LV fixes

cetusfinance · Sep 18, 2024 · f554c69 · f554c69
1 parent 9b150c5
commit f554c69
Show file tree

Hide file tree

Showing 15 changed files with 206 additions and 15 deletions.
diff --git a/src/Qwack.Core/Basic/IVolSurface.cs b/src/Qwack.Core/Basic/IVolSurface.cs
@@ -17,6 +17,7 @@ public interface IVolSurface
         string Name { get; }
 
         Dictionary<string, IVolSurface> GetATMVegaScenarios(double bumpSize, DateTime? LastSensitivityDate);
+        Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate);
 
         Currency Currency { get; set; }
         string AssetId { get; set; }

diff --git a/src/Qwack.Core/Basic/RiskMetric.cs b/src/Qwack.Core/Basic/RiskMetric.cs
@@ -20,6 +20,7 @@ public enum RiskMetric
         HistSimVaR,
         ContangoSwapDelta,
         ParRate,
-        AssetParallelGamma
+        AssetParallelGamma,
+        AssetWaveyVega
     }
 }
diff --git a/src/Qwack.Models/Risk/BasicMetrics.cs b/src/Qwack.Models/Risk/BasicMetrics.cs
@@ -47,7 +47,7 @@ public static Dictionary<string, ICube> ComputeBumpedScenarios(Dictionary<string
         };
         public static ICube AssetVega(this IPvModel pvModel, Currency reportingCcy, bool parallelize = true)
         {
-            var bumpSize = 0.001;
+            var bumpSize = -0.01;
             var cube = new ResultCube();
             var dataTypes = new Dictionary<string, Type>
             {
@@ -148,6 +148,114 @@ public static ICube AssetVega(this IPvModel pvModel, Currency reportingCcy, bool
             return cube.Sort(new List<string> { AssetId, "PointDate", TradeType });
         }
 
