public FuturesRateHelper(double price,
Date iborStartDate,
Date iborEndDate,
DayCounter dayCounter,
double convAdj = 0,
Futures.Type type = Futures.Type.IMM)
: base(price)
{
convAdj_ = new Handle <Quote>(new SimpleQuote(convAdj));
switch (type)
{
case Futures.Type.IMM:
Utils.QL_REQUIRE(IMM.isIMMdate(iborStartDate, false), () =>
iborStartDate + " is not a valid IMM date");
if (iborEndDate == null)
{
// advance 3 months
maturityDate_ = IMM.nextDate(iborStartDate, false);
maturityDate_ = IMM.nextDate(maturityDate_, false);
maturityDate_ = IMM.nextDate(maturityDate_, false);
}
else
{
Utils.QL_REQUIRE(iborEndDate > iborStartDate, () =>
"end date (" + iborEndDate +
") must be greater than start date (" +
iborStartDate + ")");
maturityDate_ = iborEndDate;
}
break;
case Futures.Type.ASX:
Utils.QL_REQUIRE(ASX.isASXdate(iborStartDate, false), () =>
iborStartDate + " is not a valid ASX date");
if (iborEndDate == null)
{
// advance 3 months
maturityDate_ = ASX.nextDate(iborStartDate, false);
maturityDate_ = ASX.nextDate(maturityDate_, false);
maturityDate_ = ASX.nextDate(maturityDate_, false);
}
else
{
Utils.QL_REQUIRE(iborEndDate > iborStartDate, () =>
"end date (" + iborEndDate +
") must be greater than start date (" +
iborStartDate + ")");
maturityDate_ = iborEndDate;
}
break;
default:
Utils.QL_FAIL("unknown futures type (" + type + ")");
break;
}
earliestDate_ = iborStartDate;
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
}
public void testIMMDates()
{
// ("Testing IMM dates...");
string[] IMMcodes = new string[]
{
"F0", "G0", "H0", "J0", "K0", "M0", "N0", "Q0", "U0", "V0", "X0", "Z0",
"F1", "G1", "H1", "J1", "K1", "M1", "N1", "Q1", "U1", "V1", "X1", "Z1",
"F2", "G2", "H2", "J2", "K2", "M2", "N2", "Q2", "U2", "V2", "X2", "Z2",
"F3", "G3", "H3", "J3", "K3", "M3", "N3", "Q3", "U3", "V3", "X3", "Z3",
"F4", "G4", "H4", "J4", "K4", "M4", "N4", "Q4", "U4", "V4", "X4", "Z4",
"F5", "G5", "H5", "J5", "K5", "M5", "N5", "Q5", "U5", "V5", "X5", "Z5",
"F6", "G6", "H6", "J6", "K6", "M6", "N6", "Q6", "U6", "V6", "X6", "Z6",
"F7", "G7", "H7", "J7", "K7", "M7", "N7", "Q7", "U7", "V7", "X7", "Z7",
"F8", "G8", "H8", "J8", "K8", "M8", "N8", "Q8", "U8", "V8", "X8", "Z8",
"F9", "G9", "H9", "J9", "K9", "M9", "N9", "Q9", "U9", "V9", "X9", "Z9"
};
Date counter = Date.minDate();
// 10 years of futures must not exceed Date::maxDate
Date last = Date.maxDate() - new Period(121, TimeUnit.Months);
Date imm;
while (counter <= last)
{
imm = IMM.nextDate(counter, false);
// check that imm is greater than counter
if (imm <= counter)
{
QAssert.Fail(imm.DayOfWeek + " " + imm
+ " is not greater than "
+ counter.DayOfWeek + " " + counter);
}
// check that imm is an IMM date
if (!IMM.isIMMdate(imm, false))
{
QAssert.Fail(imm.DayOfWeek + " " + imm
+ " is not an IMM date (calculated from "
+ counter.DayOfWeek + " " + counter + ")");
}
// check that imm is <= to the next IMM date in the main cycle
if (imm > IMM.nextDate(counter, true))
{
QAssert.Fail(imm.DayOfWeek + " " + imm
+ " is not less than or equal to the next future in the main cycle "
+ IMM.nextDate(counter, true));
}
//// check that if counter is an IMM date, then imm==counter
//if (IMM::isIMMdate(counter, false) && (imm!=counter))
// BOOST_FAIL("\n "
// << counter.weekday() << " " << counter
// << " is already an IMM date, while nextIMM() returns "
// << imm.weekday() << " " << imm);
// check that for every date IMMdate is the inverse of IMMcode
if (IMM.date(IMM.code(imm), counter) != imm)
{
QAssert.Fail(IMM.code(imm)
+ " at calendar day " + counter
+ " is not the IMM code matching " + imm);
}
// check that for every date the 120 IMM codes refer to future dates
for (int i = 0; i < 40; ++i)
{
if (IMM.date(IMMcodes[i], counter) < counter)
{
QAssert.Fail(IMM.date(IMMcodes[i], counter)
+ " is wrong for " + IMMcodes[i]
+ " at reference date " + counter);
}
}
counter = counter + 1;
}
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(22, Month.September, 2004);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 2;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
todaysDate = Settings.evaluationDate();
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// deposits
double d1wQuote = 0.0382;
double d1mQuote = 0.0372;
double d3mQuote = 0.0363;
double d6mQuote = 0.0353;
double d9mQuote = 0.0348;
double d1yQuote = 0.0345;
