public static (IrCurve curve, double spotPrice) GetMetalCurveForCode(string cmxSettleFwdFilename, string cmxSymbol, FxPair metalPair, string curveName, DateTime valDate, IrCurve baseCurve, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var blob = CMEFileParser.Instance.GetBlob(cmxSettleFwdFilename);
var fwds = blob.Batch.Where(b => b.Instrmt.Sym == cmxSymbol).ToDictionary(x => x.Instrmt.MatDt, x => Convert.ToDouble(x.Full.Where(x => x.Typ == "6").First().Px));
var curveCcy = metalPair.Domestic;
var bc = baseCurve.Clone();
bc.SolveStage = -1;
var spotDate = metalPair.SpotDate(valDate);
var spotRate = Convert.ToDouble(fwds[spotDate]);
fwds = Downsample(fwds, spotDate, metalPair.PrimaryCalendar);
var fwdObjects = fwds.Select(x => new FxForward
{
DomesticCCY = metalPair.Foreign,
DeliveryDate = x.Key,
DomesticQuantity = 1e6,
ForeignCCY = metalPair.Domestic,
PillarDate = x.Key,
SolveCurve = curveName,
Strike = Convert.ToDouble(x.Value),
ForeignDiscountCurve = baseCurve.Name,
});
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(fwdObjects);
var pillars = fwds.Keys.OrderBy(x => x).ToArray();
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), valDate, curveName, Interpolator1DType.Linear, curveCcy);
var fm = new FundingModel(valDate, new[] { curve, bc }, currencyProvider, calendarProvider);
var matrix = new FxMatrix(currencyProvider);
var discoMap = new Dictionary <Currency, string> {
{ curveCcy, curveName }, { baseCurve.Currency, baseCurve.Name }
};
matrix.Init(metalPair.Foreign, valDate, new Dictionary <Currency, double> {
{ metalPair.Domestic, spotRate }
}, new List <FxPair> {
metalPair
}, discoMap);
fm.SetupFx(matrix);
var solver = new NewtonRaphsonMultiCurveSolverStaged()
{
InLineCurveGuessing = true
};
solver.Solve(fm, fic);
return(curve, spotRate);
}
public static IrCurve StripFxBasisCurve(string cmeFwdFileName, FxPair ccyPair, string cmePair, Currency curveCcy, string curveName, DateTime valDate, IrCurve baseCurve, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var fwdsDict = GetFwdFxRatesFromFwdFile(cmeFwdFileName, new Dictionary <string, string> {
{ ccyPair.ToString(), cmePair }
});
var bc = baseCurve.Clone();
bc.SolveStage = -1;
var fwds = fwdsDict[ccyPair.ToString()];
var spotDate = ccyPair.SpotDate(valDate);
var spotRate = fwds[spotDate];
fwds = Downsample(fwds, spotDate, ccyPair.PrimaryCalendar);
var fwdObjects = fwds.Select(x => new FxForward
{
DomesticCCY = ccyPair.Domestic,
DeliveryDate = x.Key,
DomesticQuantity = 1e6,
ForeignCCY = ccyPair.Foreign,
PillarDate = x.Key,
SolveCurve = curveName,
Strike = x.Value,
ForeignDiscountCurve = ccyPair.Foreign == curveCcy ? curveName : baseCurve.Name,
});
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(fwdObjects);
var pillars = fwds.Keys.OrderBy(x => x).ToArray();
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), valDate, curveName, Interpolator1DType.Linear, curveCcy);
var fm = new FundingModel(valDate, new[] { curve, bc }, currencyProvider, calendarProvider);
var matrix = new FxMatrix(currencyProvider);
var discoMap = new Dictionary <Currency, string> {
{ curveCcy, curveName }, { baseCurve.Currency, baseCurve.Name }
};
matrix.Init(ccyPair.Domestic, valDate, new Dictionary <Currency, double> {
{ ccyPair.Foreign, spotRate }
}, new List <FxPair> {
ccyPair
}, discoMap);
fm.SetupFx(matrix);
