public static void MyDF(object rateSet)
{
object[] o = (object[])rateSet;
RateSet rs = (RateSet)o[0];
RateSet myRateSet = new RateSet((Date)o[1]);
foreach (RateSet r in rs)
{
myRateSet.Add(r.V, r.M.GetPeriodStringFormat(), r.T);
}
Date dfDate = new Date(2025, 8, 15);
double fixing = (double)o[2];
#region building curve
SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(myRateSet, fixing);
Console.WriteLine("Ref. {0:D}: DF: {1:F5}", myRateSet.refDate.DateValue, C.DF(dfDate));
#endregion building curve
}
// More on sensitivities calc
public static void MoreOnSensitivities()
{
#region Inputs
// Start input
Date refDate = new Date(2010, 10, 11);
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(1.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(1.435e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(1.720e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(1.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
#endregion end Inputs
#region building curve
List <ISingleRateCurve> Curves = new List <ISingleRateCurve>();
// initialised each class and add to list. You can add more curves
// Setup (a) in Table 15.3
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> c2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear); Curves.Add(c2);
// Setup (b) in Table 15.3
SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> c1 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates); Curves.Add(c1);
string swapTenor = "11y"; // you can change it
#endregion end building curve
#region myFunction
Func <SwapStyle, IRateCurve, double> NPV = (BB, c) =>
{
#region FixLeg
// fixed leg data
double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1
// dfs array of fixed lag
Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)
// # of fixed cash flows
int n_fix = dfDates.Length;
double NPV_fix = 0.0;
// calculate df
for (int i = 0; i < n_fix; i++)
{
NPV_fix += c.Df(dfDates[i]) * yfFixLeg[i] * BB.rateValue; // df*yf
}
// NPV_fix *= BB.rateValue;
#endregion
#region FloatLeg
// fixed leg data
double[] yfFloatLeg = BB.scheduleLeg2.GetYFVect(BB.swapLeg2.DayCount); // float is leg 2
// dfs array of fixed lag
Date[] dfDatesFloat = BB.scheduleLeg2.payDates; // serial date of float lag (each dates we should find df)
Date[] toDateFloat = BB.scheduleLeg2.toDates;
// # of fixed cash flows
int n_float = dfDatesFloat.Length;
double[] fwd = new double[n_float];
fwd[0] = ((1 / c.Df(toDateFloat[0])) - 1) / refDate.YF(toDateFloat[0], Dc._Act_360);;
for (int i = 1; i < n_float; i++)
{
double yf = toDateFloat[i - 1].YF(toDateFloat[i], Dc._Act_360);
double df_ini = c.Df(toDateFloat[i - 1]);
double df_end = c.Df(toDateFloat[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
double NPV_float = 0.0;
// calculate df
for (int i = 0; i < n_float; i++)
{
NPV_float += c.Df(dfDatesFloat[i]) * yfFloatLeg[i] * fwd[i]; // df*yf
}
#endregion
return(NPV_fix - NPV_float);
};
#endregion
#region Print results
foreach (ISingleRateCurve C in Curves)
{
double swapRate = C.SwapFwd(refDate, swapTenor);
IRateCurve[] cs = C.ShiftedCurveArray(0.0001); IRateCurve csp = C.ParallelShift(0.0001);
// initialise some variable used in sensitivities
double sens = 0.0;
double runSum = 0.0;
// standard
Console.WriteLine(C.ToString());
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
double iniMTM = NPV(y, C) * 100000000;
Console.WriteLine("{0} swap ATM fwd: {1:f5}", swapTenor, swapRate);
Console.WriteLine("Starting P&L {0:f}", iniMTM);
int nOfRate = mktRates.Count;
for (int i = 0; i < nOfRate; i++)
{
sens = NPV(y, cs[i]) * 100000000 - iniMTM;
Console.WriteLine("{0} BPV: {1:f}", mktRates.Item(i).M.GetPeriodStringFormat(), sens);
runSum += sens;
}
Console.WriteLine("Total: {0:f}", runSum);
Console.WriteLine("Parallel Total: {0:f}", NPV(y, csp) * 100000000 - iniMTM);
Console.WriteLine("Press a key to continue"); Console.ReadLine();
}
#endregion
}
// Print on excel forward rate using different curve builder for 3m
public static void CheckFwdRatesVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(0.434e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(0.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
#region building curve
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
double firstFixing = 0.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C3 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
#endregion end building curve
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
CurveList.Add(C3); CurveString.Add(C3.ToString());
#region printing output
