public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precedence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new BondStreamAnalytic();
}
var streamControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation streamValuation;
// 2. Now evaluate only the child specific metrics (if any)
foreach (var coupon in Coupons)
{
coupon.PricingStructureEvolutionType = PricingStructureEvolutionType;
coupon.BucketedDates = BucketedDates;
coupon.Multiplier = Multiplier;
}
var childControllers = new List <InstrumentControllerBase>(Coupons.ToArray());
//Now the stream analytics can be completed.
var childValuations = EvaluateChildMetrics(childControllers, modelData, Metrics);
var couponValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);
var childControllerValuations = new List <AssetValuation> {
couponValuation
};
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (streamControllerMetrics.Count > 0)
{
var reportingCurrency = ModelData.ReportingCurrency == null ? Currency : ModelData.ReportingCurrency.Value;
var notionals = GetCouponNotionals();
var accrualFactors = GetCouponAccrualFactors();
var discountFactors = GetPaymentDiscountFactors();
var floatingNPV = AggregateMetric(InstrumentMetrics.FloatingNPV, childControllerValuations);
var accrualFactor = AggregateMetric(InstrumentMetrics.AccrualFactor, childControllerValuations);
//TODO need to set the notional amount and the weighting. Also amortisation??
IBondStreamParameters analyticModelParameters = new BondStreamParameters
{
Multiplier = Multiplier,
CouponNotionals = notionals,
Currency = Currency,
ReportingCurrency = reportingCurrency,
AccrualFactor = accrualFactor,
FloatingNPV = floatingNPV,
NPV = AggregateMetric(InstrumentMetrics.NPV, childControllerValuations),
CouponYearFractions = accrualFactors,
PaymentDiscountFactors = discountFactors,
TargetNPV = floatingNPV
};
CalculationResults = AnalyticsModel.Calculate <IBondStreamInstrumentResults, BondStreamInstrumentResults>(analyticModelParameters, streamControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var streamControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
streamValuation = AssetValuationHelper.UpdateValuation(streamControllerValuation,
childControllerValuations, ConvertMetrics(streamControllerMetrics), new List <string>(Metrics), PaymentCurrencies);
AnalyticModelParameters = analyticModelParameters;
}
else
{
streamValuation = AssetValuationHelper.AggregateMetrics(childControllerValuations, new List <string>(Metrics), PaymentCurrencies);
}
CalculationPerformedIndicator = true;
streamValuation.id = Id;
return(streamValuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new SimpleIRSwaptionInstrumentAnalytic();
}
var swaptionControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.BreakEvenRate.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.BreakEvenRate.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
ModelData.AssetValuation.quote = quotes.ToArray();
AssetValuation swaptionValuation;
//Sets the evolution type for calculations.
Swap.PricingStructureEvolutionType = PricingStructureEvolutionType;
Swap.BucketedDates = BucketedDates;
if (PremiumPayments != null)
{
foreach (var payment in PremiumPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
}
}
//The assetValuation list.
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
if (PremiumPayments != null)
{
var paymentControllers = new List <InstrumentControllerBase>(PremiumPayments);
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
var swapMetrics = Swap.Calculate(modelData);
//We assume the fixed leg is always the first leg!
var fixedLeg = Swap.GetLegs()[0].Calculate(modelData);
var breakEvenRate = AssetValuationHelper.GetQuotationByMeasureType(swapMetrics, InstrumentMetrics.BreakEvenRate.ToString()).value;
var timeToIndex = (Swap.EffectiveDate - ModelData.ValuationDate).Days / 365.0;
//This is European only.
