPECube} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = epeCube.Value.GetAllRows().Select(r => (DateTime)r.MetaData[0]).ToArray();
var epeValues = epeCube.Value.GetAllRows().Select(r => r.Value).ToArray();
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.TrimModel(portfolio);
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.EAD_BII_SM(model.Value.BuildDate, expDates, epeValues, models, portfolio, repCcy, assetIdToCategory, categoryToCCF, ContainerStores.CurrencyProvider);
var cube = ExcelHelper.PackResults(expDates, result, "EAD");
return ExcelHelper.PushToCache(cube, OutputName);
}));
}
public static object ExtractCalibrationInfoFromModel(
[ExcelArgument(Description = "Funding model name")] string FundingModelName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var model = ContainerStores.GetObjectCache <IFundingModel>().GetObject(FundingModelName).Value;
if (model.CalibrationItterations != null)
{
var o = new object[model.CalibrationItterations.Count() + 1, 3];
o[0, 0] = "Time (ms)";
o[0, 1] = model.CalibrationTimeMs;
o[0, 2] = "Curves in stage";
for (var i = 1; i <= model.CalibrationItterations.Count(); i++)
{
o[i, 0] = $"Passes Stage {i - 1}";
o[i, 1] = model.CalibrationItterations[i - 1];
o[i, 2] = model.CalibrationCurves[i - 1];
}
return o;
}
else
{
var o = new object[1, 2];
o[0, 0] = "Time (ms)";
o[0, 1] = model.CalibrationTimeMs;
return o;
}
}));
}
public void PortfolioPVFact()
{
InstrumentFunctions.CreateAsianSwap("swpFake", "Jan-19", "xx", "USD", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value);
var model = new Mock <IAssetFxModel>();
model.Setup(m => m.GetPriceCurve("xx", null)).Returns(new ConstantPriceCurve(100, DateTime.Today, TestProviderHelper.CurrencyProvider));
var fModel = new Mock <IFundingModel>();
fModel.Setup(fm => fm.GetDf(It.IsAny <Currency>(), It.IsAny <DateTime>(), It.IsAny <DateTime>())).Returns(1.0);
model.Setup(m => m.FundingModel).Returns(fModel.Object);
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("model", new SessionItem <IAssetFxModel>()
{
Name = "model", Value = model.Object
});
Assert.Equal("Could not find portfolio or trade with name trd",
InstrumentFunctions.AssetPortfolioPV("out", "trd", "xxx", Value));
Assert.Equal("Could not find model with name xxx",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "xxx", Value));
Assert.Equal("out¬0",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "model", Value));
Assert.Equal("out¬1",
InstrumentFunctions.AssetPortfolioPV("out", "swpFake", "model", "USD"));
}
public static object PortfolioExpectedEadSplit(
[ExcelArgument(Description = "Output cube name")] string OutputName,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "Exposure dates")] double[] ExposureDates,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap,
[ExcelArgument(Description = "Basel II / Basel II cutover date")] DateTime ChangeOverDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var expDates = ExposureDates.ToDateTimeArray(model.Value.BuildDate);
var models = new IAssetFxModel[expDates.Length];
var m = model.Value.Clone();
for (var i = 0; i < models.Length; i++)
{
m = m.RollModel(expDates[i], ContainerStores.CurrencyProvider);
models[i] = m;
}
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
var result = CapitalCalculator.EAD_Split(model.Value.BuildDate, expDates, models, portfolio, repCcy,
assetIdToCategory, categoryToCCF, ChangeOverDate, ContainerStores.CurrencyProvider);
var cube = ExcelHelper.PackResults(expDates, result, "EAD");
return ExcelHelper.PushToCache(cube, OutputName);
}));
}
public static object SolveStrikeForTargetRoC(
[ExcelArgument(Description = "Hazzard curve")] string HazzardCurveName,
[ExcelArgument(Description = "Discount curve")] string DiscountCurve,
[ExcelArgument(Description = "Portfolio")] string Portfolio,
[ExcelArgument(Description = "Asset-FX Model")] string Model,
