Skip to content

Commit

Permalink
New greeks pack
Browse files Browse the repository at this point in the history
  • Loading branch information
@gavbrennan
gavbrennan committed Jun 17, 2024
1 parent 9c50b45 commit 57bbd34
Show file tree
Hide file tree
Showing 3 changed files with 180 additions and 2 deletions.
178 changes: 178 additions & 0 deletions src/Qwack.Models/Risk/BasicMetrics.cs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -11,6 +11,7 @@
using Qwack.Core.Instruments.Asset;
using Qwack.Core.Models;
using Qwack.Dates;
using Qwack.Models.MCModels;
using Qwack.Models.Models;
using Qwack.Options.VolSurfaces;
using Qwack.Utils.Parallel;
Expand Down Expand Up @@ -2130,6 +2131,183 @@ public static async Task<ICube> AssetGreeks(this IPvModel pvModel, DateTime fwdV
return cube;
}

public static ICube AssetGreeksSafe(this AssetFxMCModel pvModel, DateTime fwdValDate, Currency reportingCcy, ICurrencyProvider currencyProvider)
{
ICube cube = new ResultCube();
var dataTypes = new Dictionary<string, Type>
{
{ TradeId, typeof(string) },
{ TradeType, typeof(string) },
{ AssetId, typeof(string) },
{ PointLabel, typeof(string) },
{ "PointDate", typeof(DateTime) },
{ Metric, typeof(string) },
{ "Currency", typeof(string) },
{ "Portfolio", typeof(string) }
};
var metaKeys = pvModel.Portfolio.Instruments.Where(x => x.TradeId != null).SelectMany(x => x.MetaData.Keys).Distinct().ToArray();
foreach (var key in metaKeys)
{
dataTypes[key] = typeof(string);
}
var insDict = pvModel.Portfolio.Instruments.Where(x => x.TradeId != null).ToDictionary(x => x.TradeId, x => x);
cube.Initialize(dataTypes);

var pvCube = pvModel.PV(reportingCcy);
var pvRows = pvCube.GetAllRows();

var cashCube = pvModel.Portfolio.FlowsT0(pvModel.VanillaModel, reportingCcy);
var cashRows = cashCube.GetAllRows();

var tidIx = pvCube.GetColumnIndex(TradeId);
var tTypeIx = pvCube.GetColumnIndex(TradeType);

var rolledVanillaModel = pvModel.VanillaModel.RollModel(fwdValDate, currencyProvider);
var rolledPvModel = pvModel.Rebuild(rolledVanillaModel, pvModel.Portfolio);

var pvCubeFwd = rolledPvModel.PV(reportingCcy);
var pvRowsFwd = pvCubeFwd.GetAllRows();

//theta
var thetaCube = pvCubeFwd.QuickDifference(pvCube);
cube = cube.Merge(thetaCube, new Dictionary<string, object>
{
{ AssetId, string.Empty },
{ PointLabel, string.Empty },
{ "PointDate", fwdValDate },
{ Metric, "Theta" }
});


//cash move
cube = cube.Merge(cashCube, new Dictionary<string, object>
{
{ AssetId, string.Empty },
{ PointLabel, "CashMove" },
{ "PointDate", fwdValDate },
{ Metric, "Theta" }
});

//setup and run in series
var tasks = new Dictionary<string, ICube>();

tasks["AssetDeltaGamma"] = pvModel.AssetDelta(true);
tasks["AssetVega"] = rolledPvModel.AssetVega(reportingCcy);
//tasks["FxVega"] = rolledPvModel.FxVega(reportingCcy);
tasks["RolledDeltaGamma"] = rolledPvModel.AssetDelta(true);
//tasks["FxDeltaGamma"] = pvModel.FxDelta(reportingCcy, currencyProvider, true);
//tasks["RolledFxDeltaGamma"] = rolledPvModel.FxDelta(reportingCcy, currencyProvider, true);
//tasks["IrDelta"] = pvModel.AssetIrDelta(reportingCcy);



//delta
var baseDeltaGammaCube = tasks["AssetDeltaGamma"];
cube = cube.Merge(baseDeltaGammaCube, new Dictionary<string, object>
{
{ "Currency", string.Empty },
});

//vega
var assetVegaCube = tasks["AssetVega"];
cube = cube.Merge(assetVegaCube, new Dictionary<string, object>
{
{ "Currency", string.Empty },
});

