public void TestSwapHW()
{
// Make the swap
var rate = 0.08;
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>(), 10000);
// Run the valuation
var value = coordinator.Value(new Product[] { swap }, valueDate);
var refValue = -41838.32; // See RateProductTest.xlsx
Assert.AreEqual(refValue, value, 4000);
}
public void Init()
{
// Set up the model
_valueDate = new Date(2016, 9, 17);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.07;
_hullWhiteSim = new HullWhite1F(TestHelpers.ZAR, a, vol, flatCurveRate, flatCurveRate);
_hullWhiteSim.AddForecast(TestHelpers.Jibar3M);
// Make the underlying swap
var rate = 0.07;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.FromYears(5);
_swapPay = TestHelpers.CreateZARSwap(rate, payFixed, notional, startDate, tenor, TestHelpers.Jibar3M);
_swapRec = TestHelpers.CreateZARSwap(rate, !payFixed, notional, startDate, tenor, TestHelpers.Jibar3M);
// Full set of exercise dates
_exDates = new List <Date>
{
new Date(2017, 9, 17),
new Date(2018, 9, 17),
new Date(2019, 9, 17),
new Date(2020, 9, 17)
};
}
public void TestHullWhite1FForwardsLowRates()
{
Date valueDate = new Date(2016, 9, 17);
double flatRate = 0.01;
HullWhite1F usdRatesSim = new HullWhite1F(Currency.USD, 0.05, 0.01, flatRate, flatRate, valueDate);
usdRatesSim.AddForecast(FloatingIndex.LIBOR3M);
List <Date> simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
simDates.Add(simDates[0].AddTenor(FloatingIndex.LIBOR3M.tenor));
usdRatesSim.Reset();
usdRatesSim.SetNumeraireDates(simDates);
usdRatesSim.Prepare();
int N = 10000;
double[,] simFwdValues = Matrix.Zeros(N, 2);
for (int i = 0; i < N; i++)
{
usdRatesSim.RunSimulation(i);
simFwdValues[i, 0] = usdRatesSim.GetIndices(FloatingIndex.LIBOR3M, simDates)[0];
simFwdValues[i, 1] = 1.0 / usdRatesSim.Numeraire(simDates[1]);
}
double dt = (simDates[1] - simDates[0]) / 365.0;
double impliedFwd = (Math.Exp(flatRate * dt) - 1) / dt;
double[] discountedFRA = simFwdValues.GetColumn(0).Subtract(impliedFwd);
discountedFRA = Elementwise.Multiply(discountedFRA, simFwdValues.GetColumn(1));
double actual = discountedFRA.Mean();
Assert.AreEqual(0.0, actual, 1e-4);
}
public void TestHullWhite1FForwardsLowRates()
{
var valueDate = new Date(2016, 9, 17);
var flatRate = 0.01;
var usdRatesSim = new HullWhite1F(TestHelpers.USD, 0.05, 0.01, flatRate, flatRate);
usdRatesSim.AddForecast(TestHelpers.Libor3M);
var simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
simDates.Add(simDates[0].AddTenor(TestHelpers.Libor3M.Tenor));
usdRatesSim.Reset();
usdRatesSim.SetNumeraireDates(simDates);
usdRatesSim.Prepare(valueDate);
var N = 10000;
var simFwdValues = Matrix.Zeros(N, 2);
for (var i = 0; i < N; i++)
{
usdRatesSim.RunSimulation(i);
simFwdValues[i, 0] = usdRatesSim.GetIndices(TestHelpers.Libor3M, simDates)[0];
simFwdValues[i, 1] = 1.0 / usdRatesSim.Numeraire(simDates[1]);
}
var dt = (simDates[1] - simDates[0]) / 365.0;
var impliedFwd = (Math.Exp(flatRate * dt) - 1) / dt;
var discountedFRA = simFwdValues.GetColumn(0).Subtract(impliedFwd);
discountedFRA = discountedFRA.Multiply(simFwdValues.GetColumn(1));
var actual = discountedFRA.Mean();
Assert.AreEqual(0.0, actual, 2e-4);
}
public void Init()
{
// Set up the model
valueDate = new Date(2016, 9, 17);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.07;
hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
hullWiteSim.AddForecast(FloatingIndex.JIBAR3M);
// Make the underlying swap
var rate = 0.07;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.Years(5);
swapPay = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
swapRec = IRSwap.CreateZARSwap(rate, !payFixed, notional, startDate, tenor);
// Full set of exercise dates
exDates = new List <Date>
{
new Date(2017, 9, 17),
new Date(2018, 9, 17),
new Date(2019, 9, 17),
new Date(2020, 9, 17)
};
}
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();
}
/// <summary>
/// Initializes a new instance of the <see cref="MultiHWAndFXToy"/> class.
