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);
}
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);
}
