public void PathsGenerated()
{
var vol = 0.32;
using var engine = new PathEngine(IsCoverageOnly ? 2.IntPow(6) : 2 << 10);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true
});
var asset2 = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: vol,
spot: 500,
drift: 0.00,
numberOfSteps: IsCoverageOnly ? 1 : 365,
name: "TestAsset2"
);
engine.AddPathProcess(asset2);
var payoff = new EuropeanPut("TestAsset2", 500, DateTime.Now.Date.AddYears(1));
engine.AddPathProcess(payoff);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackPv = BlackFunctions.BlackPV(500, 500, 0, 1, vol, OptionType.P);
if (!IsCoverageOnly)
{
Assert.Equal(blackPv, pv, 0);
}
}
public void TestBlockGeneration()
{
using var engine = new PathEngine(4 << 2);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64());
engine.AddPathProcess(new FakeAssetProcess("TestUnderlying", numberOfDimensions: 2, timesteps: 10));
engine.SetupFeatures();
engine.RunProcess();
}
public void LVMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 12))
{
Parallelize = false
};
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = true
});
var tenorsStr = new[] { "1m", "2m", "3m", "6m" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { 0.1, 0.25, 0.5, 0.75, 0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var tExp = (origin.AddMonths(6) - origin).TotalDays / 365.0;
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
StrikeType.ForwardDelta, Interpolator1DType.GaussianKernel,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t / tExp); });
var asset = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddMonths(6),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: IsCoverageOnly ? 3 : 100,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddMonths(6));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddMonths(6));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackVol = volSurface.GetVolForAbsoluteStrike(900, origin.AddMonths(6), fwdCurve(tExp));
var blackPv = BlackFunctions.BlackPV(fwdCurve(tExp), 900, 0, tExp, blackVol, OptionType.P);
if (!IsCoverageOnly)
{
Assert.True(System.Math.Abs(blackPv / pv - 1.0) < 0.02);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(tExp) / fwd - 1.0) < 0.005);
}
}
public void TestBlockGenerationSobolFlipShifted()
{
var engine = new PathEngine(64);
var directionNumbers = new Random.Sobol.SobolDirectionNumbers("SobolDirectionNumbers.txt");
engine.AddPathProcess(new Random.Sobol.SobolFlipShiftedPathGenerator(true, directionNumbers));
engine.AddPathProcess(new FakeAssetProcess("TestUnderlying", numberOfDimensions: 2, timesteps: 10));
engine.SetupFeatures();
engine.RunProcess();
}
public void RandsWithNoVectors()
{
var Paths = (int)System.Math.Pow(2, 14);
using var engine = new PathEngine(Paths);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64());
engine.AddPathProcess(new FakeAssetProcess("TestUnderlying", numberOfDimensions: 2, timesteps: 100));
engine.SetupFeatures();
engine.RunProcess();
}
public void LVMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
var engine = new PathEngine(2.IntPow(17));
//engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
//{
// UseNormalInverse = true,
// UseAnthithetic = false
//});
engine.AddPathProcess(new Random.Sobol.SobolShiftedPathGenerator(new Random.Sobol.SobolDirectionNumbers(s_directionNumbers), 0)
{
UseNormalInverse = true
});
var tenorsStr = new[] { "1m", "2m", "3m", "6m", "9m", "1y" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { -0.1, -0.25, -0.5, -0.75, -0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
Core.Basic.StrikeType.ForwardDelta, Interpolator1DType.LinearFlatExtrap,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t); });
var asset = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: 365,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddYears(1));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddYears(1));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackVol = volSurface.GetVolForAbsoluteStrike(900, origin.AddYears(1), fwdCurve(1.0));
var blackPv = BlackFunctions.BlackPV(1000, 900, 0, 1, blackVol, OptionType.P);
