private void CreateDeployment(Collar collar, ArgosPlatform platform, DateTime startDateTime)
{
DateTime?endDateTime = null;
if (platform.ArgosDeployments.Count > 0 || collar.ArgosDeployments.Count > 0)
{
if (!FixOtherDeployments(collar, platform, startDateTime, ref endDateTime))
{
return;
}
}
var deploy = new ArgosDeployment
{
ArgosPlatform = platform,
Collar = collar,
StartDate = startDateTime,
EndDate = endDateTime
};
Database.ArgosDeployments.InsertOnSubmit(deploy);
//Creating a deployment is optional, so we submit now, so a failure will not stop other transactions.
if (!SubmitChanges())
{
Database.ArgosDeployments.DeleteOnSubmit(deploy);
}
}
private static bool CanDeleteCollar(Collar collar)
{
return(!collar.CollarDeployments.Any() &&
!collar.CollarFixes.Any() &&
!collar.CollarParameters.Any(p => p.CollarFiles.Any()) &&
!collar.ArgosDeployments.Any());
}
private void CreateParameter(Collar collar, CollarParameterFile file, DateTime startDateTime)
{
DateTime?endDateTime = null;
if (collar.CollarParameters.Count > 0)
{
if (!FixOtherParameters(collar, file, startDateTime, ref endDateTime))
{
return;
}
}
var param = new CollarParameter
{
Collar = collar,
CollarParameterFile = file,
StartDate = startDateTime,
EndDate = endDateTime
};
Database.CollarParameters.InsertOnSubmit(param);
//Creating a parameter is optional, so we submit now, so a failure will not stop other transactions.
if (!SubmitChanges())
{
Database.CollarParameters.DeleteOnSubmit(param);
}
}
public Dog(string name, int age, double length)
{
this.name = "Axl";
this.age = 3;
this.length = 0.5;
this.collar = new Collar();
}
public CapFloor makeCapFloor(CapFloorType type, List <CashFlow> leg, double capStrike,
double floorStrike, double vol)
{
CapFloor result = null;
switch (type)
{
case CapFloorType.Cap:
result = new Cap(leg, new InitializedList <double>(1, capStrike));
break;
case CapFloorType.Floor:
result = new Floor(leg, new InitializedList <double>(1, floorStrike));
break;
case CapFloorType.Collar:
result = new Collar(leg, new InitializedList <double>(1, capStrike),
new InitializedList <double>(1, floorStrike));
break;
default:
Utils.QL_FAIL("unknown cap/floor type");
break;
}
result.setPricingEngine(makeEngine(vol));
return(result);
}
private void AddArgosDeployment(string argosId, Collar collar, DateTime start)
{
var platform = Database.ArgosPlatforms.FirstOrDefault(a => a.PlatformId == argosId);
if (platform == null)
{
return;
}
DateTime?endDate = null;
if (platform.ArgosDeployments.Count > 0 || collar.ArgosDeployments.Count > 0)
{
if (!FixOtherArgosDeployments(collar, platform, start, ref endDate))
{
return;
}
}
var deploy = new ArgosDeployment
{
ArgosPlatform = platform,
Collar = collar,
StartDate = start,
EndDate = endDate
};
Database.ArgosDeployments.InsertOnSubmit(deploy);
if (SubmitChanges())
{
TpfDataChanged();
}
}
public Shirt(Collar collarType, bool cufflink, string color, string name, string producer, string material, double price) :
base(name, producer, material, price)
{
CollarType = collarType;
Cufflink = cufflink;
Color = color;
}
private bool FixOtherDeployments(Collar collar, ArgosPlatform platform, DateTime start, ref DateTime?endDate)
{
//I'm willing to move a existing null end dates (there can only be one for the platform and one for the collar) back to my start date.
//Any existing non-null enddate must have been explicitly set by the user, so they should be dealt with explicitly
//If this situation exists, and I correct it, I am guaranteed to be fine (the new one will exist in the space created)
var deployment1 =
collar.ArgosDeployments.SingleOrDefault(d =>
d.ArgosPlatform != platform &&
d.StartDate < start && d.EndDate == null);
var deployment2 =
platform.ArgosDeployments.SingleOrDefault(d =>
d.Collar != collar &&
d.StartDate < start && d.EndDate == null);
if (deployment1 != null)
{
deployment1.EndDate = start;
}
if (deployment2 != null)
{
deployment2.EndDate = start;
}
if (deployment1 != null || deployment2 != null)
{
if (!SubmitChanges())
{
return(false);
}
}
//If my enddate is null, I should set my end to the earliest start time of the others that are larger than my start but smaller than my end (infinity, so all).
//I don't try to fix a non-null end date, because that was explicitly set by the user, and be should explicitly changed.
if (endDate == null)
{
endDate =
Database.ArgosDeployments.Where(d =>
((d.Collar == collar && d.ArgosPlatform != platform) ||
(d.Collar != collar && d.ArgosPlatform == platform)) &&
start < d.StartDate)
.Select(d => d.StartDate).Min(); //If min gets an empty enumerable, it will return null, which in this case is no change.
