/// <summary>
/// Computes today's value of an annuity factor for a vanilla
/// interest rate swap.
/// </summary>
/// <param name="forwardSwapRate">Forward swap rate, expressed as a
/// decimal.
/// Example: if the forward swap rate is 6.820177%, call the function
/// with the value 0.006820177.</param>
/// <param name="dfSwapStart">Discount factor from today to the start
/// of the swap.
/// Example: 6M option into a 2YR quarterly swap.
/// The appropriate discount factor is for the tenor 6M.</param>
/// <param name="dfSwapEnd">Discount factor from today to the end of
/// the swap.
/// Example: 6M option into a 2YR quarterly swap.
/// The appropriate discount factor is for the tenor (6M + 2YR).</param>
/// <returns>Annuity factor for a vanilla interest rate swap.</returns>
public double ComputeAnnuityFactor(double forwardSwapRate,
double dfSwapStart,
double dfSwapEnd)
{
return(SwapAnalytics.ComputeAnnuityFactor(forwardSwapRate,
dfSwapStart,
dfSwapEnd));
}
/// <summary>
/// Gets the delta0 for a collection of coupon cashflows provided.
/// </summary>
/// <param name="paymentDiscountFactors">The discount factors.</param>
/// <param name="yearFractions">The year fractions.</param>
/// <param name="notionals">The notionals</param>
/// <param name="fixedFlag">Delta0 is zero for fixed coupons.</param>
/// <returns>The break even rate.</returns>
public double Delta0(Excel.Range notionals, Excel.Range paymentDiscountFactors, Excel.Range yearFractions, bool fixedFlag)
{
var unqNotionals = DataRangeHelper.StripDoubleRange(notionals);
var unqPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(paymentDiscountFactors);
var unqYearFractions = DataRangeHelper.StripDoubleRange(yearFractions);
return(SwapAnalytics.Delta0(unqNotionals.ToArray(), unqPaymentDiscountFactors.ToArray(), unqYearFractions.ToArray(), fixedFlag));
}
public void TestDelta0discountCoupon()
{
for (var i = 1; i < 10; i++)
{
var delta0 = SwapAnalytics.Delta0DiscountCoupon(1000000.0, 0.25, 0.07, Math.Exp(-0.07 * i));
Debug.WriteLine(String.Format("Delta1 : {0} Time: {1}", delta0, i));
}
}
public void TestDelta1Amount()
{
for (var i = 1; i < 10; i++)
{
var delta1 = SwapAnalytics.Delta1ForAnAmount(10000000.0, Math.Exp(-0.1 * i), 0.25, i);
Debug.WriteLine(String.Format("Delta1 : {0} Time: {1}", delta1, i));
}
}
/// <summary>
/// Gets the delta0 for a collection of coupon cashflows provided.
/// </summary>
/// <param name="paymentDiscountFactors">The discount factors.</param>
/// <param name="amounts">The amounts</param>
/// <param name="curveYearFractions">The curve year fractions.</param>
/// <param name="periodAsTimesPerYears">Delta1 compounding Frequency.</param>
/// <returns>The break even rate.</returns>
public double Delta1(Excel.Range amounts, Excel.Range paymentDiscountFactors,
Excel.Range curveYearFractions, double periodAsTimesPerYears)
{
var unqNotionals = DataRangeHelper.StripDoubleRange(amounts);
var unqCouponPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(paymentDiscountFactors);
var unqYearFractions = DataRangeHelper.StripDoubleRange(curveYearFractions);
return(SwapAnalytics.Delta1(unqNotionals.ToArray(), unqCouponPaymentDiscountFactors.ToArray(), unqYearFractions.ToArray(), periodAsTimesPerYears));
}
/// <summary>
/// Gets the break even rate for a collection of coupon cashflows provided.
