public static double ValueSwap(IRSwap swap, Date valueDate, IDiscountingSource curve)
{
// Get the required objects off the map
var index = swap.GetFloatingIndex();
// Calculate the first fixing off the curve to use at all past dates.
var df1 = curve.GetDF(valueDate);
var laterDate = valueDate.AddTenor(index.Tenor);
var df2 = curve.GetDF(laterDate);
var dt = (laterDate - valueDate) / 365.0;
var rate = (df1 / df2 - 1) / dt;
//Set up the valuation engine.
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(curve, index,
new FloatingRateFixingCurve1Rate(valueDate, rate, index));
var curveSim = new DeterministicCurves(curve);
curveSim.AddRateForecast(forecastCurve);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
var value = coordinator.Value(new Product[] { swap }, valueDate);
return(value);
}
public void TestCoordinatorAllData()
{
// Make the swap
var rate = 0.07;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.Years(5);
var swap = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
// Set up the model
var valueDate = new Date(2016, 9, 17);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.07;
var hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
hullWiteSim.AddForecast(FloatingIndex.JIBAR3M);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var date = valueDate;
var endDate = valueDate.AddTenor(tenor);
var fwdValueDates = new List <Date>();
while (date < endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.Days(10));
}
var allDetails = coordinator.GetValuePaths(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
allDetails.GetNames();
}
public static double ValueZARSwap1Curve([ExcelArgument(Description = "The name of the swap.")] IRSwap swap,
[ExcelArgument(Description = "The date on which valuation is required. Cannot be before the anchor date of the curve.")] Date valueDate,
[ExcelArgument(Description = "The discounting curve. Will also be used for forecasting Jibar and providing the most recent required Jibar fix.")] IDiscountingSource curve)
{
// Get the required objects off the map
FloatingIndex index = swap.GetFloatingIndex();
// Calculate the first fixing off the curve to use at all past dates.
double df1 = curve.GetDF(valueDate);
Date laterDate = valueDate.AddTenor(index.tenor);
double df2 = curve.GetDF(laterDate);
double dt = (laterDate - valueDate) / 365.0;
double rate = (df1 / df2 - 1) / dt;
//Set up the valuation engine.
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(curve, index,
new FloatingRateFixingCurve1Rate(rate, index));
DeterminsiticCurves curveSim = new DeterminsiticCurves(curve);
curveSim.AddRateForecast(forecastCurve);
Coordinator coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
double value = coordinator.Value(new Product[] { swap }, valueDate);
return(value);
}
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);
}
public void SetCalibrationDate(Date calibrationDate)
{
_calibrationDate = calibrationDate;
_maturityDate = calibrationDate.AddTenor(_tenor);
var yf = Actual365Fixed.Instance.YearFraction(_calibrationDate, _maturityDate);
_cf = 1e6 * (1 + _simpleRate * yf);
}
public static HullWhite1F CreateHWModelDemo([ExcelArgument(Description = "The constant rate of mean reversion.")] double meanReversion,
[ExcelArgument(Description = "The constant short rate volatility. Note that this is a Gaussian vol and will in general be lower than the vol that would be used in Black.")] double flatVol,
[ExcelArgument(Description = "The curve to which zero coupon bond prices will be calibrated.")] IDiscountingSource baseCurve,
[ExcelArgument(Description = "The indices that should be forecast with this same cuve. No spreads are added.")] FloatingIndex forecastIndices)
{
Date anchorDate = baseCurve.GetAnchorDate();
double flatCurveRate = -Math.Log(baseCurve.GetDF(anchorDate.AddTenor(Tenor.Years(1))));
HullWhite1F model = new HullWhite1F(baseCurve.GetCurrency(), meanReversion, flatVol, flatCurveRate, flatCurveRate, anchorDate);
model.AddForecast(forecastIndices);
return(model);
}
public override double[] GetUnderlyingFactors(Date date)
{
double[] regressors = new double[3];
double fxRate = GetIndices(currencyPair, new List <Date> {
date
})[0];
double defaultIndicator = date < simDefaultTime ? 0.0 : 1.0;
double fwdDefaultP = (1.0 - survivalProbSource.GetSP(date.AddTenor(Tenor.Years(1))) / survivalProbSource.GetSP(date));
regressors[0] = fxRate;
regressors[1] = defaultIndicator;
regressors[2] = fwdDefaultP;
return(regressors);
}
public void TestQuantoCDS()
{
var spot = 1.00;
var relJumpSizeInDefault = -0.2;
var cdsSpread = 0.025;
// Trades
var anchorDate = new Date(2016, 11, 25);
var refEntity = new ReferenceEntity("ABC");
Date[] paymentDates;
double[] accrualFractions;
DateGenerators.CreateDatesNoHolidays(Tenor.Months(3), anchorDate, 20, out paymentDates,
out accrualFractions);
var zarNotionals = Vector.Ones(paymentDates.Length).Multiply(1000000.0);
var usdNotionals = zarNotionals.Divide(spot);
var zarSpreads = Vector.Ones(paymentDates.Length).Multiply(cdsSpread);
var usdSpreads = zarSpreads.Multiply(1 + relJumpSizeInDefault); // Adjusted for the FX jump size.
