Exemple #1
0
    public abstract ISingleRateCurve CreateInstance(RateSet newRateSet);  // create an instance of class using a new RateSet

    #endregion

    // Get input rates used to build the curve
    public double[] GetInputRates()
    {
        int n = mktRateSet.Count;

        double[] outPut = new double[n];
        for (int i = 0; i < n; i++)
        {
            outPut[i] = mktRateSet.Item(i).V;
        }
        return(outPut);
    }
Exemple #2
0
    // sensitivities/DVO1. ATM swap has no sensitivities with respect to the discount curve
    public static void SensitivitiesParallel()
    {
        #region Inputs
        // Start input
        // Start input, reference date.
        Date refDate = (new Date(DateTime.Now)).mod_foll();
        #region Eonia market data
        // I populate market rates set: from file, from real time, ...
        RateSet mktRates = new RateSet(refDate);

        mktRates.Add(0.447e-2, "1w", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.583e-2, "2w", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.627e-2, "3w", BuildingBlockType.EONIASWAP);

        mktRates.Add(0.635e-2, "1m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.675e-2, "2m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.705e-2, "3m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.734e-2, "4m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.758e-2, "5m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.780e-2, "6m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.798e-2, "7m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.816e-2, "8m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.834e-2, "9m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.849e-2, "10m", BuildingBlockType.EONIASWAP);
        mktRates.Add(0.864e-2, "11m", BuildingBlockType.EONIASWAP);

        mktRates.Add(0.878e-2, "1Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.098e-2, "2Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.36e-2, "3Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.639e-2, "4Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(1.9e-2, "5Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.122e-2, "6Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.308e-2, "7Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.467e-2, "8Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.599e-2, "9Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.715e-2, "10Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.818e-2, "11Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(2.908e-2, "12Y", BuildingBlockType.EONIASWAP);
        // From here interpolation is need
        mktRates.Add(3.093e-2, "15Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.173e-2, "20Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.114e-2, "25Y", BuildingBlockType.EONIASWAP);
        mktRates.Add(3.001e-2, "30Y", BuildingBlockType.EONIASWAP);
        #endregion

        #region Swap Market Data
        // RateSet EUR 6m swap
        RateSet rs = new RateSet(refDate);
        rs.Add(1.16e-2, "6m", BuildingBlockType.EURDEPO);
        rs.Add(1.42e-2, "1y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.635e-2, "2y", BuildingBlockType.EURSWAP6M);
        rs.Add(1.872e-2, "3y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.131e-2, "4y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.372e-2, "5y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.574e-2, "6y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.743e-2, "7y", BuildingBlockType.EURSWAP6M);
        rs.Add(2.886e-2, "8y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.004e-2, "9y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.107e-2, "10y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.198e-2, "11y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.278e-2, "12y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.344e-2, "13y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.398e-2, "14y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.438e-2, "15y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.467e-2, "16y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.484e-2, "17y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.494e-2, "18y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.495e-2, "19y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.491e-2, "20y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.483e-2, "21y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.471e-2, "22y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.455e-2, "23y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.436e-2, "24y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.415e-2, "25y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.391e-2, "26y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.366e-2, "27y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.340e-2, "28y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.314e-2, "29y", BuildingBlockType.EURSWAP6M);
        rs.Add(3.29e-2, "30y", BuildingBlockType.EURSWAP6M);
        #endregion

        #endregion end Inputs

        #region building curve

        string swapTenor = "11y"; // you can change it

        // I build my multi curve,
        SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> DCurve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(mktRates, OneDimensionInterpolation.LogLinear); // discount curve
        MultiCurveBuilder <SimpleCubicInterpolator> C = new MultiCurveBuilder <SimpleCubicInterpolator>(rs, DCurve);                                                                             // multi curve
        #endregion end building curve

        #region myFunction
        // my function to calculate Net Present Value of a Vanilla Swap (receiver swap)
        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[] FromDateFloat = BB.scheduleLeg2.fromDates;

            // # of fixed cash flows
            int n_float = dfDatesFloat.Length;

            double[] fwd = new double[n_float]; // fwd rate container

            // getting fwd rates
            for (int i = 0; i < n_float; i++)
            {
                fwd[i] = c.Fwd(FromDateFloat[i]);
            }

            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);  // NPV
        };
        #endregion

        #region Print results

        double atmSwap = C.SwapFwd(refDate, swapTenor);   // At The Money swap (i.e. par rate)

        List <double> swapRateList = new List <double>(); // lists of  swap to analyze
        swapRateList.Add(atmSwap);                        // it is ATM
        swapRateList.Add(atmSwap + 0.01);                 // it has positive mark to market (MtM). It is a receiver swap with a contract rate > than Atm)
        swapRateList.Add(atmSwap - 0.01);                 // it has negative MtM

