public static void SwaptionSimple()
{
// Start input
// ref date
Date refDate = new Date(2012, 3, 16);
#region Swap Market Data
// RateSet EUR 6m swap
RateSet rs = new RateSet(refDate);
rs.Add(1.256e-2, "6m", BuildingBlockType.EURDEPO);
rs.Add(1.076e-2, "1y", BuildingBlockType.EURSWAP6M);
rs.Add(1.017e-2, "2y", BuildingBlockType.EURSWAP6M);
rs.Add(1.11e-2, "3y", BuildingBlockType.EURSWAP6M);
rs.Add(1.289e-2, "4y", BuildingBlockType.EURSWAP6M);
rs.Add(1.489e-2, "5y", BuildingBlockType.EURSWAP6M);
rs.Add(1.682e-2, "6y", BuildingBlockType.EURSWAP6M);
rs.Add(1.853e-2, "7y", BuildingBlockType.EURSWAP6M);
rs.Add(1.995e-2, "8y", BuildingBlockType.EURSWAP6M);
rs.Add(2.113e-2, "9y", BuildingBlockType.EURSWAP6M);
rs.Add(2.214e-2, "10y", BuildingBlockType.EURSWAP6M);
rs.Add(2.301e-2, "11y", BuildingBlockType.EURSWAP6M);
rs.Add(2.378e-2, "12y", BuildingBlockType.EURSWAP6M);
rs.Add(2.439e-2, "13y", BuildingBlockType.EURSWAP6M);
rs.Add(2.488e-2, "14y", BuildingBlockType.EURSWAP6M);
rs.Add(2.524e-2, "15y", BuildingBlockType.EURSWAP6M);
rs.Add(2.551e-2, "16y", BuildingBlockType.EURSWAP6M);
rs.Add(2.567e-2, "17y", BuildingBlockType.EURSWAP6M);
rs.Add(2.576e-2, "18y", BuildingBlockType.EURSWAP6M);
rs.Add(2.579e-2, "19y", BuildingBlockType.EURSWAP6M);
rs.Add(2.577e-2, "20y", BuildingBlockType.EURSWAP6M);
rs.Add(2.571e-2, "21y", BuildingBlockType.EURSWAP6M);
rs.Add(2.563e-2, "22y", BuildingBlockType.EURSWAP6M);
rs.Add(2.554e-2, "23y", BuildingBlockType.EURSWAP6M);
rs.Add(2.543e-2, "24y", BuildingBlockType.EURSWAP6M);
rs.Add(2.532e-2, "25y", BuildingBlockType.EURSWAP6M);
rs.Add(2.52e-2, "26y", BuildingBlockType.EURSWAP6M);
rs.Add(2.509e-2, "27y", BuildingBlockType.EURSWAP6M);
rs.Add(2.498e-2, "28y", BuildingBlockType.EURSWAP6M);
rs.Add(2.488e-2, "29y", BuildingBlockType.EURSWAP6M);
rs.Add(2.479e-2, "30y", BuildingBlockType.EURSWAP6M);
#endregion
// I build curve,
SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> Curve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(rs, OneDimensionInterpolation.LogLinear); // discount curve
double p = Formula.Swaption(1, 0.01, "1y", "3y", true, 0.50, Curve);
Console.WriteLine(p);
#region Hull example
double[] yf = new double[] { 0.5, 0.5, 0.5, 0.5, 0.5, 0.5 };
double[] df = new double[] { Math.Exp(-0.06 * 5.5), Math.Exp(-0.06 * 6), Math.Exp(-0.06 * 6.5),
Math.Exp(-0.06 * 7), Math.Exp(-0.06 * 7.5), Math.Exp(-0.06 * 8) };
double pp = Formula.Swaption(100, 0.0609, 0.062, 0.2, 5, true, yf, df);
#endregion
Console.WriteLine(pp);
}
string IRate.AddMultiCurve(string idCode, double RefDate, object DfTenor, object DfRates, string DfType,
object FwdTenor, object FwdRates, string FwdType, string FixingTenor, double FixingValue)
{
#region Market Rates for discounting
RateSet dfMktRates = new RateSet(new Date(RefDate));
double[] dfRates = (double[])DfRates;