Assert.Equal(blackPv, pv, 0);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(1) / fwd - 1.0) < 0.001);
//var output = new OutputPathsToImage(engine,2000,1000);
}
public static void AddRate <T>(this PathEngine engine, T rateFeature) where T : IRateFeature
{
var rateCollection = engine.Features.GetFeature <IRatesFeature>();
rateCollection.AddRate(rateFeature);
if (rateFeature is IPathProcess process)
{
engine.AddPathProcess(process);
}
}
public void PathsGenerated()
{
var engine = new PathEngine(2 << 8);
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true
});
var asset = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: 0.30,
spot: 1000,
drift: 0.00,
numberOfSteps: 100,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var asset2 = new ConstantVolSingleAsset
(
startDate: DateTime.Now.Date,
expiry: DateTime.Now.Date.AddYears(1),
vol: 0.30,
spot: 500,
drift: 0.00,
numberOfSteps: 25,
name: "TestAsset2"
);
engine.AddPathProcess(asset2);
var payoff = new EuropeanPut("TestAsset2", 500, DateTime.Now.Date.AddYears(1));
engine.AddPathProcess(payoff);
engine.SetupFeatures();
engine.RunProcess();
var output = new OutputPathsToImage(engine, 2000, 1000);
}
public void BlackMC_PathsGenerated()
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 15));
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
var volSurface = new ConstantVolSurface(origin, 0.32);
var fwdCurve = new Func <double, double>(t => { return(900 + 100 * t); });
var asset = new BlackSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve,
nTimeSteps: IsCoverageOnly ? 1 : 10,
name: "TestAsset"
);
engine.AddPathProcess(asset);
var payoff = new EuropeanPut("TestAsset", 900, origin.AddYears(1));
var payoff2 = new EuropeanCall("TestAsset", 0, origin.AddYears(1));
engine.AddPathProcess(payoff);
engine.AddPathProcess(payoff2);
engine.SetupFeatures();
engine.RunProcess();
var pv = payoff.AverageResult;
var blackPv = BlackFunctions.BlackPV(1000, 900, 0, 1, 0.32, OptionType.P);
if (!IsCoverageOnly)
{
Assert.True(System.Math.Abs(blackPv - pv) < 1.0);
var fwd = payoff2.AverageResult;
Assert.True(System.Math.Abs(fwdCurve(1) / fwd - 1.0) < 0.001);
}
}
public void CompositeSmimleFacts_LocalVol()
{
var origin = new DateTime(2017, 02, 07);
var expiry = origin.AddMonths(2);
var tExp = origin.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var fwdCurveAsset = new Func <double, double>(t => { return(100); });
var fwdCurveFx = new Func <double, double>(t => { return(15); });
var volAsset = 0.32;
var volFx = 0.16;
var correl = 0.25;
var surfaceAsset = new RiskyFlySurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.GaussianKernel, Interpolator1DType.Linear)
{
FlatDeltaSmileInExtreme = true
};
var surfaceFx = new RiskyFlySurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.GaussianKernel, Interpolator1DType.Linear)
{
FlatDeltaSmileInExtreme = true
};
//var surfaceAsset = new SabrVolSurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceFx = new SabrVolSurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceAsset = new SVIVolSurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceFx = new SVIVolSurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
var invFx = new InverseFxSurface("inv", surfaceFx, TestProviderHelper.CurrencyProvider);
var surfaceCompo = surfaceAsset.GenerateCompositeSmile(invFx, 200, expiry, 100, 1.0 / 15, correl);
//setup MC
using var engine = new PathEngine(2.IntPow(IsCoverageOnly?5:15));
engine.AddPathProcess(
new Qwack.Random.MersenneTwister.MersenneTwister64
{
UseNormalInverse = true
});
var correlMatrix = new double[][]
{
new double[] { 1.0, correl },
new double[] { correl, 1.0 },
};
engine.AddPathProcess(new Cholesky(correlMatrix));
var asset1 = new TurboSkewSingleAsset
(
startDate: origin,
expiryDate: expiry,
volSurface: surfaceAsset,
forwardCurve: fwdCurveAsset,
nTimeSteps: 1,
name: "Asset"
);
var asset2 = new TurboSkewSingleAsset
(
startDate: origin,
expiryDate: expiry,
volSurface: surfaceFx,
forwardCurve: fwdCurveFx,
nTimeSteps: 1,
name: "USD/ZAR"
);
engine.AddPathProcess(asset1);
engine.AddPathProcess(asset2);
var strike = 1500;
var product = new EuropeanOption
{
