public void EvaluateMetricsTest()
{
PricingStructuresTest pricingStructuresTest = new PricingStructuresTest();
pricingStructuresTest.CreatePricingStructureTest();
CrossCurrencySwapTest crossCurrencySwapTest = new CrossCurrencySwapTest();
crossCurrencySwapTest.CreateAmortisedSwapTest();
string[] swapProductReferenceKeys = { "SWAP-1" };
string[] requestedMetrics = { "BreakEvenRate" };
string marketEnvironmentId = PricingStructuresTest.MarketEnvironmentId;
DateTime valuationDate = Convert.ToDateTime("15/05/2009");
bool withHeaders = false;
object[,] actual = (object[, ])IRSwap.EvaluateMetrics(swapProductReferenceKeys, requestedMetrics, marketEnvironmentId, valuationDate, withHeaders);
Assert.AreEqual(0.0407, (double)(decimal)actual[0, 0], 0.0001);
}
public void ValueSwaptionTradeTest()
{
const string marketEnvironment = "ValueSwaptionTradeTest2";
DateTime baseDate = new DateTime(DateTime.Today.Year, 05, 09);
string rateCurveId = "RateCurve.AUD-LIBOR-BBA-3M";
object[,] structurePropertiesRange =
{
{ "PricingStructureType", "RateCurve" },
{ "IndexTenor", "3M" },
{ "Currency", "AUD" },
{ "Index", "LIBOR-BBA" },
{ "Algorithm", "FastLinearZero" },
{ "MarketName", marketEnvironment },
{ "BuildDateTime", baseDate },
{ "IndexName", "AUD-LIBOR-BBA" },
{ "CurveName", "AUD-LIBOR-BBA-3M" },
{ "Identifier", rateCurveId }
};
object[,] publishPropertiesRange =
{ { "ExpiryIntervalInMins", Storage.Common.ExpiryIntervalInMinutes },
{ "MarketName", marketEnvironment } };
object[,] values =
{ { "AUD-Deposit-1D", 0.0285, 0 },
{ "AUD-Deposit-1M", 0.0285, 0 },
{ "AUD-Deposit-2M", 0.0285, 0 },
{ "AUD-Deposit-3M", 0.0285, 0 },
{ "AUD-IRFuture-IR-Z9", 0.0200, 0 },
{ "AUD-IRFuture-IR-H0", 0.0200, 0 },
{ "AUD-IRFuture-IR-M0", 0.0200, 0 },
{ "AUD-IRFuture-IR-U0", 0.0200, 0 },
{ "AUD-IRFuture-IR-Z0", 0.0200, 0 },
{ "AUD-IRFuture-IR-H1", 0.0200, 0 },
{ "AUD-IRFuture-IR-M1", 0.0200, 0 },
{ "AUD-IRFuture-IR-U1", 0.0200, 0 },
{ "AUD-IRSwap-3Y", 0.0400, 0 },
{ "AUD-IRSwap-4Y", 0.0400, 0 },
{ "AUD-IRSwap-5Y", 0.0400, 0 },
{ "AUD-IRSwap-7Y", 0.0400, 0 },
{ "AUD-IRSwap-10Y", 0.0400, 0 },
{ "AUD-IRSwap-12Y", 0.0400, 0 },
{ "AUD-IRSwap-15Y", 0.0400, 0 },
{ "AUD-IRSwap-20Y", 0.0400, 0 },
{ "AUD-IRSwap-25Y", 0.0400, 0 },
{ "AUD-IRSwap-30Y", 0.0400, 0 } };
object[,] fxCurvePropertiesRange =
{
{ "PricingStructureType", "FxCurve" },
{ "IndexTenor", "6M" },
{ "Currency", "AUD" },
{ "QuoteCurrency", "USD" },
{ "QuoteBasis", "Currency1PerCurrency2" },
{ "Algorithm", "LinearForward" },
{ "MarketName", marketEnvironment },
{ "BuildDateTime", baseDate },
{ "BaseDate", baseDate },
//{"CurrencyPair", "AUD-USD"},
//{"CurveName", "AUD-USD"},
{ "Identifier", "AUD-USD" },
};
object[,] fxCurveValues =
{ { "AUDUSD-FxForward-1D", 0.0285, 0 },
{ "AUDUSD-FxSpot-SP", 0.0285, 0 },
{ "AUDUSD-FxForward-1M", 0.0285, 0 },
{ "AUDUSD-FxForward-2M", 0.0285, 0 },
{ "AUDUSD-FxForward-3M", 0.0200, 0 },
{ "AUDUSD-FxForward-6M", 0.0200, 0 },
{ "AUDUSD-FxForward-9M", 0.0200, 0 },
{ "AUDUSD-FxForward-1Y", 0.0200, 0 },
{ "AUDUSD-FxForward-2Y", 0.0200, 0 },
{ "AUDUSD-FxForward-3Y", 0.0200, 0 },
{ "AUDUSD-FxForward-4Y", 0.0200, 0 },
{ "AUDUSD-FxForward-5Y", 0.0200, 0 },
{ "AUDUSD-FxForward-6Y", 0.0400, 0 },
{ "AUDUSD-FxForward-7Y", 0.0400, 0 },
{ "AUDUSD-FxForward-8Y", 0.0400, 0 },
