Flat shift for Equity curves (PnL)

cetusfinance · Sep 10, 2024 · 371031f · 371031f
1 parent 6c10468
commit 371031f
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Showing 3 changed files with 11 additions and 2 deletions.
diff --git a/src/Qwack.Models/Risk/BasicMetrics.cs b/src/Qwack.Models/Risk/BasicMetrics.cs
@@ -1387,6 +1387,15 @@ public static ICube AssetParallelDelta(this IPvModel pvModel, ICurrencyProvider
                         SpotCalendar = pc.SpotCalendar,
                         SpotLag = pc.SpotLag
                     },
+
+                    EquityPriceCurve eqc => new EquityPriceCurve(eqc.BuildDate, eqc.Spot + bumpSize, eqc.Currency?.Ccy, eqc.IrCurve, eqc.SpotDate, currencyProvider)
+                    {
+                        Currency = eqc.Currency,
+                        AssetId = AssetId,
+                        SpotCalendar = eqc.SpotCalendar,
+                        SpotLag = eqc.SpotLag
+                    },
+
                     _ => throw new Exception("Unable to handle curve type for flat shift"),
                 };
                 var newVanillaModel = model.Clone();

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.8.85</VersionPrefix>
+        <VersionPrefix>0.8.86</VersionPrefix>
 	</PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.8.85
+0.8.86