AssetId = "Asset",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["ZAR"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = strike,
FxConversionType = FxConversionType.ConvertThenAverage
};
var productAsset = new EuropeanOption
{
AssetId = "Asset",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["USD"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = 100,
FxConversionType = FxConversionType.None
};
var productFx = new EuropeanOption
{
AssetId = "USD/ZAR",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["ZAR"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = 0.1,
FxConversionType = FxConversionType.None
};
var pathProduct = new AssetPathPayoff(product, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
var pathProductAsset = new AssetPathPayoff(productAsset, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
var pathProductFx = new AssetPathPayoff(productFx, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
engine.AddPathProcess(pathProduct);
engine.AddPathProcess(pathProductAsset);
engine.AddPathProcess(pathProductFx);
engine.SetupFeatures();
engine.RunProcess();
var q = pathProduct.ResultsByPath;
var qq = q.Average();
var productIv = BlackFunctions.BlackImpliedVol(1500, strike, 0.0, tExp, pathProduct.AverageResult, OptionType.C);
var productAssetIv = BlackFunctions.BlackImpliedVol(100, 100, 0.0, tExp, pathProductAsset.AverageResult, OptionType.C);
var productFxIv = BlackFunctions.BlackImpliedVol(10, 10, 0.0, tExp, pathProductFx.AverageResult, OptionType.C);
Assert.True(Abs(productIv - surfaceCompo.Interpolate(strike)) < 0.01);
}
public void LVMCDualPathsGenerated(double correlation)
{
var origin = DateTime.Now.Date;
using var engine = new PathEngine(2.IntPow(IsCoverageOnly ? 6 : 8))
{
Parallelize = false
};
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false,
});
engine.IncrementDepth();
var correlMatrix = new double[][]
{
new double[] { 1.0, correlation },
new double[] { correlation, 1.0 },
};
engine.AddPathProcess(new Cholesky(correlMatrix));
engine.IncrementDepth();
var tenorsStr = new[] { "1m", "2m", "3m", "6m" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { -0.1, -0.25, -0.5, -0.75, -0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
StrikeType.ForwardDelta, Interpolator1DType.GaussianKernel,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve1 = new Func <double, double>(t => { return(1000); });
var asset1 = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddMonths(6),
volSurface: volSurface,
forwardCurve: fwdCurve1,
nTimeSteps: IsCoverageOnly ? 3 : 100,
name: "TestAsset1"
);
var fwdCurve2 = new Func <double, double>(t => { return(1000); });
var asset2 = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddMonths(6),
volSurface: volSurface,
forwardCurve: fwdCurve2,
nTimeSteps: IsCoverageOnly ? 3 : 100,
name: "TestAsset2"
);
engine.AddPathProcess(asset1);
engine.AddPathProcess(asset2);
engine.IncrementDepth();
var correl = new Correlation("TestAsset1", "TestAsset2");
engine.AddPathProcess(correl);
engine.SetupFeatures();
engine.RunProcess();
var corr = correl.AverageResult;
var errCorr = correl.ResultStdError;
if (!IsCoverageOnly)
{
Assert.Equal(correlation, corr, 1);
}
}
public void LVMC_TriplePathsGenerated(double correlationAB, double correlationAC, double correlationBC)
{
var origin = DateTime.Now.Date;
var engine = new PathEngine(2.IntPow(15));
engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
var correlMatrix = new double[][]
{
new double[] { 1.0, correlationAB, correlationAC },
new double[] { correlationAB, 1.0, correlationBC },
new double[] { correlationAC, correlationBC, 1.0 },
};
engine.AddPathProcess(new Cholesky(correlMatrix));
var tenorsStr = new[] { "1m", "2m", "3m", "6m", "9m", "1y" };
var tenors = tenorsStr.Select(x => new Frequency(x));
var expiries = tenors.Select(t => origin.AddPeriod(RollType.F, new Calendar(), t)).ToArray();
var deltaKs = new[] { -0.1, -0.25, -0.5, -0.75, -0.9 };
var smileVols = new[] { 0.32, 0.3, 0.29, 0.3, 0.32 };
var vols = Enumerable.Repeat(smileVols, expiries.Length).ToArray();
var volSurface = new GridVolSurface(origin, deltaKs, expiries, vols,