/// </summary>
/// <param name="paymentDiscountFactors">The discount factors.</param>
/// <param name="yearFractions">The year fractions.</param>
/// <param name="forwardRates">The forward rates.</param>
/// <param name="notionals">The notionals</param>
/// <returns>The break even rate.</returns>
public double BreakEvenRate(Excel.Range notionals, Excel.Range forwardRates, Excel.Range paymentDiscountFactors, Excel.Range yearFractions)
{
var unqNotionals = DataRangeHelper.StripDoubleRange(notionals);
var unqForwardRates = DataRangeHelper.StripDoubleRange(forwardRates);
var unqPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(paymentDiscountFactors);
var unqYearFractions = DataRangeHelper.StripDoubleRange(yearFractions);
return(SwapAnalytics.BreakEvenRate(unqNotionals.ToArray(), unqForwardRates.ToArray(), unqPaymentDiscountFactors.ToArray(), unqYearFractions.ToArray()));
}
public void ComputeAnnuityFactorTest()
{
const double forwardSwapRate = 0.0615; // 6.15%
const double dfSwapStart = 0.95;
const double dfSwapEnd = 0.80;
const double Expected = 2.43902439;
double actual = SwapAnalytics.ComputeAnnuityFactor(forwardSwapRate, dfSwapStart, dfSwapEnd);
Assert.AreEqual(Expected, actual, 0.00000001);
}
public void Delta0CouponTest()
{
const double notional = 100;
const double dayFraction = 0.5; // 6 months
const double rate = 0.0615; // 6.15%
const double paymentDiscountFactor = 0.92;
const double expected = -0.0046;
double actual = SwapAnalytics.Delta0Coupon(notional, dayFraction, rate, paymentDiscountFactor);
Assert.AreEqual(expected, actual);
}
public void Delta1ForAnAmountTest()
{
const double amount = 100000;
const double paymentDiscountFactor = 0.92;
const double periodAsTimesPerYear = 6; // ie every 2 months
const double curveYearFraction = 0.5; // ie every 6 months
const double expected = 2.29933398;
double actual = SwapAnalytics.Delta1ForAnAmount(amount, paymentDiscountFactor, periodAsTimesPerYear, curveYearFraction);
Assert.AreEqual(expected, actual, 1e-8);
}
/// <summary>
/// Evaluates the delta wrt the discount rate R.
/// </summary>
/// <param name="notionals">The notionals.</param>
/// <param name="yearfractions">The daycount fractions.</param>
/// <param name="rates">The rates.</param>
/// <param name="paymentDiscountFactors">The payment discount factors.</param>
/// <param name="periodAsTimesPerYears">The compounding year fractions.</param>
/// <param name="curveYearFractions">The time to payment year fractions.</param>
/// <returns></returns>
public double Delta1Arrays2(Excel.Range notionals, Excel.Range yearfractions, Excel.Range rates,
Excel.Range paymentDiscountFactors, Excel.Range curveYearFractions, double periodAsTimesPerYears)
{
var unqNotionals = DataRangeHelper.StripDoubleRange(notionals);
var unqRates = DataRangeHelper.StripDoubleRange(rates);
var unqCouponPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(paymentDiscountFactors);
var unqYearFractions = DataRangeHelper.StripDoubleRange(yearfractions);
var unqCurveYearFractions = DataRangeHelper.StripDoubleRange(curveYearFractions);
return(SwapAnalytics.Delta1Arrays(unqNotionals.ToArray(), unqYearFractions.ToArray(), unqRates.ToArray(),
unqCouponPaymentDiscountFactors.ToArray(), unqCurveYearFractions.ToArray(), periodAsTimesPerYears));
}
/// <summary>
/// Gets the delta0 for a collection of coupon cashlows provided.
