public void CreateAmortisedFloorTest()
{
#region Initialise
QRLib.PricingStructures.ClearCache();
string rateCurveId = BuildMarket(_baseDate);
IMarketEnvironment marketEnvironment = ObjectCacheHelper.GetMarket(_marketEnvironmentId);
#endregion
#region Define the Swap
const string id = "TestAmortisedFloor";
object[,] capFloorTerms
=
{
{ "DealReferenceIdentifier", id },
{ "BasePartyBuySellsInd", "Sells" },
{ "CounterpartyName", "ANZ" },
{ "DealType", "Floor" },
{ "EffectiveDate", _baseDate },
{ "TerminationDate", _baseDate.AddYears(2) },
{ "AdjustCalculationDates", true },
};
object[,] streamTerms
=
{
{ "NotionalAmount", "1000000" },
{ "Currency", "AUD" },
{ "ScheduleGeneration", "Forward" },
{ "BusinessCenters", "Sydney" },
{ "CouponPeriod", "6m" },
{ "RollDay", "1" },
{ "CouponDateAdjustment", "FOLLOWING" },
{ "DayCountConvention", "ACT/365.FIXED" },
{ "DiscountingType", "Standard" },
{ "DiscountCurveReference", rateCurveId },
{ "FixedOrObservedRate", "0.07" },
{ "ObservedRateSpecified", "FALSE" },
{ "ForwardCurveReference", rateCurveId },
{ "FixingDateBusinessCenters", "Sydney" },
{ "FixingDateResetInterval", "0D" },
{ "FixingDateAdjustmentConvention", "NONE" },
{ "RateIndexName", "AUD-LIBOR-BBA" },
{ "RateIndexTenor", "6m" },
{ "Spread", "0" },
{ "VolatilityCurveReference", _volatilityStructureId },
{ "StrikePrice", "0.07" },
};
#endregion
#region Define the Valuation Criteria
string[] requiredMetrics = { "NPV", "BreakEvenRate" };
#endregion
#region Create & Value the Swap
string returnedId = QRLib.Rates.InterestRateCapFloor.CreateAmortised(capFloorTerms, streamTerms, null);
Assert.AreEqual(id, returnedId);
InterestRateCapFloor capFloor = ProductHelper.Get <InterestRateCapFloor>(id);
Assert.IsNotNull(capFloor);
CreditSettings creditSettings = new CreditSettings(ServerStore.Client);
IDictionary <string, object> valuation = capFloor.BasicValuation(_baseDate, marketEnvironment, requiredMetrics, creditSettings);
#endregion
#region Validate the Results
Assert.AreEqual(CapBreakEvenRate, Convert.ToDouble(valuation["BreakEvenRate"]), 0.0000001);
Assert.AreEqual(_pv, Convert.ToDouble(valuation["NPV"]), 3);
#endregion
#region Reset
QRLib.PricingStructures.ClearCache();
#endregion
}
public void CreateStructuredFloorTest()
{
#region Initialise
QRLib.PricingStructures.ClearCache();
string rateCurveId = BuildMarket(_baseDate);
IMarketEnvironment marketEnvironment = ObjectCacheHelper.GetMarket(_marketEnvironmentId);
#endregion
#region Define the Swap
const string id = "TestStructuredFloor";
object[,] capFloorTerms
=
{
{ "DealReferenceIdentifier", id },
{ "BasePartyBuySellsInd", "Sells" },
{ "CounterpartyName", "ANZ" },
{ "DealType", "Floor" },
};
object[,] streamTerms
=
{
{ "NotionalAmount", "1000000" },
{ "Currency", "AUD" },
{ "DayCountConvention", "ACT/365.FIXED" },
{ "DiscountingType", "Standard" },
{ "DiscountCurveReference", rateCurveId },
{ "ForwardCurveReference", rateCurveId },
{ "VolatilityCurveReference", _volatilityStructureId },
{ "RateIndexName", "AUD-LIBOR-BBA" },
{ "RateIndexTenor", "6m" },
{ "StrikePrice", "0.07" },
};
const double notionalAmount = -1000000;
object[,] couponMatrix
=
{
{ "StartDate", "EndDate", "NotionalAmount", "StrikePrice" },
{ new DateTime(2009, 09, 04), new DateTime(2010, 03, 01), notionalAmount, "0.07"},
{ new DateTime(2010, 03, 01), new DateTime(2010, 09, 01), notionalAmount, "0.07"},