var boughtProtection = true;
var cdsZAR = new CDS(refEntity, Currency.ZAR, paymentDates, zarNotionals, zarSpreads, accrualFractions,
boughtProtection);
var cdsUSD = new CDS(refEntity, Currency.USD, paymentDates, zarNotionals, usdSpreads, accrualFractions,
boughtProtection);
// Model
var curveDates = new[] { anchorDate, anchorDate.AddTenor(Tenor.Years(10)) };
var expectedRecovery = 0.4;
var hazardRates = new[] { cdsSpread / (1 - expectedRecovery), cdsSpread / (1 - expectedRecovery) };
var usdRates = new[] { 0.01, 0.02 };
var zarRates = new[] { 0.07, 0.08 };
IDiscountingSource usdDiscountCurve = new DatesAndRates(Currency.USD, anchorDate, curveDates, usdRates);
IDiscountingSource zarDiscountCurve = new DatesAndRates(Currency.ZAR, anchorDate, curveDates, zarRates);
ISurvivalProbabilitySource abcHazardCurve = new HazardCurve(refEntity, anchorDate, curveDates, hazardRates);
var otherCurrency = Currency.USD;
var fxSource = new FXForecastCurve(otherCurrency, Currency.ZAR, spot, usdDiscountCurve, zarDiscountCurve);
var fxVol = 0.15;
NumeraireSimulator model = new DeterministicCreditWithFXJump(abcHazardCurve, otherCurrency, fxSource,
zarDiscountCurve, fxVol, relJumpSizeInDefault, expectedRecovery);
// Valuation
var N = 5000;
var coord = new Coordinator(model, new List <Simulator>(), N);
var zarValue = coord.Value(new Product[] { cdsZAR }, anchorDate);
var usdValue = coord.Value(new Product[] { cdsUSD }, anchorDate);
Assert.AreEqual(0.0, zarValue, 800.0); // about 2bp
Assert.AreEqual(0.0, usdValue, 800.0); // about 2bp
}
/// <summary>
/// Creates <paramref name="numberOfDates" /> that are <paramref name="periodTenor" /> apart. The first
/// date is <paramref name="startDate" /> plus <paramref name="periodTenor" />.
/// <para />
/// There is no holiday adjustment or stub period.
/// </summary>
/// <param name="periodTenor">The period tenor.</param>
/// <param name="startDate">The start date.</param>
/// <param name="numberOfDates">The number of dates.</param>
/// <returns></returns>
public static void CreateDatesNoHolidays(Tenor periodTenor, Date startDate, int numberOfDates,
out Date[] paymentDates, out double[] accrualFractions)
{
var runningDate = new Date(startDate);
paymentDates = new Date[numberOfDates];
accrualFractions = new double[numberOfDates];
var oldDate = new Date(startDate);
for (var i = 0; i < numberOfDates; i++)
{
runningDate = runningDate.AddTenor(periodTenor);
paymentDates[i] = runningDate;
accrualFractions[i] = (runningDate - oldDate) / 365.0;
oldDate = runningDate;
}
}
public override double[] GetUnderlyingFactors(Date date)
{
var regressors = new double[3];
var fxRate = GetIndices(_currencyPair, new List <Date> {
date
})[0];
var defaultIndicator = date < _simDefaultTime ? 0.0 : 1.0;
var fwdDefaultP = 1.0 - _survivalProbSource.GetSP(date.AddTenor(Tenor.FromYears(1))) /
_survivalProbSource.GetSP(date);
regressors[0] = fxRate;
regressors[1] = defaultIndicator;
regressors[2] = fwdDefaultP;
return(regressors);
}
/// <summary>
/// </summary>
/// <param name="date"></param>
/// <returns></returns>
public double GetForwardRate(Date date)
{
//TODO: Index should store the business day and daycount conventions of the index.
