Underlying in PnL attribution

cetusfinance · Aug 14, 2024 · 080f903 · 080f903
1 parent 642d5ce
commit 080f903
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Showing 14 changed files with 76 additions and 39 deletions.
diff --git a/src/Qwack.Core/Basic/Consts.cs b/src/Qwack.Core/Basic/Consts.cs
@@ -17,6 +17,7 @@ public static class Cubes
             public static string SubSubStep = "SubSubStep";
             public static string PointLabel = "PointLabel";
             public static string PointDate = "PointDate";
+            public static string Underlying = "Underlying";
         }
     }
 }
diff --git a/src/Qwack.Models/Models/AttributionSteps/ActivityStep.cs b/src/Qwack.Models/Models/AttributionSteps/ActivityStep.cs
@@ -24,6 +24,7 @@ public class ActivityStep(Portfolio startPortfolio, Portfolio endPortfolio) : IP
             var newTradesPnL = model.PV(reportingCcy);
             var tidIx = newTradesPnL.GetColumnIndex(TradeId);
             var tTypeIx = newTradesPnL.GetColumnIndex(TradeType);
+            var r_UlIx = newTradesPnL.GetColumnIndex(Underlying);
             foreach (var t in newTradesPnL.GetAllRows())
             {
                 var tid = (string)t.MetaData[tidIx];
@@ -35,7 +36,8 @@ public class ActivityStep(Portfolio startPortfolio, Portfolio endPortfolio) : IP
                     { SubStep, "New" },
                     { SubSubStep, string.Empty },
                     { PointLabel, string.Empty },
-                    { "Portfolio", pfEndDict[tid]}
+                    { "Portfolio", pfEndDict[tid]},
+                    { Underlying, r_UlIx<0 ? string.Empty : t.MetaData[r_UlIx] }
                 };
                 resultsCube.AddRow(row, t.Value);
             }
@@ -48,7 +50,7 @@ public class ActivityStep(Portfolio startPortfolio, Portfolio endPortfolio) : IP
 
             var tidIx = removedTradesPnL.GetColumnIndex(TradeId);
             var tTypeIx = removedTradesPnL.GetColumnIndex(TradeType);
-
+            var r_UlIx = removedTradesPnL.GetColumnIndex(Underlying);
             foreach (var t in removedTradesPnL.GetAllRows())
             {
                 var tid = (string)t.MetaData[tidIx];
@@ -60,7 +62,8 @@ public class ActivityStep(Portfolio startPortfolio, Portfolio endPortfolio) : IP
                     { SubStep, "Removed" },
                     { SubSubStep, string.Empty },
                     { PointLabel, string.Empty },
-                    { "Portfolio", pfStartDict[tid]}
+                    { "Portfolio", pfStartDict[tid]},
+                    { Underlying, r_UlIx<0 ? string.Empty : t.MetaData[r_UlIx] }
                 };
                 resultsCube.AddRow(row, -t.Value);
             }
@@ -76,6 +79,7 @@ public class ActivityStep(Portfolio startPortfolio, Portfolio endPortfolio) : IP
 
             var tidIx = amendedTradesPnLStart.GetColumnIndex(TradeId);
             var tTypeIx = amendedTradesPnLStart.GetColumnIndex(TradeType);
+            var r_UlIx = amendedTradesPnLStart.GetColumnIndex(Underlying);
 
             foreach (var t in amendedPnL.GetAllRows())
             {
@@ -88,7 +92,8 @@ public class ActivityStep(Portfolio startPortfolio, Portfolio endPortfolio) : IP
                     { SubStep, "Ammended" },
                     { SubSubStep, string.Empty },
                     { PointLabel, string.Empty },
-                    { "Portfolio", pfStartDict[tid]}
+                    { "Portfolio", pfStartDict[tid]},
+                    { Underlying, r_UlIx<0 ? string.Empty : t.MetaData[r_UlIx] }
                 };
                 resultsCube.AddRow(row, t.Value);
             }

