Ejemplo n.º 1
0
        private static void ShortGbpEurExample(DateTime todaysDate)
        {
            var deliveryDate       = new DateTime(2020, 3, 11);
            var baseNotionalAmount = new Money(40300000m, Currency.GBP);
            var contractAllInRate  = new ExchangeRate(Currency.GBP, Currency.EUR, 1.16992588519517);

            var fxFwd = new ForeignExchangeForward(deliveryDate, baseNotionalAmount, contractAllInRate);

            Console.WriteLine("Valuation of FxFwd " + fxFwd);

            ExchangeRate spotBaseTermRate  = ExchangeRateManager.Lookup(Currency.GBP, Currency.EUR, todaysDate);
            var          termBaseFwdCurve  = EurGbpFwdPointStructure(todaysDate);
            var          baseTermFwdCurve  = GbpEurFwdPointStructure(todaysDate);
            var          termDiscountCurve = DiscountingEurCurve(todaysDate);
            var          baseDiscountCurve = DiscountingGbpCurve(todaysDate);

            fxFwd.PricingEngine = new ForwardPointsEngine(spotBaseTermRate, baseTermFwdCurve, baseDiscountCurve, termDiscountCurve);

            PrintResults(fxFwd);

            // Base Leg:  47,148,013.17 EUR
            // Term Leg: -46,843,587.57 EUR
            // ----------------------------
            // NPV:          304,425.60 EUR
            // ============================
        }
Ejemplo n.º 2
0
        private static void ShortUsdEurExample(DateTime todaysDate)
        {
            var deliveryDate       = new DateTime(2020, 3, 4);
            var baseNotionalAmount = new Money(12925000m, Currency.USD);
            var contractAllInRate  = new ExchangeRate(Currency.USD, Currency.EUR, 0.897487215294618);

            var fxFwd = new ForeignExchangeForward(deliveryDate, baseNotionalAmount, contractAllInRate);

            Console.WriteLine("Valuation of FxFwd " + fxFwd);

            ExchangeRate spotUsdEurRate = ExchangeRateManager.Lookup(Currency.USD, Currency.EUR, todaysDate);

            var usdEurFwdCurve   = UsdEurFwdPointStructure(todaysDate);
            var eurDiscountCurve = DiscountingEurCurve(todaysDate);
            var usdDiscountCurve = DiscountingUsdCurve(todaysDate);

            fxFwd.PricingEngine = new ForwardPointsEngine(spotUsdEurRate, usdEurFwdCurve, usdDiscountCurve, eurDiscountCurve);

            PrintResults(fxFwd);

            // Base Leg:  11,600,022.36 EUR
            // Term Leg: -11,762,835.05 EUR
            // ----------------------------
            // NPV:         -162,812.69 EUR
            // ============================
        }
Ejemplo n.º 3
0
        private static void LongGbpEurExample(DateTime todaysDate)
        {
            var deliveryDate       = new DateTime(2020, 5, 28);
            var baseNotionalAmount = new Money(16925000m, Currency.GBP);
            var contractAllInRate  = new ExchangeRate(Currency.GBP, Currency.EUR, 1.19394431443717);

            var fxFwd = new ForeignExchangeForward(deliveryDate, baseNotionalAmount, contractAllInRate);

            Console.WriteLine("Valuation of FxFwd " + fxFwd);

            ExchangeRate spotBaseTermRate  = ExchangeRateManager.Lookup(Currency.GBP, Currency.EUR, todaysDate);
            var          termBaseFwdCurve  = EurGbpFwdPointStructure(todaysDate);
            var          baseTermFwdCurve  = GbpEurFwdPointStructure(todaysDate);
            var          termDiscountCurve = DiscountingEurCurve(todaysDate);
            var          baseDiscountCurve = DiscountingGbpCurve(todaysDate);

            fxFwd.PricingEngine = new ForwardPointsEngine(spotBaseTermRate, baseTermFwdCurve, baseDiscountCurve, termDiscountCurve);

            PrintResults(fxFwd);

            // Base Leg:  20,207,507.52 EUR
            // Term Leg: -19,621,824.42 EUR
            // ----------------------------
            // NPV:          585,683.10 EUR
            // ============================
        }
Ejemplo n.º 4
0
        private static void LongUsdEurExample(DateTime todaysDate)
        {
            var deliveryDate       = new DateTime(2020, 5, 28);
            var baseNotionalAmount = new Money(24750000m, Currency.USD);
            var contractAllInRate  = new ExchangeRate(Currency.USD, Currency.EUR, 0.919214806712107);

            var fxFwd = new ForeignExchangeForward(deliveryDate, baseNotionalAmount, contractAllInRate);

            Console.WriteLine("Valuation of FxFwd " + fxFwd);

            ExchangeRate spotUsdEurRate   = ExchangeRateManager.Lookup(Currency.USD, Currency.EUR, todaysDate);
            var          eurUsdFwdCurve   = EurUsdFwdPointStructure(todaysDate);
            var          usdEurFwdCurve   = UsdEurFwdPointStructure(todaysDate);
            var          eurDiscountCurve = DiscountingEurCurve(todaysDate);
            var          usdDiscountCurve = DiscountingUsdCurve(todaysDate);

            fxFwd.PricingEngine = new ForwardPointsEngine(spotUsdEurRate, usdEurFwdCurve, usdDiscountCurve, eurDiscountCurve);

            PrintResults(fxFwd);

            // Base Leg:  22,750,566.47 EUR
            // Term Leg: -22,412,996.84 EUR
            // ----------------------------
            // NPV:          337,569.62 EUR
            // ============================
        }
Ejemplo n.º 5
0
        private static FxForwardPointTermStructure UsdEurFwdPointStructure(DateTime todaysDate)
        {
            ExchangeRate spotExchRate = ExchangeRateManager.Lookup(Currency.USD, Currency.EUR, todaysDate);

            if (spotExchRate.BaseCurrency != Currency.USD)
            {
                spotExchRate = spotExchRate.Inverse();
            }
            var builder = new FxForwardPointTermStructure.Builder(todaysDate, spotExchRate)
            {
                BaseCalendar  = CalendarName.UnitedStatesFederalReserve,
                QuoteCalendar = CalendarName.TARGET,
                DayCounter    = DayCounter.Actual360,
                ForwardPoints = new[]
Ejemplo n.º 6
0
 public ForwardExchangeRate(ExchangeRate spotExchangeRate, double forwardpoints, Period tenor)
     : this(new QlFwdXrate(spotExchangeRate.QlObj, forwardpoints, tenor.QlObj))
 {
 }