var expiryTime = (ExerciseDates[0] - ModelData.ValuationDate).Days / 365.0;
IVolatilitySurface indexVolSurface = null;
if (modelData.MarketEnvironment is ISwapLegEnvironment streamMarket1)
{
indexVolSurface = streamMarket1.GetVolatilitySurface();
indexVolSurface.PricingStructureEvolutionType = PricingStructureEvolutionType;
VolatilitySurfaceName = indexVolSurface.GetPricingStructureId().UniqueIdentifier;
}
else
{
if (!string.IsNullOrEmpty(VolatilitySurfaceName))
{
indexVolSurface = (IVolatilitySurface)modelData.MarketEnvironment.GetPricingStructure(VolatilitySurfaceName);
}
}
//Calculate the delta
var delta = SimpleIRSwaptionInstrumentAnalytic.CalculateOptionDelta(IsCall, breakEvenRate, StrikeRate, expiryTime, timeToIndex, indexVolSurface);
//Set the multiplier using the delta of the option.
//Multiplier = delta;?
Swap.Multiplier = System.Math.Abs(delta);
//New function that converts the metrics by multiplying be the delta.
var swapCalculations = Swap.Calculate(modelData);
//childValuations.Add(swapCalculations);
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies); // modelData.ValuationDate);
var streamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(fixedLeg, InstrumentMetrics.AccrualFactor.ToString()); //TODO This is not correct!
var npv = AssetValuationHelper.GetQuotationByMeasureType(childControllerValuations, InstrumentMetrics.NPV.ToString());
childValuations.Add(swapCalculations);
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swaptionControllerMetrics.Count > 0)
{
//Get the market data.
IFxCurve fxCurve = null;
ISwaptionInstrumentParameters analyticModelParameters = new SwaptionInstrumentParameters
{
IsBought = IsBasePartyBuyer,
IsCall = IsCall,
SwapAccrualFactor = System.Math.Abs(streamAccrualFactor.value),
Strike = StrikeRate,
OtherNPV = npv.value,
TimeToExpiry = (decimal)expiryTime,
SwapBreakEvenRate = breakEvenRate,
//OtherNPV =
};
// Curve Related
if (modelData.MarketEnvironment is ISwapLegEnvironment streamMarket)
{
analyticModelParameters.VolatilitySurface = indexVolSurface;
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrencies[0])//This is an interest rate swap and so only has one currency.
{
fxCurve = streamMarket.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
}
}
}
var analyticsModel = new SimpleIRSwaptionInstrumentAnalytic(ModelData.ValuationDate, (decimal)timeToIndex,
StrikeRate, fxCurve, indexVolSurface);
AnalyticsModel = analyticsModel;
Volatility = analyticsModel.Volatility;
AnalyticModelParameters = analyticModelParameters;
CalculationResults = AnalyticsModel.Calculate <ISwaptionInstrumentResults, SwaptionInstrumentResults>(analyticModelParameters, swaptionControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
//childValuations.Add(swapControllerValuation);
childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
swaptionValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swaptionControllerMetrics), new List <string>(Metrics));
//swaptionValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List<string>(Metrics), modelData.ValuationDate);
}
else
{
swaptionValuation = childControllerValuations;
}
CalculationPerfomedIndicator = true;
swaptionValuation.id = Id;
return(swaptionValuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new SimpleXccySwapInstrumentAnalytic();
}
var swapControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation swapValuation;
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
ModelData.AssetValuation.quote = quotes.ToArray();
//Sets the evolution type for calculations.
foreach (var leg in Legs)
{
leg.PricingStructureEvolutionType = PricingStructureEvolutionType;
leg.BucketedDates = BucketedDates;
leg.Multiplier = Multiplier;
}
if (AdditionalPayments != null)
{
foreach (var payment in AdditionalPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
}
var legControllers = new List <InstrumentControllerBase> {
PayLeg, ReceiveLeg
};
//The assetValuation list.
