Merge 0c53b92 into ae5b57b

clients/Qwack.Excel/Cubes/CubeFunctions.cs

@@ -134,16 +134,18 @@ public class CubeFunctions
         public static object FilterCube(
            [ExcelArgument(Description = "Output cube name")] string OutputObjectName,
            [ExcelArgument(Description = "Input cube name")] string InputObjectName,
-           [ExcelArgument(Description = "Filter fields and values")] object[,] FilterDetails)
+           [ExcelArgument(Description = "Filter fields and values")] object[,] FilterDetails,
+           [ExcelArgument(Description = "Filter out? default false (i.e. filter in)")] object FilterOut)
         {
             return ExcelHelper.Execute(_logger, () =>
             {
+                var filterOut = FilterOut.OptionalExcel(false);
                 var cubeCache = ContainerStores.GetObjectCache<ICube>();
                 var inCube = cubeCache.GetObjectOrThrow(InputObjectName, $"Could not find cube {InputObjectName}");
 
                 var filterDeets = FilterDetails.RangeToKvList<string, object>();
 
-                var outCube = inCube.Value.Filter(filterDeets);
+                var outCube = inCube.Value.Filter(filterDeets, filterOut);
 
                 cubeCache.PutObject(OutputObjectName, new SessionItem<ICube> { Name = OutputObjectName, Value = outCube });
                 return OutputObjectName + '¬' + cubeCache.GetObject(OutputObjectName).Version;

clients/Qwack.Excel/Instruments/InstrumentFunctions.cs

@@ -1086,6 +1086,23 @@ public class InstrumentFunctions
             });
         }
 
+        [ExcelFunction(Description = "Returns a subset of trades from a portfolio object", Category = CategoryNames.Instruments, Name = CategoryNames.Instruments + "_" + nameof(FilterPortfolioByDate), IsThreadSafe = true)]
+        public static object FilterPortfolioByDate(
+            [ExcelArgument(Description = "Output object name")] string ObjectName,
+            [ExcelArgument(Description = "Input portfolio object name")] string PortfolioName,
+            [ExcelArgument(Description = "Date to filter out on-or-before")] DateTime FilterDate)
+        {
+            return ExcelHelper.Execute(_logger, () =>
+            {
+
+                var pFolioCache = ContainerStores.GetObjectCache<Portfolio>();
+                var pfIn = pFolioCache.GetObjectOrThrow(PortfolioName, $"Portfolio {PortfolioName} not found");
+                var pf = pfIn.Value.FilterOnSettleDate(FilterDate);
+                pFolioCache.PutObject(ObjectName, new SessionItem<Portfolio> { Name = ObjectName, Value = pf });
+                return ObjectName + '¬' + pFolioCache.GetObject(ObjectName).Version;
+            });
+        }
+
         [ExcelFunction(Description = "Displays a portfolio of instruments", Category = CategoryNames.Instruments, Name = CategoryNames.Instruments + "_" + nameof(DisplayPortfolio), IsThreadSafe = true)]
         public static object DisplayPortfolio(
             [ExcelArgument(Description = "Object name")] string ObjectName)

clients/Qwack.Excel/Risk/RiskFunctions.cs

@@ -11,6 +11,8 @@
 using Qwack.Excel.Instruments;
 using Qwack.Models.Risk;
 using Qwack.Core.Instruments.Funding;
+using System.Linq;
+using System.Collections.Generic;
 
 namespace Qwack.Excel.Curves
 {
@@ -119,15 +121,45 @@ public class RiskFunctions
             });
         }
 