}
//Since my startdate is non-null, there is no situation where I would need to change an existing null start date.
//now check if the new deployment is in conflict with any existing deployments
DateTime?end = endDate;
var competition = Database.ArgosDeployments.Where(d => (d.Collar == collar && d.ArgosPlatform != platform) ||
(d.Collar != collar && d.ArgosPlatform == platform)).ToList();
bool conflict = competition.Any(d => DatesOverlap(d.StartDate, d.EndDate, start, end));
if (conflict)
{
MessageBox.Show(
"The other deployment(s) for this collar or platform will require manual adjustment before this platform can be used on this collar",
"Oh No!", MessageBoxButtons.OK, MessageBoxIcon.Error);
return(false);
}
return(true);
}
internal CollarDetailsForm(Collar collar)
{
InitializeComponent();
RestoreWindow();
Collar = collar;
CurrentUser = Environment.UserDomainName + @"\" + Environment.UserName;
LoadDataContext();
SetUpHeader();
}
public AddArgosDeploymentForm(Collar collar = null, ArgosPlatform platform = null)
{
InitializeComponent();
Collar = collar;
Platform = platform;
CurrentUser = Environment.UserDomainName + @"\" + Environment.UserName;
LoadDataContext();
SetUpControls(); //Called before events are triggered
}
public AddCollarParametersForm(Collar collar = null, CollarParameterFile file = null)
{
InitializeComponent();
Collar = collar;
File = file;
CurrentUser = Environment.UserDomainName + @"\" + Environment.UserName;
LoadDataContext();
LoadDefaultFormContents(); //Called before events are triggered
}
public AddCollarDeploymentForm(Collar collar = null, Animal animal = null)
{
InitializeComponent();
Collar = collar;
Animal = animal;
CurrentUser = Environment.UserDomainName + @"\" + Environment.UserName;
LoadDataContext();
LoadDefaultFormContents();
}
private bool CanEditCollar(Collar collar)
{
if (collar == null)
{
return(Database.ProjectInvestigators.Any(
pi =>
pi.Login == CurrentUser || pi.ProjectInvestigatorAssistants.Any(a => a.Assistant == CurrentUser)));
}
var functions = new AnimalMovementFunctions();
return(functions.IsInvestigatorEditor(collar.Manager, CurrentUser) ?? false);
}
public void testConsistency()
{
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] cap_rates = { 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] floor_rates = { 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.05, 0.10, 0.15, 0.20 };
Date startDate = vars.termStructure.link.referenceDate();
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < cap_rates.Length; j++)
{
for (int k = 0; k < floor_rates.Length; k++)
{
for (int l = 0; l < vols.Length; l++)
{
List <CashFlow> leg = vars.makeLeg(startDate, lengths[i]);
Instrument cap = vars.makeCapFloor(CapFloorType.Cap, leg,
cap_rates[j], vols[l]);
Instrument floor = vars.makeCapFloor(CapFloorType.Floor, leg,
floor_rates[k], vols[l]);
Collar collar = new Collar(leg, new InitializedList <double>(1, cap_rates[j]),
new InitializedList <double>(1, floor_rates[k]));
collar.setPricingEngine(vars.makeEngine(vols[l]));
if (Math.Abs((cap.NPV() - floor.NPV()) - collar.NPV()) > 1e-10)
{
QAssert.Fail(
"inconsistency between cap, floor and collar:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[l] + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + cap_rates[j] + "\n"
+ " floor value: " + floor.NPV()
+ " at strike: " + floor_rates[k] + "\n"
+ " collar value: " + collar.NPV());
}
}
}
}
}
}
private string BuildCollarText(Collar collar)
{
string name = collar.ToString();
var animals = from deployment in Database.CollarDeployments
where deployment.Collar == collar && deployment.RetrievalDate == null
select deployment.Animal;
var animal = animals.FirstOrDefault();
if (animal != null)
{
name += " on " + animal;
}
if (collar.DisposalDate != null)
{
name = String.Format("{0} (disp:{1:M/d/yy})", name, collar.DisposalDate.Value.ToLocalTime());
}
return(name);
}
private void ArgosAdded(string argosId, Collar collar, DateTime start)
{
var platform = Database.ArgosPlatforms.FirstOrDefault(a => a.PlatformId == argosId);
if (platform == null)
{
return;
}
var deploy = new ArgosDeployment
{
ArgosPlatform = platform,
Collar = collar,
StartDate = start
};
Database.ArgosDeployments.InsertOnSubmit(deploy);
if (SubmitChanges())
{
TpfDataChanged();
}
}
private bool FixOtherParameters(Collar collar, CollarParameterFile file, DateTime start, ref DateTime?end)
{
//I'm willing to move a existing null end date (there can only be one) back to my start date.
//Any existing non-null enddate must have been explicitly set by the user, so they should be dealt with explicitly
//If this situation exists, and I correct it, I am guaranteed to be fine (the new one will exist in the space created), so I can exit
var parameter = collar.CollarParameters.SingleOrDefault(p => p.CollarParameterFile != file && p.StartDate < start && p.EndDate == null);
if (parameter != null)
{
parameter.EndDate = start;
if (!SubmitChanges())
{
return(false);
}
}
//If my enddate is null (when fixing existng, or adding new), I should set my end to the earliest start time of the others that are larger than my start but smaller than my end (infinity, so all).
