public ZSpreadFinder(Leg leg, YieldTermStructure discountCurve, double npv, DayCounter dc, Compounding comp, Frequency freq,
bool includeSettlementDateFlows, Date settlementDate, Date npvDate)
{
leg_ = leg;
npv_ = npv;
zSpread_ = new SimpleQuote(0.0);
curve_ = new ZeroSpreadedTermStructure(new Handle <YieldTermStructure>(discountCurve),
new Handle <Quote>(zSpread_), comp, freq, dc);
includeSettlementDateFlows_ = includeSettlementDateFlows;
settlementDate_ = settlementDate;
npvDate_ = npvDate;
if (settlementDate == null)
{
settlementDate_ = Settings.evaluationDate();
}
if (npvDate == null)
{
npvDate_ = settlementDate_;
}
// if the discount curve allows extrapolation, let's
// the spreaded curve do too.
curve_.enableExtrapolation(discountCurve.allowsExtrapolation());
}
// NPV of the cash flows.
// The NPV is the sum of the cash flows, each discounted
// according to the z-spreaded term structure. The result
// is affected by the choice of the z-spread compounding
// and the relative frequency and day counter.
public static double npv(Leg leg, YieldTermStructure discountCurve, double zSpread, DayCounter dc, Compounding comp,
Frequency freq, bool includeSettlementDateFlows,
Date settlementDate = null, Date npvDate = null)
{
if (leg.empty())
{
return(0.0);
}
if (settlementDate == null)
{
settlementDate = Settings.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
Handle <YieldTermStructure> discountCurveHandle = new Handle <YieldTermStructure>(discountCurve);
Handle <Quote> zSpreadQuoteHandle = new Handle <Quote>(new SimpleQuote(zSpread));
ZeroSpreadedTermStructure spreadedCurve = new ZeroSpreadedTermStructure(discountCurveHandle, zSpreadQuoteHandle,
comp, freq, dc);
spreadedCurve.enableExtrapolation(discountCurveHandle.link.allowsExtrapolation());
return(npv(leg, spreadedCurve, includeSettlementDateFlows, settlementDate, npvDate));
}
public static double dirtyPriceFromZSpreadFunction(double faceAmount, List <CashFlow> cashflows, double zSpread,
DayCounter dc, Compounding comp, Frequency freq, Date settlement,
Handle <YieldTermStructure> discountCurve)
{
if (!(freq != Frequency.NoFrequency && freq != Frequency.Once))
{
throw new ApplicationException("invalid frequency:" + freq);
}
Quote zSpreadQuoteHandle = new SimpleQuote(zSpread);
var spreadedCurve = new ZeroSpreadedTermStructure(discountCurve, zSpreadQuoteHandle, comp, freq, dc);
double price = 0.0;
foreach (CashFlow cf in cashflows.FindAll(x => !x.hasOccurred(settlement)))
{
Date couponDate = cf.Date;
double amount = cf.amount();
price += amount * spreadedCurve.discount(couponDate);
}
price /= spreadedCurve.discount(settlement);
return(price / faceAmount * 100.0);
}
public ZSpreadFinder(Leg leg,YieldTermStructure discountCurve,double npv,DayCounter dc,Compounding comp,Frequency freq,
bool includeSettlementDateFlows, Date settlementDate, Date npvDate)
{
leg_ = leg;
npv_ = npv;
zSpread_ = new SimpleQuote(0.0);
curve_ = new ZeroSpreadedTermStructure(new Handle<YieldTermStructure>(discountCurve),
new Handle<Quote>(zSpread_), comp, freq, dc);
includeSettlementDateFlows_ = includeSettlementDateFlows;
settlementDate_ = settlementDate;
npvDate_ = npvDate;
if (settlementDate == null)
settlementDate = Settings.evaluationDate();
if (npvDate == null)
npvDate = settlementDate;
// if the discount curve allows extrapolation, let's
// the spreaded curve do too.
curve_.enableExtrapolation(discountCurve.allowsExtrapolation());
}
// NPV of the cash flows.
// The NPV is the sum of the cash flows, each discounted
// according to the z-spreaded term structure. The result
// is affected by the choice of the z-spread compounding
// and the relative frequency and day counter.
public static double npv(Leg leg,YieldTermStructure discountCurve,double zSpread,DayCounter dc,Compounding comp,
Frequency freq,bool includeSettlementDateFlows,
Date settlementDate = null,Date npvDate = null)
{
if (leg.empty())
return 0.0;
if (settlementDate == null)
settlementDate = Settings.evaluationDate();
if (npvDate == null)
npvDate = settlementDate;
Handle<YieldTermStructure> discountCurveHandle = new Handle<YieldTermStructure>(discountCurve);
Handle<Quote> zSpreadQuoteHandle = new Handle<Quote>(new SimpleQuote(zSpread));
ZeroSpreadedTermStructure spreadedCurve = new ZeroSpreadedTermStructure(discountCurveHandle,zSpreadQuoteHandle,
comp, freq, dc);
spreadedCurve.enableExtrapolation(discountCurveHandle.link.allowsExtrapolation());
return npv(leg, spreadedCurve, includeSettlementDateFlows, settlementDate, npvDate);
}
public void testZSpreadedObs()
{
// ("Testing observability of zero-spreaded term structure...");
CommonVars vars = new CommonVars();
SimpleQuote me = new SimpleQuote(0.01);
Handle<Quote> mh = new Handle<Quote>(me);
RelinkableHandle<YieldTermStructure> h = new RelinkableHandle<YieldTermStructure>(vars.dummyTermStructure);
YieldTermStructure spreaded = new ZeroSpreadedTermStructure(h, mh);
Flag flag = new Flag();
spreaded.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
Console.WriteLine("Observer was not notified of term structure change");
flag.lower();
me.setValue(0.005);
if (!flag.isUp())
Console.WriteLine("Observer was not notified of spread change");
}
public void testZSpreaded()
{
// ("Testing consistency of zero-spreaded term structure...");
CommonVars vars = new CommonVars();
double tolerance = 1.0e-10;
Quote me = new SimpleQuote(0.01);
Handle<Quote> mh = new Handle<Quote>(me);
YieldTermStructure spreaded = new ZeroSpreadedTermStructure(new Handle<YieldTermStructure>(vars.termStructure), mh);
Date testDate = vars.termStructure.referenceDate() + new Period(5, TimeUnit.Years);
DayCounter rfdc = vars.termStructure.dayCounter();
double zero = vars.termStructure.zeroRate(testDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).rate();
double spreadedZero = spreaded.zeroRate(testDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).rate();
if (Math.Abs(zero - (spreadedZero - me.value())) > tolerance)
Console.WriteLine("unable to reproduce zero yield from spreaded curve\n"
+ " calculated: " + (spreadedZero - me.value()) + "\n"
+ " expected: " + zero);
}