        // iterate for each swap:
        // see how change the sign of sensitivities for discount curve and for forwarding curve changing contract rates
        Console.WriteLine("Executing parallel loop...");
        Stopwatch stopwatch = new Stopwatch();
        stopwatch.Start();

        Parallel.ForEach(swapRateList, swapRate =>
        {
            Console.WriteLine("Pricing Receiver Swap {0}, Atm Rate: {1:f6}, Contract Rate: {2:f6}", swapTenor, atmSwap, swapRate);
            IRateCurve[] cs = C.ShiftedCurvesArrayFwdCurve(0.0001);
            IRateCurve csp  = C.ParallelShiftFwdCurve(0.0001);

            // initialise some variable used in sensitivities
            double sens   = 0.0;
            double runSum = 0.0;

            // Standard swap
            SwapStyle y   = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
            double iniMTM = NPV(y, C) * 100000000;  // initial mark to market for 100ml receiver contract

            Console.WriteLine("Starting Mark To Market {0:f}", iniMTM);
            Console.WriteLine("Sensitivities to Curve used for forward rate: ");
            int nOfRate = rs.Count;  // iterate for market input for forwarding curve
            for (int i = 0; i < nOfRate; i++)
            {
                sens = NPV(y, cs[i]) * 100000000 - iniMTM;
                Console.WriteLine("{0} BPV: {1:f}", rs.Item(i).M.GetPeriodStringFormat(), sens);
                runSum += sens;
            }
            Console.WriteLine("Total: {0:f}", runSum);
            Console.WriteLine("\nParallel Shift Total: {0:f}", NPV(y, csp) * 100000000 - iniMTM); // parallel shift

            // reset some variable used in sensitivities
            sens   = 0.0;
            runSum = 0.0;

            Console.WriteLine("Sensitivities to Discount Curve:");
            // let's consider discounting curve
            IRateCurve[] DCrvs    = C.ShiftedCurvesArrayDCurve(0.0001); // shifting each bucket
            IMultiRateCurve DCrvp = C.ParallelShiftDCurve(0.0001);      // parallel shift
            nOfRate = mktRates.Count;                                   // iterate for market input for discounting curve
            for (int i = 0; i < nOfRate; i++)
            {
                sens = NPV(y, DCrvs[i]) * 100000000 - iniMTM;
                Console.WriteLine("{0} BPV: {1:f}", mktRates.Item(i).M.GetPeriodStringFormat(), sens);
                runSum += sens;
            }
            Console.WriteLine("Total: {0:f}", runSum);
            Console.WriteLine("\nParallel Shift Total: {0:f}", NPV(y, DCrvp) * 100000000 - iniMTM);
        });

        stopwatch.Stop();
        Console.WriteLine("Parallel loop time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
        #endregion
    }
    // More on sensitivities calc
    public static void MoreOnSensitivities()
    {
        #region Inputs
        // Start input
        Date refDate = new Date(2010, 10, 11);

        // 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);
        #endregion end Inputs

        #region building curve
        List <ISingleRateCurve> Curves = new List <ISingleRateCurve>();

        // initialised each class and add to list. You can add more curves

        // Setup (a) in Table 15.3
        SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> c2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear); Curves.Add(c2);

        // Setup (b) in Table 15.3
        SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> c1 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates); Curves.Add(c1);

        string swapTenor = "11y"; // 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
        foreach (ISingleRateCurve C in Curves)
        {
            double swapRate = C.SwapFwd(refDate, swapTenor);

            IRateCurve[] cs = C.ShiftedCurveArray(0.0001); IRateCurve csp = C.ParallelShift(0.0001);

            // initialise some variable used in sensitivities
            double sens   = 0.0;
            double runSum = 0.0;

            // standard
            Console.WriteLine(C.ToString());
            SwapStyle y      = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
            double    iniMTM = NPV(y, C) * 100000000;
            Console.WriteLine("{0} swap ATM fwd: {1:f5}", swapTenor, swapRate);
            Console.WriteLine("Starting P&L {0:f}", iniMTM);
            int nOfRate = mktRates.Count;
            for (int i = 0; i < nOfRate; i++)
            {
                sens = NPV(y, cs[i]) * 100000000 - iniMTM;
                Console.WriteLine("{0} BPV: {1:f}", mktRates.Item(i).M.GetPeriodStringFormat(), sens);
                runSum += sens;
            }
            Console.WriteLine("Total: {0:f}", runSum);
            Console.WriteLine("Parallel Total: {0:f}", NPV(y, csp) * 100000000 - iniMTM);

            Console.WriteLine("Press a key to continue"); Console.ReadLine();
        }
        #endregion
    }
    // 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
    }