public void testFairRate()
{
// Testing Eonia-swap calculation of fair fixed rate...
CommonVars vars = new CommonVars();
Period[] lengths = new Period[] { new Period(1, TimeUnit.Years), new Period(2, TimeUnit.Years), new Period(5, TimeUnit.Years), new Period(10, TimeUnit.Years), new Period(20, TimeUnit.Years) };
double[] spreads = { -0.001, -0.01, 0.0, 0.01, 0.001 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < spreads.Length; j++)
{
OvernightIndexedSwap swap = vars.makeSwap(lengths[i], 0.0, spreads[j]);
swap = vars.makeSwap(lengths[i], swap.fairRate().Value, spreads[j]);
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
QAssert.Fail("recalculating with implied rate:\n"
+ " length: " + lengths[i] + " \n"
+ " floating spread: "
+ (spreads[j]) + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
public void testFairSpread()
{
// Testing Eonia-swap calculation of fair floating spread...
CommonVars vars = new CommonVars();
Period[] lengths = { new Period(1, TimeUnit.Years),
new Period(2, TimeUnit.Years),
new Period(5, TimeUnit.Years),
new Period(10, TimeUnit.Years),
new Period(20, TimeUnit.Years) };
double[] rates = { 0.04, 0.05, 0.06, 0.07 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < rates.Length; j++)
{
OvernightIndexedSwap swap = vars.makeSwap(lengths[i], rates[j], 0.0);
double?fairSpread = swap.fairSpread();
swap = vars.makeSwap(lengths[i], rates[j], fairSpread.Value);
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
QAssert.Fail("Recalculating with implied spread:" +
"\n length: " + lengths[i] +
"\n fixed rate: " + rates[j] +
"\nfair spread: " + fairSpread +
"\n swap value: " + swap.NPV());
}
}
}
}
public OvernightIndexedSwap swap()
{
OvernightIndexedSwap ret = new OvernightIndexedSwap(NQuantLibcPINVOKE.OISRateHelper_swap(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public OvernightIndexedSwap swap()
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.OISRateHelper_swap(swigCPtr);
OvernightIndexedSwap ret = (cPtr == global::System.IntPtr.Zero) ? null : new OvernightIndexedSwap(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public OvernightIndexedSwap underlyingSwap(Date fixingDate)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.OvernightIndexedSwapIndex_underlyingSwap(swigCPtr, Date.getCPtr(fixingDate));
OvernightIndexedSwap ret = (cPtr == global::System.IntPtr.Zero) ? null : new OvernightIndexedSwap(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public void testCachedValue()
{
// Testing Eonia-swap calculation against cached value...
CommonVars vars = new CommonVars();
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
double flat = 0.05;
vars.eoniaTermStructure.linkTo(Utilities.flatRate(vars.settlement, flat, new Actual360()));
double fixedRate = Math.Exp(flat) - 1;
OvernightIndexedSwap swap = vars.makeSwap(new Period(1, TimeUnit.Years), fixedRate, 0.0);
double cachedNPV = 0.001730450147;
double tolerance = 1.0e-11;
if (Math.Abs(swap.NPV() - cachedNPV) > tolerance)
{
QAssert.Fail("\nfailed to reproduce cached swap value:" +
"\ncalculated: " + swap.NPV() +
"\n expected: " + cachedNPV +
"\n tolerance:" + tolerance);
}
}
public void testBootstrap()
{
// Testing Eonia-swap curve building...