[ExcelArgument(Description = "Loss-given-default, e.g. 0.4")] double LGD,
[ExcelArgument(Description = "Party risk weight, e.g. 1.0")] double PartyRiskWeight,
[ExcelArgument(Description = "Reporting currency")] string Currency,
[ExcelArgument(Description = "Target RoC")] double TargetRoC,
[ExcelArgument(Description = "Weight for CVA Capital")] double CVACapitalWeight,
[ExcelArgument(Description = "(Optional) LGD for xVA")] object LGDOverrideXVA,
[ExcelArgument(Description = "AssetId to Category map")] object[,] AssetIdToCategoryMap,
[ExcelArgument(Description = "Category to CCF map")] object[,] CategoryToCCFMap)
{
return(ExcelHelper.Execute(_logger, () =>
{
var hz = ContainerStores.GetObjectCache <HazzardCurve>().GetObjectOrThrow(HazzardCurveName, $"Hazzard curve {HazzardCurveName} not found");
var disc = ContainerStores.GetObjectCache <IIrCurve>().GetObjectOrThrow(DiscountCurve, $"Discount curve {DiscountCurve} not found");
var portfolio = Instruments.InstrumentFunctions.GetPortfolioOrTradeFromCache(Portfolio);
var model = ContainerStores.GetObjectCache <IAssetFxModel>().GetObjectOrThrow(Model, $"Asset-FX model {Model} not found");
var repCcy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var xvaLgd = LGDOverrideXVA.OptionalExcel(LGD);
var assetIdToCategory = AssetIdToCategoryMap.RangeToDictionary <string, string>();
var categoryToCCF = CategoryToCCFMap.RangeToDictionary <string, double>();
return SimplePortfolioSolver.SolveStrikeForGrossRoC(portfolio, model.Value, TargetRoC, repCcy, hz.Value, LGD, xvaLgd, PartyRiskWeight,
CVACapitalWeight, disc.Value, ContainerStores.CurrencyProvider, assetIdToCategory, categoryToCCF);
}));
}
public static object ComputeCVACapitalBaselIII(
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "EPE profile, cube or array")] object EPEProfile,
[ExcelArgument(Description = "Loss-given-default, e.g. 0.4")] double LGD,
[ExcelArgument(Description = "Probability-of-default, e.g. 0.02")] double PD,
[ExcelArgument(Description = "Counterparty weighting, e.g. 0.1")] double PartyWeight)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (EPEProfile is object[,] arr)
{
if (arr.GetLength(1) != 2)
{
throw new Exception("Expected Nx2 array for EPE");
}
var epeDates = new DateTime[arr.GetLength(0)];
var epeValues = new double[arr.GetLength(0)];
for (var i = 0; i < arr.GetLength(0); i++)
{
epeDates[i] = (DateTime)arr[i, 0];
epeValues[i] = (double)arr[i, 1];
}
return XVACalculator.RWA_BaselIII_CVA_IMM(OriginDate, epeDates, epeValues, PD, LGD, PartyWeight);
}
else if (EPEProfile is string epeCubeName)
{
var cube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(epeCubeName, $"Cube {epeCubeName} not found");
return XVACalculator.RWA_BaselIII_IMM(OriginDate, cube.Value, PD, LGD, PartyWeight);
}
throw new Exception("EPE profile must be cube reference or Nx2 array");
}));
}
public static object CreateConstantHazzardCurve(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Hazzard rate")] double HazzardRate,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Basis, default Act365F")] object Basis)
{
return(ExcelHelper.Execute(_logger, () =>
{
var basis = Basis.OptionalExcel("Act365F");
if (!Enum.TryParse(basis, out DayCountBasis dayCountBasis))
{
throw new Exception($"Could not parse basis type - {basis}");
}
var cObj = new HazzardCurve(BuildDate, dayCountBasis, new ConstantHazzardInterpolator(HazzardRate))
{
ConstantPD = HazzardRate
};
var cache = ContainerStores.GetObjectCache <HazzardCurve>();
cache.PutObject(ObjectName, new SessionItem <HazzardCurve> {
Name = ObjectName, Value = cObj
});
return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
}));
}
public static object GenerateCompoSmile(
[ExcelArgument(Description = "Output interpolator name")] string ObjectName,
[ExcelArgument(Description = "Volsurface name")] string VolSurface,
[ExcelArgument(Description = "Fx Volsurface name")] string FxVolSurface,
