public void TestCurveStripSingleCurve()
{
Date valueDate = new Date(2017, 1, 13);
Currency zar = Currency.ZAR;
double N = 1.0;
double r1 = 0.07;
double r2 = 0.075;
Date date1 = valueDate.AddMonths(3);
Date date2 = valueDate.AddMonths(6);
ZeroRatesCurveForStripping zarDiscUSDColl = new ZeroRatesCurveForStripping(valueDate, zar);
ZeroRatesCurveForStripping zarDisc = new ZeroRatesCurveForStripping(valueDate, zar);
Product depo1 = new CashLeg(new Date[] { valueDate, date1 }, new double[] { -N, N * (1 + r1 * 0.25) }, new Currency[] { zar, zar });
Product depo2 = new CashLeg(new Date[] { valueDate, date2 }, new double[] { -N, N * (1 + r2 * 0.5) }, new Currency[] { zar, zar });
DeterminsiticCurves modelZARDisc = new DeterminsiticCurves(zarDisc);
Coordinator coordZARDisc = new Coordinator(modelZARDisc, new List <Simulator>(), 1);
coordZARDisc.SetThreadedness(false);
MultiCurveStripper mcs = new MultiCurveStripper(valueDate);
mcs.AddDiscounting(depo1, () => coordZARDisc.Value(depo1, valueDate), N, 1.0, zarDisc);
mcs.AddDiscounting(depo2, () => coordZARDisc.Value(depo2, valueDate), N, 1.0, zarDisc);
mcs.Strip();
Assert.AreEqual(N, coordZARDisc.Value(depo1, valueDate), 1e-6);
Assert.AreEqual(N, coordZARDisc.Value(depo2, valueDate), 1e-6);
}
public void TestCurveStripTwoZARDiscount()
{
var valueDate = new Date(2017, 1, 13);
var zar = Currency.ZAR;
// Empty curves
var zarDiscUSDColl = new ZeroRatesCurveForStripping(valueDate, zar);
var zarDisc = new ZeroRatesCurveForStripping(valueDate, zar);
var jibarCurve = new ForwardRatesCurveForStripping(valueDate, FloatingIndex.JIBAR3M);
// Models
var modelZARDiscUSDColl = new DeterminsiticCurves(zarDiscUSDColl);
modelZARDiscUSDColl.AddRateForecast(jibarCurve);
var coordZARDiscUSDColl = new Coordinator(modelZARDiscUSDColl, new List <Simulator>(), 1);
coordZARDiscUSDColl.SetThreadedness(false);
var modelZARDisc = new DeterminsiticCurves(zarDisc);
modelZARDisc.AddRateForecast(jibarCurve); // same jibar curve in both coordinators.
var coordZARDisc = new Coordinator(modelZARDisc, new List <Simulator>(), 1);
coordZARDisc.SetThreadedness(false);
//Instruments for USDColl discounting curve.
var mcs = new MultiCurveStripper(valueDate);
var depo1 = MakeDepo(valueDate, 0.07, 24);
var depo2 = MakeDepo(valueDate, 0.072, 48);
mcs.AddDiscounting(depo1, () => coordZARDiscUSDColl.Value(depo1, valueDate), 1.0, 1.0, zarDiscUSDColl);
mcs.AddDiscounting(depo2, () => coordZARDiscUSDColl.Value(depo2, valueDate), 1.0, 1.0, zarDiscUSDColl);
Product swapUSDColl1 = IRSwap.CreateZARSwap(0.07, true, 1.0, valueDate, Tenor.Months(24));
Product swapUSDColl2 = IRSwap.CreateZARSwap(0.072, true, 1.0, valueDate, Tenor.Months(48));
mcs.AddForecast(swapUSDColl1, () => coordZARDiscUSDColl.Value(swapUSDColl1, valueDate), 0, 1, jibarCurve,
FloatingIndex.JIBAR3M);
mcs.AddForecast(swapUSDColl2, () => coordZARDiscUSDColl.Value(swapUSDColl2, valueDate), 0, 1, jibarCurve,
FloatingIndex.JIBAR3M);
Product swapNoColl1 = IRSwap.CreateZARSwap(0.0709, true, 1.0, valueDate, Tenor.Months(36));
Product swapNoColl2 = IRSwap.CreateZARSwap(0.0719, true, 1.0, valueDate, Tenor.Months(48));
mcs.AddDiscounting(swapNoColl1, () => coordZARDisc.Value(swapNoColl1, valueDate), 0, 1, zarDisc);
mcs.AddDiscounting(swapNoColl2, () => coordZARDisc.Value(swapNoColl2, valueDate), 0, 1, zarDisc);
mcs.Strip();
Assert.AreEqual(1.0, coordZARDiscUSDColl.Value(depo1, valueDate), 1e-6);
Assert.AreEqual(1.0, coordZARDiscUSDColl.Value(depo2, valueDate), 1e-6);
Assert.AreEqual(0.0, coordZARDiscUSDColl.Value(swapUSDColl2, valueDate), 1e-6);
Assert.AreEqual(0.0, coordZARDiscUSDColl.Value(swapUSDColl2, valueDate), 1e-6);
//Assert.AreNotEqual(0.0, coordZARDisc.Value(swapUSDColl1, valueDate), 1e-6); No discount sensitivity
