/* Functions below are the actual functions used to
* parse instrument strings into actual objects. We've created
* a method for each of the instrument classes we consider.
* Note that the string has to have a very specific format.
*/
private void InterpretTenorBasisSwapString(string instrumentString)
{
string identifier, type, currency, swapNoSpreadIdent, swapSpreadIdent;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
// In accordance with market practice, we put the spread on the short leg
swapSpreadIdent = infoArray[3];
swapNoSpreadIdent = infoArray[4];
try
{
IrSwap swapNoSpread = IrSwaps[swapNoSpreadIdent];
IrSwap swapSpread = IrSwaps[swapSpreadIdent];
TenorBasisSwap swap = new TenorBasisSwap(swapSpread, swapNoSpread, _defaultTradeSign);
BasisSwaps[identifier] = swap;
DateTime curvePoint = swap.GetCurvePoint();
CurvePointMap[identifier] = swap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.ParBasisSpread;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.BasisSpreads;
IdentifierStringMap[identifier] = instrumentString;
}
catch
{
// Ignore instrument
}
}
public ADouble ParBasisSpreadTwoLegsAD(TenorBasisSwap swap)
{
ADouble pvNoSpread = ValueFloatLegNoSpreadAD(swap.FloatLegNoSpread) / swap.FloatLegNoSpread.Notional;
ADouble pvSpread = ValueFloatLegNoSpreadAD(swap.FloatLegSpread) / swap.FloatLegSpread.Notional;
ADouble annuitySpread = AnnuityAD(swap.FloatLegSpread.Schedule, Interpolation);
return((pvNoSpread - pvSpread) / annuitySpread);
}
public static void BasisSwap_Make(string baseName, string floatLegNoSpreadName, string floatLegSpreadName, int tradeSign)
{
FloatLeg floatLegNoSpread = ObjectMap.FloatLegs[floatLegNoSpreadName];
FloatLeg floatLegSpread = ObjectMap.FloatLegs[floatLegSpreadName];
TenorBasisSwap swap = new MasterThesis.TenorBasisSwap(floatLegSpread, floatLegNoSpread, tradeSign);
ObjectMap.LinearRateInstruments[baseName] = swap;
ObjectMap.BasisSwaps[baseName] = swap;
}
public ADouble ParBasisSpreadTwoIrsAD(TenorBasisSwap swap)
{
// Tedious way
//ADouble pvNoSpread = ValueFloatLegNoSpreadAD(swap.FloatLegNoSpread) / swap.FloatLegNoSpread.Notional;
//ADouble pvSpread = ValueFloatLegNoSpreadAD(swap.FloatLegSpread) / swap.FloatLegSpread.Notional;
//ADouble annuityOfSpreadFixedLeg = AnnuityAD(swap.FloatLegSpread.Schedule, Interpolation);
//ADouble annuityOfNoSpreadFixedLeg = AnnuityAD(swap.FloatLegNoSpread.Schedule, Interpolation);
//return pvNoSpread / annuityOfNoSpreadFixedLeg - pvSpread / annuityOfSpreadFixedLeg;
return(IrParSwapRateAD(swap.SwapNoSpread) - IrParSwapRateAD(swap.SwapSpread));
}
public ADouble ParBasisSpreadAD(TenorBasisSwap swap)
{
if (swap.ConstructedFromFloatingLegs)
{
return(ParBasisSpreadTwoLegsAD(swap));
}
else
{
return(ParBasisSpreadTwoIrsAD(swap));
}
}
// Tenor basis swaps
public ADouble BasisSwapNpvAD(TenorBasisSwap swap)
{
if (swap.ConstructedFromFloatingLegs)
{
return(BasisSwapNpvTwoLegsAD(swap));
}
else
{
return(BasisSwapNpvTwoIrsAD(swap));
}
}
public ADouble BasisSwapNpvTwoIrsAD(TenorBasisSwap swap)
{
return(ValueLinearRateProductAD(swap.SwapNoSpread) - ValueLinearRateProductAD(swap.SwapSpread));
}
public ADouble BasisSwapNpvTwoLegsAD(TenorBasisSwap swap)
{
return((double)swap.TradeSign * (ValueFloatLegAD(swap.FloatLegNoSpread) - ValueFloatLegAD(swap.FloatLegSpread)));
}
public double BasisSwapNpvTwoLegs(TenorBasisSwap swap)
{
return(swap.TradeSign * (ValueFloatLeg(swap.FloatLegNoSpread) - ValueFloatLeg(swap.FloatLegSpread)));
}