CommonVars vars = new CommonVars();
List <RateHelper> eoniaHelpers = new List <RateHelper>();
List <RateHelper> swap3mHelpers = new List <RateHelper>();
IborIndex euribor3m = new Euribor3M();
Eonia eonia = new Eonia();
for (int i = 0; i < depositData.Length; i++)
{
double rate = 0.01 * depositData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period term = new Period(depositData[i].n, depositData[i].unit);
RateHelper helper = new DepositRateHelper(quote,
term,
depositData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
if (term <= new Period(2, TimeUnit.Days))
{
eoniaHelpers.Add(helper);
}
if (term <= new Period(3, TimeUnit.Months))
{
swap3mHelpers.Add(helper);
}
}
for (int i = 0; i < fraData.Length; i++)
{
double rate = 0.01 * fraData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
RateHelper helper = new FraRateHelper(quote,
fraData[i].nExpiry,
fraData[i].nMaturity,
fraData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
swap3mHelpers.Add(helper);
}
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double rate = 0.01 * eoniaSwapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period term = new Period(eoniaSwapData[i].n, eoniaSwapData[i].unit);
RateHelper helper = new OISRateHelper(eoniaSwapData[i].settlementDays,
term,
quote,
eonia);
eoniaHelpers.Add(helper);
}
for (int i = 0; i < swapData.Length; i++)
{
double rate = 0.01 * swapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period tenor = new Period(swapData[i].nIndexUnits, swapData[i].indexUnit);
Period term = new Period(swapData[i].nTermUnits, swapData[i].termUnit);
RateHelper helper = new SwapRateHelper(quote,
term,
vars.calendar,
vars.fixedSwapFrequency,
vars.fixedSwapConvention,
vars.fixedSwapDayCount,
euribor3m);
if (tenor == new Period(3, TimeUnit.Months))
{
swap3mHelpers.Add(helper);
}
}
PiecewiseYieldCurve <Discount, LogLinear> eoniaTS = new PiecewiseYieldCurve <Discount, LogLinear>(vars.today,
eoniaHelpers,
new Actual365Fixed());
PiecewiseYieldCurve <Discount, LogLinear> swapTS = new PiecewiseYieldCurve <Discount, LogLinear>(vars.today,
swap3mHelpers,
new Actual365Fixed());
vars.eoniaTermStructure.linkTo(eoniaTS);
// test curve consistency
double tolerance = 1.0e-10;
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double expected = eoniaSwapData[i].rate;
Period term = new Period(eoniaSwapData[i].n, eoniaSwapData[i].unit);
OvernightIndexedSwap swap = vars.makeSwap(term, 0.0, 0.0);
double?calculated = 100.0 * swap.fairRate();
if (Math.Abs(expected - calculated.Value) > tolerance)
{
QAssert.Fail("curve inconsistency:\n"
+ " swap length: " + term + "\n"
+ " quoted rate: " + expected + "\n"
+ " calculated rate: " + calculated);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(OvernightIndexedSwap obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public static object eqInstIROISSwap(
[ExcelArgument(Description = "trade id ")] string tradeid,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool ispayer,
[ExcelArgument(Description = "notional ")] double notional,
[ExcelArgument(Description = "fixed rate ")] double fixedRate,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = " (String) forward start month, e.g. 7D, 3M, 7Y ")] string Tenor,
[ExcelArgument(Description = "id of overnight index ")] string indexid,
[ExcelArgument(Description = "floating leg spread ")] double spread,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
// by default
// endOfMonth_(1*Months<=swapTenor && swapTenor<=2*Years ? true : false),
bool end_of_month = true;
EliteQuant.DayCounter fixeddc = new EliteQuant.Actual360();
if (!indexid.Contains('@'))
{
indexid = "IDX@" + indexid;
}
OvernightIndex idx = OHRepository.Instance.getObject <OvernightIndex>(indexid);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
EliteQuant.Date sdate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date fdate = idx.fixingDate(sdate);
EliteQuant.Date tdate = idx.fixingCalendar().advance(sdate, tenor_);
// fixed leg 1 yr. Forward?
Schedule fixedsch = new Schedule(sdate, tdate, new Period(1, TimeUnit.Years),
idx.fixingCalendar(), idx.businessDayConvention(), idx.businessDayConvention(),
DateGeneration.Rule.Forward, end_of_month);
OvernightIndexedSwap swap = new OvernightIndexedSwap(ispayer ? _OvernightIndexedSwap.Type.Payer : _OvernightIndexedSwap.Type.Receiver,
notional, fixedsch, fixedRate, fixeddc, idx, spread);
DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
swap.setPricingEngine(engine);
Date refDate = discountcurve.referenceDate();
// Store the futures and return its id
string id = "SWP@" + tradeid;
OHRepository.Instance.storeObject(id, swap, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
