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ParRate metric
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@gavbrennan
gavbrennan committed Aug 19, 2024
1 parent 4b98719 commit 61b73ac
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Showing 5 changed files with 174 additions and 4 deletions.
3 changes: 2 additions & 1 deletion src/Qwack.Core/Basic/RiskMetric.cs
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Expand Up @@ -18,6 +18,7 @@ public enum RiskMetric
OptimalExercise,
AssetParallelDelta,
HistSimVaR,
ContangoSwapDelta
ContangoSwapDelta,
ParRate,
}
}
2 changes: 1 addition & 1 deletion src/Qwack.Models/Models/AssetFxModel.cs
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Expand Up @@ -271,7 +271,7 @@ public void AddFixingDictionaries(Dictionary<string, IFixingDictionary> fixings)
private Portfolio _portfolio;
public Portfolio Portfolio => _portfolio;
public void AttachPortfolio(Portfolio portfolio) => _portfolio = portfolio;
public ICube PV(Currency reportingCurrency) => _portfolio.PV(this, reportingCurrency);
public ICube PV(Currency reportingCurrency) => _portfolio.ParRate(this, reportingCurrency);

public IPvModel Rebuild(IAssetFxModel newVanillaModel, Portfolio portfolio)
{
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169 changes: 169 additions & 0 deletions src/Qwack.Models/Models/AssetProductEx.cs
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Expand Up @@ -1073,6 +1073,71 @@ public static ICube PV(this Portfolio portfolio, IAssetFxModel model, Currency r
return cube;
}

public static ICube ParRate(this Portfolio portfolio, IAssetFxModel model, Currency reportingCurrency = null, bool ignoreTodayFlows = false, bool parallelize = true)
{
var cube = new ResultCube();
var dataTypes = new Dictionary<string, Type>
{
{ Consts.Cubes.TradeId, typeof(string) },
{ Consts.Cubes.Currency, typeof(string) },
{ Consts.Cubes.TradeType, typeof(string) },
{ Consts.Cubes.Portfolio, typeof(string) },
};
var metaKeys = 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 = portfolio.Instruments.Where(x => x.TradeId != null).ToDictionary(x => x.TradeId, x => x);
cube.Initialize(dataTypes);

var pvs = new Tuple<Dictionary<string, object>, double>[portfolio.Instruments.Count];

var pvFunc = new Action<int>((i) =>
{
var (pv, ccy, tradeId, tradeType) = ComputeParRates(portfolio.Instruments[i], model, reportingCurrency, ignoreTodayFlows);
var row = new Dictionary<string, object>
{
{ TradeId, tradeId },
{ Consts.Cubes.Currency, ccy },
{ Consts.Cubes.TradeType, tradeType },
{ Consts.Cubes.Portfolio, portfolio.Instruments[i].PortfolioName ?? string.Empty },
};
if (insDict.TryGetValue(tradeId, out var trade))
{
foreach (var key in metaKeys)
{
if (trade.MetaData.TryGetValue(key, out var metaData))
row[key] = metaData;
}
}
pvs[i] = new Tuple<Dictionary<string, object>, double>(row, pv);
});

if (parallelize)
{
ParallelUtils.Instance.For(0, portfolio.Instruments.Count, 1, i =>
{
pvFunc(i);
}, true).Wait();
}
else
{
for (var i = 0; i < portfolio.Instruments.Count; i++)
{
pvFunc(i);
}
}

for (var i = 0; i < pvs.Length; i++)
{
cube.AddRow(pvs[i].Item1, pvs[i].Item2);
}

return cube;
}

//public static double PVCapital(this Portfolio portfolio, IAssetFxModel model, ICube epeCube, Currency reportingCurrency, HazzardCurve hazzardCurve, double LGD,
// double partyRiskWeight, Dictionary<string, string> assetIdToTypeMap, Dictionary<string, SaCcrAssetClass> typeToAssetClassMap, Dictionary<string, double> hedgeSetToCCF,
// IIrCurve discountCurve, ICurrencyProvider currencyProvider, Dictionary<DateTime, IAssetFxModel> models = null)
Expand Down Expand Up @@ -1232,6 +1297,110 @@ public static (double pv, string ccy, string tradeId, string tradeType) ComputeP
return (pv / fxRate, ccy, tradeId, tradeType);
}