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
if (modelData.MarketEnvironment is ISwapLegEnvironment)
{
var market = (SwapLegEnvironment)modelData.MarketEnvironment;
IRateCurve discountCurve = null;
IRateCurve forecastCurve = null;
IFxCurve currencyCurve = null;
foreach (var leg in legControllers)
{
var stream = (PriceableInterestRateStream)leg;
if (modelData.ReportingCurrency == null)
{
modelData.ReportingCurrency = stream.Currency;
}
if (stream.DiscountCurveName != null)
{
discountCurve = market.GetDiscountRateCurve();
}
if (stream.ForecastCurveName != null)
{
forecastCurve = market.GetForecastRateCurve();
}
if (modelData.ReportingCurrency.Value != stream.Currency.Value)
{
//stream.ReportingCurrencyFxCurveName =
// MarketEnvironmentHelper.ResolveFxCurveNames(stream.Currency.Value, modelData.ReportingCurrency.Value);
currencyCurve = market.GetReportingCurrencyFxCurve();
}
modelData.MarketEnvironment = MarketEnvironmentHelper.CreateInterestRateStreamEnvironment(modelData.ValuationDate, discountCurve, forecastCurve, currencyCurve);
childValuations.Add(leg.Calculate(modelData));
}
if (GetAdditionalPayments() != null)
{
var paymentControllers = new List <InstrumentControllerBase>(GetAdditionalPayments());
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
}
else
{
childValuations = EvaluateChildMetrics(legControllers, modelData, Metrics);
}
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
childControllerValuations.id = Id + ".InterestRateStreams";
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swapControllerMetrics.Count > 0)
{
//TODO need to fix this calculation.
var payStreamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.AccrualFactor.ToString()); //AggregateMetric(InstrumentMetrics.AccrualFactor, childValuations);
var payStreamNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.NPV.ToString()); //AggregateMetric(InstrumentMetrics.NPV, childValuations);
var payStreamFloatingNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.FloatingNPV.ToString()); //AggregateMetric(InstrumentMetrics.FloatingNPV, childValuations);
var receiveStreamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.AccrualFactor.ToString()); //AggregateMetric(InstrumentMetrics.AccrualFactor, childValuations);
var receiveStreamNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.NPV.ToString()); //AggregateMetric(InstrumentMetrics.NPV, childValuations);
var receiveStreamFloatingNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[1], InstrumentMetrics.FloatingNPV.ToString());
IIRSwapInstrumentParameters analyticModelParameters = new SwapInstrumentParameters
{
IsPayFixedInd = true,
PayStreamAccrualFactor = payStreamAccrualFactor.value,
PayStreamFloatingNPV = payStreamFloatingNPV.value,
PayStreamNPV = payStreamNPV.value,
ReceiveStreamFloatingNPV = receiveStreamFloatingNPV.value,
ReceiveStreamNPV = receiveStreamNPV.value,
ReceiveStreamAccrualFactor = receiveStreamAccrualFactor.value,
NPV = payStreamNPV.value + receiveStreamNPV.value
};
CalculationResults = AnalyticsModel.Calculate <IIRSwapInstrumentResults, SwapInstrumentResults>(analyticModelParameters, swapControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
swapValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swapControllerMetrics), new List <string>(Metrics));
}
else
{
swapValuation = childControllerValuations;
}
CalculationPerfomedIndicator = true;
swapValuation.id = Id;
return(swapValuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precedence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new TermDepositInstrumentAnalytic();
}
var termDepositControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
//Allows the evolution type to be modified pre-calculation.
//Set the children
foreach (var cashflow in GetChildren())
{
if (cashflow is PriceableCashflow priceableCashflow)
{
priceableCashflow.BucketedDates = BucketedDates;
priceableCashflow.PricingStructureEvolutionType = PricingStructureEvolutionType;
priceableCashflow.Multiplier = Multiplier;
}
}
var childControllers = new List <InstrumentControllerBase>(GetChildren());
//The assetValuation list.
ChildValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
ChildValuations = EvaluateChildMetrics(childControllers, modelData, Metrics);
var childControllerValuations = AssetValuationHelper.AggregateMetrics(ChildValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
childControllerValuations.id = Id + ".Cashflows";
AssetValuation depositValuation;
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (termDepositControllerMetrics.Count > 0)
{
var reportingCurrency = ModelData.ReportingCurrency == null
? Currency.Value
: ModelData.ReportingCurrency.Value;
var marketQuote = FixedRate;
ITermDepositInstrumentParameters analyticModelParameters = new TermDepositInstrumentParameters
{
Multiplier = Multiplier,
Currency = Currency.Value,
ReportingCurrency = reportingCurrency,
BreakEvenRate = InterestAmount.CalculationResults.ImpliedQuote,
MarketQuote = marketQuote
};
CalculationResults = AnalyticsModel.Calculate <ITermDepositInstrumentResults, TermDepositInstrumentResults>(analyticModelParameters, termDepositControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var streamControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
depositValuation = AssetValuationHelper.UpdateValuation(streamControllerValuation,
ChildValuations, ConvertMetrics(termDepositControllerMetrics), new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
}
else
{
depositValuation = childControllerValuations;
}
CalculationPerformedIndicator = true;
depositValuation.id = Id;
return(depositValuation);
}
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new FxLegAnalytic();
}
AssetValuation streamValuation;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
var streamControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var childValuations = new List <AssetValuation>();
foreach (var payment in Payments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
if (modelData.MarketEnvironment is IFxLegEnvironment marketEnvironment)//TODO need to look at PricingStructureEvolutionType.
{
//Modify the second market.
var curveName1 = marketEnvironment.GetExchangeCurrencyPaymentEnvironment1();
var modelData1 = new InstrumentControllerData(modelData.AssetValuation, curveName1,
modelData.ValuationDate, modelData.ReportingCurrency);
var curveName2 = marketEnvironment.GetExchangeCurrencyPaymentEnvironment2();
var modelData2 = new InstrumentControllerData(modelData.AssetValuation, curveName2,
modelData.ValuationDate, modelData.ReportingCurrency);
childValuations.Add(Currency1Payment.Calculate(modelData1));
childValuations.Add(Currency2Payment.Calculate(modelData2));
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
if (delta0PDH)
{
//Force building of the risk curves.
//market.SearchForPerturbedPricingStructures(FxIndexCurveName, "delta0PDH");//TODO Need to add this perturbation to fxCurve.
}
if (delta1PDH)
{
//Force building of the risk curves.
market.SearchForPerturbedPricingStructures(Currency1DiscountCurveName, "delta1PDH");
market.SearchForPerturbedPricingStructures(Currency2DiscountCurveName, "delta1PDH");
}
//This defines the cross cureves from the payment currency to the reporting
//currency for each leg of the fx trade.
//
if (modelData.ReportingCurrency.Value != Currency1.Value)
{
ReportingCurrencyFxCurveName1 =
MarketEnvironmentHelper.ResolveFxCurveNames(Currency1.Value,
modelData.ReportingCurrency.Value);
}
if (modelData.ReportingCurrency.Value != Currency2.Value)
{
ReportingCurrencyFxCurveName2 =
MarketEnvironmentHelper.ResolveFxCurveNames(Currency2.Value,
modelData.ReportingCurrency.Value);
}
childValuations.Add(Currency1Payment.Calculate(modelData));
childValuations.Add(Currency2Payment.Calculate(modelData));
}
var paymentValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);
