public void CreateStructuredFloorTest()
{
#region Initialise
QRLib.PricingStructures.ClearCache();
string rateCurveId = BuildMarket(_baseDate);
IMarketEnvironment marketEnvironment = ObjectCacheHelper.GetMarket(_marketEnvironmentId);
#endregion
#region Define the Swap
const string id = "TestStructuredFloor";
object[,] capFloorTerms
=
{
{ "DealReferenceIdentifier", id },
{ "BasePartyBuySellsInd", "Sells" },
{ "CounterpartyName", "ANZ" },
{ "DealType", "Floor" },
};
object[,] streamTerms
=
{
{ "NotionalAmount", "1000000" },
{ "Currency", "AUD" },
{ "DayCountConvention", "ACT/365.FIXED" },
{ "DiscountingType", "Standard" },
{ "DiscountCurveReference", rateCurveId },
{ "ForwardCurveReference", rateCurveId },
{ "VolatilityCurveReference", _volatilityStructureId },
{ "RateIndexName", "AUD-LIBOR-BBA" },
{ "RateIndexTenor", "6m" },
{ "StrikePrice", "0.07" },
};
const double notionalAmount = -1000000;
object[,] couponMatrix
=
{
{ "StartDate", "EndDate", "NotionalAmount", "StrikePrice" },
{ new DateTime(2009, 09, 04), new DateTime(2010, 03, 01), notionalAmount, "0.07"},
{ new DateTime(2010, 03, 01), new DateTime(2010, 09, 01), notionalAmount, "0.07"},
{ new DateTime(2010, 09, 01), new DateTime(2011, 03, 01), notionalAmount, "0.07"},
{ new DateTime(2011, 03, 01), new DateTime(2011, 09, 05), notionalAmount, "0.07"},
};
#endregion
#region Define the Valuation Criteria
string[] requiredMetrics = { "NPV", "BreakEvenRate" };
#endregion
#region Create & Value the Swap
string returnedId = QRLib.Rates.InterestRateCapFloor.CreateStructured(capFloorTerms, streamTerms, couponMatrix);
Assert.AreEqual(id, returnedId);
InterestRateCapFloor capFloor = ProductHelper.Get <InterestRateCapFloor>(id);
Assert.IsNotNull(capFloor);
CreditSettings creditSettings = new CreditSettings(ServerStore.Client);
IDictionary <string, object> valuation = capFloor.BasicValuation(_baseDate, marketEnvironment, requiredMetrics, creditSettings);
#endregion
#region Validate the Results
Assert.AreEqual(CapBreakEvenRate, Convert.ToDouble(valuation["BreakEvenRate"]), 0.0000001);
Assert.AreEqual(_pv, Convert.ToDouble(valuation["NPV"]), 3);
#endregion
#region Reset
QRLib.PricingStructures.ClearCache();
#endregion
}
public void CreateAmortisedFloorTest()
{
#region Initialise
QRLib.PricingStructures.ClearCache();
string rateCurveId = BuildMarket(_baseDate);
IMarketEnvironment marketEnvironment = ObjectCacheHelper.GetMarket(_marketEnvironmentId);
#endregion
#region Define the Swap
const string id = "TestAmortisedFloor";
object[,] capFloorTerms
=
{
{ "DealReferenceIdentifier", id },
{ "BasePartyBuySellsInd", "Sells" },
{ "CounterpartyName", "ANZ" },
{ "DealType", "Floor" },
{ "EffectiveDate", _baseDate },
{ "TerminationDate", _baseDate.AddYears(2) },
{ "AdjustCalculationDates", true },
};
object[,] streamTerms
=
{
{ "NotionalAmount", "1000000" },
{ "Currency", "AUD" },
{ "ScheduleGeneration", "Forward" },
{ "BusinessCenters", "Sydney" },
{ "CouponPeriod", "6m" },
{ "RollDay", "1" },
{ "CouponDateAdjustment", "FOLLOWING" },
{ "DayCountConvention", "ACT/365.FIXED" },
{ "DiscountingType", "Standard" },
{ "DiscountCurveReference", rateCurveId },
{ "FixedOrObservedRate", "0.07" },
{ "ObservedRateSpecified", "FALSE" },
{ "ForwardCurveReference", rateCurveId },
{ "FixingDateBusinessCenters", "Sydney" },
{ "FixingDateResetInterval", "0D" },
{ "FixingDateAdjustmentConvention", "NONE" },
{ "RateIndexName", "AUD-LIBOR-BBA" },
{ "RateIndexTenor", "6m" },
{ "Spread", "0" },
{ "VolatilityCurveReference", _volatilityStructureId },
{ "StrikePrice", "0.07" },
};
#endregion
#region Define the Valuation Criteria
string[] requiredMetrics = { "NPV", "BreakEvenRate" };
#endregion
#region Create & Value the Swap
string returnedId = QRLib.Rates.InterestRateCapFloor.CreateAmortised(capFloorTerms, streamTerms, null);
Assert.AreEqual(id, returnedId);
InterestRateCapFloor capFloor = ProductHelper.Get <InterestRateCapFloor>(id);
Assert.IsNotNull(capFloor);
CreditSettings creditSettings = new CreditSettings(ServerStore.Client);
IDictionary <string, object> valuation = capFloor.BasicValuation(_baseDate, marketEnvironment, requiredMetrics, creditSettings);
#endregion
#region Validate the Results
Assert.AreEqual(CapBreakEvenRate, Convert.ToDouble(valuation["BreakEvenRate"]), 0.0000001);
Assert.AreEqual(_pv, Convert.ToDouble(valuation["NPV"]), 3);
#endregion
#region Reset
QRLib.PricingStructures.ClearCache();
#endregion
}
