public void BasicRiskMatrixFacts()
{
var model = GenerateTestData();
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var ix = new FloatRateIndex
{
Currency = usd,
DayCountBasis = DayCountBasis.Act365F,
DayCountBasisFixed = DayCountBasis.Act365F,
FixingOffset = 0.Bd(),
ResetTenor = 3.Months(),
ResetTenorFixed = 3.Months(),
RollConvention = RollType.F
};
var f1 = new STIRFuture
{
ContractSize = 1e6,
Currency = usd,
DCF = 0.25,
Expiry = _originDate.AddDays(1),
Position = 1.0,
Index = ix,
ForecastCurve = "DISCO-USD",
SolveCurve = "DISCO-USD",
TradeId = "f1",
Price = 95,
PillarDate = _originDate.AddDays(90)
};
var f2 = new STIRFuture
{
ContractSize = 1e6,
Currency = usd,
DCF = 0.25,
Expiry = _originDate.AddDays(90),
Position = 1.0,
Index = ix,
ForecastCurve = "DISCO-USD",
SolveCurve = "DISCO-USD",
TradeId = "f2",
Price = 95,
PillarDate = _originDate.AddDays(180),
};
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider)
{
f1,
f2
};
var cube = model.BenchmarkRisk(fic, TestProviderHelper.CurrencyProvider, usd);
var riskSum = cube.SumOfAllRows;
Assert.Equal(-13.0, riskSum, 0);
}
public void STIR()
{
var bd = DateTime.Today;
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRate = 0.05;
var rates = pillars.Select(p => flatRate).ToArray();
CalendarProvider.Collection.TryGetCalendar("LON", out var cal);
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 price = 93.0;
var ix = new FloatRateIndex
{
Currency = usd,
DayCountBasis = DayCountBasis.ACT360,
FixingOffset = 2.Bd(),
HolidayCalendars = cal,
ResetTenor = 3.Months(),
RollConvention = RollType.MF
};
var maturity = bd.AddDays(365);
var accrualStart = maturity.AddPeriod(RollType.F, ix.HolidayCalendars, ix.FixingOffset);
var accrualEnd = accrualStart.AddPeriod(ix.RollConvention, ix.HolidayCalendars, ix.ResetTenor);
var dcf = maturity.CalculateYearFraction(accrualEnd, DayCountBasis.ACT360);
var s = new STIRFuture
{
Currency = usd,
ContractSize = 1e6,
Position = 1,
DCF = dcf,
Expiry = maturity,
ForecastCurve = "USD.BLAH",
Price = price,
Index = ix
};
var pv = s.Pv(fModel, false);
var rateEst = discoCurve.GetForwardRate(accrualStart, accrualEnd, RateType.Linear, ix.DayCountBasis);
var fairPrice = 100.0 - rateEst * 100;
var expectedPv = (price - fairPrice) * 1e6 * dcf / 100.0;
Assert.Equal(expectedPv, pv, 8);
var ss = s.Sensitivities(fModel);
Assert.True(ss.Count == 1 && ss.Keys.Single() == "USD.BLAH");
Assert.True(ss["USD.BLAH"].Count == 2 && ss["USD.BLAH"].Keys.Contains(accrualStart) && ss["USD.BLAH"].Keys.Contains(accrualEnd));
Assert.Empty(s.Dependencies(null));
}
public static object CreateSTIRFromCode(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Futures Code, e.g. EDZ9")] string FuturesCode,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Price")] double Price,
[ExcelArgument(Description = "Quantity in lots")] double Quantity,
[ExcelArgument(Description = "Convexity adjustment")] double ConvexityAdjustment,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());
var expiry = c.GetExpiry();
var accrualStart = expiry.AddPeriod(RollType.F, rIndex.Value.HolidayCalendars, rIndex.Value.FixingOffset);
var accrualEnd = accrualStart.AddPeriod(rIndex.Value.RollConvention, rIndex.Value.HolidayCalendars, rIndex.Value.ResetTenor);
//var dcf = accrualStart.CalculateYearFraction(accrualEnd, rIndex.Value.DayCountBasis);
var product = new STIRFuture
{
Currency = rIndex.Value.Currency,
ContractSize = c.Settings.LotSize,
//DCF = dcf,
ConvexityAdjustment = ConvexityAdjustment,
Expiry = expiry,
ForecastCurve = ForecastCurve,
Index = rIndex.Value,
Position = Quantity,
Price = Price,
SolveCurve = SolveCurve.OptionalExcel(ForecastCurve),
PillarDate = SolvePillarDate.OptionalExcel(accrualEnd),
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public void FuturesStripWithConvexity()
{
var volatility = 0.03;
var startDate = new DateTime(2017, 01, 17);
var nContracts = 24;
var currentDate = startDate.GetNextImmDate();
var expiries = new DateTime[nContracts];
var pillars = new DateTime[nContracts];
var instruments = new IFundingInstrument[nContracts];
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var lon = TestProviderHelper.CalendarProvider.Collection["LON"];
var ccyUsd = TestProviderHelper.CurrencyProvider["USD"];
var usd3m = new FloatRateIndex()
{
Currency = ccyUsd,
DayCountBasis = DayCountBasis.Act_360,
DayCountBasisFixed = DayCountBasis.Act_360,
ResetTenor = 3.Months(),
FixingOffset = 2.Bd(),
HolidayCalendars = nyc,
RollConvention = RollType.MF
};
for (var i = 0; i < nContracts; i++)
{
var wed3rd = currentDate.ThirdWednesday();
expiries[i] = wed3rd.SubtractPeriod(RollType.P, lon, 2.Bd());
pillars[i] = wed3rd.AddPeriod(usd3m.RollConvention, usd3m.HolidayCalendars, usd3m.ResetTenor);
instruments[i] = new STIRFuture()
{
Currency = ccyUsd,
ContractSize = 1e6,
ConvexityAdjustment = FuturesConvexityUtils.CalculateConvexityAdjustment(startDate, expiries[i], pillars[i], volatility),
DCF = 0.25,
Expiry = expiries[i],
ForecastCurve = "USD.LIBOR.3M",
Index = usd3m,
Position = 1.0,
Price = 99.50,
SolveCurve = "USD.LIBOR.3M"
};
currentDate = currentDate.AddMonths(3);
}
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
fic.AddRange(instruments);
var curve = new IrCurve(pillars, new double[nContracts], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd);
var model = new FundingModel(startDate, new[] { curve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var s = new Calibrators.NewtonRaphsonMultiCurveSolver()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001
};
s.Solve(model, fic);
if (!IsCoverageOnly)
{
for (var i = 0; i < nContracts; i++)
{
var resultPV = instruments[i].Pv(model, false);
Assert.Equal(0, resultPV, 6);
}
}
}