var childControllerValuations = new List <AssetValuation> {
paymentValuation
};
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (streamControllerMetrics.Count > 0)
{
var rate = ExchangeRate.rate;
if (modelData.MarketEnvironment is MarketEnvironment market)
{
var fxCurve = (IFxCurve)market.SearchForPricingStructureType(FxIndexCurveName);
if (HybridValuation)
{
var curve1 = (IRateCurve)market.SearchForPricingStructureType(Currency1DiscountCurveName);
var curve2 = (IRateCurve)market.SearchForPricingStructureType(Currency2DiscountCurveName);
var flag = ExchangeRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency2PerCurrency1;
AnalyticsModel = new FxLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve, curve1,
curve2, flag);
}
else
{
AnalyticsModel = new FxLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve);
}
}
IFxLegParameters analyticModelParameters = new FxLegParameters
{
Multiplier = Multiplier,
MarketQuote = rate,
};
CalculationResults =
AnalyticsModel.Calculate <IFxLegInstrumentResults, FxLegInstrumentResults>(
analyticModelParameters, streamControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var streamControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
streamValuation = AssetValuationHelper.UpdateValuation(streamControllerValuation,
childControllerValuations,
ConvertMetrics(streamControllerMetrics),
new List <string>(Metrics), PaymentCurrencies);
}
else
{
streamValuation = paymentValuation;
}
CalculationPerfomedIndicator = true;
streamValuation.id = Id;
return(streamValuation);
}
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precedence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new BondTransactionAnalytic();
}
var bondControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation bondValuation;
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
ModelData.AssetValuation.quote = quotes.ToArray();
var marketEnvironment = modelData.MarketEnvironment;
IRateCurve rateDiscountCurve = null;
//2. Sets the evolution type for coupon and payment calculations.
Coupons.PricingStructureEvolutionType = PricingStructureEvolutionType;
Coupons.BucketedDates = BucketedDates;
Coupons.Multiplier = Multiplier;
if (AdditionalPayments != null)
{
foreach (var payment in AdditionalPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
}
//3. Aggregate the child metrics.
List <AssetValuation> childValuations = new List <AssetValuation> {
Coupons?.Calculate(modelData)
};
if (GetAdditionalPayments() != null)
{
var paymentControllers = new List <InstrumentControllerBase>(GetAdditionalPayments());
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);
childControllerValuations.id = Id + ".BondCouponRateStreams";
//4. Calc the asset as a little extra
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var metricsAsString = metrics.Select(metric => metric.ToString()).ToList();
var controllerData = PriceableAssetFactory.CreateAssetControllerData(metricsAsString.ToArray(), modelData.ValuationDate, modelData.MarketEnvironment);
UnderlyingBond.Multiplier = Multiplier;
UnderlyingBond.Calculate(controllerData);
//5. Now do the bond calculations.
if (bondControllerMetrics.Count > 0)
{
CalculationResults = new BondTransactionResults();
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
var bondCurve = (IBondCurve)modelData.MarketEnvironment.GetPricingStructure(BondCurveName);
if (bondCurve != null)
{
var marketDataType =
bondCurve.GetPricingStructureId().Properties.GetValue <string>(AssetMeasureEnum.MarketQuote.ToString(), false);
if (marketDataType != null && marketDataType == BondPriceEnum.YieldToMaturity.ToString())
{
IsYTMQuote = true;
}
//TODO handle the other cases like: AssetSwapSpread; DirtyPrice and ZSpread.
