public void CanStripCurve_FedFunds()
{
var i = new FloatRateIndex()
{
Currency = TestProviderHelper.CurrencyProvider.GetCurrency("USD"),
DayCountBasis = DayCountBasis.Act360,
FixingOffset = 0.Bd(),
HolidayCalendars = TestProviderHelper.CalendarProvider.Collection["NYC+LON"],
ResetTenor = 1.Months(),
RollConvention = RollType.MF
};
var indices = new Dictionary <string, FloatRateIndex> {
{ "FF", i }
};
var curves = new Dictionary <string, string> {
{ "FF", "USD.OIS.1B" }
};
var curve = CMEModelBuilder.GetCurveForCode("41", FilenameCBOT, "FF", "USD.OIS.1B", indices, curves, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
Assert.Equal(1.0, curve.GetDf(new DateTime(2020, 12, 18), new DateTime(2020, 12, 18)));
}
public void CanStripCurve_ZarBasis()
{
var i = new FloatRateIndex()
{
Currency = TestProviderHelper.CurrencyProvider.GetCurrency("USD"),
DayCountBasis = DayCountBasis.Act360,
FixingOffset = 2.Bd(),
HolidayCalendars = TestProviderHelper.CalendarProvider.Collection["NYC+LON"],
ResetTenor = 3.Months(),
RollConvention = RollType.MF
};
var indices = new Dictionary <string, FloatRateIndex> {
{ "ED", i }
};
var curves = new Dictionary <string, string> {
{ "ED", "USD.LIBOR.3M" }
};
var usdCurve = CMEModelBuilder.GetCurveForCode("ED", FilenameCME, "ED", "USD.LIBOR.3M", indices, curves, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var zarCurve = CMEModelBuilder.StripFxBasisCurve(FilenameCMEFwdsXml, "USDZAR", zar, "ZAR.BASIS", new DateTime(2020, 06, 18), usdCurve);
Assert.Equal(1.0, zarCurve.GetDf(new DateTime(2020, 12, 18), new DateTime(2020, 12, 18)));
}
public AssetFxModel BuildModel(DateTime valDate, ModelBuilderSpec spec, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var indices = spec.RateIndices.ToDictionary(x => x.Key, x => new FloatRateIndex(x.Value, calendarProvider, currencyProvider));
var fxPairs = spec.FxPairs.Select(x => new FxPair(x, currencyProvider, calendarProvider)).ToList();
var priceCurves = new List <IPriceCurve>();
var surfaces = new List <IVolSurface>();
var fxSurfaces = new List <IVolSurface>();
foreach (var c in spec.NymexSpecs)
{
var curve = NYMEXModelBuilder.GetCurveForCode(c.NymexCodeFuture, Path.Combine(_filepath, FilenameNymexFuture), c.QwackCode, futureSettingsProvider, currencyProvider);
priceCurves.Add(curve);
if (!string.IsNullOrWhiteSpace(c.NymexCodeOption))
{
var surface = NYMEXModelBuilder.GetSurfaceForCode(c.NymexCodeOption, Path.Combine(_filepath, FilenameNymexOption), c.QwackCode, curve, calendarProvider, currencyProvider, futureSettingsProvider);
surface.AssetId = c.QwackCode;
surfaces.Add(surface);
}
}
var irCurves = new Dictionary <string, IrCurve>();
foreach (var c in spec.CmeBaseCurveSpecs)
{
var ixForThis = new Dictionary <string, FloatRateIndex> {
{ c.QwackCode, indices[c.FloatRateIndex] }
};
var curve = CMEModelBuilder.GetCurveForCode(c.CmeCode, Path.Combine(_filepath, c.IsCbot? FilenameCbot:FilenameCme), c.QwackCode, c.CurveName, ixForThis,
