public IFundingInstrument Clone() => new IrSwap
{
BasisFixed = BasisFixed,
BasisFloat = BasisFloat,
Currency = Currency,
Counterparty = Counterparty,
DiscountCurve = DiscountCurve,
EndDate = EndDate,
FixedLeg = FixedLeg.Clone(),
FloatLeg = FloatLeg.Clone(),
FlowScheduleFixed = FlowScheduleFixed.Clone(),
FlowScheduleFloat = FlowScheduleFloat.Clone(),
ForecastCurve = ForecastCurve,
NDates = NDates,
Notional = Notional,
ParRate = ParRate,
PillarDate = PillarDate,
ResetDates = ResetDates,
ResetFrequency = ResetFrequency,
SolveCurve = SolveCurve,
StartDate = StartDate,
SwapTenor = SwapTenor,
SwapType = SwapType,
TradeId = TradeId,
RateIndex = RateIndex,
PortfolioName = PortfolioName,
HedgingSet = HedgingSet
};
public static double LinearRateModel_FloatLegValue(string baseName, string floatLegName)
{
LinearRateModel model = ObjectMap.LinearRateModels[baseName];
FloatLeg fixedLeg = ObjectMap.FloatLegs[floatLegName];
return(model.ValueFloatLeg(fixedLeg));
}
public static object _CreateFloatLeg(string objectName,
object[,] currency,
object[,] floatingIndex,
object[,] resetDates,
object[,] paymentDates,
object[,] notionals,
object[,] spreads,
object[,] accrualFractions)
{
try
{
Currency _currency = XU.GetCurrency0D(currency, "currency");
FloatingIndex _floatingIndex = XU.GetFloatingIndex0D(floatingIndex, "floatingIndex");
Date[] _resetDates = XU.GetDate1D(resetDates, "resetDates");
Date[] _paymentDates = XU.GetDate1D(paymentDates, "paymentDates");
Double[] _notionals = XU.GetDouble1D(notionals, "notionals");
Double[] _spreads = XU.GetDouble1D(spreads, "spreads");
Double[] _accrualFractions = XU.GetDouble1D(accrualFractions, "accrualFractions");
FloatLeg _result = XLRates.CreateFloatLeg(_currency, _floatingIndex, _resetDates, _paymentDates, _notionals, _spreads, _accrualFractions);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
public static void BasisSwap_Make(string baseName, string floatLegNoSpreadName, string floatLegSpreadName, int tradeSign)
{
FloatLeg floatLegNoSpread = ObjectMap.FloatLegs[floatLegNoSpreadName];
FloatLeg floatLegSpread = ObjectMap.FloatLegs[floatLegSpreadName];
TenorBasisSwap swap = new MasterThesis.TenorBasisSwap(floatLegSpread, floatLegNoSpread, tradeSign);
ObjectMap.LinearRateInstruments[baseName] = swap;
ObjectMap.BasisSwaps[baseName] = swap;
}
public static void PlainVanillaSwap_Make(string baseName, string fixedLegName, string floatLegName, int tradeSign)
{
FixedLeg fixedLeg = ObjectMap.FixedLegs[fixedLegName];
FloatLeg floatLeg = ObjectMap.FloatLegs[floatLegName];
IrSwap swap = new MasterThesis.IrSwap(floatLeg, fixedLeg, tradeSign);
ObjectMap.LinearRateInstruments[baseName] = swap;
ObjectMap.IrSwaps[baseName] = swap;
}
public void SetCalibrationDate(Date calibrationDate)
{
_floatLeg = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _index, _spread);
_fixedLeg = SwapFactory.CreateFixedLeg(calibrationDate, _tenor, _index, _fixedRate);
_floatLeg.SetValueDate(calibrationDate);
_fixedLeg.SetValueDate(calibrationDate);
_endDate = _floatLeg.GetCashflowDates(_index.Currency).Max();
var otherEndDate = _fixedLeg.GetCashflowDates(_index.Currency).Max();
if (_endDate < otherEndDate)
{
_endDate = otherEndDate;
}
}
public void SetCalibrationDate(Date calibrationDate)
{