if (date >= _discountCurve.GetAnchorDate())
{
var df1 = _discountCurve.GetDF(date);
var laterDate = date.AddTenor(_index.Tenor);
var df2 = _discountCurve.GetDF(laterDate);
var dt = (laterDate - date) / 365.0;
var fwdRate = (df1 / df2 - 1) / dt;
return(fwdRate);
}
return(_fixingCurve.GetForwardRate(date));
}
public void TestQuantoCDS()
{
var spot = 1.00;
var relJumpSizeInDefault = -0.2;
var cdsSpread = 0.025;
// Trades
var anchorDate = new Date(2016, 11, 25);
var refEntity = TestHelpers.TestCp;
DateGenerators.CreateDatesNoHolidays(Tenor.FromMonths(3), anchorDate, 20, out var paymentDates,
out var accrualFractions);
var zarNotionals = Vector.Ones(paymentDates.Length).Multiply(1000000.0);
var zarSpreads = Vector.Ones(paymentDates.Length).Multiply(cdsSpread);
var usdSpreads = zarSpreads.Multiply(1 + relJumpSizeInDefault); // Adjusted for the FX jump size.
var boughtProtection = true;
var cdsZAR = new CDS(refEntity, TestHelpers.ZAR, paymentDates, zarNotionals, zarSpreads, accrualFractions,
boughtProtection);
var cdsUSD = new CDS(refEntity, TestHelpers.USD, paymentDates, zarNotionals, usdSpreads, accrualFractions,
boughtProtection);
// Model
var curveDates = new[] { anchorDate, anchorDate.AddTenor(Tenor.FromYears(10)) };
var expectedRecovery = 0.4;
var hazardRates = new[] { cdsSpread / (1 - expectedRecovery), cdsSpread / (1 - expectedRecovery) };
var usdRates = new[] { 0.01, 0.02 };
var zarRates = new[] { 0.07, 0.08 };
var usdDiscountCurve = new DatesAndRates(TestHelpers.USD, anchorDate, curveDates, usdRates);
var zarDiscountCurve = new DatesAndRates(TestHelpers.ZAR, anchorDate, curveDates, zarRates);
var abcHazardCurve = new HazardCurve(refEntity, anchorDate, curveDates, hazardRates);
var fxSource = new FXForecastCurve(TestHelpers.USDZAR, spot, usdDiscountCurve, zarDiscountCurve);
var fxVol = 0.15;
var model = new DeterministicCreditWithFXJump(abcHazardCurve, TestHelpers.USDZAR, fxSource,
zarDiscountCurve, fxVol, relJumpSizeInDefault, expectedRecovery);
// Valuation
var N = 5000;
var coord = new Coordinator(model, new List <Simulator>(), N);
var zarValue = coord.Value(new[] { cdsZAR }, anchorDate);
var usdValue = coord.Value(new[] { cdsUSD }, anchorDate);
Assert.AreEqual(0.0, zarValue, 800.0); // about 2bp
Assert.AreEqual(0.0, usdValue, 800.0); // about 2bp
}
/// <summary>
/// Creates dates that are <paramref name="periodTenor" /> apart. The first
/// date is <paramref name="startDate" /> the last date payment date is the first rolled date on or after
/// <paramref name="startDate" /> plus <paramref name="endTenor" />.
/// <para />
/// There is no holiday adjustment or stub period.