string[] dfTenor = (string[])DfTenor;
int MaxDfRates = dfTenor.Count();
BuildingBlockType dfType = (BuildingBlockType)Enum.Parse(typeof(BuildingBlockType), DfType);
for (int i = 0; i < MaxDfRates; i++)
{
dfMktRates.Add(dfRates[i], dfTenor[i], dfType);
}
#endregion
#region Market Rates for forwarding
RateSet fwdMktRates = new RateSet(new Date(RefDate));
double[] fwdRates = (double[])FwdRates;
string[] fwdTenor = (string[])FwdTenor;
int MaxFwdRates = fwdTenor.Count();
BuildingBlockType fwdType = (BuildingBlockType)Enum.Parse(typeof(BuildingBlockType), FwdType);
fwdMktRates.Add(FixingValue, FixingTenor, BuildingBlockType.EURDEPO);
for (int i = 0; i < MaxFwdRates; i++)
{
fwdMktRates.Add(fwdRates[i], fwdTenor[i], fwdType);
}
#endregion
#region InizializeMyCurve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> DCurve = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(dfMktRates, OneDimensionInterpolation.Linear);
MultiCurveBuilder <SimpleCubicInterpolator> MultiCurve = new MultiCurveBuilder <SimpleCubicInterpolator>(fwdMktRates, DCurve);
#endregion
#region UpDating Dictionary
try
{
if (MCDictionary.ContainsKey(idCode) == true) // check if idCode is in dictionary
{
MCDictionary[idCode] = MultiCurve; // if true, updates it
}
else
{
MCDictionary.Add(idCode, MultiCurve); // if false, adds it
}
return("Loaded @ " + DateTime.Now.ToString()); // return time of last load
}
catch (Exception e)
{
return((string)e.ToString());
}
#endregion
}
// Check if the process will match the starting inputs
public static void FwdStartSwap()
{
#region Inputs
// Start input
Date refDate = new Date(2021, 10, 11); // ref date, this is only an example
// I populate market rates set: from file, from real time, ... here not real data
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
// my curve
IRateCurve Curve1 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
#region print output
Console.WriteLine("Input Rate (1Y): {0}, ReCalc Rate (1Y): {1} \n\n", 1.869e-2, Curve1.SwapFwd(refDate, "1Y"));
// Start and Tenor of each point in my fwd matrix (2Y15Y is a 15Y swap starting in 2Y)
string[] Start = new string[] { "1Y", "2Y", "3Y", "5Y", "7Y", "10Y" };
string[] Tenor = new string[] { "1Y", "2Y", "5Y", "7Y", "10Y" };
// print fwd swap matrix using multi curve
Console.WriteLine("Matrix using {0}\n", Curve1.ToString());
for (int i = 0; i < Start.Length; i++)
{
for (int t = 0; t < Tenor.Length; t++)
{
Console.Write("{0}{1}:{2:P3} ", Start[i], Tenor[t], Curve1.SwapFwd(refDate.add_period(Start[i]), Tenor[t]));
}
Console.Write("\n\n");
}
#endregion end print 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
}
// sensitivities/DVO1. ATM swap has no sensitivities with respect to the discount curve
public static void SensitivitiesParallel()
{
#region Inputs
// Start input
// Start input, reference date.
