public void TestROEAnalyticsCall()
{
var modelMetrics = new [] { ROEMetrics.ROE }; // specify metrics to calculate
var modelParameters = new ROEParameters();
// Populate input parameters
PopulateModelParameters(modelParameters);
var model = new ROEAnalytic();
var modelResult = model.Calculate <IROEResult, ROEResult>(modelParameters, modelMetrics);
// Dump a content of the modelResult
Dump(modelResult);
Assert.IsTrue(true);
}
//[Test]
//public void TestROEAnalyticsDummyCall()
//{
// var modelMetrics = new [] { ROEMetrics.ROE }; // what analytics we want to calculate
// var modelParameters = new ROEParameters();
// var model = new ROEAnalytic();
// var modelResult = model.Calculate<IROEResult, ROEResult>(modelParameters, modelMetrics);
// // Dump a content of the modelResult
// //
// Dump(modelResult);
//}
private void PopulateModelParameters(ROEParameters parameters)
{
parameters.BaseCalculationDate = DateTime.Today;
parameters.CounterpartyRatingID = 2; //Note: must be eCRS 1-23, 98, 99
parameters.LendingCategory = "J"; //LGD lending category
parameters.LGDCounterpartyType = "LARGE CORPORATE"; //LGD counterparty type
parameters.RegCapCounterpartyType = "CORPORATE"; //used to determine risk weights in reg cap calc (Basel I only)
parameters.Region = "Australia";
parameters.CapitalType = "TIER1";
parameters.Notional = 100000000.0m;
parameters.Margin = 0.0m;
parameters.TransactionStartDate = DateTime.Today;
parameters.TransactionMaturityDate = parameters.TransactionStartDate.AddYears(4);
parameters.TransactionProductType = "IR";
parameters.TransactionCurrency = "AUD";
parameters.FXExchRateStatProvCcyToTransCcy = 0.65m;
parameters.FrequencyOfFuturePoints = 3; /* used as multiplier for future point set in final ROE calc */
parameters.DayCountConvention = "ACT365";
parameters.TraceMode = false;
//time buckets to use
parameters.TimeBuckets = new int[] { 0, 90, 180, 270, 360, 450, 540, 630, 730, 820, 910, 1000, 1095, 1460 };
var cashflowDates = new List <DateTime>();
foreach (var dayOffset in parameters.TimeBuckets)
{
cashflowDates.Add(parameters.TransactionStartDate.AddDays(dayOffset));
}
parameters.CashflowDates = cashflowDates.ToArray();
parameters.CashflowAmounts = new[]
{
0.0M,
parameters.Notional * 0.05m * 0.25m * 0.01m, //0 to 90
parameters.Notional * 0.05m * 0.25m * 0.01m, //90 to 180
parameters.Notional * 0.05m * 0.25m * 0.01m, //180 to 270
parameters.Notional * 0.05m * 0.25m * 0.01m, //270 to 360
parameters.Notional * 0.05m * 0.25m * 0.01m, //360 to 450
parameters.Notional * 0.05m * 0.25m * 0.01m, //450 to 540
parameters.Notional * 0.05m * 0.25m * 0.01m, //540 to 630
parameters.Notional * 0.05m * 0.25m * 0.01m, //630 to 730
parameters.Notional * 0.05m * 0.25m * 0.01m, //730 to 820
parameters.Notional * 0.05m * 0.25m * 0.01m, //820 to 910
parameters.Notional * 0.05m * 0.25m * 0.01m, //910 to 1000
parameters.Notional * 0.05m * 0.25m * 0.01m, //1000 to 1095
parameters.Notional * 0.05m * 0.25m * 0.01m, //1095 to 1460
};
parameters.Costs = new[]
{
0.0M,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m,
parameters.Notional * 0.05m * 0.25m * 0.001m
};
//should be from rate curve (ie market data) in practice
parameters.DiscountFactors = new[]
{
0.0M,
1.0m / (1m + 0.05m * 0.25m * 1m),
1.0m / (1m + 0.05m * 0.25m * 2m),
1.0m / (1m + 0.05m * 0.25m * 3m),
1.0m / (1m + 0.05m * 0.25m * 4m),
1.0m / (1m + 0.05m * 0.25m * 5m),
1.0m / (1m + 0.05m * 0.25m * 6m),
1.0m / (1m + 0.05m * 0.25m * 7m),
1.0m / (1m + 0.05m * 0.25m * 8m),
1.0m / (1m + 0.05m * 0.25m * 9m),
1.0m / (1m + 0.05m * 0.25m * 10m),
1.0m / (1m + 0.05m * 0.25m * 11m),
1.0m / (1m + 0.05m * 0.25m * 12m),
1.0m / (1m + 0.05m * 0.25m * 13m)
};
var npvs = new List <decimal>();
for (int i = 0; i < parameters.CashflowAmounts.Length; ++i)
{
var nonDiscountedAmount = parameters.CashflowAmounts[i];
var discountedAmount = nonDiscountedAmount * parameters.DiscountFactors[i];
npvs.Add(discountedAmount);
}
parameters.NPVs = npvs.ToArray();
parameters.StatisticalProvisions = new[]
{ 0.0M,
//just dummy data here
100m,
100m,
100m,
100m,
100m,
100m,
100m,
100m,
100m,
100m,
100m,
100m,
100m };
}
