protected void PrePorcessData(RateSet rateSetMC, ISingleRateCurve DiscountingCurve)
{
this.refDate = rateSetMC.refDate;
this.DCurve = DiscountingCurve; // my curve used in discounting
FWDInterpolator = new Interpolation(); // Interpolator used in fwd
this.mktRateSet = rateSetMC; // pass market rate set
// Create Building block
IEnumerable <BuildingBlock> BB = mktRateSet.GetArrayOfBB();
// Sort ascending end date
BBArray = from c in BB
orderby c.endDate.SerialValue ascending
select c;
// Only Given Swap from BBArray
OnlyGivenSwap = (from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select(SwapStyle) c).ToArray();
// validating underlying tenor: swap should be all vs the same tenor
string UnderlyingTenor = ((SwapStyle)OnlyGivenSwap.First()).swapLeg2.UnderlyingRateTenor;
// Getting the fixing
fixing = (from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
where c.endDate == refDate.add_period(UnderlyingTenor)
select c.rateValue).Single();
// From date of each fwd rate from longer swap(LS)
// FromDatesSerial = Date.GetSerialValue(OnlyGivenSwap.Last().scheduleLeg2.fromDates);
List <double> SerialDate = (from c in OnlyGivenSwap
select c.scheduleLeg2.fromDates.Last().SerialValue).ToList <double>();
// adding reference date at beginning (this is important since I use the fixing)
SerialDate.Insert(0, refDate.SerialValue);
FromDatesSerial = SerialDate.ToArray();
// some data validation: swap should be all of same building block
// the type of building block
BuildingBlockType BBT = OnlyGivenSwap[0].buildingBlockType;
// Are all them the same?
bool IsSameSwapType = OnlyGivenSwap.All(s => s.buildingBlockType == BBT);
if (IsSameSwapType) // if true
{
// it is swap type used as inputs (i.e. EurSwapVs6m, EurSwapVs3m, ...)
SwapType = (SwapStyle) new BuildingBlockFactory().CreateEmptyBuildingBlock(BBT);
}
else
{
throw new ArgumentException("error in building blocktype"); // if not throw an exception
}
}
public RateSet mktRateSet; // market starting data
// constructor: RateSet rateSet are market data inputs
public SingleCurveBuilder(RateSet rateSet)
{
// RefDate
refDate = rateSet.refDate;
PostProcessInterpo = new Interpolation(); // Post process interpolator
interpAdapter = new DoInterpOn();
mktRateSet = rateSet;
// Create Building block
IEnumerable <BuildingBlock> BB = rateSet.GetArrayOfBB();
// Sort ascending end date
BBArray = from c in BB
orderby c.endDate.SerialValue ascending
select c;
// Only Given Swap from BBArray
OnlyGivenSwap = (from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select(SwapStyle) c).ToArray();
// some data validation: swap should be all of same building block
// the type of building block
BuildingBlockType BBT = OnlyGivenSwap[0].buildingBlockType;
// Are all them the same?
bool IsSameSwapType = OnlyGivenSwap.All(s => s.buildingBlockType == BBT);
if (IsSameSwapType) // if true
{
// it is swap type used as inputs (i.e. EurSwapVs6m, EurSwapVs3m, ...)
