Ejemplo n.º 1
0
        public void AsianCompoSwap()
        {
            ParallelUtils.Instance.MultiThreaded = false;

            var startDate = new DateTime(2018, 07, 28);
            var cal       = TestProviderHelper.CalendarProvider.Collection["LON"];
            var xaf       = TestProviderHelper.CurrencyProvider["XAF"];
            var usd       = TestProviderHelper.CurrencyProvider["USD"];

            var curvePillars     = new[] { "1W", "1M", "3M", "6M", "1Y" };
            var curvePillarDates = curvePillars.Select(l => startDate.AddPeriod(RollType.F, cal, new Frequency(l))).ToArray();
            var curvePoints      = new[] { 100.0, 100, 100, 100, 100 };
            var curve            = new PriceCurve(startDate, curvePillarDates, curvePoints, PriceCurveType.LME, TestProviderHelper.CurrencyProvider, curvePillars)
            {
                Currency       = usd,
                CollateralSpec = "CURVE",
                Name           = "Coconuts",
                AssetId        = "Coconuts"
            };

            var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
            var fxSpot   = 7;
            var rates    = new Dictionary <Currency, double> {
                { xaf, fxSpot }
            };
            var discoMap = new Dictionary <Currency, string> {
                { xaf, "XAF.CURVE" }, { usd, "USD.CURVE" }
            };
            var fxPair = new FxPair()
            {
                Domestic           = usd,
                Foreign            = xaf,
                SettlementCalendar = cal,
                SpotLag            = new Frequency("2b")
            };

            fxMatrix.Init(usd, startDate, rates, new List <FxPair> {
                fxPair
            }, discoMap);

            var irPillars = new[] { startDate, startDate.AddYears(10) };
            var xafRates  = new[] { 0.1, 0.1 };
            var usdRates  = new[] { 0.01, 0.01 };
            var xafCurve  = new IrCurve(irPillars, xafRates, startDate, "XAF.CURVE", Interpolator1DType.Linear, xaf, "CURVE");
            var usdCurve  = new IrCurve(irPillars, usdRates, startDate, "USD.CURVE", Interpolator1DType.Linear, usd, "CURVE");

            var fModel = new FundingModel(startDate, new[] { xafCurve, usdCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);

            fModel.SetupFx(fxMatrix);

            var aModel = new AssetFxModel(startDate, fModel);

            aModel.AddPriceCurve("Coconuts", curve);

            var periodCode = "SEP-18";

            var(Start, End) = periodCode.ParsePeriod();
            var fixingDates = Start.BusinessDaysInPeriod(End, cal).ToArray();
            var settleDate  = fixingDates.Last().AddPeriod(RollType.F, cal, new Frequency("5b"));
            var fxFwd       = aModel.FundingModel.GetFxAverage(fixingDates, usd, xaf);
            var assetFwd    = curve.GetAveragePriceForDates(fixingDates);
            var fairStrike  = fxFwd * assetFwd;

            var asianSwap = AssetProductFactory.CreateMonthlyAsianSwap(periodCode, fairStrike, "Coconuts", cal, cal, new Frequency("5b"), xaf, TradeDirection.Long, new Frequency("0b"), 1000, DateGenerationType.BusinessDays);

            asianSwap.TradeId = "aLovelyBunch";
            foreach (var sw in asianSwap.Swaplets)
            {
                sw.DiscountCurve    = "XAF.CURVE";
                sw.FxConversionType = FxConversionType.AverageThenConvert;
            }
            var pv = asianSwap.PV(aModel, false);

            Assert.Equal(0, pv, 8);

            var portfolio = new Portfolio()
            {
                Instruments = new List <IInstrument> {
                    asianSwap
                }
            };
            var pfPvCube = portfolio.PV(aModel);
            var pfPv     = (double)pfPvCube.GetAllRows().First().Value;

            Assert.Equal(0.0, pfPv, 8);

            var deltaCube = portfolio.AssetDelta(aModel);
            var dAgg      = deltaCube.Pivot("TradeId", AggregationAction.Sum);
            var delta     = (double)dAgg.GetAllRows().First().Value;
            var t0Spot    = aModel.FundingModel.GetFxRate(startDate, usd, xaf);
            var df        = xafCurve.GetDf(startDate, settleDate);

            Assert.Equal(995.361065482776, delta, 7);

            var fxDeltaCube = portfolio.FxDelta(aModel, usd, TestProviderHelper.CurrencyProvider);
            var dfxAgg      = fxDeltaCube.Pivot("TradeId", AggregationAction.Sum);
            var fxDelta     = (double)dfxAgg.GetAllRows().First().Value;