+        [ExcelFunction(Description = "Returns fx delta of a portfolio given an AssetFx model", Category = CategoryNames.Risk, Name = CategoryNames.Risk + "_" + nameof(PortfolioFxDeltaSpecific), IsThreadSafe = true)]
+        public static object PortfolioFxDeltaSpecific(
+            [ExcelArgument(Description = "Result object name")] string ResultObjectName,
+            [ExcelArgument(Description = "Portolio object name")] string PortfolioName,
+            [ExcelArgument(Description = "Asset-FX or MC model name")] string ModelName,
+            [ExcelArgument(Description = "Pairs to bump")] object[] PairsToBump,
+            [ExcelArgument(Description = "Home currency, e.g. ZAR")] string HomeCcy,
+            [ExcelArgument(Description = "Compute gamma, default false")] object ComputeGamma)
+        {
+            return ExcelHelper.Execute(_logger, () =>
+            {
+                var gamma = ComputeGamma.OptionalExcel(false);
+                var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
+                var ccy = ContainerStores.CurrencyProvider[HomeCcy];
+                var pairsToBumpStr = PairsToBump.ObjectRangeToVector<string>();
+                var pairsToBump = pairsToBumpStr.Select(p => p.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider)).ToList();
+                var result = model.FxDeltaSpecific(ccy, pairsToBump, ContainerStores.CurrencyProvider, gamma);
+                return PushCubeToCache(result, ResultObjectName);
+            });
+        }
+
         [ExcelFunction(Description = "Returns theta and charm of a portfolio given an AssetFx model", Category = CategoryNames.Risk, Name = CategoryNames.Risk + "_" + nameof(PortfolioThetaCharm), IsThreadSafe = true)]
         public static object PortfolioThetaCharm(
            [ExcelArgument(Description = "Result object name")] string ResultObjectName,
            [ExcelArgument(Description = "Portolio object name")] string PortfolioName,
            [ExcelArgument(Description = "Asset-FX model name")] string ModelName,
            [ExcelArgument(Description = "Fwd value date, usually T+1")] DateTime FwdValDate,
-           [ExcelArgument(Description = "Reporting currency")] string ReportingCcy)
+           [ExcelArgument(Description = "Reporting currency")] string ReportingCcy,
+           [ExcelArgument(Description = "List of FxPairs for fx metrics")] object[] PairsToRisk)
         {
-            return ExcelHelper.Execute(_logger, () => ThetaCharm(ResultObjectName, PortfolioName, ModelName, FwdValDate, ReportingCcy, true));
+
+            return ExcelHelper.Execute(_logger, () =>
+            {
+                var pairs = (PairsToRisk == null || !PairsToRisk.Any() || PairsToRisk.First() is ExcelMissing) ? null :
+                PairsToRisk.ObjectRangeToVector<string>()
+                        .Select(x => x.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider))
+                        .ToList();
+                return ThetaCharm(ResultObjectName, PortfolioName, ModelName, FwdValDate, ReportingCcy, true, pairs);
+            });
         }
 
         [ExcelFunction(Description = "Returns theta of a portfolio given an AssetFx model", Category = CategoryNames.Risk, Name = CategoryNames.Risk + "_" + nameof(PortfolioTheta), IsThreadSafe = true)]
@@ -138,14 +170,14 @@ public class RiskFunctions
             [ExcelArgument(Description = "Fwd value date, usually T+1")] DateTime FwdValDate,
             [ExcelArgument(Description = "Reporting currency")] string ReportingCcy)
         {
-            return ExcelHelper.Execute(_logger, () => ThetaCharm(ResultObjectName, PortfolioName, ModelName, FwdValDate, ReportingCcy, false));
+            return ExcelHelper.Execute(_logger, () => ThetaCharm(ResultObjectName, PortfolioName, ModelName, FwdValDate, ReportingCcy, false, null));
         }
 
-        private static string ThetaCharm(string ResultObjectName, string PortfolioName, string ModelName,DateTime FwdValDate, string ReportingCcy, bool computeCharm)
+        private static string ThetaCharm(string ResultObjectName, string PortfolioName, string ModelName,DateTime FwdValDate, string ReportingCcy, bool computeCharm, List<FxPair> fxPairs=null)
         {
             var model = InstrumentFunctions.GetModelFromCache(ModelName, PortfolioName);
             var ccy = ContainerStores.CurrencyProvider[ReportingCcy];
-            var result = model.AssetThetaCharm(FwdValDate, ccy, ContainerStores.CurrencyProvider, computeCharm);
+            var result = model.AssetThetaCharm(FwdValDate, ccy, ContainerStores.CurrencyProvider, computeCharm, fxPairs);
             return PushCubeToCache(result, ResultObjectName);
         }
 