/// </summary>
/// <param name="anchorDate">The anchor date.</param>
/// <param name="numeraireCcy">The numeraire currency.</param>
/// <param name="rateSimulators"></param>
/// <param name="currencyPairs"></param>
/// <param name="spots">The exchange rates at the anchor date. Discounted from the spot values. Quoted in units of the numeraire currency per unit of the foreign currency.</param>
/// <param name="vols"></param>
/// <param name="correlations"></param>
/// <exception cref="System.ArgumentException">A rate simulator must be provided for the numeraire currency: " + numeraireCcy.ToString()</exception>
public MultiHWAndFXToy(Date anchorDate, Currency numeraireCcy, HullWhite1F[] rateSimulators, CurrencyPair[] currencyPairs,
double[] spots, double[] vols, double[,] correlations)
{
this.anchorDate = anchorDate;
this.numeraireCcy = numeraireCcy;
this.rateSimulators = rateSimulators;
this.currencyPairs = currencyPairs;
this.spots = spots;
this.vols = vols;
this.correlations = correlations;
normal = new MultivariateNormalDistribution(Vector.Zeros(currencyPairs.Length), correlations);
numeraireSimulator = null;
ccySimMap = new Dictionary <Currency, HullWhite1F>();
foreach (HullWhite1F simulator in rateSimulators)
{
if (simulator.GetNumeraireCurrency() == numeraireCcy)
{
numeraireSimulator = simulator;
}
ccySimMap[simulator.GetNumeraireCurrency()] = simulator;
}
if (numeraireSimulator == null)
{
throw new ArgumentException("A rate simulator must be provided for the numeraire currency: " + numeraireCcy.ToString());
}
}
public void TestMultiHWAndFXToyForwards()
{
Date valueDate = new Date(2016, 9, 17);
HullWhite1F zarRatesSim = new HullWhite1F(Currency.ZAR, 0.05, 0.01, 0.07, 0.07, valueDate);
zarRatesSim.AddForecast(FloatingIndex.JIBAR3M);
HullWhite1F usdRatesSim = new HullWhite1F(Currency.USD, 0.05, 0.0000001, 0.01, 0.01, valueDate);
usdRatesSim.AddForecast(FloatingIndex.LIBOR3M);
HullWhite1F eurRatesSim = new HullWhite1F(Currency.EUR, 0.05, 0.0000001, 0.005, 0.005, valueDate);
eurRatesSim.AddForecast(FloatingIndex.EURIBOR3M);
CurrencyPair[] currencyPairs = new CurrencyPair[] { new CurrencyPair(Currency.USD, Currency.ZAR), new CurrencyPair(Currency.EUR, Currency.ZAR) };
double[] spots = new double[] { 13.6, 15.0 };
double[] vols = new double[] { 0.15, 0.15 };
double[,] correlations = new double[, ] {
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
MultiHWAndFXToy model = new MultiHWAndFXToy(valueDate, Currency.ZAR, new HullWhite1F[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
List <Date> simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
model.Reset();
model.SetNumeraireDates(simDates);
model.SetRequiredDates(currencyPairs[0], simDates); // Will simulate both currency pairs
model.Prepare();
int N = 100;
double[,] fwdSpotValues = Matrix.Zeros(N, 5);
for (int i = 0; i < N; i++)
{
model.RunSimulation(i);
fwdSpotValues[i, 0] = model.GetIndices(currencyPairs[0], simDates)[0];
fwdSpotValues[i, 1] = model.GetIndices(currencyPairs[1], simDates)[0];
fwdSpotValues[i, 2] = model.GetIndices(FloatingIndex.JIBAR3M, simDates)[0];
fwdSpotValues[i, 3] = model.GetIndices(FloatingIndex.LIBOR3M, simDates)[0];
fwdSpotValues[i, 4] = model.GetIndices(FloatingIndex.EURIBOR3M, simDates)[0];
}
double meanUSDZAR = fwdSpotValues.GetColumn(0).Mean();
double meanEURZAR = fwdSpotValues.GetColumn(1).Mean();
double meanJibar = fwdSpotValues.GetColumn(2).Mean();
double meanLibor = fwdSpotValues.GetColumn(3).Mean();