var solver = new NewtonRaphsonMultiCurveSolverStaged()
{
InLineCurveGuessing = true
};
solver.Solve(fm, fic);
return(curve);
}
public void AsianCompoSwap()
{
ParallelUtils.Instance.MultiThreaded = false;
var startDate = new DateTime(2018, 07, 28);
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var xaf = TestProviderHelper.CurrencyProvider["XAF"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var curvePillars = new[] { "1W", "1M", "3M", "6M", "1Y" };
var curvePillarDates = curvePillars.Select(l => startDate.AddPeriod(RollType.F, cal, new Frequency(l))).ToArray();
var curvePoints = new[] { 100.0, 100, 100, 100, 100 };
var curve = new BasicPriceCurve(startDate, curvePillarDates, curvePoints, PriceCurveType.LME, TestProviderHelper.CurrencyProvider, curvePillars)
{
Currency = usd,
CollateralSpec = "CURVE",
Name = "Coconuts",
AssetId = "Coconuts"
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var fxSpot = 7;
var rates = new Dictionary <Currency, double> {
{ xaf, fxSpot }
};
var discoMap = new Dictionary <Currency, string> {
{ xaf, "XAF.CURVE" }, { usd, "USD.CURVE" }
};
var fxPair = new FxPair()
{
Domestic = usd,
Foreign = xaf,
PrimaryCalendar = cal,
SpotLag = new Frequency("2b")
};
fxMatrix.Init(usd, startDate, rates, new List <FxPair> {
fxPair
}, discoMap);
var irPillars = new[] { startDate, startDate.AddYears(10) };
var xafRates = new[] { 0.1, 0.1 };
var usdRates = new[] { 0.01, 0.01 };
var xafCurve = new IrCurve(irPillars, xafRates, startDate, "XAF.CURVE", Interpolator1DType.Linear, xaf, "CURVE");
var usdCurve = new IrCurve(irPillars, usdRates, startDate, "USD.CURVE", Interpolator1DType.Linear, usd, "CURVE");
var fModel = new FundingModel(startDate, new[] { xafCurve, usdCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var aModel = new AssetFxModel(startDate, fModel);
aModel.AddPriceCurve("Coconuts", curve);
var periodCode = "SEP-18";
var(Start, End) = periodCode.ParsePeriod();
var fixingDates = Start.BusinessDaysInPeriod(End, cal).ToArray();
var settleDate = fixingDates.Last().AddPeriod(RollType.F, cal, new Frequency("5b"));
var fxFwd = aModel.FundingModel.GetFxAverage(fixingDates, usd, xaf);
var assetFwd = curve.GetAveragePriceForDates(fixingDates);
var fairStrike = fxFwd * assetFwd;
var asianSwap = AssetProductFactory.CreateMonthlyAsianSwap(periodCode, fairStrike, "Coconuts", cal, cal, new Frequency("5b"), xaf, TradeDirection.Long, new Frequency("0b"), 1000, DateGenerationType.BusinessDays);
asianSwap.TradeId = "aLovelyBunch";
foreach (var sw in asianSwap.Swaplets)
{
sw.DiscountCurve = "XAF.CURVE";
sw.FxConversionType = FxConversionType.AverageThenConvert;
}
var pv = asianSwap.PV(aModel, false);
Assert.Equal(0, pv, 8);
var portfolio = new Portfolio()
{
Instruments = new List <IInstrument> {
asianSwap
}
};
var pfPvCube = portfolio.PV(aModel);
var pfPv = (double)pfPvCube.GetAllRows().First().Value;
Assert.Equal(0.0, pfPv, 8);
var deltaCube = portfolio.AssetDelta(aModel);
var dAgg = deltaCube.Pivot("TradeId", AggregationAction.Sum);
var delta = (double)dAgg.GetAllRows().First().Value;
var t0Spot = aModel.FundingModel.GetFxRate(startDate, usd, xaf);
var df = xafCurve.GetDf(startDate, settleDate);
Assert.Equal(995.361065482776, delta, 7);
var fxDeltaCube = portfolio.FxDelta(aModel, usd, TestProviderHelper.CurrencyProvider);
var dfxAgg = fxDeltaCube.Pivot("TradeId", AggregationAction.Sum);
