Inflation refactor

cetusfinance · May 24, 2023 · dbfb9b6 · dbfb9b6
1 parent 3fe212e
commit dbfb9b6
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Showing 32 changed files with 257 additions and 96 deletions.
diff --git a/clients/Qwack.Excel.Next/Curves/IRCurveFunctions.cs b/clients/Qwack.Excel.Next/Curves/IRCurveFunctions.cs
@@ -230,7 +230,7 @@ public static object CreateFundingModel(
                     fxMatrix = fxMatrixCache.GetObject((string)FxMatrix).Value;
                 }
 
-                var emptyCurves = new Dictionary<string, IrCurve>();
+                var emptyCurves = new Dictionary<string, IIrCurve>();
                 if (fic != null)
                 {
                     emptyCurves = fic.Value.ImplyContainedCurves(BuildDate, Interpolator1DType.LinearFlatExtrap);

diff --git a/clients/Qwack.Excel.Next/Curves/InflationCurveFunctions.cs b/clients/Qwack.Excel.Next/Curves/InflationCurveFunctions.cs
@@ -32,7 +32,6 @@ public static object CreateCPICurveFromForecasts(
              [ExcelArgument(Description = "Array of CPI forecasts")] double[] CPIForecasts,
              [ExcelArgument(Description = "Type of interpolation")] object InterpolationType,
              [ExcelArgument(Description = "Inflation Index")] string InfIndex,
-             [ExcelArgument(Description = "Fixing Dictionary")] string FixingDict,
              [ExcelArgument(Description = "Collateral Spec - default LIBOR.3M")] object CollateralSpec)
         {
             return ExcelHelper.Execute(_logger, () =>
@@ -52,15 +51,8 @@ public static object CreateCPICurveFromForecasts(
                     return $"Rate index {InfIndex} not found in cache";
                 }
 
-                var fixings = new Dictionary<DateTime, double>();
-                if(ContainerStores.GetObjectCache<IFixingDictionary>().TryGetObject(FixingDict, out var fixDict))
-                {
-                    foreach(var kv in fixDict.Value)
-                        fixings.Add(kv.Key, kv.Value);
-                }
-
                 var pDates = Pillars.ToDateTimeArray();
-                var cObj = new CPICurve(BuildDate, pDates, CPIForecasts, rIndex.Value, fixings)
+                var cObj = new CPICurve(BuildDate, pDates, CPIForecasts, rIndex.Value)
                 {
                     Name = curveName,
                 };

diff --git a/clients/Qwack.Excel.Next/Instruments/FundingInstrumentFunctions.cs b/clients/Qwack.Excel.Next/Instruments/FundingInstrumentFunctions.cs
@@ -533,7 +533,7 @@ public static object CreateFundingInstrumentCollection(
                 var ficInstruments = Instruments.GetAnyFromCache<FundingInstrumentCollection>()
                     .SelectMany(s => s);
 
-                var fic = new FundingInstrumentCollection(ContainerStores.CurrencyProvider);
+                var fic = new FundingInstrumentCollection(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
                 fic.AddRange(swaps);
                 fic.AddRange(fras);
                 fic.AddRange(futures);

diff --git a/clients/Qwack.Excel.Next/Risk/RiskFunctions.cs b/clients/Qwack.Excel.Next/Risk/RiskFunctions.cs
@@ -240,7 +240,7 @@ public static object PortfolioIrBenchmarkDelta(
                 var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
                 var fic = ContainerStores.GetObjectCache<FundingInstrumentCollection>().GetObjectOrThrow(FICName, $"FIC {FICName} not found in cache");
                 var ccy = ContainerStores.CurrencyProvider.GetCurrency(ReportingCcy);
-                var result = model.BenchmarkRisk(fic.Value, ContainerStores.CurrencyProvider, ccy);
+                var result = model.BenchmarkRisk(fic.Value, ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider, ccy);
                 return PushCubeToCache(result, ResultObjectName);
             });
         }

diff --git a/clients/Qwack.Excel/Curves/IRCurveFunctions.cs b/clients/Qwack.Excel/Curves/IRCurveFunctions.cs
@@ -230,7 +230,7 @@ public static object CreateFundingModel(
                     fxMatrix = fxMatrixCache.GetObject((string)FxMatrix).Value;
                 }
 
