Ejemplo n.º 1
0
        string IRate.AddMultiCurve(string idCode, double RefDate, object DfTenor, object DfRates, string DfType,
                                   object FwdTenor, object FwdRates, string FwdType, string FixingTenor, double FixingValue)
        {
            #region Market Rates for discounting
            RateSet dfMktRates = new RateSet(new Date(RefDate));

            double[]          dfRates    = (double[])DfRates;
            string[]          dfTenor    = (string[])DfTenor;
            int               MaxDfRates = dfTenor.Count();
            BuildingBlockType dfType     = (BuildingBlockType)Enum.Parse(typeof(BuildingBlockType), DfType);
            for (int i = 0; i < MaxDfRates; i++)
            {
                dfMktRates.Add(dfRates[i], dfTenor[i], dfType);
            }
            #endregion

            #region Market Rates for forwarding
            RateSet           fwdMktRates = new RateSet(new Date(RefDate));
            double[]          fwdRates    = (double[])FwdRates;
            string[]          fwdTenor    = (string[])FwdTenor;
            int               MaxFwdRates = fwdTenor.Count();
            BuildingBlockType fwdType     = (BuildingBlockType)Enum.Parse(typeof(BuildingBlockType), FwdType);
            fwdMktRates.Add(FixingValue, FixingTenor, BuildingBlockType.EURDEPO);
            for (int i = 0; i < MaxFwdRates; i++)
            {
                fwdMktRates.Add(fwdRates[i], fwdTenor[i], fwdType);
            }
            #endregion

            #region InizializeMyCurve
            SingleCurveBuilderStandard <OnDf, LinearInterpolator> DCurve     = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(dfMktRates, OneDimensionInterpolation.Linear);
            MultiCurveBuilder <SimpleCubicInterpolator>           MultiCurve = new MultiCurveBuilder <SimpleCubicInterpolator>(fwdMktRates, DCurve);

            #endregion

            #region UpDating Dictionary
            try
            {
                if (MCDictionary.ContainsKey(idCode) == true) // check if idCode is in dictionary
                {
                    MCDictionary[idCode] = MultiCurve;        // if true, updates it
                }
                else
                {
                    MCDictionary.Add(idCode, MultiCurve);      // if false, adds it
                }
                return("Loaded @ " + DateTime.Now.ToString()); // return time of last load
            }
            catch (Exception e)
            {
                return((string)e.ToString());
            }
            #endregion
        }
Ejemplo n.º 2
0
    // To clone rate
    public RateSet Clone()
    {
        RateSet RateC = new RateSet(this.refDate);
        int     i     = this.Count;

        for (int j = 0; j < i; j++)
        {
            RateC.Add(this.Item(j).V, this.Item(j).M.GetPeriodStringFormat(), this.Item(j).T);
        }
        return(RateC);
    }
    public static void MyDF(object rateSet)
    {
        object[] o = (object[])rateSet;

        RateSet rs        = (RateSet)o[0];
        RateSet myRateSet = new RateSet((Date)o[1]);

        foreach (RateSet r in rs)
        {
            myRateSet.Add(r.V, r.M.GetPeriodStringFormat(), r.T);
        }

        Date dfDate = new Date(2025, 8, 15);

        double fixing = (double)o[2];

        #region building curve

        SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(myRateSet, fixing);

        Console.WriteLine("Ref. {0:D}: DF: {1:F5}", myRateSet.refDate.DateValue, C.DF(dfDate));

        #endregion building curve
    }
Ejemplo n.º 4
0
        public RateSet GetRateSet()
        {
            // Reference date
            Date refDate = (new Date(DateTime.Now)).mod_foll();  // Date refDate = new Date(2012, 3, 5);

            #region Swap Market Data
            // RateSet EUR 6m swap
            RateSet rs = new RateSet(refDate);
            rs.Add(1.256e-2, "6m", BuildingBlockType.EURDEPO);
            rs.Add(1.076e-2, "1y", BuildingBlockType.EURSWAP6M);
            rs.Add(1.017e-2, "2y", BuildingBlockType.EURSWAP6M);
            rs.Add(1.11e-2, "3y", BuildingBlockType.EURSWAP6M);
            rs.Add(1.289e-2, "4y", BuildingBlockType.EURSWAP6M);
            rs.Add(1.489e-2, "5y", BuildingBlockType.EURSWAP6M);
            rs.Add(1.682e-2, "6y", BuildingBlockType.EURSWAP6M);
            rs.Add(1.853e-2, "7y", BuildingBlockType.EURSWAP6M);
            rs.Add(1.995e-2, "8y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.113e-2, "9y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.214e-2, "10y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.301e-2, "11y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.378e-2, "12y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.439e-2, "13y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.488e-2, "14y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.524e-2, "15y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.551e-2, "16y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.567e-2, "17y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.576e-2, "18y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.579e-2, "19y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.577e-2, "20y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.571e-2, "21y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.563e-2, "22y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.554e-2, "23y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.543e-2, "24y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.532e-2, "25y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.52e-2, "26y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.509e-2, "27y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.498e-2, "28y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.488e-2, "29y", BuildingBlockType.EURSWAP6M);
            rs.Add(2.479e-2, "30y", BuildingBlockType.EURSWAP6M);
            #endregion

            return(rs);
        }
    public static void UsingTPLinImplementation()
    {
        // ref date, you should use the one you need
        Date refDate = (new Date(DateTime.Now)).mod_foll();