//This could only happen on a fix if there was an existing integrity violation.
//I don't try to fix a non-null end date, because that was explicitly set by the user, and should explicitly changed.
if (end == null)
{
end = collar.CollarParameters.Where(p => p.CollarParameterFile != file && start < p.StartDate)
.Select(p => p.StartDate).Min(); //If there is no min gets an empty enumerable, it will return null, which in this case is no change.
}
//There is no situation where I would need to change an existing null start date.
//now check if the new parameter is in conflict with any existing parameters
DateTime?endDate = end;
var competition = collar.CollarParameters.Where(p => p.CollarParameterFile != file).ToList();
bool conflict = competition.Any(p => DatesOverlap(p.StartDate, p.EndDate, start, endDate));
if (conflict)
{
MessageBox.Show(
"The other parameter assignment(s) for this collar will require manual adjustment before this file can be used on this collar",
"Oh No!", MessageBoxButtons.OK, MessageBoxIcon.Error);
return(false);
}
return(true);
}
private Collar[] GetCollars()
{
var collarIds = TpfDataGridView.Rows.Cast <DataGridViewRow>().Select(r => (string)r.Cells[1].Value).ToArray();
if (IgnoreSuffixCheckBox.Checked)
{
collarIds = collarIds.Select(c => c.Length > 6 ? c.Substring(0, 6) : c).ToArray();
}
var unsortedCollars =
Database.Collars.Where(
c =>
c.CollarManufacturer == "Telonics" && collarIds.Contains(c.CollarId)).ToList();
var sortedCollars = new Collar[TpfDataGridView.Rows.Count];
for (int i = 0; i < TpfDataGridView.Rows.Count; i++)
{
sortedCollars[i] = unsortedCollars.SingleOrDefault(c => c.CollarId == collarIds[i]);
}
return(sortedCollars);
}
private void CreateButton_Click(object sender, EventArgs e)
{
var mfgr = (LookupCollarManufacturer)ManufacturerComboBox.SelectedItem;
string collarId = CollarIdTextBox.Text.NullifyIfEmpty();
if (Database.Collars.Any(c => c.LookupCollarManufacturer == mfgr && c.CollarId == collarId))
{
MessageBox.Show("The collar Id is not unique. Try again", "Database Error", MessageBoxButtons.OK,
MessageBoxIcon.Error);
CollarIdTextBox.Focus();
CreateButton.Enabled = false;
return;
}
var collar = new Collar
{
CollarId = CollarIdTextBox.Text.NullifyIfEmpty(),
Frequency = FrequencyTextBox.Text.DoubleOrNull(),
HasGps = HasGpsCheckBox.Checked,
DisposalDate = DisposalDateTimePicker.Checked ? DisposalDateTimePicker.Value : (DateTime?)null,
LookupCollarManufacturer = (LookupCollarManufacturer)ManufacturerComboBox.SelectedItem,
LookupCollarModel = (LookupCollarModel)ModelComboBox.SelectedItem,
Notes = NotesTextBox.Text.NullifyIfEmpty(),
Owner = OwnerTextBox.Text.NullifyIfEmpty(),
ProjectInvestigator = (ProjectInvestigator)ManagerComboBox.SelectedItem,
SerialNumber = SerialNumberTextBox.Text.NullifyIfEmpty(),
};
Database.Collars.InsertOnSubmit(collar);
if (!SubmitChanges())
{
CollarIdTextBox.Focus();
CreateButton.Enabled = false;
return;
}
OnDatabaseChanged();
Close();
}
private static bool FrequencyMismatch(Collar collar, double frequency)
{
return(collar.Frequency != frequency);
}
public void testDecomposition()
{
// Testing collared coupon against its decomposition
CommonVars vars = new CommonVars();
double tolerance = 1e-12;
double npvVanilla, npvCappedLeg, npvFlooredLeg, npvCollaredLeg, npvCap, npvFloor, npvCollar;
double error;
double floorstrike = 0.05;
double capstrike = 0.10;
List <double?> caps = new InitializedList <double?>(vars.length, capstrike);
List <double?> caps0 = new List <double?>();
List <double?> floors = new InitializedList <double?>(vars.length, floorstrike);
List <double?> floors0 = new List <double?>();
double gearing_p = 0.5;
double spread_p = 0.002;
double gearing_n = -1.5;
double spread_n = 0.12;
// fixed leg with zero rate
List <CashFlow> fixedLeg = vars.makeFixedLeg(vars.startDate, vars.length);
// floating leg with gearing=1 and spread=0
List <CashFlow> floatLeg = vars.makeFloatingLeg(vars.startDate, vars.length);
// floating leg with positive gearing (gearing_p) and spread<>0
List <CashFlow> floatLeg_p = vars.makeFloatingLeg(vars.startDate, vars.length, gearing_p, spread_p);
// floating leg with negative gearing (gearing_n) and spread<>0
List <CashFlow> floatLeg_n = vars.makeFloatingLeg(vars.startDate, vars.length, gearing_n, spread_n);
