public void PastStartingFixedRateLoanDepo()
{
var bd = DateTime.Today;
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRate = 0.05;
var rates = pillars.Select(p => flatRate).ToArray();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var discoCurve = new IrCurve(pillars, rates, bd, "USD.BLAH", Interpolator1DType.Linear, usd);
var fModel = new FundingModel(bd, new[] { discoCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var start = bd.AddDays(-10);
var maturity = bd.AddDays(365);
var notional = 100e6;
var iRate = 0.07;
var depo = new FixedRateLoanDeposit(start, maturity, iRate, usd, DayCountBasis.ACT360, notional, "USD.BLAH");
var pv = depo.Pv(fModel, false);
var dfEnd = discoCurve.GetDf(bd, maturity);
var t = start.CalculateYearFraction(maturity, DayCountBasis.ACT360);
var expectedPv = 0.0; //initial notional is in the past
expectedPv += -notional * dfEnd; //final notional
expectedPv += -notional * (iRate * t) * dfEnd; //final notional
Assert.Equal(expectedPv, pv, 8);
var loan = new FixedRateLoanDeposit(start, maturity, iRate, usd, DayCountBasis.ACT360, -notional, "USD.BLAH");
pv = loan.Pv(fModel, false);
expectedPv = 0.0; //initial notional is in the past
expectedPv += notional * dfEnd; //final notional
expectedPv += notional * (iRate * t) * dfEnd; //final notional
Assert.Equal(expectedPv, pv, 8);
}
public void AsianCompoSwap()
{
ParallelUtils.Instance.MultiThreaded = false;
var startDate = new DateTime(2018, 07, 28);
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var xaf = TestProviderHelper.CurrencyProvider["XAF"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var curvePillars = new[] { "1W", "1M", "3M", "6M", "1Y" };
var curvePillarDates = curvePillars.Select(l => startDate.AddPeriod(RollType.F, cal, new Frequency(l))).ToArray();
var curvePoints = new[] { 100.0, 100, 100, 100, 100 };
var curve = new BasicPriceCurve(startDate, curvePillarDates, curvePoints, PriceCurveType.LME, TestProviderHelper.CurrencyProvider, curvePillars)
{
Currency = usd,
CollateralSpec = "CURVE",
Name = "Coconuts",
AssetId = "Coconuts"
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var fxSpot = 7;
var rates = new Dictionary <Currency, double> {
{ xaf, fxSpot }
};
var discoMap = new Dictionary <Currency, string> {
{ xaf, "XAF.CURVE" }, { usd, "USD.CURVE" }
};
var fxPair = new FxPair()
{
Domestic = usd,
Foreign = xaf,
PrimaryCalendar = cal,
SpotLag = new Frequency("2b")
};
fxMatrix.Init(usd, startDate, rates, new List <FxPair> {
fxPair
}, discoMap);
var irPillars = new[] { startDate, startDate.AddYears(10) };
var xafRates = new[] { 0.1, 0.1 };
var usdRates = new[] { 0.01, 0.01 };
var xafCurve = new IrCurve(irPillars, xafRates, startDate, "XAF.CURVE", Interpolator1DType.Linear, xaf, "CURVE");
var usdCurve = new IrCurve(irPillars, usdRates, startDate, "USD.CURVE", Interpolator1DType.Linear, usd, "CURVE");
var fModel = new FundingModel(startDate, new[] { xafCurve, usdCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var aModel = new AssetFxModel(startDate, fModel);
aModel.AddPriceCurve("Coconuts", curve);
var periodCode = "SEP-18";
var(Start, End) = periodCode.ParsePeriod();
var fixingDates = Start.BusinessDaysInPeriod(End, cal).ToArray();
var settleDate = fixingDates.Last().AddPeriod(RollType.F, cal, new Frequency("5b"));
var fxFwd = aModel.FundingModel.GetFxAverage(fixingDates, usd, xaf);
var assetFwd = curve.GetAveragePriceForDates(fixingDates);
var fairStrike = fxFwd * assetFwd;
var asianSwap = AssetProductFactory.CreateMonthlyAsianSwap(periodCode, fairStrike, "Coconuts", cal, cal, new Frequency("5b"), xaf, TradeDirection.Long, new Frequency("0b"), 1000, DateGenerationType.BusinessDays);
asianSwap.TradeId = "aLovelyBunch";
foreach (var sw in asianSwap.Swaplets)
{
sw.DiscountCurve = "XAF.CURVE";
sw.FxConversionType = FxConversionType.AverageThenConvert;
}
var pv = asianSwap.PV(aModel, false);
Assert.Equal(0, pv, 8);
var portfolio = new Portfolio()
{
Instruments = new List <IInstrument> {
asianSwap
}
};
var pfPvCube = portfolio.PV(aModel);
var pfPv = (double)pfPvCube.GetAllRows().First().Value;
Assert.Equal(0.0, pfPv, 8);
var deltaCube = portfolio.AssetDelta(aModel);
var dAgg = deltaCube.Pivot("TradeId", AggregationAction.Sum);
var delta = (double)dAgg.GetAllRows().First().Value;
var t0Spot = aModel.FundingModel.GetFxRate(startDate, usd, xaf);
var df = xafCurve.GetDf(startDate, settleDate);
Assert.Equal(995.361065482776, delta, 7);
var fxDeltaCube = portfolio.FxDelta(aModel, usd, TestProviderHelper.CurrencyProvider);
var dfxAgg = fxDeltaCube.Pivot("TradeId", AggregationAction.Sum);
var fxDelta = (double)dfxAgg.GetAllRows().First().Value;