+        public static ICube AssetVegaWavey(this IPvModel pvModel, Currency reportingCcy)
+        {
+            var bumpSize = 0.01;
+            var cube = new ResultCube();
+            var dataTypes = new Dictionary<string, Type>
+            {
+                { TradeId, typeof(string) },
+                { TradeType, typeof(string) },
+                { AssetId, typeof(string) },
+                { "PointDate", typeof(DateTime) },
+                { PointLabel, typeof(string) },
+                { Metric, typeof(string) },
+                { "Strike", typeof(double) },
+                { "RefPrice", typeof(double) },
+                { Consts.Cubes.Portfolio, typeof(string)  }
+
+            };
+            var metaKeys = pvModel.Portfolio.Instruments.Where(x => x.TradeId != null).SelectMany(x => x.MetaData.Keys).Distinct().ToArray();
+            foreach (var key in metaKeys)
+            {
+                dataTypes[key] = typeof(string);
+            }
+            var insDict = pvModel.Portfolio.Instruments.Where(x => x.TradeId != null).ToDictionary(x => x.TradeId, x => x);
+            cube.Initialize(dataTypes);
+
+            var model = pvModel.VanillaModel;
+
+            foreach (var surfaceName in model.VolSurfaceNames)
+            {
+                var volObj = model.GetVolSurface(surfaceName);
+
+                var subPortfolio = new Portfolio()
+                {
+                    Instruments = pvModel.Portfolio.Instruments.Where(x => (x is IHasVega || (x is CashWrapper cw && cw.UnderlyingInstrument is IHasVega)) && (x is IAssetInstrument ia) && ia.AssetIds.Contains(volObj.AssetId)).ToList()
+                };
+
+                if (subPortfolio.Instruments.Count == 0)
+                    continue;
+
+                var strikesByTradeId = subPortfolio.Instruments.ToDictionary(t => t.TradeId, t => t.GetStrike());
+
+                var lastDateInBook = subPortfolio.LastSensitivityDate;
+
+                var basePvModel = pvModel.Rebuild(model, subPortfolio);
+                var pvCube = basePvModel.PV(reportingCcy);
+
+                var tidIx = pvCube.GetColumnIndex(TradeId);
+                var tTypeIx = pvCube.GetColumnIndex(TradeType);
+                var pfIx = pvCube.GetColumnIndex(Consts.Cubes.Portfolio);
+
+                var bumpedSurfaces = volObj.GetATMVegaWaveyScenarios(bumpSize, lastDateInBook);
+                var maturityDict = bumpedSurfaces.Keys.ToDictionary(x => x, volObj.PillarDatesForLabel);
+
+                foreach(var bCurve in bumpedSurfaces.OrderByDescending(x=> maturityDict[x.Key]))
+                {
+                    var pvRows = pvCube.GetAllRows();
+                    var newVanillaModel = model.Clone();
+                    newVanillaModel.AddVolSurface(surfaceName, bCurve.Value);
+                    var bumpedPvModel = basePvModel.Rebuild(newVanillaModel, subPortfolio);
+                    var bumpedPVCube = bumpedPvModel.PV(reportingCcy);
+                    var bumpedRows = bumpedPVCube.GetAllRows();
+                    if (bumpedRows.Length != pvRows.Length)
+                        throw new Exception("Dimensions do not match");
+
+                    for (var i = 0; i < bumpedRows.Length; i++)
+                    {
+                        //vega quoted for a 1% shift, irrespective of bump size
+                        var vega = (bumpedRows[i].Value - pvRows[i].Value) / bumpSize * 0.01;
+                        if (vega != 0.0)
+                        {
+                            var trdId = bumpedRows[i].MetaData[tidIx] as string;
+                            var pillarDate = bCurve.Value.PillarDatesForLabel(bCurve.Key);
+                            var fwdCurve = model.VanillaModel.GetPriceCurve(bCurve.Value.AssetId);
+                            var fwdPrice = fwdCurve?.GetPriceForDate(pillarDate) ?? 100;
+                            var cleanVol = model.VanillaModel.GetVolForDeltaStrikeAndDate(bCurve.Value.AssetId, pillarDate, 0.5);
+                            var row = new Dictionary<string, object>
+                            {
+                                { TradeId, trdId },
+                                { TradeType, bumpedRows[i].MetaData[tTypeIx] },
+                                { AssetId, surfaceName },
+                                { "PointDate", pillarDate },
+                                { PointLabel, bCurve.Key },
+                                { Metric, "Vega" },
+                                { "Strike", strikesByTradeId[trdId] },
+                                { "Portfolio", bumpedRows[i].MetaData[pfIx]  },
+                                { "RefPrice", cleanVol },
+                            };
+
+                            if (insDict.TryGetValue((string)bumpedRows[i].MetaData[tidIx], out var trade))
+                            {
+                                foreach (var key in metaKeys)
+                                {
+                                    if (trade.MetaData.TryGetValue(key, out var metaData))
+                                        row[key] = metaData;
+                                }
+                            }
+                            cube.AddRow(row, vega);
+                        }
+                    }
+
+                    pvCube = bumpedPVCube;
+                }
+            }
+
+            return cube.Sort(new List<string> { AssetId, "PointDate", TradeType });
+        }
+
+
         public static ICube AssetSegaRega(this IPvModel pvModel, Currency reportingCcy)
         {
             var bumpSize = 0.001;

diff --git a/src/Qwack.Options/VolSurfaces/CompositeVolSurface.cs b/src/Qwack.Options/VolSurfaces/CompositeVolSurface.cs
@@ -104,5 +104,6 @@ public double GetVolForDeltaStrike(double deltaStrike, double maturity, double f
 
         public double InverseCDF(DateTime expiry, double fwd, double p) => VolSurfaceEx.InverseCDFex(this, OriginDate.CalculateYearFraction(expiry, DayCountBasis.Act365F), fwd, p);
         public double CDF(DateTime expiry, double fwd, double strike) => this.GenerateCDF2(100, expiry, fwd).Interpolate(strike);
+        public Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate) => throw new NotImplementedException();
     }
 }
diff --git a/src/Qwack.Options/VolSurfaces/ConstantVolSurface.cs b/src/Qwack.Options/VolSurfaces/ConstantVolSurface.cs
@@ -60,6 +60,11 @@ public void Build(DateTime originDate, double volatility)
                 { "Flat", new ConstantVolSurface(OriginDate, Volatility + bumpSize) {Currency = Currency, AssetId=AssetId, Name=Name } }
             };
 
