public void SwaptionAnalyics()
{
foreach (var val in paramRange)
{
ISwaptionInstrumentParameters analyticModelParameters = new SwaptionInstrumentParameters
{
SwapBreakEvenRate = .05m,
SwapAccrualFactor = 7000.0m,
IsCall = true,
Volatility = .20m,
Strike = .05m,
//PaymentDiscountFactor = 0.99m,
TimeToExpiry = val,
};
var model = new SimpleIRSwaptionInstrumentAnalytic
{
AnalyticParameters = analyticModelParameters
};
//var result = model.NPV;
//var delta0 = model.Delta0;
Debug.Print("CurveYearFraction : {0} ",
analyticModelParameters.TimeToExpiry);
}
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
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 SimpleIRSwaptionInstrumentAnalytic();
}
var swaptionControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
var quotes = ModelData.AssetValuation.quote.ToList();
if (AssetValuationHelper.GetQuotationByMeasureType(ModelData.AssetValuation, InstrumentMetrics.BreakEvenRate.ToString()) == null)
{
var quote = QuotationHelper.Create(0.0m, InstrumentMetrics.BreakEvenRate.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);
}
ModelData.AssetValuation.quote = quotes.ToArray();
AssetValuation swaptionValuation;
//Sets the evolution type for calculations.
Swap.PricingStructureEvolutionType = PricingStructureEvolutionType;
Swap.BucketedDates = BucketedDates;
if (PremiumPayments != null)
{
foreach (var payment in PremiumPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
}
}
//The assetValuation list.
var childValuations = new List <AssetValuation>();
// 2. Now evaluate only the child specific metrics (if any)
if (PremiumPayments != null)
{
var paymentControllers = new List <InstrumentControllerBase>(PremiumPayments);
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
var swapMetrics = Swap.Calculate(modelData);
//We assume the fixed leg is always the first leg!
var fixedLeg = Swap.GetLegs()[0].Calculate(modelData);
var breakEvenRate = AssetValuationHelper.GetQuotationByMeasureType(swapMetrics, InstrumentMetrics.BreakEvenRate.ToString()).value;
var timeToIndex = (Swap.EffectiveDate - ModelData.ValuationDate).Days / 365.0;
//This is European only.
var expiryTime = (ExerciseDates[0] - ModelData.ValuationDate).Days / 365.0;
IVolatilitySurface indexVolSurface = null;
if (modelData.MarketEnvironment is ISwapLegEnvironment streamMarket1)
{
indexVolSurface = streamMarket1.GetVolatilitySurface();
indexVolSurface.PricingStructureEvolutionType = PricingStructureEvolutionType;
VolatilitySurfaceName = indexVolSurface.GetPricingStructureId().UniqueIdentifier;
}
else
{
if (!string.IsNullOrEmpty(VolatilitySurfaceName))
{
indexVolSurface = (IVolatilitySurface)modelData.MarketEnvironment.GetPricingStructure(VolatilitySurfaceName);
}
}
//Calculate the delta
var delta = SimpleIRSwaptionInstrumentAnalytic.CalculateOptionDelta(IsCall, breakEvenRate, StrikeRate, expiryTime, timeToIndex, indexVolSurface);
//Set the multiplier using the delta of the option.
//Multiplier = delta;?
Swap.Multiplier = System.Math.Abs(delta);
//New function that converts the metrics by multiplying be the delta.
var swapCalculations = Swap.Calculate(modelData);
//childValuations.Add(swapCalculations);
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies); // modelData.ValuationDate);
var streamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(fixedLeg, InstrumentMetrics.AccrualFactor.ToString()); //TODO This is not correct!
var npv = AssetValuationHelper.GetQuotationByMeasureType(childControllerValuations, InstrumentMetrics.NPV.ToString());
childValuations.Add(swapCalculations);
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swaptionControllerMetrics.Count > 0)
{
//Get the market data.
IFxCurve fxCurve = null;
ISwaptionInstrumentParameters analyticModelParameters = new SwaptionInstrumentParameters
{
IsBought = IsBasePartyBuyer,
IsCall = IsCall,
SwapAccrualFactor = System.Math.Abs(streamAccrualFactor.value),
Strike = StrikeRate,
OtherNPV = npv.value,
TimeToExpiry = (decimal)expiryTime,
SwapBreakEvenRate = breakEvenRate,
//OtherNPV =
};
// Curve Related
if (modelData.MarketEnvironment is ISwapLegEnvironment streamMarket)
{
analyticModelParameters.VolatilitySurface = indexVolSurface;
//Check for currency.
if (ModelData.ReportingCurrency != null)
{
if (ModelData.ReportingCurrency.Value != PaymentCurrencies[0])//This is an interest rate swap and so only has one currency.
{
fxCurve = streamMarket.GetReportingCurrencyFxCurve();
fxCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
}
}
}
var analyticsModel = new SimpleIRSwaptionInstrumentAnalytic(ModelData.ValuationDate, (decimal)timeToIndex,
StrikeRate, fxCurve, indexVolSurface);
AnalyticsModel = analyticsModel;
Volatility = analyticsModel.Volatility;
AnalyticModelParameters = analyticModelParameters;
CalculationResults = AnalyticsModel.Calculate <ISwaptionInstrumentResults, SwaptionInstrumentResults>(analyticModelParameters, swaptionControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
//childValuations.Add(swapControllerValuation);
childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
swaptionValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swaptionControllerMetrics), new List <string>(Metrics));
//swaptionValuation = AssetValuationHelper.AggregateMetrics(childValuations, new List<string>(Metrics), modelData.ValuationDate);
}
else
{
swaptionValuation = childControllerValuations;
}
CalculationPerfomedIndicator = true;
swaptionValuation.id = Id;
return(swaptionValuation);
}