{ "AUDUSD-FxForward-9Y", 0.0400, 0 },
{ "AUDUSD-FxForward-10Y", 0.0400, 0 },
{ "AUDUSD-FxForward-12Y", 0.0400, 0 },
{ "AUDUSD-FxForward-15Y", 0.0400, 0 },
{ "AUDUSD-FxForward-20Y", 0.0400, 0 }, };
object[,] rateCurveFilters = new object[, ]
{
{ "PricingStructureType", "RateCurve" },
{ "MarketName", marketEnvironment },
{ "Currency", "AUD" },
{ "IndexTenor", "3M" },
{ "Domain", "Highlander.Market" },
{ "Index", "LIBOR-BBA" }
};
object[,] fxCurveFilters = new object[, ]
{
{ "PricingStructureType", "FXCurve" },
{ "MarketName", marketEnvironment },
{ "Currency", "AUD" },
{ "QuoteCurrency", "USD" },
{ "Domain", "Highlander.Market" }
};
object[,] volSurfaceFilters = new object[, ]
{
{ "PricingStructureType", "RateVolatilityCube" },
{ "MarketName", marketEnvironment },
{ "Currency", "AUD" },
{ "Instrument", "AUD-IRSwap" },
{ "Domain", "Highlander.Market" },
{ "Identifier", "UnitTestVolCube" },
{ "CurveName", "AUD-Sydney-03/09/2009" },
{ "BuildDateTime", baseDate },
{ "Source", "SydneySwapDesk" },
{ "Algorithm", "Linear" }
};
object[,] volData = new object[, ]
{
{ "3m", "1m", 0.11, 0.21, 0.31 },
{ "6m", "1m", 0.12, 0.22, 0.32 },
{ "3m", "3m", 0.115, 0.215, 0.315 },
{ "6m", "3m", 0.125, 0.225, 0.325 }
};
double[] strikes = new double[] { 0.01, 0.02, 0.03 };
QRLib.PricingStructures.ClearCache();
// Publish the test curves
PricingStructuresTest.PublishCurveStructureWithProperties(structurePropertiesRange, publishPropertiesRange, values);
PricingStructuresTest.PublishCurveStructureWithProperties(fxCurvePropertiesRange, publishPropertiesRange, fxCurveValues);
Thread.Sleep(1000);
string rateCurveRef = QRLib.PricingStructures.RequestPricingStructure(rateCurveFilters);
string fxCurveRef = QRLib.PricingStructures.RequestPricingStructure(fxCurveFilters);
string volsurfaceRef = QRLib.PricingStructures.CreateVolatilityCube(volSurfaceFilters, strikes, volData);
Assert.AreEqual(string.Format("{0}.{1}-LIBOR-BBA-{2}", rateCurveFilters[0, 1], rateCurveFilters[2, 1], rateCurveFilters[3, 1]), rateCurveRef);
//Assert.AreEqual(string.Format("{0}.{1}-{2}", fxCurveFilters[0, 1], fxCurveFilters[2, 1], fxCurveFilters[3, 1]).ToLowerInvariant(), fxCurveRef.ToLowerInvariant());
Assert.AreEqual(string.Format("{1}-{2}", fxCurveFilters[0, 1], fxCurveFilters[2, 1], fxCurveFilters[3, 1]).ToLowerInvariant(), fxCurveRef.ToLowerInvariant());
DateTime cEffectiveDate = baseDate;
DateTime cExerciseDate = new DateTime(cEffectiveDate.Year + 1, cEffectiveDate.Month, cEffectiveDate.Day);
Double notional = -100000000.00;
object[,] swaptionTerms = new object[, ]
{
{ "DealReferenceIdentifier", "TestSwaption" },
{ "PaymentDate", cEffectiveDate },
{ "ExerciseDate", cExerciseDate },
{ "BasePartyBuySellsInd", "Sells" },
{ "BasePartyName", "Bob" },
{ "CounterPartyName", "BobsCounterParty" },
{ "AdjustCalculationDates", true },
{ "BusinessCenters", "Sydney" },
{ "DateAdjustmentConvention", BusinessDayConventionEnum.FOLLOWING.ToString() },
{ "PaymentCurrency", "AUD" },
{ "PaymentAmount", 0 },
{ "ResetInterval", "2D" },
{ "VolatilitySurfaceReference", volsurfaceRef }
};
object[,] swapTerms = new object[, ]
{
{ "SwapReferenceIdentifier", "TestSwap" },
{ "BasePartyPaysRecievesInd", "Pays" },
{ "CounterPartyName", "BobsCounterParty" },
