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);
}
public void TestManySwaps()
{
Debug.StartTimer();
Product[] allSwaps = GetListOfSwaps();
Debug.WriteLine("Create swaps took: " + Debug.ElapsedTime().ToString());
// Set up the model
Date valueDate = new Date(2016, 11, 21);
Date[] dates = { new Date(2016, 11, 21), new Date(2047, 11, 21) };
Date[] datesLong = { new Date(2016, 11, 21), new Date(2018, 11, 21), new Date(2020, 11, 21), new Date(2022, 11, 21), new Date(2024, 11, 21), new Date(2047, 11, 21) };
double[] rates = { 0.07, 0.07 };
double[] ratesLong = { 0.07, 0.071, 0.072, 0.073, 0.074, 0.08 };
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate, datesLong, ratesLong);
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(discountCurve, FloatingIndex.JIBAR3M,
new FloatingRateFixingCurve1Rate(0.07, FloatingIndex.JIBAR3M));
DeterminsiticCurves curveSim = new DeterminsiticCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
Coordinator coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
Debug.StartTimer();
double value = coordinator.Value(allSwaps, valueDate);
Debug.WriteLine("Value took: " + Debug.ElapsedTime().ToString());
}
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);
}
private DatesAndRates InitializeCurve(Date calibrationDate, InitialValueCollector initialValueCollector,
ObjectiveFunction objective, DiscountingSourceDescription curveToStrip,
IEnumerable <FloatRateIndex> indicesToBaseOffCurve)
{
if (curveToStrip == null)
{
return(null);
}
var curveNames = new List <string> {
curveToStrip.Name
};
var indices = indicesToBaseOffCurve.ToList();
curveNames.AddRange(
indices.Select(ind => new FloatingRateSourceDescription(ind).Name));
var initial = initialValueCollector.GetValues(curveNames);
var curve = new DatesAndRates(curveToStrip.Currency, calibrationDate,
initial.dates, initial.values);
foreach (var index in indices)
{
var name = new FloatingRateSourceDescription(index).Name;
_floatingRateSources[name] = new ForecastCurveFromDiscount(curve, index, null);
}
objective.AddCurve(curve, initial.values);
return(curve);
}
public void TestManySwaps()
{
Debug.StartTimer();
var allSwaps = GetListOfSwaps();
Debug.WriteLine("Create swaps took: " + Debug.ElapsedTime());
// Set up the model
var valueDate = new Date(2016, 11, 21);
Date[] datesLong =
{
new Date(2016, 11, 21), new Date(2018, 11, 21), new Date(2020, 11, 21), new Date(2022, 11, 21),
new Date(2024, 11, 21), new Date(2047, 11, 21)
};
double[] ratesLong = { 0.07, 0.071, 0.072, 0.073, 0.074, 0.08 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, datesLong, ratesLong);
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(discountCurve, TestHelpers.Jibar3M,
new FloatingRateFixingCurve1Rate(valueDate, 0.07, TestHelpers.Jibar3M));
var curveSim = new DeterministicCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
Debug.StartTimer();
var value = coordinator.Value(allSwaps, valueDate);
Debug.WriteLine("Value took: " + Debug.ElapsedTime());
}
public bool TryCalibrate(Date calibrationDate, IMarketDataContainer marketDataContainer)
{
if (!marketDataContainer.Contains(_baseCurveDescription))
{
return(false);
}
var underlyingDiscountCurve = marketDataContainer.Get(_baseCurveDescription);
_curve = new ForecastCurveFromDiscount(underlyingDiscountCurve, _index, null);
return(true);
}
public static ResultStore AssetSwapMeasures(this AssetSwap assetSwap, Date settleDate, double ytm, IDiscountingSource discountCurve)
{
//Create Asset Swap
var swap = CreateAssetSwap(assetSwap.payFixed, assetSwap.underlyingBond, settleDate, assetSwap.index, assetSwap.spread, assetSwap.zaCalendar,
assetSwap.ccy, discountCurve);
//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 noOfDays = 365;
var dt = (laterDate - tradeDate) / noOfDays;
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[swap.indexDates.Count];
for (var i = 0; i < swap.indexDates.Count; i++)
{
indexValues[i] = forecastCurve.GetForwardRate(swap.indexDates[i]);
}
assetSwap.SetIndexValues(assetSwap.index, indexValues);
//Calculate present value of fixed and floating cashflows
var numeratorCFs = swap.GetCFs().PV(discountCurve);
//Calculate present value of denominator cashflows for spread equation
var denomCFs = new List <Cashflow>();
var nominalAmount = 100;
for (var i = 0; i < swap.paymentDatesFloating.Count; i++)
{
if (i <= swap.paymentDatesFloating.Count)
{
denomCFs.Add(new Cashflow(swap.paymentDatesFloating[i], -nominalAmount * swap.accrualFractions[i], swap.ccy));
}
}
var bondresults = assetSwap.underlyingBond.GetSpotMeasures(settleDate, ytm);
var roundedAip = (double)bondresults.GetScalar(BesaJseBondEx.Keys.RoundedAip);
var denominatorCFs = denomCFs.PV(discountCurve);
var firstCF = new List <Cashflow>();
for (var i = 0; i < 1; i++)
{
if (i <= 1)
{
firstCF.Add(new Cashflow(settleDate, (roundedAip - 100), swap.ccy));
}
}
var pvFirstCF = firstCF.PV(discountCurve);
//This is the assetSwapSpread calculation
var assetSwapSpread = (pvFirstCF + numeratorCFs) / denominatorCFs;
var results = new ResultStore();
results.Add(Keys.RoundedAip, roundedAip);
results.Add(Keys.PVFirstCF, pvFirstCF);
results.Add(Keys.NumeratorCashFlowsPrice, numeratorCFs);
results.Add(Keys.DenominatorCashFlowsPrice, denominatorCFs);
results.Add(Keys.AssetSwapSpread, assetSwapSpread);
return(results);
}
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);
}
