Adds per-period premia to backpricing options

cetusfinance · Jul 2, 2024 · 4c7b969 · 4c7b969
1 parent 979f019
commit 4c7b969
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Showing 5 changed files with 15 additions and 8 deletions.
diff --git a/src/Qwack.Core/Instruments/Asset/MultiPeriodBackpricingOption.cs b/src/Qwack.Core/Instruments/Asset/MultiPeriodBackpricingOption.cs
@@ -46,6 +46,7 @@ public class MultiPeriodBackpricingOption : IHasVega, IAssetInstrument
         public int? DeclaredPeriod { get; set; }
 
         public List<DateTime[]> FxFixingDates { get; set; }
+        public double[] PeriodPremia { get; set; }
         public Currency PaymentCurrency { get; set; }
         public FxConversionType FxConversionType { get; set; } = FxConversionType.None;
         public string DiscountCurve { get; set; }
@@ -119,7 +120,8 @@ public Dictionary<string, List<DateTime>> PastFixingDates(DateTime valDate) => v
             OffsetFixingId = OffsetFixingId,
             ScaleStrike = ScaleStrike,
             ScaleProportion = ScaleProportion,
-            MetaData = new(MetaData)
+            MetaData = new(MetaData),
+            PeriodPremia = PeriodPremia,
         };
 
         public IAssetInstrument SetStrike(double strike) => throw new InvalidOperationException();
@@ -163,6 +165,7 @@ public void FromTransportObject(TO_Instrument to_instrument, ICalendarProvider c
             OffsetFixingId = to.OffsetFixingId;
             ScaleProportion = to.ScaleProportion;
             ScaleStrike = to.ScaleStrike;
+            PeriodPremia = to.PeriodPremia;
         }
 
         public TO_Instrument ToTransportObject() => new()
@@ -202,6 +205,7 @@ public void FromTransportObject(TO_Instrument to_instrument, ICalendarProvider c
                 ScaleProportion = ScaleProportion,
                 ScaleStrike = ScaleStrike,
                 MetaData = new(MetaData),
+                PeriodPremia = PeriodPremia,
             }
         };
     }

diff --git a/src/Qwack.Paths/Payoffs/MultiPeriodBackPricingOptionPP.cs b/src/Qwack.Paths/Payoffs/MultiPeriodBackPricingOptionPP.cs
@@ -2,7 +2,6 @@
 using System.Collections.Generic;
 using System.Linq;
 using System.Numerics;
-using System.ServiceModel;
 using Qwack.Core.Basic;
 using Qwack.Core.Instruments;
 using Qwack.Core.Models;
@@ -11,7 +10,6 @@
 using Qwack.Paths.Features;
 using Qwack.Paths.Regressors;
 using Qwack.Transport.BasicTypes;
-using Qwack.Transport.TransportObjects.Instruments.Funding;
 
 namespace Qwack.Paths.Payoffs
 {
@@ -51,6 +49,7 @@ public class MultiPeriodBackPricingOptionPP : IPathProcess, IRequiresFinish, IAs
         private double? _scaleProportion;
 
         private double[] _contangoScaleFactors;
+        private double[] _periodPremia;
 
 
         private Vector<double>[][] _exercisedPeriod;
@@ -83,7 +82,8 @@ public MultiPeriodBackPricingOptionPP(string assetName,
                                               int? declaredPeriod = null,
                                               DateShifter dateShifter = null,
                                               double? scaleStrike = null,
-                                              double? scaleProportion = null)
+                                              double? scaleProportion = null,
+                                              double[] periodPremia = null)
         {
             _avgDates = avgDates;
             _decisionDate = decisionDate;
@@ -99,6 +99,8 @@ public MultiPeriodBackPricingOptionPP(string assetName,
             _dateShifter = dateShifter;
             _scaleStrike = scaleStrike;
             _scaleProportion = scaleProportion;
+            _periodPremia = periodPremia ?? avgDates.Select(x => 0.0).ToArray(); //default to zero spreads
+
             if (_ccy.Ccy != "USD")
                 _fxName = $"USD/{_ccy.Ccy}";
 
@@ -282,7 +284,7 @@ public void Process(IPathBlock block)
                             setReg[i] = SettlementRegressor?.Predict(spotAtExpiry[i]) ?? spotAtExpiry[i];
                         }
                         var futVec = new Vector<double>(futSum);
-                        avgs[a] = (futVec + pastSum) / nTotalVec[a];
+                        avgs[a] = (futVec + pastSum) / nTotalVec[a] + new Vector<double>(_periodPremia[a]);
                     }
 
                     avgVec = (_callPut == OptionType.C) ?

diff --git a/src/Qwack.Transport/TransportObjects/Instruments/Asset/TO_MultiPeriodBackpricingOption.cs b/src/Qwack.Transport/TransportObjects/Instruments/Asset/TO_MultiPeriodBackpricingOption.cs
@@ -75,7 +75,8 @@ public class TO_MultiPeriodBackpricingOption
         public double? ScaleStrike { get; set; }
         [ProtoMember(32)]
         public double? ScaleProportion { get; set;}
-
+        [ProtoMember(33)]
+        public double[] PeriodPremia { get; set; }
 
     }
 }
diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.8.44</VersionPrefix>
+        <VersionPrefix>0.8.45</VersionPrefix>
 	</PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.8.44
+0.8.45