double meanEuribor = fwdSpotValues.GetColumn(4).Mean();
Assert.AreEqual(15.7, meanUSDZAR, 0.1);
Assert.AreEqual(17.2, meanEURZAR, 0.1);
Assert.AreEqual(0.071, meanJibar, 1e-4);
Assert.AreEqual(0.01, meanLibor, 1e-4);
Assert.AreEqual(0.005, meanEuribor, 1e-4);
}
public void TestMultiHWAndFXToyForwards()
{
var valueDate = new Date(2016, 9, 17);
var zarRatesSim = new HullWhite1F(TestHelpers.ZAR, 0.05, 0.01, 0.07, 0.07);
zarRatesSim.AddForecast(TestHelpers.Jibar3M);
var usdRatesSim = new HullWhite1F(TestHelpers.USD, 0.05, 0.0000001, 0.01, 0.01);
usdRatesSim.AddForecast(TestHelpers.Libor3M);
var eurRatesSim = new HullWhite1F(TestHelpers.EUR, 0.05, 0.0000001, 0.005, 0.005);
eurRatesSim.AddForecast(TestHelpers.Euribor3M);
CurrencyPair[] currencyPairs =
{ TestHelpers.USDZAR, TestHelpers.EURZAR };
double[] spots = { 13.6, 15.0 };
double[] vols = { 0.15, 0.15 };
double[,] correlations = { { 1.0, 0.0 }, { 0.0, 1.0 } };
var model = new MultiHWAndFXToy(valueDate, TestHelpers.ZAR, new[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
var simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
model.Reset();
model.SetNumeraireDates(simDates);
model.SetRequiredDates(currencyPairs[0], simDates); // Will simulate both currency pairs
model.Prepare(valueDate);
var N = 100;
var fwdSpotValues = Matrix.Zeros(N, 5);
for (var i = 0; i < N; i++)
{
model.RunSimulation(i);
fwdSpotValues[i, 0] = model.GetIndices(currencyPairs[0], simDates)[0];
fwdSpotValues[i, 1] = model.GetIndices(currencyPairs[1], simDates)[0];
fwdSpotValues[i, 2] = model.GetIndices(TestHelpers.Jibar3M, simDates)[0];
fwdSpotValues[i, 3] = model.GetIndices(TestHelpers.Libor3M, simDates)[0];
fwdSpotValues[i, 4] = model.GetIndices(TestHelpers.Euribor3M, simDates)[0];
}
var meanUSDZAR = fwdSpotValues.GetColumn(0).Mean();
var meanEURZAR = fwdSpotValues.GetColumn(1).Mean();
var meanJibar = fwdSpotValues.GetColumn(2).Mean();
var meanLibor = fwdSpotValues.GetColumn(3).Mean();
var meanEuribor = fwdSpotValues.GetColumn(4).Mean();
Assert.AreEqual(15.0, meanUSDZAR, 0.1);
Assert.AreEqual(17.2, meanEURZAR, 0.1);
Assert.AreEqual(0.07, meanJibar, 2e-3);
Assert.AreEqual(0.01, meanLibor, 1e-4);
Assert.AreEqual(0.005, meanEuribor, 1e-4);
}
public void TestCallableBond()
{
var valueDate = new Date(2017, 1, 23);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.18;
var hullWiteSim = new HullWhite1F(TestHelpers.ZAR, a, vol, flatCurveRate, flatCurveRate);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var callableBond = new CallableBond(TestHelpers.ZAR);
var value1 = coordinator.Value(new Product[] { callableBond }, valueDate);
}
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 void TestCallableBond()
{
Date valueDate = new Date(2017, 1, 23);
double a = 0.05;
double vol = 0.01;
double flatCurveRate = 0.18;
HullWhite1F hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
Coordinator coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
CallableBond callableBond = new CallableBond();
double value1 = coordinator.Value(new Product[] { callableBond }, valueDate);
}
public void TestMultiHWAndFXToyCCIRS()
{
var valueDate = new Date(2016, 9, 17);
var zarRatesSim = new HullWhite1F(Currency.ZAR, 0.05, 0.01, 0.07, 0.07, valueDate);
zarRatesSim.AddForecast(FloatingIndex.JIBAR3M);
var usdRatesSim = new HullWhite1F(Currency.USD, 0.05, 0.01, 0.01, 0.01, valueDate);
usdRatesSim.AddForecast(FloatingIndex.LIBOR3M);
