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);
}
// 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
}