        #region eonia market data
        // I populate markets rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        mktRates.Add(0.447e-2, "1w", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.583e-2, "2w", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.627e-2, "3w", BuildingBlockType.EONIASWAP);

        mktRates.Add(0.635e-2, "1m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.675e-2, "2m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.705e-2, "3m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.734e-2, "4m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.758e-2, "5m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.780e-2, "6m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.798e-2, "7m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.816e-2, "8m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.834e-2, "9m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.849e-2, "10m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.864e-2, "11m", BuildingBlockType.EONIASWAP);

        mktRates.Add(0.878e-2, "1Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.098e-2, "2Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.36e-2, "3Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.639e-2, "4Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.9e-2, "5Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.122e-2, "6Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.308e-2, "7Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.467e-2, "8Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.599e-2, "9Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.715e-2, "10Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.818e-2, "11Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.908e-2, "12Y", BuildingBlockType.EONIASWAP);
        // From here interpolation is need
        mktRates.Add(3.093e-2, "15Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.173e-2, "20Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.114e-2, "25Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.001e-2, "30Y", BuildingBlockType.EONIASWAP);
        #endregion

        #region Swap Market Data
        // RateSet EUR 6m swap
        RateSet rs = new RateSet(refDate);
        rs.Add(1.123e-2, "6m", BuildingBlockType.EURDEPO);
        rs.Add(1.42e-2, "1y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.635e-2, "2y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.872e-2, "3y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.131e-2, "4y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.372e-2, "5y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.574e-2, "6y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.743e-2, "7y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.886e-2, "8y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.004e-2, "9y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.107e-2, "10y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.198e-2, "11y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.278e-2, "12y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.344e-2, "13y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.398e-2, "14y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.438e-2, "15y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.467e-2, "16y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.484e-2, "17y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.494e-2, "18y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.495e-2, "19y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.491e-2, "20y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.483e-2, "21y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.471e-2, "22y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.455e-2, "23y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.436e-2, "24y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.415e-2, "25y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.391e-2, "26y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.366e-2, "27y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.340e-2, "28y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.314e-2, "29y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.29e-2, "30y", BuildingBlockType.EURSWAP6M);
        #endregion

        // initialise discount curve - it is the same for both forwarding curve
        SingleCurveBuilderStandard <OnDf, LinearInterpolator> DCurve = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);

        // initializing the stopwatch
        Stopwatch stopwatch = new Stopwatch();

        MultiCurveBuilder <SimpleCubicInterpolator> MC = new MultiCurveBuilder <SimpleCubicInterpolator>(rs, DCurve);

        Console.WriteLine("ProcessorCount: {0}", Environment.ProcessorCount); // number of processor
        #region MultiCurveBuilder sequential
        Console.WriteLine("Implementing shift sequential...");
        stopwatch.Start();
        IMultiRateCurve[] MCArrayFwdSeq = MC.ShiftedCurvesArrayFwdCurveSeq(0.01);
        IMultiRateCurve[] MCArrayDfSeq  = MC.ShiftedCurvesArrayDCurveSeq(0.01);
        stopwatch.Stop();
        Console.WriteLine("Done. Time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
        #endregion

        stopwatch.Reset(); // resetting the stopwatch

        #region MultiCurveBuilder2
        Console.WriteLine("Implementing shift parallel ...");
        stopwatch.Start();
        IMultiRateCurve[] MCArrayFwd = MC.ShiftedCurvesArrayFwdCurve(0.01);
        IMultiRateCurve[] MCArrayDf  = MC.ShiftedCurvesArrayDCurve(0.01);
        stopwatch.Stop();
        Console.WriteLine("Done. Time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
        #endregion
    }
Ejemplo n.º 6
0
    // More on sensitivities calc
    public static void MoreOnSensitivities()
    {
        #region Inputs
        // Start input
        Date refDate = new Date(2010, 10, 11);

        // I populate market rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        // Depos
        mktRates.Add(1.243e-2, "1m", BuildingBlockType.EURDEPO);
        mktRates.Add(1.435e-2, "3m", BuildingBlockType.EURDEPO);
        mktRates.Add(1.720e-2, "6m", BuildingBlockType.EURDEPO);
        // Swap Vs 6M
        mktRates.Add(1.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
        #endregion end Inputs

        #region building curve
        List <ISingleRateCurve> Curves = new List <ISingleRateCurve>();

        // initialised each class and add to list. You can add more curves

        // Setup (a) in Table 15.3
        SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> c2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear); Curves.Add(c2);

        // Setup (b) in Table 15.3
        SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> c1 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates); Curves.Add(c1);

        string swapTenor = "11y"; // you can change it
        #endregion end building curve

        #region myFunction
        Func <SwapStyle, IRateCurve, double> NPV = (BB, c) =>
        {
            #region FixLeg
            // fixed leg data
            double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1

            // dfs array of fixed lag
            Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)

            // # of fixed cash flows
            int n_fix = dfDates.Length;

            double NPV_fix = 0.0;
            // calculate df
            for (int i = 0; i < n_fix; i++)
            {
                NPV_fix += c.Df(dfDates[i]) * yfFixLeg[i] * BB.rateValue;  // df*yf
            }
            // NPV_fix *= BB.rateValue;
            #endregion

            #region FloatLeg
            // fixed leg data
            double[] yfFloatLeg = BB.scheduleLeg2.GetYFVect(BB.swapLeg2.DayCount); // float is leg 2

            // dfs array of fixed lag
            Date[] dfDatesFloat = BB.scheduleLeg2.payDates; // serial date of float lag (each dates we should find df)

            Date[] toDateFloat = BB.scheduleLeg2.toDates;

            // # of fixed cash flows
            int n_float = dfDatesFloat.Length;

            double[] fwd = new double[n_float];

            fwd[0] = ((1 / c.Df(toDateFloat[0])) - 1) / refDate.YF(toDateFloat[0], Dc._Act_360);;
            for (int i = 1; i < n_float; i++)
            {
                double yf     = toDateFloat[i - 1].YF(toDateFloat[i], Dc._Act_360);
                double df_ini = c.Df(toDateFloat[i - 1]);
                double df_end = c.Df(toDateFloat[i]);
                fwd[i] = ((df_ini / df_end) - 1) / yf;
            }

            double NPV_float = 0.0;
            // calculate df
            for (int i = 0; i < n_float; i++)
            {
                NPV_float += c.Df(dfDatesFloat[i]) * yfFloatLeg[i] * fwd[i];  // df*yf
            }

