Add first draft of UI code for TARF calculator

Author: phaedon

derivatives/target_redemption_forward.h

@@ -80,7 +80,8 @@ inline double findZeroNPVStrike(double notional,
                                 double spot,
                                 double sigma,
                                 const RatesCurve& foreign_rates,
-                                const RatesCurve& domestic_rates) {
+                                const RatesCurve& domestic_rates,
+                                size_t num_paths = 2000) {
   // TODO: ALSO then verify that the value of one is positive and the other is
   // negative.
   double atm_fwd = weightedAvgForward(spot,
@@ -108,7 +109,7 @@ inline double findZeroNPVStrike(double notional,
                                      direction);
 
     double npv_mid =
-        tarf_mid.price(spot, sigma, dt, 5000, foreign_rates, domestic_rates);
+        tarf_mid.price(spot, sigma, dt, num_paths, foreign_rates, domestic_rates);
 
     if (npv_mid > 0) {
       k_low = k_mid;

explorer/BUILD.bazel

@@ -30,6 +30,7 @@ cc_binary(
         ":asset_visualiser",
         ":global_rates",
         ":rate_curve_visualiser",
+        ":tarf_visualiser",
         ":vol_surface_factories",
         "//trees:propagators",
         "//volatility",
@@ -97,6 +98,17 @@ cc_library(
     ],
 )
 
+cc_library(
+    name = "tarf_visualiser",
+    hdrs = ["tarf_visualiser.h"],
+    deps = [
+        ":explorer_params",
+        ":gui_widgets",
+        "//derivatives:target_redemption_forward",
+        "@imgui",
+    ],
+)
+
 cc_library(
     name = "tree_render",
     hdrs = ["tree_render.h"],

explorer/explorer.cpp

@@ -9,6 +9,7 @@
 #include "implot.h"
 #include "implot3d.h"
 #include "rate_curve_visualiser.h"
+#include "tarf_visualiser.h"
 #include "time/time_enums.h"
 #include "trees/propagators.h"
 #include "volatility/volatility.h"
@@ -103,6 +104,7 @@ int main(int, char**) {
                                                &global_currencies);
   smileexplorer::ExplorerParams localvol_prop_params(&global_rates,
                                                      &global_currencies);
+  smileexplorer::ExplorerParams tarf_params(&global_rates, &global_currencies);
 
   while (!glfwWindowShouldClose(window)) {
     glfwPollEvents();
@@ -120,6 +122,8 @@ int main(int, char**) {
         ImVec2(display_size.x * 0.45, display_size.y * 0.95));
     smileexplorer::plotForwardRateCurves(crr_prop_params);
 
+    smileexplorer::plotTarfVisualiser(tarf_params);
+
     ImGui::SetNextWindowPos(ImVec2(10, window_spacing));
     smileexplorer::displayPairedAssetDerivativePanel<
         smileexplorer::CRRPropagator,

explorer/tarf_visualiser.h

@@ -0,0 +1,80 @@
+#ifndef SMILEEXPLORER_EXPLORER_TARF_VISUALISER_H_
+#define SMILEEXPLORER_EXPLORER_TARF_VISUALISER_H_
+
+#include <cmath>
+#include "derivatives/target_redemption_forward.h"
+#include "explorer/explorer_params.h"
+#include "explorer/gui_widgets.h"
+#include "imgui.h"
+
+namespace smileexplorer {
+
+inline void plotTarfVisualiser(ExplorerParams& params) {
+  ImGui::Begin("TARF Calculator");
+
+  static float notional = 1.0;
+  static float target = 6.0;
+  static float volatility = 0.10;
+  static int num_paths = 5000;
+  static float end_date_years = 4.0;
+  static float settlement_frequency = 0.25;
+
+  ImGui::SliderFloat("Notional (FOR)", &notional, 0.0f, 1e7f, "%.2f", ImGuiSliderFlags_Logarithmic);
+  ImGui::SliderFloat("Target (DOM)", &target, 0.0f, 1e7f, "%.2f", ImGuiSliderFlags_Logarithmic);
+  ImGui::SliderFloat("Volatility", &volatility, 0.0f, 1.0f, "%.2f");
+  ImGui::SliderInt("MC Paths", &num_paths, 100, 50000);
+  ImGui::SliderFloat("Maturity (years)", &end_date_years, 0.25f, 10.0f, "%.2f");
+  end_date_years = std::max(0.25f, roundf(end_date_years / 0.25f) * 0.25f);
+  ImGui::SliderFloat("Settlement Freq (years)", &settlement_frequency, 0.25f, 1.0f, "%.2f");
+  settlement_frequency = std::max(0.25f, roundf(settlement_frequency / 0.25f) * 0.25f);
+
+  static size_t foreign_idx = 0;
+  static size_t domestic_idx = 1;
+  static double avg_fwd = 0.0;
+  static double price = 0.0;
+  static double zero_npv_strike = 0.0;
+  static double strike = 0.0;
+  static bool initialized = false;
+
+  displayCurrencyCombo(
+      "Foreign Currency", foreign_idx, params,
+      [&](Currency currency) { params.foreign_currency = currency; });
+  displayCurrencyCombo(
+      "Domestic Currency", domestic_idx, params,
+      [&](Currency currency) { params.currency = currency; });
+
+  if (ImGui::Button("Recalculate") || !initialized) {
+    params.spot_price = (*params.global_currencies)(params.foreign_currency, params.currency).value_or(1.0);
+    const auto& foreign_curve = *params.global_rates->curves[params.foreign_currency];
+    const auto& domestic_curve = *params.global_rates->curves[params.currency];
+
+    avg_fwd = weightedAvgForward(
+        params.spot_price, end_date_years, settlement_frequency, foreign_curve, domestic_curve);
+
+    zero_npv_strike = findZeroNPVStrike(notional, target, end_date_years, settlement_frequency, FxTradeDirection::kLong, params.spot_price, volatility, foreign_curve, domestic_curve, num_paths);
+
+    if (!initialized) {
+        strike = zero_npv_strike;
+    }
+
+    TargetRedemptionForward tarf(notional, target, strike, end_date_years,
+                                 settlement_frequency,
+                                 FxTradeDirection::kLong);
+
+    price = tarf.price(params.spot_price, volatility,
+                              settlement_frequency / 4, num_paths,
+                              foreign_curve, domestic_curve);
+    initialized = true;
+  }
+
+  displayValueAsReadOnlyText("Avg Fwd", avg_fwd);
+  displayValueAsReadOnlyText("Zero NPV Strike", zero_npv_strike);
+  ImGui::InputDouble("Strike", &strike);
+  displayValueAsReadOnlyText("NPV (DOM)", price);
+
+  ImGui::End();
+}
+
+}  // namespace smileexplorer
+
+#endif  // SMILEEXPLORER_EXPLORER_TARF_VISUALISER_H_