+        public Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate) => new()
+        {
+                { "Flat", new ConstantVolSurface(OriginDate, Volatility + bumpSize) {Currency = Currency, AssetId=AssetId, Name=Name } }
+            };
+
         public DateTime PillarDatesForLabel(string label) => OriginDate;
 
         public double InverseCDF(DateTime expiry, double fwd, double p) => VolSurfaceEx.InverseCDFex(this, OriginDate.CalculateYearFraction(expiry, DayCountBasis.Act365F), fwd, p);

diff --git a/src/Qwack.Options/VolSurfaces/GridVolSurface.cs b/src/Qwack.Options/VolSurfaces/GridVolSurface.cs
@@ -227,7 +227,7 @@ private double GetDeltaStrikeForAbs(double fwd, double strike, double maturity)
 
         public double GetVolForDeltaStrike(double strike, DateTime expiry, double forward) => GetVolForDeltaStrike(strike, TimeBasis.CalculateYearFraction(OriginDate, expiry), forward);
 
-        public Dictionary<string, IVolSurface> GetATMVegaScenarios(double bumpSize, DateTime? LastSensitivityDate)
+        public virtual Dictionary<string, IVolSurface> GetATMVegaScenarios(double bumpSize, DateTime? LastSensitivityDate)
         {
             var o = new Dictionary<string, IVolSurface>();
 
@@ -256,6 +256,37 @@ public Dictionary<string, IVolSurface> GetATMVegaScenarios(double bumpSize, Date
             return o;
         }
 
+        public virtual Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate)
+        {
+            var o = new Dictionary<string, IVolSurface>();
+
+            var lastBumpIx = Expiries.Length;
+
+            if (LastSensitivityDate.HasValue)
+            {
+                var ix = Array.BinarySearch(Expiries, LastSensitivityDate.Value);
+                ix = (ix < 0) ? ~ix : ix;
+                ix += 2;
+                lastBumpIx = Min(ix, lastBumpIx); //cap at last pillar
+            }
+
+            var volsBumped = (double[][])Volatilities.Clone();
+
+            for (var i = lastBumpIx-1; i >= 0; i--)
+            {
+                volsBumped[i] = volsBumped[i].Select(x => x + bumpSize).ToArray();
+                o.Add(PillarLabels[i],
+                    new GridVolSurface(OriginDate, Strikes, Expiries, volsBumped, StrikeType, StrikeInterpolatorType, TimeInterpolatorType, TimeBasis, PillarLabels)
+                    {
+                        Currency = Currency,
+                        AssetId = AssetId
+                    });
+            }
+
+            return o;
+        }
+
+
         public DateTime PillarDatesForLabel(string label)
         {
             var labelIx = Array.IndexOf(PillarLabels, label);
@@ -416,5 +447,6 @@ public double InverseCDF(DateTime expiry, double fwd, double p)
             Strikes = Strikes,
             Volatilities = new MultiDimArray<double>(Volatilities)
         };
+
     }
 }
diff --git a/src/Qwack.Options/VolSurfaces/InverseFxSurface.cs b/src/Qwack.Options/VolSurfaces/InverseFxSurface.cs
@@ -33,6 +33,8 @@ public InverseFxSurface(string Name, IATMVolSurface fxSurface, ICurrencyProvider
         public double CDF(DateTime expiry, double fwd, double strike) => 1.0 - FxSurface.CDF(expiry, 1 / fwd, 1 / strike);
 
         public Dictionary<string, IVolSurface> GetATMVegaScenarios(double bumpSize, DateTime? LastSensitivityDate) => FxSurface.GetATMVegaScenarios(bumpSize, LastSensitivityDate);
+        public Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate) => FxSurface.GetATMVegaWaveyScenarios(bumpSize, LastSensitivityDate);
+
 
         public double GetForwardATMVol(DateTime startDate, DateTime endDate) => FxSurface.GetForwardATMVol(startDate, endDate);
         public double GetForwardATMVol(double start, double end) => FxSurface.GetForwardATMVol(start, end);

diff --git a/src/Qwack.Options/VolSurfaces/LocalVol.cs b/src/Qwack.Options/VolSurfaces/LocalVol.cs
@@ -146,7 +146,7 @@ public static double[][] ComputeLocalVarianceOnGridFromCalls2(this IVolSurface V
                 var T = timeSteps[it];
                 var T1 = timeSteps[it - 1];
                 var fwd = fwds[it];
-                var bump = fwd / 10000;
+                var bump = fwd / 100000;
                 var fwdtm1 = fwds[it - 1];
                 var rmq = Log(fwd / fwdtm1) / (T - T1);
                 var numberOfStrikes = strikes[it - 1].Length;
@@ -159,21 +159,25 @@ public static double[][] ComputeLocalVarianceOnGridFromCalls2(this IVolSurface V
                     {
 