// Swap with null fixed leg and floating leg with gearing=1 and spread=0
Swap vanillaLeg = new Swap(fixedLeg, floatLeg);
// Swap with null fixed leg and floating leg with positive gearing and spread<>0
Swap vanillaLeg_p = new Swap(fixedLeg, floatLeg_p);
// Swap with null fixed leg and floating leg with negative gearing and spread<>0
Swap vanillaLeg_n = new Swap(fixedLeg, floatLeg_n);
IPricingEngine engine = new DiscountingSwapEngine(vars.termStructure);
vanillaLeg.setPricingEngine(engine);
vanillaLeg_p.setPricingEngine(engine);
vanillaLeg_n.setPricingEngine(engine);
/* CAPPED coupon - Decomposition of payoff
* Payoff = Nom * Min(rate,strike) * accrualperiod =
* = Nom * [rate + Min(0,strike-rate)] * accrualperiod =
* = Nom * rate * accrualperiod - Nom * Max(rate-strike,0) * accrualperiod =
* = VanillaFloatingLeg - Call
*/
// Case gearing = 1 and spread = 0
List <CashFlow> cappedLeg = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps, floors0, vars.volatility);
Swap capLeg = new Swap(fixedLeg, cappedLeg);
capLeg.setPricingEngine(engine);
Cap cap = new Cap(floatLeg, new InitializedList <double>(1, capstrike));
cap.setPricingEngine(vars.makeEngine(vars.volatility));
npvVanilla = vanillaLeg.NPV();
npvCappedLeg = capLeg.NPV();
npvCap = cap.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla - npvCap));
if (error > tolerance)
{
QAssert.Fail("\nCapped Leg: gearing=1, spread=0%, strike=" + capstrike * 100 +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - npvCap) + "\n" +
" Diff: " + error);
}
/* gearing = 1 and spread = 0
* FLOORED coupon - Decomposition of payoff
* Payoff = Nom * Max(rate,strike) * accrualperiod =
* = Nom * [rate + Max(0,strike-rate)] * accrualperiod =
* = Nom * rate * accrualperiod + Nom * Max(strike-rate,0) * accrualperiod =
* = VanillaFloatingLeg + Put
*/
List <CashFlow> flooredLeg = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps0, floors, vars.volatility);
Swap floorLeg = new Swap(fixedLeg, flooredLeg);
floorLeg.setPricingEngine(engine);
Floor floor = new Floor(floatLeg, new InitializedList <double>(1, floorstrike));
floor.setPricingEngine(vars.makeEngine(vars.volatility));
npvFlooredLeg = floorLeg.NPV();
npvFloor = floor.NPV();
error = Math.Abs(npvFlooredLeg - (npvVanilla + npvFloor));
if (error > tolerance)
{
QAssert.Fail("Floored Leg: gearing=1, spread=0%, strike=" + floorstrike * 100 +
"%\n" +
" Floored Floating Leg NPV: " + npvFlooredLeg + "\n" +
" Floating Leg NPV + Floor NPV: " + (npvVanilla + npvFloor) + "\n" +
" Diff: " + error);
}
/* gearing = 1 and spread = 0
* COLLARED coupon - Decomposition of payoff
* Payoff = Nom * Min(strikem,Max(rate,strikeM)) * accrualperiod =
* = VanillaFloatingLeg - Collar
*/
List <CashFlow> collaredLeg = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps, floors, vars.volatility);
Swap collarLeg = new Swap(fixedLeg, collaredLeg);
collarLeg.setPricingEngine(engine);
Collar collar = new Collar(floatLeg, new InitializedList <double>(1, capstrike),
new InitializedList <double>(1, floorstrike));
collar.setPricingEngine(vars.makeEngine(vars.volatility));
npvCollaredLeg = collarLeg.NPV();
npvCollar = collar.NPV();
error = Math.Abs(npvCollaredLeg - (npvVanilla - npvCollar));
if (error > tolerance)
{
QAssert.Fail("\nCollared Leg: gearing=1, spread=0%, strike=" +
floorstrike * 100 + "% and " + capstrike * 100 + "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg + "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - npvCollar) + "\n" +
" Diff: " + error);
}
/* gearing = a and spread = b
* CAPPED coupon - Decomposition of payoff
* Payoff
* = Nom * Min(a*rate+b,strike) * accrualperiod =
* = Nom * [a*rate+b + Min(0,strike-a*rate-b)] * accrualperiod =
* = Nom * a*rate+b * accrualperiod + Nom * Min(strike-b-a*rate,0) * accrualperiod
* --> If a>0 (assuming positive effective strike):
* Payoff = VanillaFloatingLeg - Call(a*rate+b,strike)
* --> If a<0 (assuming positive effective strike):
* Payoff = VanillaFloatingLeg + Nom * Min(strike-b+|a|*rate+,0) * accrualperiod =
* = VanillaFloatingLeg + Put(|a|*rate+b,strike)
*/
// Positive gearing
List <CashFlow> cappedLeg_p = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps, floors0,
