public void TestHullWhite1FForwardsLowRates()
{
var valueDate = new Date(2016, 9, 17);
var flatRate = 0.01;
var usdRatesSim = new HullWhite1F(TestHelpers.USD, 0.05, 0.01, flatRate, flatRate);
usdRatesSim.AddForecast(TestHelpers.Libor3M);
var simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
simDates.Add(simDates[0].AddTenor(TestHelpers.Libor3M.Tenor));
usdRatesSim.Reset();
usdRatesSim.SetNumeraireDates(simDates);
usdRatesSim.Prepare(valueDate);
var N = 10000;
var simFwdValues = Matrix.Zeros(N, 2);
for (var i = 0; i < N; i++)
{
usdRatesSim.RunSimulation(i);
simFwdValues[i, 0] = usdRatesSim.GetIndices(TestHelpers.Libor3M, simDates)[0];
simFwdValues[i, 1] = 1.0 / usdRatesSim.Numeraire(simDates[1]);
}
var dt = (simDates[1] - simDates[0]) / 365.0;
var impliedFwd = (Math.Exp(flatRate * dt) - 1) / dt;
var discountedFRA = simFwdValues.GetColumn(0).Subtract(impliedFwd);
discountedFRA = discountedFRA.Multiply(simFwdValues.GetColumn(1));
var actual = discountedFRA.Mean();
Assert.AreEqual(0.0, actual, 2e-4);
}
public void TestHullWhite1FForwardsLowRates()
{
Date valueDate = new Date(2016, 9, 17);
double flatRate = 0.01;
HullWhite1F usdRatesSim = new HullWhite1F(Currency.USD, 0.05, 0.01, flatRate, flatRate, valueDate);
usdRatesSim.AddForecast(FloatingIndex.LIBOR3M);
List <Date> simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
simDates.Add(simDates[0].AddTenor(FloatingIndex.LIBOR3M.tenor));
usdRatesSim.Reset();
usdRatesSim.SetNumeraireDates(simDates);
usdRatesSim.Prepare();
int N = 10000;
double[,] simFwdValues = Matrix.Zeros(N, 2);
for (int i = 0; i < N; i++)
{
usdRatesSim.RunSimulation(i);
simFwdValues[i, 0] = usdRatesSim.GetIndices(FloatingIndex.LIBOR3M, simDates)[0];
simFwdValues[i, 1] = 1.0 / usdRatesSim.Numeraire(simDates[1]);
}
double dt = (simDates[1] - simDates[0]) / 365.0;
double impliedFwd = (Math.Exp(flatRate * dt) - 1) / dt;
double[] discountedFRA = simFwdValues.GetColumn(0).Subtract(impliedFwd);
discountedFRA = Elementwise.Multiply(discountedFRA, simFwdValues.GetColumn(1));
double actual = discountedFRA.Mean();
Assert.AreEqual(0.0, actual, 1e-4);
}