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use core::qm;
use std::sync::Arc;
use instruments::RcInstrument;
use instruments::PricingContext;
use instruments::DependencyContext;
use risk::cache::PricingContextPrefetch;
use risk::Pricer;
use risk::PricerClone;
use risk::dependencies::DependencyCollector;
use risk::Bumpable;
use risk::TimeBumpable;
use risk::Saveable;
use pricers::PricerFactory;
use data::fixings::RcFixingTable;
use data::bump::Bump;
use risk::bumptime::BumpTime;
use risk::marketdata::RcMarketData;
use risk::marketdata::MarketData;
use models::MonteCarloModel;
use models::RcMonteCarloModelFactory;
use models::MonteCarloTimeline;
use core::factories::TypeId;
use core::factories::Qrc;
use serde::Deserialize;
use erased_serde as esd;
#[derive(Clone)]
pub struct MonteCarloPricer {
model_factory: RcMonteCarloModelFactory,
instruments: Vec<(f64, RcInstrument)>,
model: Box<MonteCarloModel>
}
#[derive(Serialize, Deserialize, Clone, Debug)]
pub struct MonteCarloPricerFactory {
model_factory: RcMonteCarloModelFactory
}
impl MonteCarloPricerFactory {
pub fn new(model_factory: RcMonteCarloModelFactory)
-> MonteCarloPricerFactory {
MonteCarloPricerFactory { model_factory: model_factory }
}
pub fn from_serial<'de>(de: &mut esd::Deserializer<'de>) -> Result<Qrc<PricerFactory>, esd::Error> {
Ok(Qrc::new(Arc::new(MonteCarloPricerFactory::deserialize(de)?)))
}
}
impl TypeId for MonteCarloPricerFactory {
fn type_id(&self) -> &'static str { "MonteCarloPricerFactory" }
}
impl PricerFactory for MonteCarloPricerFactory {
fn new(&self, instrument: RcInstrument, fixing_table: RcFixingTable,
market_data: RcMarketData) -> Result<Box<Pricer>, qm::Error> {
let instruments = match instrument.fix(&*fixing_table)? {
Some(fixed) => fixed,
None => vec!((1.0, instrument))
};
let pricer = MonteCarloPricer::new(instruments, self.model_factory.clone(), &*market_data)?;
Ok(Box::new(pricer))
}
}
impl MonteCarloPricer {
pub fn new(instruments: Vec<(f64, RcInstrument)>,
model_factory: RcMonteCarloModelFactory, market_data: &MarketData)
-> Result<MonteCarloPricer, qm::Error> {
let spot_date = market_data.spot_date();
let mut dependencies = DependencyCollector::new(spot_date);
let mut timeline: MonteCarloTimeline
= MonteCarloTimeline::new(spot_date);
let dates_to_value = Vec::new();
for &(_, ref instr) in instruments.iter() {
dependencies.spot(instr);
if let Some(mc) = instr.as_mc_priceable() {
mc.mc_dependencies(&dates_to_value, &mut timeline)?;
} else {
return Err(qm::Error::new(&format!("Instrument {} is not \
priceable by MonteCarlo", instr.id())))
}
}
timeline.collate()?;
let context = Box::new(PricingContextPrefetch::new(market_data,
Arc::new(dependencies))?);
let model = model_factory.factory(&timeline, context)?;
Ok(MonteCarloPricer {
model_factory: model_factory, instruments: instruments, model: model })
}
}
impl Pricer for MonteCarloPricer {
fn as_bumpable(&self) -> &Bumpable { self }
fn as_mut_bumpable(&mut self) -> &mut Bumpable { self }
fn as_mut_time_bumpable(&mut self) -> &mut TimeBumpable { self }
fn price(&self) -> Result<f64, qm::Error> {
let mut total = 0.0;
for &(weight, ref instrument) in self.instruments.iter() {
if let Some(mc) = instrument.as_mc_priceable() {
let context = self.model.as_mc_context();
total += weight * mc.mc_price(context)?;
}
}
Ok(total)
}
}
impl PricerClone for MonteCarloPricer {
fn clone_box(&self) -> Box<Pricer> { Box::new(self.clone()) }
}
impl Bumpable for MonteCarloPricer {
fn bump(&mut self, bump: &Bump, save: Option<&mut Saveable>)
-> Result<bool, qm::Error> {
self.model.bump(bump, save)
}
fn dependencies(&self) -> Result<&DependencyCollector, qm::Error> {
self.model.dependencies()
}
fn context(&self) -> &PricingContext {
self.model.as_bumpable().context()
}
fn new_saveable(&self) -> Box<Saveable> {
self.model.new_saveable()
}
fn restore(&mut self, saved: &Saveable) -> Result<(), qm::Error> {
self.model.restore(saved)
}
}
impl TimeBumpable for MonteCarloPricer {
fn bump_time(&mut self, bump: &BumpTime) -> Result<(), qm::Error> {
if bump.apply(&mut self.instruments, self.model.as_mut_bumpable())? {
*self = MonteCarloPricer::new(self.instruments.clone(), self.model_factory.clone(),
self.model.raw_market_data())?