/// </summary>
/// <param name="startDate">The start date.</param>
/// <param name="endTenor"></param>
/// <param name="periodTenor">The period tenor.</param>
/// <returns></returns>
public static void CreateDatesNoHolidays(Date startDate, Tenor endTenor, Tenor periodTenor,
out List<Date> resetDates, out List<Date> paymentDates, out List<double> accrualFractions)
{
var dayCount = Actual365Fixed.Instance;
resetDates = new List<Date>();
paymentDates = new List<Date>();
accrualFractions = new List<double>();
var endDate = startDate.AddTenor(endTenor);
var resetDate = new Date(startDate);
var paymentDate = resetDate.AddTenor(periodTenor);
while (paymentDate <= endDate)
{
resetDates.Add(resetDate);
paymentDates.Add(paymentDate);
accrualFractions.Add(dayCount.YearFraction(resetDate, paymentDate));
resetDate = new Date(paymentDate);
paymentDate = resetDate.AddTenor(periodTenor);
}
}
public void TestPhysicalSwaptionEPE()
{
Coordinator coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
List <Date> exDate = new List <Date> {
new Date(2018, 9, 17)
};
// Couterparty has option to enter into a receive fixed swap
BermudanSwaption physicalSwaption = new BermudanSwaption(swapPay, exDate, false);
Date date = valueDate;
Date endDate = valueDate.AddTenor(new Tenor(0, 0, 3, 5));
List <Date> fwdValueDates = new List <Date>();
while (date <= endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.Days(10));
}
double[] epe = coordinator.EPE(new Product[] { physicalSwaption }, valueDate, fwdValueDates.ToArray());
//Debug.WriteToFile(@"c:\dev\temp\ene_physicalswaption_HW.csv", epe);
}
public void TestCoordinatorEPESwap()
{
// Make the swap
var rate = 0.07;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.FromYears(5);
var swap = TestHelpers.CreateZARSwap(rate, payFixed, notional, startDate, tenor, TestHelpers.Jibar3M);
// Set up the model
var valueDate = new Date(2016, 9, 17);
var a = 0.05;
var vol = 0.005;
var flatCurveRate = 0.07;
var hullWiteSim = new HullWhite1F(TestHelpers.ZAR, a, vol, flatCurveRate, flatCurveRate);
hullWiteSim.AddForecast(TestHelpers.Jibar3M);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var date = valueDate;
var endDate = valueDate.AddTenor(tenor);
var fwdValueDates = new List <Date>();
while (date < endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.FromDays(10));
}
var epe = coordinator.EPE(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
//Debug.WriteToFile(@"c:\dev\temp\epe_rate08_vol005.csv", epe);
Assert.AreEqual(2560, epe[0], 100.0);
Assert.AreEqual(6630, epe[90], 100.0);
Assert.AreEqual(734, epe[182], 30);
}
public void TestCoordinatorEPESwap()
{
// Make the swap
double rate = 0.07;
bool payFixed = true;
double notional = 1000000;
Date startDate = new Date(2016, 9, 17);
Tenor tenor = Tenor.Years(5);
IRSwap swap = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
// Set up the model
Date valueDate = new Date(2016, 9, 17);
double a = 0.05;
double vol = 0.005;
double flatCurveRate = 0.07;
HullWhite1F hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
hullWiteSim.AddForecast(FloatingIndex.JIBAR3M);
Coordinator coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
Date date = valueDate;
Date endDate = valueDate.AddTenor(tenor);
List <Date> fwdValueDates = new List <Date>();
while (date < endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.Days(10));
}
double[] epe = coordinator.EPE(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
//Debug.WriteToFile(@"c:\dev\temp\epe_rate08_vol005.csv", epe);
Assert.AreEqual(2560, epe[0], 100.0);
Assert.AreEqual(6630, epe[90], 100.0);
Assert.AreEqual(734, epe[182], 30);
}
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);
}
public void SetCalibrationDate(Date calibrationDate)
{
_startDate = calibrationDate.AddTenor(_startTenor);
_endDate = calibrationDate.AddTenor(_endTenor);
}
public static AssetSwap CreateAssetSwap(double payFixed, BesaJseBond besaJseBond, Date settleDate, FloatRateIndex index, double spread, Calendar calendar, Currency ccy, IDiscountingSource discountCurve)