diff --git a/src/Qwack.Models/Models/AttributionSteps/AtmVegaCurveStep.cs b/src/Qwack.Models/Models/AttributionSteps/AtmVegaCurveStep.cs
@@ -22,7 +22,8 @@ public class AtmVegaCurveStep : IPnLAttributionStep
                 var r_tidIx = riskCube.GetColumnIndex(TradeId);
                 var r_plIx = riskCube.GetColumnIndex(PointLabel);
                 var r_tTypeIx = riskCube.GetColumnIndex(TradeType);
-                var r_pdIx = riskCube.GetColumnIndex("PointDate");
+                var r_pdIx = riskCube.GetColumnIndex(PointDate);
+                var r_UlIx = riskCube.GetColumnIndex(Underlying);
 
                 var startCurve = model.VanillaModel.GetVolSurface(surfaceName);
                 var endCurve = endModel.VanillaModel.GetVolSurface(surfaceName);
@@ -44,7 +45,8 @@ public class AtmVegaCurveStep : IPnLAttributionStep
                         { SubStep, surfaceName },
                         { SubSubStep, "Vega" },
                         { PointLabel, r.MetaData[r_plIx] },
-                        { "PointDate", r.MetaData[r_pdIx] }
+                        { PointDate, r.MetaData[r_pdIx] },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                     resultsCube.AddRow(row, explained);
 
@@ -72,7 +74,8 @@ public class AtmVegaCurveStep : IPnLAttributionStep
                         { SubStep, surfaceName },
                         { SubSubStep, "Unexplained" },
                         { PointLabel, "Unexplained" },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                     explainedByTrade.TryGetValue((string)r.MetaData[r_tidIx], out var explained);
                     resultsCube.AddRow(row, r.Value - explained);

diff --git a/src/Qwack.Models/Models/AttributionSteps/DeltaFlatSpreadGammaCurveStep.cs b/src/Qwack.Models/Models/AttributionSteps/DeltaFlatSpreadGammaCurveStep.cs
@@ -21,7 +21,8 @@ public class DeltaFlatSpreadGammaCurveStep(bool ignoreGamma = false) : IPnLAttri
             var r_tidIx = riskCube.GetColumnIndex(TradeId);
             var r_plIx = riskCube.GetColumnIndex(PointLabel);
             var r_tTypeIx = riskCube.GetColumnIndex(TradeType);
-            var r_pdIx = riskCube.GetColumnIndex("PointDate");
+            var r_pdIx = riskCube.GetColumnIndex(PointDate);
+            var r_UlIx = riskCube.GetColumnIndex(Underlying);
 
             var startCurve = model.VanillaModel.GetPriceCurve(curveName);
             var endCurve = endModel.VanillaModel.GetPriceCurve(curveName);
@@ -51,7 +52,8 @@ public class DeltaFlatSpreadGammaCurveStep(bool ignoreGamma = false) : IPnLAttri
                     { SubStep, curveName },
                     { SubSubStep, "DeltaFlat" },
                     { PointLabel, r.MetaData[r_plIx] },
-                    { "PointDate", r.MetaData[r_pdIx] }
+                    { PointDate, r.MetaData[r_pdIx] },
+                    { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                 };
                 var rowSpread = new Dictionary<string, object>
                 {
@@ -61,7 +63,8 @@ public class DeltaFlatSpreadGammaCurveStep(bool ignoreGamma = false) : IPnLAttri
                     { SubStep, curveName },
                     { SubSubStep, "DeltaSpread" },
                     { PointLabel, r.MetaData[r_plIx] },
-                    { "PointDate", r.MetaData[r_pdIx] }
+                    { PointDate, r.MetaData[r_pdIx] },
+                    { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                 };
 
                 resultsCube.AddRow(rowFlat, explainedFlat);
@@ -100,7 +103,8 @@ public class DeltaFlatSpreadGammaCurveStep(bool ignoreGamma = false) : IPnLAttri
                         { SubStep, curveName },
                         { SubSubStep, "GammaFlat" },
                         { PointLabel, "Flat" },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                     resultsCube.AddRow(row, explained);
 