new Dictionary <string, string>()
{
{ c.QwackCode, c.CurveName }
}, futureSettingsProvider, currencyProvider, calendarProvider);
irCurves.Add(c.CurveName, curve);
}
foreach (var c in spec.CmeBasisCurveSpecs)
{
var fxPair = fxPairs.Single(x => $"{x.Domestic}{x.Foreign}" == c.FxPair);
var curve = CMEModelBuilder.StripFxBasisCurve(Path.Combine(_filepath, FilenameCmeFwdsXml), fxPair, c.CmeFxPair, currencyProvider.GetCurrency(c.Currency), c.CurveName, valDate, irCurves[c.BaseCurveName], currencyProvider, calendarProvider);
irCurves.Add(c.CurveName, curve);
}
foreach (var c in spec.CmeFxFutureSpecs)
{
var curve = CMEModelBuilder.GetFuturesCurveForCode(c.CmeCodeFut, Path.Combine(_filepath, FilenameCme), currencyProvider);
var surface = CMEModelBuilder.GetFxSurfaceForCode(c.CmeCodeOpt, Path.Combine(_filepath, FilenameCme), curve, currencyProvider);
surface.AssetId = c.FxPair;
fxSurfaces.Add(surface);
}
var pairMap = spec.CmeBasisCurveSpecs.ToDictionary(x => x.FxPair, x => x.CmeFxPair);
var pairCcyMap = spec.CmeBasisCurveSpecs.ToDictionary(x => x.FxPair, x => currencyProvider.GetCurrency(x.Currency));
var spotRates = CMEModelBuilder.GetSpotFxRatesFromFwdFile(Path.Combine(_filepath, FilenameCmeFwdsXml), valDate, pairMap, currencyProvider, calendarProvider);
var discountMap = spec.CmeBasisCurveSpecs.ToDictionary(x => pairCcyMap[x.FxPair], x => x.CurveName);
foreach (var c in spec.CmxMetalCurves)
{
var fxPair = fxPairs.Single(x => $"{x.Domestic}{x.Foreign}" == c.MetalPair);
var(curve, spotPrice) = COMEXModelBuilder.GetMetalCurveForCode(Path.Combine(_filepath, FilenameCmxFwdsXml), c.CmxSymbol, fxPair, c.CurveName, valDate, irCurves[c.BaseCurveName], currencyProvider, calendarProvider);
irCurves.Add(c.CurveName, curve);
spotRates.Add(c.MetalPair, spotPrice);
discountMap.Add(currencyProvider.GetCurrency(c.Currency), c.CurveName);
pairCcyMap.Add(c.MetalPair, currencyProvider.GetCurrency(c.Currency));
if (!string.IsNullOrWhiteSpace(c.CmxOptCode))
{
var surface = COMEXModelBuilder.GetMetalSurfaceForCode(c.CmxOptCode, Path.Combine(_filepath, FilenameCmxXml), currencyProvider);
surface.AssetId = c.MetalPair;
fxSurfaces.Add(surface);
}
}
var fm = new FundingModel(valDate, irCurves, currencyProvider, calendarProvider);
var spotRatesByCcy = spotRates.ToDictionary(x => pairCcyMap[x.Key], x => x.Key.StartsWith("USD") ? x.Value : 1.0 / x.Value);
var fxMatrix = new FxMatrix(currencyProvider);
fxMatrix.Init(
baseCurrency: currencyProvider.GetCurrency("USD"),
buildDate: valDate,
spotRates: spotRatesByCcy,
fXPairDefinitions: fxPairs,
discountCurveMap: discountMap);
fm.SetupFx(fxMatrix);
foreach (var fxs in fxSurfaces)
{
fm.VolSurfaces.Add(fxs.AssetId, fxs);
}
var o = new AssetFxModel(valDate, fm);
o.AddVolSurfaces(surfaces.ToDictionary(s => s.AssetId, s => s));
o.AddPriceCurves(priceCurves.ToDictionary(c => c.AssetId, c => c));
return(o);
}