[ExcelArgument(Description = "Expiry date")] DateTime ExpiryDate,
[ExcelArgument(Description = "Forward")] double Forward,
[ExcelArgument(Description = "Fx Forward")] double FxForward,
[ExcelArgument(Description = "Correlation")] double Correlation,
[ExcelArgument(Description = "Number of samples")] int NumberOfSamples)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (ContainerStores.GetObjectCache <IVolSurface>().TryGetObject(VolSurface, out var volSurface))
{
if (ContainerStores.GetObjectCache <IVolSurface>().TryGetObject(FxVolSurface, out var volSurfaceFx))
{
var interpolator = volSurface.Value.GenerateCompositeSmile(volSurfaceFx.Value, NumberOfSamples, ExpiryDate, Forward, FxForward, Correlation);
return ExcelHelper.PushToCache(interpolator, ObjectName);
}
else
{
return $"Fx vol surface {FxVolSurface} not found in cache";
}
}
else
{
return $"Vol surface {VolSurface} not found in cache";
}
}));
}
public void AssetPnLAttributionExplainWithActivityFacts()
{
InstrumentFunctions.CreateAsianSwap("swpFake", "Jan-19", "xx", "USD", 0.0, 0.0, "NYC", "NYC", "2b", "2b", Value, "disco", Value);
var model = new Mock <IAssetFxModel>();
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("model", new SessionItem <IAssetFxModel>()
{
Name = "model", Value = model.Object
});
var pnlAttribMock = new Mock <IPnLAttributor>();
pnlAttribMock
.Setup(p => p.ExplainAttribution(It.IsAny <Portfolio>(), It.IsAny <Portfolio>(), It.IsAny <IAssetFxModel>(), It.IsAny <IAssetFxModel>(), It.IsAny <Currency>(), It.IsAny <ICurrencyProvider>(), It.IsAny <bool>()))
.Returns(new ResultCube());
ContainerStores.PnLAttributor = pnlAttribMock.Object;
Assert.Equal("Could not find portfolio or trade with name trdS",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "trdS", "trdE", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find portfolio or trade with name trdE",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "trdE", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find model with name ms1",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "ms1", "ms2", "USD", false));
Assert.Equal("Could not find model with name ms2",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "model", "ms2", "USD", false));
Assert.Equal("outzzy¬0",
InstrumentFunctions.AssetPnLAttributionExplainWithActivity("outzzy", "swpFake", "swpFake", "model", "model", "USD", false));
pnlAttribMock.Verify(p => p.ExplainAttribution(It.IsAny <Portfolio>(), It.IsAny <Portfolio>(), It.IsAny <IAssetFxModel>(), It.IsAny <IAssetFxModel>(), It.IsAny <Currency>(), It.IsAny <ICurrencyProvider>(), It.IsAny <bool>()), Times.Once);
}
public static object CreateDiscountCurveFromCCRates(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Curve name")] object CurveName,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
[ExcelArgument(Description = "Array of CC zero rates")] double[] ZeroRates,
[ExcelArgument(Description = "Type of interpolation")] object InterpolationType,
[ExcelArgument(Description = "Currency - default USD")] object Currency,
[ExcelArgument(Description = "Collateral Spec - default LIBOR.3M")] object CollateralSpec)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curveName = CurveName.OptionalExcel(ObjectName);
var curveTypeStr = InterpolationType.OptionalExcel("Linear");
var ccyStr = Currency.OptionalExcel("USD");
var colSpecStr = CollateralSpec.OptionalExcel("LIBOR.3M");
if (!Enum.TryParse(curveTypeStr, out Interpolator1DType iType))
{
return $"Could not parse interpolator type - {curveTypeStr}";
}
var pDates = Pillars.ToDateTimeArray();
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ccyStr, out var ccyCal);
var ccy = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>()[ccyStr];
var cObj = new IrCurve(pDates, ZeroRates, BuildDate, curveName, iType, ccy, colSpecStr);
var cache = ContainerStores.GetObjectCache <IIrCurve>();
