/// <summary>
///
/// </summary>
/// <returns>Calculates the premium using previously set curves</returns>
public Decimal?CalculatePremium()
{
//Check the curves. If they are null use the market quote.
if (DiscountCurve == null || ForecastCurve == null)
{
return(null);
}
//1. Copy the vols.
var volatilities = CreateList((double)Volatility, TimesToExpiry.Count);
//Currently onlt non-discounted caps are avialable.
var notionals = CreateList(InitialNotional, TimesToExpiry.Count);
//2.The strikes
if (Strike != null)
{
var strikes = CreateList((decimal)Strike, TimesToExpiry.Count);
//3.The premium of the flat volatility must be calculated.
var analyticsModel = new RateOptionAssetAnalytic();
var analyticModelParameters = new RateOptionAssetParameters
{
PaymentDiscountFactors = GetDiscountFactors(DiscountCurve, AdjustedPeriodDates.ToArray(), BaseDate),
ForecastDiscountFactors =
GetDiscountFactors(ForecastCurve, AdjustedPeriodDates.ToArray(), BaseDate),
Volatilities = volatilities,
YearFractions = GetYearFractions(),
Strikes = strikes,
TimesToExpiry = TimesToExpiry,
IsDiscounted = false,
IsPut = !IsCap,
Notionals = notionals
};
//4. Solve for the forward volatility that has the same premium.
var metrics = new[] { RateOptionMetrics.NPV };
var analyticResults =
analyticsModel.Calculate <IRateOptionAssetResults, RateOptionAssetResults>(analyticModelParameters,
metrics);
if (IncludeFirstPeriod)
{
Premium = (decimal)SumDoubleList(analyticResults.NPV, 0);
}
else
{
Premium = (decimal)SumDoubleList(analyticResults.NPV, 1);
}
return(Premium);
}
return(null);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="discountCurve">The discount curve.</param>
/// <param name="forecastCurve">The forward curve.</param>
/// <param name="volCurve">The volatility surface.
/// and discount curves when called with ForecastRateCurve.</param>
/// <param name="curveToPerturb">The curve to perturb: the discount curve, the forecast curve or both.</param>
/// <returns></returns>
public IDictionary <string, double> CalculateRatePDH(DateTime valuationDate,
IRateCurve discountCurve, IRateCurve forecastCurve, IVolatilitySurface volCurve, CurvePerturbation curveToPerturb)
{
var result = new Dictionary <string, double>();
AnalyticResults = new RateOptionAssetResults();
switch (ModelIdentifier)
{
case "CapAsset":
AnalyticsModel = new RateOptionAssetAnalytic();
break;
case "DiscountCapAsset":
AnalyticsModel = new RateOptionAssetAnalytic();
break;
}
ForecastCurveName = forecastCurve.GetPricingStructureId().UniqueIdentifier;
DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier;
VolatilityCurveName = volCurve.GetPricingStructureId().UniqueIdentifier;
var analyticModelParameters = new RateOptionAssetParameters {
IsPut = !IsCap, Notionals = Notionals
};
//and the rest rates
if (ResetRates != null)
{
analyticModelParameters.ForwardRates = ResetRates;
}
//2. Get the discount factors
analyticModelParameters.ForecastDiscountFactors =
GetDiscountFactors(forecastCurve, AdjustedPeriodDates.ToArray(), valuationDate);
analyticModelParameters.PaymentDiscountFactors =
GetDiscountFactors(discountCurve, AdjustedPeriodDates.ToArray(), valuationDate);
//3. Get the respective year fractions
analyticModelParameters.YearFractions = YearFractions;
//4. set the expiry times.
