public IFundingInstrument Clone() => new IrBasisSwap
{
BasisPay = BasisPay,
BasisRec = BasisRec,
Currency = Currency,
Counterparty = Counterparty,
DiscountCurve = DiscountCurve,
EndDate = EndDate,
FlowSchedulePay = FlowSchedulePay.Clone(),
FlowScheduleRec = FlowScheduleRec.Clone(),
ForecastCurvePay = ForecastCurvePay,
ForecastCurveRec = ForecastCurveRec,
NDates = NDates,
Notional = Notional,
ParSpreadPay = ParSpreadPay,
ParSpreadRec = ParSpreadRec,
PayLeg = PayLeg,
PillarDate = PillarDate,
RecLeg = RecLeg,
ResetDates = (DateTime[])ResetDates.Clone(),
ResetFrequencyPay = ResetFrequencyPay,
ResetFrequencyRec = ResetFrequencyRec,
SolveCurve = SolveCurve,
StartDate = StartDate,
SwapTenor = SwapTenor,
TradeId = TradeId
};
public IFundingInstrument Clone() => new XccyBasisSwap
{
BasisPay = BasisPay,
BasisRec = BasisRec,
CcyPay = CcyPay,
CcyRec = CcyRec,
Counterparty = Counterparty,
DiscountCurvePay = DiscountCurvePay,
DiscountCurveRec = DiscountCurveRec,
EndDate = EndDate,
FlowSchedulePay = FlowSchedulePay.Clone(),
FlowScheduleRec = FlowScheduleRec.Clone(),
ForecastCurvePay = ForecastCurvePay,
ForecastCurveRec = ForecastCurveRec,
MtmSwapType = MtmSwapType,
NDates = NDates,
NotionalExchange = NotionalExchange,
NotionalPay = NotionalPay,
NotionalRec = NotionalRec,
ParSpreadPay = ParSpreadPay,
ParSpreadRec = ParSpreadRec,
PayLeg = PayLeg.Clone(),
PillarDate = PillarDate,
Pvccy = Pvccy,
RecLeg = RecLeg.Clone(),
ResetDates = ResetDates,
ResetFrequencyPay = ResetFrequencyPay,
ResetFrequencyRec = ResetFrequencyRec,
SolveCurve = SolveCurve,
StartDate = StartDate,
SwapTenor = SwapTenor,
TradeId = TradeId
};
public double CalculateParRate(IFundingModel model)
{
var discountCurvePay = model.Curves[DiscountCurvePay];
var discountCurveRec = model.Curves[DiscountCurveRec];
var forecastCurvePay = model.Curves[ForecastCurvePay];
var forecastCurveRec = model.Curves[ForecastCurveRec];
var payCCY = MtmSwapType == MTMSwapType.ReceiveNotionalFixed ? CcyRec : CcyPay;
var recCCY = MtmSwapType == MTMSwapType.PayNotionalFixed ? CcyPay : CcyRec;
var baseCCY = Pvccy ?? payCCY;
var fxPayToBase = model.GetFxRate(model.BuildDate, payCCY, baseCCY);
var fxRecToBase = model.GetFxRate(model.BuildDate, recCCY, baseCCY);
if (ParSpreadPay != 0.0)
{
var newSched = FlowSchedulePay.Clone();
var recPV = FlowScheduleRec.PV(discountCurveRec, forecastCurveRec, true, true, true, BasisRec, null);
recPV *= fxRecToBase;
var targetFunc = new Func <double, double>(spread =>
{
foreach (var s in newSched.Flows.Where(x => x.FlowType == FlowType.FloatRate))
{
s.FixedRateOrMargin = spread;
}
var pv = newSched.PV(discountCurvePay, forecastCurvePay, true, true, true, BasisPay, null);
pv *= fxPayToBase;
return(pv - recPV);
}
);
var newSpread = Math.Solvers.Newton1D.MethodSolve(targetFunc, 0, 0.000001);
return(newSpread);
}
else
{
var newSched = FlowScheduleRec.Clone();
var payPV = FlowSchedulePay.PV(discountCurvePay, forecastCurvePay, true, true, true, BasisPay, null);
payPV *= fxPayToBase;
var targetFunc = new Func <double, double>(spread =>
{
foreach (var s in newSched.Flows.Where(x => x.FlowType == FlowType.FloatRate))
{
s.FixedRateOrMargin = spread;
}
var pv = newSched.PV(discountCurveRec, forecastCurveRec, true, true, true, BasisRec, null);
pv *= fxRecToBase;
return(pv - payPV);
}
);
var newSpread = Math.Solvers.Newton1D.MethodSolve(targetFunc, 0, 0.000001);
return(newSpread);
}
}
public double Pv(IFundingModel model, bool updateState)
{
var updateDF = updateState || model.CurrentSolveCurve == DiscountCurve;
var updatePayEst = updateState || model.CurrentSolveCurve == ForecastCurvePay;
var updateRecEst = updateState || model.CurrentSolveCurve == ForecastCurveRec;
var discountCurve = model.Curves[DiscountCurve];
var forecastCurvePay = model.Curves[ForecastCurvePay];
var forecastCurveRec = model.Curves[ForecastCurveRec];
var payPV = FlowSchedulePay.PV(discountCurve, forecastCurvePay, updateState, updateDF, updatePayEst, BasisPay, null);
var recPV = FlowScheduleRec.PV(discountCurve, forecastCurveRec, updateState, updateDF, updateRecEst, BasisRec, null);
return(payPV + recPV);
}
public double CalculateParRate(IFundingModel model)
{
var discountCurve = model.Curves[DiscountCurve];
var forecastCurvePay = model.Curves[ForecastCurvePay];
var forecastCurveRec = model.Curves[ForecastCurveRec];
if (ParSpreadPay != 0.0)
{
var newSched = FlowSchedulePay.Clone();
var recPV = FlowScheduleRec.PV(discountCurve, forecastCurveRec, true, true, true, BasisRec, null);
var targetFunc = new Func <double, double>(spread =>
{
foreach (var s in newSched.Flows.Where(x => x.FlowType == FlowType.FloatRate))
{
s.FixedRateOrMargin = spread;
}
var pv = newSched.PV(discountCurve, forecastCurvePay, true, true, true, BasisPay, null);
return(pv - recPV);
}
);
var newSpread = Math.Solvers.Newton1D.MethodSolve(targetFunc, 0, 0.000001);
return(newSpread);
}
else
{
var newSched = FlowScheduleRec.Clone();
var payPV = FlowSchedulePay.PV(discountCurve, forecastCurvePay, true, true, true, BasisPay, null);
var targetFunc = new Func <double, double>(spread =>
{
foreach (var s in newSched.Flows.Where(x => x.FlowType == FlowType.FloatRate))
{
s.FixedRateOrMargin = spread;
}
var pv = newSched.PV(discountCurve, forecastCurveRec, true, true, true, BasisRec, null);
return(pv - payPV);
}
);
var newSpread = Math.Solvers.Newton1D.MethodSolve(targetFunc, 0, 0.000001);
return(newSpread);
}
}