Assert.Equal(-1000 * df * fxFwd * 100 / (t0Spot / fxSpot) / usdCurve.GetDf(startDate, fxPair.SpotDate(startDate)), fxDelta, 4);
}
public void ContangoSwap()
{
var bd = new DateTime(2019, 06, 14);
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRateUsd = 0.05;
var flatRateXau = 0.01;
var spotRate = 1200;
var ratesUsd = pillars.Select(p => flatRateUsd).ToArray();
var ratesXau = pillars.Select(p => flatRateXau).ToArray();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var xau = TestProviderHelper.CurrencyProvider["XAU"];
CalendarProvider.Collection.TryGetCalendar("LON", out var cal);
var pair = new FxPair()
{
Domestic = xau, Foreign = usd, SettlementCalendar = cal, SpotLag = 2.Bd()
};
var discoCurveUsd = new IrCurve(pillars, ratesUsd, bd, "USD.BLAH", Interpolator1DType.Linear, usd);
var discoCurveXau = new IrCurve(pillars, ratesXau, bd, "XAU.BLAH", Interpolator1DType.Linear, xau);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(usd, bd, new Dictionary <Currency, double> {
{ xau, 1.0 / spotRate }
}, new List <FxPair> {
pair
}, new Dictionary <Currency, string> {
{ usd, "USD.BLAH" }, { xau, "XAU.BLAH" }
});
var fModel = new FundingModel(bd, new[] { discoCurveUsd, discoCurveXau }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var maturity = bd.AddDays(365);
var spot = bd.SpotDate(2.Bd(), cal, cal);
var c = 0.022;
var b = new ContangoSwap
{
CashCCY = usd,
MetalCCY = xau,
CashDiscountCurve = "USD.BLAH",
DeliveryDate = maturity,
ContangoRate = c,
MetalQuantity = 1,
SpotDate = spot
};
var t = spot.CalculateYearFraction(maturity, DayCountBasis.Act360);
var pv = b.Pv(fModel, false);
var fwdA = (1.0 + c * t) * spotRate;
var fwdB = fModel.GetFxRate(maturity, xau, usd);
var df = discoCurveUsd.GetDf(bd, maturity);
var expectedPv = (fwdB - fwdA) * b.MetalQuantity;
expectedPv *= df;
Assert.Equal(expectedPv, pv, 10);
Assert.Equal(maturity, b.LastSensitivityDate);
Assert.Equal(usd, b.Currency);
var s = b.Sensitivities(fModel);
Assert.True(s.Count == 2 && s.Keys.Contains("USD.BLAH") && s.Keys.Contains("XAU.BLAH"));
var s2 = b.Dependencies(fModel.FxMatrix);
Assert.True(s2.Count == 2 && s2.Contains("USD.BLAH") && s2.Contains("XAU.BLAH"));
Assert.Equal(0.0402428426839156, b.CalculateParRate(fModel), 8);
var b2 = (ContangoSwap)b.SetParRate(0.05);
Assert.Equal(0.05, b2.ContangoRate);
}
public void FixedRateLoanDepo()
{
var bd = DateTime.Today;
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRate = 0.05;
var rates = pillars.Select(p => flatRate).ToArray();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var discoCurve = new IrCurve(pillars, rates, bd, "USD.BLAH", Interpolator1DType.Linear, usd);
var fModel = new FundingModel(bd, new[] { discoCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var maturity = bd.AddDays(365);
var notional = 100e6;
var iRate = 0.07;
var depo = new FixedRateLoanDeposit(bd, maturity, iRate, usd, DayCountBasis.ACT360, notional, "USD.BLAH");
var pv = depo.Pv(fModel, false);
var dfEnd = discoCurve.GetDf(bd, maturity);
var t = bd.CalculateYearFraction(maturity, DayCountBasis.ACT360);
var expectedPv = notional; //initial notional
expectedPv += -notional * dfEnd; //final notional
expectedPv += -notional * (iRate * t) * dfEnd; //final notional
Assert.Equal(expectedPv, pv, 8);
Assert.Equal(maturity, depo.LastSensitivityDate);
Assert.Empty(depo.AssetIds);
Assert.Equal(usd, depo.PaymentCurrency);
Assert.Equal(0.0, depo.CalculateParRate(fModel));
Assert.Equal(notional, depo.FlowsT0(fModel));
var fm2 = fModel.DeepClone(maturity);
Assert.Equal(-notional * (1 + (iRate * t)), depo.FlowsT0(fm2));
fm2 = fModel.DeepClone(maturity.AddDays(1));
Assert.Equal(0.0, depo.FlowsT0(fm2));
var flows = depo.ExpectedCashFlows(new AssetFxModel(bd, fModel));
Assert.Equal(3, flows.Count);
var loan = new FixedRateLoanDeposit(bd, maturity, iRate, usd, DayCountBasis.ACT360, -notional, "USD.BLAH");
pv = loan.Pv(fModel, false);
expectedPv = -notional; //initial notional
expectedPv += notional * dfEnd; //final notional
expectedPv += notional * (iRate * t) * dfEnd; //final notional
Assert.Equal(expectedPv, pv, 8);
Assert.Throws <NotImplementedException>(() => depo.Sensitivities(fModel));
Assert.Throws <NotImplementedException>(() => depo.SetStrike(0.0));
Assert.Equal("USD.BLAH", depo.Dependencies(fModel.FxMatrix)[0]);
Assert.Empty(depo.PastFixingDates(maturity));
Assert.Equal(FxConversionType.None, depo.FxType(null));
Assert.Equal(string.Empty, depo.FxPair(null));
var depo2 = depo.Clone();
Assert.True(depo.Equals(depo2));
Assert.False(depo.Equals(loan));
var depo3 = depo.SetParRate(0.333);
Assert.False(depo.Equals(depo3));
}