public void TestGetCapPremiumAUD_6M100M_5YExpiry05Vol20Pct()
{
var valuationDate = new DateTime(1994, 12, 14);
var curveId = BuildAndCacheRateCurve(valuationDate);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
CapFloorType.Cap, "Standard", curveId, curveId);
InterestRateStream floatStream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(capLeg);
floatStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(floatStream, FixingCalendar, PaymentCalendar);
double sumOfCapletPremiums = 0;
var rateCurve = (RateCurve)Engine.GetCurve(curveId, false);
foreach (PaymentCalculationPeriod paymentCalculationPeriod in floatStream.cashflows.paymentCalculationPeriod)
{
DateTime startDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
DateTime endDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
double accrualFactor = (endDate - startDate).TotalDays / 365.0;
var discountFactor = (double)paymentCalculationPeriod.discountFactor;
var rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
double rate2 = rateCurve.GetForwardRate(startDate, endDate, "ACT/365.FIXED");
double diff = rate - rate2;
Debug.Print("Diff in forward rate: {0}", diff);
var strikeRate = (double)capLeg.StrikeRate; //fixed - replace with a schedule
const double volatility = 0.2; //fixed - replace with a schedule
double timeToExpiry = (startDate - valuationDate).TotalDays / 365.0;
double optionValue = accrualFactor * BlackModel.GetSwaptionValue(rate, strikeRate, volatility, timeToExpiry) * discountFactor;
Debug.Print("Expiry:\t{0},\tPremium:\t{1}'", timeToExpiry, optionValue);
sumOfCapletPremiums += optionValue;
}
Debug.Print("Premium : '{0}'", sumOfCapletPremiums * (double)capLeg.NotionalAmount);
}
private static InterestRateStream GetCashflowsSchedule(IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange legParametersRange)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream, fixingCalendar, paymentCalendar);
stream.cashflows = cashflows;
return(stream);
}
public static InterestRateStream GetCashflowsSchedule(SwapLegParametersRange legParametersRange)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream);
stream.cashflows = cashflows;
return(stream);
}
private static InterestRateStream GetCashflowsScheduleWithNotionalSchedule(
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange_Old legParametersRange,
NonNegativeAmountSchedule notionalSchedule)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream, notionalSchedule);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream, fixingCalendar, paymentCalendar);
stream.cashflows = cashflows;
return(stream);
}
/// <summary>
///
/// </summary>
/// <param name="leg1Parameters"></param>
/// <param name="leg1PaymentCalendar"> </param>
/// <param name="capStrikeSchedule"></param>
/// <param name="floorStrikeSchedule"> </param>
/// <param name="spreadSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="leg1FixingCalendar"> </param>
/// <returns></returns>
public static Trade CreateTrade(CapFloorLegParametersRange leg1Parameters,
IBusinessCalendar leg1FixingCalendar,
IBusinessCalendar leg1PaymentCalendar,
Schedule capStrikeSchedule,
Schedule floorStrikeSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
var stream1 = GetCashflowsSchedule(leg1FixingCalendar, leg1PaymentCalendar, leg1Parameters);
if (null != capStrikeSchedule && null != floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, false);
}
if (null != capStrikeSchedule && null == floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
}
if (null == capStrikeSchedule && null != floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, true);
}
if (null != spreadSchedule) //for float legs only
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream1, spreadSchedule);
}
if (null != notionalSchedule)
{
// Set notional schedule
//
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream1, notionalSchedule);
}
var capFloor = CapFloorFactory.Create(stream1);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetCapFloor(trade, capFloor);
return(trade);
}