public void Portfolio()
{
var bd = DateTime.Parse("2018-09-13");
var swp = AssetProductFactory.CreateTermAsianSwap(bd, bd.AddYears(1), 100, "AssetX", CalendarProvider.Collection["USD"], bd.AddYears(2), CcyProvider.GetCurrency("USD"));
var pf = new Portfolio()
{
Instruments = new List <IInstrument>()
};
Assert.Empty(PortfolioEx.AssetIds(pf));
pf.Instruments = new List <IInstrument> {
swp
};
Assert.Equal(swp.LastSensitivityDate, pf.LastSensitivityDate);
Assert.Equal("AssetX", PortfolioEx.AssetIds(pf).First());
Assert.Equal(bd.AddYears(2), pf.LastSensitivityDate);
var deets = PortfolioEx.Details(pf);
Assert.Throws <NotImplementedException>(() => pf.TradeId);
Assert.Throws <NotImplementedException>(() => pf.Counterparty);
Assert.Throws <NotImplementedException>(() => pf.Counterparty = null);
}
public void StripCrackedCurveSimple()
{
var buildDate = new DateTime(2018, 07, 28);
string[] periods = { "AUG18" };
double[] strikes = { -10 };
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var bPillars = new[] { buildDate, buildDate.AddDays(100) };
var brentCurve = new PriceCurve(buildDate, bPillars, new[] { 100.0, 100.0 }, PriceCurveType.Linear, TestProviderHelper.CurrencyProvider)
{
AssetId = "Brent"
};
var instruments = periods.Select((p, ix) =>
(IAssetInstrument)AssetProductFactory.CreateTermAsianBasisSwap(p, strikes[ix], "Brent", "Sing180", cal, cal, cal, 0.Bd(), usd, 0.Bd(), 0.Bd(), 1000, 1000 / 6.35))
.ToList();
var pillars = instruments.Select(x => ((AsianBasisSwap)x).RecSwaplets.Max(sq => sq.AverageEndDate)).ToList();
DateTime[] dPillars = { buildDate, buildDate.AddDays(1000) };
double[] dRates = { 0, 0 };
var discountCurve = new IrCurve(dPillars, dRates, buildDate, "zeroDiscount", Interpolator1DType.LinearFlatExtrap, usd);
var s = new Calibrators.NewtonRaphsonAssetBasisCurveSolver(TestProviderHelper.CurrencyProvider);
var curve = s.SolveCurve(instruments, pillars, discountCurve, brentCurve, buildDate, PriceCurveType.Linear);
Assert.Equal((100.0 - 10.0) * 6.35, curve.GetPriceForDate(buildDate));
Assert.Equal((100.0 - 10.0) * 6.35, curve.GetPriceForDate(buildDate.AddDays(50)));
}
private AssetFxMCModel GetSut()
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Interpolator1DType.Linear, usd, "DISCO");
var comCurve = new BasicPriceCurve(buildDate, new[] { buildDate, buildDate.AddDays(15), buildDate.AddDays(100) }, new[] { 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new ConstantVolSurface(buildDate, 0.32)
{
AssetId = "CL"
};
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>(), new List <FxPair>(), new Dictionary <Currency, string> {
{ usd, "DISCO" }
});
fModel.SetupFx(fxM);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
var product = AssetProductFactory.CreateAsianOption(buildDate.AddDays(10), buildDate.AddDays(20), 101, "CL", OptionType.Call, usdCal, buildDate.AddDays(21), usd);
product.TradeId = "waaah";
product.DiscountCurve = "DISCO";
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product
}
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
NumberOfPaths = (int)System.Math.Pow(2, 13),
NumberOfTimesteps = 1,
ReportingCurrency = usd,
Parallelize = false,
CreditSettings = new CreditSettings
{
ExposureDates = new DateTime[] { buildDate.AddDays(5), buildDate.AddDays(20), buildDate.AddDays(22) }
},
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
public void TurboPFETest()
{
var CI = 0.95;
var am = GetModel();
var swap = AssetProductFactory.CreateTermAsianSwap(valDate.AddDays(100), valDate.AddDays(100), assetPrice, "CL", null, valDate.AddDays(101), usd);
swap.DiscountCurve = "USD";
var pfe = swap.QuickPFE(CI, am);
var t = am.BuildDate.CalculateYearFraction(swap.AverageEndDate, Transport.BasicTypes.DayCountBasis.Act365F);
var pfePrice = assetPrice * Exp(-assetVol * assetVol * t / 2.0 + assetVol * Sqrt(t) * Statistics.NormInv(CI));
var expectedPfe = (pfePrice - swap.Strike) * swap.Notional;
Assert.Equal(expectedPfe, pfe, 6);
}
public void StripCrackedCurve()
{
var buildDate = new DateTime(2018, 07, 28);
string[] futures = { "COV8", "COX8", "COZ8", "COF9", "COG9" };
double[] futuresPrices = { 77, 78, 79, 79.5, 79.75 };
string[] periods = { "AUG18", "SEP18", "OCT18", "NOV18" };
double[] strikes = { -10, -11, -12, -13 };