// FRAs
double fra3x6Quote = 0.037125;
double fra6x9Quote = 0.037125;
double fra6x12Quote = 0.037125;
// futures
double fut1Quote = 96.2875;
double fut2Quote = 96.7875;
double fut3Quote = 96.9875;
double fut4Quote = 96.6875;
double fut5Quote = 96.4875;
double fut6Quote = 96.3875;
double fut7Quote = 96.2875;
double fut8Quote = 96.0875;
// swaps
double s2yQuote = 0.037125;
double s3yQuote = 0.0398;
double s5yQuote = 0.0443;
double s10yQuote = 0.05165;
double s15yQuote = 0.055175;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// FRAs
Quote fra3x6Rate = new SimpleQuote(fra3x6Quote);
Quote fra6x9Rate = new SimpleQuote(fra6x9Quote);
Quote fra6x12Rate = new SimpleQuote(fra6x12Quote);
// futures
Quote fut1Price = new SimpleQuote(fut1Quote);
Quote fut2Price = new SimpleQuote(fut2Quote);
Quote fut3Price = new SimpleQuote(fut3Quote);
Quote fut4Price = new SimpleQuote(fut4Quote);
Quote fut5Price = new SimpleQuote(fut5Quote);
Quote fut6Price = new SimpleQuote(fut6Quote);
Quote fut7Price = new SimpleQuote(fut7Quote);
Quote fut8Price = new SimpleQuote(fut8Quote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(new Handle <Quote>(d1wRate), new Period(1, TimeUnit.Weeks),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(new Handle <Quote>(d1mRate), new Period(1, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(new Handle <Quote>(d3mRate), new Period(3, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(new Handle <Quote>(d6mRate), new Period(6, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(new Handle <Quote>(d9mRate), new Period(9, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(new Handle <Quote>(d1yRate), new Period(1, TimeUnit.Years),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup FRAs
RateHelper fra3x6 = new FraRateHelper(new Handle <Quote>(fra3x6Rate), 3, 6, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x9 = new FraRateHelper(new Handle <Quote>(fra6x9Rate), 6, 9, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x12 = new FraRateHelper(new Handle <Quote>(fra6x12Rate), 6, 12, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup futures
// Handle<Quote> convexityAdjustment = new Handle<Quote>(new SimpleQuote(0.0));
int futMonths = 3;
Date imm = IMM.nextDate(settlementDate);
RateHelper fut1 = new FuturesRateHelper(new Handle <Quote>(fut1Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut2 = new FuturesRateHelper(new Handle <Quote>(fut2Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut3 = new FuturesRateHelper(new Handle <Quote>(fut3Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut4 = new FuturesRateHelper(new Handle <Quote>(fut4Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut5 = new FuturesRateHelper(new Handle <Quote>(fut5Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut6 = new FuturesRateHelper(new Handle <Quote>(fut6Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut7 = new FuturesRateHelper(new Handle <Quote>(fut7Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut8 = new FuturesRateHelper(new Handle <Quote>(fut8Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency = Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
RateHelper s2y = new SwapRateHelper(new Handle <Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s3y = new SwapRateHelper(new Handle <Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s5y = new SwapRateHelper(new Handle <Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s10y = new SwapRateHelper(new Handle <Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s15y = new SwapRateHelper(new Handle <Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-swap curve
List <RateHelper> depoSwapInstruments = new List <RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoSwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// A depo-futures-swap curve
List <RateHelper> depoFutSwapInstruments = new List <RateHelper>();
depoFutSwapInstruments.Add(d1w);
depoFutSwapInstruments.Add(d1m);
depoFutSwapInstruments.Add(fut1);
depoFutSwapInstruments.Add(fut2);
depoFutSwapInstruments.Add(fut3);
depoFutSwapInstruments.Add(fut4);
depoFutSwapInstruments.Add(fut5);
depoFutSwapInstruments.Add(fut6);
depoFutSwapInstruments.Add(fut7);
depoFutSwapInstruments.Add(fut8);
depoFutSwapInstruments.Add(s3y);
depoFutSwapInstruments.Add(s5y);
depoFutSwapInstruments.Add(s10y);