SwapType = (SwapStyle) new BuildingBlockFactory().CreateEmptyBuildingBlock(BBT);
}
else
{
throw new ArgumentException("error in building blocktype"); // if not throw an exception
}
}
// Print on excel forward rate using different curve builder for OIS fwd 3m
public static void CheckFwdRatesOIS3m()
{
#region Inputs
// ref date
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
mktRates.Add(2.338e-2, "1d", BuildingBlockType.EURDEPO); //
mktRates.Add(2.272e-2, "1w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.241e-2, "2w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.16e-2, "3w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.226e-2, "1m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.299e-2, "2m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.323e-2, "3m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.344e-2, "4m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.371e-2, "5m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.39e-2, "6m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.41e-2, "7m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.4316e-2, "8m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.449e-2, "9m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.466e-2, "10m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.48e-2, "11m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.529e-2, "15m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.565e-2, "18m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.603e-2, "21m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.493e-2, "1Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.644e-2, "2Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.849e-2, "3Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.08e-2, "4Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.292e-2, "5Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.471e-2, "6Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.621e-2, "7Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.748e-2, "8Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.86e-2, "9Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.965e-2, "10Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.064e-2, "11Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.155e-2, "12Y", BuildingBlockType.EONIASWAP);
// From here interpolation is need
mktRates.Add(4.358e-2, "15Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.48e-2, "20Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.465e-2, "25Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.415e-2, "30Y", BuildingBlockType.EONIASWAP);
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
#endregion end Inputs
#region building curve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> C1 = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
#endregion end building curve
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
#region printing output
// I get the longer eonia swap available from the input data
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Schedule s = new Schedule(refDate, LS.endDate, "3m", Rule.Backward, LS.swapLeg1.SwapBusDayRollsAdj, "0d", LS.swapLeg1.SwapBusDayPayAdj);
Dc dc = Dc._Act_360;
Date[] FromDate = s.fromDates;
Date[] ToDate = s.toDates;
int N = FromDate.Length;
List <Vector <double> > Fwds = new List <Vector <double> >();
double[] dt = new double[N];
for (int i = 0; i < N; i++)
{
dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
}
foreach (IRateCurve myC in CurveList)
{
double[] fwd = new double[N];
for (int i = 0; i < N; i++)
{
double yf = FromDate[i].YF(ToDate[i], dc);
double df_ini = myC.Df(FromDate[i]);
double df_end = myC.Df(ToDate[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
Fwds.Add(new Vector <double>(fwd));
}
ExcelMechanisms exl = new ExcelMechanisms();
exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
// Print on excel forward rate using different curve builder for 3m
public static void CheckFwdRatesVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(0.434e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(0.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
#region building curve
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
double firstFixing = 0.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C3 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
#endregion end building curve
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
CurveList.Add(C3); CurveString.Add(C3.ToString());
#region printing output
// I get the longer swap
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Dc dc = Dc._Act_360;
Date[] FromDate = LS.scheduleLeg2.fromDates;
Date[] ToDate = LS.scheduleLeg2.toDates;
int N = FromDate.Length;
List <Vector <double> > Fwds = new List <Vector <double> >();
double[] dt = new double[N];
for (int i = 0; i < N; i++)
{
dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
}
foreach (IRateCurve myC in CurveList)
{
double[] fwd = new double[N];
for (int i = 0; i < N; i++)
{
double yf = FromDate[i].YF(ToDate[i], dc);
double df_ini = myC.Df(FromDate[i]);
double df_end = myC.Df(ToDate[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
Fwds.Add(new Vector <double>(fwd));
}
ExcelMechanisms exl = new ExcelMechanisms();
exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd vs 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
// Check if the process will match the starting inputs
public static void CheckInputsVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate markets rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
// Uncomment to chose the curve
// SingleCurveBuilderStandard<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderStandard<OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
double firstFixing = 1.435e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator>(mktRates, firstFixing);
// SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator>(mktRates);
#region print output
IEnumerable <BuildingBlock> BBArray = mktRates.GetArrayOfBB();
// Only Given Swap from BBArray
IEnumerable <BuildingBlock> OnlyGivenDepo = from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
select c;
Console.WriteLine(C.ToString());
Console.WriteLine("Recalc Df at Ref Date: {0}", C.DF(refDate));
foreach (OnePaymentStyle BB in OnlyGivenDepo)
{
double yf = refDate.YF(BB.endDate, BB.dayCount);
double df = C.DF(BB.endDate);
double CalcRate = ((1 / df) - 1) / yf;
Console.WriteLine("{0} Input Rate: {1} Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
}
// Only Given Swap from BBArray
IEnumerable <BuildingBlock> OnlyGivenSwap = from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select c;
foreach (SwapStyle BB in OnlyGivenSwap)
{
// fixed leg data
double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1
// dfs array of fixed lag
Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)
// initialise array for df
double[] dfFixLeg = new double[dfDates.Length];
// calculate df
for (int i = 0; i < dfDates.Length; i++)
{
dfFixLeg[i] = C.DF(dfDates[i]);
}
// Interpolation Methods for Curve Construction PATRICK S. HAGAN & GRAEME WEST Applied Mathematical Finance,Vol. 13, No. 2, 89–129, June 2006
// Formula 2) page 4
double CalcRate = Formula.ParRate(yfFixLeg, dfFixLeg); // Calculate par rate
Console.WriteLine("{0} Input Rate: {1} Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
}
#endregion end print output
}
