/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="ratecurve"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <returns></returns>
public virtual decimal[] CalculatePDH(ILogger logger, ICoreCache cache, CurveBase ratecurve, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SimpleSwapAsset":
case "ClearedSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic();
break;
case "SimpleDiscountSwapAsset":
case "DiscountClearedSwapAsset":
AnalyticsModel = new SimpleDiscountSwapAssetAnalytic();
break;
}
}
var result = new List <decimal>();
if (ratecurve != null)
{
var riskCurves = ratecurve.CreateCurveRiskSet(1);
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = Notional,
//2. Get the discount factors
DiscountFactors =
GetDiscountFactors(ratecurve,
AdjustedPeriodDates.ToArray(),
BaseDate),
//3. Get the respective year fractions
YearFractions = YearFractions,
Rate =
MarketQuoteHelper.NormalisePriceUnits(
FixedRate, "DecimalRate").value
};
//4. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.DiscountFactors.Length - 1);
//4. Set the anaytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
var analyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.NPV });
var baseNPV = analyticResults.NPV;
//Now loop through the risk curves.
foreach (var curve in riskCurves)
{
analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add(analyticResults.NPV - baseNPV);
}
}
}
return(result.ToArray());
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SwapAsset":
case "SimpleSwapAsset":
case "ClearedSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic();
break;
case "DiscountSwapAsset":
case "SimpleDiscountSwapAsset":
case "DiscountClearedSwapAsset":
AnalyticsModel = new SimpleDiscountSwapAssetAnalytic();
break;
}
}
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = Notional,
//2. Get the discount factors
DiscountFactors =
GetDiscountFactors(interpolatedSpace,
AdjustedPeriodDates.ToArray(),
BaseDate),
//3. Get the respective year fractions
YearFractions = YearFractions,
Rate =
MarketQuoteHelper.NormalisePriceUnits(
FixedRate, "DecimalRate").value
};
//4. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.DiscountFactors.Length - 1);
AnalyticResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel != null)
{
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters, new[] { RateMetrics.ImpliedQuote });
}
return(AnalyticResults.ImpliedQuote);
}
/// <summary>
/// Calculates the specified metric for the fast bootstrapper.
/// </summary>
/// <param name="interpolatedSpace">The intepolated Space.</param>
/// <returns></returns>
public override decimal CalculateDiscountFactorAtMaturity(IInterpolatedSpace interpolatedSpace)
{
if (AnalyticsModel == null)
{
switch (ModelIdentifier)
{
case "SwapAsset":
case "SimpleSwapAsset":
case "ClearedSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic();
break;
case "DiscountSwapAsset":
case "SimpleDiscountSwapAsset":
case "DiscountClearedSwapAsset":
AnalyticsModel = new SimpleDiscountSwapAssetAnalytic();
break;
}
}
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters()
{
YearFractions = YearFractions,
StartDiscountFactor = GetDiscountFactor(interpolatedSpace, AdjustedStartDate, BaseDate)
};
//3. Get the Rate
//
if (FixedRate != null)
{
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
}
AnalyticResults = new RateAssetResults();
//4. Set the anaytic input parameters and Calculate the respective metrics
//
if (AnalyticsModel == null)
{
return(1.0m);
}
AnalyticResults = AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
new[] { RateMetrics.DiscountFactorAtMaturity });
return(AnalyticResults.DiscountFactorAtMaturity);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
switch (ModelIdentifier)
{
case "SimpleSwapAsset":
AnalyticsModel = new SimpleSwapAssetAnalytic();
break;
case "SimpleDiscountSwapAsset":
AnalyticsModel = new SimpleDiscountSwapAssetAnalytic();
break;
}
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalDiscountFactorAtMaturity = false;
if (metrics.Contains(RateMetrics.DiscountFactorAtMaturity))
{
bEvalDiscountFactorAtMaturity = true;
metrics.RemoveAll(
metricItem => metricItem != RateMetrics.DiscountFactorAtMaturity);
}
var metricsToEvaluate = metrics.ToArray();
AnalyticResults = new RateAssetResults();
var marketEnvironment = modelData.MarketEnvironment;
IRateCurve curve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
curve = (IRateCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleRateMarketEnvironment))
{
curve = ((ISimpleRateMarketEnvironment)marketEnvironment).GetRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
curve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
curve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
}
//2. Set the rate
var analyticModelParameters =
new IRSwapAssetParameters
{
Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value
};
if (bEvalDiscountFactorAtMaturity)
{
//3. Set the start diccount factor
analyticModelParameters.StartDiscountFactor =
GetDiscountFactor(curve, AdjustedStartDate, modelData.ValuationDate);
//4. Get the respective year fractions
analyticModelParameters.YearFractions = YearFractions;
//5. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
else
{
analyticModelParameters.NotionalAmount = Notional;
//2. Get the discount factors
analyticModelParameters.DiscountFactors =
GetDiscountFactors(curve, AdjustedPeriodDates.ToArray(), modelData.ValuationDate);
//3. Get the respective year fractions
analyticModelParameters.YearFractions = YearFractions;
//4. Get the Weightings
analyticModelParameters.Weightings = Weightings;
//5. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