/// </summary>
/// <param name="paymentDiscountFactors">The discount factors.</param>
/// <param name="yearFractions">The year fractions.</param>
/// <param name="notionals">The notionals</param>
/// <param name="principalPaymentDiscountFactors">The dfs for the principal exchanges.</param>
/// <param name="fixedFlag">Delta0 is zero for fixed coupons.</param>
/// <param name="principalNotionals">The principal Exchanges.</param>
/// <returns>The break even rate.</returns>
public double Delta0WithExchanges(Excel.Range notionals, Excel.Range paymentDiscountFactors, Excel.Range yearFractions,
Excel.Range principalNotionals, Excel.Range principalPaymentDiscountFactors, Boolean fixedFlag)
{
var unqNotionals = DataRangeHelper.StripDoubleRange(notionals);
var unqCouponPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(paymentDiscountFactors);
var unqYearFractions = DataRangeHelper.StripDoubleRange(yearFractions);
var unqPrincipalNotionals = DataRangeHelper.StripDoubleRange(principalNotionals);
var unqPrincipalPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(principalPaymentDiscountFactors);
return(SwapAnalytics.Delta0WithExchanges(unqNotionals.ToArray(), unqCouponPaymentDiscountFactors.ToArray(), unqYearFractions.ToArray(),
unqPrincipalNotionals.ToArray(), unqPrincipalPaymentDiscountFactors.ToArray(), fixedFlag));
}
public void Delta1ForNotionalTest()
{
const double notional = 100;
const double yearfraction = 0.5;
const double rate = 0.0615;
const double paymentDiscountFactor = 0.92;
const double periodAsTimesPerYear = 6;
const double curveYearFraction = 0.5;
const double expected = 0.00007070;
double actual = SwapAnalytics.Delta1ForNotional(notional, yearfraction, rate, paymentDiscountFactor, periodAsTimesPerYear, curveYearFraction);
Assert.AreEqual(expected, actual, 1e-8);
}
/// <summary>
/// Gets the npv for a collection of coupons and principal exchanges provided.
/// </summary>
/// <param name="couponPaymentDiscountFactors">The discount factors.</param>
/// <param name="yearFractions">The year fractions.</param>
/// <param name="forwardRates">The forward rates.</param>
/// <param name="couponNotionals">The notionals of the coupons.</param>
/// <param name="principalNotionals">The principal exchange notionals.</param>
/// <param name="principalPaymentDiscountFactors">The payment discount factors for the principal exchanges.</param>
/// <returns>The break even rate.</returns>
public double NPVWithExchanges(Excel.Range couponNotionals, Excel.Range forwardRates, Excel.Range couponPaymentDiscountFactors,
Excel.Range yearFractions, Excel.Range principalNotionals, Excel.Range principalPaymentDiscountFactors)
{
var unqCouponNotionals = DataRangeHelper.StripDoubleRange(couponNotionals);
var unqForwardRates = DataRangeHelper.StripDoubleRange(forwardRates);
var unqCouponPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(couponPaymentDiscountFactors);
var unqYearFractions = DataRangeHelper.StripDoubleRange(yearFractions);
var unqPrincipalNotionals = DataRangeHelper.StripDoubleRange(principalNotionals);
var unqPrincipalPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(principalPaymentDiscountFactors);
return(SwapAnalytics.NPVWithExchanges(unqCouponNotionals.ToArray(), unqForwardRates.ToArray(), unqCouponPaymentDiscountFactors.ToArray(), unqYearFractions.ToArray(),
unqPrincipalNotionals.ToArray(), unqPrincipalPaymentDiscountFactors.ToArray()));
}
/// <summary>
/// Gets the delta0 for a collection of coupon cashflows provided.
/// </summary>
/// <param name="paymentDiscountFactors">The discount factors.</param>
/// <param name="yearFractions">The year fractions.</param>
/// <param name="notionals">The notionals</param>
/// <param name="principalPaymentDiscountFactors">The dfs for the principal exchanges.</param>
/// <param name="principalCurveYearFractions">The principal exchange curve year fractions.</param>
/// <param name="compoundingFrequency">Delta1 compounding Frequency.</param>
/// <param name="couponCurveYearsFractions">The coupon time to payments.</param>
/// <param name="principalNotionals">The principal Exchanges.</param>
/// <returns>The break even rate.</returns>
public double Delta1WithExchanges(Excel.Range notionals, Excel.Range paymentDiscountFactors,
Excel.Range yearFractions, Excel.Range couponCurveYearsFractions, Excel.Range principalNotionals,
Excel.Range principalPaymentDiscountFactors, Excel.Range principalCurveYearFractions, double compoundingFrequency)
{
var unqNotionals = DataRangeHelper.StripDoubleRange(notionals);
var unqCouponPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(paymentDiscountFactors);
var unqYearFractions = DataRangeHelper.StripDoubleRange(yearFractions);
var unqCouponCurveYearsFractions = DataRangeHelper.StripDoubleRange(couponCurveYearsFractions);
var unqPrincipalNotionals = DataRangeHelper.StripDoubleRange(principalNotionals);
var unqPrincipalPaymentDiscountFactors = DataRangeHelper.StripDoubleRange(principalPaymentDiscountFactors);
var unqPrincipalCurveYearFractions = DataRangeHelper.StripDoubleRange(principalCurveYearFractions);
return(SwapAnalytics.Delta1WithExchanges(unqNotionals.ToArray(), unqCouponPaymentDiscountFactors.ToArray(),
unqYearFractions.ToArray(), unqCouponCurveYearsFractions.ToArray(), unqPrincipalNotionals.ToArray(),
unqPrincipalPaymentDiscountFactors.ToArray(), unqPrincipalCurveYearFractions.ToArray(), compoundingFrequency));
}
public void TestComputeAnnuityFactor()
{
// Test #1: 2M option into a 3YR swap.