-                var emptyCurves = new Dictionary<string, IrCurve>();
+                var emptyCurves = new Dictionary<string, IIrCurve>();
                 if (fic != null)
                 {
                     emptyCurves = fic.Value.ImplyContainedCurves(BuildDate, Interpolator1DType.LinearFlatExtrap);

diff --git a/clients/Qwack.Excel/Instruments/FundingInstrumentFunctions.cs b/clients/Qwack.Excel/Instruments/FundingInstrumentFunctions.cs
@@ -533,7 +533,7 @@ public static object CreateFundingInstrumentCollection(
                 var ficInstruments = Instruments.GetAnyFromCache<FundingInstrumentCollection>()
                     .SelectMany(s => s);
 
-                var fic = new FundingInstrumentCollection(ContainerStores.CurrencyProvider);
+                var fic = new FundingInstrumentCollection(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
                 fic.AddRange(swaps);
                 fic.AddRange(fras);
                 fic.AddRange(futures);

diff --git a/clients/Qwack.Excel/Risk/RiskFunctions.cs b/clients/Qwack.Excel/Risk/RiskFunctions.cs
@@ -240,7 +240,7 @@ public static object PortfolioIrBenchmarkDelta(
                 var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
                 var fic = ContainerStores.GetObjectCache<FundingInstrumentCollection>().GetObjectOrThrow(FICName, $"FIC {FICName} not found in cache");
                 var ccy = ContainerStores.CurrencyProvider.GetCurrency(ReportingCcy);
-                var result = model.BenchmarkRisk(fic.Value, ContainerStores.CurrencyProvider, ccy);
+                var result = model.BenchmarkRisk(fic.Value, ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider, ccy);
                 return PushCubeToCache(result, ResultObjectName);
             });
         }

diff --git a/examples/Qwack - YeildCurveExample (Frozen Data).xlsx b/examples/Qwack - YeildCurveExample (Frozen Data).xlsx
diff --git a/src/Qwack.Core/Curves/CPICurve.cs b/src/Qwack.Core/Curves/CPICurve.cs
@@ -14,21 +14,38 @@ public class CPICurve : IIrCurve
     {
         public CPICurve() { }
 
-        public CPICurve(DateTime buildDate, DateTime[] pillars, double[] cpiRates, InflationIndex inflationIndex, Dictionary<DateTime, double> cpiHistory = null) 
+        public CPICurve(DateTime buildDate, DateTime[] pillars, double[] cpiRates, InflationIndex inflationIndex) 
         {
             BuildDate = buildDate;
             Pillars = pillars;
             CpiRates = cpiRates;
             InflationIndex = inflationIndex;
             Basis = InflationIndex.DayCountBasis;
-            CpiHistory = cpiHistory ?? new Dictionary<DateTime, double>();
+
+            BuildInterpolator();
+        }
+
+        public CPICurve(DateTime buildDate, DateTime[] pillars, double[] cpiRates, DayCountBasis cpiBasis, Frequency cpiFixingLag, Calendar cpiCalendar)
+        {
+            BuildDate = buildDate;
+            Pillars = pillars;
+            CpiRates = cpiRates;
+            InflationIndex = new InflationIndex
+            {
+                DayCountBasis = cpiBasis,
+                RollConvention = RollType.P,
+                HolidayCalendars = cpiCalendar,
+                FixingLag = cpiFixingLag
+            };
+
+            Basis = cpiBasis;
 