            #endregion
            return(NPV_fix - NPV_float);
        };
        #endregion

        #region Print results
        foreach (ISingleRateCurve C in Curves)
        {
            double swapRate = C.SwapFwd(refDate, swapTenor);

            IRateCurve[] cs = C.ShiftedCurveArray(0.0001); IRateCurve csp = C.ParallelShift(0.0001);

            // initialise some variable used in sensitivities
            double sens   = 0.0;
            double runSum = 0.0;

            // standard
            Console.WriteLine(C.ToString());
            SwapStyle y      = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
            double    iniMTM = NPV(y, C) * 100000000;
            Console.WriteLine("{0} swap ATM fwd: {1:f5}", swapTenor, swapRate);
            Console.WriteLine("Starting P&L {0:f}", iniMTM);
            int nOfRate = mktRates.Count;
            for (int i = 0; i < nOfRate; i++)
            {
                sens = NPV(y, cs[i]) * 100000000 - iniMTM;
                Console.WriteLine("{0} BPV: {1:f}", mktRates.Item(i).M.GetPeriodStringFormat(), sens);
                runSum += sens;
            }
            Console.WriteLine("Total: {0:f}", runSum);
            Console.WriteLine("Parallel Total: {0:f}", NPV(y, csp) * 100000000 - iniMTM);

            Console.WriteLine("Press a key to continue"); Console.ReadLine();
        }
        #endregion
    }
Ejemplo n.º 7
0
    // Calculate sensitivities
    public static void Sensitivities()
    {
        #region Inputs
        // Start input
        Date refDate = new Date(2019, 2, 25);

        // I populate market rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        // Depos
        mktRates.Add(1.243e-2, "1m", BuildingBlockType.EURDEPO);
        mktRates.Add(1.435e-2, "3m", BuildingBlockType.EURDEPO);
        mktRates.Add(1.720e-2, "6m", BuildingBlockType.EURDEPO);
        // Swap Vs 6M
        mktRates.Add(1.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.787e-2, "25Y", BuildingBlockType.EURSWAP6M);

        // I shift 1bp up 10y swap input rate
        int     IndexShifted = 12;
        RateSet mktRates2    = mktRates.ShiftedRateSet(IndexShifted, 0.0001);

        // print out first and second market input rates
        for (int i = 0; i < mktRates.Count; i++)
        {
            Console.WriteLine("First: {0} {1}  Second: {2} {3}", mktRates.Item(i).M.GetPeriodStringFormat(), mktRates.Item(i).V, mktRates2.Item(i).M.GetPeriodStringFormat(), mktRates2.Item(i).V);
        }
        #endregion end Inputs

        #region building curve

        // First curve: using markets rates
        SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> c1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
        // Second curve: like c1 but 10Y input rate is shifted
        SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> c2 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates2);
        string swapTenor = "10y"; // you can change it
        #endregion end building curve

        #region myFunction
        Func <SwapStyle, IRateCurve, double> NPV = (BB, c) =>
        {
            #region FixLeg
            // fixed leg data
            double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1

            // dfs array of fixed lag
            Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)

            // # of fixed cash flows
            int n_fix = dfDates.Length;

            double NPV_fix = 0.0;
            // calculate df
            for (int i = 0; i < n_fix; i++)
            {
                NPV_fix += c.Df(dfDates[i]) * yfFixLeg[i] * BB.rateValue;  // df*yf
            }
            // NPV_fix *= BB.rateValue;
            #endregion

            #region FloatLeg
            // fixed leg data
            double[] yfFloatLeg = BB.scheduleLeg2.GetYFVect(BB.swapLeg2.DayCount); // float is leg 2

            // dfs array of fixed lag
            Date[] dfDatesFloat = BB.scheduleLeg2.payDates; // serial date of float lag (each dates we should find df)

            Date[] toDateFloat = BB.scheduleLeg2.toDates;

            // # of fixed cash flows
            int n_float = dfDatesFloat.Length;

            double[] fwd = new double[n_float];

            fwd[0] = ((1 / c.Df(toDateFloat[0])) - 1) / refDate.YF(toDateFloat[0], Dc._Act_360);;
            for (int i = 1; i < n_float; i++)
            {
                double yf     = toDateFloat[i - 1].YF(toDateFloat[i], Dc._Act_360);
                double df_ini = c.Df(toDateFloat[i - 1]);
                double df_end = c.Df(toDateFloat[i]);
                fwd[i] = ((df_ini / df_end) - 1) / yf;
            }

            double NPV_float = 0.0;
            // calculate df
            for (int i = 0; i < n_float; i++)
            {
                NPV_float += c.Df(dfDatesFloat[i]) * yfFloatLeg[i] * fwd[i];  // df*yf
            }

            #endregion
            return(NPV_fix - NPV_float);
        };
        #endregion

        #region Print results

        // test forward swap starting in ref date (it should be like simple spot swap)
        double swapRate = c1.SwapFwd(refDate, swapTenor);

        // I create the swap according to standard convention
        SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);

        // initial NPV
        double iniMTM = NPV(y, c1) * 100000000;

        // print out
        Console.WriteLine("IRS to be priced tenor: {0}. IRS to be priced rate: {1:f5}", swapTenor, swapRate);
        Console.WriteLine("{0} swap ATM fwd according the starting curve: {1:f5}. Starting P&L {2:f}", swapTenor, swapRate, iniMTM);
        Console.WriteLine("Let's shift {0} rate from {1:f5} to {2:f5}", mktRates.Item(IndexShifted).M.GetPeriodStringFormat(), mktRates.Item(IndexShifted).V, mktRates2.Item(IndexShifted).V);

