public ZcbRiskOutputContainer ZcbRiskProductOutputContainer(LinearRateInstrument product, DateTime asOf)
{
double[] risk = ZcbRiskProductAD(product);
ZcbRiskOutputContainer output = new ZcbRiskOutputContainer();
ZcbRiskOutput discRisk = new MasterThesis.ZcbRiskOutput(asOf);
int j = 0;
for (int i = 0; i < DiscCurve.Dimension; i++)
{
discRisk.AddRiskCalculation(CurveTenor.DiscOis, DiscCurve.Dates[i], risk[j]);
j++;
}
output.AddDiscRisk(discRisk);
CurveTenor[] tenors = new CurveTenor[] { CurveTenor.Fwd1M, CurveTenor.Fwd3M, CurveTenor.Fwd6M, CurveTenor.Fwd1Y };
foreach (CurveTenor tenor in tenors.ToList())
{
ZcbRiskOutput tempFwdRisk = new ZcbRiskOutput(asOf);
for (int i = 0; i < FwdCurveCollection.GetCurve(tenor).Dimension; i++)
{
DateTime curvePoint = FwdCurveCollection.GetCurve(tenor).Dates[i];
tempFwdRisk.AddRiskCalculation(tenor, curvePoint, risk[j]);
j++;
}
output.AddForwardRisk(tenor, tempFwdRisk);
}
return(output);
}
public RiskEngine(LinearRateModel model, Portfolio portfolio, RiskJacobian jacobian, bool useAd = false)
{
_linearRateModel = model;
_portfolio = portfolio;
_jacobian = jacobian;
ZcbRiskOutput = new ZcbRiskOutputContainer();
OutrightRiskOutput = new OutrightRiskContainer();
_asOf = jacobian.AsOf;
_useAd = useAd;
}
public ZcbRiskOutputContainer RiskAgainstAllCurvesBumpAndRun(LinearRateInstrument product, DateTime asOf)
{
ZcbRiskOutputContainer output = new ZcbRiskOutputContainer();
List <CurveTenor> tenors = new CurveTenor[] { CurveTenor.Fwd1M, CurveTenor.Fwd3M, CurveTenor.Fwd6M, CurveTenor.Fwd1Y }.ToList();
foreach (CurveTenor tenor in tenors)
{
if (FwdCurveCollection.CurveExist(tenor) == false)
{
throw new InvalidOperationException(tenor.ToString() + " does not exist in model.");
}
output.AddForwardRisk(tenor, CalculateZcbRiskBumpAndRun(product, tenor, asOf));
}
output.AddDiscRisk(CalculateZcbRiskBumpAndRun(product, CurveTenor.DiscOis, asOf));
return(output);
}
// This method aggregates the risk on all the portfolios elements and outputs them in a riskOutputContainer.
public ZcbRiskOutputContainer AggregateRisk(DateTime asOf)
{
if (_productCounter == 0)
{
throw new InvalidOperationException("Portfolio is empty");
}
if (RiskOutputs.Keys.Count == 0)
{
throw new InvalidOperationException("Risk has not been calculated on this portfolio");
}
ZcbRiskOutputContainer output = new ZcbRiskOutputContainer();
List <CurveTenor> tenors = new CurveTenor[] { CurveTenor.Fwd1M, CurveTenor.Fwd3M, CurveTenor.Fwd6M, CurveTenor.Fwd1Y }.ToList();
// Loop over all forward curves
foreach (CurveTenor tenor in tenors)
{
ZcbRiskOutput tempRiskOutput = new ZcbRiskOutput(asOf);
// Loop over all assets
foreach (int ident in RiskOutputs.Keys)
{
if (ident == 0)
{
// Loop over all curve points and set starting valus as asset 0
foreach (DateTime key in RiskOutputs[0].FwdRiskCollection[tenor].IdentifierToPoint.Keys)
{
double value = RiskOutputs[0].FwdRiskCollection[tenor].RiskLookUp[RiskOutputs[0].FwdRiskCollection[tenor].IdentifierToPoint[key]];
tempRiskOutput.AddRiskCalculation(tenor, key, value);
}
}
else
{
// Loop over all curve points and add value to each curve point
foreach (DateTime key in RiskOutputs[0].FwdRiskCollection[tenor].IdentifierToPoint.Keys)
{
double value = RiskOutputs[ident].FwdRiskCollection[tenor].RiskLookUp[RiskOutputs[ident].FwdRiskCollection[tenor].IdentifierToPoint[key]];
tempRiskOutput.AddToCurvePoint(key, value);
}
}
// Add aggregated risk to output risk
output.AddForwardRisk(tenor, tempRiskOutput);
}
}
// Do the same for the disc curve
ZcbRiskOutput tempDiscRiskOutput = new ZcbRiskOutput(asOf);
foreach (int ident in RiskOutputs.Keys)
{
if (ident == 0)
{
// Loop over all curve points and set starting valus as asset 0
foreach (DateTime key in RiskOutputs[0].DiscRisk.IdentifierToPoint.Keys)
{
double value = RiskOutputs[0].DiscRisk.RiskLookUp[RiskOutputs[0].DiscRisk.IdentifierToPoint[key]];
tempDiscRiskOutput.AddRiskCalculation(CurveTenor.DiscOis, key, value);
}
}
else
{
// Loop over all curve points and add value to each curve point
foreach (DateTime key in RiskOutputs[0].DiscRisk.IdentifierToPoint.Keys)
{
double value = RiskOutputs[ident].DiscRisk.RiskLookUp[RiskOutputs[ident].DiscRisk.IdentifierToPoint[key]];
tempDiscRiskOutput.AddToCurvePoint(key, value);
}
}
}
output.AddDiscRisk(tempDiscRiskOutput);
return(output);
}