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var bPillars = futures.Select(x => FutureCode.GetExpiryFromCode(x, TestProviderHelper.FutureSettingsProvider)).ToArray();
var brentCurve = new PriceCurve(buildDate, bPillars, futuresPrices, PriceCurveType.ICE, TestProviderHelper.CurrencyProvider, futures)
{
AssetId = "Brent"
};
var instruments = periods.Select((p, ix) =>
(IAssetInstrument)AssetProductFactory.CreateTermAsianBasisSwap(p, strikes[ix], "Brent", "Sing180", cal, cal, cal, 0.Bd(), usd, 0.Bd(), 0.Bd(), 1000, 1000 / 6.35))
.ToList();
var pillars = instruments.Select(x => ((AsianBasisSwap)x).RecSwaplets.Max(sq => sq.AverageEndDate)).ToList();
DateTime[] dPillars = { buildDate, buildDate.AddDays(1000) };
double[] dRates = { 0, 0 };
var discountCurve = new IrCurve(dPillars, dRates, buildDate, "zeroDiscount", Interpolator1DType.LinearFlatExtrap, usd);
var s = new Calibrators.NewtonRaphsonAssetBasisCurveSolver(TestProviderHelper.CurrencyProvider);
if (IsCoverageOnly)
{
s.Tollerance = 1.0;
}
var curve = s.SolveCurve(instruments, pillars, discountCurve, brentCurve, buildDate, PriceCurveType.ICE);
if (!IsCoverageOnly)
{
for (var i = 0; i < instruments.Count; i++)
{
var resultPV = Calibrators.NewtonRaphsonAssetBasisCurveSolver.BasisSwapPv(curve, instruments[i], discountCurve, brentCurve);
Assert.Equal(0, resultPV, 6);
}
}
}
public void QuickPFETest()
{
var CI = 0.95;
var am = GetModel();
var swap = AssetProductFactory.CreateTermAsianSwap(valDate.AddDays(100), valDate.AddDays(100), assetPrice, "CL", null, valDate.AddDays(101), usd);
swap.DiscountCurve = "USD";
var pf = new Portfolio {
Instruments = new List <IInstrument> {
swap
}
};
var pfeCube = QuickPFECalculator.Calculate(am, pf, CI, usd, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var pfe = pfeCube.GetAllRows().Max(x => x.Value);
var t = am.BuildDate.CalculateYearFraction(swap.AverageEndDate, Transport.BasicTypes.DayCountBasis.Act365F);
var pfePrice = assetPrice * Exp(-assetVol * assetVol * t / 2.0 + assetVol * Sqrt(t) * Statistics.NormInv(CI));
var expectedPfe = (pfePrice - swap.Strike) * swap.Notional;
Assert.Equal(expectedPfe, pfe, 6);
}
public void StripCoalSparse()
{
var startDate = new DateTime(2018, 07, 28);
string[] periods = { "AUG18", "SEP18", "Q4-18", "Q1-19", "Q2-19", "H2-19", "CAL-20", "CAL-21" };
double[] strikes = { 100, 99, 98, 97, 96, 95, 94, 93 };
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var xaf = TestProviderHelper.CurrencyProvider["XAF"];
var instruments = periods.Select((p, ix) =>
AssetProductFactory.CreateMonthlyAsianSwap(p, strikes[ix], "coalXXX", cal, cal, 0.Bd(), xaf, TradeDirection.Long, 0.Bd(), 1, DateGenerationType.Fridays)
).ToList();
var pillars = instruments.Select(x => x.Swaplets.Max(sq => sq.AverageEndDate)).ToList();
DateTime[] dPillars = { startDate, startDate.AddDays(1000) };
double[] dRates = { 0, 0 };
var discountCurve = new IrCurve(dPillars, dRates, startDate, "zeroDiscount", Interpolator1DType.LinearFlatExtrap, xaf);
var s = new NewtonRaphsonAssetCurveSolver()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001
};
var curve = s.Solve(instruments, pillars, discountCurve, startDate, TestProviderHelper.CurrencyProvider);
if (!IsCoverageOnly)
{
for (var i = 0; i < instruments.Count; i++)
{
var resultPV = NewtonRaphsonAssetCurveSolver.SwapPv(curve, instruments[i], discountCurve);
Assert.Equal(0, resultPV, 6);
}
}
}
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);
}
private AssetFxMCModel GetSut()
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
var zar = TestProviderHelper.CurrencyProvider["ZAR"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var pair = new FxPair()
{
Domestic = zar, Foreign = usd, PrimaryCalendar = usdCal, SpotLag = 2.Bd()
};
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Interpolator1DType.Linear, usd, "DISCO");
var dates = new[] { buildDate, buildDate.AddDays(32), buildDate.AddDays(60), buildDate.AddDays(90) };
var times = dates.Select(d => buildDate.CalculateYearFraction(d, DayCountBasis.Act365F)).ToArray();
var vols = new[] { 0.32, 0.30, 0.29, 0.28 };
var comCurve = new PriceCurve(buildDate, dates, new[] { 100.0, 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new GridVolSurface(buildDate, new[] { 0.5 }, dates, vols.Select(x => new double[] { x }).ToArray(), StrikeType.ForwardDelta, Interpolator1DType.Linear, Interpolator1DType.LinearInVariance, DayCountBasis.Act365F)
