public static FxPair FxPairFromString(this string pair, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider) => new FxPair
{
Domestic = currencyProvider.GetCurrency(pair.Substring(0, 3)),
Foreign = currencyProvider.GetCurrency(pair.Substring(pair.Length - 3, 3)),
SettlementCalendar = calendarProvider.Collection[pair.Substring(0, 3) + "+" + pair.Substring(pair.Length - 3, 3)],
SpotLag = 2.Bd()
};
public FxPair(TO_FxPair transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
Foreign = currencyProvider.GetCurrency(transportObject.Foreign);
Domestic = currencyProvider.GetCurrency(transportObject.Domestic);
SpotLag = new Frequency(transportObject.SpotLag);
PrimaryCalendar = calendarProvider.Collection[transportObject.PrimaryCalendar];
SecondaryCalendar = calendarProvider.Collection[transportObject.SecondaryCalendar];
}
public FxMatrix(TO_FxMatrix transportObject, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider) : this(currencyProvider)
{
BaseCurrency = currencyProvider.GetCurrency(transportObject.BaseCurrency);
BuildDate = transportObject.BuildDate;
SpotRates = transportObject.SpotRates.ToDictionary(x => currencyProvider.GetCurrency(x.Key), y => y.Value);
DiscountCurveMap = transportObject.DiscountCurveMap.ToDictionary(x => currencyProvider.GetCurrency(x.Key), y => y.Value);
FxPairDefinitions = transportObject.FxPairDefinitions.Select(x => new FxPair(x, currencyProvider, calendarProvider)).ToList();
}
public static ICurrency FromISOCode(string code, IEnumerable <ICurrencyProvider> providers = null)
{
var found = DefaultProvider.GetCurrency(code);
return(found ?? (providers ?? new List <ICurrencyProvider>())
.SelectMany(p => p.Currencies)
.FirstOrDefault(c => c.CurrencyIsoCode == code));
}
public ConstantVolSurface(TO_ConstantVolSurface transportObject, ICurrencyProvider currencyProvider)
: this(transportObject.OriginDate, transportObject.Volatility)
{
Currency = currencyProvider.GetCurrency(transportObject.Currency);
AssetId = transportObject.AssetId;
Name = transportObject.Name;
}
public static RiskyFlySurface ToRiskyFlySurfaceStepFlat(this Dictionary <DateTime, IInterpolator1D> smiles, DateTime valDate, IPriceCurve priceCurve, List <DateTime> allExpiries, ICurrencyProvider currencyProvider)
{
var wingDeltas = new[] { 0.25, 0.1 };
var expiries = smiles.Keys.ToArray();
var expiriesDouble = expiries.Select(e => e.ToOADate()).ToArray();
var atmVols = smiles.Select(x => x.Value.Interpolate(0.5)).ToArray();
var riskies = smiles.Select(x =>
wingDeltas.Select(w => x.Value.Interpolate(1.0 - w) - x.Value.Interpolate(w))
.ToArray())
.ToArray();
var flies = smiles.Select((x, ix) =>
wingDeltas.Select(w => (x.Value.Interpolate(1.0 - w) + x.Value.Interpolate(w)) / 2.0 - atmVols[ix])
.ToArray())
.ToArray();
SmoothSmiles(wingDeltas, smiles, ref riskies, ref flies);
var fwds = allExpiries.Select(x => priceCurve.GetPriceForDate(x)).ToArray();
var atmInterp = InterpolatorFactory.GetInterpolator(expiriesDouble, atmVols, Interpolator1DType.LinearInVariance);
var riskyInterps = wingDeltas.Select((w, ixw) => InterpolatorFactory.GetInterpolator(expiriesDouble, riskies.Select(r => r[ixw]).ToArray(), Interpolator1DType.LinearFlatExtrap)).ToArray();
var flyInterps = wingDeltas.Select((w, ixw) => InterpolatorFactory.GetInterpolator(expiriesDouble, flies.Select(f => f[ixw]).ToArray(), Interpolator1DType.LinearFlatExtrap)).ToArray();
var expandedRiskies = allExpiries.Select(e => wingDeltas.Select((w, ixw) => riskyInterps[ixw].Interpolate(e.ToOADate())).ToArray()).ToArray();
var expandedFlies = allExpiries.Select(e => wingDeltas.Select((w, ixw) => flyInterps[ixw].Interpolate(e.ToOADate())).ToArray()).ToArray();
var expandedAtms = allExpiries.Select(e => atmInterp.Interpolate(e.ToOADate())).ToArray();
var expandedFwds = allExpiries.Select(e => priceCurve.GetPriceForDate(e)).ToArray();