Date refDate = (new Date(DateTime.Now)).mod_foll();
#region Eonia market data
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
mktRates.Add(0.447e-2, "1w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.583e-2, "2w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.627e-2, "3w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.635e-2, "1m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.675e-2, "2m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.705e-2, "3m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.734e-2, "4m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.758e-2, "5m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.780e-2, "6m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.798e-2, "7m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.816e-2, "8m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.834e-2, "9m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.849e-2, "10m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.864e-2, "11m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.878e-2, "1Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.098e-2, "2Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.36e-2, "3Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.639e-2, "4Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.9e-2, "5Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.122e-2, "6Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.308e-2, "7Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.467e-2, "8Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.599e-2, "9Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.715e-2, "10Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.818e-2, "11Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.908e-2, "12Y", BuildingBlockType.EONIASWAP);
// From here interpolation is need
mktRates.Add(3.093e-2, "15Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.173e-2, "20Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.114e-2, "25Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.001e-2, "30Y", BuildingBlockType.EONIASWAP);
#endregion
#region Swap Market Data
// RateSet EUR 6m swap
RateSet rs = new RateSet(refDate);
rs.Add(1.16e-2, "6m", BuildingBlockType.EURDEPO);
rs.Add(1.42e-2, "1y", BuildingBlockType.EURSWAP6M);
rs.Add(1.635e-2, "2y", BuildingBlockType.EURSWAP6M);
rs.Add(1.872e-2, "3y", BuildingBlockType.EURSWAP6M);
rs.Add(2.131e-2, "4y", BuildingBlockType.EURSWAP6M);
rs.Add(2.372e-2, "5y", BuildingBlockType.EURSWAP6M);
rs.Add(2.574e-2, "6y", BuildingBlockType.EURSWAP6M);
rs.Add(2.743e-2, "7y", BuildingBlockType.EURSWAP6M);
rs.Add(2.886e-2, "8y", BuildingBlockType.EURSWAP6M);
rs.Add(3.004e-2, "9y", BuildingBlockType.EURSWAP6M);
rs.Add(3.107e-2, "10y", BuildingBlockType.EURSWAP6M);
rs.Add(3.198e-2, "11y", BuildingBlockType.EURSWAP6M);
rs.Add(3.278e-2, "12y", BuildingBlockType.EURSWAP6M);
rs.Add(3.344e-2, "13y", BuildingBlockType.EURSWAP6M);
rs.Add(3.398e-2, "14y", BuildingBlockType.EURSWAP6M);
rs.Add(3.438e-2, "15y", BuildingBlockType.EURSWAP6M);
rs.Add(3.467e-2, "16y", BuildingBlockType.EURSWAP6M);
rs.Add(3.484e-2, "17y", BuildingBlockType.EURSWAP6M);
rs.Add(3.494e-2, "18y", BuildingBlockType.EURSWAP6M);
rs.Add(3.495e-2, "19y", BuildingBlockType.EURSWAP6M);
rs.Add(3.491e-2, "20y", BuildingBlockType.EURSWAP6M);
rs.Add(3.483e-2, "21y", BuildingBlockType.EURSWAP6M);
rs.Add(3.471e-2, "22y", BuildingBlockType.EURSWAP6M);
rs.Add(3.455e-2, "23y", BuildingBlockType.EURSWAP6M);
rs.Add(3.436e-2, "24y", BuildingBlockType.EURSWAP6M);
rs.Add(3.415e-2, "25y", BuildingBlockType.EURSWAP6M);
rs.Add(3.391e-2, "26y", BuildingBlockType.EURSWAP6M);
rs.Add(3.366e-2, "27y", BuildingBlockType.EURSWAP6M);
rs.Add(3.340e-2, "28y", BuildingBlockType.EURSWAP6M);
rs.Add(3.314e-2, "29y", BuildingBlockType.EURSWAP6M);
rs.Add(3.29e-2, "30y", BuildingBlockType.EURSWAP6M);
#endregion
#endregion end Inputs
#region building curve
string swapTenor = "11y"; // you can change it
// I build my multi curve,
SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> DCurve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(mktRates, OneDimensionInterpolation.LogLinear); // discount curve
MultiCurveBuilder <SimpleCubicInterpolator> C = new MultiCurveBuilder <SimpleCubicInterpolator>(rs, DCurve); // multi curve
#endregion end building curve
#region myFunction
// my function to calculate Net Present Value of a Vanilla Swap (receiver swap)
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[] FromDateFloat = BB.scheduleLeg2.fromDates;
// # of fixed cash flows
int n_float = dfDatesFloat.Length;
double[] fwd = new double[n_float]; // fwd rate container
// getting fwd rates
for (int i = 0; i < n_float; i++)
{
fwd[i] = c.Fwd(FromDateFloat[i]);
}
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); // NPV
};
#endregion
#region Print results
double atmSwap = C.SwapFwd(refDate, swapTenor); // At The Money swap (i.e. par rate)
List <double> swapRateList = new List <double>(); // lists of swap to analyze
swapRateList.Add(atmSwap); // it is ATM
swapRateList.Add(atmSwap + 0.01); // it has positive mark to market (MtM). It is a receiver swap with a contract rate > than Atm)