Core.Basic.StrikeType.ForwardDelta, Interpolator1DType.LinearFlatExtrap,
Interpolator1DType.LinearInVariance, DayCountBasis.Act365F);
var fwdCurve1 = new Func <double, double>(t => { return(1000); });
var fwdCurve2 = new Func <double, double>(t => { return(1000); });
var fwdCurve3 = new Func <double, double>(t => { return(1000); });
var assetA = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve1,
nTimeSteps: 365,
name: "TestAssetA"
);
var assetB = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve2,
nTimeSteps: 365,
name: "TestAssetB"
);
var assetC = new LVSingleAsset
(
startDate: origin,
expiryDate: origin.AddYears(1),
volSurface: volSurface,
forwardCurve: fwdCurve3,
nTimeSteps: 365,
name: "TestAssetC"
);
engine.AddPathProcess(assetA);
engine.AddPathProcess(assetB);
engine.AddPathProcess(assetC);
var correlAB = new Correlation("TestAssetA", "TestAssetB");
var correlAC = new Correlation("TestAssetA", "TestAssetC");
var correlBC = new Correlation("TestAssetB", "TestAssetC");
engine.AddPathProcess(correlAB);
engine.AddPathProcess(correlAC);
engine.AddPathProcess(correlBC);
engine.SetupFeatures();
engine.RunProcess();
Assert.Equal(correlationAB, correlAB.AverageResult, 2);
Assert.Equal(correlationAC, correlAC.AverageResult, 2);
Assert.Equal(correlationBC, correlBC.AverageResult, 2);
}
public AssetFxMCModel(DateTime originDate, Portfolio portfolio, IAssetFxModel model, McSettings settings, ICurrencyProvider currencyProvider, IFutureSettingsProvider futureSettingsProvider, ICalendarProvider calendarProvider)
{
if (settings.CompactMemoryMode && settings.AveragePathCorrection)
{
throw new Exception("Can't use both CompactMemoryMode and PathCorrection");
}
_currencyProvider = currencyProvider;
_futureSettingsProvider = futureSettingsProvider;
_calendarProvider = calendarProvider;
Engine = new PathEngine(settings.NumberOfPaths)
{
Parallelize = settings.Parallelize,
CompactMemoryMode = settings.CompactMemoryMode
};
OriginDate = originDate;
Portfolio = portfolio;
Model = model;
Settings = settings;
switch (settings.Generator)
{
case RandomGeneratorType.MersenneTwister:
Engine.AddPathProcess(new Random.MersenneTwister.MersenneTwister64()
{
UseNormalInverse = true,
UseAnthithetic = false
});
break;
case RandomGeneratorType.Sobol:
var directionNumers = new Random.Sobol.SobolDirectionNumbers(GetSobolFilename());
Engine.AddPathProcess(new Random.Sobol.SobolPathGenerator(directionNumers, 1000)
{
UseNormalInverse = true
});
break;
case RandomGeneratorType.Constant:
Engine.AddPathProcess(new Random.Constant.Constant()
{
UseNormalInverse = true,
});
break;
case RandomGeneratorType.FlipFlop:
Engine.AddPathProcess(new Random.Constant.FlipFlop(settings.CreditSettings.ConfidenceInterval, true));
break;
}
Engine.IncrementDepth();
if (model.CorrelationMatrix != null)
{
if (settings.LocalCorrelation)
{
Engine.AddPathProcess(new CholeskyWithTime(model.CorrelationMatrix, model));
}
else
{
Engine.AddPathProcess(new Cholesky(model.CorrelationMatrix));
}
Engine.IncrementDepth();
}
var lastDate = portfolio.LastSensitivityDate;
var assetIds = portfolio.AssetIds();
var assetInstruments = portfolio.Instruments
.Where(x => x is IAssetInstrument)
.Select(x => x as IAssetInstrument);
var fixingsNeeded = new Dictionary <string, List <DateTime> >();
foreach (var ins in assetInstruments)
{
var fixingsForIns = ins.PastFixingDates(originDate);
if (fixingsForIns.Any())
{
foreach (var kv in fixingsForIns)
{
if (!fixingsNeeded.ContainsKey(kv.Key))
{
fixingsNeeded.Add(kv.Key, new List <DateTime>());
}
fixingsNeeded[kv.Key] = fixingsNeeded[kv.Key].Concat(kv.Value).Distinct().ToList();
}
}
}
//asset processes
var fxAssetsToAdd = new List <string>();
var corrections = new Dictionary <string, SimpleAveragePathCorrector>();
foreach (var assetId in assetIds)
{
if (assetId.Length == 7 && assetId[3] == '/')
{
fxAssetsToAdd.Add(assetId);
continue;
}
if (!(model.GetVolSurface(assetId) is IATMVolSurface surface))
{
throw new Exception($"Vol surface for asset {assetId} could not be cast to IATMVolSurface");
}
var fixingDict = fixingsNeeded.ContainsKey(assetId) ? model.GetFixingDictionary(assetId) : null;
var fixings = fixingDict != null ?
