Fixes for RiskLadder calcs with MC models

cetusfinance · May 10, 2024 · ec1fe87 · ec1fe87
1 parent df88ede
commit ec1fe87
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Showing 5 changed files with 74 additions and 4 deletions.
diff --git a/src/Qwack.Core/Cubes/CubeEx.cs b/src/Qwack.Core/Cubes/CubeEx.cs
@@ -50,6 +50,61 @@ public static ICube Difference(this ICube baseCube, ICube cubeToSubtract)
             return o;
         }
 
+        public static ICube Difference(this ICube baseCube, ICube cubeToSubtract, string[] matchFields)
+        {
+            var ixsBase = new List<int>();
+            var ixsSub = new List<int>();
+            for (var i = 0; i < matchFields.Length; i++)
+            {
+                ixsBase.Add(baseCube.GetColumnIndex(matchFields[i]));
+                ixsSub.Add(cubeToSubtract.GetColumnIndex(matchFields[i]));
+            }
+
+            if (ixsBase.Any(x=>x<0) || ixsSub.Any(x=>x<0))
+                throw new Exception("Cubes must contain all required fields");
+
+            var o = new ResultCube();
+            o.Initialize(baseCube.DataTypes);
+            var baseRows = baseCube.GetAllRows().ToList();
+            var subRows = cubeToSubtract.GetAllRows().ToList();
+            foreach (var br in baseRows)
+            {
+                var rowFound = false;
+                foreach (var sr in subRows)
+                {
+                    var thisRowMatched = true;
+                    for(var i=0;i< matchFields.Length; i++)
+                    {
+                        if (br.MetaData[ixsBase[i]] != sr.MetaData[ixsSub[i]])
+                        {
+                            thisRowMatched = false; 
+                            break;
+                        }
+                    }
+                    if(thisRowMatched)
+                    { 
+                        o.AddRow(br.MetaData, br.Value - sr.Value);
+                        subRows.Remove(sr);
+                        rowFound = true;
+                        break;
+                    }
+                }
+
+                if (!rowFound) //zero to subtract
+                {
+                    o.AddRow(br.MetaData, br.Value);
+                }
+            }
+
+            //look at what is left in subrows
+            foreach (var sr in subRows)
+            {
+                o.AddRow(sr.MetaData, -sr.Value);
+            }
+
+            return o;
+        }
+
         /// <summary>
         /// Differences two cubes, assuming same number and same order of rows in both
         /// </summary>

diff --git a/src/Qwack.Models/Risk/BasicMetrics.cs b/src/Qwack.Models/Risk/BasicMetrics.cs
@@ -537,7 +537,7 @@ public static ICube AssetDeltaSingleCurve(this IPvModel pvModel, string assetId,
 
             var lastDateInBook = subPortfolio.LastSensitivityDate;
             model.AttachPortfolio(subPortfolio);
-            var pvCube = model.PV(curveObj.Currency);
+            var pvCube = pvModel.PV(curveObj.Currency);
             var pvRows = pvCube.GetAllRows();
 
             var tidIx = pvCube.GetColumnIndex(TradeId);

diff --git a/src/Qwack.Models/Risk/RiskLadder.cs b/src/Qwack.Models/Risk/RiskLadder.cs
@@ -103,6 +103,13 @@ public Dictionary<string, IPvModel> GenerateScenarios(IPvModel model)
             return o;
         }
 
+        private string[] GetCubeMatchingFields(RiskMetric riskMetric) => riskMetric switch
+        {
+            RiskMetric.AssetCurveDelta or RiskMetric.AssetVega or RiskMetric.PV01 => ["TradeId", "PointLabel", "AssetId"],
+            RiskMetric.PV => ["TradeId"],
+            _ => [],
+        };
+
         public ICube Generate(IPvModel model, Portfolio portfolio = null)
         {
             var o = new ResultCube();
@@ -112,6 +119,7 @@ public ICube Generate(IPvModel model, Portfolio portfolio = null)
 
             ICube baseRiskCube = null;
 
+            var matchingFields = GetCubeMatchingFields(Metric);
             if (ReturnDifferential)
             {
                 var baseModel = model;
@@ -138,7 +146,14 @@ public ICube Generate(IPvModel model, Portfolio portfolio = null)
 
                 if (ReturnDifferential)
                 {
-                    result = result.Difference(baseRiskCube);
+                    try
+                    {
+                        result = result.Difference(baseRiskCube, matchingFields);
+                    }
+                    catch (Exception ex)
+                    {
+                        
+                    }
                 }
 
                 results[i] = result;

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.7.88</VersionPrefix>
+        <VersionPrefix>0.7.89</VersionPrefix>
     </PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.7.88
+0.7.89