{
AssetId = "CL"
};
var fxSurface = new ConstantVolSurface(buildDate, 0.16)
{
AssetId = "USD/ZAR"
};
var correlVector = new CorrelationTimeVector("CL", "USD/ZAR", _correls, times);
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>()
{
{ zar, 14.0 }
}, new List <FxPair>()
{
pair
}, new Dictionary <Currency, string> {
{ usd, "DISCO" }, { zar, "DISCO" }
});
fModel.SetupFx(fxM);
fModel.VolSurfaces.Add("ZAR/USD", fxSurface);
fModel.VolSurfaces.Add("USD/ZAR", fxSurface);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
aModel.CorrelationMatrix = correlVector;
var product1 = AssetProductFactory.CreateAsianOption(dates[1], dates[1], 1400, "CL", OptionType.Call, usdCal, dates[1], zar);
product1.TradeId = "P1";
product1.DiscountCurve = "DISCO";
product1.FxConversionType = FxConversionType.AverageThenConvert;
var product2 = AssetProductFactory.CreateAsianOption(dates[2], dates[2], 1400, "CL", OptionType.Call, usdCal, dates[2], zar);
product2.TradeId = "P2";
product2.DiscountCurve = "DISCO";
product2.FxConversionType = FxConversionType.AverageThenConvert;
var product3 = AssetProductFactory.CreateAsianOption(dates[3], dates[3], 1400, "CL", OptionType.Call, usdCal, dates[3], zar);
product3.TradeId = "P3";
product3.DiscountCurve = "DISCO";
product3.FxConversionType = FxConversionType.AverageThenConvert;
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product1, product2, product3
}
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
NumberOfPaths = (int)2.0.IntPow(15),
NumberOfTimesteps = 1,
ReportingCurrency = zar,
Parallelize = false,
LocalCorrelation = true,
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
public void FxDeltaOnUSDTrade()
{
ParallelUtils.Instance.MultiThreaded = false;
var startDate = new DateTime(2018, 07, 28);
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var zar = TestProviderHelper.CurrencyProvider["ZAR"];
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 PriceCurve(startDate, curvePillarDates, curvePoints, PriceCurveType.LME, TestProviderHelper.CurrencyProvider, curvePillars)
{
Currency = usd,
CollateralSpec = "CURVE",
Name = "Coconuts"
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var fxSpot = 15;
var rates = new Dictionary <Currency, double> {
{ zar, fxSpot }
};
var discoMap = new Dictionary <Currency, string> {
{ zar, "ZAR.CURVE" }, { usd, "USD.CURVE" }
};
var fxPair = new FxPair()
{
Domestic = usd,
Foreign = zar,
SettlementCalendar = cal,
SpotLag = new Frequency("0b")
};
fxMatrix.Init(usd, startDate, rates, new List <FxPair> {
fxPair
}, discoMap);
var irPillars = new[] { startDate, startDate.AddYears(10) };
var zarRates = new[] { 0.0, 0.0 };
var usdRates = new[] { 0.0, 0.0 };
var zarCurve = new IrCurve(irPillars, zarRates, startDate, "ZAR.CURVE", Interpolator1DType.Linear, zar, "CURVE");
var usdCurve = new IrCurve(irPillars, usdRates, startDate, "USD.CURVE", Interpolator1DType.Linear, usd, "CURVE");
var fModel = new FundingModel(startDate, new[] { zarCurve, 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, zar);
var assetFwd = curve.GetAveragePriceForDates(fixingDates);
var fairStrike = assetFwd;
var strike = fairStrike - 10;
var nominal = 1000;
var asianSwap = AssetProductFactory.CreateMonthlyAsianSwap(periodCode, strike, "Coconuts", cal, cal, new Frequency("5b"), usd, TradeDirection.Long, new Frequency("0b"), nominal, DateGenerationType.BusinessDays);
asianSwap.TradeId = "aLovelyBunch";
foreach (var sw in asianSwap.Swaplets)
{
sw.DiscountCurve = "USD.CURVE";
sw.FxConversionType = FxConversionType.None;
}
var pv = asianSwap.PV(aModel, false);
var expectedPV = (fairStrike - strike) * nominal;
Assert.Equal(expectedPV, pv, 8);
var portfolio = new Portfolio()
{
Instruments = new List <IInstrument> {
asianSwap
}
};
var pfPvCube = portfolio.PV(aModel, usd);
var pfPv = (double)pfPvCube.GetAllRows().First().Value;
Assert.Equal(expectedPV, pfPv, 8);
//expected fx delta is just PV in USD
var deltaCube = portfolio.FxDelta(aModel, zar, TestProviderHelper.CurrencyProvider);
var dAgg = deltaCube.Pivot("TradeId", AggregationAction.Sum);
var delta = (double)dAgg.GetAllRows().First().Value;
Assert.Equal(expectedPV, delta, 4);
}
