public void testFixing()
{
Date tradeDate = new Date(17, Month.April, 2015);
Calendar calendar = new UnitedKingdom();
Date settlementDate = calendar.advance(tradeDate, 2, TimeUnit.Days, BusinessDayConvention.Following);
Date maturityDate = calendar.advance(settlementDate, 5, TimeUnit.Years, BusinessDayConvention.Following);
Date valueDate = new Date(20, Month.April, 2015);
Settings.setEvaluationDate(valueDate);
List <Date> dates = new List <Date>();
dates.Add(valueDate);
dates.Add(valueDate + new Period(1, TimeUnit.Years));
dates.Add(valueDate + new Period(2, TimeUnit.Years));
dates.Add(valueDate + new Period(5, TimeUnit.Years));
dates.Add(valueDate + new Period(10, TimeUnit.Years));
dates.Add(valueDate + new Period(20, TimeUnit.Years));
List <double> rates = new List <double>();
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
var discountCurveHandle = new RelinkableHandle <YieldTermStructure>();
var forecastCurveHandle = new RelinkableHandle <YieldTermStructure>();
GBPLibor index = new GBPLibor(new Period(6, TimeUnit.Months), forecastCurveHandle);
InterpolatedZeroCurve <Linear> zeroCurve = new InterpolatedZeroCurve <Linear>(dates, rates, new Actual360(), new Linear());
var fixedSchedule = new Schedule(settlementDate, maturityDate, new Period(1, TimeUnit.Years), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false);
var floatSchedule = new Schedule(settlementDate, maturityDate, index.tenor(), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000000, fixedSchedule, 0.01, new Actual360(), floatSchedule, index, 0, new Actual360());
discountCurveHandle.linkTo(zeroCurve);
forecastCurveHandle.linkTo(zeroCurve);
var swapEngine = new DiscountingSwapEngine(discountCurveHandle, false, null);
swap.setPricingEngine(swapEngine);
try
{
double npv = swap.NPV();
}
catch (Exception ex)
{
Assert.Fail(ex.Message);
Console.WriteLine(ex);
}
}