        // NPV after shift
        double endMTM = NPV(y, c2) * 100000000;
        Console.WriteLine("{0} swap ATM fwd after shifting: {1:f5}. P&L after shifting {2:f}", swapTenor, c2.SwapFwd(refDate, swapTenor), endMTM);
        Console.WriteLine("Press a key to continue"); Console.ReadLine();
        #endregion
    }
Ejemplo n.º 8
0
    // Check if the process will match the starting inputs
    public static void FwdStartSwap()
    {
        #region Inputs
        // Start input
        Date refDate = new Date(2021, 10, 11);  // ref date, this is only an example

        // I populate market rates set: from file, from real time, ... here not real data
        RateSet mktRates = new RateSet(refDate);

        // Depos
        mktRates.Add(1.243e-2, "1m", BuildingBlockType.EURDEPO);
        mktRates.Add(1.435e-2, "3m", BuildingBlockType.EURDEPO);
        mktRates.Add(1.720e-2, "6m", BuildingBlockType.EURDEPO);
        // Swap Vs 6M
        mktRates.Add(1.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
        #endregion end Inputs

        // my curve
        IRateCurve Curve1 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);

        #region print output
        Console.WriteLine("Input Rate (1Y): {0},   ReCalc Rate (1Y): {1} \n\n", 1.869e-2, Curve1.SwapFwd(refDate, "1Y"));

        // Start and Tenor of each point in my fwd matrix (2Y15Y is a 15Y swap starting in 2Y)
        string[] Start = new string[] { "1Y", "2Y", "3Y", "5Y", "7Y", "10Y" };
        string[] Tenor = new string[] { "1Y", "2Y", "5Y", "7Y", "10Y" };

        // print fwd swap matrix using multi curve
        Console.WriteLine("Matrix using {0}\n", Curve1.ToString());
        for (int i = 0; i < Start.Length; i++)
        {
            for (int t = 0; t < Tenor.Length; t++)
            {
                Console.Write("{0}{1}:{2:P3}  ", Start[i], Tenor[t], Curve1.SwapFwd(refDate.add_period(Start[i]), Tenor[t]));
            }
            Console.Write("\n\n");
        }
        #endregion end print output
    }
Ejemplo n.º 9
0
    // Print on excel forward rate using different curve builder for 3m
    public static void CheckFwdRatesVs3m()
    {
        #region Inputs
        // Start input
        Date refDate = (new Date(DateTime.Now)).mod_foll();

        // I populate market rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        // Depos
        mktRates.Add(0.434e-2, "3m", BuildingBlockType.EURDEPO);

        // Swap Vs 3M
        mktRates.Add(0.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(1.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(1.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(1.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(1.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(1.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(1.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
        #endregion end Inputs

        #region building curve

        SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
        double firstFixing = 0.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
        SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C3 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
        #endregion end building curve

        List <IRateCurve> CurveList   = new List <IRateCurve>(); // list containing curve
        List <string>     CurveString = new List <string>();     // list containing labels

        // populate lists
        CurveList.Add(C1); CurveString.Add(C1.ToString());
        CurveList.Add(C2); CurveString.Add(C2.ToString());
        CurveList.Add(C3); CurveString.Add(C3.ToString());

        #region printing output
        // I get the longer swap
        SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();

        Dc     dc       = Dc._Act_360;
        Date[] FromDate = LS.scheduleLeg2.fromDates;
        Date[] ToDate   = LS.scheduleLeg2.toDates;
        int    N        = FromDate.Length;
        List <Vector <double> > Fwds = new List <Vector <double> >();
        double[] dt = new double[N];
        for (int i = 0; i < N; i++)
        {
            dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
        }

        foreach (IRateCurve myC in CurveList)
        {
            double[] fwd = new double[N];
            for (int i = 0; i < N; i++)
            {
                double yf     = FromDate[i].YF(ToDate[i], dc);
                double df_ini = myC.Df(FromDate[i]);
                double df_end = myC.Df(ToDate[i]);
                fwd[i] = ((df_ini / df_end) - 1) / yf;
            }
            Fwds.Add(new Vector <double>(fwd));
        }

        ExcelMechanisms exl = new ExcelMechanisms();

        exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd vs 3M", "time", "rate"); // .printInExcel<T>
        #endregion end printing output
    }
Ejemplo n.º 10
0
    // Calculating net present value of the floating leg of a swap
    public static void TestVanillaSwapFloatingLegNPV()
    {
        // In Single Curve World
        // NPV of floating leg of a swap con be calculated
        // as 1-DF(T) or
        // as sum of present value of each expected cash flows
        // for details see Paul Wilmott introduces Quantitative Finance par 15.5 or
        // "Swap and other Derivatives" R.Flavell page 57 (sum Fwd(i)*Yf(i)*DF(i) = 1-DF(T))
        // We calculate the NPV of float leg  using both method ands we check that they are the same
        #region Inputs - not real data
        // Start input
        Date refDate = (new Date(DateTime.Now)).mod_foll();  // Random date

        // Populate markets rates set: from file, from real time, ... here made up numbers
        RateSet mktRates = new RateSet(refDate);

        // Deposits
        mktRates.Add(0.742e-2, "1m", BuildingBlockType.EURDEPO);
        mktRates.Add(0.952e-2, "3m", BuildingBlockType.EURDEPO);
        mktRates.Add(1.201e-2, "6m", BuildingBlockType.EURDEPO);
        // Swap Vs 6M
        mktRates.Add(1.287e-2, "1Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(1.465e-2, "2Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(1.652e-2, "3Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(1.819e-2, "4Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(1.922e-2, "5Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.102e-2, "6Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.425e-2, "7Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.225e-2, "8Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.556e-2, "9Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.794e-2, "10Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.968e-2, "15Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.9895e-2, "20Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(2.879e-2, "25Y", BuildingBlockType.EURSWAP6M);