            Assert.Equal(-1000 * df * fxFwd * 100 / (t0Spot / fxSpot) / usdCurve.GetDf(startDate, fxPair.SpotDate(startDate)), fxDelta, 4);
        }
Ejemplo n.º 2
0
        public void FxDeltaOnUSDTrade()
        {
            ParallelUtils.Instance.MultiThreaded = false;

            var startDate = new DateTime(2018, 07, 28);
            var cal       = TestProviderHelper.CalendarProvider.Collection["LON"];
            var zar       = TestProviderHelper.CurrencyProvider["ZAR"];
            var usd       = TestProviderHelper.CurrencyProvider["USD"];

            var curvePillars     = new[] { "1W", "1M", "3M", "6M", "1Y" };
            var curvePillarDates = curvePillars.Select(l => startDate.AddPeriod(RollType.F, cal, new Frequency(l))).ToArray();
            var curvePoints      = new[] { 100.0, 100, 100, 100, 100 };
            var curve            = new PriceCurve(startDate, curvePillarDates, curvePoints, PriceCurveType.LME, TestProviderHelper.CurrencyProvider, curvePillars)
            {
                Currency       = usd,
                CollateralSpec = "CURVE",
                Name           = "Coconuts"
            };

            var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
            var fxSpot   = 15;
            var rates    = new Dictionary <Currency, double> {
                { zar, fxSpot }
            };
            var discoMap = new Dictionary <Currency, string> {
                { zar, "ZAR.CURVE" }, { usd, "USD.CURVE" }
            };
            var fxPair = new FxPair()
            {
                Domestic           = usd,
                Foreign            = zar,
                SettlementCalendar = cal,
                SpotLag            = new Frequency("0b")
            };

            fxMatrix.Init(usd, startDate, rates, new List <FxPair> {
                fxPair
            }, discoMap);

            var irPillars = new[] { startDate, startDate.AddYears(10) };
            var zarRates  = new[] { 0.0, 0.0 };
            var usdRates  = new[] { 0.0, 0.0 };
            var zarCurve  = new IrCurve(irPillars, zarRates, startDate, "ZAR.CURVE", Interpolator1DType.Linear, zar, "CURVE");
            var usdCurve  = new IrCurve(irPillars, usdRates, startDate, "USD.CURVE", Interpolator1DType.Linear, usd, "CURVE");

            var fModel = new FundingModel(startDate, new[] { zarCurve, usdCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);

            fModel.SetupFx(fxMatrix);

            var aModel = new AssetFxModel(startDate, fModel);

            aModel.AddPriceCurve("Coconuts", curve);

            var periodCode = "SEP-18";

            var(Start, End) = periodCode.ParsePeriod();
            var fixingDates = Start.BusinessDaysInPeriod(End, cal).ToArray();
            var settleDate  = fixingDates.Last().AddPeriod(RollType.F, cal, new Frequency("5b"));
            var fxFwd       = aModel.FundingModel.GetFxAverage(fixingDates, usd, zar);
            var assetFwd    = curve.GetAveragePriceForDates(fixingDates);
            var fairStrike  = assetFwd;
            var strike      = fairStrike - 10;
            var nominal     = 1000;

            var asianSwap = AssetProductFactory.CreateMonthlyAsianSwap(periodCode, strike, "Coconuts", cal, cal, new Frequency("5b"), usd, TradeDirection.Long, new Frequency("0b"), nominal, DateGenerationType.BusinessDays);

            asianSwap.TradeId = "aLovelyBunch";
            foreach (var sw in asianSwap.Swaplets)
            {
                sw.DiscountCurve    = "USD.CURVE";
                sw.FxConversionType = FxConversionType.None;
            }
            var pv         = asianSwap.PV(aModel, false);
            var expectedPV = (fairStrike - strike) * nominal;

            Assert.Equal(expectedPV, pv, 8);

            var portfolio = new Portfolio()
            {
                Instruments = new List <IInstrument> {
                    asianSwap
                }
            };
            var pfPvCube = portfolio.PV(aModel, usd);
            var pfPv     = (double)pfPvCube.GetAllRows().First().Value;

            Assert.Equal(expectedPV, pfPv, 8);

            //expected fx delta is just PV in USD
            var deltaCube = portfolio.FxDelta(aModel, zar, TestProviderHelper.CurrencyProvider);
            var dAgg      = deltaCube.Pivot("TradeId", AggregationAction.Sum);
            var delta     = (double)dAgg.GetAllRows().First().Value;

            Assert.Equal(expectedPV, delta, 4);
        }