                         var K = strikes[it][ik];
+
                         var V = VanillaSurface.GetVolForAbsoluteStrike(K, T, fwd);
+                        var Vp = VanillaSurface.GetVolForAbsoluteStrike(K+bump, T, fwd);
+                        var Vm = VanillaSurface.GetVolForAbsoluteStrike(K-bump, T, fwd);
+
                         var C = BlackFunctions.BlackPV(fwd, K, 0.0, T, V, OptionType.C);                        
                         var Vtm1 = VanillaSurface.GetVolForAbsoluteStrike(K, T1, fwdtm1);
 
-                        var Cp1 = BlackFunctions.BlackPV(fwd, K + bump, 0.0, T, V, OptionType.C);
-                        var Cp2 = BlackFunctions.BlackPV(fwd, K + 2*bump, 0.0, T, V, OptionType.C);
-                        var Cm1 = BlackFunctions.BlackPV(fwd, K - bump, 0.0, T, V, OptionType.C);
-                        var Cm2 = BlackFunctions.BlackPV(fwd, K - 2 * bump, 0.0, T, V, OptionType.C);
+                        var Cp1 = BlackFunctions.BlackPV(fwd, K + bump, 0.0, T, Vp, OptionType.C);
+                        //var Cp2 = BlackFunctions.BlackPV(fwd, K + 2 * bump, 0.0, T, V, OptionType.C);
+                        var Cm1 = BlackFunctions.BlackPV(fwd, K - bump, 0.0, T, Vm, OptionType.C);
+                        //var Cm2 = BlackFunctions.BlackPV(fwd, K - 2 * bump, 0.0, T, V, OptionType.C);
 
 
                         //var dcdt = -BlackFunctions.BlackTheta(fwd, K, 0.0, T, V, OptionType.C);
-                        var dcdt = -(BlackFunctions.BlackPV(fwdtm1, K, 0.0, T1, Vtm1, OptionType.C) - C) / (T - T1);
+                        var dcdt = (C - BlackFunctions.BlackPV(fwdtm1, K, 0.0, T1, Vtm1, OptionType.C)) / (T - T1);
                         var dcdk = (Cp1 - Cm1) / (2 * bump);
-                        var dcdkp = (Cp2 - Cp1) / bump;
-                        var dcdkm = (Cm1 - Cm2) / bump;
+                        var dcdkp = (Cp1 - C) / bump;
+                        var dcdkm = (C - Cm1) / bump;
                         var d2cdk2 = (dcdkp - dcdkm) / bump;
 
                         var localVariance = d2cdk2 == 0 ? V * V : (dcdt - rmq * (C - K * dcdk)) / (0.5 * K * K * d2cdk2);

diff --git a/src/Qwack.Options/VolSurfaces/RiskyFlySurface.cs b/src/Qwack.Options/VolSurfaces/RiskyFlySurface.cs
@@ -159,7 +159,7 @@ private int LastIx(DateTime? LastSensitivityDate)
             return lastExpiry;
         }
 
-        public new Dictionary<string, IVolSurface> GetATMVegaScenarios(double bumpSize, DateTime? LastSensitivityDate)
+        public override Dictionary<string, IVolSurface> GetATMVegaScenarios(double bumpSize, DateTime? LastSensitivityDate)
         {
             var o = new Dictionary<string, IVolSurface>();
 