@@ -128,7 +132,8 @@ public class DeltaFlatSpreadGammaCurveStep(bool ignoreGamma = false) : IPnLAttri
                     { SubStep, curveName },
                     { SubSubStep, "Unexplained" },
                     { PointLabel, "Unexplained" },
-                    { "PointDate", endModel.VanillaModel.BuildDate }
+                    { PointDate, endModel.VanillaModel.BuildDate },
+                    { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                 };
                 explainedByTrade.TryGetValue((string)r.MetaData[r_tidIx], out var explained);
                 resultsCube.AddRow(row, r.Value - explained);

diff --git a/src/Qwack.Models/Models/AttributionSteps/DeltaGammaCurveStep.cs b/src/Qwack.Models/Models/AttributionSteps/DeltaGammaCurveStep.cs
@@ -21,7 +21,8 @@ public class DeltaGammaCurveStep : IPnLAttributionStep
             var r_tidIx = riskCube.GetColumnIndex(TradeId);
             var r_plIx = riskCube.GetColumnIndex(PointLabel);
             var r_tTypeIx = riskCube.GetColumnIndex(TradeType);
-            var r_pdIx = riskCube.GetColumnIndex("PointDate");
+            var r_pdIx = riskCube.GetColumnIndex(PointDate);
+            var r_UlIx = riskCube.GetColumnIndex(Underlying);
 
             var startCurve = model.VanillaModel.GetPriceCurve(curveName);
             var endCurve = endModel.VanillaModel.GetPriceCurve(curveName);
@@ -47,7 +48,8 @@ public class DeltaGammaCurveStep : IPnLAttributionStep
                     { SubStep, curveName },
                     { SubSubStep, "Delta" },
                     { PointLabel, r.MetaData[r_plIx] },
-                    { "PointDate", r.MetaData[r_pdIx] }
+                    { PointDate, r.MetaData[r_pdIx] },
+                    { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                 };
                 resultsCube.AddRow(row, explained);
 
@@ -76,7 +78,8 @@ public class DeltaGammaCurveStep : IPnLAttributionStep
                     { SubStep, curveName },
                     { SubSubStep, "Gamma" },
                     { PointLabel, r.MetaData[r_plIx] },
-                    { "PointDate", r.MetaData[r_pdIx] }
+                    { PointDate, r.MetaData[r_pdIx] },
+                    { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                 };
                 resultsCube.AddRow(row, explained);
 
@@ -103,7 +106,8 @@ public class DeltaGammaCurveStep : IPnLAttributionStep
                     { SubStep, curveName },
                     { SubSubStep, "Unexplained" },
                     { PointLabel, "Unexplained" },
-                    { "PointDate", endModel.VanillaModel.BuildDate }
+                    { PointDate, endModel.VanillaModel.BuildDate },
+                    { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                 };
                 explainedByTrade.TryGetValue((string)r.MetaData[r_tidIx], out var explained);
                 resultsCube.AddRow(row, r.Value - explained);

diff --git a/src/Qwack.Models/Models/AttributionSteps/FinalStep.cs b/src/Qwack.Models/Models/AttributionSteps/FinalStep.cs
@@ -13,6 +13,7 @@ public class FinalStep() : IPnLAttributionStep
     {
         var newPvCube = endModel.PV(reportingCcy);
         var step = newPvCube.QuickDifference(lastPvCube);
+        var r_UlIx = riskCube.GetColumnIndex(Underlying);
 
         foreach (var r in step.GetAllRows())
         {
@@ -29,7 +30,8 @@ public class FinalStep() : IPnLAttributionStep
                         { SubStep, "Unexplained" },
                         { SubSubStep, "Unexplained" },
                         { PointLabel, string.Empty },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
             resultsCube.AddRow(row, r.Value);
         }