cache.PutObject(ObjectName, new SessionItem <IIrCurve> {
Name = ObjectName, Value = cObj
});
return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
}));
}
public static object SurfaceFromCube(
[ExcelArgument(Description = "Output Surface name")] string SurfaceName,
[ExcelArgument(Description = "Cube name")] string CubeName,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Currency")] string Currency,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Stike Interpolation - default GaussianKernel")] object StrikeInterpolation,
[ExcelArgument(Description = "Time Interpolation - default LinearInVariance")] object TimeInterpolation)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(CubeName, $"Cube {CubeName} not found");
var strikeInterpType = StrikeInterpolation.OptionalExcel("GaussianKernel");
var timeInterpType = TimeInterpolation.OptionalExcel("LinearInVariance");
if (!Enum.TryParse(strikeInterpType, out Interpolator1DType siType))
{
return $"Could not parse strike interpolator type - {strikeInterpType}";
}
if (!Enum.TryParse(timeInterpType, out Interpolator1DType tiType))
{
return $"Could not parse time interpolator type - {timeInterpType}";
}
var rrbf = RiskyFlySurface.FromCube(cube.Value, BuildDate, siType, tiType);
rrbf.AssetId = AssetId;
rrbf.Name = AssetId;
if (!string.IsNullOrWhiteSpace(Currency))
{
rrbf.Currency = ContainerStores.CurrencyProvider.GetCurrency(Currency);
}
return ExcelHelper.PushToCache <IVolSurface>(rrbf, SurfaceName);
}));
}
public static object CreateFundingModelParallel(
[ExcelArgument(Description = "Funding model name")] string ObjectName,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Funding instrument collection")] string FundingInstrumentCollection,
[ExcelArgument(Description = "Curve to solve stage mappings")] object SolveStages,
[ExcelArgument(Description = "Fx matrix object")] object FxMatrix,
[ExcelArgument(Description = "Fx vol surfaces")] object FxVolSurfaces)
{
return(ExcelHelper.Execute(_logger, () =>
{
ContainerStores.GetObjectCache <FundingInstrumentCollection>().TryGetObject(FundingInstrumentCollection, out var fic);
IFxMatrix fxMatrix = null;
if (!(FxMatrix is ExcelMissing))
{
var fxMatrixCache = ContainerStores.GetObjectCache <FxMatrix>();
fxMatrix = fxMatrixCache.GetObject((string)FxMatrix).Value;
}
var stageDict = fic.Value.ImplySolveStages2(fxMatrix);
var emptyCurves = fic.Value.ImplyContainedCurves(BuildDate, Interpolator1DType.LinearFlatExtrap);
var model = new FundingModel(BuildDate, emptyCurves.Values.ToArray(), ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
if (!(FxMatrix is ExcelMissing))
{
model.SetupFx(fxMatrix);
}
if (!(FxVolSurfaces is ExcelMissing))
{
IEnumerable <IVolSurface> surfaces = null;
if (FxVolSurfaces is string vsStr)
{
surfaces = (new object[] { vsStr }).GetAnyFromCache <IVolSurface>();
}
else
{
surfaces = ((object[, ])FxVolSurfaces).GetAnyFromCache <IVolSurface>();
}
if (surfaces.Any())
{
model.VolSurfaces = surfaces.ToDictionary(k => k.Name, v => v);
}
}
if (fic != null)
{
var calibrator = new NewtonRaphsonMultiCurveSolverStaged()
{
InLineCurveGuessing = true
};
calibrator.Solve(model, fic.Value, stageDict);
}
return ExcelHelper.PushToCache <IFundingModel>(model, ObjectName);
}));
}
public static IEnumerable <T> GetAnyFromCache <T>(this object[] Names)
{
var tCache = ContainerStores.GetObjectCache <T>();
var tS = Names
.Where(s => !(s is ExcelMissing) && !(s is ExcelEmpty) && !string.IsNullOrWhiteSpace(s as string) && tCache.Exists(s as string))
.Select(s => tCache.GetObject(s as string).Value);
return(tS);
}
public static object CreateMcSettings(
[ExcelArgument(Description = "Settings object name")] string ObjectName,
[ExcelArgument(Description = "Number of paths")] int NumberOfPaths,
[ExcelArgument(Description = "Number of timesteps")] int NumberOfTimesteps,
[ExcelArgument(Description = "Random number generator, e.g. Sobol or MersenneTwister")] object RandomGenerator,
