Risk matrix FX delta fixes

cetusfinance · Nov 21, 2022 · deed698 · deed698
1 parent 3446d16
commit deed698
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Showing 4 changed files with 33 additions and 5 deletions.
diff --git a/src/Qwack.Models/Models/FundingModel.cs b/src/Qwack.Models/Models/FundingModel.cs
@@ -244,7 +244,8 @@ public static IFundingModel RemapBaseCurrency(IFundingModel input, Currency newB
             var homeToBase = mf.FxMatrix.SpotRates[newBaseCurrency];
             var ccys = mf.FxMatrix.SpotRates.Keys.ToList()
                 .Concat(new[] { mf.FxMatrix.BaseCurrency })
-                .Where(x => x != newBaseCurrency);
+                .Where(x => x != newBaseCurrency)
+                .Distinct();
             var newRateDict = new Dictionary<Currency, double>();
             foreach (var ccy in ccys)
             {

diff --git a/src/Qwack.Models/Risk/RiskLadder.cs b/src/Qwack.Models/Risk/RiskLadder.cs
@@ -5,20 +5,24 @@
 using Qwack.Core.Cubes;
 using Qwack.Core.Instruments;
 using Qwack.Core.Models;
+using Qwack.Dates;
 using Qwack.Models.Risk.Mutators;
 using Qwack.Utils.Parallel;
 
 namespace Qwack.Models.Risk
 {
     public class RiskLadder
     {
+        public ICurrencyProvider CurrencyProvider { get; set; }
+
         public string AssetId { get; private set; }
         public MutationType ShiftType { get; private set; }
         public RiskMetric Metric { get; private set; }
         public double ShiftSize { get; private set; }
         public int NScenarios { get; private set; }
         public bool ReturnDifferential { get; private set; }
         public Currency Ccy { get; private set; }
+        public FxPair FxPair { get; private set; }
 
         public RiskLadder(string assetId, MutationType shiftType, RiskMetric metric, double shiftStepSize, int nScenarios, bool returnDifferential = true)
         {
@@ -40,6 +44,16 @@ public RiskLadder(Currency ccy, MutationType shiftType, RiskMetric metric, doubl
             ReturnDifferential = returnDifferential;
         }
 
+        public RiskLadder(FxPair pair, MutationType shiftType, RiskMetric metric, double shiftStepSize, int nScenarios, bool returnDifferential = true)
+        {
+            FxPair = pair;
+            ShiftType = shiftType;
+            Metric = metric;
+            ShiftSize = shiftStepSize;
+            NScenarios = nScenarios;
+            ReturnDifferential = returnDifferential;
+        }
+
         public Dictionary<string, IPvModel> GenerateScenarios(IPvModel model)
         {
             var o = new Dictionary<string, IPvModel>();
@@ -48,12 +62,12 @@ public Dictionary<string, IPvModel> GenerateScenarios(IPvModel model)
             ParallelUtils.Instance.For(-NScenarios, NScenarios + 1, 1, (i) =>
             {
                 var thisShift = i * ShiftSize;
-                var thisLabel = (string.IsNullOrWhiteSpace(AssetId) ? Ccy.Ccy : AssetId) + "~" + thisShift;
+                var thisLabel = (string.IsNullOrWhiteSpace(AssetId) ? (FxPair?.ToString() ?? Ccy.Ccy ) : AssetId) + "~" + thisShift;
                 if (thisShift == 0)
                     results[i + NScenarios] = new KeyValuePair<string, IPvModel>(thisLabel, model);
                 else
                 {
-                    if (string.IsNullOrWhiteSpace(AssetId))
+                    if (string.IsNullOrWhiteSpace(AssetId) && FxPair==null)
                     {
                         var shifted = ShiftType switch
                         {
@@ -62,6 +76,15 @@ public Dictionary<string, IPvModel> GenerateScenarios(IPvModel model)
                         };
                         results[i + NScenarios] = new KeyValuePair<string, IPvModel>(thisLabel, shifted);
                     }
+                    else if (FxPair != null)
+                    {
+                        var shifted = ShiftType switch
+                        {
+                            MutationType.FlatShift => FlatShiftMutator.FxSpotShift(FxPair, thisShift, model),
+                            _ => throw new Exception($"Unable to process shift type {ShiftType}"),
+                        };
+                        results[i + NScenarios] = new KeyValuePair<string, IPvModel>(thisLabel, shifted);
+                    }
                     else
                     {
                         var shifted = ShiftType switch
@@ -136,7 +159,11 @@ public ICube Generate(IPvModel model, Portfolio portfolio = null)
             RiskMetric.AssetVega => model.AssetVega(model.VanillaModel.FundingModel.FxMatrix.BaseCurrency),
             RiskMetric.PV => model.PV(model.VanillaModel.FundingModel.FxMatrix.BaseCurrency),
             RiskMetric.PV01 => model.AssetIrDelta(model.VanillaModel.FundingModel.FxMatrix.BaseCurrency),
+            RiskMetric.FxDelta => model.FxDelta(FxPair?.Foreign ?? Ccy ?? model.VanillaModel.FundingModel.FxMatrix.BaseCurrency, CurrencyProvider, false, ShouldInvert(FxPair?.Foreign ?? Ccy ?? model.VanillaModel.FundingModel.FxMatrix.BaseCurrency)),
             _ => throw new Exception($"Unable to process risk metric {Metric}"),
         };
+
+        static string[] _inverseCcys = new[] { "EUR", "GBP", "AUD", "NZD" };
+        private static bool ShouldInvert(string ccy) => !_inverseCcys.Contains(ccy);
     }
 }
diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.7.9</VersionPrefix>
+        <VersionPrefix>0.7.10</VersionPrefix>
     </PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.7.9
+0.7.10