             BuildInterpolator();
         }
 
         private void BuildInterpolator()
         {
-            var allCpiPoints = new Dictionary<DateTime, double>(CpiHistory.Where(x => x.Key <= BuildDate).ToDictionary(x => x.Key, x => x.Value));
+            var allCpiPoints = new Dictionary<DateTime, double>();
 
             for (var i = 0; i < Pillars.Length; i++)
             {
@@ -49,15 +66,14 @@ private void BuildInterpolator()
         public DateTime[] Pillars { get; set; } = Array.Empty<DateTime>();
         public double[] CpiRates { get; set; } = Array.Empty<double>();
 
-        public Dictionary<DateTime, double> CpiHistory { get; set; } = new();
-
         public int NumberOfPillars => Pillars.Length;
 
         public InflationIndex InflationIndex { get; set; }
 
         private IInterpolator1D _cpiInterp;
 
         public int SolveStage { get; set; }
+        public string CollateralSpec { get; set; }
 
         public IIrCurve BumpRate(int pillarIx, double delta, bool mutate)
         {
@@ -69,7 +85,7 @@ public IIrCurve BumpRate(int pillarIx, double delta, bool mutate)
             }
             else
             {
-                return new CPICurve(BuildDate, Pillars, CpiRates.Select((x, ix) => ix == pillarIx ? x + delta : x).ToArray(), InflationIndex, CpiHistory);
+                return new CPICurve(BuildDate, Pillars, CpiRates.Select((x, ix) => ix == pillarIx ? x + delta : x).ToArray(), InflationIndex);
             }
         }
         public IIrCurve BumpRateFlat(double delta, bool mutate)
@@ -85,18 +101,13 @@ public IIrCurve BumpRateFlat(double delta, bool mutate)
             }
             else
             {
-                return new CPICurve(BuildDate, Pillars, CpiRates.Select(x => x + delta).ToArray(), InflationIndex, CpiHistory);
+                return new CPICurve(BuildDate, Pillars, CpiRates.Select(x => x + delta).ToArray(), InflationIndex);
             }
         }
         public Dictionary<DateTime, IIrCurve> BumpScenarios(double delta, DateTime lastSensitivityDate) => throw new NotImplementedException();
 
 
-        public double GetReturn(DateTime startDate, DateTime endDate)
-        {
-            var cpiStart = _cpiInterp.Interpolate(startDate.SubtractPeriod(InflationIndex.RollConvention, InflationIndex.HolidayCalendars, InflationIndex.FixingLag).ToOADate());
-            var cpiEnd = _cpiInterp.Interpolate(endDate.SubtractPeriod(InflationIndex.RollConvention, InflationIndex.HolidayCalendars, InflationIndex.FixingLag).ToOADate());
-            return cpiEnd / cpiStart - 1;
-        }
+        public double GetForecast(DateTime fixingDate, int fixingLagInMonths) => InflationUtils.InterpFixing(fixingDate, _cpiInterp, fixingLagInMonths);
 
         public double GetDf(DateTime startDate, DateTime endDate)
         {
@@ -130,7 +141,7 @@ public IIrCurve SetRate(int pillarIx, double rate, bool mutate)
             }
             else
             {
-                return new CPICurve(BuildDate, Pillars, CpiRates.Select((x, ix) => ix == pillarIx ? rate : x).ToArray(), InflationIndex, CpiHistory);
+                return new CPICurve(BuildDate, Pillars, CpiRates.Select((x, ix) => ix == pillarIx ? rate : x).ToArray(), InflationIndex);
             }
         }
 

diff --git a/src/Qwack.Core/Curves/IIrCurve.cs b/src/Qwack.Core/Curves/IIrCurve.cs
@@ -26,6 +26,8 @@ public interface IIrCurve
 
         IIrCurve RebaseDate(DateTime newAnchorDate);
 