swapRateList.Add(atmSwap - 0.01); // it has negative MtM
// iterate for each swap:
// see how change the sign of sensitivities for discount curve and for forwarding curve changing contract rates
Console.WriteLine("Executing parallel loop...");
Stopwatch stopwatch = new Stopwatch();
stopwatch.Start();
Parallel.ForEach(swapRateList, swapRate =>
{
Console.WriteLine("Pricing Receiver Swap {0}, Atm Rate: {1:f6}, Contract Rate: {2:f6}", swapTenor, atmSwap, swapRate);
IRateCurve[] cs = C.ShiftedCurvesArrayFwdCurve(0.0001);
IRateCurve csp = C.ParallelShiftFwdCurve(0.0001);
// initialise some variable used in sensitivities
double sens = 0.0;
double runSum = 0.0;
// Standard swap
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
double iniMTM = NPV(y, C) * 100000000; // initial mark to market for 100ml receiver contract
Console.WriteLine("Starting Mark To Market {0:f}", iniMTM);
Console.WriteLine("Sensitivities to Curve used for forward rate: ");
int nOfRate = rs.Count; // iterate for market input for forwarding curve
for (int i = 0; i < nOfRate; i++)
{
sens = NPV(y, cs[i]) * 100000000 - iniMTM;
Console.WriteLine("{0} BPV: {1:f}", rs.Item(i).M.GetPeriodStringFormat(), sens);
runSum += sens;
}
Console.WriteLine("Total: {0:f}", runSum);
Console.WriteLine("\nParallel Shift Total: {0:f}", NPV(y, csp) * 100000000 - iniMTM); // parallel shift
// reset some variable used in sensitivities
sens = 0.0;
runSum = 0.0;
Console.WriteLine("Sensitivities to Discount Curve:");
// let's consider discounting curve
IRateCurve[] DCrvs = C.ShiftedCurvesArrayDCurve(0.0001); // shifting each bucket
IMultiRateCurve DCrvp = C.ParallelShiftDCurve(0.0001); // parallel shift
nOfRate = mktRates.Count; // iterate for market input for discounting curve
for (int i = 0; i < nOfRate; i++)
{
sens = NPV(y, DCrvs[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("\nParallel Shift Total: {0:f}", NPV(y, DCrvp) * 100000000 - iniMTM);
});
stopwatch.Stop();
Console.WriteLine("Parallel loop time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
#endregion
}
public static void MatrixCapletWithRateCurve()
{
#region Inputs
// We load a set of data (not real)
DataForCapletExample2 d = new DataForCapletExample2();
RateSet rs = d.GetRateSet();
double[] T = d.T();
string[] avT = d.avTString();
List <double[]> VolArr = d.VolArr();
double[] strike = d.strike();
// We build our multi curve
SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> Curve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(rs, OneDimensionInterpolation.LogLinear); // discount curve
#endregion
#region Testing all available MonoStrikeCapletVolBuilder
// Uncomment one of these
CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderInputInterpLinear> B =
new CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderInputInterpLinear>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderInputInterpCubic> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderInputInterpCubic>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitStd> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitStd>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitPWL> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitPWL>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitCubic> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitCubic>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitFunct> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitFunct>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderPWC> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderPWC>(avT, Curve, strike, VolArr);
#endregion
List <double[]> VolSilos = B.CapletVolMatrix;
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>();
foreach (double myD in strike)
{
labels.Add(myD.ToString());
}
;
List <Vector <double> > yarrs = new List <Vector <double> >();
foreach (double[] arr in VolSilos)
{
yarrs.Add(new Vector <double>(arr, 1));
}
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet Vol Input Interpolation", "Term", "Volatility");
#endregion
}
public static void UsingTPLinImplementation()
{
// ref date, you should use the one you need
Date refDate = (new Date(DateTime.Now)).mod_foll();
#region eonia market data
// I populate markets rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
mktRates.Add(0.447e-2, "1w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.583e-2, "2w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.627e-2, "3w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.635e-2, "1m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.675e-2, "2m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.705e-2, "3m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.734e-2, "4m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.758e-2, "5m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.780e-2, "6m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.798e-2, "7m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.816e-2, "8m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.834e-2, "9m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.849e-2, "10m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.864e-2, "11m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.878e-2, "1Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.098e-2, "2Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.36e-2, "3Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.639e-2, "4Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.9e-2, "5Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.122e-2, "6Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.308e-2, "7Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.467e-2, "8Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.599e-2, "9Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.715e-2, "10Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.818e-2, "11Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.908e-2, "12Y", BuildingBlockType.EONIASWAP);