        #endregion end Inputs

        #region start SingleCurve building

        SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
        // SingleCurveBuilderSmoothingFwd<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderSmoothingFwd<OnLogDf, LinearInterpolator>(mktRates, firstFixing);double firstFixing = 1.201e-2;
        // SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator>(mktRates);
        #endregion end SingleCurve building

        // Create a schedule of a swap floating leg
        Schedule s = new Schedule(refDate, refDate.add_period("12Y", false), "6m", Rule.Backward, BusinessDayAdjustment.ModifiedFollowing,
                                  "0d", BusinessDayAdjustment.ModifiedFollowing);
        s.PrintSchedule();  // print it

        // NPV of floating leg as 1-DF(T)
        double FloatingLagPV = 1.0 - C.DF(s.payDates.Last());
        Console.WriteLine("1-DF(T): {0}", FloatingLagPV);

        // NPV of floating as sum of PV of each cash flow
        double   CalcFloatingLagPV = 0.00;
        double[] YearFraction      = s.GetYFVect(Dc._Act_360);

        for (int j = 0; j < YearFraction.GetLength(0); j++)
        {
            // formula 11.1.1 Option Pricing Formulas Espen Haug second edition
            // "Swap and Other Derivatives" R.Flavell page 53
            double df_ini = C.DF(s.fromDates[j]);
            double df_end = C.DF(s.toDates[j]);
            double fwd    = (df_ini / df_end - 1) / YearFraction[j];

            CalcFloatingLagPV += fwd * YearFraction[j] * C.DF(s.payDates[j]);
        }
        Console.WriteLine("CalcFloatingLagPV: {0}", CalcFloatingLagPV);
    }
Ejemplo n.º 11
0
    // Calculate the time for initialise a SingleCurveBuilderInterpBestFit
    public static void TimeForBestFitVs3m()
    {
        #region Inputs
        // Start input
        Date refDate = (new Date(DateTime.Now)).mod_foll();

        // I populate market rates set: from file, from real time, ... here not real data
        RateSet mktRates = new RateSet(refDate);

        // Depos
        mktRates.Add(1.434e-2, "3m", BuildingBlockType.EURDEPO);

        // Swap Vs 3M
        mktRates.Add(2.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
        #endregion end Inputs

        #region building curve

        DateTime timer; // initialise the timer

        timer = DateTime.Now;
        double firstFixing = 1.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
        Console.WriteLine("\n{0} \nFitted in {1}", C.ToString(), DateTime.Now - timer);

        timer = DateTime.Now;
        SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
        Console.WriteLine("\n{0} \nFitted in {1}", C1.ToString(), DateTime.Now - timer);

        timer = DateTime.Now;
        SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
        Console.WriteLine("\n{0} \nFitted in {1}", C2.ToString(), DateTime.Now - timer);

        #endregion building curve
    }
Ejemplo n.º 12
0
    // Calculate the time for initialise a SingleCurveBuilderInterpBestFit
    public static void TimeForBestFitVs6m()
    {
        #region Inputs
        // Start input
        Date refDate = (new Date(DateTime.Now)).mod_foll();

        // I populate markets rates set: from file, from real time, ... here not real data
        RateSet mktRates = new RateSet(refDate);

        // Depos
        mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
        mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);
        mktRates.Add(2.620e-2, "6m", BuildingBlockType.EURDEPO);
        // Swap Vs 6M
        mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
        mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
        #endregion end Inputs

        #region building curve
        DateTime timer;

        timer = DateTime.Now;
        double firstFixing = 1.62e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
        Console.WriteLine("\n{0} \nFitted in {1}", C.ToString(), DateTime.Now - timer);

        timer = DateTime.Now;
        SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
        Console.WriteLine("\n{0} \nFitted in {1}", C1.ToString(), DateTime.Now - timer);

        timer = DateTime.Now;
        SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
        Console.WriteLine("\n{0} \nFitted in {1}", C2.ToString(), DateTime.Now - timer);
        #endregion building curve
    }
Ejemplo n.º 13
0
    // Check if the process will match the starting inputs
    public static void CheckInputsVs3m()
    {
        #region Inputs
        // Start input
        Date refDate = (new Date(DateTime.Now)).mod_foll();

        // I populate markets rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        // Depos
        mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
        mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);

        // Swap Vs 3M
        mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP3M);

        #endregion end Inputs

        // Uncomment to chose the curve
        // SingleCurveBuilderStandard<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderStandard<OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
        double firstFixing = 1.435e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator>(mktRates, firstFixing);
        // SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator>(mktRates);

        #region print output
        IEnumerable <BuildingBlock> BBArray = mktRates.GetArrayOfBB();

        // Only Given Swap from BBArray
        IEnumerable <BuildingBlock> OnlyGivenDepo = from c in BBArray
                                                    where c.GetType().BaseType == typeof(OnePaymentStyle)
                                                    select c;

        Console.WriteLine(C.ToString());

        Console.WriteLine("Recalc Df at Ref Date: {0}", C.DF(refDate));

        foreach (OnePaymentStyle BB in OnlyGivenDepo)
        {
            double yf       = refDate.YF(BB.endDate, BB.dayCount);
            double df       = C.DF(BB.endDate);
            double CalcRate = ((1 / df) - 1) / yf;
            Console.WriteLine("{0}  Input Rate: {1}  Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
        }