diff --git a/src/Qwack.Models/Models/AttributionSteps/FxSpotsStep.cs b/src/Qwack.Models/Models/AttributionSteps/FxSpotsStep.cs
@@ -15,7 +15,8 @@ public class FxSpotsStep : IPnLAttributionStep
         var r_tidIx = riskCube.GetColumnIndex(TradeId);
         var r_plIx = riskCube.GetColumnIndex(PointLabel);
         var r_tTypeIx = riskCube.GetColumnIndex(TradeType);
-        var r_pdIx = riskCube.GetColumnIndex("PointDate");
+        var r_pdIx = riskCube.GetColumnIndex(PointDate);
+        var r_UlIx = riskCube.GetColumnIndex(Underlying);
 
         foreach (var fxSpot in endModel.VanillaModel.FundingModel.FxMatrix.SpotRates)
         {
@@ -43,7 +44,8 @@ public class FxSpotsStep : IPnLAttributionStep
                         { SubStep, fxPair },
                         { SubSubStep, "Delta" },
                         { PointLabel, string.Empty },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                 resultsCube.AddRow(row, explained);
 
@@ -74,7 +76,8 @@ public class FxSpotsStep : IPnLAttributionStep
                         { SubStep, fxPair },
                         { SubSubStep, "Gamma" },
                         { PointLabel, string.Empty },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx < 0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                 resultsCube.AddRow(row, explained);
 
@@ -101,7 +104,8 @@ public class FxSpotsStep : IPnLAttributionStep
                         { SubStep, fxPair },
                         { SubSubStep, "Unexplained" },
                         { PointLabel, "Unexplained" },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                 explainedByTrade.TryGetValue((string)r.MetaData[r_tidIx], out var explained);
                 resultsCube.AddRow(row, r.Value - explained);

diff --git a/src/Qwack.Models/Models/AttributionSteps/FxVolsStep.cs b/src/Qwack.Models/Models/AttributionSteps/FxVolsStep.cs
@@ -15,7 +15,8 @@ public class FxVolsStep : IPnLAttributionStep
         var r_tidIx = riskCube.GetColumnIndex(TradeId);
         var r_plIx = riskCube.GetColumnIndex(PointLabel);
         var r_tTypeIx = riskCube.GetColumnIndex(TradeType);
-        var r_pdIx = riskCube.GetColumnIndex("PointDate");
+        var r_pdIx = riskCube.GetColumnIndex(PointDate);
+        var r_UlIx = riskCube.GetColumnIndex(Underlying);
 
         foreach (var fxSurface in endModel.VanillaModel.FundingModel.VolSurfaces)
         {
@@ -43,7 +44,8 @@ public class FxVolsStep : IPnLAttributionStep
                         { SubStep, fxSurface.Key },
                         { SubSubStep, "Vega" },
                         { PointLabel,r.MetaData[r_plIx]},
-                        { "PointDate",r.MetaData[r_pdIx] }
+                        { PointDate,r.MetaData[r_pdIx] },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                 riskCube.AddRow(row, explained);
 
@@ -70,7 +72,8 @@ public class FxVolsStep : IPnLAttributionStep
                         { SubStep, fxSurface.Key },
                         { SubSubStep, "Unexplained" },
                         { PointLabel, "Unexplained" },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                 explainedByTrade.TryGetValue((string)r.MetaData[r_tidIx], out var explained);
                 resultsCube.AddRow(row, r.Value - explained);

diff --git a/src/Qwack.Models/Models/AttributionSteps/IrCurveStep.cs b/src/Qwack.Models/Models/AttributionSteps/IrCurveStep.cs
@@ -15,7 +15,8 @@ public class IrCurveStep : IPnLAttributionStep
         var r_tidIx = riskCube.GetColumnIndex(TradeId);
         var r_plIx = riskCube.GetColumnIndex(PointLabel);
         var r_tTypeIx = riskCube.GetColumnIndex(TradeType);
-        var r_pdIx = riskCube.GetColumnIndex("PointDate");
+        var r_pdIx = riskCube.GetColumnIndex(PointDate);
+        var r_UlIx = riskCube.GetColumnIndex(Underlying);
 
         foreach (var irCurve in endModel.VanillaModel.FundingModel.Curves)
         {
@@ -42,7 +43,8 @@ public class IrCurveStep : IPnLAttributionStep
                         { SubStep, irCurve.Key },
                         { SubSubStep, string.Empty },
                         { PointLabel,r.MetaData[r_plIx]},
-                        { "PointDate", point }
+                        { PointDate, point },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                 resultsCube.AddRow(row, explained);
 
