private Product[] GetListOfSwaps()
{
int N = 50000;
Date anchorDate = new Date(2016, 11, 21);
double rate = 0.08;
bool payFixed = true;
double notional = 1000000;
double[,] swapDist = new double[, ] {
{ 0.171 }, { 0.148 }, { 0.101 }, { 0.094 }, { 0.108 }, { 0.056 }, { 0.041 }, { 0.049 }, { 0.047 }, { 0.056 }, { 0.013 }, { 0.013 }, { 0.010 }, { 0.011 }, { 0.011 }, { 0.004 }, { 0.003 }, { 0.005 }, { 0.007 }, { 0.006 }, { 0.004 }, { 0.004 }, { 0.007 }, { 0.005 }, { 0.006 }, { 0.006 }, { 0.003 }, { 0.003 }, { 0.002 }, { 0.005 }
};
IRandomNumberGenerator <double> generator1 = new ZigguratUniformGenerator(0, 1);
IRandomNumberGenerator <double> generator365 = new ZigguratUniformGenerator(1, 365);
double[,] cumSum = swapDist.CumulativeSum(1);
Product[] allSwaps = new Product[N];
for (int swapNum = 0; swapNum < N; swapNum++)
{
double x = generator1.Generate();
int years = 0;
while (years < cumSum.GetLength(0) && x > cumSum[years, 0])
{
years++;
}
int days = (int)Math.Round(generator365.Generate());
Date endDate = anchorDate.AddTenor(new Tenor(days, 0, 0, years));
Date startDate = endDate.AddTenor(Tenor.Years(-years - 1));
allSwaps[swapNum] = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, Tenor.Years(years + 1));
}
return(allSwaps);
}
private Product[] GetListOfSwaps()
{
var N = 50000;
var anchorDate = new Date(2016, 11, 21);
var rate = 0.08;
var payFixed = true;
double notional = 1000000;
var swapDist = new[, ]
{
{ 0.171 }, { 0.148 }, { 0.101 }, { 0.094 }, { 0.108 }, { 0.056 }, { 0.041 }, { 0.049 }, { 0.047 }, { 0.056 }, { 0.013 },
{ 0.013 }, { 0.010 }, { 0.011 }, { 0.011 }, { 0.004 }, { 0.003 }, { 0.005 }, { 0.007 }, { 0.006 }, { 0.004 }, { 0.004 },
{ 0.007 }, { 0.005 }, { 0.006 }, { 0.006 }, { 0.003 }, { 0.003 }, { 0.002 }, { 0.005 }
};
IRandomNumberGenerator <double> generator1 = new ZigguratUniformGenerator(0, 1);
IRandomNumberGenerator <double> generator365 = new ZigguratUniformGenerator(1, 365);
var cumSum = swapDist.CumulativeSum(1);
var allSwaps = new Product[N];
for (var swapNum = 0; swapNum < N; swapNum++)
{
var x = generator1.Generate();
var years = 0;
while (years < cumSum.GetLength(0) && x > cumSum[years, 0])
{
years++;
}
var days = (int)Math.Round(generator365.Generate());
var endDate = anchorDate.AddTenor(new Tenor(days, 0, 0, years));
var startDate = endDate.AddTenor(Tenor.FromYears(-years - 1));
allSwaps[swapNum] = TestHelpers.CreateZARSwap(rate, payFixed, notional, startDate, Tenor.FromYears(years + 1), TestHelpers.Jibar3M);
}
return(allSwaps);
}