fixingsNeeded[assetId].ToDictionary(x => x, x => fixingDict.GetFixing(x))
: new Dictionary <DateTime, double>();
var futuresSim = settings.ExpensiveFuturesSimulation &&
(model.GetPriceCurve(assetId).CurveType == PriceCurveType.ICE || model.GetPriceCurve(assetId).CurveType == PriceCurveType.NYMEX);
if (futuresSim)
{
var fwdCurve = new Func <DateTime, double>(t =>
{
return(model.GetPriceCurve(assetId).GetPriceForDate(t));
});
var asset = new BlackFuturesCurve
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: Settings.FuturesMappingTable[assetId],
pastFixings: fixings,
futureSettingsProvider: _futureSettingsProvider
);
Engine.AddPathProcess(asset);
}
else
{
var fwdCurve = new Func <double, double>(t =>
{
var c = model.GetPriceCurve(assetId);
var d = originDate.AddYearFraction(t, DayCountBasis.ACT365F);
if (c is PriceCurve pc)
{
d = d.AddPeriod(RollType.F, pc.SpotCalendar, pc.SpotLag);
}
else if (c is ContangoPriceCurve cc)
{
d = d.AddPeriod(RollType.F, cc.SpotCalendar, cc.SpotLag);
}
return(c.GetPriceForDate(d));
});
IATMVolSurface adjSurface = null;
var correlation = 0.0;
if (settings.ReportingCurrency != model.GetPriceCurve(assetId).Currency)
{
var fxAdjPair = settings.ReportingCurrency + "/" + model.GetPriceCurve(assetId).Currency;
var fxAdjPairInv = model.GetPriceCurve(assetId).Currency + "/" + settings.ReportingCurrency;
if (!(model.FundingModel.GetVolSurface(fxAdjPair) is IATMVolSurface adjSurface2))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
adjSurface = adjSurface2;
if (model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, assetId, out var correl))
{
correlation = correl;
}
else if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPairInv, assetId, out var correl2))
{
correlation = -correl2;
}
}
}
if (settings.McModelType == McModelType.LocalVol)
{
var asset = new LVSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
else if (settings.McModelType == McModelType.TurboSkew)
{
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
else
{
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: assetId,
pastFixings: fixings,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
}
if (settings.AveragePathCorrection)
{
corrections.Add(assetId, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(assetId)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, assetId, fixings, adjSurface, correlation));
}
}
}
//fx pairs
var pairsAdded = new List <string>();
var fxPairs = portfolio.FxPairs(model).Concat(fxAssetsToAdd);
var payoutCcys = portfolio.Instruments.Select(i => i.Currency);
if (payoutCcys.Any(p => p != settings.ReportingCurrency))
{
var ccysToAdd = payoutCcys.Where(p => p != settings.ReportingCurrency).Distinct();
var pairsToAdd = ccysToAdd.Select(c => $"{c.Ccy}/{settings.ReportingCurrency}");
fxPairs = fxPairs.Concat(pairsToAdd).Distinct();
}
foreach (var fxPair in fxPairs)
{
var fxPairName = fxPair;
var pair = fxPairName.FxPairFromString(_currencyProvider, _calendarProvider);
if (pairsAdded.Contains(pair.ToString()))
{
continue;
}
if (!(model.FundingModel.VolSurfaces[fxPairName] is IATMVolSurface surface))
{
throw new Exception($"Vol surface for fx pair {fxPairName} could not be cast to IATMVolSurface");
}
var fwdCurve = new Func <double, double>(t =>
{
var date = originDate.AddYearFraction(t, DayCountBasis.ACT365F);
var spotDate = pair.SpotDate(date);
return(model.FundingModel.GetFxRate(spotDate, fxPairName));
});
pairsAdded.Add(pair.ToString());
if (settings.McModelType == McModelType.LocalVol)
{
var asset = new LVSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
else if (settings.McModelType == McModelType.TurboSkew)
{
if (fxPairName.Substring(fxPairName.Length - 3, 3) != settings.ReportingCurrency)
{//needs to be drift-adjusted
var fxAdjPair = settings.ReportingCurrency + "/" + fxPairName.Substring(fxPairName.Length - 3, 3);
if (!(model.FundingModel.VolSurfaces[fxAdjPair] is IATMVolSurface adjSurface))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
var correlation = fxPair == fxAdjPair ? -1.0 : 0.0;
if (correlation != -1.0 && model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, fxPair, out var correl))
