internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BondFunctions obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BondFunctions obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
static void Main(string[] args)
{
try
{
DateTime timer = DateTime.Now;
int numberOfBonds = 15;
double[] cleanPrice = new double[numberOfBonds];
for (int i = 0; i < numberOfBonds; i++)
{
cleanPrice[i] = 100.0;
}
List <SimpleQuote> quote = new List <SimpleQuote>();
for (int i = 0; i < numberOfBonds; i++)
{
SimpleQuote cp = new SimpleQuote(cleanPrice[i]);
quote.Add(cp);
}
RelinkableHandle <Quote>[] quoteHandle = new RelinkableHandle <Quote> [numberOfBonds];
for (int i = 0; i < numberOfBonds; i++)
{
quoteHandle[i] = new RelinkableHandle <Quote>();
quoteHandle[i].linkTo(quote[i]);
}
int[] lengths = { 2, 4, 6, 8, 10, 12, 14, 16,
18, 20, 22, 24, 26, 28, 30 };
double[] coupons = { 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
0.0450, 0.0475, 0.0500, 0.0525, 0.0550 };
Frequency frequency = Frequency.Annual;
DayCounter dc = new SimpleDayCounter();
BusinessDayConvention accrualConvention = BusinessDayConvention.ModifiedFollowing;
BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
double redemption = 100.0;
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Date origToday = today;
Settings.setEvaluationDate(today);
// changing bondSettlementDays=3 increases calculation
// time of exponentialsplines fitting method
int bondSettlementDays = 0;
int curveSettlementDays = 0;
Date bondSettlementDate = calendar.advance(today, new Period(bondSettlementDays, TimeUnit.Days));
Console.WriteLine();
Console.WriteLine("Today's date: " + today);
Console.WriteLine("Bonds' settlement date: " + bondSettlementDate);
Console.WriteLine("Calculating fit for 15 bonds.....\n");
List <BondHelper> instrumentsA = new List <BondHelper>();
List <RateHelper> instrumentsB = new List <RateHelper>();
for (int j = 0; j < lengths.Length; j++)
{
Date maturity = calendar.advance(bondSettlementDate, new Period(lengths[j], TimeUnit.Years));
Schedule schedule = new Schedule(bondSettlementDate, maturity, new Period(frequency),
calendar, accrualConvention, accrualConvention,
DateGeneration.Rule.Backward, false);
BondHelper helperA = new FixedRateBondHelper(quoteHandle[j],
bondSettlementDays,
100.0,
schedule,
new InitializedList <double>(1, coupons[j]),
dc,
convention,
redemption);
RateHelper helperB = new FixedRateBondHelper(quoteHandle[j],
bondSettlementDays,
100.0,
schedule,
new InitializedList <double>(1, coupons[j]),
dc,
convention,
redemption);
instrumentsA.Add(helperA);
instrumentsB.Add(helperB);
}
bool constrainAtZero = true;
double tolerance = 1.0e-10;
int max = 5000;
YieldTermStructure ts0 = new PiecewiseYieldCurve <Discount, LogLinear>(curveSettlementDays,
calendar,
instrumentsB,
dc);
ExponentialSplinesFitting exponentialSplines = new ExponentialSplinesFitting(constrainAtZero);
FittedBondDiscountCurve ts1 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
exponentialSplines,
tolerance,
max);
printOutput("(a) exponential splines", ts1);
SimplePolynomialFitting simplePolynomial = new SimplePolynomialFitting(3, constrainAtZero);
FittedBondDiscountCurve ts2 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
simplePolynomial,
tolerance,
max);
printOutput("(b) simple polynomial", ts2);
NelsonSiegelFitting nelsonSiegel = new NelsonSiegelFitting();
FittedBondDiscountCurve ts3 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegel,
tolerance,
max);
printOutput("(c) Nelson-Siegel", ts3);
// a cubic bspline curve with 11 knot points, implies
// n=6 (constrained problem) basis functions
double[] knots = { -30.0, -20.0, 0.0, 5.0, 10.0, 15.0,
20.0, 25.0, 30.0, 40.0, 50.0 };
List <double> knotVector = new List <double>();
for (int i = 0; i < knots.Length; i++)
{
knotVector.Add(knots[i]);
}
CubicBSplinesFitting cubicBSplines = new CubicBSplinesFitting(knotVector, constrainAtZero);
FittedBondDiscountCurve ts4 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
cubicBSplines,
tolerance,
max);
printOutput("(d) cubic B-splines", ts4);
SvenssonFitting svensson = new SvenssonFitting();
FittedBondDiscountCurve ts5 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
svensson,
tolerance,
max);
printOutput("(e) Svensson", ts5);