{
//Design floating leg inputs
var dayCount = Actual365Fixed.Instance;
var unAdjResetDatesFloating = new List <Date>();
var unAdjPaymentDatesFloating = new List <Date>();
var resetDatesFloating = new List <Date>();
var paymentDatesFloating = new List <Date>();
var accrualFractions = new List <double>();
var endDate = besaJseBond.maturityDate;
var paymentDateFloating = new Date(endDate);
var resetDateFloating = paymentDateFloating.SubtractTenor(index.Tenor);
while (resetDateFloating >= settleDate)
{
unAdjPaymentDatesFloating.Add(paymentDateFloating);
unAdjResetDatesFloating.Add(resetDateFloating);
resetDatesFloating.Add(BusinessDayStore.ModifiedFollowing.Adjust(resetDateFloating, calendar));
paymentDatesFloating.Add(BusinessDayStore.ModifiedFollowing.Adjust(paymentDateFloating, calendar));
accrualFractions.Add(dayCount.YearFraction(BusinessDayStore.ModifiedFollowing.Adjust(resetDateFloating, calendar),
BusinessDayStore.ModifiedFollowing.Adjust(paymentDateFloating, calendar)));
paymentDateFloating = new Date(resetDateFloating);
resetDateFloating = paymentDateFloating.SubtractTenor(index.Tenor);
}
resetDatesFloating.Reverse();
paymentDatesFloating.Reverse();
accrualFractions.Reverse();
resetDatesFloating[0] = new Date(settleDate);
var firstResetDate = resetDatesFloating.First();
var firstPaymentDate = paymentDatesFloating.First();
accrualFractions[0] = dayCount.YearFraction(firstResetDate, firstPaymentDate);
//Design Fixed leg inputs
var unAdjPaymentDatesFixed = new List <Date>();
var paymentDatesFixed = new List <Date>();
var thisYearCpn1 = new Date(settleDate.Year, besaJseBond.couponMonth1, besaJseBond.couponDay1);
var thisYearCpn2 = new Date(settleDate.Year, besaJseBond.couponMonth2, besaJseBond.couponDay2);
var lastYearCpn2 = new Date(settleDate.Year - 1, besaJseBond.couponMonth2, besaJseBond.couponDay2);
Date lcd; //lcd stands for last coupon date
if (settleDate > thisYearCpn2)
{
lcd = new Date(thisYearCpn2.Year, thisYearCpn2.Month, thisYearCpn2.Day);
}
if (settleDate > thisYearCpn1)
{
lcd = new Date(thisYearCpn1.Year, thisYearCpn1.Month, thisYearCpn1.Day);
}
lcd = new Date(lastYearCpn2.Year, lastYearCpn2.Month, lastYearCpn2.Day);
Date ncd; //ncd stands for next coupon date
if (lcd.Month == besaJseBond.couponMonth2)
{
ncd = new Date(lcd.Year + 1, besaJseBond.couponMonth1, besaJseBond.couponDay1);
}
else
{
ncd = new Date(lcd.Year, besaJseBond.couponMonth2, besaJseBond.couponDay2);
}
var paymentDateFixed = new Date(ncd.AddTenor(Tenor.FromMonths(6)));
while (paymentDateFixed <= endDate)
{
unAdjPaymentDatesFixed.Add(paymentDateFixed);
paymentDatesFixed.Add(BusinessDayStore.ModifiedFollowing.Adjust(paymentDateFixed, calendar));
paymentDateFixed = paymentDateFixed.AddTenor(Tenor.FromMonths(6));
}
//create new instance of asset swap
var assetSwap = new AssetSwap(payFixed, index, besaJseBond, resetDatesFloating, paymentDatesFloating, paymentDatesFixed, spread,
accrualFractions, calendar, ccy);
//Create trade date of the swap
var effectiveDateDays = 3;
var unAdjTradeDate = settleDate.AddDays(-effectiveDateDays);
var tradeDate = BusinessDayStore.ModifiedFollowing.Adjust(unAdjTradeDate, assetSwap.zaCalendar);
//Set value date
assetSwap.SetValueDate(tradeDate);
// Calculate the first fixing off the curve to use at all past dates.
var df1 = discountCurve.GetDF(tradeDate);
var laterDate = tradeDate.AddTenor(assetSwap.index.Tenor);
var df2 = discountCurve.GetDF(laterDate);
var dt = (laterDate - tradeDate) / 365.0;
var rate = (df1 / df2 - 1) / dt;
// Create the forecast curve from the discount curve
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(discountCurve, assetSwap.index,
new FloatingRateFixingCurve1Rate(tradeDate, rate, assetSwap.index));
//Setting index values
var indexValues = new double[assetSwap.indexDates.Count];
for (var i = 0; i < assetSwap.indexDates.Count; i++)
{
indexValues[i] = forecastCurve.GetForwardRate(assetSwap.indexDates[i]);
}
assetSwap.SetIndexValues(assetSwap.index, indexValues);
return(assetSwap);
}