@@ -308,7 +340,8 @@ private static string ThetaCharm(string ResultObjectName, string PortfolioName,
             [ExcelArgument(Description = "Bump step size asset")] double BumpStepAsset,
             [ExcelArgument(Description = "Bump step size fx")] double BumpStepFx,
             [ExcelArgument(Description = "Risk metric to produce for each scenario")] object RiskMetric,
-            [ExcelArgument(Description = "Return differential to base case, default True")] object ReturnDiff)
+            [ExcelArgument(Description = "Return differential to base case, default True")] object ReturnDiff,
+            [ExcelArgument(Description = "List of FxPairs for fx metrics")] object[] PairsToRisk)
         {
             return ExcelHelper.Execute(_logger, () =>
             {
@@ -320,20 +353,38 @@ private static string ThetaCharm(string ResultObjectName, string PortfolioName,
                     throw new Exception($"Unknown risk metric {RiskMetric}");
                 var retDiff = ReturnDiff.OptionalExcel(true);
 
-                var isFxFx = AssetId.Length == 7 && AssetId[3] == '/';
+
+                var isFxFx = AssetId.Length == 7 && AssetId[3] == '/' &&
+                             Currency.Length == 7 && Currency[3] == '/';
 
                 ICube result = null;
                 if (isFxFx)
                 {
-                    //var ccy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
-                    //var ccy2 = ContainerStores.CurrencyProvider.GetCurrency(AssetId.Substring(4));
-                    //var riskMatrix = new RiskMatrix(ccy2, ccy, bType, metric, BumpStepAsset, BumpStepFx, NScenarios, ContainerStores.CurrencyProvider, retDiff);
-                    //result = riskMatrix.Generate(model, model.Portfolio);
+                    var pair1 = Currency.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
+                    var pair2 = AssetId.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider);
+                    var riskMatrix = new RiskMatrix(pair2, pair1, bType, metric, BumpStepAsset, BumpStepFx, NScenarios, ContainerStores.CurrencyProvider, retDiff);
+
+                    if(PairsToRisk!=null && PairsToRisk.Any())
+                    {
+                        riskMatrix.FxPairsForDelta = PairsToRisk.ObjectRangeToVector<string>()
+                        .Select(x => x.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider))
+                        .ToList();
+                    }
+
+                    result = riskMatrix.Generate(model, model.Portfolio);
                 }
                 else
                 {
                     var ccy = ContainerStores.CurrencyProvider.GetCurrency(Currency);
                     var riskMatrix = new RiskMatrix(AssetId, ccy, bType, metric, BumpStepAsset, BumpStepFx, NScenarios, ContainerStores.CurrencyProvider, retDiff);
+
+                    if (PairsToRisk != null && PairsToRisk.Any())
+                    {
+                        riskMatrix.FxPairsForDelta = PairsToRisk.ObjectRangeToVector<string>()
+                        .Select(x => x.FxPairFromString(ContainerStores.CurrencyProvider, ContainerStores.CalendarProvider))
+                        .ToList();
+                    }
+
                     result = riskMatrix.Generate(model, model.Portfolio);
                 }
 

src/Qwack.Core/Basic/FxMatrix.cs

@@ -49,6 +49,9 @@ public FxPair GetFxPair(string pair)
 
         public double GetSpotRate(Currency ccy) => SpotRates.TryGetValue(ccy, out var spotRate) ? spotRate : throw new Exception($"Spot rate for currency {ccy.Ccy} not found");
 
+        public bool TryGetSpotRate(Currency ccy, out double spotRate) => SpotRates.TryGetValue(ccy, out spotRate);
+
+
         public FxPair GetFxPair(Currency domesticCcy, Currency foreignCcy)
         {
             if(domesticCcy==foreignCcy)

src/Qwack.Core/Cubes/CubeEx.cs

@@ -155,7 +155,7 @@ public static ICube Pivot(this ICube cube, string[] fieldsToAggregateBy, Aggrega
             return outCube;
         }
 