var o = new RiskyFlySurface(valDate, expandedAtms, allExpiries.ToArray(), wingDeltas, expandedRiskies, expandedFlies, expandedFwds, WingQuoteType.Arithmatic,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.CubicSpline, Interpolator1DType.NextValue)
{
Currency = currencyProvider.GetCurrency("USD")
};
return(o);
}
public Dictionary <string, IrCurve> ImplyContainedCurves(DateTime buildDate, Interpolator1DType interpType)
{
var o = new Dictionary <string, IrCurve>();
foreach (var curveName in SolveCurves)
{
var pillars = this.Where(x => x.SolveCurve == curveName)
.Select(x => x.PillarDate)
.OrderBy(x => x)
.ToArray();
if (pillars.Distinct().Count() != pillars.Count())
{
throw new Exception($"More than one instrument has the same solve pillar on curve {curveName}");
}
var dummyRates = pillars.Select(x => 0.05).ToArray();
var ccy = _currencyProvider.GetCurrency(curveName.Split('.')[0]);
var colSpec = (curveName.Contains("[")) ? curveName.Split('[').Last().Trim("[]".ToCharArray()) : curveName.Split('.').Last();
if (o.Values.Any(v => v.CollateralSpec == colSpec))
{
colSpec = colSpec + "_" + curveName;
}
var irCurve = new IrCurve(pillars, dummyRates, buildDate, curveName, interpType, ccy, colSpec);
o.Add(curveName, irCurve);
}
return(o);
}
public BasicPriceCurve(TO_BasicPriceCurve transportObject, ICurrencyProvider currencyProvider) :
this(transportObject.BuildDate, transportObject.PillarDates, transportObject.Prices, transportObject.CurveType, currencyProvider, transportObject.PillarLabels)
{
Currency = currencyProvider.GetCurrency(transportObject.Currency);
CollateralSpec = transportObject.CollateralSpec;
Name = transportObject.Name;
AssetId = transportObject.AssetId;
}
public GridVolSurface(TO_GridVolSurface transportObject, ICurrencyProvider currencyProvider)
: this(transportObject.OriginDate, transportObject.Strikes, transportObject.Expiries, transportObject.Volatilities, transportObject.StrikeType,
transportObject.StrikeInterpolatorType, transportObject.TimeInterpolatorType, transportObject.TimeBasis, transportObject.PillarLabels)
{
Currency = currencyProvider.GetCurrency(transportObject.Currency);
AssetId = transportObject.AssetId;
Name = transportObject.Name;
}
private static IFundingInstrument ToQwackIns(this CMEFileRecord record, string qwackCode, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, Dictionary <string, FloatRateIndex> indices, Dictionary <string, string> forecastCurves)
{
switch (qwackCode)
{
case "ED":
var edExp = FutureCode.GetExpiryFromCode(MmmYtoCode(record.MMY, qwackCode), futureSettingsProvider);
return(new STIRFuture
{
ContractSize = 1e6,
Currency = currencyProvider.GetCurrency("USD"),
DCF = 0.25,
ConvexityAdjustment = 0,
Price = record.SettlePrice.Value,
Index = indices["ED"],
Expiry = edExp,
PillarDate = edExp.AddMonths(3),
TradeId = qwackCode + record.MMY,
Position = 1,
SolveCurve = forecastCurves["ED"],
ForecastCurve = forecastCurves["ED"],
});
case "FF":
var ffEnd = FutureCode.GetExpiryFromCode(MmmYtoCode(record.MMY, qwackCode), futureSettingsProvider);
var ffStart = ffEnd.FirstDayOfMonth();
return(new OISFuture
{
ContractSize = 1e6,
Currency = currencyProvider.GetCurrency("USD"),
DCF = ffStart.CalculateYearFraction(ffEnd, DayCountBasis.ACT360),
Price = record.SettlePrice.Value,
Index = indices["FF"],
PillarDate = ffEnd,
TradeId = qwackCode + record.MMY,
Position = 1,
SolveCurve = forecastCurves["FF"],
ForecastCurve = forecastCurves["FF"],
AverageStartDate = ffStart,
AverageEndDate = ffEnd,
});
default:
throw new Exception($"No mapping found for code {qwackCode}");
}
}
public RiskyFlySurface(TO_RiskyFlySurface transportObject, ICurrencyProvider currencyProvider)
: this(transportObject.OriginDate, transportObject.ATMs, transportObject.Expiries, transportObject.WingDeltas, transportObject.Riskies,