// From here interpolation is need
mktRates.Add(3.093e-2, "15Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.173e-2, "20Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.114e-2, "25Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.001e-2, "30Y", BuildingBlockType.EONIASWAP);
#endregion
#region Swap Market Data
// RateSet EUR 6m swap
RateSet rs = new RateSet(refDate);
rs.Add(1.123e-2, "6m", BuildingBlockType.EURDEPO);
rs.Add(1.42e-2, "1y", BuildingBlockType.EURSWAP6M);
rs.Add(1.635e-2, "2y", BuildingBlockType.EURSWAP6M);
rs.Add(1.872e-2, "3y", BuildingBlockType.EURSWAP6M);
rs.Add(2.131e-2, "4y", BuildingBlockType.EURSWAP6M);
rs.Add(2.372e-2, "5y", BuildingBlockType.EURSWAP6M);
rs.Add(2.574e-2, "6y", BuildingBlockType.EURSWAP6M);
rs.Add(2.743e-2, "7y", BuildingBlockType.EURSWAP6M);
rs.Add(2.886e-2, "8y", BuildingBlockType.EURSWAP6M);
rs.Add(3.004e-2, "9y", BuildingBlockType.EURSWAP6M);
rs.Add(3.107e-2, "10y", BuildingBlockType.EURSWAP6M);
rs.Add(3.198e-2, "11y", BuildingBlockType.EURSWAP6M);
rs.Add(3.278e-2, "12y", BuildingBlockType.EURSWAP6M);
rs.Add(3.344e-2, "13y", BuildingBlockType.EURSWAP6M);
rs.Add(3.398e-2, "14y", BuildingBlockType.EURSWAP6M);
rs.Add(3.438e-2, "15y", BuildingBlockType.EURSWAP6M);
rs.Add(3.467e-2, "16y", BuildingBlockType.EURSWAP6M);
rs.Add(3.484e-2, "17y", BuildingBlockType.EURSWAP6M);
rs.Add(3.494e-2, "18y", BuildingBlockType.EURSWAP6M);
rs.Add(3.495e-2, "19y", BuildingBlockType.EURSWAP6M);
rs.Add(3.491e-2, "20y", BuildingBlockType.EURSWAP6M);
rs.Add(3.483e-2, "21y", BuildingBlockType.EURSWAP6M);
rs.Add(3.471e-2, "22y", BuildingBlockType.EURSWAP6M);
rs.Add(3.455e-2, "23y", BuildingBlockType.EURSWAP6M);
rs.Add(3.436e-2, "24y", BuildingBlockType.EURSWAP6M);
rs.Add(3.415e-2, "25y", BuildingBlockType.EURSWAP6M);
rs.Add(3.391e-2, "26y", BuildingBlockType.EURSWAP6M);
rs.Add(3.366e-2, "27y", BuildingBlockType.EURSWAP6M);
rs.Add(3.340e-2, "28y", BuildingBlockType.EURSWAP6M);
rs.Add(3.314e-2, "29y", BuildingBlockType.EURSWAP6M);
rs.Add(3.29e-2, "30y", BuildingBlockType.EURSWAP6M);
#endregion
// initialise discount curve - it is the same for both forwarding curve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> DCurve = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
// initializing the stopwatch
Stopwatch stopwatch = new Stopwatch();
MultiCurveBuilder <SimpleCubicInterpolator> MC = new MultiCurveBuilder <SimpleCubicInterpolator>(rs, DCurve);
Console.WriteLine("ProcessorCount: {0}", Environment.ProcessorCount); // number of processor
#region MultiCurveBuilder sequential
Console.WriteLine("Implementing shift sequential...");
stopwatch.Start();
IMultiRateCurve[] MCArrayFwdSeq = MC.ShiftedCurvesArrayFwdCurveSeq(0.01);
IMultiRateCurve[] MCArrayDfSeq = MC.ShiftedCurvesArrayDCurveSeq(0.01);
stopwatch.Stop();
Console.WriteLine("Done. Time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
#endregion
stopwatch.Reset(); // resetting the stopwatch
#region MultiCurveBuilder2
Console.WriteLine("Implementing shift parallel ...");
stopwatch.Start();
IMultiRateCurve[] MCArrayFwd = MC.ShiftedCurvesArrayFwdCurve(0.01);
IMultiRateCurve[] MCArrayDf = MC.ShiftedCurvesArrayDCurve(0.01);
stopwatch.Stop();
Console.WriteLine("Done. Time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
#endregion
}
// 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 OIS fwd 3m
public static void CheckFwdRatesOIS3m()
{
#region Inputs
// ref date
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
mktRates.Add(2.338e-2, "1d", BuildingBlockType.EURDEPO); //
mktRates.Add(2.272e-2, "1w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.241e-2, "2w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.16e-2, "3w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.226e-2, "1m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.299e-2, "2m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.323e-2, "3m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.344e-2, "4m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.371e-2, "5m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.39e-2, "6m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.41e-2, "7m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.4316e-2, "8m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.449e-2, "9m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.466e-2, "10m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.48e-2, "11