var fxDelta = (double)dfxAgg.GetAllRows().First().Value;
Assert.Equal(-1000 * df * fxFwd * 100 / (t0Spot / fxSpot) / usdCurve.GetDf(startDate, fxPair.SpotDate(startDate)), fxDelta, 4);
}
public static object CreateFxSwap(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value Date")] DateTime ValDate,
[ExcelArgument(Description = "Tenor")] string Tenor,
[ExcelArgument(Description = "Spot Price")] double SpotPrice,
[ExcelArgument(Description = "Domestic Currency")] string DomesticCcy,
[ExcelArgument(Description = "Foreign Currency")] string ForeignCcy,
[ExcelArgument(Description = "Domestic Notional")] double DomesticNotional,
[ExcelArgument(Description = "Swap Points")] double SwapPoints,
[ExcelArgument(Description = "Foreign Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "Solve Curve name ")] string SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate,
[ExcelArgument(Description = "Divisor, defualt 10,000")] object Divisor,
[ExcelArgument(Description = "Spot lag, defualt 2b")] object SpotLag)
{
return(ExcelHelper.Execute(_logger, () =>
{
var spotLag = SpotLag.OptionalExcel("2b");
var divisor = Divisor.OptionalExcel(10000.0);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(DomesticCcy, out var domesticCal);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ForeignCcy, out var foreignCal);
var domesticCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy);
var foreignCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy);
var pair = new FxPair()
{
Domestic = domesticCCY, Foreign = foreignCCY, SpotLag = new Frequency(spotLag), PrimaryCalendar = domesticCal, SecondaryCalendar = foreignCal
};
var SettleDate = new DateTime();
var SolveDate = new DateTime();
var fwd = SpotPrice;
switch (Tenor.ToUpper())
{
case "ON":
case "O/N":
case "OVERNIGHT":
SettleDate = ValDate.AddPeriod(RollType.F, domesticCal, 1.Bd());
SettleDate = SettleDate.IfHolidayRollForward(foreignCal);
var swapProduct = new FxSwap(SwapPoints, ValDate, SettleDate, DomesticNotional, ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy), ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy))
{
SolveCurve = SolveCurve,
PillarDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(SettleDate.ToOADate())),
};
return ExcelHelper.PushToCache(swapProduct, ObjectName);
case "T/N":
case "TN":
SettleDate = pair.SpotDate(ValDate).SubtractPeriod(RollType.P, domesticCal, 1.Bd());
var startDate = SettleDate.IfHolidayRollBack(foreignCal);
SolveDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(pair.SpotDate(ValDate).ToOADate()));
fwd -= SwapPoints / divisor;
break;
default:
SettleDate = pair.SpotDate(ValDate);
var rt = Tenor.EndsWith("M") || Tenor.EndsWith("Y") ? RollType.MF : RollType.F;
SettleDate = SettleDate.AddPeriod(rt, domesticCal, new Frequency(Tenor));
SettleDate = SettleDate.IfHolidayRollForward(foreignCal);
fwd += SwapPoints / divisor;
SolveDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(SettleDate.ToOADate()));;
break;
}
var product = new FxForward
{
DomesticCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy),
ForeignCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy),
DomesticQuantity = DomesticNotional,
DeliveryDate = SettleDate,
ForeignDiscountCurve = DiscountCurve,
SolveCurve = SolveCurve,
PillarDate = SolveDate,
Strike = fwd,
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}