var mq = (decimal)bondCurve.GetYieldToMaturity(modelData.ValuationDate, SettlementDate);
Quote = BasicQuotationHelper.Create(mq, AssetMeasureEnum.MarketQuote.ToString(),
PriceQuoteUnitsEnum.DecimalRate.ToString());
}
rateDiscountCurve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(DiscountCurveName);
}
//Generate the vectors
const bool isBuyerInd = true;
var analyticModelParameters = new BondTransactionParameters
{
IsBuyerInd = isBuyerInd,
AccrualYearFractions = GetCouponAccrualFactors(),
Multiplier = Multiplier,
Quote = QuoteValue,
CouponRate = UnderlyingBond.GetCouponRate(),
NotionalAmount = UnderlyingBond.Notional,
Frequency = UnderlyingBond.Frequency,
IsYTMQuote = IsYTMQuote,
AccruedFactor = UnderlyingBond.GetAccruedFactor(),
RemainingAccruedFactor = UnderlyingBond.GetRemainingAccruedFactor(),
PaymentDiscountFactors =
GetDiscountFactors(rateDiscountCurve, Coupons.StreamPaymentDates.ToArray(), modelData.ValuationDate),
};
//5. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.PaymentDiscountFactors.Length);
//6. Set the analytic input parameters and Calculate the respective metrics
AnalyticModelParameters = analyticModelParameters;
CalculationResults = AnalyticsModel.Calculate <IBondTransactionResults, BondTransactionResults>(analyticModelParameters, metrics.ToArray());
// Now merge back into the overall stream valuation
var bondControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
bondValuation = AssetValuationHelper.UpdateValuation(bondControllerValuation,
childControllerValuations, ConvertMetrics(bondControllerMetrics), new List <string>(Metrics));
}
else
{
bondValuation = childControllerValuations;
}
// store inputs and results from this run
CalculationPerformedIndicator = true;
bondValuation.id = Id;
return(bondValuation);
}
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new FxOptionLegAnalytic();
}
var marketEnvironment = modelData.MarketEnvironment as IFxLegEnvironment;
AssetValuation streamValuation;
//Check if risk calc are required.
bool delta0PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta0PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta0PDH.ToString()) != null;
bool delta1PDH = AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyDelta1PDH.ToString()) != null ||
AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.Delta1PDH.ToString()) != null;
var streamControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
foreach (var payment in FxLeg.Payments)
{
payment.Multiplier = Multiplier;
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
}
foreach (var premium in Premia)
{
premium.Multiplier = 1.0m;
premium.PricingStructureEvolutionType = PricingStructureEvolutionType;
premium.BucketedDates = BucketedDates;
}
if (marketEnvironment != null)
{
//Modify the second market.
var modelData1 = new InstrumentControllerData(modelData.AssetValuation,
marketEnvironment.GetExchangeCurrencyPaymentEnvironment1(),
modelData.ValuationDate, modelData.ReportingCurrency);
var modelData2 = new InstrumentControllerData(modelData.AssetValuation,
marketEnvironment.GetExchangeCurrencyPaymentEnvironment2(),
modelData.ValuationDate, modelData.ReportingCurrency);
childValuations.Add(Currency1Payment.Calculate(modelData1));
childValuations.Add(Currency2Payment.Calculate(modelData2));
childValuations.AddRange(Premia.Select(premium => premium.Calculate(modelData2)));
}
else if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
var market = (MarketEnvironment)modelData.MarketEnvironment;
if (delta0PDH)
{
// //Force building of the risk curves.
// market.SearchForPerturbedPricingStructures(FxIndexCurveName, "delta0PDH");//TODO Need to add this perturbation to fxCurve.
}
if (delta1PDH)
{
//Force building of the risk curves.
market.SearchForPerturbedPricingStructures(FxLeg.Currency1DiscountCurveName, "delta1PDH");
market.SearchForPerturbedPricingStructures(FxLeg.Currency2DiscountCurveName, "delta1PDH");
}
childValuations = EvaluateChildMetrics(GetChildren().ToList(), modelData, Metrics);
//childValuations.Add(Currency1Payment.Calculate(modelData));
}
var paymentValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
var childControllerValuations = new List <AssetValuation> {
paymentValuation
};
TimeToExpiry = GetPaymentYearFraction(ModelData.ValuationDate, ExpiryDate);
var volatilityCurveNodeTime = GetPaymentYearFraction(ModelData.ValuationDate, ValueDate);
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (streamControllerMetrics.Count > 0)
{
if (modelData.MarketEnvironment is MarketEnvironment market)
{
var fxCurve = (IFxCurve)market.SearchForPricingStructureType(FxLeg.FxIndexCurveName);
var indexSurface = (IVolatilitySurface)market.SearchForPricingStructureType(VolatilitySurfaceName);
if (HybridValuation)
{
var curve1 = (IRateCurve)market.SearchForPricingStructureType(FxLeg.Currency1DiscountCurveName);
var curve2 = (IRateCurve)market.SearchForPricingStructureType(FxLeg.Currency2DiscountCurveName);
var flag = FxLeg.ExchangeRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency2PerCurrency1;
AnalyticsModel = new FxOptionLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve, curve1,
curve2, flag, FxStrike, TimeToExpiry, volatilityCurveNodeTime, indexSurface, FxOptionType);
}
else
{
AnalyticsModel = new FxOptionLegAnalytic(modelData.ValuationDate, RiskMaturityDate, fxCurve, FxStrike, TimeToExpiry, volatilityCurveNodeTime, indexSurface, FxOptionType);
}
}
decimal?premium = null;
if (Premia.Count > 1)
{
premium = Premia[0].PaymentAmount.amount; // We assume only a single premium in the basic case.