{ "NotionalAmount", System.Math.Abs(notional) },
{ "NotionalCurrency", "AUD" },
{ "SwapMaturityTenor", "1Y" },
{ "AdjustCalculationDates", true },
{ "hasInitialExchange", false },
{ "hasFinallExchange", false },
{ "PrincipleExchangeAdjustementConvention", BusinessDayConventionEnum.FOLLOWING.ToString() },
{ "PrincipleExchangeBusinessCenters", "Sydney" },
{ "PayReceiveSpotRate", 1 },
};
object[,] payLegFixedTerms = new object[, ]
{
{ "StreamType", "Fixed" },
{ "NotionalAmount", notional },
{ "Currency", "AUD" },
{ "ScheduleGeneration", "Forward" },
{ "BusinessCenters", "Sydney" },
{ "CouponPeriod", "3M" },
{ "RollDay", "17" },
{ "CouponDateAdjustment", BusinessDayConventionEnum.FOLLOWING.ToString() },
{ "DayCountConvention", "ACT/365.FIXED" },
{ "DiscountingType", "Standard" },
{ "DiscountCurveReference", rateCurveRef },
{ "FixedOrObservedRate", 0.0 },
};
object[,] recLegFloatingTerms = new object[, ]
{
{ "StreamType", "Floating" },
{ "NotionalAmount", 100000000.00 },
{ "Currency", "AUD" },
{ "ScheduleGeneration", "Forward" },
{ "BusinessCenters", "Sydney" },
{ "CouponPeriod", "3M" },
{ "RollDay", "17" },
{ "CouponDateAdjustment", BusinessDayConventionEnum.FOLLOWING.ToString() },
{ "DayCountConvention", "ACT/365.FIXED" },
{ "DiscountingType", "Standard" },
{ "DiscountCurveReference", rateCurveRef },
{ "FixedOrObservedRate", 0 },
{ "ObservedRateSpecified", false },
{ "FixingDateAdjustmentConvention", BusinessDayConventionEnum.NONE.ToString() },
{ "FixingDateBusinessCenters", "Sydney" },
{ "FixingDateResetInterval", "0D" },
{ "ForwardCurveReference", rateCurveRef },
{ "RateIndexName", "AUD-LIBOR-BBA" },
{ "RateIndexTenor", "3M" },
{ "Spread", 0 },
};
object[,] payLegAmortisationStep = null;
object[,] receiveLegAmortisationStep = null;
object[,] payCouponStep = null;
object[,] receiveCouponStep = null;
string[] counterPartySettings = { "Large Corporate", "J", "1" };
string[] regulatoryCapitalSettings = { "TIER1", "IR", "CORPORATE" };
object[,] creditValuationSettings = new object[, ]
{
{ "Region", "Australia" },
{ "EcrsRating", 9 },
{ "CounterPartyType", "LARGE CORPORATE" },
{ "LendingCategory", "J" }
};
string[] requiredMetrics = { "NPV", "BreakEvenStrike" };
DateTime valuationDate = cEffectiveDate;
object[,] results = QRLib.Rates.InterestRateSwaption.GetValuation
(
swaptionTerms,
swapTerms,
payLegFixedTerms,
recLegFloatingTerms,
payLegAmortisationStep,
receiveLegAmortisationStep,
payCouponStep,
receiveCouponStep,
creditValuationSettings,
marketEnvironment,
requiredMetrics,
valuationDate
);
Assert.AreEqual("NPV", results[0, 0]);
Assert.IsNotNull(results[0, 1]);
Assert.AreEqual("BreakEvenStrike", results[1, 0]);
Assert.IsNotNull(results[1, 1]);
swaptionTerms[10, 1] = System.Math.Abs((decimal)results[0, 1]);
payLegFixedTerms[11, 1] = results[1, 1];
results = QRLib.Rates.InterestRateSwaption.GetValuation
(
swaptionTerms,
swapTerms,
payLegFixedTerms,
recLegFloatingTerms,
payLegAmortisationStep,
receiveLegAmortisationStep,
payCouponStep,
receiveCouponStep,
creditValuationSettings,
marketEnvironment,
requiredMetrics,
valuationDate
);
Assert.AreEqual(results[0, 0], "NPV");
Assert.IsNotNull(results[0, 1]);
Assert.AreEqual(results[1, 0], "BreakEvenStrike");
Assert.IsNotNull(results[1, 1]);
QRLib.PricingStructures.ClearCache();
}