-        public static ICube Filter(this ICube cube, Dictionary<string, object> fieldsToFilterOn)
+        public static ICube Filter(this ICube cube, Dictionary<string, object> fieldsToFilterOn, bool filterOut=false)
         {
             foreach (var fieldToFilterOn in fieldsToFilterOn.Keys)
                 if (!cube.DataTypes.ContainsKey(fieldToFilterOn))
@@ -178,6 +178,9 @@ public static ICube Filter(this ICube cube, Dictionary<string, object> fieldsToF
                         break;
                     }
                 }
+                if (filterOut)
+                    rowIsRelevant = !rowIsRelevant;
+
                 if (rowIsRelevant)
                     outCube.AddRow(row.MetaData, row.Value);
             }
@@ -236,7 +239,7 @@ public static ICube BucketTimeAxis(this ICube cube, string timeFieldName, string
             return output;
         }
 
-        public static ICube Filter(this ICube cube, List<KeyValuePair<string, object>> fieldsToFilterOn)
+        public static ICube Filter(this ICube cube, List<KeyValuePair<string, object>> fieldsToFilterOn, bool filterOut=false)
         {
             foreach (var fieldToFilterOn in fieldsToFilterOn.Select(x=>x.Key))
                 if (!cube.DataTypes.ContainsKey(fieldToFilterOn))
@@ -270,6 +273,9 @@ public static ICube Filter(this ICube cube, List<KeyValuePair<string, object>> f
                         break;
                     }
                 }
+                if (filterOut)
+                    rowIsRelevant = !rowIsRelevant;
+
                 if (rowIsRelevant)
                     outCube.AddRow(row.MetaData, row.Value);
             }

src/Qwack.Core/Instruments/Funding/CashBalance.cs

@@ -58,7 +58,8 @@ public CashBalance(Currency currency, double notional, DateTime? payDate = null)
             Notional = Notional,
             PillarDate = PillarDate,
             SolveCurve = SolveCurve,
-            TradeId = TradeId
+            TradeId = TradeId,
+            PortfolioName = PortfolioName
         };
 
         public IFundingInstrument SetParRate(double parRate) => Clone();

src/Qwack.Core/Instruments/Portfolio.cs

@@ -420,7 +420,11 @@ public static Portfolio RollWithLifecycle(this Portfolio pf, DateTime rollfromDa
                                     wrapper.CashBalances.Add(new CashBalance(wfxf.ForeignCCY, -wfxf.DomesticQuantity * wfxf.Strike) { TradeId = i.TradeId + "f" });
                                 }                                break;
                             case FixedRateLoanDeposit wl:
-                                if (wl.EndDate < rollToDate && wl.EndDate >= rollfromDate)
+                                if (wl.StartDate < rollToDate && wl.StartDate >= rollfromDate)
+                                {
+                                    wrapper.CashBalances.Add(new CashBalance(wl.Currency, wl.Notional) { TradeId = i.TradeId + "nStart" });
+                                }
+                                else if (wl.EndDate < rollToDate && wl.EndDate >= rollfromDate)
                                 {
                                     wrapper.CashBalances.Add(new CashBalance(wl.Currency, -wl.Notional) { TradeId = i.TradeId + "n" });
                                 }
@@ -463,5 +467,8 @@ public static Portfolio CashAccrual(this Portfolio pf, DateTime rollToDate, IFun
 
             return o;
         }
+
+        public static Portfolio FilterOnSettleDate(this Portfolio pf, DateTime filterOutOnOrBefore) 
+            => new Portfolio { Instruments = pf.Instruments.Where(x => x.LastSensitivityDate > filterOutOnOrBefore || (x is CashBalance)).ToList() };
     }
 }

src/Qwack.Models/Models/AssetProductEx.cs

@@ -851,6 +851,8 @@ private static (double pv, string ccy, string tradeId, string tradeType) Compute
                     break;
                 case CashWrapper wrapper:
                     (pv, ccy, tradeId, tradeType) = ComputePV(wrapper.UnderlyingInstrument, model, pvCcy);
+                    if (reportingCurrency != null)
+                        ccy = reportingCurrency.Ccy;
                     foreach(var cb in wrapper.CashBalances)
                     {
                         var p = ComputePV(cb, model, pvCcy);