_leg1 = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _leg1Index, _leg1Spread);
_leg2 = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _leg2Index, _leg2Spread);
_leg1.SetValueDate(calibrationDate);
_leg2.SetValueDate(calibrationDate);
_endDate = _leg1.GetCashflowDates(_leg1Index.Currency).Max();
var otherEndDate = _leg2.GetCashflowDates(_leg2Index.Currency).Max();
if (_endDate < otherEndDate)
{
_endDate = otherEndDate;
}
}
private FloatLeg CreateFloatingLeg(Currency ccy, Date startDate, double notional, FloatingIndex index, int tenorYears)
{
int quarters = tenorYears * 4;
Date[] paymentDates = Enumerable.Range(1, quarters).Select(i => startDate.AddMonths(3 * i)).ToArray();
Date[] resetDates = Enumerable.Range(0, quarters).Select(i => startDate.AddMonths(3 * i)).ToArray();
double[] notionals = Vector.Ones(quarters).Multiply(notional);
double[] spreads = Vector.Zeros(quarters);
double[] accrualFractions = Vector.Ones(quarters).Multiply(0.25);
FloatingIndex[] floatingIndices = Enumerable.Range(1, quarters).Select(i => index).ToArray();
FloatLeg leg = new FloatLeg(ccy, paymentDates, notionals, resetDates, floatingIndices, spreads, accrualFractions);
return(leg);
}
public void TestFloatLeg()
{
// Make the reference swap
var rate = 0.0;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.Years(1);
var swap = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
// Make a FloatLeg
var resetDates = new Date[4];
var paymentDates = new Date[4];
var accrualFractions = new double[4];
var runningDate = new Date(2016, 9, 17);
for (var i = 0; i < 4; i++)
{
resetDates[i] = new Date(runningDate);
paymentDates[i] = resetDates[i].AddMonths(3);
accrualFractions[i] = (paymentDates[i] - resetDates[i]) / 365.0;
runningDate = paymentDates[i];
}
var floatLeg = new FloatLeg(Currency.ZAR, paymentDates, new[] { 1e6, 1e6, 1e6, 1e6 },
resetDates,
new[] { FloatingIndex.JIBAR3M, FloatingIndex.JIBAR3M, FloatingIndex.JIBAR3M, FloatingIndex.JIBAR3M },
new double[] { 0, 0, 0, 0 }, accrualFractions);
// Set up the model
var valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, FloatingIndex.JIBAR3M, dates, rates);
var curveSim = new DeterminsiticCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
// Run the valuation
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
var swapValue = coordinator.Value(new Product[] { swap }, valueDate);
var floatLegValue = coordinator.Value(new Product[] { floatLeg }, valueDate);
Assert.AreEqual(swapValue, floatLegValue, 0.01);
}
/// <summary>
/// Curve based valuation of <see cref="FloatLeg"/>. Assumes that correct forecast and discount curves have been provided.
/// </summary>
/// <param name="leg"></param>
/// <param name="forecastCurve"></param>
/// <param name="discountCurve"></param>
/// <returns></returns>
public static double CurvePV(this FloatLeg leg, IFloatingRateSource forecastCurve,
IDiscountingSource discountCurve)
{
var legIndex = forecastCurve.GetFloatingIndex();
var resetDates1 = leg.GetRequiredIndexDates(legIndex);
var indexValues1 = new double[resetDates1.Count];
for (var i = 0; i < resetDates1.Count; i++)
{
indexValues1[i] = forecastCurve.GetForwardRate(resetDates1[i]);
}
leg.SetIndexValues(legIndex, indexValues1);
var cfs1 = leg.GetCFs();
var value1 = cfs1.PV(discountCurve);
return(value1);
}