@@ -169,7 +169,35 @@ private int LastIx(DateTime? LastSensitivityDate)
             {
                 var volsBumped = (double[])ATMs.Clone();
                 volsBumped[i] += bumpSize;
-                o.Add(PillarLabels[i], new RiskyFlySurface(OriginDate, volsBumped, Expiries, WingDeltas, Riskies, Flies, Forwards, WingQuoteType, AtmVolType, StrikeInterpolatorType, TimeInterpolatorType, PillarLabels));
+                var bumped = new RiskyFlySurface(OriginDate, volsBumped, Expiries, WingDeltas, Riskies, Flies, Forwards, WingQuoteType, AtmVolType, StrikeInterpolatorType, TimeInterpolatorType, PillarLabels)
+                {
+                    AssetId = AssetId,
+                    Currency = Currency,
+                    Name = Name,
+                };
+                o.Add(PillarLabels[i], bumped);
+            }
+
+            return o;
+        }
+
+        public override Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate)
+        {
+            var o = new Dictionary<string, IVolSurface>();
+
+            var lastExpiry = LastIx(LastSensitivityDate);
+            var volsBumped = (double[])ATMs.Clone();
+
+            for (var i = lastExpiry-1; i >=0; i--)
+            {
+                volsBumped[i] += bumpSize;
+                var bumped = new RiskyFlySurface(OriginDate, volsBumped, Expiries, WingDeltas, Riskies, Flies, Forwards, WingQuoteType, AtmVolType, StrikeInterpolatorType, TimeInterpolatorType, PillarLabels)
+                {
+                    AssetId = AssetId,
+                    Currency = Currency,
+                    Name = Name,
+                };
+                o.Add(PillarLabels[i], bumped);
             }
 
             return o;

diff --git a/src/Qwack.Options/VolSurfaces/SABRVolSurface.cs b/src/Qwack.Options/VolSurfaces/SABRVolSurface.cs
@@ -237,5 +237,6 @@ public static double GetVolForAbsoluteStrike(double strike, double maturity, dou
 
         public double InverseCDF(DateTime expiry, double fwd, double p) => VolSurfaceEx.InverseCDFex(this, OriginDate.CalculateYearFraction(expiry, DayCountBasis.Act365F), fwd, p);
         public double CDF(DateTime expiry, double fwd, double strike) => this.GenerateCDF2(100, expiry, fwd).Interpolate(strike);
+        public Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate) => throw new NotImplementedException();
     }
 }
diff --git a/src/Qwack.Options/VolSurfaces/SVIVolSurface.cs b/src/Qwack.Options/VolSurfaces/SVIVolSurface.cs
@@ -161,5 +161,6 @@ public static double GetVolForAbsoluteStrike(double strike, double maturity, dou
         public double InverseCDF(DateTime expiry, double fwd, double p) => VolSurfaceEx.InverseCDFex(this, OriginDate.CalculateYearFraction(expiry, DayCountBasis.Act365F), fwd, p);
 
         public double CDF(DateTime expiry, double fwd, double strike) => this.GenerateCDF2(100, expiry, fwd).Interpolate(strike);
+        public Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate) => throw new NotImplementedException();
     }
 }
diff --git a/src/Qwack.Options/VolSurfaces/SparsePointSurface.cs b/src/Qwack.Options/VolSurfaces/SparsePointSurface.cs
@@ -102,5 +102,6 @@ public Dictionary<string, IVolSurface> GetATMVegaScenarios(double bumpSize, Date
             Vols = _vols.ToDictionary(kv => $"{kv.Key.expiry:yyyy-MM-dd}~{kv.Key.strike}", kv => kv.Value),
             PointLabels = _pillarLabels.ToDictionary(kv => $"{kv.Key:yyyy-MM-dd}", kv => kv.Value),
         };
+        public Dictionary<string, IVolSurface> GetATMVegaWaveyScenarios(double bumpSize, DateTime? LastSensitivityDate) => throw new NotImplementedException();
     }
 }
diff --git a/src/Qwack.Paths/Processes/BlackSingleAsset.cs b/src/Qwack.Paths/Processes/BlackSingleAsset.cs
@@ -1,5 +1,6 @@
 using System;
 using System.Collections.Generic;
+using System.Diagnostics;
 using System.Linq;
 using System.Numerics;
 using Qwack.Core.Models;
@@ -101,6 +102,11 @@ public void Finish(IFeatureCollection collection)
                 var spot = _forwardCurve(time) * driftAdj;
                 var varStart = Pow(_surface.GetForwardATMVol(0, prevTime), 2) * prevTime;
                 var varEnd = Pow(atmVol, 2) * time;
+                var x0 = varEnd - varStart;
+                if (x0 < 0)
+                {
+                    Debug.Assert(true);
+                }
                 var fwdVariance = Max(0, varEnd - varStart);
                 _vols[t] = Sqrt(fwdVariance / _timesteps.TimeSteps[t]);
                 _drifts[t] = Log(spot / prevSpot) / _timesteps.TimeSteps[t];

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.8.89</VersionPrefix>
+        <VersionPrefix>0.8.90</VersionPrefix>
 	</PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.8.89
+0.8.90