vars.volatility, gearing_p, spread_p);
Swap capLeg_p = new Swap(fixedLeg, cappedLeg_p);
capLeg_p.setPricingEngine(engine);
Cap cap_p = new Cap(floatLeg_p, new InitializedList <double>(1, capstrike));
cap_p.setPricingEngine(vars.makeEngine(vars.volatility));
npvVanilla = vanillaLeg_p.NPV();
npvCappedLeg = capLeg_p.NPV();
npvCap = cap_p.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla - npvCap));
if (error > tolerance)
{
QAssert.Fail("\nCapped Leg: gearing=" + gearing_p + ", " +
"spread= " + spread_p * 100 +
"%, strike=" + capstrike * 100 + "%, " +
"effective strike= " + (capstrike - spread_p) / gearing_p * 100 +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" Vanilla Leg NPV: " + npvVanilla + "\n" +
" Cap NPV: " + npvCap + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - npvCap) + "\n" +
" Diff: " + error);
}
// Negative gearing
List <CashFlow> cappedLeg_n = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps, floors0,
vars.volatility, gearing_n, spread_n);
Swap capLeg_n = new Swap(fixedLeg, cappedLeg_n);
capLeg_n.setPricingEngine(engine);
Floor floor_n = new Floor(floatLeg, new InitializedList <double>(1, (capstrike - spread_n) / gearing_n));
floor_n.setPricingEngine(vars.makeEngine(vars.volatility));
npvVanilla = vanillaLeg_n.NPV();
npvCappedLeg = capLeg_n.NPV();
npvFloor = floor_n.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla + gearing_n * npvFloor));
if (error > tolerance)
{
QAssert.Fail("\nCapped Leg: gearing=" + gearing_n + ", " +
"spread= " + spread_n * 100 +
"%, strike=" + capstrike * 100 + "%, " +
"effective strike= " + (capstrike - spread_n) / gearing_n * 100 +
"%\n" +
" Capped Floating Leg NPV: " + npvCappedLeg + "\n" +
" npv Vanilla: " + npvVanilla + "\n" +
" npvFloor: " + npvFloor + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla + gearing_n * npvFloor) + "\n" +
" Diff: " + error);
}
/* gearing = a and spread = b
* FLOORED coupon - Decomposition of payoff
* Payoff
* = Nom * Max(a*rate+b,strike) * accrualperiod =
* = Nom * [a*rate+b + Max(0,strike-a*rate-b)] * accrualperiod =
* = Nom * a*rate+b * accrualperiod + Nom * Max(strike-b-a*rate,0) * accrualperiod
* --> If a>0 (assuming positive effective strike):
* Payoff = VanillaFloatingLeg + Put(a*rate+b,strike)
* --> If a<0 (assuming positive effective strike):
* Payoff = VanillaFloatingLeg + Nom * Max(strike-b+|a|*rate+,0) * accrualperiod =
* = VanillaFloatingLeg - Call(|a|*rate+b,strike)
*/
// Positive gearing
List <CashFlow> flooredLeg_p1 = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps0, floors,
vars.volatility, gearing_p, spread_p);
Swap floorLeg_p1 = new Swap(fixedLeg, flooredLeg_p1);
floorLeg_p1.setPricingEngine(engine);
Floor floor_p1 = new Floor(floatLeg_p, new InitializedList <double>(1, floorstrike));
floor_p1.setPricingEngine(vars.makeEngine(vars.volatility));
npvVanilla = vanillaLeg_p.NPV();
npvFlooredLeg = floorLeg_p1.NPV();
npvFloor = floor_p1.NPV();
error = Math.Abs(npvFlooredLeg - (npvVanilla + npvFloor));
if (error > tolerance)
{
QAssert.Fail("\nFloored Leg: gearing=" + gearing_p + ", "
+ "spread= " + spread_p * 100 + "%, strike=" + floorstrike * 100 + "%, "
+ "effective strike= " + (floorstrike - spread_p) / gearing_p * 100
+ "%\n" +
" Floored Floating Leg NPV: " + npvFlooredLeg
+ "\n" +
" Floating Leg NPV + Floor NPV: " + (npvVanilla + npvFloor)
+ "\n" +
" Diff: " + error);
}
// Negative gearing
List <CashFlow> flooredLeg_n = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps0, floors,
vars.volatility, gearing_n, spread_n);
Swap floorLeg_n = new Swap(fixedLeg, flooredLeg_n);
floorLeg_n.setPricingEngine(engine);
Cap cap_n = new Cap(floatLeg, new InitializedList <double>(1, (floorstrike - spread_n) / gearing_n));
cap_n.setPricingEngine(vars.makeEngine(vars.volatility));
npvVanilla = vanillaLeg_n.NPV();
npvFlooredLeg = floorLeg_n.NPV();
npvCap = cap_n.NPV();
error = Math.Abs(npvFlooredLeg - (npvVanilla - gearing_n * npvCap));
if (error > tolerance)
{
QAssert.Fail("\nCapped Leg: gearing=" + gearing_n + ", " +
"spread= " + spread_n * 100 +
"%, strike=" + floorstrike * 100 + "%, " +
"effective strike= " + (floorstrike - spread_n) / gearing_n * 100 +
"%\n" +
" Capped Floating Leg NPV: " + npvFlooredLeg + "\n" +
" Floating Leg NPV - Cap NPV: " + (npvVanilla - gearing_n * npvCap) + "\n" +