[ExcelArgument(Description = "Reporting currency")] object ReportingCurrency,
[ExcelArgument(Description = "Model to use, e.g. Black,LocalVol or TurboSkew")] string McModel,
[ExcelArgument(Description = "Full futures simulation? (True/False)")] bool FuturesSim,
[ExcelArgument(Description = "Parallel execution? (True/False)")] bool Parallel,
[ExcelArgument(Description = "Futures mapping dictionary, assetId to futures code")] object FutMappingDict,
[ExcelArgument(Description = "Enable debug mode")] object DebugMode,
[ExcelArgument(Description = "Enable average path correction")] object PathCorrection,
[ExcelArgument(Description = "Enable reduced memory operation")] object CompactMemoryMode,
[ExcelArgument(Description = "Avoid regresison if possible for BackPricing options")] object AvoidBPRegression,
[ExcelArgument(Description = "Enable local correlation? (True/False)")] bool LocalCorrelation,
[ExcelArgument(Description = "Credit settings object")] object CreditSettings)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().TryGetCurrency(ReportingCurrency.OptionalExcel("USD"), out var repCcy))
{
return $"Could not find currency {ReportingCurrency} in cache";
}
if (!Enum.TryParse(RandomGenerator.OptionalExcel("MersenneTwister"), true, out RandomGeneratorType randomGenerator))
{
return $"Could not parse random generator name - {RandomGenerator}";
}
if (!Enum.TryParse(McModel.OptionalExcel("Black"), true, out McModelType mcModel))
{
return $"Could not parse model type - {McModel}";
}
var settings = new McSettings
{
Generator = randomGenerator,
NumberOfPaths = NumberOfPaths,
NumberOfTimesteps = NumberOfTimesteps,
ReportingCurrency = repCcy,
McModelType = mcModel,
ExpensiveFuturesSimulation = FuturesSim,
Parallelize = Parallel,
FuturesMappingTable = (FutMappingDict is ExcelMissing) ?
new Dictionary <string, string>() :
((object[, ])FutMappingDict).RangeToDictionary <string, string>(),
DebugMode = DebugMode.OptionalExcel(false),
AveragePathCorrection = PathCorrection.OptionalExcel(false),
CompactMemoryMode = CompactMemoryMode.OptionalExcel(false),
AvoidRegressionForBackPricing = AvoidBPRegression.OptionalExcel(false),
LocalCorrelation = LocalCorrelation,
CreditSettings = (CreditSettings is ExcelMissing) ? null : ContainerStores.GetObjectCache <CreditSettings>().GetObjectOrThrow(CreditSettings as string, $"Unable to find Credit Settings {CreditSettings}").Value
};
return ExcelHelper.PushToCache(settings, ObjectName);
}));
}
public static object SumAllRows(
[ExcelArgument(Description = "Cube name")] string ObjectName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(ObjectName, $"Could not find cube {ObjectName}");
return cube.Value.SumOfAllRows;
}));
}
public static object Interpolate1dAverage(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "X values to interpolate")] double[] Xs)
{
return(ExcelHelper.Execute(_logger, () =>
{
var interpolator = ContainerStores.GetObjectCache <IInterpolator1D>().GetObjectOrThrow(ObjectName, $"1d interpolator {ObjectName} not found in cache");
return interpolator.Value.Average(Xs);
}));
}
public static object SurfaceToQuotes(
[ExcelArgument(Description = "Surface name")] string SurfaceName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var surface = ContainerStores.GetObjectCache <IVolSurface>().GetObjectOrThrow(SurfaceName, $"Vol surface {SurfaceName} not found");
var rrbf = (RiskyFlySurface)surface.Value;
return rrbf.DisplayQuotes();
}));
}
public static object ListCurvesInModel(
[ExcelArgument(Description = "Funding model name")] string FundingModelName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var modelCache = ContainerStores.GetObjectCache <IFundingModel>();
var model = modelCache.GetObject(FundingModelName).Value;
return model.Curves.Keys.Select(x => x as string).ToArray().ReturnExcelRangeVector();
}));
}