{
correlation = correl;
}
}
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName, null, adjSurface, correlation));
}
}
else
{
var asset = new TurboSkewSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
}
else
{
if (fxPairName.Substring(fxPairName.Length - 3, 3) != settings.ReportingCurrency)
{//needs to be drift-adjusted
var fxAdjPair = settings.ReportingCurrency + "/" + fxPairName.Substring(fxPairName.Length - 3, 3);
if (!(model.FundingModel.VolSurfaces[fxAdjPair] is IATMVolSurface adjSurface))
{
throw new Exception($"Vol surface for fx pair {fxAdjPair} could not be cast to IATMVolSurface");
}
var correlation = fxPair == fxAdjPair ? -1.0 : 0.0;
if (correlation != -1.0 && model.CorrelationMatrix != null)
{
if (model.CorrelationMatrix.TryGetCorrelation(fxAdjPair, fxPair, out var correl))
{
correlation = correl;
}
}
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName,
fxAdjustSurface: adjSurface,
fxAssetCorrelation: correlation
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName, null, adjSurface, correlation));
}
}
else
{
var asset = new BlackSingleAsset
(
startDate: originDate,
expiryDate: lastDate,
volSurface: surface,
forwardCurve: fwdCurve,
nTimeSteps: settings.NumberOfTimesteps,
name: fxPairName
);
Engine.AddPathProcess(asset);
if (settings.AveragePathCorrection)
{
corrections.Add(fxPairName, new SimpleAveragePathCorrector(new SimpleAveragePathCalculator(fxPairName)
{
CompactMode = settings.CompactMemoryMode
}, surface, fwdCurve, fxPairName));
}
}
}
}
//apply path correctin
if (settings.AveragePathCorrection && corrections.Any())
{
Engine.IncrementDepth();
foreach (var pc in corrections)
{
Engine.AddPathProcess(pc.Value.PathCalc);
}
Engine.IncrementDepth();
foreach (var pc in corrections)
{
Engine.AddPathProcess(pc.Value);
}
}
//payoffs
Engine.IncrementDepth();
_payoffs = assetInstruments.ToDictionary(x => x.TradeId, y => new AssetPathPayoff(y, _currencyProvider, _calendarProvider, settings.ReportingCurrency));
if (!settings.AvoidRegressionForBackPricing && _payoffs.Any(x => x.Value.Regressors != null))
{
var regressorsToAdd = _payoffs.Where(x => x.Value.Regressors != null)
.SelectMany(x => x.Value.Regressors)
.Distinct();
foreach (var regressor in regressorsToAdd)
{
Engine.AddPathProcess(regressor);
foreach (var payoff in _payoffs.Where(x => x.Value.Regressors != null))
{
if (payoff.Value.Regressors.Any(x => x == regressor))
{
payoff.Value.SetRegressor(regressor);
}
}
}
Engine.IncrementDepth();
}
foreach (var product in _payoffs)
{
if (settings.AvoidRegressionForBackPricing && (product.Value.AssetInstrument is BackPricingOption || product.Value.AssetInstrument is MultiPeriodBackpricingOption))
{
product.Value.VanillaModel = VanillaModel;
}
Engine.AddPathProcess(product.Value);
}
var metricsNeedRegression = new[] { BaseMetric.PFE, BaseMetric.KVA, BaseMetric.CVA, BaseMetric.FVA, BaseMetric.EPE };
//Need to calculate PFE
if (settings.CreditSettings != null && settings.CreditSettings.ExposureDates != null && settings.ReportingCurrency != null && metricsNeedRegression.Contains(settings.CreditSettings.Metric))//setup for PFE, etc
{
Engine.IncrementDepth();
switch (settings.CreditSettings.PfeRegressorType)
{
case PFERegressorType.MultiLinear:
_regressor = new LinearPortfolioValueRegressor(settings.CreditSettings.ExposureDates,
_payoffs.Values.ToArray(), settings);
break;
case PFERegressorType.MonoLinear:
_regressor = new MonoIndexRegressor(settings.CreditSettings.ExposureDates,
_payoffs.Values.ToArray(), settings, true);
break;
}
Engine.AddPathProcess(_regressor);
}
//Need to calculate expected capital
if (settings.CreditSettings != null && settings.CreditSettings.ExposureDates != null && settings.ReportingCurrency != null && settings.CreditSettings.Metric == BaseMetric.ExpectedCapital)
{
Engine.IncrementDepth();
_capitalCalc = new ExpectedCapitalCalculator(Portfolio, settings.CreditSettings.CounterpartyRiskWeighting, settings.CreditSettings.AssetIdToHedgeGroupMap, settings.ReportingCurrency, VanillaModel, settings.CreditSettings.ExposureDates);
Engine.AddPathProcess(_capitalCalc);
}
Engine.SetupFeatures();
}