// I get the longer swap
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Dc dc = Dc._Act_360;
Date[] FromDate = LS.scheduleLeg2.fromDates;
Date[] ToDate = LS.scheduleLeg2.toDates;
int N = FromDate.Length;
List <Vector <double> > Fwds = new List <Vector <double> >();
double[] dt = new double[N];
for (int i = 0; i < N; i++)
{
dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
}
foreach (IRateCurve myC in CurveList)
{
double[] fwd = new double[N];
for (int i = 0; i < N; i++)
{
double yf = FromDate[i].YF(ToDate[i], dc);
double df_ini = myC.Df(FromDate[i]);
double df_end = myC.Df(ToDate[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
Fwds.Add(new Vector <double>(fwd));
}
ExcelMechanisms exl = new ExcelMechanisms();
exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd vs 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
// Calculate the time for initialise a SingleCurveBuilderInterpBestFit
public static void TimeForBestFitVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ... here not real data
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(1.434e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(2.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
#region building curve
DateTime timer; // initialise the timer
timer = DateTime.Now;
double firstFixing = 1.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
Console.WriteLine("\n{0} \nFitted in {1}", C.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
Console.WriteLine("\n{0} \nFitted in {1}", C1.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
Console.WriteLine("\n{0} \nFitted in {1}", C2.ToString(), DateTime.Now - timer);
#endregion building curve
}
// Calculate the time for initialise a SingleCurveBuilderInterpBestFit
public static void TimeForBestFitVs6m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate markets rates set: from file, from real time, ... here not real data
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(2.620e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
#endregion end Inputs
#region building curve
DateTime timer;
timer = DateTime.Now;
double firstFixing = 1.62e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
Console.WriteLine("\n{0} \nFitted in {1}", C.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
Console.WriteLine("\n{0} \nFitted in {1}", C1.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
Console.WriteLine("\n{0} \nFitted in {1}", C2.ToString(), DateTime.Now - timer);
#endregion building curve
}
// Check if the process will match the starting inputs
public static void CheckInputsVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate markets rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
// Uncomment to chose the curve
// SingleCurveBuilderStandard<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderStandard<OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
double firstFixing = 1.435e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator>(mktRates, firstFixing);
// SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator>(mktRates);
#region print output
IEnumerable <BuildingBlock> BBArray = mktRates.GetArrayOfBB();
// Only Given Swap from BBArray
IEnumerable <BuildingBlock> OnlyGivenDepo = from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
select c;
Console.WriteLine(C.ToString());
Console.WriteLine("Recalc Df at Ref Date: {0}", C.DF(refDate));
foreach (OnePaymentStyle BB in OnlyGivenDepo)
{
double yf = refDate.YF(BB.endDate, BB.dayCount);
double df = C.DF(BB.endDate);
double CalcRate = ((1 / df) - 1) / yf;
Console.WriteLine("{0} Input Rate: {1} Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
}
// Only Given Swap from BBArray
IEnumerable <BuildingBlock> OnlyGivenSwap = from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select c;
foreach (SwapStyle BB in OnlyGivenSwap)
{
// fixed leg data
double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1
// dfs array of fixed lag
Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)
// initialise array for df
double[] dfFixLeg = new double[dfDates.Length];
// calculate df
for (int i = 0; i < dfDates.Length; i++)
{
dfFixLeg[i] = C.DF(dfDates[i]);
}
// Interpolation Methods for Curve Construction PATRICK S. HAGAN & GRAEME WEST Applied Mathematical Finance,Vol. 13, No. 2, 89–129, June 2006
// Formula 2) page 4
double CalcRate = Formula.ParRate(yfFixLeg, dfFixLeg); // Calculate par rate
Console.WriteLine("{0} Input Rate: {1} Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
}
#endregion end print output
}
