public void VerifyFr007SwapCashflow()
{
var irsInfo = new InterestRateSwapInfo
{
StartDate = "20150828",
MaturityDate = "20160828",
Notional = 50000000,
Calendar = "chn_ib",
Currency = "CNY",
SwapDirection = "Payer",
FixedLegDC = "Act365",
FixedLegBD = "ModifiedFollowing",
FixedLegCoupon = 0.02395,
FixedLegFreq = "Quarterly",
FixedLegStub = "ShortEnd",
FloatingLegDC = "Act365",
FloatingLegFreq = "Quarterly",
FloatingLegBD = "ModifiedFollowing",
FloatingLegStub = "ShortEnd",
Index = "Fr007",
ResetTerm = "1W",
ResetBD = "None",
ResetToFixingGap = "-1BD",
ResetStub = "ShortEnd",
ResetCompound = "Compounded",
ValuationParamters = new SimpleCfValuationParameters("Fr007", "Fr007")
};
var qdpMarket = VerifyCurveConstructionMarket("2015-10-23");
var irsVf = new InterestRateSwapVf(irsInfo);
var result = irsVf.ValueTrade(qdpMarket, PricingRequest.All);
Assert.AreEqual(result.Pv, -4184.93417566339, 1e-4);
foreach (var d in result.KeyRateDv01)
{
Console.WriteLine("{0},{1}", d.Key, d.Value);
}
Console.WriteLine("Total Dv01 {0}", result.Dv01);
Console.WriteLine("Summed Dv01 {0}", result.KeyRateDv01.Sum(x => x.Value.Sum(e => e.Risk)));
}
public static IValuationFunction ToVf(TradeInfoBase tradeInfo)
{
IValuationFunction vf;
// sean todo // tradeInfo.GetValuationFunction
if (tradeInfo is BondInfoBase)
{
vf = new BondVf((BondInfoBase)tradeInfo);
}
else if (tradeInfo is VanillaOptionInfo)
{
vf = new VanillaOptionVf((VanillaOptionInfo)tradeInfo);
}
else if (tradeInfo is BarrierOptionInfo)
{
vf = new BarrierOptionVf((BarrierOptionInfo)tradeInfo);
}
else if (tradeInfo is BinaryOptionInfo)
{
vf = new BinaryOptionVf((BinaryOptionInfo)tradeInfo);
}
else if (tradeInfo is AsianOptionInfo)
{
vf = new AsianOptionVf((AsianOptionInfo)tradeInfo);
}
else if (tradeInfo is RainbowOptionInfo)
{
vf = new RainbowOptionVf((RainbowOptionInfo)tradeInfo);
}
else if (tradeInfo is SpreadOptionInfo)
{
vf = new SpreadOptionVf((SpreadOptionInfo)tradeInfo);
}
else if (tradeInfo is InterestRateSwapInfo)
{
vf = new InterestRateSwapVf((InterestRateSwapInfo)tradeInfo);
}
else if (tradeInfo is FixedLegInfo)
{
vf = new FixedLegVf((FixedLegInfo)tradeInfo);
}
else if (tradeInfo is FloatingLegInfo)
{
vf = new FloatingLegVf((FloatingLegInfo)tradeInfo);
}
else if (tradeInfo is BondFuturesInfo)
{
vf = new BondFuturesVf((BondFuturesInfo)tradeInfo);
}
else if (tradeInfo is LoanInfo)
{
vf = new LoanVf((LoanInfo)tradeInfo);
}
else if (tradeInfo is HoldingPeriodInfo)
{
vf = new HoldingPeriodVf((HoldingPeriodInfo)tradeInfo);
}
else if (tradeInfo is AbsWithRepurchaseInfo)
{
vf = new AbsWithRepurchaseVf((AbsWithRepurchaseInfo)tradeInfo);
}
else if (tradeInfo is ConvertibleBondInfo)
{
vf = new ConvertibleBondVf((ConvertibleBondInfo)tradeInfo);
}
else
{
throw new PricingLibraryException("Unknowy trade info type");
}
return(vf);
}
protected ICalibrationSupportedInstrument CreateIrsInstrument(RateMktData rateMktData,
out MktInstrumentCalibMethod calibMethod)
{
MktIrsJson irsJson = null;
ICalibrationSupportedInstrument irs = null;
if (rateMktData.TradeInfo != null)
{
var irsInfo = (InterestRateSwapInfo)rateMktData.TradeInfo;
var vf = new InterestRateSwapVf(irsInfo);
irs = vf.GenerateInstrument();
irsJson = MktInstrumentIrsRule.MktIrsRule[irsInfo.Index.ToIndexType()];
}
else
{
irsJson = MktInstrumentIrsRule.MktIrsRule[rateMktData.IndexType.ToIndexType()];
var irsInfo = irsJson.InterestRateSwapInfo;
var calendar = irsInfo.Calendar.ToCalendarImpl();
var startDate = calendar.NextBizDay(Market.ReferenceDate);
var isTernor = rateMktData.IsTerm();
var tenor = isTernor ? rateMktData.Tenor : null;
var maturityDate = isTernor ? new Term(tenor).Next(startDate) : new Date(DateTime.Parse(rateMktData.Tenor));
var fixedLeg = new SwapLeg(startDate,
maturityDate,
-1.0,
false,
irsInfo.Currency.ToCurrencyCode(),
new FixedCoupon(rateMktData.Rate),
calendar,
irsInfo.FixedLegFreq.ToFrequency(),
irsInfo.FixedLegStub.ToStub(),
irsInfo.FixedLegDC.ToDayCountImpl(),
irsInfo.FixedLegBD.ToBda()
);
var floatingLegFrequency = irsInfo.FloatingLegFreq.ToFrequency();
var floatingCouponResetTerm = new Term(irsInfo.ResetTerm);
if (floatingCouponResetTerm.Equals(floatingLegFrequency.GetTerm()))
{
floatingCouponResetTerm = null;
}
var floatingCoupon =
new FloatingCoupon(
new Index(rateMktData.IndexType.ToIndexType(), 1, irsInfo.ResetCompound.ToCouponCompound()),
calendar,
irsInfo.FloatingLegDC.ToDayCountImpl(),
0.0,
floatingCouponResetTerm,
irsInfo.ResetStub.ToStub(),
irsInfo.ResetBD.ToBda(),
new DayGap(irsInfo.ResetToFixingGap));
var floatingLeg = new SwapLeg(startDate,
maturityDate,
1.0,
false,
irsInfo.Currency.ToCurrencyCode(),
floatingCoupon,
calendar,
irsInfo.FloatingLegFreq.ToFrequency(),
irsInfo.FloatingLegStub.ToStub(),
irsInfo.FloatingLegDC.ToDayCountImpl(),
irsInfo.FloatingLegBD.ToBda()
);
irs = new InterestRateSwap(fixedLeg, floatingLeg, SwapDirection.Payer, tenor);
}
calibMethod = irsJson.CalibrationMethod.ToCalibMethod();
return(irs);
}