//var fxVegaCube = tasks["FxVega"];
//cube = cube.Merge(fxVegaCube, new Dictionary<string, object>
//{
// { "Currency", string.Empty },
//});

//charm-asset
//var rolledDeltaGammaCube = AssetDeltaGamma(portfolio, rolledModel);
var rolledDeltaGammaCube = tasks["RolledDeltaGamma"];

var baseDeltaCube = baseDeltaGammaCube.Filter(new Dictionary<string, object> { { Metric, "Delta" } });
var rolledDeltaCube = rolledDeltaGammaCube.Filter(new Dictionary<string, object> { { Metric, "Delta" } });
var rolledGammaCube = rolledDeltaGammaCube.Filter(new Dictionary<string, object> { { Metric, "Gamma" } });
var charmCube = rolledDeltaCube.Difference(baseDeltaCube);
cube = cube.Merge(charmCube, new Dictionary<string, object>
{
{ "Currency", string.Empty },
{ Metric, "Charm"},
});
cube = cube.Merge(rolledDeltaCube, new Dictionary<string, object>
{
{ "Currency", string.Empty },
}, new Dictionary<string, object>
{
{ Metric, "AssetDeltaT1" },
});
cube = cube.Merge(rolledGammaCube, new Dictionary<string, object>
{
{ "Currency", string.Empty },
}, new Dictionary<string, object>
{
{ Metric, "AssetGammaT1" },
});

//charm-fx
//baseDeltaCube = tasks["FxDeltaGamma"];
//cube = cube.Merge(baseDeltaCube, new Dictionary<string, object>
//{
// { "PointDate", DateTime.MinValue },
// { PointLabel, string.Empty },
// { "Currency", string.Empty },
//});
//rolledDeltaGammaCube = tasks["RolledFxDeltaGamma"];
//rolledDeltaCube = rolledDeltaGammaCube.Filter(new Dictionary<string, object> { { Metric, "FxSpotDelta" } });
//rolledGammaCube = rolledDeltaGammaCube.Filter(new Dictionary<string, object> { { Metric, "FxSpotGamma" } });

//cube = cube.Merge(rolledDeltaCube, new Dictionary<string, object>
//{
// { PointLabel, string.Empty },
// { "PointDate", DateTime.MinValue },
// { "Currency", string.Empty },
//}, new Dictionary<string, object>
//{
// { Metric, "FxSpotDeltaT1" },
//});

//cube = cube.Merge(rolledGammaCube, new Dictionary<string, object>
//{
// { PointLabel, string.Empty },
// { "PointDate", DateTime.MinValue },
// { "Currency", string.Empty },
//}, new Dictionary<string, object>
//{
// { Metric, "FxSpotGammaT1" },
//});

//charmCube = rolledDeltaCube.Difference(baseDeltaCube);
//var fId = charmCube.GetColumnIndex(AssetId);
//foreach (var charmRow in charmCube.GetAllRows())
//{
// var row = new Dictionary<string, object>
// {
// { TradeId, charmRow.MetaData[tidIx] },
// { TradeType, charmRow.MetaData[tTypeIx] },
// { AssetId, charmRow.MetaData[fId] },
// { PointLabel, string.Empty },
// { "PointDate", DateTime.MinValue },
// { "Currency", string.Empty },
// { Metric, "Charm" }
// };
// cube.AddRow(row, charmRow.Value);
//}

//ir-delta
//var baseIrDeltacube = tasks["IrDelta"];
//cube = cube.Merge(baseIrDeltacube, new Dictionary<string, object>
//{
// { "Currency", reportingCcy.Ccy },
//});

return cube;
}

private static double GetUsdDF(IAssetFxModel model, BasicPriceCurve priceCurve, DateTime fwdDate)
{
var colSpec = priceCurve.CollateralSpec;
Expand Down
2 changes: 1 addition & 1 deletion version.props
View file
Original file line number Diff line number Diff line change
@@ -1,5 +1,5 @@
<Project>
<PropertyGroup>
<VersionPrefix>0.8.29</VersionPrefix>
<VersionPrefix>0.8.30</VersionPrefix>
</PropertyGroup>
</Project>
2 changes: 1 addition & 1 deletion version.txt
View file
Original file line number Diff line number Diff line change
@@ -1 +1 @@
0.8.29
0.8.30

0 comments on commit 57bbd34

Please sign in to comment.