public static (double pv, string ccy, string tradeId, string tradeType) ComputeParRates(IInstrument ins, IAssetFxModel model, Currency reportingCurrency, bool ignoreTodayFlows = false)
{
var ccy = reportingCurrency?.ToString();
var pvCcy = ins.GetCurrency();
var tradeId = ins.TradeId;
var tradeType = TradeType(ins);
double pv;
switch (ins)
{
case AsianOption asianOption:
pv = asianOption.PV(model, ignoreTodayFlows);
break;
case AsianSwap swap:
pv = swap.ParRate(model);
break;
case AsianSwapStrip swapStrip:
pv = swapStrip.ParRate(model);
break;
case AsianBasisSwap basisSwap:
pv = basisSwap.ParRate(model);
break;
case AssetFxBasisSwap assetFxBasisSwap:
pv = assetFxBasisSwap.ParRate(model);
break;
case SyntheticCashAndCarry cnc:
pv = cnc.ParRate(model);
break;
case EuropeanBarrierOption euBOpt:
pv = euBOpt.PV(model, ignoreTodayFlows);
break;
case FxVanillaOption euFxOpt:
pv = euFxOpt.PV(model, ignoreTodayFlows);
break;
case EuropeanOption euOpt:
pv = euOpt.PV(model, ignoreTodayFlows);
break;
case Forward fwd:
pv = fwd.ParRate(model);
break;
case FuturesOption futOpt:
pv = futOpt.PV(model, ignoreTodayFlows);
break;
case Future fut:
pv = fut.ParRate(model);
break;
case FxFuture fxFut:
pv = fxFut.ParRate(model);
break;
case FxPerpetual fxPerp:
pv = fxPerp.ParRate(model);
break;
case FxForward fxFwd:
pv = fxFwd.ParRate(model);
break;
case FixedRateLoanDeposit loanDepo:
pv = (loanDepo.Clone() as FixedRateLoanDeposit).ParRate(model);
break;
case FloatingRateLoanDepo loanDepoFl:
pv = (loanDepoFl.Clone() as FloatingRateLoanDepo).ParRate(model);
break;
case CashBalance cash:
pv = cash.Pv(model.FundingModel, false);
break;
case CashAsset etc:
pv = etc.ParRate(model);
break;
case STIRFuture stir:
pv = stir.ParRate(model);
break;
case OISFuture ois:
pv = ois.CalculateParRate(model.FundingModel);
break;
case IrSwap irs:
pv = (irs.Clone() as IrSwap).CalculateParRate(model.FundingModel);
break;
case IrBasisSwap irsb:
pv = (irsb.Clone() as IrBasisSwap).CalculateParRate(model.FundingModel);
break;
case InflationPerformanceSwap cpi:
pv = (cpi.Clone() as InflationPerformanceSwap).CalculateParRate(model.FundingModel);
break;
case InflationSwap cpi2:
pv = (cpi2.Clone() as InflationSwap).CalculateParRate(model.FundingModel);
break;
case AssetTrs trs:
pv = (trs.Clone() as AssetTrs).ParRate(model);
break;
case CashWrapper wrapper:
(pv, ccy, tradeId, tradeType) = ComputePV(wrapper.UnderlyingInstrument, model, pvCcy, ignoreTodayFlows);
if (reportingCurrency != null)
ccy = reportingCurrency.Ccy;
foreach (var cb in wrapper.CashBalances)
{
var p = ComputePV(cb, model, pvCcy);
pv += p.pv;
}
break;
default:
throw new Exception($"Unable to PV product of type {ins.GetType()}");
}

return (pv, pvCcy.ToString(), tradeId, tradeType);
}

private static Currency GetCurrency(this IInstrument ins) => ins switch
{
CashWrapper wrapper => wrapper.UnderlyingInstrument.GetCurrency(),
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2 changes: 1 addition & 1 deletion version.props
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@@ -1,5 +1,5 @@
<Project>
<PropertyGroup>
<VersionPrefix>0.8.82</VersionPrefix>
<VersionPrefix>0.8.83</VersionPrefix>
</PropertyGroup>
</Project>
2 changes: 1 addition & 1 deletion version.txt
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Original file line number Diff line number Diff line change
@@ -1 +1 @@
0.8.82
0.8.83

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