depoFutSwapInstruments.Add(s15y);
YieldTermStructure depoFutSwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoFutSwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// A depo-FRA-swap curve
List <RateHelper> depoFRASwapInstruments = new List <RateHelper>();
depoFRASwapInstruments.Add(d1w);
depoFRASwapInstruments.Add(d1m);
depoFRASwapInstruments.Add(d3m);
depoFRASwapInstruments.Add(fra3x6);
depoFRASwapInstruments.Add(fra6x9);
depoFRASwapInstruments.Add(fra6x12);
depoFRASwapInstruments.Add(s2y);
depoFRASwapInstruments.Add(s3y);
depoFRASwapInstruments.Add(s5y);
depoFRASwapInstruments.Add(s10y);
depoFRASwapInstruments.Add(s15y);
YieldTermStructure depoFRASwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoFRASwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle <YieldTermStructure> discountingTermStructure = new RelinkableHandle <YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle <YieldTermStructure> forecastingTermStructure = new RelinkableHandle <YieldTermStructure>();
/*********************
* SWAPS TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Frequency.Annual;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
double fixedRate = 0.04;
DayCounter floatingLegDayCounter = new Actual360();
// floating leg
Frequency floatingLegFrequency = Frequency.Semiannual;
IborIndex euriborIndex = new Euribor6M(forecastingTermStructure);
double spread = 0.0;
int lenghtInYears = 5;
VanillaSwap.Type swapType = VanillaSwap.Type.Payer;
Date maturity = settlementDate + new Period(lenghtInYears, TimeUnit.Years);
Schedule fixedSchedule = new Schedule(settlementDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(settlementDate, maturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap spot5YearSwap = new VanillaSwap(swapType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread, floatingLegDayCounter);
Date fwdStart = calendar.advance(settlementDate, 1, TimeUnit.Years);
Date fwdMaturity = fwdStart + new Period(lenghtInYears, TimeUnit.Years);
Schedule fwdFixedSchedule = new Schedule(fwdStart, fwdMaturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule fwdFloatSchedule = new Schedule(fwdStart, fwdMaturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap oneYearForward5YearSwap = new VanillaSwap(swapType, nominal, fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread, floatingLegDayCounter);
/***************
* SWAP PRICING *
****************/
// utilities for reporting
List <string> headers = new List <string>();
headers.Add("term structure");
headers.Add("net present value");
headers.Add("fair spread");
headers.Add("fair fixed rate");
string separator = " | ";
int width = headers[0].Length + separator.Length
+ headers[1].Length + separator.Length
+ headers[2].Length + separator.Length
+ headers[3].Length + separator.Length - 1;
string rule = string.Format("").PadLeft(width, '-'), dblrule = string.Format("").PadLeft(width, '=');
string tab = string.Format("").PadLeft(8, ' ');
// calculations
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
double NPV;
double fairRate;
double fairSpread;
IPricingEngine swapEngine = new DiscountingSwapEngine(discountingTermStructure);
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
// Of course, you're not forced to really use different curves
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// let's check that the 5 years swap has been correctly re-priced
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
Console.WriteLine(rule);
// now let's price the 1Y forward 5Y swap
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// now let's say that the 5-years swap rate goes up to 4.60%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we're using SimpleQuotes,
// we'll have to change the value manually--which forces us to
// downcast the handle and use the SimpleQuote
// interface. In any case, the point here is that a change in the
// value contained in the Quote triggers a new bootstrapping
// of the curve and a repricing of the swap.
SimpleQuote fiveYearsRate = s5yRate as SimpleQuote;
fiveYearsRate.setValue(0.0460);
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
// now get the updated results
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
Console.WriteLine(rule);
// the 1Y forward 5Y swap changes as well
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}