public static double LinearRateModel_SwapParRate(string baseName, string swapName)
{
LinearRateModel model = ObjectMap.LinearRateModels[baseName];
IrSwap swap = (IrSwap)ObjectMap.LinearRateInstruments[swapName];
return(model.IrParSwapRate(swap));
}
public void LessComplexCurve()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _jhb, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _jhb, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var FIC = new FundingInstrumentCollection();
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m });
var S = new NewtonRaphsonMultiCurveSolverStagedWithAnalyticJacobian();
//var S = new NewtonRaphsonMultiCurveSolverStaged();
S.Solve(engine, FIC);
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
}
public void IrSwap()
{
var bd = DateTime.Parse("2018-09-13");
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRate = 0.05;
var rates = pillars.Select(p => flatRate).ToArray();
var usd = TestProviderHelper.CurrencyProvider["USD"];
var discoCurve = new IrCurve(pillars, rates, bd, "USD.BLAH", Interpolator1DType.Linear, usd);
var fModel = new FundingModel(bd, new[] { discoCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
CalendarProvider.Collection.TryGetCalendar("LON", out var cal);
var ix = new FloatRateIndex
{
Currency = usd,
DayCountBasis = DayCountBasis.ACT360,
DayCountBasisFixed = DayCountBasis.ACT360,
FixingOffset = 2.Bd(),
HolidayCalendars = cal,
ResetTenor = 3.Months(),
ResetTenorFixed = 3.Months(),
RollConvention = RollType.MF
};
var parRate = 0.05;
var notional = 100e6;
var startDate = bd.AddPeriod(RollType.F, cal, 2.Bd());
var maturity = startDate.AddDays(365);
var swp = new IrSwap(startDate, 1.Years(), ix, parRate, SwapPayReceiveType.Pay, "USD.BLAH", "USD.BLAH")
{
Notional = notional, RateIndex = ix
};
var pv = swp.Pv(fModel, true);
Assert.Equal(-368.89651349, pv, 8);
swp = new IrSwap(startDate, 1.Years(), ix, parRate + 0.01, SwapPayReceiveType.Pay, "USD.BLAH", "USD.BLAH")
{
Notional = notional, RateIndex = ix
};
pv = swp.Pv(fModel, true);
Assert.Equal(-10217.8229952, pv, 8);
Assert.Equal(swp.EndDate, swp.LastSensitivityDate);
var d = swp.Dependencies(null);
Assert.Single(d);
Assert.Equal(0.0496254169169585, swp.CalculateParRate(fModel), 10);
Assert.Equal(0.09, (swp.SetParRate(0.09) as IrSwap).ParRate);
Assert.Equal(1.0, swp.SupervisoryDelta(null));
Assert.Equal(1.0, swp.MaturityBucket(startDate));
}
public static void BasisSwap_MakeFromIrs(string baseName, string swapSpread, string swapNoSpread, int tradeSign)
{
IrSwap swapSpreadObject = ObjectMap.IrSwaps[swapSpread];
IrSwap swapNoSpreadObject = ObjectMap.IrSwaps[swapNoSpread];
TenorBasisSwap basisSwap = new TenorBasisSwap(swapSpreadObject, swapNoSpreadObject, tradeSign);
ObjectMap.LinearRateInstruments[baseName] = basisSwap;
ObjectMap.BasisSwaps[baseName] = basisSwap;
}
public void BasicSelfDiscounting()
{
var startDate = new DateTime(2016, 05, 20);
var swapTenor2 = new Frequency("2y");
var jhb = TestProviderHelper.CalendarProvider.Collection["JHB"];
var pillarDate = startDate.AddPeriod(RollType.MF, jhb, 1.Years());
var pillarDate2 = startDate.AddPeriod(RollType.MF, jhb, swapTenor2);
var pillarDateDepo = startDate.AddPeriod(RollType.MF, jhb, 3.Months());
var ccyZar = TestProviderHelper.CurrencyProvider["JHB"];
var zar3m = new FloatRateIndex()
{
Currency = ccyZar,
DayCountBasis = DayCountBasis.Act_365F,
DayCountBasisFixed = DayCountBasis.Act_365F,
ResetTenor = 3.Months(),
FixingOffset = 0.Bd(),
HolidayCalendars = jhb,
RollConvention = RollType.MF
};
var swap = new IrSwap(startDate, 1.Years(), zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var swap2 = new IrSwap(startDate, swapTenor2, zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var depo = new IrSwap(startDate, 3.Months(), zar3m, 0.06, SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M");
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider)
{
swap,
swap2,
depo
};
var curve = new IrCurve(new [] { pillarDateDepo, pillarDate, pillarDate2 }, new double[3], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar);
var model = new FundingModel(startDate, new[] { curve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var s = new Calibrators.NewtonRaphsonMultiCurveSolver();
if (IsCoverageOnly)
{
s.Tollerance = 1;
}
s.Solve(model, fic);
var resultSwap1 = swap.Pv(model, false);
var resultSwap2 = swap2.Pv(model, false);
var resultDepo = depo.Pv(model, false);
if (!IsCoverageOnly)
{
Assert.Equal(0, resultSwap1, 6);
Assert.Equal(0, resultSwap2, 6);
Assert.Equal(0, resultDepo, 6);
}
}
public static object CreateIRS(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "Tenor")] string SwapTenor,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Par Rate")] double ParRate,
[ExcelArgument(Description = "Notional")] double Notional,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "Pay / Receive")] object PayRec,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var payRec = PayRec.OptionalExcel("Pay");
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
if (!Enum.TryParse(payRec, out SwapPayReceiveType pType))
{
return $"Could not parse pay/rec - {payRec}";
}
var tenor = new Frequency(SwapTenor);
var product = new IrSwap(ValDate, tenor, rIndex.Value, ParRate, pType, ForecastCurve, DiscountCurve)
{
TradeId = ObjectName,