" Diff: " + error);
}
/* gearing = a and spread = b
* COLLARED coupon - Decomposition of payoff
* Payoff = Nom * Min(caprate,Max(a*rate+b,floorrate)) * accrualperiod
* --> If a>0 (assuming positive effective strike):
* Payoff = VanillaFloatingLeg - Collar(a*rate+b, floorrate, caprate)
* --> If a<0 (assuming positive effective strike):
* Payoff = VanillaFloatingLeg + Collar(|a|*rate+b, caprate, floorrate)
*/
// Positive gearing
List <CashFlow> collaredLeg_p = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps, floors,
vars.volatility, gearing_p, spread_p);
Swap collarLeg_p1 = new Swap(fixedLeg, collaredLeg_p);
collarLeg_p1.setPricingEngine(engine);
Collar collar_p = new Collar(floatLeg_p, new InitializedList <double>(1, capstrike),
new InitializedList <double>(1, floorstrike));
collar_p.setPricingEngine(vars.makeEngine(vars.volatility));
npvVanilla = vanillaLeg_p.NPV();
npvCollaredLeg = collarLeg_p1.NPV();
npvCollar = collar_p.NPV();
error = Math.Abs(npvCollaredLeg - (npvVanilla - npvCollar));
if (error > tolerance)
{
QAssert.Fail("\nCollared Leg: gearing=" + gearing_p + ", "
+ "spread= " + spread_p * 100 + "%, strike="
+ floorstrike * 100 + "% and " + capstrike * 100
+ "%, "
+ "effective strike=" + (floorstrike - spread_p) / gearing_p * 100
+ "% and " + (capstrike - spread_p) / gearing_p * 100
+ "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg
+ "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - npvCollar)
+ "\n" +
" Diff: " + error);
}
// Negative gearing
List <CashFlow> collaredLeg_n = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps, floors,
vars.volatility, gearing_n, spread_n);
Swap collarLeg_n1 = new Swap(fixedLeg, collaredLeg_n);
collarLeg_n1.setPricingEngine(engine);
Collar collar_n = new Collar(floatLeg, new InitializedList <double>(1, (floorstrike - spread_n) / gearing_n),
new InitializedList <double>(1, (capstrike - spread_n) / gearing_n));
collar_n.setPricingEngine(vars.makeEngine(vars.volatility));
npvVanilla = vanillaLeg_n.NPV();
npvCollaredLeg = collarLeg_n1.NPV();
npvCollar = collar_n.NPV();
error = Math.Abs(npvCollaredLeg - (npvVanilla - gearing_n * npvCollar));
if (error > tolerance)
{
QAssert.Fail("\nCollared Leg: gearing=" + gearing_n + ", "
+ "spread= " + spread_n * 100 + "%, strike="
+ floorstrike * 100 + "% and " + capstrike * 100
+ "%, "
+ "effective strike=" + (floorstrike - spread_n) / gearing_n * 100
+ "% and " + (capstrike - spread_n) / gearing_n * 100
+ "%\n" +
" Collared Floating Leg NPV: " + npvCollaredLeg
+ "\n" +
" Floating Leg NPV - Collar NPV: " + (npvVanilla - gearing_n * npvCollar)
+ "\n" +
" Diff: " + error);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(Collar obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
private bool FileNotOnCollar(Collar collar)
{
//true if this file is not assigned to this collar
return(collar.CollarParameters.All(p => p.CollarParameterFile != File));
}
static void Main(string[] args)
{
const double tolerance = 10.0;
//load the strike
var st = new Strike(OptionType.Call, 100.0);
var tr = new TransactionDetail("BHP");
tr.SetStrike(st);
tr.CurrentSpot = 100.0;
tr.PayStyle = PayStyleType.European;
tr.TradeDate = DateTime.Parse("25-Mar-2008");
tr.ExpiryDate = tr.TradeDate.AddDays(107);
//set the curvature
var wc = new[] { new WingCurvature() };
wc[0].EtoDate = DateTime.Parse("25-Mar-2008");;
wc[0][WingCurvature.WingCurvatureProperty.CallCurvature] = -1.1478;
wc[0][WingCurvature.WingCurvatureProperty.CurrentVolatility] = 0.2417;
wc[0][WingCurvature.WingCurvatureProperty.DownCutOff] = -.2871;
wc[0][WingCurvature.WingCurvatureProperty.DownSmoothingRange] = 0.5;
wc[0][WingCurvature.WingCurvatureProperty.PutCurvature] = 0.2283;
wc[0][WingCurvature.WingCurvatureProperty.ReferenceForward] = 100.0;
wc[0][WingCurvature.WingCurvatureProperty.SkewSwimmingnessRate] = 100.0;
wc[0][WingCurvature.WingCurvatureProperty.SlopeChangeRate] = 0.0;
wc[0][WingCurvature.WingCurvatureProperty.SlopeReference] = -0.1234;
wc[0][WingCurvature.WingCurvatureProperty.UpCutOff] = 0.1327;
wc[0][WingCurvature.WingCurvatureProperty.UpSmoothingRange] = 0.50;
wc[0][WingCurvature.WingCurvatureProperty.VolChangeRate] = 0.0;
DateTime d1 = DateTime.Parse("25-Sep-2008");
