public MakeBasisSwap(Period swapTenor, IborIndex index1, IborIndex index2, Period forwardStart)
{
swapTenor_ = swapTenor;
iborIndex1_ = index1;
iborIndex2_ = index2;
forwardStart_ = forwardStart;
effectiveDate_ = null;
float1Calendar_ = float2Calendar_ = index1.fixingCalendar();
type_ = BasisSwap.Type.Payer;
nominal_ = 1.0;
float1Tenor_ = index1.tenor();
float2Tenor_ = index2.tenor();
float1Convention_ = float1TerminationDateConvention_ = index1.businessDayConvention();
float2Convention_ = float2TerminationDateConvention_ = index2.businessDayConvention();
float1Rule_ = float2Rule_ = DateGeneration.Rule.Backward;
float1EndOfMonth_ = float2EndOfMonth_ = false;
float1FirstDate_ = float1NextToLastDate_ = float2FirstDate_ = float2NextToLastDate_ = null;
float1Spread_ = float2Spread_ = 0.0;
float1DayCount_ = index1.dayCounter();
float2DayCount_ = index2.dayCounter();
engine_ = new DiscountingBasisSwapEngine(index1.forwardingTermStructure(), index2.forwardingTermStructure());
}
public void testSwaptionPricing()
{
// Testing forward swap and swaption pricing
const int size = 10;
const int steps = 8 * size;
#if QL_USE_INDEXED_COUPON
const double tolerance = 1e-6;
#else
const double tolerance = 1e-12;
#endif
List <Date> dates = new List <Date>();
List <double> rates = new List <double>();
dates.Add(new Date(4, 9, 2005));
dates.Add(new Date(4, 9, 2011));
rates.Add(0.04);
rates.Add(0.08);
IborIndex index = makeIndex(dates, rates);
LiborForwardModelProcess process = new LiborForwardModelProcess(size, index);
LmCorrelationModel corrModel = new LmExponentialCorrelationModel(size, 0.5);
LmVolatilityModel volaModel = new LmLinearExponentialVolatilityModel(process.fixingTimes(),
0.291, 1.483, 0.116, 0.00001);
// set-up pricing engine
process.setCovarParam((LfmCovarianceParameterization)
new LfmCovarianceProxy(volaModel, corrModel));
// set-up a small Monte-Carlo simulation to price swations
List <double> tmp = process.fixingTimes();
TimeGrid grid = new TimeGrid(tmp, tmp.Count, steps);
List <int> location = new List <int>();
for (int i = 0; i < tmp.Count; ++i)
{
location.Add(grid.index(tmp[i]));
}
ulong seed = 42;
const int nrTrails = 5000;
LowDiscrepancy.icInstance = new InverseCumulativeNormal();
IRNG rsg = (InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>
, InverseCumulativeNormal>)
new PseudoRandom().make_sequence_generator(process.factors() * (grid.size() - 1), seed);
MultiPathGenerator <IRNG> generator = new MultiPathGenerator <IRNG>(process,
grid,
rsg, false);
LiborForwardModel liborModel = new LiborForwardModel(process, volaModel, corrModel);
Calendar calendar = index.fixingCalendar();
DayCounter dayCounter = index.forwardingTermStructure().link.dayCounter();
BusinessDayConvention convention = index.businessDayConvention();
Date settlement = index.forwardingTermStructure().link.referenceDate();
SwaptionVolatilityMatrix m = liborModel.getSwaptionVolatilityMatrix();
for (int i = 1; i < size; ++i)
{
for (int j = 1; j <= size - i; ++j)
{
Date fwdStart = settlement + new Period(6 * i, TimeUnit.Months);
Date fwdMaturity = fwdStart + new Period(6 * j, TimeUnit.Months);
Schedule schedule = new Schedule(fwdStart, fwdMaturity, index.tenor(), calendar,
convention, convention, DateGeneration.Rule.Forward, false);
double swapRate = 0.0404;
VanillaSwap forwardSwap = new VanillaSwap(VanillaSwap.Type.Receiver, 1.0,
schedule, swapRate, dayCounter,
schedule, index, 0.0, index.dayCounter());
forwardSwap.setPricingEngine(new DiscountingSwapEngine(index.forwardingTermStructure()));
// check forward pricing first
double expected = forwardSwap.fairRate();
double calculated = liborModel.S_0(i - 1, i + j - 1);
if (Math.Abs(expected - calculated) > tolerance)
{
QAssert.Fail("Failed to reproduce fair forward swap rate"
+ "\n calculated: " + calculated
+ "\n expected: " + expected);
}
swapRate = forwardSwap.fairRate();
forwardSwap =
new VanillaSwap(VanillaSwap.Type.Receiver, 1.0,
schedule, swapRate, dayCounter,
schedule, index, 0.0, index.dayCounter());
forwardSwap.setPricingEngine(new DiscountingSwapEngine(index.forwardingTermStructure()));
if (i == j && i <= size / 2)
{
IPricingEngine engine =
new LfmSwaptionEngine(liborModel, index.forwardingTermStructure());
Exercise exercise =
new EuropeanExercise(process.fixingDates()[i]);
Swaption swaption =
new Swaption(forwardSwap, exercise);
swaption.setPricingEngine(engine);
GeneralStatistics stat = new GeneralStatistics();
for (int n = 0; n < nrTrails; ++n)
{
Sample <IPath> path = (n % 2 != 0) ? generator.antithetic()
: generator.next();
MultiPath value = path.value as MultiPath;
Utils.QL_REQUIRE(value != null, () => "Invalid Path");
//Sample<MultiPath> path = generator.next();
List <double> rates_ = new InitializedList <double>(size);
for (int k = 0; k < process.size(); ++k)
{
rates_[k] = value[k][location[i]];
}
List <double> dis = process.discountBond(rates_);
double npv = 0.0;
for (int k = i; k < i + j; ++k)
{
npv += (swapRate - rates_[k])
* (process.accrualEndTimes()[k]
- process.accrualStartTimes()[k]) * dis[k];