}
Ok(())
}
}
#[cfg(test)]
mod tests {
use super::*;
use std::sync::Arc;
use dates::Date;
use dates::datetime::DateTime;
use dates::datetime::TimeOfDay;
use math::numerics::approx_eq;
use data::bumpspot::BumpSpot;
use data::bumpdivs::BumpDivs;
use data::bumpvol::BumpVol;
use data::bumpyield::BumpYield;
use data::fixings::FixingTable;
use data::bumpspotdate::SpotDynamics;
use risk::marketdata::tests::sample_market_data;
use risk::marketdata::tests::sample_european;
use risk::marketdata::tests::sample_forward_european;
use models::blackdiffusion::BlackDiffusionFactory;
use core::factories::Qrc;
fn sample_fixings() -> FixingTable {
let today = Date::from_ymd(2017, 01, 02);
FixingTable::from_fixings(today, &[
("BP.L", &[
(DateTime::new(today - 7, TimeOfDay::Close), 102.0)])]).unwrap()
}
#[test]
fn monte_carlo_price_european_bumped_price() {
let market_data = RcMarketData::new(Arc::new(sample_market_data()));
let instrument = RcInstrument::new(Qrc::new(sample_european()));
let fixings = RcFixingTable::new(Arc::new(sample_fixings()));
let n_paths = 100000;
let correlation_substep = 20;
let path_substep = 0.01;
let model_factory = RcMonteCarloModelFactory::new(Arc::new(BlackDiffusionFactory::new(
correlation_substep, path_substep, n_paths)));
let factory = MonteCarloPricerFactory::new(model_factory);
let mut pricer = factory.new(instrument, fixings, market_data).unwrap();
let mut save = pricer.as_bumpable().new_saveable();
let unbumped_price = pricer.price().unwrap();
assert_approx(unbumped_price, 16.710717400832973, 0.3);
let bump = Bump::new_spot("BP.L", BumpSpot::new_relative(0.01));
let bumped = pricer.as_mut_bumpable().bump(&bump, Some(&mut *save)).unwrap();
assert!(bumped);
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price - unbumped_price, 0.633187905501792, 0.02);
pricer.as_mut_bumpable().restore(&*save).unwrap();
save.clear();
let price = pricer.price().unwrap();
assert_approx(price, unbumped_price, 1e-12);
let bump = Bump::new_vol("BP.L", BumpVol::new_flat_additive(0.01));
let bumped = pricer.as_mut_bumpable().bump(&bump, Some(&mut *save)).unwrap();
assert!(bumped);
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price - unbumped_price, 0.429105019892687, 0.02);
pricer.as_mut_bumpable().restore(&*save).unwrap();
save.clear();
let price = pricer.price().unwrap();
assert_approx(price, unbumped_price, 1e-12);
let bump = Bump::new_divs("BP.L", BumpDivs::new_all_relative(0.01));
let bumped = pricer.as_mut_bumpable().bump(&bump, Some(&mut *save)).unwrap();
assert!(bumped);
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price - unbumped_price, -0.01968507722361, 0.001);
pricer.as_mut_bumpable().restore(&*save).unwrap();
save.clear();
let price = pricer.price().unwrap();
assert_approx(price, unbumped_price, 1e-12);
let bump = Bump::new_yield("LSE", BumpYield::new_flat_annualised(0.01));
let bumped = pricer.as_mut_bumpable().bump(&bump, Some(&mut *save)).unwrap();
assert!(bumped);
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price - unbumped_price, 0.814646953109683, 0.01);
pricer.as_mut_bumpable().restore(&*save).unwrap();