var div1 = new Dividend(d1, d1.AddDays(10), 1.0, "AUD");
d1 = DateTime.Parse("26-Oct-2009");
var div2 = new Dividend(d1, d1.AddDays(10), 1.0, "AUD");
var dList = new DividendList {
div1, div2
};
var ist = new Stock("BHP", "BHP", dList, wc)
{
Transaction = tr
};
//set up the zerocurve
var tDates = new List <DateTime>();
var tRates = new List <double>();
tDates.Add(DateTime.Parse("25-Jun-2008"));
tDates.Add(DateTime.Parse("25-Sep-2008"));
tRates.Add(0.05);
tRates.Add(0.05);
var zc = new ZeroAUDCurve(DateTime.Parse("25-Mar-2008"), tDates, tRates);
//test the price
var col = new Collar();
//test the pricer
double price = col.FindPrice(ist, zc);
//test collar
var st2 = new Strike(OptionType.Call, 102.0);
ist.Transaction.SetStrike(st2);
price = col.FindZeroCostPutStrike(ist, zc);
var st3 = new Strike(OptionType.Put, 98.0);
ist.Transaction.SetStrike(st3);
price = col.FindZeroCostCallStrike(ist, zc);
//Test against an ETO in Orc;
//load the strike
var testSt1 = new Strike(OptionType.Put, 3900.00);
var tr2 = new TransactionDetail("BHP");
tr2.SetStrike(testSt1);
tr2.CurrentSpot = 3900.00;
tr2.PayStyle = PayStyleType.American;
tr2.TradeDate = DateTime.Parse("25-Mar-2008");
tr2.ExpiryDate = DateTime.Parse("26-Mar-2009");
//set the curvature
var wc2 = new[] { new WingCurvature() };
wc2[0].EtoDate = DateTime.Parse("25-Mar-2008");
wc2[0][WingCurvature.WingCurvatureProperty.CallCurvature] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.CurrentVolatility] = 0.7056;
wc2[0][WingCurvature.WingCurvatureProperty.DownCutOff] = -0.1438;
wc2[0][WingCurvature.WingCurvatureProperty.DownSmoothingRange] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.PutCurvature] = 16.5346;
wc2[0][WingCurvature.WingCurvatureProperty.ReferenceForward] = 3440.27;
wc2[0][WingCurvature.WingCurvatureProperty.SkewSwimmingnessRate] = 92.11;
wc2[0][WingCurvature.WingCurvatureProperty.SlopeChangeRate] = 0.0;
wc2[0][WingCurvature.WingCurvatureProperty.SlopeReference] = 4.0573;
wc2[0][WingCurvature.WingCurvatureProperty.UpCutOff] = 0.0001;
wc2[0][WingCurvature.WingCurvatureProperty.UpSmoothingRange] = 82.6825;
wc2[0][WingCurvature.WingCurvatureProperty.VolChangeRate] = 0.0;
DateTime date = DateTime.Parse("01-Sep-2008");
var dividend1 = new Dividend(date, DateTime.Parse("25-Sep-2008"), 34.5, "AUD");
date = DateTime.Parse("23-Feb-2009");
var dividend2 = new Dividend(date, DateTime.Parse("17-Mar-2009"), 36.5, "AUD");
var dList2 = new DividendList {
dividend1, dividend2
};
var ist2 = new Stock("BHP", "BHP", dList2, wc2)
{
Transaction = tr2
};
//set up the zerocurve
var tDates2 = new List <DateTime>();
var tRates2 = new List <double>();
tDates2.Add(DateTime.Parse("26-Mar-2008"));
tDates2.Add(DateTime.Parse("26-Apr-2008"));
tDates2.Add(DateTime.Parse("27-May-2008"));
tDates2.Add(DateTime.Parse("25-Jun-2008"));
tDates2.Add(DateTime.Parse("05-Jul-2008"));
tDates2.Add(DateTime.Parse("04-Oct-2008"));
tDates2.Add(DateTime.Parse("03-Jan-2009"));
tDates2.Add(DateTime.Parse("04-Apr-2009"));
tRates2.Add(0.068646);
tRates2.Add(0.070701);
tRates2.Add(0.072238);
tRates2.Add(0.073009);
tRates2.Add(0.073086);
tRates2.Add(0.073792);
tRates2.Add(0.074177);
tRates2.Add(0.074375);
var zc2 = new ZeroAUDCurve(DateTime.Parse("25-Mar-2008"), tDates2, tRates2);
//test the price
var col2 = new Collar();
//test the pricer - put
double testPrice = col2.FindPrice(ist2, zc2);
//test the pricer - call
var _testSt1 = new Strike(OptionType.Call, 5379.10);
tr2.SetStrike(_testSt1);
double _testPrice = col2.FindPrice(ist2, zc2);
//test collar
var testSt2 = new Strike(OptionType.Call, 5379.10);
ist2.Transaction.SetStrike(testSt2);
price = col2.FindZeroCostPutStrike(ist2, zc2);
var testSt3 = new Strike(OptionType.Put, 3900.00);
ist2.Transaction.SetStrike(testSt3);
price = col2.FindZeroCostCallStrike(ist2, zc2);
//Specify downside strike of 3900:
// Orc put price @ 3900 744.11
// Orc call price @ 5379.10 748.30
}
public void testConsistency()
{
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] cap_rates = { 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] floor_rates = { 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.05, 0.10, 0.15, 0.20 };
Date startDate = vars.termStructure.link.referenceDate();
for (int i = 0; i < lengths.Length; i++) {
