private static double GetScaleFactor(IFundingInstrument ins, double parFlat, double parBump, IFundingModel model)
{
switch (ins)
{
case FxForward fxf:
return(1.0 / (parBump - parFlat));
case STIRFuture st:
return(1.0 / ((parBump - parFlat) / 0.01 * st.UnitPV01));
case ForwardRateAgreement fra:
return(1.0 / ((parBump - parFlat) * fra.FlowScheduleFra.Flows.First().NotionalByYearFraction));
case ContangoSwap cs:
var t360 = (cs.PillarDate - model.BuildDate).TotalDays / 360.0;
var spot = model.GetFxRate(model.BuildDate, cs.MetalCCY, cs.CashCCY);
var fwdFlat = (1 + parFlat * t360) * spot;
var fwdBumped = (1 + parBump * t360) * spot;
return(1.0 / (fwdBumped - fwdFlat));
case IrSwap irs:
var pv = irs.SetParRate(parBump).Pv(model, true);
return(1.0 / pv * irs.Notional);
case FloatingRateLoanDepo fld:
var pvF = fld.SetParRate(parBump).Pv(model, true);
return(1.0 / pvF * fld.Notional);
default:
return(1.0);
}
}
private static double GetBumpSize(IFundingInstrument ins)
{
switch (ins)
{
case STIRFuture st:
case OISFuture oi:
return(0.01);
default:
return(0.0001);
}
}
private static string GetRiskUnits(IFundingInstrument ins)
{
switch (ins)
{
case STIRFuture st:
case OISFuture oi:
return("Contracts");
case ForwardRateAgreement fra:
case FxForward fxf:
return("Nominal");
case ContangoSwap cs:
return("Oz");
default:
return("PnL");
}
}
public void FuturesStripWithConvexity()
{
var volatility = 0.03;
var startDate = new DateTime(2017, 01, 17);
var nContracts = 24;
var currentDate = startDate.GetNextImmDate();
var expiries = new DateTime[nContracts];
var pillars = new DateTime[nContracts];
var instruments = new IFundingInstrument[nContracts];
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var lon = TestProviderHelper.CalendarProvider.Collection["LON"];
var ccyUsd = TestProviderHelper.CurrencyProvider["USD"];
var usd3m = new FloatRateIndex()
{
Currency = ccyUsd,
DayCountBasis = DayCountBasis.Act_360,
DayCountBasisFixed = DayCountBasis.Act_360,
ResetTenor = 3.Months(),
FixingOffset = 2.Bd(),
HolidayCalendars = nyc,
RollConvention = RollType.MF
};
for (var i = 0; i < nContracts; i++)
{
var wed3rd = currentDate.ThirdWednesday();
expiries[i] = wed3rd.SubtractPeriod(RollType.P, lon, 2.Bd());
pillars[i] = wed3rd.AddPeriod(usd3m.RollConvention, usd3m.HolidayCalendars, usd3m.ResetTenor);
instruments[i] = new STIRFuture()
{
Currency = ccyUsd,
ContractSize = 1e6,
ConvexityAdjustment = FuturesConvexityUtils.CalculateConvexityAdjustment(startDate, expiries[i], pillars[i], volatility),
DCF = 0.25,
Expiry = expiries[i],
ForecastCurve = "USD.LIBOR.3M",
Index = usd3m,
Position = 1.0,
Price = 99.50,
SolveCurve = "USD.LIBOR.3M"
};
currentDate = currentDate.AddMonths(3);
}
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
fic.AddRange(instruments);
var curve = new IrCurve(pillars, new double[nContracts], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd);
var model = new FundingModel(startDate, new[] { curve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var s = new Calibrators.NewtonRaphsonMultiCurveSolver()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001
};
s.Solve(model, fic);
if (!IsCoverageOnly)
{
for (var i = 0; i < nContracts; i++)
{
var resultPV = instruments[i].Pv(model, false);
Assert.Equal(0, resultPV, 6);
}
}
}