m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.529e-2, "15m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.565e-2, "18m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.603e-2, "21m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.493e-2, "1Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.644e-2, "2Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.849e-2, "3Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.08e-2, "4Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.292e-2, "5Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.471e-2, "6Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.621e-2, "7Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.748e-2, "8Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.86e-2, "9Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.965e-2, "10Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.064e-2, "11Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.155e-2, "12Y", BuildingBlockType.EONIASWAP);
// From here interpolation is need
mktRates.Add(4.358e-2, "15Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.48e-2, "20Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.465e-2, "25Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.415e-2, "30Y", BuildingBlockType.EONIASWAP);
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
#endregion end Inputs
#region building curve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> C1 = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
#endregion end building curve
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
#region printing output
// I get the longer eonia swap available from the input data
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Schedule s = new Schedule(refDate, LS.endDate, "3m", Rule.Backward, LS.swapLeg1.SwapBusDayRollsAdj, "0d", LS.swapLeg1.SwapBusDayPayAdj);
Dc dc = Dc._Act_360;
Date[] FromDate = s.fromDates;
Date[] ToDate = s.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 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
// 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
}
// Calculating net present value of the floating leg of a swap
public static void TestVanillaSwapFloatingLegNPV()
{
// In Single Curve World
// NPV of floating leg of a swap con be calculated
// as 1-DF(T) or
// as sum of present value of each expected cash flows
// for details see Paul Wilmott introduces Quantitative Finance par 15.5 or
// "Swap and other Derivatives" R.Flavell page 57 (sum Fwd(i)*Yf(i)*DF(i) = 1-DF(T))
// We calculate the NPV of float leg using both method ands we check that they are the same
#region Inputs - not real data
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll(); // Random date
// Populate markets rates set: from file, from real time, ... here made up numbers
RateSet mktRates = new RateSet(refDate);
// Deposits
mktRates.Add(0.742e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(0.952e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(1.201e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(1.287e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(1.465e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(1.652e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(1.819e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(1.922e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.102e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.425e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.225e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.556e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.794e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.968e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.9895e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.879e-2, "25Y", BuildingBlockType.EURSWAP6M);
#endregion end Inputs
#region start SingleCurve building
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
// SingleCurveBuilderSmoothingFwd<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderSmoothingFwd<OnLogDf, LinearInterpolator>(mktRates, firstFixing);double firstFixing = 1.201e-2;
// SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator>(mktRates);
#endregion end SingleCurve building
// Create a schedule of a swap floating leg
Schedule s = new Schedule(refDate, refDate.add_period("12Y", false), "6m", Rule.Backward, BusinessDayAdjustment.ModifiedFollowing,
"0d", BusinessDayAdjustment.ModifiedFollowing);
s.PrintSchedule(); // print it
// NPV of floating leg as 1-DF(T)
double FloatingLagPV = 1.0 - C.DF(s.payDates.Last());
Console.WriteLine("1-DF(T): {0}", FloatingLagPV);
// NPV of floating as sum of PV of each cash flow
double CalcFloatingLagPV = 0.00;
double[] YearFraction = s.GetYFVect(Dc._Act_360);
for (int j = 0; j < YearFraction.GetLength(0); j++)
{
// formula 11.1.1 Option Pricing Formulas Espen Haug second edition
// "Swap and Other Derivatives" R.Flavell page 53
double df_ini = C.DF(s.fromDates[j]);
double df_end = C.DF(s.toDates[j]);
double fwd = (df_ini / df_end - 1) / YearFraction[j];
CalcFloatingLagPV += fwd * YearFraction[j] * C.DF(s.payDates[j]);
}
Console.WriteLine("CalcFloatingLagPV: {0}", CalcFloatingLagPV);
}