TimesToExpiry =
GetTimesToExpiry(ExpiryDates, valuationDate);
analyticModelParameters.TimesToExpiry = TimesToExpiry;
//5. Get the vols
analyticModelParameters.Volatilities =
GetVolatilties(volCurve, TimesToExpiry, Strikes);
//8. Get the Strikes
analyticModelParameters.Strikes = Strikes;
//9. Set the analytic input parameters and Calculate the respective metrics
var analyticResults =
AnalyticsModel.Calculate <IRateOptionAssetResults, RateOptionAssetResults>(analyticModelParameters,
new[] { RateOptionMetrics.NPV });
AnalyticResults = analyticResults;
var baseNPV = SumDoubleList(AnalyticResults.NPV, 0);
//Now loop through the risk curves.
if (curveToPerturb == CurvePerturbation.DiscountCurve)
{
var riskCurves = discountCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("DiscountCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0));
}
}
if (curveToPerturb == CurvePerturbation.ForecastCurve)
{
var riskCurves = forecastCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("ForecastCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0));
}
}
if (curveToPerturb == CurvePerturbation.Both)
{
var riskCurves1 = discountCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves1)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = RiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("DiscountCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0));
}
var riskCurves2 = forecastCurve.CreateCurveRiskSet(1);
foreach (var curve in riskCurves2)
{
var perturbedAsset = curve.GetPricingStructureId().Properties.GetValue <string>("PerturbedAsset");
analyticResults = ForecastRiskCalculationHelper((IRateCurve)curve, analyticModelParameters);
result.Add("ForecastCurve:" + perturbedAsset, baseNPV - SumDoubleList(analyticResults.NPV, 0));
}
}
return(result);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
switch (ModelIdentifier)
{
case "CapAsset":
AnalyticsModel = new RateOptionAssetAnalytic();
break;
case "DiscountCapAsset":
AnalyticsModel = new RateOptionAssetAnalytic();
break;
}
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
var bEvalLastForewardVolatiltiy = false;
if (metrics.Contains(RateOptionMetrics.VolatilityAtExpiry))
{
bEvalLastForewardVolatiltiy = true;
metrics.RemoveAll(
metricItem => metricItem != RateOptionMetrics.VolatilityAtExpiry);
}
var metricsToEvaluate = metrics.ToArray();
IRateOptionAssetParameters analyticModelParameters = new RateOptionAssetParameters();
AnalyticResults = new RateOptionAssetResults();
var marketEnvironment = modelData.MarketEnvironment;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
DiscountCurve = (IRateCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
DiscountCurveName = DiscountCurve.GetPricingStructureId().UniqueIdentifier;
ForecastCurve = DiscountCurve;
ForecastCurveName = DiscountCurveName;
var volatilities = CreateList((double)Volatility, TimesToExpiry.Count);
analyticModelParameters.Volatilities = volatilities;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
DiscountCurve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
DiscountCurveName = DiscountCurve.GetPricingStructureId().UniqueIdentifier;
ForecastCurve = ((ISwapLegEnvironment)marketEnvironment).GetForecastRateCurve();
ForecastCurveName = ForecastCurve.GetPricingStructureId().UniqueIdentifier;
VolatilityCurve = ((ISwapLegEnvironment)marketEnvironment).GetVolatilitySurface();
VolatilityCurveName = VolatilityCurve.GetPricingStructureId().UniqueIdentifier;
analyticModelParameters.Volatilities = GetVolatilties(VolatilityCurve, TimesToExpiry, Strikes);
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
if (DiscountCurveName != null)
{
DiscountCurve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(DiscountCurveName);
}
if (ForecastCurveName != null)
{
ForecastCurve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(ForecastCurveName);
}
if (VolatilityCurveName != null)
{
VolatilityCurve = (IVolatilitySurface)modelData.MarketEnvironment.GetPricingStructure(VolatilityCurveName);
}
analyticModelParameters.Volatilities = GetVolatilties(VolatilityCurve, TimesToExpiry, Strikes);
}
analyticModelParameters.FlatVolatility = Volatility;
//2. Set the premium
if (Premium == null)
{
Premium = CalculatePremium();
}
if (Premium != null)
{
analyticModelParameters.Premium = (double)Premium;
}
if (bEvalLastForewardVolatiltiy)
{
//3. Set the start diccount factor and vol.