transportObject.Flies, transportObject.Forwards, transportObject.WingQuoteType, transportObject.AtmVolType, transportObject.StrikeInterpolatorType,
transportObject.TimeInterpolatorType, transportObject.PillarLabels)
{
Currency = currencyProvider.GetCurrency(transportObject.Currency);
AssetId = transportObject.AssetId;
Name = transportObject.Name;
}
private ICube GetRisk(IPvModel model)
{
switch (Metric)
{
case RiskMetric.AssetCurveDelta:
return(model.AssetDelta());
//case RiskMetric.AssetCurveDeltaGamma:
// return portfolio.AssetDeltaGamma(model);
case RiskMetric.FxDelta:
return(model.FxDeltaSpecific(_currencyProvider.GetCurrency("ZAR"), FxPairsForDelta, _currencyProvider, false));
//case RiskMetric.FxDeltaGamma:
// return portfolio.FxDelta(model, _currencyProvider.GetCurrency("ZAR"), _currencyProvider, true);
default:
throw new Exception($"Unable to process risk metric {Metric}");
}
}
public static RiskyFlySurface ToRiskyFlySurface(this Dictionary <DateTime, IInterpolator1D> smiles, DateTime valDate, double[] fwds, ICurrencyProvider currencyProvider)
{
var wingDeltas = new[] { 0.25, 0.1 };
var expiries = smiles.Keys.ToArray();
var atmVols = smiles.Select(x => x.Value.Interpolate(0.5)).ToArray();
var riskies = smiles.Select(x =>
wingDeltas.Select(w => x.Value.Interpolate(1.0 - w) - x.Value.Interpolate(w))
.ToArray())
.ToArray();
var flies = smiles.Select((x, ix) =>
wingDeltas.Select(w => (x.Value.Interpolate(1.0 - w) + x.Value.Interpolate(w)) / 2.0 - atmVols[ix])
.ToArray())
.ToArray();
SmoothSmiles(wingDeltas, smiles, ref riskies, ref flies);
var o = new RiskyFlySurface(valDate, atmVols, expiries, wingDeltas, riskies, flies, fwds, WingQuoteType.Arithmatic,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.CubicSpline, Interpolator1DType.LinearInVariance)
{
Currency = currencyProvider.GetCurrency("USD")
};
return(o);
}
public static RiskyFlySurface GetMetalSurfaceForCode(string cmxSymbol, string cmxSettleFilename, ICurrencyProvider currency)
{
var blob = CMEFileParser.Instance.GetBlob(cmxSettleFilename);
var origin = blob.Batch.First().BizDt;
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(cmxSymbol);
var opts = blob.Batch.Where(b => b.Instrmt.Sym == cmxSymbol).Select(x => new ListedOptionSettlementRecord
{
Strike = Convert.ToDouble(x.Instrmt.StrkPx),
PV = Convert.ToDouble(x.Full.Where(x => x.Typ == "6").First().Px),
CallPut = x.Instrmt.PutCall ? OptionType.C : OptionType.P, //x.Instrmt.PutCall == 1 ? OptionType.C : OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
UnderlyingFuturesCode = $"{x.Undly.ID}~{x.Undly.MMY}",
ExpiryDate = x.Instrmt.MatDt,
ValDate = origin
}).Where(z => z.ExpiryDate > origin).ToList();
var underlyings = opts.Select(x => x.UnderlyingFuturesCode).Distinct().ToArray();
var ulCodes = underlyings.Select(x => x.Split('~')[0]).Distinct().ToArray();
var futRecords = blob.Batch.Where(b => b.Instrmt.SecTyp == "FUT" && ulCodes.Contains(b.Instrmt.ID));
var priceDict = futRecords.ToDictionary(x => $"{x.Instrmt.ID}~{x.Instrmt.MMY}", x => Convert.ToDouble(x.Full.Where(x => x.Typ == "6").First().Px));
ListedSurfaceHelper.ImplyVols(opts, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(opts, priceDict);
var expiries = smiles.Keys.OrderBy(x => x).ToArray();
var ulByExpiry = expiries.ToDictionary(x => x, x => opts.Where(qq => qq.ExpiryDate == x).First().UnderlyingFuturesCode);
var fwdByExpiry = ulByExpiry.ToDictionary(x => x.Key, x => priceDict[x.Value]);
var fwds = expiries.Select(e => fwdByExpiry[e]).ToArray();
var surface = ListedSurfaceHelper.ToRiskyFlySurface(smiles, origin, fwds, currency);
return(surface);
}
public static IrCurve GetCurveForCode(string cmeId, string cmeFilename, string qwackCode, string curveName, Dictionary <string, FloatRateIndex> indices, Dictionary <string, string> curves, IFutureSettingsProvider futureSettingsProvider, ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