Handle <YieldTermStructure> discountCurve = new Handle <YieldTermStructure>(
new FlatForward(curveSettlementDays, calendar, 0.01, dc));
SpreadFittingMethod nelsonSiegelSpread = new SpreadFittingMethod(new NelsonSiegelFitting(), discountCurve);
FittedBondDiscountCurve ts6 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegelSpread,
tolerance,
max);
printOutput("(f) Nelson-Siegel spreaded", ts6);
Console.WriteLine("Output par rates for each curve. In this case, ");
Console.WriteLine("par rates should equal coupons for these par bonds.\n");
Console.WriteLine(" tenor" + " | "
+ "coupon" + " | "
+ "bstrap" + " | "
+ " (a)" + " | "
+ " (b)" + " | "
+ " (c)" + " | "
+ " (d)" + " | "
+ " (e)" + " | "
+ " (f)");
for (int i = 0; i < instrumentsA.Count; i++)
{
List <CashFlow> cfs = instrumentsA[i].bond().cashflows();
int cfSize = instrumentsA[i].bond().cashflows().Count;
List <Date> keyDates = new List <Date>();
keyDates.Add(bondSettlementDate);
for (int j = 0; j < cfSize - 1; j++)
{
if (!cfs[j].hasOccurred(bondSettlementDate, false))
{
Date myDate = cfs[j].date();
keyDates.Add(myDate);
}
}
double tenor = dc.yearFraction(today, cfs[cfSize - 1].date());
double test = parRate(ts0, keyDates, dc);
Console.WriteLine(tenor.ToString("##.000").PadLeft(6) + " | "
+ (100.0 * coupons[i]).ToString("##.000").PadLeft(6) + " | "
// piecewise bootstrap
+ (100.0 * parRate(ts0, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// exponential splines
+ (100.0 * parRate(ts1, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// simple polynomial
+ (100.0 * parRate(ts2, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel
+ (100.0 * parRate(ts3, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// cubic bsplines
+ (100.0 * parRate(ts4, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Svensson
+ (100.0 * parRate(ts5, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel Spreaded
+ (100.0 * parRate(ts6, keyDates, dc)).ToString("##.000").PadLeft(6));
}
Console.WriteLine("\n\n");
Console.WriteLine("Now add 23 months to today. Par rates should be ");
Console.WriteLine("automatically recalculated because today's date ");
Console.WriteLine("changes. Par rates will NOT equal coupons (YTM ");
Console.WriteLine("will, with the correct compounding), but the ");
Console.WriteLine("piecewise yield curve par rates can be used as ");
Console.WriteLine("a benchmark for correct par rates.");
Console.WriteLine();
today = calendar.advance(origToday, 23, TimeUnit.Months, convention);
Settings.setEvaluationDate(today);
bondSettlementDate = calendar.advance(today, new Period(bondSettlementDays, TimeUnit.Days));
printOutput("(a) exponential splines", ts1);
printOutput("(b) simple polynomial", ts2);
printOutput("(c) Nelson-Siegel", ts3);
printOutput("(d) cubic B-splines", ts4);
printOutput("(e) Svensson", ts5);
printOutput("(f) Nelson-Siegel spreaded", ts6);
Console.WriteLine("\n");
Console.WriteLine(" tenor" + " | "
+ "coupon" + " | "
+ "bstrap" + " | "
+ " (a)" + " | "
+ " (b)" + " | "
+ " (c)" + " | "
+ " (d)" + " | "
+ " (e)" + " | "
+ " (f)");
for (int i = 0; i < instrumentsA.Count; i++)
{
List <CashFlow> cfs = instrumentsA[i].bond().cashflows();
int cfSize = instrumentsA[i].bond().cashflows().Count;
List <Date> keyDates = new List <Date>();
keyDates.Add(bondSettlementDate);
for (int j = 0; j < cfSize - 1; j++)
{
if (!cfs[j].hasOccurred(bondSettlementDate, false))
{
Date myDate = cfs[j].date();
keyDates.Add(myDate);
}
}
double tenor = dc.yearFraction(today, cfs[cfSize - 1].date());
double test = parRate(ts0, keyDates, dc);
Console.WriteLine(tenor.ToString("##.000").PadLeft(6) + " | "
+ (100.0 * coupons[i]).ToString("#.000").PadLeft(6) + " | "
// piecewise bootstrap
+ (100.0 * parRate(ts0, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// exponential splines
+ (100.0 * parRate(ts1, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// simple polynomial
+ (100.0 * parRate(ts2, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel
+ (100.0 * parRate(ts3, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// cubic bsplines
+ (100.0 * parRate(ts4, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Svensson
+ (100.0 * parRate(ts5, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel Spreaded
