public static void MyDF(object rateSet)
{
object[] o = (object[])rateSet;
RateSet rs = (RateSet)o[0];
RateSet myRateSet = new RateSet((Date)o[1]);
foreach (RateSet r in rs)
{
myRateSet.Add(r.V, r.M.GetPeriodStringFormat(), r.T);
}
Date dfDate = new Date(2025, 8, 15);
double fixing = (double)o[2];
#region building curve
SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(myRateSet, fixing);
Console.WriteLine("Ref. {0:D}: DF: {1:F5}", myRateSet.refDate.DateValue, C.DF(dfDate));
#endregion building curve
}
// Check if the process will match the starting inputs
public static void CheckInputsVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate markets rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
// Uncomment to chose the curve
// SingleCurveBuilderStandard<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderStandard<OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
double firstFixing = 1.435e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator>(mktRates, firstFixing);
// SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator>(mktRates);
#region print output
IEnumerable <BuildingBlock> BBArray = mktRates.GetArrayOfBB();
// Only Given Swap from BBArray
IEnumerable <BuildingBlock> OnlyGivenDepo = from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
select c;
Console.WriteLine(C.ToString());
Console.WriteLine("Recalc Df at Ref Date: {0}", C.DF(refDate));
foreach (OnePaymentStyle BB in OnlyGivenDepo)
{
double yf = refDate.YF(BB.endDate, BB.dayCount);
double df = C.DF(BB.endDate);
double CalcRate = ((1 / df) - 1) / yf;
Console.WriteLine("{0} Input Rate: {1} Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
}
// Only Given Swap from BBArray
IEnumerable <BuildingBlock> OnlyGivenSwap = from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select c;
foreach (SwapStyle BB in OnlyGivenSwap)
{
// 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)
// initialise array for df
double[] dfFixLeg = new double[dfDates.Length];
// calculate df
for (int i = 0; i < dfDates.Length; i++)
{
dfFixLeg[i] = C.DF(dfDates[i]);
}
// Interpolation Methods for Curve Construction PATRICK S. HAGAN & GRAEME WEST Applied Mathematical Finance,Vol. 13, No. 2, 89–129, June 2006
// Formula 2) page 4
double CalcRate = Formula.ParRate(yfFixLeg, dfFixLeg); // Calculate par rate
Console.WriteLine("{0} Input Rate: {1} Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
}
#endregion end print output
}