TRS support specific initial asset fixing

cetusfinance · Sep 29, 2023 · 385d654 · 385d654
1 parent fcb5cc9
commit 385d654
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Showing 10 changed files with 40 additions and 6 deletions.
diff --git a/src/Qwack.Core/Instruments/Asset/AssetTRS.cs b/src/Qwack.Core/Instruments/Asset/AssetTRS.cs
@@ -16,7 +16,8 @@ public class AssetTrs : IAssetInstrument
         public AssetTrs() { }
 
         public AssetTrs(ITrsUnderlying underlying, TrsLegType assetLegResetType, SwapLegType fundingLegType, TrsLegType fundingLegResetType, FloatRateIndex rateIndex, 
-            double notional, double fundingFixedRateOrMargin, FxConversionType fxConversionType, DateTime startDate, DateTime endDate, Currency currency, Calendar settleCalendar, SwapPayReceiveType assetLegDirection=SwapPayReceiveType.Rec )
+            double notional, double fundingFixedRateOrMargin, FxConversionType fxConversionType, DateTime startDate, DateTime endDate, Currency currency, Calendar settleCalendar, 
+            SwapPayReceiveType assetLegDirection=SwapPayReceiveType.Rec, string paymentOffset = "2b", double? initialFixing = null)
         {
             Underlying = underlying;
             AssetLegResetType = assetLegResetType;
@@ -30,6 +31,10 @@ public AssetTrs(ITrsUnderlying underlying, TrsLegType assetLegResetType, SwapLeg
             EndDate = endDate;
             Currency = currency;
             SettleCalendar = settleCalendar;
+            InitialAssetFixing = initialFixing;
+
+            FundingLegPaymentOffset = new Frequency(paymentOffset);
+            AssetLegPaymentOffset = new Frequency(paymentOffset); 
 
             FundingLeg = new GenericSwapLeg(StartDate, EndDate, rateIndex.HolidayCalendars, rateIndex.Currency,
                 rateIndex.ResetTenor, rateIndex.DayCountBasis)
@@ -80,6 +85,12 @@ public AssetTrs(TO_AssetTrs to, ICurrencyProvider currencyProvider, ICalendarPro
 
             FlowScheduleFunding = new CashFlowSchedule(to.FlowScheduleFunding, calendarProvider, currencyProvider);
             FlowScheduleAsset = new CashFlowSchedule(to.FlowScheduleAsset, calendarProvider, currencyProvider);
+
+            InitialAssetFixing = to.InitialAssetFixing;
+
+            FundingLegPaymentOffset = new Frequency(to.FundingLegPaymentOffset);
+            AssetLegPaymentOffset = new Frequency(to.AssetLegPaymentOffset);
+
         }
 
         public ITrsUnderlying Underlying { get; set; }
@@ -109,6 +120,8 @@ public AssetTrs(TO_AssetTrs to, ICurrencyProvider currencyProvider, ICalendarPro
 
         public double FundingFixedRateOrMargin { get; set; }
 
+        public double? InitialAssetFixing { get; set; }
+
         public DateTime StartDate { get; set; }
         public DateTime EndDate { get; set; }
 
@@ -159,6 +172,7 @@ public double PV(IAssetFxModel model)
             SettleCalendar = SettleCalendar,
             FundingLegPaymentOffset = FundingLegPaymentOffset,
             AssetLegPaymentOffset = AssetLegPaymentOffset,
+            InitialAssetFixing = InitialAssetFixing,
         };
 
         public string FxPair(IAssetFxModel model) => throw new NotImplementedException();
@@ -204,7 +218,8 @@ public Dictionary<string, List<DateTime>> PastFixingDates(DateTime valDate)
                 Underlying = Underlying.ToTransportObject(),
                 AssetLegPaymentOffset = AssetLegPaymentOffset.ToString(),
                 FundingLegPaymentOffset = FundingLegPaymentOffset.ToString(),
-                SettleCalendar = SettleCalendar.Name
+                SettleCalendar = SettleCalendar.Name,
+                InitialAssetFixing = InitialAssetFixing
             }
         };
     }

diff --git a/src/Qwack.Core/Instruments/Cashflow.cs b/src/Qwack.Core/Instruments/Cashflow.cs
@@ -35,6 +35,7 @@ public CashFlow()
         public FlowType FlowType { get; set; }
         public DayCountBasis Basis { get; set; }
         public FloatRateIndex RateIndex { get; set; }
+        public double? InitialFixing { get; set; }
 
         public CashFlow(TO_Cashflow to, ICalendarProvider calendarProvider, ICurrencyProvider currencyProvider)
         {
@@ -57,6 +58,7 @@ public CashFlow(TO_Cashflow to, ICalendarProvider calendarProvider, ICurrencyPro
             Dcf = to.Dcf;
             CpiFixingLagInMonths = to.CpiFixingLagInMonths;
             AssetId = to.AssetId;
+            InitialFixing = to.InitialFixing;
         }
 
         public CashFlow Clone() => new()
@@ -80,6 +82,7 @@ public CashFlow(TO_Cashflow to, ICalendarProvider calendarProvider, ICurrencyPro
             Dcf = Dcf,
             CpiFixingLagInMonths = CpiFixingLagInMonths,
             AssetId = AssetId,
+            InitialFixing = InitialFixing
         };
 