-        int SolveStage { get; }
+        int SolveStage { get; set; }
+
+        string CollateralSpec { get; set; }
     }
 }
diff --git a/src/Qwack.Core/Curves/IrCurve.cs b/src/Qwack.Core/Curves/IrCurve.cs
@@ -65,7 +65,7 @@ public IrCurve(TO_IrCurve transportObject, ICurrencyProvider currencyProvider)
 
         public Currency Currency;
 
-        public string CollateralSpec { get; private set; }
+        public string CollateralSpec { get; set; }
         public FloatRateIndex RateIndex { get; private set; }
 
         public Dictionary<DateTime, double> Fixings { get; set; }

diff --git a/src/Qwack.Core/Curves/SvenssonCurve.cs b/src/Qwack.Core/Curves/SvenssonCurve.cs
@@ -49,14 +49,18 @@ public SvenssonCurve(double beta0, double beta1, double beta2, double beta3, dou
         public double Beta3 { get; }
         public double Tau1 { get; }
         public double Tau2 { get; }
-        public string CollateralSpec { get; private set; }
+        public string CollateralSpec { get; set; }
         public FloatRateIndex RateIndex { get; private set; }
 
         public void SetCollateralSpec(string collateralSpec) => CollateralSpec = collateralSpec;
 
         public void SetRateIndex(FloatRateIndex rateIndex) => RateIndex = rateIndex;
 
-        public int SolveStage { get { throw new NotImplementedException(); } }
+        public int SolveStage
+        {
+            get => throw new NotImplementedException();
+            set => throw new NotImplementedException();
+        }
 
         public double GetDf(DateTime startDate, DateTime endDate)
         {

diff --git a/src/Qwack.Core/Instruments/Cashflow.cs b/src/Qwack.Core/Instruments/Cashflow.cs
@@ -27,6 +27,7 @@ public CashFlow()
         public double Dcf { get; set; }
         public Currency Currency { get; set; }
         public double FixedRateOrMargin { get; set; }
+        public int CpiFixingLagInMonths { get; set; }
 
         public FlowType FlowType { get; set; }
         public DayCountBasis Basis { get; set; }
@@ -51,7 +52,8 @@ public CashFlow()
             FlowType = FlowType,
             Basis = Basis,
             RateIndex = RateIndex,
-            Dcf = Dcf
+            Dcf = Dcf,
+            CpiFixingLagInMonths = CpiFixingLagInMonths
         };
     }
 

diff --git a/src/Qwack.Core/Instruments/CashflowSchedule.cs b/src/Qwack.Core/Instruments/CashflowSchedule.cs
@@ -26,7 +26,7 @@ public class CashFlowSchedule
 
     public static class CashFlowScheduleEx
     {
-        public static double PV(this CashFlowSchedule schedule, IIrCurve discountCurve, IIrCurve forecastCurve, bool updateState, bool updateDf, bool updateEstimate, DayCountBasis basisFloat, DateTime? filterDate)
+        public static double PV(this CashFlowSchedule schedule, IIrCurve discountCurve, IIrCurve forecastCurve, bool updateState, bool updateDf, bool updateEstimate, DayCountBasis basisFloat, DateTime? filterDate, double? initialCpiFixing = null)
         {
             double totalPv = 0;
 
@@ -135,8 +135,8 @@ public static double PV(this CashFlowSchedule schedule, IIrCurve discountCurve,
                                 }
                                 var s = flow.AccrualPeriodStart;
                                 var e = flow.AccrualPeriodEnd;
-                                var cpiStart = forecastCurve.GetRate(s);
-                                var cpiEnd = forecastCurve.GetRate(e);
+                                var cpiStart = initialCpiFixing ?? forecastCurve.GetRate(s);
+                                var cpiEnd =  infCurve.GetForecast(e, flow.CpiFixingLagInMonths);
                                 fv = cpiEnd / cpiStart * flow.Notional * flow.FixedRateOrMargin * flow.YearFraction; 
                             }
                             else

diff --git a/src/Qwack.Core/Instruments/Funding/FundingInstrumentCollection.cs b/src/Qwack.Core/Instruments/Funding/FundingInstrumentCollection.cs
@@ -4,6 +4,7 @@
 using Qwack.Core.Basic;
 using Qwack.Core.Curves;
 using Qwack.Core.Models;
+using Qwack.Dates;
 using Qwack.Math.Interpolation;
 using Qwack.Transport.BasicTypes;
 