}
stat.add(Math.Max(npv, 0.0));
}
if (Math.Abs(swaption.NPV() - stat.mean())
> stat.errorEstimate() * 2.35)
{
QAssert.Fail("Failed to reproduce swaption npv"
+ "\n calculated: " + stat.mean()
+ "\n expected: " + swaption.NPV());
}
}
}
}
}
public static object eqInstIRBasisSwap(
[ExcelArgument(Description = "trade id ")] string tradeid,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool ispayer,
[ExcelArgument(Description = "notional ")] double notional,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = " (String) forward start month, e.g. 7D, 3M, 7Y ")] string Tenor,
[ExcelArgument(Description = "id of base index ")] string baseindexid,
[ExcelArgument(Description = "id of basis index ")] string basisindexid,
[ExcelArgument(Description = "basis leg spread ")] double spread,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
// by default
// endOfMonth_(1*Months<=swapTenor && swapTenor<=2*Years ? true : false),
bool end_of_month = true;
EliteQuant.DayCounter fixeddc = new EliteQuant.Actual360();
if (!baseindexid.Contains('@'))
{
baseindexid = "IDX@" + baseindexid;
}
IborIndex baseidx = OHRepository.Instance.getObject <IborIndex>(baseindexid);
if (!basisindexid.Contains('@'))
{
basisindexid = "IDX@" + basisindexid;
}
IborIndex basisidx = OHRepository.Instance.getObject <IborIndex>(basisindexid);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
EliteQuant.Date sdate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date fdate = baseidx.fixingDate(sdate);
EliteQuant.Date tdate = baseidx.fixingCalendar().advance(sdate, tenor_);
// fixed leg 1 yr. Forward?
Schedule basesch = new Schedule(sdate, tdate, baseidx.tenor(),
baseidx.fixingCalendar(), baseidx.businessDayConvention(), baseidx.businessDayConvention(),
DateGeneration.Rule.Backward, end_of_month);
Schedule basissch = new Schedule(sdate, tdate, basisidx.tenor(),
basisidx.fixingCalendar(), basisidx.businessDayConvention(), basisidx.businessDayConvention(),
DateGeneration.Rule.Backward, end_of_month);
//GenericSwap swap = new GenericSwap((ispayer ? _GenericSwap.Type.Payer : _GenericSwap.Type.Receiver), notional,
// basesch, baseidx, baseidx.dayCounter(), basissch, basisidx, basisidx.dayCounter(), spread);
//DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
//swap.setPricingEngine(engine);
//Date refDate = discountcurve.referenceDate();
// Store the futures and return its id
//string id = "SWP@" + tradeid;
//OHRepository.Instance.storeObject(id, swap, callerAddress);
//id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
//return id;
return(0);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}
public static object eqInstIRVanillaSwap(
[ExcelArgument(Description = "trade id ")] string tradeid,
[ExcelArgument(Description = "payer/receiver (1/0) ")] bool ispayer,
[ExcelArgument(Description = "notional ")] double notional,
[ExcelArgument(Description = "fixed rate ")] double fixedRate,
[ExcelArgument(Description = "start date ")] DateTime startdate,
[ExcelArgument(Description = " (String) forward start month, e.g. 7D, 3M, 7Y ")] string Tenor,
[ExcelArgument(Description = "id of libor index ")] string indexid,
[ExcelArgument(Description = "floating leg spread ")] double spread,
[ExcelArgument(Description = "id of discount curve ")] string discountId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
// by default
bool end_of_month = true;
EliteQuant.DayCounter fixeddc = new EliteQuant.Thirty360();
EliteQuant.Period tenor_ = EliteQuant.EQConverter.ConvertObject <EliteQuant.Period>(Tenor);
if (!indexid.Contains('@'))
{
indexid = "IDX@" + indexid;
}
IborIndex idx = OHRepository.Instance.getObject <IborIndex>(indexid);
if (!discountId.Contains('@'))
{
discountId = "CRV@" + discountId;
}
YieldTermStructure discountcurve = OHRepository.Instance.getObject <YieldTermStructure>(discountId);
YieldTermStructureHandle dch = new YieldTermStructureHandle(discountcurve);
EliteQuant.Date sdate = EliteQuant.EQConverter.ConvertObject <EliteQuant.Date>(startdate);
EliteQuant.Date fdate = idx.fixingDate(sdate);
EliteQuant.Date tdate = idx.fixingCalendar().advance(sdate, tenor_);
Schedule fixedsch = new Schedule(sdate, tdate, new Period(6, TimeUnit.Months),
idx.fixingCalendar(), idx.businessDayConvention(), idx.businessDayConvention(),
DateGeneration.Rule.Backward, end_of_month);
Schedule floatingsch = new Schedule(sdate, tdate, idx.tenor(), idx.fixingCalendar(),
idx.businessDayConvention(), idx.businessDayConvention(),
DateGeneration.Rule.Backward, end_of_month);
VanillaSwap swap = new VanillaSwap(ispayer ? _VanillaSwap.Type.Payer : _VanillaSwap.Type.Receiver,
notional, fixedsch, fixedRate, fixeddc, floatingsch, idx, spread, idx.dayCounter());
DiscountingSwapEngine engine = new DiscountingSwapEngine(dch);
swap.setPricingEngine(engine);
Date refDate = discountcurve.referenceDate();
// Store the futures and return its id
string id = "SWP@" + tradeid;
OHRepository.Instance.storeObject(id, swap, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return("#EQ_ERR!");
}
}