public static double PV(this CashFlowSchedule schedule, Currency reportingCCy, IFundingModel model, string forecastCurve, DayCountBasis basisFloat, DateTime?filterDate)
{
var totalPv = 0.0;
for (var i = 0; i < schedule.Flows.Count; i++)
{
var flow = schedule.Flows[i];
if (filterDate.HasValue && flow.SettleDate < filterDate.Value)
{
continue;
}
double fv, pv;
var df = model.GetDf(reportingCCy, model.BuildDate, flow.SettleDate);
var fwdFxRate = model.GetFxRate(flow.SettleDate, flow.Currency, reportingCCy);
switch (flow.FlowType)
{
case FlowType.FixedRate:
{
var rateLin = flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
case FlowType.FloatRate:
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var rateLin = model.GetCurve(forecastCurve).GetForwardRate(s, e, RateType.Linear, basisFloat);
rateLin += flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
case FlowType.FixedAmount:
{
fv = flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
}
}
return(totalPv);
}
public double Pv(IFundingModel model, bool updateState)
{
var discName = model.FxMatrix.GetDiscountCurve(ForeignCcy);
var discCurve = model.GetCurve(discName);
var farFx = model.GetFxRate(FarDate, DomesticCcy, ForeignCcy);
var nearFx = model.GetFxRate(NearDate, DomesticCcy, ForeignCcy);
var farStrike = nearFx + SwapPoints / Divisor;
var farPv = -(farFx - farStrike) * Notional * discCurve.GetDf(model.BuildDate, FarDate);
return(farPv);
}
public double SuggestPillarValue(IFundingModel model)
{
var pair = model.FxMatrix.GetFxPair(Pair);
var spotDate = pair.SpotDate(model.BuildDate);
var fxr = Strike / model.GetFxRate(spotDate, Pair);
var df1 = model.GetCurve(model.FxMatrix.GetDiscountCurve(DomesticCCY.Ccy)).GetDf(spotDate, PillarDate);
var df2 = df1 / fxr;
var discountCurve = model.Curves[SolveCurve];
var t = discountCurve.Basis.CalculateYearFraction(spotDate, PillarDate);
var rate = -Log(df2) / t;
if (double.IsNaN(rate) || double.IsInfinity(rate))
{
rate = 0.05;
}
return(rate);
}
public double SuggestPillarValue(IFundingModel model) => SolveCurve == ForecastCurvePay
? model.GetCurve(ForecastCurveRec).GetForwardCCRate(model.BuildDate, PillarDate) + ParSpreadRec
: model.GetCurve(ForecastCurvePay).GetForwardCCRate(model.BuildDate, PillarDate) + ParSpreadPay;
public double SuggestPillarValue(IFundingModel model) => model.GetCurve(ForecastCurve).GetForwardCCRate(model.BuildDate, PillarDate) + Spread;
public void Solve(IFundingModel fundingModel, FundingInstrumentCollection instruments, Dictionary <string, SolveStage> stages)
{
var sw = new Stopwatch();
sw.Start();
var itterationsPerStage = new Dictionary <SolveStage, int>();
var maxStage = stages.Values.Max(x => x.Stage);
for (var stage = 0; stage <= maxStage; stage++)
{
var inThisStage = stages.Where(x => x.Value.Stage == stage)
.GroupBy(x => x.Value.SubStage)
.ToDictionary(x => x.Key, x => x.Select(y => y.Key).ToArray());
ParallelUtils.Instance.Foreach(inThisStage.Keys.ToList(), subStage =>
{
var curvesForStage = inThisStage[subStage].Select(c => (IIrCurve)fundingModel.GetCurve(c)).ToList();
var fundingInstruments = new List <IFundingInstrument>();
var insForCurve = new List <IFundingInstrument>();
foreach (var curve in curvesForStage)
{
foreach (var inst in instruments)
{
if (inst.SolveCurve == curve.Name)
{
insForCurve.Add(inst);
fundingInstruments.Add(inst);
}
}
if (InLineCurveGuessing)
{
var points = insForCurve.ToDictionary(x => x.PillarDate, x => x.SuggestPillarValue(fundingModel));
for (var i = 0; i < curve.NumberOfPillars; i++)
{
curve.SetRate(i, points[((IrCurve)curve).PillarDates[i]], true);
}
}
}
var currentGuess = new double[fundingInstruments.Count];
var currentPvs = new double[fundingInstruments.Count];
var bumpedPvs = new double[fundingInstruments.Count];
var jacobian = Math.Matrix.DoubleArrayFunctions.MatrixCreate(fundingInstruments.Count, fundingInstruments.Count);
for (var i = 0; i < MaxItterations; i++)
{
ComputePVs(true, fundingInstruments, fundingModel, currentPvs);
if (currentPvs.Max(x => System.Math.Abs(x)) < Tollerance)
{
UsedItterations += i + 1;
break;
}
ComputeJacobian(fundingInstruments, fundingModel, curvesForStage, currentGuess, bumpedPvs, currentPvs, ref jacobian);
ComputeNextGuess(currentGuess, fundingInstruments.Count, curvesForStage, jacobian, currentPvs);
}
}).Wait();
}
//fundingModel.CalibrationItterations = itterationsPerStage;
fundingModel.CalibrationTimeMs = sw.ElapsedMilliseconds;
sw.Stop();
}