// Calculate sensitivities
public static void Sensitivities()
{
#region Inputs
// Start input
Date refDate = new Date(2019, 2, 25);
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(1.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(1.435e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(1.720e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(1.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
// I shift 1bp up 10y swap input rate
int IndexShifted = 12;
RateSet mktRates2 = mktRates.ShiftedRateSet(IndexShifted, 0.0001);
// print out first and second market input rates
for (int i = 0; i < mktRates.Count; i++)
{
Console.WriteLine("First: {0} {1} Second: {2} {3}", mktRates.Item(i).M.GetPeriodStringFormat(), mktRates.Item(i).V, mktRates2.Item(i).M.GetPeriodStringFormat(), mktRates2.Item(i).V);
}
#endregion end Inputs
#region building curve
// First curve: using markets rates
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> c1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
// Second curve: like c1 but 10Y input rate is shifted
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> c2 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates2);
string swapTenor = "10y"; // you can change it
#endregion end building curve
#region myFunction
Func <SwapStyle, IRateCurve, double> NPV = (BB, c) =>
{
#region FixLeg
// 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)
// # of fixed cash flows
int n_fix = dfDates.Length;
double NPV_fix = 0.0;
// calculate df
for (int i = 0; i < n_fix; i++)
{
NPV_fix += c.Df(dfDates[i]) * yfFixLeg[i] * BB.rateValue; // df*yf
}
// NPV_fix *= BB.rateValue;
#endregion
#region FloatLeg
// fixed leg data
double[] yfFloatLeg = BB.scheduleLeg2.GetYFVect(BB.swapLeg2.DayCount); // float is leg 2
// dfs array of fixed lag
Date[] dfDatesFloat = BB.scheduleLeg2.payDates; // serial date of float lag (each dates we should find df)
Date[] toDateFloat = BB.scheduleLeg2.toDates;
// # of fixed cash flows
int n_float = dfDatesFloat.Length;
double[] fwd = new double[n_float];
fwd[0] = ((1 / c.Df(toDateFloat[0])) - 1) / refDate.YF(toDateFloat[0], Dc._Act_360);;
for (int i = 1; i < n_float; i++)
{
double yf = toDateFloat[i - 1].YF(toDateFloat[i], Dc._Act_360);
double df_ini = c.Df(toDateFloat[i - 1]);
double df_end = c.Df(toDateFloat[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
double NPV_float = 0.0;
// calculate df
for (int i = 0; i < n_float; i++)
{
NPV_float += c.Df(dfDatesFloat[i]) * yfFloatLeg[i] * fwd[i]; // df*yf
}
#endregion
return(NPV_fix - NPV_float);
};
#endregion
#region Print results
// test forward swap starting in ref date (it should be like simple spot swap)
double swapRate = c1.SwapFwd(refDate, swapTenor);
// I create the swap according to standard convention
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
// initial NPV
double iniMTM = NPV(y, c1) * 100000000;
// print out
Console.WriteLine("IRS to be priced tenor: {0}. IRS to be priced rate: {1:f5}", swapTenor, swapRate);
Console.WriteLine("{0} swap ATM fwd according the starting curve: {1:f5}. Starting P&L {2:f}", swapTenor, swapRate, iniMTM);
Console.WriteLine("Let's shift {0} rate from {1:f5} to {2:f5}", mktRates.Item(IndexShifted).M.GetPeriodStringFormat(), mktRates.Item(IndexShifted).V, mktRates2.Item(IndexShifted).V);
// NPV after shift
double endMTM = NPV(y, c2) * 100000000;
Console.WriteLine("{0} swap ATM fwd after shifting: {1:f5}. P&L after shifting {2:f}", swapTenor, c2.SwapFwd(refDate, swapTenor), endMTM);
Console.WriteLine("Press a key to continue"); Console.ReadLine();
#endregion
}