Assert.AreNotEqual(0.0, coordZARDisc.Value(swapUSDColl2, valueDate), 1e-6);
Assert.AreEqual(0.0, coordZARDisc.Value(swapNoColl1, valueDate), 1e-6);
Assert.AreEqual(0.0, coordZARDisc.Value(swapNoColl2, valueDate), 1e-6);
}
public void TestCurveStripSeparateForecastAndDiscount()
{
var valueDate = new Date(2017, 1, 13);
var zar = Currency.ZAR;
var N = 1.0;
var r1 = 0.12;
var r2 = 0.08;
var date1 = valueDate.AddMonths(6);
var date2 = valueDate.AddMonths(12);
var zarDisc = new ZeroRatesCurveForStripping(valueDate, zar);
var jibar3mForecast = new ForwardRatesCurveForStripping(valueDate, FloatingIndex.JIBAR3M, zarDisc);
Product depo1 = new CashLeg(new[] { valueDate, date1 }, new[] { -N, N * (1 + r1 * 0.5) }, new[] { zar, zar });
Product depo2 = new CashLeg(new[] { valueDate, date2 }, new[] { -N, N * (1 + r2 * 1) }, new[] { zar, zar });
Product swap = IRSwap.CreateZARSwap(0.08, true, 1.0, valueDate, Tenor.Months(9));
var modelZARDisc = new DeterminsiticCurves(zarDisc);
modelZARDisc.AddRateForecast(jibar3mForecast);
var coordZARDisc = new Coordinator(modelZARDisc, new List <Simulator>(), 1);
coordZARDisc.SetThreadedness(false);
var mcs = new MultiCurveStripper(valueDate);
mcs.AddDiscounting(depo1, () => coordZARDisc.Value(depo1, valueDate), N, 1.0, zarDisc);
mcs.AddDiscounting(depo2, () => coordZARDisc.Value(depo2, valueDate), N, 1.0, zarDisc);
mcs.AddForecast(swap, () => coordZARDisc.Value(swap, valueDate), 0.0, 1.0, jibar3mForecast,
FloatingIndex.JIBAR3M);
mcs.Strip();
Assert.AreEqual(N, coordZARDisc.Value(depo1, valueDate), 1e-6);
Assert.AreEqual(N, coordZARDisc.Value(depo2, valueDate), 1e-6);
Assert.AreEqual(0, coordZARDisc.Value(swap, valueDate), 1e-6);
/*double[] fwdRates = new double[180];
* for (int i=0; i<180; i++ )
* {
* fwdRates[i] = jibar3mForecast.GetForwardRate(valueDate.AddTenor(Tenor.Days(i)));
* }
* Debug.WriteToFile("c:\\dev\\quantsa\\temp\\fwdRates.csv", fwdRates);
*/
}
public void TestCurveStripWithUnderlying()
{
Date valueDate = new Date(2017, 1, 13);
Currency zar = Currency.ZAR;
double N = 1.0;
double r1 = 0.07;
double r2 = 0.075;
Date date1 = valueDate.AddMonths(3);
Date date2 = valueDate.AddMonths(6);
double turnSize = 0.05;
IDiscountingSource turnShapeCurve = new DFCurveWithTurn(valueDate, zar, new Date(2017, 2, 20), turnSize);
ZeroRatesCurveForStripping zarDisc = new ZeroRatesCurveForStripping(valueDate, turnShapeCurve);
Product depo1 = new CashLeg(new Date[] { valueDate, date1 }, new double[] { -N, N * (1 + r1 * 0.25) }, new Currency[] { zar, zar });
Product depo2 = new CashLeg(new Date[] { valueDate, date2 }, new double[] { -N, N * (1 + r2 * 0.5) }, new Currency[] { zar, zar });
DeterminsiticCurves modelZARDisc = new DeterminsiticCurves(zarDisc);
Coordinator coordZARDisc = new Coordinator(modelZARDisc, new List <Simulator>(), 1);
coordZARDisc.SetThreadedness(false);
MultiCurveStripper mcs = new MultiCurveStripper(valueDate);
mcs.AddDiscounting(depo1, () => coordZARDisc.Value(depo1, valueDate), N, 1.0, zarDisc);
mcs.AddDiscounting(depo2, () => coordZARDisc.Value(depo2, valueDate), N, 1.0, zarDisc);
mcs.Strip();
Assert.AreEqual(N, coordZARDisc.Value(depo1, valueDate), 1e-6);
Assert.AreEqual(N, coordZARDisc.Value(depo2, valueDate), 1e-6);
double df1 = zarDisc.GetDF(new Date(2017, 2, 19));
double df2 = zarDisc.GetDF(new Date(2017, 2, 20));
double df3 = zarDisc.GetDF(new Date(2017, 2, 21));
double df4 = zarDisc.GetDF(new Date(2017, 2, 22));
double rate1 = 365.0 * (df1 / df2 - 1);
double rate2 = 365.0 * (df2 / df3 - 1);
double rate3 = 365.0 * (df3 / df4 - 1);
Assert.AreEqual(turnSize, rate2 - rate1, turnSize / 100);
Assert.AreEqual(turnSize, rate2 - rate3, turnSize / 100);
}