{
var parsed = CMEFileParser.Parse(cmeFilename).Where(r => r.ID == cmeId && r.SecTyp == "FUT");
var q = parsed.ToDictionary(x => DateTime.ParseExact(x.MatDt, "yyyy-MM-dd", CultureInfo.InvariantCulture), x => x.SettlePrice);
var origin = DateTime.ParseExact(parsed.First().BizDt, "yyyy-MM-dd", CultureInfo.InvariantCulture);
var instruments = parsed.Select(p => ToQwackIns(p, qwackCode, futureSettingsProvider, currencyProvider, indices, curves)).ToList();
var pillars = instruments.Select(x => x.PillarDate).OrderBy(x => x).ToArray();
var fic = new FundingInstrumentCollection(currencyProvider);
fic.AddRange(instruments);
var curve = new IrCurve(pillars, pillars.Select(p => 0.01).ToArray(), origin, curveName, Interpolator1DType.Linear, currencyProvider.GetCurrency("USD"));
var fm = new FundingModel(origin, new[] { curve }, currencyProvider, calendarProvider);
var solver = new NewtonRaphsonMultiCurveSolverStaged();
solver.Solve(fm, fic);
return(curve);
}
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);
}
public static RiskyFlySurface GetFxSurfaceForCode(string cmeSymbol, string cmeFutureFilename, BasicPriceCurve priceCurve, ICurrencyProvider currency)
{
var parsed = CMEFileParser.Instance.Parse(cmeFutureFilename).Where(r => r.Sym == cmeSymbol && r.SecTyp == "OOF" && r.SettlePrice.HasValue);
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(cmeSymbol);
var origin = DateTime.ParseExact(parsed.First().BizDt, "yyyy-MM-dd", CultureInfo.InvariantCulture);
var q = parsed.Where(x => x.SettlePrice > 0).Select(x => new ListedOptionSettlementRecord
{
CallPut = x.PutCall == 1 ? OptionType.C : OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
PV = x.SettlePrice.Value,
Strike = x.StrkPx.Value,
UnderlyingFuturesCode = x.UndlyMMY,
ExpiryDate = DateTime.ParseExact(x.MatDt, "yyyy-MM-dd", CultureInfo.InvariantCulture),
ValDate = origin
}).Where(z => z.ExpiryDate > origin).ToList();
var priceDict = priceCurve.PillarLabels.ToDictionary(x => x, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x)));
ListedSurfaceHelper.ImplyVols(q, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(q, priceDict);
var expiries = smiles.Keys.OrderBy(x => x).ToArray();
var ulByExpiry = expiries.ToDictionary(x => x, x => q.Where(qq => qq.ExpiryDate == x).First().UnderlyingFuturesCode);
var fwdByExpiry = ulByExpiry.ToDictionary(x => x.Key, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x.Value)));
var fwds = expiries.Select(e => fwdByExpiry[e]).ToArray();
var surface = ListedSurfaceHelper.ToRiskyFlySurface(smiles, origin, fwds, currency);
return(surface);
}
public Currency GetCurrency(string currency) => _currencyProvider.GetCurrency(currency);
public static RiskyFlySurface GetSurfaceForCode(string nymexSymbol, string nymexOptionFilename, string qwackCode, BasicPriceCurve priceCurve, ICalendarProvider calendarProvider, ICurrencyProvider currency, IFutureSettingsProvider futureSettingsProvider)
{
var parsed = NYMEXOptionParser.Instance.Parse(nymexOptionFilename).Where(r => r.Symbol == nymexSymbol);
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(nymexSymbol);
var origin = DateTime.ParseExact(parsed.First().TradeDate, "MM/dd/yyyy", CultureInfo.InvariantCulture);
var q = parsed.Where(x => x.Settle > 0).Select(x => new ListedOptionSettlementRecord
{
CallPut = x.PutCall == "C"?OptionType.C:OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
PV = x.Settle,
Strike = x.Strike,
UnderlyingFuturesCode = Year2to1(x.Contract.Split(' ')[0].Replace(nymexSymbol, qwackCode)),
ExpiryDate = OptionExpiryFromNymexRecord(x, calendarProvider),
ValDate = origin
}).Where(z => z.ExpiryDate > origin).ToList();
