public static object CreateContangoSwap(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Spot Date")] DateTime SpotDate,
[ExcelArgument(Description = "Settle Date")] DateTime SettleDate,
[ExcelArgument(Description = "Metal Currency")] string MetalCcy,
[ExcelArgument(Description = "Cash Currency")] string CashCcy,
[ExcelArgument(Description = "Metal Notional")] double MetalNotional,
[ExcelArgument(Description = "Contango")] double Contango,
[ExcelArgument(Description = "Cash Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "Solve Curve name ")] string SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(MetalCcy, out var metalCcy);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(CashCcy, out var cashCcy);
var product = new ContangoSwap
{
MetalCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(MetalCcy),
CashCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(CashCcy),
MetalQuantity = MetalNotional,
DeliveryDate = SettleDate,
CashDiscountCurve = DiscountCurve,
SolveCurve = SolveCurve,
PillarDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(SettleDate.ToOADate())),
ContangoRate = Contango,
TradeId = ObjectName,
Basis = DayCountBasis.ACT360,
SpotDate = SpotDate
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public void ContangoSwap()
{
var bd = new DateTime(2019, 06, 14);
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRateUsd = 0.05;
var flatRateXau = 0.01;
var spotRate = 1200;
var ratesUsd = pillars.Select(p => flatRateUsd).ToArray();
var ratesXau = pillars.Select(p => flatRateXau).ToArray();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var xau = TestProviderHelper.CurrencyProvider["XAU"];
CalendarProvider.Collection.TryGetCalendar("LON", out var cal);
var pair = new FxPair()
{
Domestic = xau, Foreign = usd, SettlementCalendar = cal, SpotLag = 2.Bd()
};
var discoCurveUsd = new IrCurve(pillars, ratesUsd, bd, "USD.BLAH", Interpolator1DType.Linear, usd);
var discoCurveXau = new IrCurve(pillars, ratesXau, bd, "XAU.BLAH", Interpolator1DType.Linear, xau);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(usd, bd, new Dictionary <Currency, double> {
{ xau, 1.0 / spotRate }
}, new List <FxPair> {
pair
}, new Dictionary <Currency, string> {
{ usd, "USD.BLAH" }, { xau, "XAU.BLAH" }
});
var fModel = new FundingModel(bd, new[] { discoCurveUsd, discoCurveXau }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var maturity = bd.AddDays(365);
var spot = bd.SpotDate(2.Bd(), cal, cal);
var c = 0.022;
var b = new ContangoSwap
{
CashCCY = usd,
MetalCCY = xau,
CashDiscountCurve = "USD.BLAH",
DeliveryDate = maturity,
ContangoRate = c,
MetalQuantity = 1,
SpotDate = spot
};
var t = spot.CalculateYearFraction(maturity, DayCountBasis.Act360);
var pv = b.Pv(fModel, false);
var fwdA = (1.0 + c * t) * spotRate;
var fwdB = fModel.GetFxRate(maturity, xau, usd);
var df = discoCurveUsd.GetDf(bd, maturity);
var expectedPv = (fwdB - fwdA) * b.MetalQuantity;
expectedPv *= df;
Assert.Equal(expectedPv, pv, 10);
Assert.Equal(maturity, b.LastSensitivityDate);
Assert.Equal(usd, b.Currency);
var s = b.Sensitivities(fModel);
Assert.True(s.Count == 2 && s.Keys.Contains("USD.BLAH") && s.Keys.Contains("XAU.BLAH"));
var s2 = b.Dependencies(fModel.FxMatrix);
Assert.True(s2.Count == 2 && s2.Contains("USD.BLAH") && s2.Contains("XAU.BLAH"));
Assert.Equal(0.0402428426839156, b.CalculateParRate(fModel), 8);
var b2 = (ContangoSwap)b.SetParRate(0.05);
Assert.Equal(0.05, b2.ContangoRate);
}
