public double IrParSwapRate(IrSwap swap)
{
double floatPV = ValueFloatLeg(swap.FloatLeg) / swap.FloatLeg.Notional;
double fixedAnnuity = Annuity(swap.FixedLeg.Schedule, Interpolation);
return(floatPV / fixedAnnuity);
}
public ADouble IrParSwapRateAD(IrSwap swap)
{
ADouble floatPv = ValueFloatLegAD(swap.FloatLeg) / swap.FloatLeg.Notional;
ADouble fixedAnnuity = AnnuityAD(swap.FixedLeg.Schedule, Interpolation);
return(floatPv / fixedAnnuity);
}
/* Functions below are the actual functions used to
* parse instrument strings into actual objects. We've created
* a method for each of the instrument classes we consider.
* Note that the string has to have a very specific format.
*/
private void InterpretTenorBasisSwapString(string instrumentString)
{
string identifier, type, currency, swapNoSpreadIdent, swapSpreadIdent;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
// In accordance with market practice, we put the spread on the short leg
swapSpreadIdent = infoArray[3];
swapNoSpreadIdent = infoArray[4];
try
{
IrSwap swapNoSpread = IrSwaps[swapNoSpreadIdent];
IrSwap swapSpread = IrSwaps[swapSpreadIdent];
TenorBasisSwap swap = new TenorBasisSwap(swapSpread, swapNoSpread, _defaultTradeSign);
BasisSwaps[identifier] = swap;
DateTime curvePoint = swap.GetCurvePoint();
CurvePointMap[identifier] = swap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.ParBasisSpread;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.BasisSpreads;
IdentifierStringMap[identifier] = instrumentString;
}
catch
{
// Ignore instrument
}
}
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 TenorBasisSwap(IrSwap swapSpread, IrSwap swapNoSpread, int tradeSign)
{
this.FloatLegNoSpread = swapNoSpread.FloatLeg.Copy();
this.FloatLegSpread = swapSpread.FloatLeg.Copy();
this.SwapSpread = swapSpread.Copy();
this.SwapNoSpread = swapNoSpread.Copy();
TradeSign = tradeSign;
CheckTradeSign();
ConstructedFromFloatingLegs = false;
}
public TenorBasisSwap(FloatLeg floatLegSpread, FloatLeg floatLegNoSpread, int tradeSign)
{
this.FloatLegNoSpread = floatLegNoSpread.Copy();
this.FloatLegSpread = floatLegSpread.Copy();
// Construct default FixedLeg - quick and dirty
FixedLeg tempFixedLeg = new FixedLeg(floatLegNoSpread.AsOf, floatLegSpread.StartDate, floatLegSpread.EndDate, 0.01, CurveTenor.Fwd1Y, DayCount.THIRTY360, DayRule.MF, floatLegSpread.Notional);
SwapSpread = new IrSwap(floatLegSpread, tempFixedLeg, tradeSign);
SwapNoSpread = new IrSwap(floatLegNoSpread, tempFixedLeg, -1 * tradeSign);
TradeSign = tradeSign;
CheckTradeSign();
ConstructedFromFloatingLegs = true;
}
// Fixed-for-floating Interest rate swaps
public ADouble IrSwapNpvAD(IrSwap swap)
{
return((double)swap.TradeSign * (ValueFloatLegAD(swap.FloatLeg) - ValueFixedLegAD(swap.FixedLeg)));
}
// Interest rate swap
public double IrSwapNpv(IrSwap swap)
{
return(swap.TradeSign * (ValueFloatLeg(swap.FloatLeg) - ValueFixedLeg(swap.FixedLeg)));
}
private void InterpretSwapString(string instrumentString)
{
string identifier, type, currency, startTenor, endTenor, settlementLag, fixedFreq, floatFreq, referenceIndex;
DayRule dayRule;
DayCount floatDayCount, fixedDayCount;
CurveTenor floatTenor, fixedTenor;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
startTenor = infoArray[3];
endTenor = infoArray[4];
settlementLag = infoArray[5];
dayRule = StrToEnum.DayRuleConvert(infoArray[6]);
fixedFreq = infoArray[9];
floatFreq = infoArray[10];
referenceIndex = infoArray[12];
floatDayCount = StrToEnum.DayCountConvert(infoArray[14]);
fixedDayCount = StrToEnum.DayCountConvert(infoArray[13]);
floatTenor = StrToEnum.CurveTenorFromSimpleTenor(floatFreq);
fixedTenor = StrToEnum.CurveTenorFromSimpleTenor(fixedFreq);
DateTime startDate, endDate;
// Make sure to get fwd starting stuff right here...
if (DateHandling.StrIsConvertableToDate(startTenor))
{
startDate = Convert.ToDateTime(startTenor);
}
else
{
startDate = DateHandling.AddTenorAdjust(AsOf, settlementLag, dayRule);
}
if (DateHandling.StrIsConvertableToDate(endTenor))
{
endDate = Convert.ToDateTime(endTenor);
}
else
{
endDate = DateHandling.AddTenorAdjust(startDate, endTenor, dayRule);
}
try
{
if (referenceIndex == "EONIA")
{
// Handle OIS case
// Error with endTenor here and string parsing
// TEMPORARY
//settlementLag = "0D";
//dayRule = DayRule.F;
// This is a dirty hack to value deposits
if (identifier == "EUREONON" || identifier == "EUREONTN")
{
Deposit deposit = new Deposit(AsOf, startTenor, endTenor, settlementLag, _defaultFixedRate, floatDayCount, dayRule, _defaultNotional, _defaultTradeSign);
Deposits[identifier] = deposit;
CurvePointMap[identifier] = deposit.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.Deposit;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
else
{
OisSwap oisSwap = new OisSwap(AsOf, startTenor, endTenor, settlementLag, fixedDayCount, floatDayCount, dayRule, _defaultNotional, _defaultFixedRate, _defaultTradeSign);
OisSwaps[identifier] = oisSwap;
CurvePointMap[identifier] = oisSwap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.OisRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
}
else
{
// Handle non-OIS case
IrSwap swap = new IrSwap(AsOf, startDate, endDate, _defaultFixedRate, fixedTenor, floatTenor, fixedDayCount, floatDayCount, dayRule, dayRule, _defaultNotional, _defaultTradeSign, 0.0);
IrSwaps[identifier] = swap;
CurvePointMap[identifier] = swap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.ParSwapRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
}
catch
{
// Ignore instrument.
}
}