_forwardSwapRate = 6.820177 / 100.0;
_dfSwapStart = 0.99437584934;
_dfSwapEnd = 0.81178430567;
_expected = 2.67723;
_actual = SwapAnalytics.ComputeAnnuityFactor(_forwardSwapRate,
_dfSwapStart,
_dfSwapEnd);
Assert.AreEqual(_expected, _actual, _tolerance);
// Test #2: 6M option into a 4YR swap.
_forwardSwapRate = 6.824469 / 100.0;
_dfSwapStart = 0.96673145605;
_dfSwapEnd = 0.73858756401;
_expected = 3.33348;
_actual = SwapAnalytics.ComputeAnnuityFactor(_forwardSwapRate,
_dfSwapStart,
_dfSwapEnd);
// Test #3: 5YR option into a 10YR swap.
_forwardSwapRate = 6.352136 / 100.0;
_dfSwapStart = 0.73016181577;
_dfSwapEnd = 0.39069662207;
_expected = 5.34411;
_actual = SwapAnalytics.ComputeAnnuityFactor(_forwardSwapRate,
_dfSwapStart,
_dfSwapEnd);
// Test #4: 3YR option into a 7YR swap.
_forwardSwapRate = 6.507184 / 100.0;
_dfSwapStart = 0.81864063634;
_dfSwapEnd = 0.52290276017;
_expected = 4.54479;
_actual = SwapAnalytics.ComputeAnnuityFactor(_forwardSwapRate,
_dfSwapStart,
_dfSwapEnd);
}
/// <summary>
/// Evaluates the delta wrt the forward rate R for discount coupon.
/// </summary>
/// <param name="notional">The notional for that period.</param>
/// <param name="paymentDiscountFactor">The payment discount factor.</param>
/// <param name="dayFraction">The year fraction.</param>
/// <param name="rate">The rate.</param>
/// <returns></returns>
public double Delta0DiscountCoupon(double notional, double dayFraction, double rate, double paymentDiscountFactor)
{
return(SwapAnalytics.Delta0DiscountCoupon(notional, dayFraction, rate, paymentDiscountFactor));
}
/// <summary>
/// Evaluates the delta wrt the discount rate R.
/// </summary>
/// <param name="amount">The amount for that period.</param>
/// <param name="paymentDiscountFactor">The payment discount factor.</param>
/// <param name="periodAsTimesPerYear">the compounding year fraction.</param>
/// <param name="curveYearFraction">The time to payment year fraction.</param>
/// <returns></returns>
public double Delta1ForAnAmount(double amount, double paymentDiscountFactor,
double periodAsTimesPerYear, double curveYearFraction)
{
return(SwapAnalytics.Delta1ForAnAmount(amount, paymentDiscountFactor,
periodAsTimesPerYear, curveYearFraction));
}
/// <summary>
/// Evaluates the delta wrt the discount rate R.
/// </summary>
/// <param name="notional">The notional for that period.</param>
/// <param name="yearFraction">the day count fraction for that coupon.</param>
/// <param name="rate">The rate for that period.</param>
/// <param name="paymentDiscountFactor">The payment discount factor.</param>
/// <param name="periodAsTimesPerYear">the compounding year fraction.</param>
/// <param name="curveYearFraction">The time to payment year fraction.</param>
/// <returns></returns>
public double Delta1ForNotional(double notional, double yearFraction, double rate, double paymentDiscountFactor,
double periodAsTimesPerYear, double curveYearFraction)
{
return(SwapAnalytics.Delta1ForNotional(notional, yearFraction, rate, paymentDiscountFactor,
periodAsTimesPerYear, curveYearFraction));
}