+ (100.0 * parRate(ts6, keyDates, dc)).ToString("##.000").PadLeft(6));
}
Console.WriteLine("\n\n");
Console.WriteLine("Now add one more month, for a total of two years ");
Console.WriteLine("from the original date. The first instrument is ");
Console.WriteLine("now expired and par rates should again equal ");
Console.WriteLine("coupon values, since clean prices did not change.");
Console.WriteLine("\n");
instrumentsA.RemoveRange(0, 1); // TODO
instrumentsB.RemoveRange(0, 1); // TODO
today = calendar.advance(origToday, 24, TimeUnit.Months, convention);
Settings.setEvaluationDate(today);
bondSettlementDate = calendar.advance(today, new Period(bondSettlementDays, TimeUnit.Days));
YieldTermStructure ts00 = new PiecewiseYieldCurve <Discount, LogLinear>(curveSettlementDays,
calendar,
instrumentsB,
dc);
FittedBondDiscountCurve ts11 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
exponentialSplines,
tolerance,
max);
printOutput("(a) exponential splines", ts11);
FittedBondDiscountCurve ts22 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
simplePolynomial,
tolerance,
max);
printOutput("(b) simple polynomial", ts22);
FittedBondDiscountCurve ts33 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegel,
tolerance,
max);
printOutput("(c) Nelson-Siegel", ts33);
FittedBondDiscountCurve ts44 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
cubicBSplines,
tolerance,
max);
printOutput("(d) cubic B-splines", ts44);
FittedBondDiscountCurve ts55 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
svensson,
tolerance,
max);
printOutput("(e) Svensson", ts55);
FittedBondDiscountCurve ts66 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegelSpread,
tolerance,
max);
printOutput("(f) Nelson-Siegel spreaded", ts66);
Console.WriteLine(" tenor" + " | "
+ "coupon" + " | "
+ "bstrap" + " | "
+ " (a)" + " | "
+ " (b)" + " | "
+ " (c)" + " | "
+ " (d)" + " | "
+ " (e)" + " | "
+ " (f)");
for (int i = 0; i < instrumentsA.Count; i++)
{
List <CashFlow> cfs = instrumentsA[i].bond().cashflows();
int cfSize = instrumentsA[i].bond().cashflows().Count;
List <Date> keyDates = new List <Date>();
keyDates.Add(bondSettlementDate);
for (int j = 0; j < cfSize - 1; j++)
{
if (!cfs[j].hasOccurred(bondSettlementDate, false))
{
Date myDate = cfs[j].date();
keyDates.Add(myDate);
}
}
double tenor = dc.yearFraction(today, cfs[cfSize - 1].date());
Console.WriteLine(tenor.ToString("##.000").PadLeft(6) + " | "
+ (100.0 * coupons[i + 1]).ToString("##.000").PadLeft(6) + " | "
// piecewise bootstrap
+ (100.0 * parRate(ts00, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// exponential splines
+ (100.0 * parRate(ts11, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// simple polynomial
+ (100.0 * parRate(ts22, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel
+ (100.0 * parRate(ts33, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// cubic bsplines
+ (100.0 * parRate(ts44, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Svensson
+ (100.0 * parRate(ts55, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel Spreaded
+ (100.0 * parRate(ts66, keyDates, dc)).ToString("##.000").PadLeft(6));
}
Console.WriteLine("\n\n");
Console.WriteLine("Now decrease prices by a small amount, corresponding");
Console.WriteLine("to a theoretical five basis point parallel + shift of");
Console.WriteLine("the yield curve. Because bond quotes change, the new ");
Console.WriteLine("par rates should be recalculated automatically.");
Console.WriteLine("\n");
for (int k = 0; k < lengths.Length - 1; k++)
{
double P = instrumentsA[k].quote().link.value();
Bond b = instrumentsA[k].bond();
double ytm = BondFunctions.yield(b, P, dc, Compounding.Compounded, frequency, today);
double dur = BondFunctions.duration(b, ytm, dc, Compounding.Compounded, frequency,
Duration.Type.Modified, today);
const double bpsChange = 5.0;
// dP = -dur * P * dY
double deltaP = -dur * P * (bpsChange / 10000.0);
quote[k + 1].setValue(P + deltaP);
}
Console.WriteLine(" tenor" + " | "
+ "coupon" + " | "
+ "bstrap" + " | "
+ " (a)" + " | "
+ " (b)" + " | "
+ " (c)" + " | "
+ " (d)" + " | "
+ " (e)" + " | "
+ " (f)");
for (int i = 0; i < instrumentsA.Count; i++)
{
List <CashFlow> cfs = instrumentsA[i].bond().cashflows();
int cfSize = instrumentsA[i].bond().cashflows().Count;