var eurRatesSim = new HullWhite1F(Currency.EUR, 0.05, 0.01, 0.005, 0.005, valueDate);
eurRatesSim.AddForecast(FloatingIndex.EURIBOR3M);
var currencyPairs = new[]
{ new CurrencyPair(Currency.USD, Currency.ZAR), new CurrencyPair(Currency.EUR, Currency.ZAR) };
var spots = new[] { 13.6, 15.0 };
var vols = new[] { 0.15, 0.15 };
var correlations = new[, ]
{
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
var model = new MultiHWAndFXToy(valueDate, Currency.ZAR, new[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
var portfolio = new List <Product>();
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, -15e6, FloatingIndex.JIBAR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.EUR, valueDate, +1e6, FloatingIndex.EURIBOR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, 13e6, FloatingIndex.JIBAR3M, 13));
portfolio.Add(CreateFloatingLeg(Currency.USD, valueDate, -1e6, FloatingIndex.EURIBOR3M, 13));
portfolio.Add(IRSwap.CreateZARSwap(0.07, true, 20e6, valueDate, Tenor.Years(4)));
var stepInMonths = 1;
var fwdValueDates = Enumerable.Range(1, 13 * 12 / stepInMonths)
.Select(i => valueDate.AddMonths(stepInMonths * i)).ToArray();
var coord = new Coordinator(model, new List <Simulator>(), 1000);
//coord.SetThreadedness(false);
var epe = coord.EPE(portfolio.ToArray(), valueDate, fwdValueDates);
Assert.AreEqual(1555002, epe[0], 5000);
Assert.AreEqual(2170370, epe[87], 5000);
Assert.AreEqual(0, epe[155], 5);
//Debug.WriteToFile("c:\\dev\\quantsa\\temp\\epeTest_singlethread_10000.csv", epe);
}
public void TestMultiHWAndFXToyCCIRS()
{
var valueDate = new Date(2016, 9, 17);
var zarRatesSim = new HullWhite1F(TestHelpers.ZAR, 0.05, 0.01, 0.07, 0.07);
zarRatesSim.AddForecast(TestHelpers.Jibar3M);
var usdRatesSim = new HullWhite1F(TestHelpers.USD, 0.05, 0.01, 0.01, 0.01);
usdRatesSim.AddForecast(TestHelpers.Libor3M);
var eurRatesSim = new HullWhite1F(TestHelpers.EUR, 0.05, 0.01, 0.005, 0.005);
eurRatesSim.AddForecast(TestHelpers.Euribor3M);
var currencyPairs = new[] { TestHelpers.USDZAR, TestHelpers.EURZAR };
var spots = new[] { 13.6, 15.0 };
var vols = new[] { 0.15, 0.15 };
var correlations = new[, ]
{
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
var model = new MultiHWAndFXToy(valueDate, TestHelpers.ZAR, new[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
var portfolio = new List <IProduct>
{
CreateFloatingLeg(TestHelpers.ZAR, valueDate, -15e6, TestHelpers.Jibar3M, 7),
CreateFloatingLeg(TestHelpers.EUR, valueDate, +1e6, TestHelpers.Euribor3M, 7),
CreateFloatingLeg(TestHelpers.ZAR, valueDate, 13e6, TestHelpers.Jibar3M, 13),
CreateFloatingLeg(TestHelpers.USD, valueDate, -1e6, TestHelpers.Euribor3M, 13),
TestHelpers.CreateZARSwap(0.07, true, 20e6, valueDate, Tenor.FromYears(4), TestHelpers.Jibar3M)
};
var stepInMonths = 1;
var fwdValueDates = Enumerable.Range(1, 13 * 12 / stepInMonths)
.Select(i => valueDate.AddMonths(stepInMonths * i)).ToArray();
var coord = new Coordinator(model, new List <Simulator>(), 1000);
//coord.SetThreadedness(false);
var epe = coord.EPE(portfolio.ToArray(), valueDate, fwdValueDates);
Assert.AreEqual(1489695, epe[0], 5000);
Assert.AreEqual(2194183, epe[87], 5000);
Assert.AreEqual(0, epe[155], 5);
//QuantSA.Shared.Debug.Debug.WriteToFile("c:\\dev\\quantsa\\temp\\epeTest_singlethread_10000.csv", epe);
}
private Dictionary <int, double[]> simulation; // stores the simulated spot rates at each required date
/// <summary>
/// Initializes a new instance of the <see cref="MultiHWAndFXToy"/> class.