var priceDict = priceCurve.PillarLabels.ToDictionary(x => x, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x)));
ListedSurfaceHelper.ImplyVols(q, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(q, priceDict);
var allOptionExpiries = new List <DateTime>();
var lastDate = q.Max(x => x.ExpiryDate);
var dummyFutureCode = $"{qwackCode}Z{DateExtensions.SingleDigitYear(DateTime.Today.Year + 2)}";
var c = new FutureCode(dummyFutureCode, DateTime.Today.Year - 2, futureSettingsProvider);
var contract = c.GetFrontMonth(origin, false);
var lastContract = c.GetFrontMonth(lastDate, false);
while (contract != lastContract)
{
var cc = new FutureCode(contract, origin.Year, futureSettingsProvider);
var exp = ListedUtils.FuturesCodeToDateTime(contract);
var record = new NYMEXOptionRecord
{
ContractMonth = exp.Month,
ContractYear = exp.Year,
Symbol = nymexSymbol
};
var optExpiry = OptionExpiryFromNymexRecord(record, calendarProvider);
if (optExpiry > origin)
{
allOptionExpiries.Add(optExpiry);
}
contract = cc.GetNextCode(false);
}
var surface = ListedSurfaceHelper.ToRiskyFlySurfaceStepFlat(smiles, origin, priceCurve, allOptionExpiries, currency);
return(surface);
}
public static RiskyFlySurface GetSurfaceForCode(string nymexSymbol, string nymexOptionFilename, string qwackCode, PriceCurve priceCurve, ICalendarProvider calendarProvider, ICurrencyProvider currency)
{
var parsed = NYMEXOptionParser.Parse(nymexOptionFilename).Where(r => r.Symbol == nymexSymbol);
var(optionExerciseType, optionMarginingType) = OptionTypeFromCode(nymexSymbol);
var origin = DateTime.ParseExact(parsed.First().TradeDate, "MM/dd/yyyy", CultureInfo.InvariantCulture);
var q = parsed.Select(x => new ListedOptionSettlementRecord
{
CallPut = x.PutCall == "C"?OptionType.C:OptionType.P,
ExerciseType = optionExerciseType,
MarginType = optionMarginingType,
PV = x.Settle,
Strike = x.Strike,
UnderlyingFuturesCode = Year2to1(x.Contract.Split(' ')[0].Replace(nymexSymbol, qwackCode)),
ExpiryDate = OptionExpiryFromNymexRecord(x, calendarProvider),
ValDate = origin
}).ToList();
var priceDict = priceCurve.PillarLabels.ToDictionary(x => x, x => priceCurve.GetPriceForDate(priceCurve.PillarDatesForLabel(x)));
ListedSurfaceHelper.ImplyVols(q, priceDict, new ConstantRateIrCurve(0.0, origin, "dummy", currency.GetCurrency("USD")));
var smiles = ListedSurfaceHelper.ToDeltaSmiles(q, priceDict);
var surface = ListedSurfaceHelper.ToRiskyFlySurface(smiles, origin, smiles.Keys.Select(x => priceCurve.GetPriceForDate(x)).ToArray());
return(surface);
}
public IrCurve(TO_IrCurve transportObject, ICurrencyProvider currencyProvider)
: this(transportObject.Pillars, transportObject.Rates, transportObject.BuildDate, transportObject.Name, transportObject.InterpKind,
currencyProvider.GetCurrency(transportObject.Ccy), transportObject.CollateralSpec, transportObject.RateStorageType)
{
_basis = transportObject.Basis;
}
public string GetDiscountCurve(string currency) => DiscountCurveMap.TryGetValue(_currencyProvider.GetCurrency(currency), out var curve) ? curve : null;
public void Portfolio()
{
var bd = DateTime.Parse("2018-09-13");
var swp = AssetProductFactory.CreateTermAsianSwap(bd, bd.AddYears(1), 100, "AssetX", CalendarProvider.Collection["USD"], bd.AddYears(2), CcyProvider.GetCurrency("USD"));
var pf = new Portfolio()
{
Instruments = new List <IInstrument>()
};
Assert.Empty(PortfolioEx.AssetIds(pf));
pf.Instruments = new List <IInstrument> {
swp
};
Assert.Equal(swp.LastSensitivityDate, pf.LastSensitivityDate);
Assert.Equal("AssetX", PortfolioEx.AssetIds(pf).First());
Assert.Equal(bd.AddYears(2), pf.LastSensitivityDate);
var deets = PortfolioEx.Details(pf);
Assert.Throws <NotImplementedException>(() => pf.TradeId);
Assert.Throws <NotImplementedException>(() => pf.Counterparty);
Assert.Throws <NotImplementedException>(() => pf.Counterparty = null);
}