         public TO_Cashflow GetTransportObject() => new ()
@@ -103,6 +106,7 @@ public CashFlow(TO_Cashflow to, ICalendarProvider calendarProvider, ICurrencyPro
             Dcf = Dcf,
             CpiFixingLagInMonths = CpiFixingLagInMonths,
             AssetId = AssetId,
+            InitialFixing = InitialFixing
         };
     }
 

diff --git a/src/Qwack.Core/Instruments/CashflowSchedule.cs b/src/Qwack.Core/Instruments/CashflowSchedule.cs
@@ -275,7 +275,7 @@ public static double PV(this CashFlowSchedule schedule, Currency reportingCCy, I
                         {
                             var s = flow.AccrualPeriodStart;
                             var e = flow.AccrualPeriodEnd;
-                            var priceS = assetFixings.TryGetValue(s, out var fs) ? fs : curve.GetPriceForFixingDate(s);
+                            var priceS = flow.InitialFixing ?? (assetFixings.TryGetValue(s, out var fs) ? fs : curve.GetPriceForFixingDate(s));
                             var priceE = assetFixings.TryGetValue(e, out var fe) ? fe : curve.GetPriceForFixingDate(e);
                             var rateLin = priceE / priceS - 1.0;
                             rateLin += flow.FixedRateOrMargin;

diff --git a/src/Qwack.Core/Instruments/Funding/GenericSwapLeg.cs b/src/Qwack.Core/Instruments/Funding/GenericSwapLeg.cs
@@ -99,6 +99,7 @@ private void SetAllCalendars(Calendar calendars)
         public SwapPayReceiveType Direction { get; set; }
         public TrsLegType? TrsLegType { get; set; }
         public string AssetId { get; set; }
+        public double? InitialFixing { get; set; }
 
         public GenericSwapLeg Clone() => new()
         {
@@ -129,6 +130,7 @@ private void SetAllCalendars(Calendar calendars)
             TerminationDate = TerminationDate,
             TrsLegType = TrsLegType,
             AssetId = AssetId,
+            InitialFixing = InitialFixing,
         };
 
         public TO_GenericSwapLeg GetTransportObject() => new()
@@ -160,6 +162,7 @@ private void SetAllCalendars(Calendar calendars)
             Direction = Direction,
             TrsLegType = TrsLegType,
             AssetId = AssetId,
+            InitialFixing = InitialFixing
         };
 
 
@@ -206,10 +209,15 @@ public CashFlowSchedule GenerateSchedule()
                     FixedRateOrMargin = 0,
                     AssetId = AssetId,
                     Currency = Currency,
+                    InitialFixing = InitialFixing,
                 });
                 f.Flows = lf;
                 return f;
             }
+            else if(LegType == SwapLegType.AssetPerformance)
+            {
+                throw new NotImplementedException("Only bullet asset legs are currently supported");
+            }
 
             if (NotionalExchange is ExchangeType.FrontOnly or ExchangeType.Both)
             {

diff --git a/src/Qwack.Transport/TransportObjects/Instruments/Asset/TO_AssetTrs.cs b/src/Qwack.Transport/TransportObjects/Instruments/Asset/TO_AssetTrs.cs
@@ -71,5 +71,8 @@ public class TO_AssetTrs
 
         [ProtoMember(24)]
         public Dictionary<string, string> MetaData { get; set; }
+
+        [ProtoMember(25)]
+        public double? InitialAssetFixing { get; set; }
     }
 }
diff --git a/src/Qwack.Transport/TransportObjects/Instruments/Funding/TO_Cashflow.cs b/src/Qwack.Transport/TransportObjects/Instruments/Funding/TO_Cashflow.cs
@@ -45,5 +45,7 @@ public class TO_Cashflow
         public TO_FloatRateIndex RateIndex { get; set; }
         [ProtoMember(19)]
         public string AssetId { get; set; }
+        [ProtoMember(20)]
+        public double? InitialFixing { get; set; }
     }
 }
diff --git a/src/Qwack.Transport/TransportObjects/Instruments/Funding/TO_GenericSwapLeg.cs b/src/Qwack.Transport/TransportObjects/Instruments/Funding/TO_GenericSwapLeg.cs
@@ -64,5 +64,7 @@ public class TO_GenericSwapLeg
         public TrsLegType? TrsLegType { get; set; }
         [ProtoMember(27)]
         public string AssetId { get; set; }
+        [ProtoMember(28)]
+        public double? InitialFixing { get; set; }
     }
 }
diff --git a/test/Qwack.Core.Tests/Instruments/TrsFacts.cs b/test/Qwack.Core.Tests/Instruments/TrsFacts.cs
@@ -79,7 +79,7 @@ public void AssetTrs()
             var swp = new AssetTrs(ul, TrsLegType.Bullet, SwapLegType.Float, TrsLegType.Resetting, ix, 1e6, 0, FxConversionType.None, startDate, maturity, usd, usd.SettlementCalendar)
                 { ForecastFundingCurve = "USD.DISCO", DiscountCurve="USD.DISCO"};
             var pv = swp.PV(aModel);
-            Assert.Equal(9399.28384704169, pv, 8);
+            Assert.Equal(9406.739119358499, pv, 8);
 
 
         }

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.7.37</VersionPrefix>
+        <VersionPrefix>0.7.38</VersionPrefix>
     </PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.7.37
+0.7.38