}
IFxOptionLegParameters analyticModelParameters = new FxOptionLegParameters
{
Premium = premium,
};
CalculationResults =
AnalyticsModel.Calculate <IFxOptionLegInstrumentResults, FxOptionLegInstrumentResults>(
analyticModelParameters, streamControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var streamControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
streamValuation = AssetValuationHelper.UpdateValuation(streamControllerValuation,
childControllerValuations,
ConvertMetrics(streamControllerMetrics),
new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
}
else
{
streamValuation = paymentValuation;
}
CalculationPerformedIndicator = true;
streamValuation.id = Id;
return(streamValuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precedence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new FxSwapAnalytic();
}
var swapControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation swapValuation;
//Sets the evolution type for calculations.
foreach (var leg in Legs)
{
leg.PricingStructureEvolutionType = PricingStructureEvolutionType;
leg.BucketedDates = BucketedDates;
leg.Multiplier = Multiplier;
}
var legControllers = new List <InstrumentControllerBase>(GetLegs());
//The assetValuation list.
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
if (modelData.MarketEnvironment.GetType() == typeof(MarketEnvironment))
{
childValuations.AddRange(legControllers.Select(leg => leg.Calculate(modelData)));
}
else
{
childValuations = EvaluateChildMetrics(legControllers, modelData, Metrics);
}
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
childControllerValuations.id = Id + ".FxLeg";
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swapControllerMetrics.Count > 0)
{
IFxSwapParameters analyticModelParameters = new FxSwapParameters
{
Multiplier = Multiplier,
//AccrualFactor = AggregateCouponMetric(InstrumentMetrics.AccrualFactor),
//FloatingNPV = AggregateCouponMetric(InstrumentMetrics.FloatingNPV),
//NPV = AggregateCouponMetric(InstrumentMetrics.NPV)
};
CalculationResults = AnalyticsModel.Calculate <IFxSwapInstrumentResults, FxSwapInstrumentResults>(analyticModelParameters, swapControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
swapValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swapControllerMetrics), new List <string>(Metrics));
}
else
{
swapValuation = childControllerValuations;
}
CalculationPerformedIndicator = true;
swapValuation.id = Id;
return(swapValuation);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new CapFloorInstrumentAnalytic();
}
var swapControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation swapValuation;
//Sets the evolution type for calculations.
CapFloorLeg.PricingStructureEvolutionType = PricingStructureEvolutionType;
CapFloorLeg.BucketedDates = BucketedDates;
CapFloorLeg.Multiplier = Multiplier;
if (AdditionalPayments != null)
{
foreach (var payment in AdditionalPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
}
//The assetValuation list.
var childValuations = new List <AssetValuation> {
CapFloorLeg.Calculate(modelData)
};
// 2. Now evaluate only the child specific metrics (if any)
if (GetAdditionalPayments() != null)
{
var paymentControllers = new List <InstrumentControllerBase>(GetAdditionalPayments());
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
childControllerValuations.id = Id + ".CapFloorStreams";
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swapControllerMetrics.Count > 0)
{
//Generate the vectors
var streamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.AccrualFactor.ToString());
var streamFloatingNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.FloatingNPV.ToString());
var streamNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.NPV.ToString());
IIRSwapInstrumentParameters analyticModelParameters = new SwapInstrumentParameters
{
AccrualFactor = streamAccrualFactor.value,
FloatingNPV = streamFloatingNPV.value,
NPV = streamNPV.value
//, MarketQuote = MarketQuote.
