Basic activity pnl in attribution for MC

cetusfinance · Jul 5, 2024 · c38923b · c38923b
1 parent 9ea83f4
commit c38923b
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Showing 4 changed files with 109 additions and 4 deletions.
diff --git a/src/Qwack.Models/Models/AttributionSteps/ActivityStep.cs b/src/Qwack.Models/Models/AttributionSteps/ActivityStep.cs
@@ -0,0 +1,101 @@
+using System.Collections.Generic;
+using System.Linq;
+using Qwack.Core.Basic;
+using Qwack.Core.Cubes;
+using Qwack.Core.Instruments;
+using Qwack.Core.Models;
+using static Qwack.Core.Basic.Consts.Cubes;
+
+namespace Qwack.Models.Models.AttributionSteps;
+
+public class ActivityStep(Portfolio startPortfolio, Portfolio endPortfolio) : IPnLAttributionStep
+{
+    public (ICube endOfStepPvCube, IPvModel model) Attribute(IPvModel model, IPvModel endModel, ResultCube resultsCube, ICube lastPvCube,
+        ICube riskCube, Currency reportingCcy)
+    {
+        var (newTrades, removedTrades, ammendedTradesStart, ammendedTradesEnd) = startPortfolio.ActivityBooks(endPortfolio, endModel.VanillaModel.BuildDate);
+
+        var pfEndDict = endPortfolio.Instruments.ToDictionary(x => x.TradeId, x => x.PortfolioName);
+        var pfStartDict = startPortfolio.Instruments.ToDictionary(x => x.TradeId, x => x.PortfolioName);
+
+        if (newTrades.Instruments.Count > 0)
+        {
+            model = model.Rebuild(model.VanillaModel, newTrades);
+            var newTradesPnL = model.PV(reportingCcy);
+            var tidIx = newTradesPnL.GetColumnIndex(TradeId);
+            var tTypeIx = newTradesPnL.GetColumnIndex(TradeType);
+            foreach (var t in newTradesPnL.GetAllRows())
+            {
+                var tid = (string)t.MetaData[tidIx];
+                var row = new Dictionary<string, object>
+                {
+                    { TradeId,  tid},
+                    { TradeType, t.MetaData[tTypeIx] },
+                    { Step, "Activity" },
+                    { SubStep, "New" },
+                    { SubSubStep, string.Empty },
+                    { PointLabel, string.Empty },
+                    { "Portfolio", pfEndDict[tid]}
+                };
+                resultsCube.AddRow(row, t.Value);
+            }
+        }
+
+        if (removedTrades.Instruments.Count > 0)
+        {
+            model = model.Rebuild(model.VanillaModel, removedTrades);
+            var removedTradesPnL = model.PV(reportingCcy);
+
+            var tidIx = removedTradesPnL.GetColumnIndex(TradeId);
+            var tTypeIx = removedTradesPnL.GetColumnIndex(TradeType);
+
+            foreach (var t in removedTradesPnL.GetAllRows())
+            {
+                var tid = (string)t.MetaData[tidIx];
+                var row = new Dictionary<string, object>
+                {
+                    { TradeId, tid },
+                    { TradeType, t.MetaData[tTypeIx] },
+                    { Step, "Activity" },
+                    { SubStep, "Removed" },
+                    { SubSubStep, string.Empty },
+                    { PointLabel, string.Empty },
+                    { "Portfolio", pfStartDict[tid]}
+                };
+                resultsCube.AddRow(row, -t.Value);
+            }
+        }
+
+        if (ammendedTradesStart.Instruments.Count > 0)
+        {
+            model = model.Rebuild(model.VanillaModel, ammendedTradesStart);
+            var amendedTradesPnLStart = model.PV(reportingCcy);
+            model = model.Rebuild(model.VanillaModel, ammendedTradesEnd);
+            var amendedTradesPnLEnd = model.PV(reportingCcy);
+            var amendedPnL = amendedTradesPnLEnd.QuickDifference(amendedTradesPnLStart);
+
+            var tidIx = amendedTradesPnLStart.GetColumnIndex(TradeId);
+            var tTypeIx = amendedTradesPnLStart.GetColumnIndex(TradeType);
+
+            foreach (var t in amendedPnL.GetAllRows())
+            {
+                var tid = (string)t.MetaData[tidIx];
+                var row = new Dictionary<string, object>
+                {
+                    { TradeId, tid },
+                    { TradeType, t.MetaData[tTypeIx] },
+                    { Step, "Activity" },
+                    { SubStep, "Ammended" },
+                    { SubSubStep, string.Empty },
+                    { PointLabel, string.Empty },
+                    { "Portfolio", pfStartDict[tid]}
+                };
+                resultsCube.AddRow(row, t.Value);
+            }
+        }
+
+        model = model.Rebuild(model.VanillaModel, endPortfolio);
+
+        return (lastPvCube, model);
+    }
+}
diff --git a/src/Qwack.Models/Models/PnLAttribution.cs b/src/Qwack.Models/Models/PnLAttribution.cs
@@ -1500,7 +1500,7 @@ private static ICube EnrichWithPortfolio(this ICube results, Portfolio pfolio)
             return o;
         }
 
-        public static ICube ExplainAttribution(this Portfolio portfolio, AssetFxMCModel startModel, AssetFxMCModel endModel, Currency reportingCcy, ICube startingGreeks, ICurrencyProvider currencyProvider, IFutureSettingsProvider futureSettings, ICalendarProvider calendarProvider, bool useSpreadDelta = false)
+        public static ICube ExplainAttribution(this Portfolio startPortfolio, Portfolio endPortfolio, AssetFxMCModel startModel, AssetFxMCModel endModel, Currency reportingCcy, ICube startingGreeks, ICurrencyProvider currencyProvider, IFutureSettingsProvider futureSettings, ICalendarProvider calendarProvider, bool useSpreadDelta = false)
         {
             var cube = new ResultCube();
             var dataTypes = new Dictionary<string, Type>
@@ -1543,10 +1543,14 @@ public static ICube ExplainAttribution(this Portfolio portfolio, AssetFxMCModel
             (lastPvCube, model) =
                new FxVolsStep().Attribute(model, endModel, cube, lastPvCube, startingGreeks, reportingCcy);
 
-            //finally unexplained step
+            //unexplained step
             (lastPvCube, model) =
               new FinalStep().Attribute(model, endModel, cube, lastPvCube, startingGreeks, reportingCcy);
 
+            //activity step
+            (lastPvCube, model) =
+              new ActivityStep(startPortfolio, endPortfolio).Attribute(model, endModel, cube, lastPvCube, startingGreeks, reportingCcy);
+
             return cube;
         }
 

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.8.51</VersionPrefix>
+        <VersionPrefix>0.8.52</VersionPrefix>
 	</PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.8.51
+0.8.52