        // Only Given Swap from BBArray
        IEnumerable <BuildingBlock> OnlyGivenSwap = from c in BBArray
                                                    where c.GetType().BaseType == typeof(SwapStyle)
                                                    select c;

        foreach (SwapStyle BB in OnlyGivenSwap)
        {
            // fixed leg data
            double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1

            // dfs array of fixed lag
            Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)

            // initialise array for df
            double[] dfFixLeg = new double[dfDates.Length];

            // calculate df
            for (int i = 0; i < dfDates.Length; i++)
            {
                dfFixLeg[i] = C.DF(dfDates[i]);
            }

            // Interpolation Methods for Curve Construction PATRICK S. HAGAN & GRAEME WEST Applied Mathematical Finance,Vol. 13, No. 2, 89–129, June 2006
            // Formula 2) page 4
            double CalcRate = Formula.ParRate(yfFixLeg, dfFixLeg); // Calculate par rate

            Console.WriteLine("{0}  Input Rate: {1}  Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
        }
        #endregion end print output
    }
Ejemplo n.º 14
0
    public static void MultiThreadOnDf()
    {
        Console.WriteLine("ProcessorCount: {0}", Environment.ProcessorCount); // number of processor
        DateTime timer;                                                       // setting up timer

        timer = DateTime.Now;

        #region Inputs
        // Start input, reference date.
        Date refDate = (new Date(DateTime.Now));

        // I populate market rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        // Depos
        mktRates.Add(1.123e-2, "3m", BuildingBlockType.EURDEPO);

        // Swap Vs 3M
        mktRates.Add(1.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(2.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
        mktRates.Add(3.589e-2, "30Y", BuildingBlockType.EURSWAP3M);

        double firstFixing = 1.123e-2;
        #endregion end Inputs

        List <object[]> parm = new List <object[]>();
        parm.Add(new object[] { mktRates, new Date(2015, 8, 15), firstFixing });
        parm.Add(new object[] { mktRates, new Date(2017, 8, 15), firstFixing });
        parm.Add(new object[] { mktRates, new Date(2020, 8, 15), firstFixing });

        Console.WriteLine("Press: 1 for Sequential, 2 for MultiThread");
        string line = Console.ReadLine();

        if (line == "1")
        {
            Console.WriteLine("Sequential:");
            #region Sequential
            foreach (object[] parmSet in parm)
            {
                MyDF(parmSet);
            }
            #endregion
        }
        else if (line == "2")
        {
            Console.WriteLine("MultiThread:");
            #region Solution 1
            List <Thread> TL = new List <Thread>();

            Thread T1 = new Thread(new ParameterizedThreadStart(MyDF));
            Thread T2 = new Thread(new ParameterizedThreadStart(MyDF));
            Thread T3 = new Thread(new ParameterizedThreadStart(MyDF));

            T1.Start(parm[0]);
            T2.Start(parm[1]);
            T3.Start(parm[2]);
            T1.Join(); T2.Join(); T3.Join();
            #endregion
        }
        else
        {
            Console.WriteLine("Unknown selection");
        }

        // time for the full process
        Console.WriteLine("All Done in in {0}", DateTime.Now - timer);
    }
Ejemplo n.º 15
0
    public static void SwaptionSimple()
    {
        // Start input
        // ref date
        Date refDate = new Date(2012, 3, 16);

        #region Swap Market Data
        // RateSet EUR 6m swap
        RateSet rs = new RateSet(refDate);
        rs.Add(1.256e-2, "6m", BuildingBlockType.EURDEPO);
        rs.Add(1.076e-2, "1y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.017e-2, "2y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.11e-2, "3y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.289e-2, "4y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.489e-2, "5y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.682e-2, "6y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.853e-2, "7y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.995e-2, "8y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.113e-2, "9y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.214e-2, "10y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.301e-2, "11y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.378e-2, "12y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.439e-2, "13y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.488e-2, "14y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.524e-2, "15y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.551e-2, "16y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.567e-2, "17y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.576e-2, "18y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.579e-2, "19y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.577e-2, "20y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.571e-2, "21y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.563e-2, "22y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.554e-2, "23y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.543e-2, "24y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.532e-2, "25y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.52e-2, "26y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.509e-2, "27y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.498e-2, "28y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.488e-2, "29y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.479e-2, "30y", BuildingBlockType.EURSWAP6M);
        #endregion

        // I build curve,
        SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> Curve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(rs, OneDimensionInterpolation.LogLinear); // discount curve

        double p = Formula.Swaption(1, 0.01, "1y", "3y", true, 0.50, Curve);
        Console.WriteLine(p);
        #region Hull example
        double[] yf = new double[] { 0.5, 0.5, 0.5, 0.5, 0.5, 0.5 };
        double[] df = new double[] { Math.Exp(-0.06 * 5.5), Math.Exp(-0.06 * 6), Math.Exp(-0.06 * 6.5),
                                     Math.Exp(-0.06 * 7), Math.Exp(-0.06 * 7.5), Math.Exp(-0.06 * 8) };
        double pp = Formula.Swaption(100, 0.0609, 0.062, 0.2, 5, true, yf, df);
        #endregion
        Console.WriteLine(pp);
    }
Ejemplo n.º 16
0
    // sensitivities/DVO1. ATM swap has no sensitivities with respect to the discount curve
    public static void SensitivitiesParallel()
    {
        #region Inputs
        // Start input
        // Start input, reference date.
        Date refDate = (new Date(DateTime.Now)).mod_foll();
        #region Eonia market data
        // I populate market rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        mktRates.Add(0.447e-2, "1w", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.583e-2, "2w", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.627e-2, "3w", BuildingBlockType.EONIASWAP);

        mktRates.Add(0.635e-2, "1m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.675e-2, "2m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.705e-2, "3m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.734e-2, "4m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.758e-2, "5m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.780e-2, "6m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.798e-2, "7m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.816e-2, "8m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.834e-2, "9m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.849e-2, "10m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.864e-2, "11m", BuildingBlockType.EONIASWAP);

        mktRates.Add(0.878e-2, "1Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.098e-2, "2Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.36e-2, "3Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.639e-2, "4Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.9e-2, "5Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.122e-2, "6Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.308e-2, "7Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.467e-2, "8Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.599e-2, "9Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.715e-2, "10Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.818e-2, "11Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.908e-2, "12Y", BuildingBlockType.EONIASWAP);
        // From here interpolation is need
        mktRates.Add(3.093e-2, "15Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.173e-2, "20Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.114e-2, "25Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.001e-2, "30Y", BuildingBlockType.EONIASWAP);
        #endregion

