public static object CreateFixedRateLoanDepo(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Start date")] DateTime StartDate,
[ExcelArgument(Description = "End date")] DateTime EndDate,
[ExcelArgument(Description = "Fixed rate")] double FixedRate,
[ExcelArgument(Description = "Daycount basis, e.g. Act360")] string Basis,
[ExcelArgument(Description = "Currency")] string Currency,
[ExcelArgument(Description = "Notional, negative for loan")] double Notional,
[ExcelArgument(Description = "Discount Curve")] string DiscountCurve)
{
return(ExcelHelper.Execute(_logger, () =>
{
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(Currency, out var cal);
var ccy = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>()[Currency];
if (!Enum.TryParse(Basis, out DayCountBasis basis))
{
return $"Could not parse daycount basis - {Basis}";
}
var product = new FixedRateLoanDeposit(StartDate, EndDate, FixedRate, ccy, basis, Notional, DiscountCurve)
{
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public void PastStartingFixedRateLoanDepo()
{
var bd = DateTime.Today;
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRate = 0.05;
var rates = pillars.Select(p => flatRate).ToArray();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var discoCurve = new IrCurve(pillars, rates, bd, "USD.BLAH", Interpolator1DType.Linear, usd);
var fModel = new FundingModel(bd, new[] { discoCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var start = bd.AddDays(-10);
var maturity = bd.AddDays(365);
var notional = 100e6;
var iRate = 0.07;
var depo = new FixedRateLoanDeposit(start, maturity, iRate, usd, DayCountBasis.ACT360, notional, "USD.BLAH");
var pv = depo.Pv(fModel, false);
var dfEnd = discoCurve.GetDf(bd, maturity);
var t = start.CalculateYearFraction(maturity, DayCountBasis.ACT360);
var expectedPv = 0.0; //initial notional is in the past
expectedPv += -notional * dfEnd; //final notional
expectedPv += -notional * (iRate * t) * dfEnd; //final notional
Assert.Equal(expectedPv, pv, 8);
var loan = new FixedRateLoanDeposit(start, maturity, iRate, usd, DayCountBasis.ACT360, -notional, "USD.BLAH");
pv = loan.Pv(fModel, false);
expectedPv = 0.0; //initial notional is in the past
expectedPv += notional * dfEnd; //final notional
expectedPv += notional * (iRate * t) * dfEnd; //final notional
Assert.Equal(expectedPv, pv, 8);
}
public void FixedRateLoanDepo()
{
var bd = DateTime.Today;
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRate = 0.05;
var rates = pillars.Select(p => flatRate).ToArray();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var discoCurve = new IrCurve(pillars, rates, bd, "USD.BLAH", Interpolator1DType.Linear, usd);
var fModel = new FundingModel(bd, new[] { discoCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var maturity = bd.AddDays(365);
var notional = 100e6;
var iRate = 0.07;
var depo = new FixedRateLoanDeposit(bd, maturity, iRate, usd, DayCountBasis.ACT360, notional, "USD.BLAH");
var pv = depo.Pv(fModel, false);
var dfEnd = discoCurve.GetDf(bd, maturity);
var t = bd.CalculateYearFraction(maturity, DayCountBasis.ACT360);
var expectedPv = notional; //initial notional
expectedPv += -notional * dfEnd; //final notional
expectedPv += -notional * (iRate * t) * dfEnd; //final notional
Assert.Equal(expectedPv, pv, 8);
Assert.Equal(maturity, depo.LastSensitivityDate);
Assert.Empty(depo.AssetIds);
Assert.Equal(usd, depo.PaymentCurrency);
Assert.Equal(0.0, depo.CalculateParRate(fModel));
Assert.Equal(notional, depo.FlowsT0(fModel));
var fm2 = fModel.DeepClone(maturity);
Assert.Equal(-notional * (1 + (iRate * t)), depo.FlowsT0(fm2));
fm2 = fModel.DeepClone(maturity.AddDays(1));
Assert.Equal(0.0, depo.FlowsT0(fm2));
var flows = depo.ExpectedCashFlows(new AssetFxModel(bd, fModel));
Assert.Equal(3, flows.Count);
var loan = new FixedRateLoanDeposit(bd, maturity, iRate, usd, DayCountBasis.ACT360, -notional, "USD.BLAH");
pv = loan.Pv(fModel, false);
expectedPv = -notional; //initial notional
expectedPv += notional * dfEnd; //final notional
expectedPv += notional * (iRate * t) * dfEnd; //final notional
Assert.Equal(expectedPv, pv, 8);
Assert.Throws <NotImplementedException>(() => depo.Sensitivities(fModel));
Assert.Throws <NotImplementedException>(() => depo.SetStrike(0.0));
Assert.Equal("USD.BLAH", depo.Dependencies(fModel.FxMatrix)[0]);
Assert.Empty(depo.PastFixingDates(maturity));
Assert.Equal(FxConversionType.None, depo.FxType(null));
Assert.Equal(string.Empty, depo.FxPair(null));
var depo2 = depo.Clone();
Assert.True(depo.Equals(depo2));
Assert.False(depo.Equals(loan));
var depo3 = depo.SetParRate(0.333);
Assert.False(depo.Equals(depo3));
}