@@ -16,39 +17,57 @@ namespace Qwack.Core.Instruments.Funding
     public class FundingInstrumentCollection : List<IFundingInstrument>
     {
         private readonly ICurrencyProvider _currencyProvider;
+        private readonly ICalendarProvider _calendarProvider;
 
         public List<string> SolveCurves => this.Select(x => x.SolveCurve).Distinct().ToList();
 
-        public FundingInstrumentCollection(ICurrencyProvider currencyProvider) => _currencyProvider = currencyProvider;
+        public FundingInstrumentCollection(ICurrencyProvider currencyProvider, ICalendarProvider calendarProvider)
+        {
+            _currencyProvider = currencyProvider;
+            _calendarProvider = calendarProvider;
+        }
 
         public FundingInstrumentCollection Clone()
         {
-            var fic = new FundingInstrumentCollection(_currencyProvider);
+            var fic = new FundingInstrumentCollection(_currencyProvider, _calendarProvider);
             fic.AddRange(this.Select(x => x.Clone()));
             return fic;
         }
 
-        public Dictionary<string, IrCurve> ImplyContainedCurves(DateTime buildDate, Interpolator1DType interpType)
+        public Dictionary<string, IIrCurve> ImplyContainedCurves(DateTime buildDate, Interpolator1DType interpType)
         {
-            var o = new Dictionary<string, IrCurve>();
+            var o = new Dictionary<string, IIrCurve>();
 
             foreach (var curveName in SolveCurves)
             {
-                var pillars = this.Where(x => x.SolveCurve == curveName)
-                    .Select(x => x.PillarDate)
+                var insInScope = this.Where(x => x.SolveCurve == curveName).ToList();
+                var pillars = insInScope.Select(x => x.PillarDate)
                     .OrderBy(x => x)
                     .ToArray();
-                if (pillars.Distinct().Count() != pillars.Count())
+                if (pillars.Distinct().Count() != pillars.Length)
                     throw new Exception($"More than one instrument has the same solve pillar on curve {curveName}");
 
-                var dummyRates = pillars.Select(x => 0.05).ToArray();
                 var ccy = _currencyProvider.GetCurrency(curveName.Split('.')[0]);
                 var colSpec = (curveName.Contains("[")) ? curveName.Split('[').Last().Trim("[]".ToCharArray()) : curveName.Substring(curveName.IndexOf('.') + 1);
                 if (o.Values.Any(v => v.CollateralSpec == colSpec))
                     colSpec = colSpec + "_" + curveName;
 
-                var irCurve = new IrCurve(pillars, dummyRates, buildDate, curveName, interpType, ccy, colSpec);
-                o.Add(curveName, irCurve);
+                if (insInScope.All(i => i is IIsInflationInstrument))
+                {
+                    var dummyRates = pillars.Select(x => 100.0).ToArray();
+                    var irCurve = new CPICurve(buildDate, pillars, dummyRates, DayCountBasis.Act360, new Frequency("-3m"), _calendarProvider.GetCalendarSafe(ccy))
+                    {
+                        Name = curveName,
+                        CollateralSpec = colSpec,
+                    };
+                    o.Add(curveName, irCurve);
+                }
+                else
+                {
+                    var dummyRates = pillars.Select(x => 0.05).ToArray();
+                    var irCurve = new IrCurve(pillars, dummyRates, buildDate, curveName, interpType, ccy, colSpec);
+                    o.Add(curveName, irCurve);
+                }
             }
             return o;
         }