        #region Swap Market Data
        // RateSet EUR 6m swap
        RateSet rs = new RateSet(refDate);
        rs.Add(1.16e-2, "6m", BuildingBlockType.EURDEPO);
        rs.Add(1.42e-2, "1y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.635e-2, "2y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.872e-2, "3y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.131e-2, "4y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.372e-2, "5y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.574e-2, "6y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.743e-2, "7y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.886e-2, "8y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.004e-2, "9y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.107e-2, "10y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.198e-2, "11y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.278e-2, "12y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.344e-2, "13y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.398e-2, "14y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.438e-2, "15y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.467e-2, "16y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.484e-2, "17y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.494e-2, "18y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.495e-2, "19y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.491e-2, "20y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.483e-2, "21y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.471e-2, "22y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.455e-2, "23y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.436e-2, "24y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.415e-2, "25y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.391e-2, "26y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.366e-2, "27y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.340e-2, "28y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.314e-2, "29y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.29e-2, "30y", BuildingBlockType.EURSWAP6M);
        #endregion

        #endregion end Inputs

        #region building curve

        string swapTenor = "11y"; // you can change it

        // I build my multi curve,
        SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> DCurve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(mktRates, OneDimensionInterpolation.LogLinear); // discount curve
        MultiCurveBuilder <SimpleCubicInterpolator> C = new MultiCurveBuilder <SimpleCubicInterpolator>(rs, DCurve);                                                                             // multi curve
        #endregion end building curve

        #region myFunction
        // my function to calculate Net Present Value of a Vanilla Swap (receiver swap)
        Func <SwapStyle, IRateCurve, double> NPV = (BB, c) =>
        {
            #region FixLeg
            // fixed leg data
            double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1

            // dfs array of fixed lag
            Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)

            // # of fixed cash flows
            int n_fix = dfDates.Length;

            double NPV_fix = 0.0;
            // calculate df
            for (int i = 0; i < n_fix; i++)
            {
                NPV_fix += c.Df(dfDates[i]) * yfFixLeg[i] * BB.rateValue;  // df*yf
            }
            // NPV_fix *= BB.rateValue;
            #endregion

            #region FloatLeg
            // fixed leg data
            double[] yfFloatLeg = BB.scheduleLeg2.GetYFVect(BB.swapLeg2.DayCount); // float is leg 2

            // dfs array of fixed lag
            Date[] dfDatesFloat = BB.scheduleLeg2.payDates; // serial date of float lag (each dates we should find df)

            Date[] FromDateFloat = BB.scheduleLeg2.fromDates;

            // # of fixed cash flows
            int n_float = dfDatesFloat.Length;

            double[] fwd = new double[n_float]; // fwd rate container

            // getting fwd rates
            for (int i = 0; i < n_float; i++)
            {
                fwd[i] = c.Fwd(FromDateFloat[i]);
            }

            double NPV_float = 0.0;
            // calculate df
            for (int i = 0; i < n_float; i++)
            {
                NPV_float += c.Df(dfDatesFloat[i]) * yfFloatLeg[i] * fwd[i];  // df*yf
            }

            #endregion
            return(NPV_fix - NPV_float);  // NPV
        };
        #endregion

        #region Print results

        double atmSwap = C.SwapFwd(refDate, swapTenor);   // At The Money swap (i.e. par rate)

        List <double> swapRateList = new List <double>(); // lists of  swap to analyze
        swapRateList.Add(atmSwap);                        // it is ATM
        swapRateList.Add(atmSwap + 0.01);                 // it has positive mark to market (MtM). It is a receiver swap with a contract rate > than Atm)
        swapRateList.Add(atmSwap - 0.01);                 // it has negative MtM

        // iterate for each swap:
        // see how change the sign of sensitivities for discount curve and for forwarding curve changing contract rates
        Console.WriteLine("Executing parallel loop...");
        Stopwatch stopwatch = new Stopwatch();
        stopwatch.Start();

        Parallel.ForEach(swapRateList, swapRate =>
        {
            Console.WriteLine("Pricing Receiver Swap {0}, Atm Rate: {1:f6}, Contract Rate: {2:f6}", swapTenor, atmSwap, swapRate);
            IRateCurve[] cs = C.ShiftedCurvesArrayFwdCurve(0.0001);
            IRateCurve csp  = C.ParallelShiftFwdCurve(0.0001);

            // initialise some variable used in sensitivities
            double sens   = 0.0;
            double runSum = 0.0;

            // Standard swap
            SwapStyle y   = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
            double iniMTM = NPV(y, C) * 100000000;  // initial mark to market for 100ml receiver contract

            Console.WriteLine("Starting Mark To Market {0:f}", iniMTM);
            Console.WriteLine("Sensitivities to Curve used for forward rate: ");
            int nOfRate = rs.Count;  // iterate for market input for forwarding curve
            for (int i = 0; i < nOfRate; i++)
            {
                sens = NPV(y, cs[i]) * 100000000 - iniMTM;
                Console.WriteLine("{0} BPV: {1:f}", rs.Item(i).M.GetPeriodStringFormat(), sens);
                runSum += sens;
            }
            Console.WriteLine("Total: {0:f}", runSum);
            Console.WriteLine("\nParallel Shift Total: {0:f}", NPV(y, csp) * 100000000 - iniMTM); // parallel shift