for (int j = 0; j < cap_rates.Length; j++) {
for (int k = 0; k < floor_rates.Length; k++) {
for (int l = 0; l < vols.Length; l++) {
List<CashFlow> leg = vars.makeLeg(startDate, lengths[i]);
Instrument cap = vars.makeCapFloor(CapFloorType.Cap, leg,
cap_rates[j], vols[l]);
Instrument floor = vars.makeCapFloor(CapFloorType.Floor, leg,
floor_rates[k], vols[l]);
Collar collar = new Collar(leg, new InitializedList<double>(1, cap_rates[j]),
new InitializedList<double>(1, floor_rates[k]));
collar.setPricingEngine(vars.makeEngine(vols[l]));
if (Math.Abs((cap.NPV() - floor.NPV()) - collar.NPV()) > 1e-10) {
Assert.Fail(
"inconsistency between cap, floor and collar:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[l] + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + cap_rates[j] + "\n"
+ " floor value: " + floor.NPV()
+ " at strike: " + floor_rates[k] + "\n"
+ " collar value: " + collar.NPV());
}
}
}
}
}
}
// This is a template for client side usage
private static void LoadAndProcessFilePath(string filePath, Project project, ProjectInvestigator owner, Collar collar,
char status, bool allowDups)
{
var fileLoader = new FileLoader(filePath)
{
Project = project,
Owner = owner,
Collar = collar,
Status = status,
AllowDuplicates = allowDups
};
var file = fileLoader.Load();
if (file.LookupCollarFileFormat.ArgosData == 'Y' || file.Format == 'H')
{
FileProcessor.ProcessFile(file);
}
}
private static bool MissingArgosDeployment(Collar collar, string argosId)
{
return(collar.ArgosDeployments.All(a => a.PlatformId != argosId));
}
private bool ParameterExistsWithDate(Collar collar, DateTime paramaterStart)
{
//possible, though not probable, or even logical, for collar to have more than one parameter set (different date ranges) with File
//If any of the parameters match, assume we are goodone of them matches
return(collar.CollarParameters.Any(p => p.CollarParameterFile == File && p.StartDate == paramaterStart));
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(Collar obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
/// <summary>
/// Attempts to load the file (or all the files in a folder) into the database
/// </summary>
/// <param name="path">A complete file or folder path to data that will be loaded</param>
/// <param name="handler">Delegate to handle exceptions on each file, so that processing can continue.
/// If the handler is null, processing will stop on first exception.
/// The handler can throw it's own exception to halt further processing</param>
/// <param name="project">Associate the new file with this Project (optional)</param>
/// <param name="manager">Associate the new file with this Project Investigator (optional)</param>
/// <param name="collar">This file contains data for this collar. Not required for files with Argos data, or
/// if the collar can be determined from the file contents</param>
/// <param name="status">The new file should be (A)ctive (generate fixes, default) or (I)nactive (no fixes)</param>
/// <param name="allowDups">File will not be rejected if the contents match an existing file</param>
/// <remarks>Only one of project and manager can be non-null.</remarks>
public static void LoadPath(string path, Action <Exception, string, Project, ProjectInvestigator> handler = null,
Project project = null, ProjectInvestigator manager = null, Collar collar = null,
char status = 'A', bool allowDups = false)
{
if (path == null)
{
throw new ArgumentNullException("path", "A path must be provided");
}
if (project != null && manager != null)
{
throw new InvalidOperationException(
String.Format("Project: {0} and Manager: {1} cannot both be non-null.", project.ProjectId,
manager.Login));
}
if (File.Exists(path))
{
try
{
LoadAndProcessFilePath(path, project, manager, collar, status, allowDups);
}
catch (Exception ex)
{
if (handler == null)
{
throw;
}
handler(ex, path, project, manager);
}
}
else
{
if (Directory.Exists(path))
{
foreach (var file in Directory.EnumerateFiles(path))
{
try
{
LoadAndProcessFilePath(file, project, manager, collar, status, allowDups);
}
catch (Exception ex)
{
if (handler == null)
{
throw;
}
handler(ex, file, project, manager);
}
}
}
else
{
throw new InvalidOperationException(path + " is not a folder or file");
}
}
}