save.clear();
let price = pricer.price().unwrap();
assert_approx(price, unbumped_price, 1e-12);
let bump = Bump::new_yield("OPT", BumpYield::new_flat_annualised(0.01));
let bumped = pricer.as_mut_bumpable().bump(&bump, Some(&mut *save)).unwrap();
assert!(bumped);
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price - unbumped_price, -0.215250594911648, 0.01);
pricer.as_mut_bumpable().restore(&*save).unwrap();
save.clear();
let price = pricer.price().unwrap();
assert_approx(price, unbumped_price, 1e-12);
}
#[test]
fn monte_carlo_price_forward_european_time_bumped() {
let market_data = RcMarketData::new(Arc::new(sample_market_data()));
let instrument = RcInstrument::new(Qrc::new(sample_forward_european()));
let fixings = RcFixingTable::new(Arc::new(sample_fixings()));
let n_paths = 100000;
let correlation_substep = 20;
let path_substep = 0.01;
let model_factory = RcMonteCarloModelFactory::new(Arc::new(BlackDiffusionFactory::new(
correlation_substep, path_substep, n_paths)));
let factory = MonteCarloPricerFactory::new(model_factory);
let mut pricer = factory.new(instrument, fixings, market_data).unwrap();
let unbumped_price = pricer.price().unwrap();
assert_approx(unbumped_price, 19.05900177073914, 0.3);
let mut save = pricer.as_bumpable().new_saveable();
let bump = Bump::new_spot("BP.L", BumpSpot::new_relative(0.01));
let bumped = pricer.as_mut_bumpable().bump(&bump, Some(&mut *save)).unwrap();
assert!(bumped);
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price - unbumped_price, 0.20514185426620202, 0.01);
pricer.as_mut_bumpable().restore(&*save).unwrap();
save.clear();
let spot_date = Date::from_ymd(2017, 01, 02);
let dynamics = SpotDynamics::StickyForward;
let time_bump = BumpTime::new(spot_date + 1, spot_date, dynamics);
pricer.as_mut_time_bumpable().bump_time(&time_bump).unwrap();
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price - unbumped_price, 0.013084492446001406, 0.3);
let bumped = pricer.as_mut_bumpable().bump(&bump, Some(&mut *save)).unwrap();
assert!(bumped);
let delta_bumped_price = pricer.price().unwrap();
assert_approx(delta_bumped_price - bumped_price, 0.6824796398724473, 0.01);
pricer.as_mut_bumpable().restore(&*save).unwrap();
save.clear();
let expiry_date = Date::from_ymd(2018, 06, 01);
let time_bump = BumpTime::new(expiry_date - 1, spot_date, dynamics);
pricer.as_mut_time_bumpable().bump_time(&time_bump).unwrap();
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price, 12.21692599938127, 0.1);
let time_bump = BumpTime::new(expiry_date, spot_date, dynamics);
pricer.as_mut_time_bumpable().bump_time(&time_bump).unwrap();
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price, 12.219583564604477, 0.1);
let time_bump = BumpTime::new(expiry_date, spot_date, dynamics);
pricer.as_mut_time_bumpable().bump_time(&time_bump).unwrap();
let bumped_price = pricer.price().unwrap();
assert_approx(bumped_price, 12.219583564604477, 0.1);
}
fn assert_approx(value: f64, expected: f64, tolerance: f64) {
assert!(approx_eq(value, expected, tolerance),
"value={} expected={}", value, expected);
}
}