            // reset some variable used in sensitivities
            sens   = 0.0;
            runSum = 0.0;

            Console.WriteLine("Sensitivities to Discount Curve:");
            // let's consider discounting curve
            IRateCurve[] DCrvs    = C.ShiftedCurvesArrayDCurve(0.0001); // shifting each bucket
            IMultiRateCurve DCrvp = C.ParallelShiftDCurve(0.0001);      // parallel shift
            nOfRate = mktRates.Count;                                   // iterate for market input for discounting curve
            for (int i = 0; i < nOfRate; i++)
            {
                sens = NPV(y, DCrvs[i]) * 100000000 - iniMTM;
                Console.WriteLine("{0} BPV: {1:f}", mktRates.Item(i).M.GetPeriodStringFormat(), sens);
                runSum += sens;
            }
            Console.WriteLine("Total: {0:f}", runSum);
            Console.WriteLine("\nParallel Shift Total: {0:f}", NPV(y, DCrvp) * 100000000 - iniMTM);
        });

        stopwatch.Stop();
        Console.WriteLine("Parallel loop time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
        #endregion
    }
Ejemplo n.º 17
0
    // Print on excel forward rate using different curve builder for OIS fwd 3m
    public static void CheckFwdRatesOIS3m()
    {
        #region Inputs
        // ref date
        Date refDate = (new Date(DateTime.Now)).mod_foll();

        // I populate market rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        mktRates.Add(2.338e-2, "1d", BuildingBlockType.EURDEPO);    //
        mktRates.Add(2.272e-2, "1w", BuildingBlockType.EONIASWAP);  //
        mktRates.Add(2.241e-2, "2w", BuildingBlockType.EONIASWAP);  //
        mktRates.Add(2.16e-2, "3w", BuildingBlockType.EONIASWAP);   //
        mktRates.Add(2.226e-2, "1m", BuildingBlockType.EONIASWAP);  //
        mktRates.Add(2.299e-2, "2m", BuildingBlockType.EONIASWAP);  //
        mktRates.Add(2.323e-2, "3m", BuildingBlockType.EONIASWAP);  //
        mktRates.Add(2.344e-2, "4m", BuildingBlockType.EONIASWAP);  //
        mktRates.Add(2.371e-2, "5m", BuildingBlockType.EONIASWAP);  //
        mktRates.Add(2.39e-2, "6m", BuildingBlockType.EONIASWAP);   //
        mktRates.Add(2.41e-2, "7m", BuildingBlockType.EONIASWAP);   //
        mktRates.Add(2.4316e-2, "8m", BuildingBlockType.EONIASWAP); //
        mktRates.Add(2.449e-2, "9m", BuildingBlockType.EONIASWAP);  //
        mktRates.Add(2.466e-2, "10m", BuildingBlockType.EONIASWAP); //
        mktRates.Add(2.48e-2, "11m", BuildingBlockType.EONIASWAP);  //

        mktRates.Add(2.529e-2, "15m", BuildingBlockType.EONIASWAP); //
        mktRates.Add(2.565e-2, "18m", BuildingBlockType.EONIASWAP); //
        mktRates.Add(2.603e-2, "21m", BuildingBlockType.EONIASWAP); //

        mktRates.Add(2.493e-2, "1Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.644e-2, "2Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.849e-2, "3Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.08e-2, "4Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.292e-2, "5Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.471e-2, "6Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.621e-2, "7Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.748e-2, "8Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.86e-2, "9Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.965e-2, "10Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(4.064e-2, "11Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(4.155e-2, "12Y", BuildingBlockType.EONIASWAP);
        // From here interpolation is need
        mktRates.Add(4.358e-2, "15Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(4.48e-2, "20Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(4.465e-2, "25Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(4.415e-2, "30Y", BuildingBlockType.EONIASWAP);

        List <IRateCurve> CurveList   = new List <IRateCurve>(); // list containing curve
        List <string>     CurveString = new List <string>();     // list containing labels

        #endregion end Inputs

        #region building curve
        SingleCurveBuilderStandard <OnDf, LinearInterpolator> C1 = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
        SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
        #endregion end building curve

        // populate lists
        CurveList.Add(C1); CurveString.Add(C1.ToString());
        CurveList.Add(C2); CurveString.Add(C2.ToString());

        #region printing output
        // I get the longer eonia swap available from the input data
        SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
        Schedule  s  = new Schedule(refDate, LS.endDate, "3m", Rule.Backward, LS.swapLeg1.SwapBusDayRollsAdj, "0d", LS.swapLeg1.SwapBusDayPayAdj);

        Dc     dc       = Dc._Act_360;
        Date[] FromDate = s.fromDates;
        Date[] ToDate   = s.toDates;
        int    N        = FromDate.Length;
        List <Vector <double> > Fwds = new List <Vector <double> >();
        double[] dt = new double[N];
        for (int i = 0; i < N; i++)
        {
            dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
        }

        foreach (IRateCurve myC in CurveList)
        {
            double[] fwd = new double[N];
            for (int i = 0; i < N; i++)
            {
                double yf     = FromDate[i].YF(ToDate[i], dc);
                double df_ini = myC.Df(FromDate[i]);
                double df_end = myC.Df(ToDate[i]);
                fwd[i] = ((df_ini / df_end) - 1) / yf;
            }
            Fwds.Add(new Vector <double>(fwd));
        }

        ExcelMechanisms exl = new ExcelMechanisms();

        exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd 3M", "time", "rate"); // .printInExcel<T>
        #endregion end printing output
    }