{ new DateTime(2010, 09, 01), new DateTime(2011, 03, 01), notionalAmount, "0.07"},
{ new DateTime(2011, 03, 01), new DateTime(2011, 09, 05), notionalAmount, "0.07"},
};
#endregion
#region Define the Valuation Criteria
string[] requiredMetrics = { "NPV", "BreakEvenRate" };
#endregion
#region Create & Value the Swap
string returnedId = QRLib.Rates.InterestRateCapFloor.CreateStructured(capFloorTerms, streamTerms, couponMatrix);
Assert.AreEqual(id, returnedId);
InterestRateCapFloor capFloor = ProductHelper.Get <InterestRateCapFloor>(id);
Assert.IsNotNull(capFloor);
CreditSettings creditSettings = new CreditSettings(ServerStore.Client);
IDictionary <string, object> valuation = capFloor.BasicValuation(_baseDate, marketEnvironment, requiredMetrics, creditSettings);
#endregion
#region Validate the Results
Assert.AreEqual(CapBreakEvenRate, Convert.ToDouble(valuation["BreakEvenRate"]), 0.0000001);
Assert.AreEqual(_pv, Convert.ToDouble(valuation["NPV"]), 3);
#endregion
#region Reset
QRLib.PricingStructures.ClearCache();
#endregion
}
private AssetFxMCModel GetSut(bool expensiveFutures, BaseMetric baseMetric = BaseMetric.PV)
{
var buildDate = DateTime.Parse("2018-10-04");
var usd = TestProviderHelper.CurrencyProvider["USD"];
TestProviderHelper.CalendarProvider.Collection.TryGetCalendar("NYC", out var usdCal);
var dfCurve = new IrCurve(new[] { buildDate, buildDate.AddDays(1000) }, new[] { 0.0, 0.0 }, buildDate, "disco", Math.Interpolation.Interpolator1DType.Linear, usd, "DISCO");
var comCurve = new PriceCurve(buildDate, new[] { buildDate, buildDate.AddDays(15), buildDate.AddDays(100) }, new[] { 100.0, 100.0, 100.0 }, PriceCurveType.NYMEX, TestProviderHelper.CurrencyProvider)
{
Name = "CL",
AssetId = "CL"
};
var comSurface = new ConstantVolSurface(buildDate, 0.32)
{
AssetId = "CL"
};
var fModel = new FundingModel(buildDate, new Dictionary <string, IrCurve> {
{ "DISCO", dfCurve }
}, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxM = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxM.Init(usd, buildDate, new Dictionary <Currency, double>(), new List <FxPair>(), new Dictionary <Currency, string> {
{ usd, "DISCO" }
});
fModel.SetupFx(fxM);
var aModel = new AssetFxModel(buildDate, fModel);
aModel.AddVolSurface("CL", comSurface);
aModel.AddPriceCurve("CL", comCurve);
var product = AssetProductFactory.CreateTermAsianSwap(buildDate.AddDays(10), buildDate.AddDays(20), 99, "CL", usdCal, buildDate.AddDays(21), usd);
product.TradeId = "waaah";
product.DiscountCurve = "DISCO";
var pfolio = new Portfolio {
Instruments = new List <IInstrument> {
product
}
};
var creditSettings = new CreditSettings
{
ExposureDates = new DateTime[] { buildDate.AddDays(5), buildDate.AddDays(20), buildDate.AddDays(22) },
Metric = baseMetric
};
var settings = new McSettings
{
Generator = RandomGeneratorType.MersenneTwister,
McModelType = McModelType.Black,
NumberOfPaths = 2048,
NumberOfTimesteps = 1,
ReportingCurrency = usd,
ExpensiveFuturesSimulation = expensiveFutures,
Parallelize = false,
FuturesMappingTable = new Dictionary <string, string> {
{ "CL", "CL" }
},
CreditSettings = creditSettings
};
var sut = new AssetFxMCModel(buildDate, pfolio, aModel, settings, TestProviderHelper.CurrencyProvider, TestProviderHelper.FutureSettingsProvider, TestProviderHelper.CalendarProvider);
return(sut);
}