};
AnalyticModelParameters = analyticModelParameters;
CalculationResults = AnalyticsModel.Calculate <IIRSwapInstrumentResults, SwapInstrumentResults>(analyticModelParameters, swapControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
swapValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swapControllerMetrics), new List <string>(Metrics));
}
else
{
swapValuation = childControllerValuations;
}
CalculationPerfomedIndicator = true;
swapValuation.id = Id;
return(swapValuation);
}
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new CapFloorStreamAnalytic();
}
var streamControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation streamValuation;
// 2. Now evaluate only the child specific metrics (if any)
foreach (var coupon in Coupons)
{
coupon.PricingStructureEvolutionType = PricingStructureEvolutionType;
coupon.BucketedDates = BucketedDates;
coupon.Multiplier = 1.0m;//TODO this will have to be fixed eventually.
}
var childControllers = new List <InstrumentControllerBase>(Coupons.ToArray());
//Add the extra metrics required
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.AccrualFactor.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.AccrualFactor.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.FloatingNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.FloatingNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.NPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.NPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyNPV.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyNPV.ToString(), "DecimalValue");
quotes.Add(quote);
}
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.LocalCurrencyExpectedValue.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.LocalCurrencyExpectedValue.ToString(), "DecimalValue");
quotes.Add(quote);
}
ModelData.AssetValuation.quote = quotes.ToArray();
var childValuations = EvaluateChildMetrics(childControllers, modelData, Metrics);
var couponValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
var childControllerValuations = new List <AssetValuation> {
couponValuation
};
if (Exchanges != null && Exchanges.Count > 0)
{
foreach (var exchange in Exchanges)
{
exchange.PricingStructureEvolutionType = PricingStructureEvolutionType;
exchange.BucketedDates = BucketedDates;
exchange.Multiplier = 1.0m;//TODO this will have to be fixed eventually.
}
// Roll-Up and merge child valuations into parent Valuation
var childPrincipalControllers = new List <InstrumentControllerBase>(Exchanges.ToArray());
var childPrincipalValuations = EvaluateChildMetrics(childPrincipalControllers, modelData, Metrics);
var principalValuation = AssetValuationHelper.AggregateMetrics(childPrincipalValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
childControllerValuations.Add(principalValuation);
}
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (streamControllerMetrics.Count > 0)
{
var reportingCurrency = ModelData.ReportingCurrency == null
? Currency.Value
: ModelData.ReportingCurrency.Value;
ICapFloorStreamParameters analyticModelParameters = new CapFloorStreamParameters
{
Multiplier = 1.0m,
Currency = Currency.Value,
ReportingCurrency = reportingCurrency,
AccrualFactor = AggregateMetric(InstrumentMetrics.AccrualFactor, childControllerValuations),
FloatingNPV = AggregateMetric(InstrumentMetrics.FloatingNPV, childControllerValuations),
NPV = AggregateMetric(InstrumentMetrics.NPV, childControllerValuations) //,
};
CalculationResults = AnalyticsModel.Calculate <ICapFloorStreamInstrumentResults, CapFloorStreamInstrumentResults>(analyticModelParameters, streamControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var streamControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
streamValuation = AssetValuationHelper.UpdateValuation(streamControllerValuation,
childControllerValuations, ConvertMetrics(streamControllerMetrics), new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
}
else
{
streamValuation = AssetValuationHelper.AggregateMetrics(childControllerValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
}
CalculationPerfomedIndicator = true;
streamValuation.id = Id;
return(streamValuation);
}