/// </summary>
/// <param name="anchorDate">The anchor date.</param>
/// <param name="numeraireCurve">The numeraire curve.</param>
/// <param name="numeraireHWParams"></param>
/// <param name="otherCcys">The other currencies that will be simulated.</param>
/// <param name="otherCcySpots">The exchange rates at the anchor date. Discounted from the spot values. Quoted in units of the numeraire currency per unit of the foreign currency.</param>
/// <param name="otherCcyVols"></param>
/// <param name="otherCcyCurves"></param>
/// <param name="otherCcyHwParams"></param>
/// <param name="correlations">The correlation matrix ordered by: numeraireRate, otherCcy1Rate, ..., otherCcyFX1, ...</param>
/// <exception cref="System.ArgumentException">A rate simulator must be provided for the numeraire currency: " + numeraireCcy.ToString()</exception>
public MultiHWAndFXToy(Date anchorDate, IDiscountingSource numeraireCurve,
List <FloatingIndex> numeraireCcyRequiredIndices, HWParams numeraireHWParams,
List <Currency> otherCcys, List <double> otherCcySpots, List <double> otherCcyVols,
List <IDiscountingSource> otherCcyCurves, List <List <FloatingIndex> > otherCcyRequiredIndices,
List <HWParams> otherCcyHwParams,
double[,] correlations)
{
this.anchorDate = anchorDate;
numeraireCcy = numeraireCurve.GetCurrency();
List <HullWhite1F> rateSimulatorsList = new List <HullWhite1F>();
ccySimMap = new Dictionary <Currency, HullWhite1F>();
double rate = -Math.Log(numeraireCurve.GetDF(anchorDate.AddMonths(12)));
numeraireSimulator = new HullWhite1F(numeraireCcy, numeraireHWParams.meanReversionSpeed,
numeraireHWParams.vol, rate, rate, anchorDate);
foreach (FloatingIndex index in numeraireCcyRequiredIndices)
{
numeraireSimulator.AddForecast(index);
}
rateSimulatorsList.Add(numeraireSimulator);
ccySimMap[numeraireCcy] = numeraireSimulator;
for (int i = 0; i < otherCcys.Count; i++)
{
rate = -Math.Log(otherCcyCurves[i].GetDF(anchorDate.AddMonths(12)));
HullWhite1F thisSim = new HullWhite1F(otherCcys[i], otherCcyHwParams[i].meanReversionSpeed,
otherCcyHwParams[i].vol, rate, rate, anchorDate);
foreach (FloatingIndex index in otherCcyRequiredIndices[i])
{
thisSim.AddForecast(index);
}
rateSimulatorsList.Add(thisSim);
ccySimMap[otherCcys[i]] = thisSim;
}
currencyPairs = otherCcys.Select(ccy => new CurrencyPair(ccy, numeraireCcy)).ToArray();
spots = otherCcySpots.ToArray();
vols = otherCcyVols.ToArray();
this.correlations = Matrix.Identity(otherCcys.Count);
normal = new MultivariateNormalDistribution(Vector.Zeros(currencyPairs.Length), correlations);
rateSimulators = rateSimulatorsList.ToArray();
}
public static object _CreateHWModelDemo(string objectName,
object[,] meanReversion,
object[,] flatVol,
object[,] baseCurve,
object[,] forecastIndices)
{
try
{
Double _meanReversion = XU.GetDouble0D(meanReversion, "meanReversion");
Double _flatVol = XU.GetDouble0D(flatVol, "flatVol");
IDiscountingSource _baseCurve = XU.GetObject0D <IDiscountingSource>(baseCurve, "baseCurve");
FloatingIndex _forecastIndices = XU.GetFloatingIndex0D(forecastIndices, "forecastIndices");
HullWhite1F _result = XLRates.CreateHWModelDemo(_meanReversion, _flatVol, _baseCurve, _forecastIndices);
return(XU.AddObject(objectName, _result));
}
catch (Exception e)
{
return(XU.Error0D(e));
}
}
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);
}
public void HullWhite1F_CanCloneViaSerialize()
{
var model = new HullWhite1F(TestHelpers.ZAR, 0.05, 0.01, 0.07, 0.07);
var newModel = (HullWhite1F)Cloner.Clone(model);
}