Expanding PnL attribution to cover MC models

cetusfinance · May 28, 2024 · af115e5 · af115e5
1 parent 4d753ff
commit af115e5
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diff --git a/src/Qwack.Models/Models/AssetProductEx.cs b/src/Qwack.Models/Models/AssetProductEx.cs
@@ -9,6 +9,7 @@
 using Qwack.Core.Instruments.Funding;
 using Qwack.Core.Models;
 using Qwack.Dates;
+using Qwack.Futures;
 using Qwack.Math;
 using Qwack.Math.Interpolation;
 using Qwack.Models.MCModels;
@@ -1685,6 +1686,12 @@ public static IAssetFxModel RollModel(this IAssetFxModel model, DateTime fwdValD
             return rolledModel;
         }
 
+        public static AssetFxMCModel RollModel(this AssetFxMCModel model, DateTime fwdValDate, ICurrencyProvider currencyProvider, IFutureSettingsProvider futureSettings, ICalendarProvider calendarProvider,  bool fillFixings = true)
+        {
+            var rolledVanilla = model.VanillaModel.RollModel(fwdValDate,currencyProvider, fillFixings);
+            return new AssetFxMCModel(rolledVanilla.BuildDate, model.Portfolio, rolledVanilla, model.Settings, currencyProvider, futureSettings, calendarProvider);
+        }
+
         public static IAssetFxModel RollModelPfe(this IAssetFxModel model, DateTime fwdValDate, double confidenceInterval,
             ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider, List<string> fxPairsToRoll)
         {