@@ -74,7 +76,8 @@ public class IrCurveStep : IPnLAttributionStep
                         { SubStep, irCurve.Key },
                         { SubSubStep, "Unexplained"},
                         { PointLabel, "Unexplained" },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                 resultsCube.AddRow(row, r.Value - explained);
             }
@@ -90,7 +93,8 @@ public class IrCurveStep : IPnLAttributionStep
                         { SubStep, irCurve.Key },
                         { SubSubStep, "Unexplained"},
                         { PointLabel, "Unexplained" },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, string.Empty }
                     };
                 resultsCube.AddRow(row, -kv.Value);
             }

diff --git a/src/Qwack.Models/Models/AttributionSteps/TimeRollStep.cs b/src/Qwack.Models/Models/AttributionSteps/TimeRollStep.cs
@@ -18,7 +18,8 @@ public class TimeRollStep(ICurrencyProvider currencyProvider, IFutureSettingsPro
         var r_tidIx = riskCube.GetColumnIndex(TradeId);
         var r_plIx = riskCube.GetColumnIndex(PointLabel);
         var r_tTypeIx = riskCube.GetColumnIndex(TradeType);
-        var r_pdIx = riskCube.GetColumnIndex("PointDate");
+        var r_UlIx = riskCube.GetColumnIndex(Underlying);
+        var r_pdIx = riskCube.GetColumnIndex(PointDate);
 
         var cashCube = model.Portfolio.FlowsT0(model.VanillaModel, reportingCcy);
         var cashRows = cashCube.GetAllRows();
@@ -41,7 +42,8 @@ public class TimeRollStep(ICurrencyProvider currencyProvider, IFutureSettingsPro
                     { SubStep, "TimeRoll" },
                     { SubSubStep, string.Empty },
                     { PointLabel, string.Empty },
-                    { "PointDate", endModel.VanillaModel.BuildDate }
+                    { PointDate, endModel.VanillaModel.BuildDate },
+                    { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                 };
             resultsCube.AddRow(row, r.Value);
         }
@@ -60,7 +62,8 @@ public class TimeRollStep(ICurrencyProvider currencyProvider, IFutureSettingsPro
                         { SubStep, "CashMove" },
                         { SubSubStep, string.Empty },
                         { PointLabel, string.Empty },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : cashRows[i].MetaData[r_UlIx] }
                     };
                 resultsCube.AddRow(row, cash);
             }
@@ -90,7 +93,8 @@ public class TimeRollStep(ICurrencyProvider currencyProvider, IFutureSettingsPro
                         { SubStep, fixingDictName ?? "Unknown" },
                         { SubSubStep, string.Empty },
                         { PointLabel, string.Empty },
-                        { "PointDate", endModel.VanillaModel.BuildDate }
+                        { PointDate, endModel.VanillaModel.BuildDate },
+                        { Underlying, r_UlIx<0 ? string.Empty : r.MetaData[r_UlIx] }
                     };
                 resultsCube.AddRow(row, r.Value);
             }

diff --git a/src/Qwack.Models/Models/PnLAttribution.cs b/src/Qwack.Models/Models/PnLAttribution.cs
@@ -1506,12 +1506,13 @@ public static ICube ExplainAttribution(this Portfolio startPortfolio, Portfolio
             var dataTypes = new Dictionary<string, Type>
             {
                 { TradeId, typeof(string) },
+                { Underlying, typeof(string) },
                 { TradeType, typeof(string) },
                 { Step, typeof(string) },
                 { SubStep, typeof(string) },
                 { SubSubStep, typeof(string) },
                 { PointLabel, typeof(string) },
-                { "PointDate", typeof(DateTime) },
+                { PointDate, typeof(DateTime) },
             };
 
             cube.Initialize(dataTypes);