private IPvModel GenerateTestData() { Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false; var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD"); var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR"); var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"]; var ins = new Forward { TradeId = "TestA", AssetId = "FakeAsset", ExpiryDate = _originDate.AddDays(180), PaymentCurrency = zar, Notional = 1e6, Strike = 1400, DiscountCurve = "DISCO-ZAR" }; var pf = new Portfolio { Instruments = new List <IInstrument> { ins } }; var pillars = new[] { _originDate.AddDays(90), _originDate.AddDays(180) }; var discoUsd = new IrCurve(pillars, pillars.Select(p => 0.02).ToArray(), _originDate, "DISCO-USD", Interpolator1DType.Linear, usd); var discoZar = new IrCurve(pillars, pillars.Select(p => 0.02).ToArray(), _originDate, "DISCO-ZAR", Interpolator1DType.Linear, zar); var fxpairs = new List <FxPair> { new FxPair { Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd() }, new FxPair { Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd() }, }; var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider); fxMatrix.Init(usd, _originDate, new Dictionary <Currency, double> { { zar, 14.0 } }, fxpairs, new Dictionary <Currency, string> { { usd, "DISCO-USD" }, { zar, "DISCO-ZAR" } }); var fModel = new FundingModel(_originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider); fModel.SetupFx(fxMatrix); var model = new AssetFxModel(_originDate, fModel); var curve = new ConstantPriceCurve(100, _originDate, TestProviderHelper.CurrencyProvider); model.AddPriceCurve("FakeAsset", curve); model.AddFixingDictionary("FakeAsset", new FixingDictionary()); model.AttachPortfolio(pf); return(model); }
public static object CreateAssetFxModel( [ExcelArgument(Description = "Object name")] string ObjectName, [ExcelArgument(Description = "Build date")] DateTime BuildDate, [ExcelArgument(Description = "Price curves")] object[] PriceCurves, [ExcelArgument(Description = "Vol surfaces")] object[] VolSurfaces, [ExcelArgument(Description = "Funding model")] object[] FundingModel, [ExcelArgument(Description = "Fixing dictionaries")] object[] Fixings, [ExcelArgument(Description = "Correlation matrix")] object[] CorrelationMatrix) { return(ExcelHelper.Execute(_logger, () => { var curves = PriceCurves.GetAnyFromCache <IPriceCurve>(); var fundingModel = FundingModel.GetAnyFromCache <IFundingModel>().First(); var fixings = Fixings.GetAnyFromCache <IFixingDictionary>(); var volSurfaces = VolSurfaces.GetAnyFromCache <IVolSurface>(); var correlatinMatrix = CorrelationMatrix.GetAnyFromCache <ICorrelationMatrix>(); var model = new AssetFxModel(BuildDate, fundingModel); foreach (var curve in curves) { model.AddPriceCurve(curve.Name, curve); } foreach (var vs in volSurfaces) { model.AddVolSurface(vs.Name, vs); } foreach (var f in fixings) { model.AddFixingDictionary(f.Name, f); } if (correlatinMatrix.Any()) { model.CorrelationMatrix = correlatinMatrix.First(); } return ExcelHelper.PushToCache <IAssetFxModel>(model, ObjectName); })); }
private (IAssetFxModel startModel, IAssetFxModel endModel, Portfolio portfolio) GenerateTestData() { Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false; var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD"); var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR"); var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"]; var originDate = DateTime.Parse("2019-04-25"); var ins = new FxForward { TradeId = "TestA", DeliveryDate = originDate.AddDays(30), DomesticCCY = zar, ForeignCCY = usd, DomesticQuantity = 1e6, Strike = 14, ForeignDiscountCurve = "DISCO-USD" }; var pf = new Portfolio { Instruments = new List <IInstrument> { ins } }; var discoUsd = new FlatIrCurve(0.02, usd, "DISCO-USD"); var discoZar = new FlatIrCurve(0.05, zar, "DISCO-ZAR"); var fxpairs = new List <FxPair> { new FxPair { Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd() }, new FxPair { Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd() }, }; var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider); fxMatrix.Init(zar, originDate, new Dictionary <Currency, double> { { usd, 14.0 } }, fxpairs, new Dictionary <Currency, string> { { usd, "DISCO-USD" }, { zar, "DISCO-ZAR" } }); var fModel = new FundingModel(originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider); fModel.SetupFx(fxMatrix); var startModel = new AssetFxModel(originDate, fModel); startModel.AddFixingDictionary("FakeAsset", new FixingDictionary()); startModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider)); startModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00) { AssetId = "FakeAsset", Currency = usd }); var endFModel = fModel.DeepClone(); endFModel.FxMatrix.SpotRates[usd] = 15; var endModel = startModel.Clone(endFModel); endModel.AddFixingDictionary("FakeAsset", new FixingDictionary()); endModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider)); endModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00) { AssetId = "FakeAsset", Currency = usd }); return(startModel, endModel, pf); }
public void FixingsVolsCurvesFacts() { var fModel = new Mock <IFundingModel>(); var matrix = new Mock <IFxMatrix>(); var pair = new FxPair(); var dict = new Mock <IFixingDictionary>(); var surface = new Mock <IVolSurface>(); var surface2 = new Mock <IVolSurface>(); var surfaceFx = new Mock <IVolSurface>(); var curve = new Mock <IPriceCurve>(); curve.Setup(c => c.GetPriceForDate(DateTime.Today)).Returns(456.0); curve.Setup(c => c.GetPriceForFixingDate(DateTime.Today)).Returns(457.0); surface.Setup(s => s.AssetId).Returns("blah"); surface2.Setup(s => s.AssetId).Returns("blah2"); matrix.Setup(f => f.GetFxPair(It.IsAny <string>())).Returns(pair); fModel.Setup(f => f.GetFxRate(It.IsAny <DateTime>(), It.IsAny <Currency>(), It.IsAny <Currency>())).Returns(77.0); fModel.Setup(f => f.FxMatrix).Returns(matrix.Object); fModel.Setup(f => f.VolSurfaces).Returns(new Dictionary <string, IVolSurface> { { "bla/haa", surfaceFx.Object } }); var sut = new AssetFxModel(DateTime.Today, fModel.Object); sut.AddPriceCurve("blah", curve.Object); sut.AddPriceCurves(new Dictionary <string, IPriceCurve> { { "blah2", curve.Object } }); Assert.Same(curve.Object, sut.GetPriceCurve("blah")); Assert.Same(curve.Object, sut.GetPriceCurve("blah2")); sut.AddFixingDictionary("blah", dict.Object); sut.AddFixingDictionaries(new Dictionary <string, IFixingDictionary> { { "blah2", dict.Object } }); Assert.Same(dict.Object, sut.GetFixingDictionary("blah")); Assert.Same(dict.Object, sut.GetFixingDictionary("blah2")); Assert.False(sut.TryGetFixingDictionary("wooo", out var flob)); sut.AddVolSurface("blah", surface.Object); sut.AddVolSurfaces(new Dictionary <string, IVolSurface> { { "blah2", surface2.Object } }); Assert.Same(surface.Object, sut.GetVolSurface("blah")); Assert.Same(surface2.Object, sut.GetVolSurface("blah2")); sut.GetVolForStrikeAndDate("blah", DateTime.Today, 123); surface.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 456), Times.Once); sut.GetVolForDeltaStrikeAndDate("blah", DateTime.Today, 123); surface.Verify(s => s.GetVolForDeltaStrike(123, DateTime.Today, 457.0), Times.Once); sut.GetAverageVolForStrikeAndDates("blah", new[] { DateTime.Today }, 123); surface.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 456), Times.Exactly(2)); sut.GetAverageVolForMoneynessAndDates("blah", new[] { DateTime.Today }, 1.0); surface.Verify(s => s.GetVolForAbsoluteStrike(456, DateTime.Today, 456), Times.Exactly(2)); sut.GetFxVolForStrikeAndDate("bla/haa", DateTime.Today, 123); surfaceFx.Verify(s => s.GetVolForAbsoluteStrike(123, DateTime.Today, 77), Times.Once); sut.GetFxVolForDeltaStrikeAndDate("bla/haa", DateTime.Today, 123); surfaceFx.Verify(s => s.GetVolForDeltaStrike(123, DateTime.Today, 77), Times.Once); sut.OverrideBuildDate(DateTime.MinValue); Assert.Equal(DateTime.MinValue, sut.BuildDate); sut.OverrideBuildDate(DateTime.Today); }