Risk matrix with time axis

cetusfinance · Apr 26, 2022 · 637aa9d · 637aa9d
1 parent 40b4d99
commit 637aa9d
Showing 1 changed file with 77 additions and 2 deletions.
diff --git a/src/Qwack.Models/Risk/RiskMatrix.cs b/src/Qwack.Models/Risk/RiskMatrix.cs
@@ -7,15 +7,18 @@
 using Qwack.Core.Cubes;
 using Qwack.Core.Instruments;
 using Qwack.Core.Models;
+using Qwack.Dates;
 using Qwack.Models.Models;
 using Qwack.Models.Risk.Mutators;
+using Qwack.Transport.BasicTypes;
 using Qwack.Utils.Parallel;
 
 namespace Qwack.Models.Risk
 {
     public class RiskMatrix
     {
         private readonly ICurrencyProvider _currencyProvider;
+        private readonly ICalendarProvider _calendar;
 
         public string AssetId { get; private set; }
         public Currency Ccy { get; private set; }
@@ -24,6 +27,7 @@ public class RiskMatrix
         public double ShiftSizeAsset { get; private set; }
         public double ShiftSizeFx { get; private set; }
         public int NScenarios { get; private set; }
+        public int? NTimeSteps { get; private set; }
         public bool ReturnDifferential { get; private set; }
 
         public FxPair Pair1 { get; private set; }
@@ -44,6 +48,19 @@ public RiskMatrix(string assetId, Currency ccy, MutationType shiftType, RiskMetr
             ReturnDifferential = returnDifferential;
         }
 
+        public RiskMatrix(string assetId, MutationType shiftType, RiskMetric metric, double shiftStepSizeAsset, int nTimeSteps, int nScenarios, ICurrencyProvider currencyProvider, ICalendarProvider calendar, bool returnDifferential = true)
+        {
+            AssetId = assetId;
+            NTimeSteps = nTimeSteps;
+            ShiftType = shiftType;
+            Metric = metric;
+            ShiftSizeAsset = shiftStepSizeAsset;
+            NScenarios = nScenarios;
+            _currencyProvider = currencyProvider;
+            _calendar = calendar;
+            ReturnDifferential = returnDifferential;
+        }
+
         public RiskMatrix(FxPair p1, FxPair p2, MutationType shiftType, RiskMetric metric, double shiftStepSize1, double shiftStepSize2, int nScenarios, ICurrencyProvider currencyProvider, bool returnDifferential = true)
         {
             Pair1 = p1;
@@ -61,10 +78,15 @@ public RiskMatrix(Currency c1, Currency c2, MutationType shiftType, RiskMetric m
         {
         }
 
-        public Dictionary<Tuple<string,string>, IPvModel> GenerateScenarios(IPvModel model)
+        public Dictionary<Tuple<string, string>, IPvModel> GenerateScenarios(IPvModel model)
         {
             if (!string.IsNullOrEmpty(AssetId))
-                return GenerateScenariosAssetFx(model);
+            {
+                if (NTimeSteps.HasValue)
+                    return GenerateScenariosAssetTime(model);
+                else
+                    return GenerateScenariosAssetFx(model);
+            }
             else
                 return GenerateScenariosFxFx(model);
         }
@@ -116,6 +138,59 @@ private Dictionary<Tuple<string, string>, IPvModel> GenerateScenariosAssetFx(IPv
             return o;
         }
 
+        private Dictionary<Tuple<string, string>, IPvModel> GenerateScenariosAssetTime(IPvModel model)
+        {
+            var o = new Dictionary<Tuple<string, string>, IPvModel>();
+            var axisLength = NScenarios * 2 + 1;
+            var results = new KeyValuePair<Tuple<string, string>, IPvModel>[axisLength * NTimeSteps.Value];
+            ParallelUtils.Instance.For(-NScenarios, NScenarios + 1, 1, (i) =>
+            {
+                var thisShiftAsset = i * ShiftSizeAsset;
+                var thisLabelAsset = AssetId + "~" + thisShiftAsset;
+
+                var assetIx = i + NScenarios;
+
+                IPvModel shifted;
+
+                if (thisShiftAsset == 0)
+                    shifted = model;
+                else
+                    shifted = ShiftType switch
+                    {
+                        MutationType.FlatShift => FlatShiftMutator.AssetCurveShift(AssetId, thisShiftAsset, model),
+                        _ => throw new Exception($"Unable to process shift type {ShiftType}"),
+                    };
+
+                var d = model.VanillaModel.BuildDate;
+                var pd = d;
+                for (var iT = 0; iT < NTimeSteps.Value; iT++)
+                {
+                    var thisLabelTime = $"+{iT} days";
+
+                    IPvModel shiftedTime;
+
+                    if (thisShiftAsset == 0)
+                        shiftedTime = shifted;
+                    else
+                    {
+                        d = d.AddPeriod(RollType.F, _calendar.GetCalendarSafe("USD"), iT.Bd());
+                        shiftedTime = shifted.VanillaModel.Clone().RollModel(d, _currencyProvider);
+                        shiftedTime = shifted.Rebuild(shiftedTime.VanillaModel, model.Portfolio.RollWithLifecycle(d, pd));
+                        pd = d;
+                    }
+
+                    results[assetIx * NTimeSteps.Value + iT] = new KeyValuePair<Tuple<string, string>, IPvModel>(
+                        new Tuple<string, string>(thisLabelAsset, thisLabelTime), shiftedTime);
+                }
+            }).Wait();
+
+            foreach (var kv in results)
+                o.Add(kv.Key, kv.Value);
+
+            return o;
+        }
+
+
         private Dictionary<Tuple<string, string>, IPvModel> GenerateScenariosFxFx(IPvModel model)
         {
             var o = new Dictionary<Tuple<string, string>, IPvModel>();