analyticModelParameters.PremiumPaymentDiscountFactor =
GetDiscountFactor(DiscountCurve, AdjustedStartDate, modelData.ValuationDate);
//4. Get the respective year fractions
analyticModelParameters.YearFractions = GetYearFractions();
//5. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateOptionAssetResults, RateOptionAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
else
{
analyticModelParameters.IsDiscounted = false;
analyticModelParameters.IsPut = !IsCap;
analyticModelParameters.Notionals = Notionals;
analyticModelParameters.ForwardRates = ResetRates;
//2. Get the discount factors
analyticModelParameters.PaymentDiscountFactors =
GetDiscountFactors(DiscountCurve, AdjustedPeriodDates.ToArray(), modelData.ValuationDate);
analyticModelParameters.ForecastDiscountFactors =
GetDiscountFactors(ForecastCurve, AdjustedPeriodDates.ToArray(), modelData.ValuationDate);
//3. Get the respective year fractions
analyticModelParameters.YearFractions = GetYearFractions();
analyticModelParameters.Strikes = Strikes;
analyticModelParameters.Rate = (double)CalculateImpliedParRate(modelData.ValuationDate);
analyticModelParameters.TimesToExpiry = TimesToExpiry;
//5. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateOptionAssetResults, RateOptionAssetResults>(analyticModelParameters,
metricsToEvaluate);
}
return(GetValue(AnalyticResults));
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
switch (ModelIdentifier)
{
case "CapAsset":
AnalyticsModel = new RateOptionAssetAnalytic();
break;
case "DiscountCapAsset":
AnalyticsModel = new RateOptionAssetAnalytic();
break;
}
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
var metricsToEvaluate = metrics.ToArray();
var analyticModelParameters = new RateOptionAssetParameters();
AnalyticResults = new RateOptionAssetResults();
var marketEnvironment = modelData.MarketEnvironment;
IRateCurve rateCurve = null;
IRateCurve discountCurve = null;
IVolatilitySurface volCurve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
rateCurve = ((ISwapLegEnvironment)marketEnvironment).GetForecastRateCurve();
ForecastCurveName = rateCurve.GetPricingStructureId().UniqueIdentifier;
discountCurve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier;
volCurve = ((ISwapLegEnvironment)marketEnvironment).GetVolatilitySurface();
VolatilityCurveName = volCurve.GetPricingStructureId().UniqueIdentifier;
}
//Cap logic.
analyticModelParameters.IsPut = !IsCap;
//1. Notionals
analyticModelParameters.Notionals = Notionals;
//and the rest rates
if (ResetRates != null)
{
analyticModelParameters.ForwardRates = ResetRates;
}
//2. Get the discount factors
analyticModelParameters.ForecastDiscountFactors =
GetDiscountFactors(rateCurve, AdjustedPeriodDates.ToArray(), modelData.ValuationDate);
analyticModelParameters.PaymentDiscountFactors =
GetDiscountFactors(discountCurve, AdjustedPeriodDates.ToArray(), modelData.ValuationDate);
//3. Get the respective year fractions
analyticModelParameters.YearFractions = YearFractions;
//4. set the expiry times.
TimesToExpiry =
GetTimesToExpiry(ExpiryDates, modelData.ValuationDate);
analyticModelParameters.TimesToExpiry = TimesToExpiry;
//5. Get the vols
analyticModelParameters.Volatilities =
GetVolatilties(volCurve, TimesToExpiry, Strikes);
//8. Get the Strikes
analyticModelParameters.Strikes = Strikes;
ParRate = CalculateImpliedParRate(modelData.ValuationDate);
analyticModelParameters.Rate = (double)ParRate;
//9. Set the analytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateOptionAssetResults, RateOptionAssetResults>(analyticModelParameters,
metricsToEvaluate);
//TODO change this method and return a table report of all greeks.
return(GetValue(AnalyticResults));
}