List <Date> keyDates = new List <Date>();
keyDates.Add(bondSettlementDate);
for (int j = 0; j < cfSize - 1; j++)
{
if (!cfs[j].hasOccurred(bondSettlementDate, false))
{
Date myDate = cfs[j].date();
keyDates.Add(myDate);
}
}
double tenor = dc.yearFraction(today, cfs[cfSize - 1].date());
Console.WriteLine(tenor.ToString("##.000").PadLeft(6) + " | "
+ (100.0 * coupons[i + 1]).ToString("##.000").PadLeft(6) + " | "
// piecewise bootstrap
+ (100.0 * parRate(ts00, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// exponential splines
+ (100.0 * parRate(ts11, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// simple polynomial
+ (100.0 * parRate(ts22, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel
+ (100.0 * parRate(ts33, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// cubic bsplines
+ (100.0 * parRate(ts44, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Svensson
+ (100.0 * parRate(ts55, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel Spreaded
+ (100.0 * parRate(ts66, keyDates, dc)).ToString("##.000").PadLeft(6));
}
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
catch (Exception e)
{
Console.WriteLine(e.Message);
return;
}
}
static void Main(string[] args)
{
try
{
var timer = new System.Diagnostics.Stopwatch();
timer.Start();
#region MARKET DATA
var calendar = new TARGET();
var settlementDate = new Date(18, Month.September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 3;
uint settlementDays = 3;
var todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.instance().setEvaluationDate(todaysDate);
Console.WriteLine("Today: {0} {1} {2} {3}", todaysDate.weekday(), todaysDate.dayOfMonth(), todaysDate.month(), todaysDate.year());
Console.WriteLine("Settlement date: {0} {1} {2} {3}", settlementDate.weekday(), settlementDate.dayOfMonth(), settlementDate.month(), settlementDate.year());
// Building of the bonds discounting yield curve
#endregion
#region RATE HELPERS
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// Common data
// ZC rates for the short end
double zc3mQuote = 0.0096;
double zc6mQuote = 0.0145;
double zc1yQuote = 0.0194;
var zc3mRate = new SimpleQuote(zc3mQuote);
var zc6mRate = new SimpleQuote(zc6mQuote);
var zc1yRate = new SimpleQuote(zc1yQuote);
var zcBondsDayCounter = new Actual365Fixed();
var zc3m = new DepositRateHelper(new QuoteHandle(zc3mRate),
new Period(3, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
var zc6m = new DepositRateHelper(new QuoteHandle(zc6mRate),
new Period(6, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
var zc1y = new DepositRateHelper(new QuoteHandle(zc1yRate),
new Period(1, TimeUnit.Years),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
// setup bonds
double redemption = 100.0;
const uint numberOfBonds = 5;
var issueDates = new Date[] { new Date(15, Month.March, 2005),
new Date(15, Month.June, 2005),
new Date(30, Month.June, 2006),
new Date(15, Month.November, 2002),
new Date(15, Month.May, 1987) };
var maturities = new Date[] { new Date(31, Month.August, 2010),
new Date(31, Month.August, 2011),
new Date(31, Month.August, 2013),
new Date(15, Month.August, 2018),
new Date(15, Month.May, 2038) };
var couponRates = new double[] { 0.02375,
0.04625,
0.03125,
0.04000,
0.04500 };
var marketQuotes = new double[] { 100.390625,
106.21875,
100.59375,
101.6875,
102.140625 };
var quote = new QuoteVector((int)numberOfBonds);
for (uint i = 0; i < numberOfBonds; i++)
{
var cp = new SimpleQuote(marketQuotes[i]);
quote.Add(cp);
}
var quoteHandle = new RelinkableQuoteHandleVector((int)numberOfBonds);
for (int i = 0; i < (int)numberOfBonds; i++)
{
quoteHandle.Add(new RelinkableQuoteHandle());
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
var bondsHelpers = new RateHelperVector((int)numberOfBonds);
for (int i = 0; i < (int)numberOfBonds; i++)
{
var schedule = new Schedule(issueDates[i],
maturities[i],
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward,
false);
var bondHelper = new FixedRateBondHelper(quoteHandle[i],
settlementDays,
100.0,
schedule,
new DoubleVector(1)
{
couponRates[i]
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.Add(bondHelper);
}
#endregion
#region CURVE BUILDING
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
var termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
//double tolerance = 1.0e-15;
// A depo-bond curve
var bondInstruments = new RateHelperVector();
// Adding the ZC bonds to the curve for the short end
bondInstruments.Add(zc3m);
bondInstruments.Add(zc6m);
bondInstruments.Add(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (int i = 0; i < numberOfBonds; i++)
{
bondInstruments.Add(bondsHelpers[3]);
}
var bondDiscountingTermStructure = new PiecewiseFlatForward(settlementDate,
bondInstruments,
termStructureDayCounter);
// Building of the Libor forecasting curve
// deposits
double d1wQuote = 0.043375;
double d1mQuote = 0.031875;
double d3mQuote = 0.0320375;
double d6mQuote = 0.03385;
double d9mQuote = 0.0338125;
double d1yQuote = 0.0335125;
// swaps
double s2yQuote = 0.0295;
double s3yQuote = 0.0323;
double s5yQuote = 0.0359;
double s10yQuote = 0.0412;
double s15yQuote = 0.0433;
#endregion
#region QUOTES
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
var d1wRate = new SimpleQuote(d1wQuote);
var d1mRate = new SimpleQuote(d1mQuote);
var d3mRate = new SimpleQuote(d3mQuote);
var d6mRate = new SimpleQuote(d6mQuote);
var d9mRate = new SimpleQuote(d9mQuote);
var d1yRate = new SimpleQuote(d1yQuote);
// swaps
var s2yRate = new SimpleQuote(s2yQuote);
var s3yRate = new SimpleQuote(s3yQuote);
var s5yRate = new SimpleQuote(s5yQuote);
var s10yRate = new SimpleQuote(s10yQuote);
var s15yRate = new SimpleQuote(s15yQuote);
#endregion
#region RATE HELPERS
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
var depositDayCounter = new Actual360();
var d1w = new DepositRateHelper(new QuoteHandle(d1wRate),
new Period(1, TimeUnit.Weeks),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d1m = new DepositRateHelper(new QuoteHandle(d1mRate),
new Period(1, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d3m = new DepositRateHelper(new QuoteHandle(d3mRate),
new Period(3, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d6m = new DepositRateHelper(new QuoteHandle(d6mRate),
new Period(6, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d9m = new DepositRateHelper(new QuoteHandle(d9mRate),
new Period(9, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d1y = new DepositRateHelper(new QuoteHandle(d1yRate),
new Period(1, TimeUnit.Years),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
// setup swaps
var swFixedLegFrequency = Frequency.Annual;
var swFixedLegConvention = BusinessDayConvention.Unadjusted;
var swFixedLegDayCounter = new Thirty360(Thirty360.Convention.European);
var swFloatingLegIndex = new Euribor6M();
var forwardStart = new Period(1, TimeUnit.Days);
var s2y = new SwapRateHelper(new QuoteHandle(s2yRate),
new Period(2, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s3y = new SwapRateHelper(new QuoteHandle(s3yRate),
new Period(3, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s5y = new SwapRateHelper(new QuoteHandle(s5yRate),
new Period(5, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s10y = new SwapRateHelper(new QuoteHandle(s10yRate),
new Period(10, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s15y = new SwapRateHelper(new QuoteHandle(s15yRate),
new Period(15, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
#endregion
#region CURVE BUILDING
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
var depoSwapInstruments = new RateHelperVector();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
var depoSwapTermStructure = new PiecewiseFlatForward(settlementDate,
depoSwapInstruments,
termStructureDayCounter);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
var discountingTermStructure = new RelinkableYieldTermStructureHandle();
// the one used for forward rate forecasting
//var forecastingTermStructure = new RelinkableYieldTermStructureHandle();
#endregion
#region BONDS TO BE PRICED
// Common data
double faceAmount = 100;
// Pricing engine
var bondEngine = new DiscountingBondEngine(new YieldTermStructureHandle(bondDiscountingTermStructure));
// Zero coupon bond
var zeroCouponBond = new ZeroCouponBond(settlementDays,
new UnitedStates(UnitedStates.Market.GovernmentBond),
faceAmount,
new Date(15, Month.August, 2013),
BusinessDayConvention.Following,
116.92,
new Date(15, Month.August, 2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
var fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007),
new Date(15, Month.May, 2017),
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward,
false);
var fixedRateBond = new FixedRateBond((int)settlementDays,
faceAmount,
fixedBondSchedule,
new DoubleVector(1)
{
0.045
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.ModifiedFollowing,
100.0,
new Date(15, Month.May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
var liborTermStructure = new RelinkableYieldTermStructureHandle();
var libor3m = new USDLibor(new Period(3, TimeUnit.Months),
liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008), 0.0278625);
var floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005),
new Date(21, Month.October, 2010),
new Period(Frequency.Quarterly),
new UnitedStates(UnitedStates.Market.NYSE),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward,
true);
var floatingRateBond = new FloatingRateBond(settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
// Gearings
new DoubleVector(1)
{
1.0
},
// Spreads
new DoubleVector(1)
{
0.001
},
// Caps
new DoubleVector(),
// Floors
new DoubleVector(),
// Fixing in arrears
true,
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
var pricer = new BlackIborCouponPricer();
// optionLet volatilities
double volatility = 0.0;
var vol = new OptionletVolatilityStructureHandle(new ConstantOptionletVolatility(settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
pricer.setCapletVolatility(vol);
NQuantLibc.setCouponPricer(floatingRateBond.cashflows(), pricer);
// Yield curve bootstrapping
//forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
// We are using the depo & swap curve to estimate the future Libor rates
liborTermStructure.linkTo(depoSwapTermStructure);
#endregion
#region BOND PRICING
Console.WriteLine();
// write column headings
int[] widths = new int[] { 0, 28, 38, 48 };
Console.CursorLeft = widths[0]; Console.Write(" ");
Console.CursorLeft = widths[1]; Console.Write("ZC");
Console.CursorLeft = widths[2]; Console.Write("Fixed");
Console.CursorLeft = widths[3]; Console.WriteLine("Floating");
//string separator = " | ";
int width = widths[3];
string rule = new string('-', width);
string dblrule = new string('=', width);
string tab = new string(' ', 8);
Console.WriteLine(rule);
Console.CursorLeft = widths[0]; Console.Write("Net present value");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Clean price");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Dirty price");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Accrued coupon");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Previous coupon");
Console.CursorLeft = widths[1]; Console.Write("N/A");
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.previousCouponRate().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.previousCouponRate().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Next coupon");
Console.CursorLeft = widths[1]; Console.Write("N/A");
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.nextCouponRate().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.nextCouponRate().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Yield");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
double yield = fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual);
Console.CursorLeft = widths[2]; Console.Write(BondFunctions.duration(fixedRateBond, new InterestRate(yield, fixedRateBond.dayCounter(), Compounding.Compounded, Frequency.Annual), Duration.Type.Modified));
Console.WriteLine();
// Other computations
Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
Console.WriteLine(rule);
Console.WriteLine("Yield to Clean Price: {0}", floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual), new Actual360(), Compounding.Compounded, Frequency.Annual, settlementDate).ToString("000.00"));
Console.WriteLine("Clean Price to Yield: {0}", floatingRateBond.yield(floatingRateBond.cleanPrice(), new Actual360(), Compounding.Compounded, Frequency.Annual, settlementDate).ToString("000.00"));
/* "Yield to Price"
* "Price to Yield" */
double milliseconds = timer.ElapsedMilliseconds;
Console.WriteLine();
Console.WriteLine("Run completed in " + milliseconds + "ms");
#endregion
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
finally
{
Console.Read();
}
}