public static object Interpolate2d(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "X value to interpolate")] double X,
[ExcelArgument(Description = "Y value to interpolate")] double Y)
{
return(ExcelHelper.Execute(_logger, () =>
{
var interpolator = ContainerStores.GetObjectCache <IInterpolator2D>().GetObjectOrThrow(ObjectName, $"2d interpolator {ObjectName} not found in cache");
return interpolator.Value.Interpolate(X, Y);
}));
}
public void CreateMcPrecursorFact()
{
ContainerStores.GetObjectCache <IAssetFxModel>().PutObject("van", new SessionItem <IAssetFxModel>()
{
Name = "van", Value = new AssetFxModel(DateTime.Today, null)
});
ContainerStores.GetObjectCache <McSettings>().PutObject("set", new SessionItem <McSettings>()
{
Name = "set", Value = new McSettings()
});
Assert.Equal("boom¬0", ModelFunctions.CreateMcModel("boom", "van", "set"));
}
public static object CreateBasisPriceCurve(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Base curve object")] string BaseCurve,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Array of pillar dates")] double[] Pillars,
[ExcelArgument(Description = "Array of swap objects")] object[,] Swaps,
[ExcelArgument(Description = "Discount curve name")] string DiscountCurveName,
[ExcelArgument(Description = "Type of curve, e.g. LME, ICE, NYMEX etc")] object CurveType,
[ExcelArgument(Description = "Currency")] string Currency,
[ExcelArgument(Description = "(Optional) Pillar labels")] object PillarLabels)
{
return(ExcelHelper.Execute(_logger, () =>
{
var curveTypeStr = CurveType.OptionalExcel <string>("Coal");
if (!Enum.TryParse(curveTypeStr, out PriceCurveType cType))
{
return $"Could not parse price curve type - {curveTypeStr}";
}
var irCache = ContainerStores.GetObjectCache <IIrCurve>();
if (!irCache.TryGetObject(DiscountCurveName, out var irCurveObj))
{
return $"Could not find ir curve with name {DiscountCurveName}";
}
var irCurve = irCurveObj.Value;
var curveCache = ContainerStores.GetObjectCache <IPriceCurve>();
if (!curveCache.TryGetObject(BaseCurve, out var bCurveObj))
{
return $"Could not find ir curve with name {DiscountCurveName}";
}
var baseCurve = bCurveObj.Value;
var pf = Instruments.InstrumentFunctions.GetPortfolio(Swaps);
var ccy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
var labels = PillarLabels is ExcelMissing ? null : ((object[, ])PillarLabels).ObjectRangeToVector <string>().ToList();
var pDates = Pillars.ToDateTimeArray().ToList();
var cObj = new BasisPriceCurve(pf.Instruments.Where(x => x is IAssetInstrument).Select(x => x as IAssetInstrument).ToList(), pDates, irCurve, baseCurve, BuildDate, cType, new Models.Calibrators.NewtonRaphsonAssetBasisCurveSolver(ContainerStores.CurrencyProvider), labels)
{
Name = ObjectName,
AssetId = AssetId,
Currency = ccy
};
curveCache.PutObject(ObjectName, new SessionItem <IPriceCurve> {
Name = ObjectName, Value = cObj
});
return ObjectName + '¬' + curveCache.GetObject(ObjectName).Version;
}));
}
public static object SurfaceToCube(
[ExcelArgument(Description = "Surface name")] string SurfaceName,
[ExcelArgument(Description = "Output cube name")] string CubeName)
{
return(ExcelHelper.Execute(_logger, () =>
{
var surface = ContainerStores.GetObjectCache <IVolSurface>().GetObjectOrThrow(SurfaceName, $"Vol surface {SurfaceName} not found");
var rrbf = (RiskyFlySurface)surface.Value;
var cube = rrbf.ToCube();
return RiskFunctions.PushCubeToCache(cube, CubeName);
}));
}
public static object GetSurvivalProbability(
[ExcelArgument(Description = "Curve object name")] string ObjectName,
[ExcelArgument(Description = "Start date")] DateTime StartDate,
[ExcelArgument(Description = "End date")] DateTime EndDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
return ContainerStores
.GetObjectCache <HazzardCurve>()
.GetObjectOrThrow(ObjectName, $"Could not find curve {ObjectName}")
.Value.GetSurvivalProbability(StartDate, EndDate);
}));
}
