protected override void initializeDates()
{
// if the evaluation date is not a business day
// then move to the next business day
JointCalendar jc = new JointCalendar(calendar_, iborIndex_.fixingCalendar());
Date referenceDate = jc.adjust(evaluationDate_);
earliestDate_ = calendar_.advance(referenceDate, new Period(settlementDays_, TimeUnit.Days), BusinessDayConvention.Following);
Date maturity = earliestDate_ + tenor_;
// dummy BMA index with curve/swap arguments
BMAIndex clonedIndex = new BMAIndex(termStructureHandle_);
Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(bmaPeriod_)
.withCalendar(bmaIndex_.fixingCalendar())
.withConvention(bmaConvention_)
.backwards().value();
Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(iborIndex_.tenor())
.withCalendar(iborIndex_.fixingCalendar())
.withConvention(iborIndex_.businessDayConvention())
.endOfMonth(iborIndex_.endOfMonth())
.backwards().value();
swap_ = new BMASwap(BMASwap.Type.Payer,
100.0, liborSchedule, 0.75, // arbitrary
0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_);
swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure()));
Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following);
int w = d.weekday();
Date nextWednesday = (w >= 4) ?
d + new Period((11 - w), TimeUnit.Days) :
d + new Period((4 - w), TimeUnit.Days);
latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
}
public void testBMACurveConsistency <T, I, B>(CommonVars vars, I interpolator, double tolerance)
where T : ITraits <YieldTermStructure>, new()
where I : IInterpolationFactory, new()
where B : IBootStrap <PiecewiseYieldCurve>, new()
{
// readjust settlement
vars.calendar = new JointCalendar(new BMAIndex().fixingCalendar(),
new USDLibor(new Period(3, TimeUnit.Months)).fixingCalendar(),
JointCalendar.JointCalendarRule.JoinHolidays);
vars.today = vars.calendar.adjust(Date.Today);
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
Handle <YieldTermStructure> riskFreeCurve = new Handle <YieldTermStructure>(
new FlatForward(vars.settlement, 0.04, new Actual360()));
BMAIndex bmaIndex = new BMAIndex();
IborIndex liborIndex = new USDLibor(new Period(3, TimeUnit.Months), riskFreeCurve);
for (int i = 0; i < vars.bmas; ++i)
{
Handle <Quote> f = new Handle <Quote>(vars.fractions[i]);
vars.bmaHelpers.Add(new BMASwapRateHelper(f, new Period(vars.bmaData[i].n, vars.bmaData[i].units),
vars.settlementDays,
vars.calendar,
new Period(vars.bmaFrequency),
vars.bmaConvention,
vars.bmaDayCounter,
bmaIndex,
liborIndex));
}
int w = vars.today.weekday();
Date lastWednesday = (w >= 4) ? vars.today - (w - 4) : vars.today + (4 - w - 7);
Date lastFixing = bmaIndex.fixingCalendar().adjust(lastWednesday);
bmaIndex.addFixing(lastFixing, 0.03);
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.bmaHelpers,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
RelinkableHandle <YieldTermStructure> curveHandle = new RelinkableHandle <YieldTermStructure>();
curveHandle.linkTo(vars.termStructure);
// check BMA swaps
BMAIndex bma = new BMAIndex(curveHandle);
IborIndex libor3m = new USDLibor(new Period(3, TimeUnit.Months), riskFreeCurve);
for (int i = 0; i < vars.bmas; i++)
{
Period tenor = new Period(vars.bmaData[i].n, vars.bmaData[i].units);
Schedule bmaSchedule = new MakeSchedule().from(vars.settlement)
.to(vars.settlement + tenor)
.withFrequency(vars.bmaFrequency)
.withCalendar(bma.fixingCalendar())
.withConvention(vars.bmaConvention)
.backwards()
.value();
Schedule liborSchedule = new MakeSchedule().from(vars.settlement)
.to(vars.settlement + tenor)
.withTenor(libor3m.tenor())
.withCalendar(libor3m.fixingCalendar())
.withConvention(libor3m.businessDayConvention())
.endOfMonth(libor3m.endOfMonth())
.backwards()
.value();
BMASwap swap = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75, 0.0,
libor3m, libor3m.dayCounter(), bmaSchedule, bma, vars.bmaDayCounter);
swap.setPricingEngine(new DiscountingSwapEngine(libor3m.forwardingTermStructure()));
double expectedFraction = vars.bmaData[i].rate / 100,
estimatedFraction = swap.fairLiborFraction();
double error = Math.Abs(expectedFraction - estimatedFraction);
QAssert.IsTrue(error < tolerance,
vars.bmaData[i].n + " year(s) BMA swap:\n"
+ "\n estimated libor fraction: " + estimatedFraction
+ "\n expected libor fraction: " + expectedFraction
+ "\n error: " + error
+ "\n tolerance: " + tolerance);
}
// this is a workaround for grabage collection
// garbage collection needs a proper solution
IndexManager.instance().clearHistories();
}
