public void TestMultiHWAndFXToyForwards()
{
Date valueDate = new Date(2016, 9, 17);
HullWhite1F zarRatesSim = new HullWhite1F(Currency.ZAR, 0.05, 0.01, 0.07, 0.07, valueDate);
zarRatesSim.AddForecast(FloatingIndex.JIBAR3M);
HullWhite1F usdRatesSim = new HullWhite1F(Currency.USD, 0.05, 0.0000001, 0.01, 0.01, valueDate);
usdRatesSim.AddForecast(FloatingIndex.LIBOR3M);
HullWhite1F eurRatesSim = new HullWhite1F(Currency.EUR, 0.05, 0.0000001, 0.005, 0.005, valueDate);
eurRatesSim.AddForecast(FloatingIndex.EURIBOR3M);
CurrencyPair[] currencyPairs = new CurrencyPair[] { new CurrencyPair(Currency.USD, Currency.ZAR), new CurrencyPair(Currency.EUR, Currency.ZAR) };
double[] spots = new double[] { 13.6, 15.0 };
double[] vols = new double[] { 0.15, 0.15 };
double[,] correlations = new double[, ] {
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
MultiHWAndFXToy model = new MultiHWAndFXToy(valueDate, Currency.ZAR, new HullWhite1F[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
List <Date> simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
model.Reset();
model.SetNumeraireDates(simDates);
model.SetRequiredDates(currencyPairs[0], simDates); // Will simulate both currency pairs
model.Prepare();
int N = 100;
double[,] fwdSpotValues = Matrix.Zeros(N, 5);
for (int i = 0; i < N; i++)
{
model.RunSimulation(i);
fwdSpotValues[i, 0] = model.GetIndices(currencyPairs[0], simDates)[0];
fwdSpotValues[i, 1] = model.GetIndices(currencyPairs[1], simDates)[0];
fwdSpotValues[i, 2] = model.GetIndices(FloatingIndex.JIBAR3M, simDates)[0];
fwdSpotValues[i, 3] = model.GetIndices(FloatingIndex.LIBOR3M, simDates)[0];
fwdSpotValues[i, 4] = model.GetIndices(FloatingIndex.EURIBOR3M, simDates)[0];
}
double meanUSDZAR = fwdSpotValues.GetColumn(0).Mean();
double meanEURZAR = fwdSpotValues.GetColumn(1).Mean();
double meanJibar = fwdSpotValues.GetColumn(2).Mean();
double meanLibor = fwdSpotValues.GetColumn(3).Mean();
double meanEuribor = fwdSpotValues.GetColumn(4).Mean();
Assert.AreEqual(15.7, meanUSDZAR, 0.1);
Assert.AreEqual(17.2, meanEURZAR, 0.1);
Assert.AreEqual(0.071, meanJibar, 1e-4);
Assert.AreEqual(0.01, meanLibor, 1e-4);
Assert.AreEqual(0.005, meanEuribor, 1e-4);
}
public void TestMultiHWAndFXToyForwards()
{
var valueDate = new Date(2016, 9, 17);
var zarRatesSim = new HullWhite1F(TestHelpers.ZAR, 0.05, 0.01, 0.07, 0.07);
zarRatesSim.AddForecast(TestHelpers.Jibar3M);
var usdRatesSim = new HullWhite1F(TestHelpers.USD, 0.05, 0.0000001, 0.01, 0.01);
usdRatesSim.AddForecast(TestHelpers.Libor3M);
var eurRatesSim = new HullWhite1F(TestHelpers.EUR, 0.05, 0.0000001, 0.005, 0.005);
eurRatesSim.AddForecast(TestHelpers.Euribor3M);
CurrencyPair[] currencyPairs =
{ TestHelpers.USDZAR, TestHelpers.EURZAR };
double[] spots = { 13.6, 15.0 };
double[] vols = { 0.15, 0.15 };
double[,] correlations = { { 1.0, 0.0 }, { 0.0, 1.0 } };
var model = new MultiHWAndFXToy(valueDate, TestHelpers.ZAR, new[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
var simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
model.Reset();
model.SetNumeraireDates(simDates);
model.SetRequiredDates(currencyPairs[0], simDates); // Will simulate both currency pairs
model.Prepare(valueDate);
var N = 100;
var fwdSpotValues = Matrix.Zeros(N, 5);
for (var i = 0; i < N; i++)
{
model.RunSimulation(i);
fwdSpotValues[i, 0] = model.GetIndices(currencyPairs[0], simDates)[0];
fwdSpotValues[i, 1] = model.GetIndices(currencyPairs[1], simDates)[0];
fwdSpotValues[i, 2] = model.GetIndices(TestHelpers.Jibar3M, simDates)[0];
fwdSpotValues[i, 3] = model.GetIndices(TestHelpers.Libor3M, simDates)[0];
fwdSpotValues[i, 4] = model.GetIndices(TestHelpers.Euribor3M, simDates)[0];
}
var meanUSDZAR = fwdSpotValues.GetColumn(0).Mean();
var meanEURZAR = fwdSpotValues.GetColumn(1).Mean();
var meanJibar = fwdSpotValues.GetColumn(2).Mean();
var meanLibor = fwdSpotValues.GetColumn(3).Mean();
var meanEuribor = fwdSpotValues.GetColumn(4).Mean();
Assert.AreEqual(15.0, meanUSDZAR, 0.1);
Assert.AreEqual(17.2, meanEURZAR, 0.1);
Assert.AreEqual(0.07, meanJibar, 2e-3);
Assert.AreEqual(0.01, meanLibor, 1e-4);
Assert.AreEqual(0.005, meanEuribor, 1e-4);
}