SolveCurve = SolveCurve.OptionalExcel(rIndex.Name),
Notional = Notional
};
product.PillarDate = SolvePillarDate.OptionalExcel(product.EndDate);
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public void BasicOisCurveSolving()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
double[] depoPrices = { 0.06 };
string[] FRATenors = { "3x6", "6x9", "9x12" };
double[] FRAPrices = { 0.065, 0.07, 0.075 };
var swapTenors = new Frequency[] { 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 7.Years(), 10.Years(), 15.Years(), 20.Years() };
double[] swapPrices = { 0.075, 0.08, 0.085, 0.09, 0.095, 0.0975, 0.098, 0.099, 0.1 };
var oisTenors = new Frequency[] { 3.Months(), 6.Months(), 1.Years(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 7.Years(), 10.Years(), 15.Years(), 20.Years() };
var oisPrices = new double[] { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
var pillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var pillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var pillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var pillarDates3m = pillarDatesDepo.Union(pillarDatesSwap).Union(pillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var pillarDatesOIS = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var swaps = new IrSwap[swapTenors.Length];
var depos = new IrSwap[depoTenors.Length];
var oisSwaps = new IrBasisSwap[oisTenors.Length];
var FRAs = new ForwardRateAgreement[FRATenors.Length];
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRAs.Length; i++)
{
FRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPrices[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(FRAs[i]);
}
for (var i = 0; i < oisSwaps.Length; i++)
{
oisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPrices[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.OIS.1B", "ZAR.OIS.1B");
fic.Add(oisSwaps[i]);
}
for (var i = 0; i < swaps.Length; i++)
{
swaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPrices[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(swaps[i]);
}
for (var i = 0; i < depos.Length; i++)
{
depos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPrices[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(depos[i]);
}
var curve3m = new IrCurve(pillarDates3m, new double[pillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar);
var curveOIS = new IrCurve(pillarDatesOIS, new double[pillarDatesOIS.Length], startDate, "ZAR.OIS.1B", Interpolator1DType.LinearFlatExtrap, ccyZar);
var model = new FundingModel(startDate, new IrCurve[] { curve3m, curveOIS }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var S = new NewtonRaphsonMultiCurveSolver
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(model, fic);
if (!IsCoverageOnly)
{
foreach (var ins in fic)
{
var pv = ins.Pv(model, false);
Assert.Equal(0.0, pv, 7);
}
}
}
public void ComplexerCurve()
{
var startDate = new DateTime(2016, 05, 20);
Frequency[] depoTenors = { 3.Months() };
Frequency[] OISdepoTenors = { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var fxSpot = 14.0;
Frequency[] fxForwardTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years() };
double[] fxForwardPrices = { 14.10, 14.20, 14.40, 14.60, 14.80, 15.20 };
Frequency[] xcySwapTenors = { 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] xcySwapPrices = { 0.0055, 0.0050, 0.0045, 0.0040, 0.0035, 0.0030, 0.0025, 0.0020, 0.0015, 0.0010, 0.0005, 0.0000 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var fxForwardPillarDates = fxForwardTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var xcySwapDates = xcySwapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var fxPillarDates = fxForwardPillarDates.Union(xcySwapDates).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var fxForwards = new FxForward[fxForwardTenors.Length];
var xcySwaps = new XccyBasisSwap[xcySwapTenors.Length];
var FIC = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, usdon, usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDoisSwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDdeposOIS[i]);
}
for (var i = 0; i < fxForwards.Length; i++)
{
fxForwards[i] = new FxForward
{
SolveCurve = "ZAR.DISC.CSA_USD",
DeliveryDate = fxForwardPillarDates[i],
DomesticCCY = ccyUsd,
ForeignCCY = ccyZar,
DomesticQuantity = 1e6 / fxForwardPrices[i],
Strike = fxForwardPrices[i],
ForeignDiscountCurve = "ZAR.DISC.CSA_USD",
};
FIC.Add(fxForwards[i]);
}
for (var i = 0; i < xcySwapTenors.Length; i++)
{
xcySwaps[i] = new XccyBasisSwap(startDate, xcySwapTenors[i], xcySwapPrices[i], true, usd3m, _zar3m, ExchangeType.Both, MTMSwapType.ReceiveNotionalFixed, "USD.LIBOR.3M", "ZAR.JIBAR.3M", "USD.DISC.CSA_USD", "ZAR.DISC.CSA_USD")
{
SolveCurve = "ZAR.DISC.CSA_USD"
};
FIC.Add(xcySwaps[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var fxCurve = new IrCurve(fxPillarDates, new double[fxPillarDates.Length], startDate, "ZAR.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 2
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS, fxCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var spotRates = new Dictionary <Currency, double>
{
{ ccyZar, fxSpot }
};
var fxPairs = new List <FxPair>
{
new FxPair {
Domestic = ccyUsd, Foreign = ccyZar, SettlementCalendar = _usd, SpotLag = new Frequency("2b")
}
};
var discountMap = new Dictionary <Currency, string>
{
{ ccyUsd, "USD.DISC.CSA_USD" },
{ ccyZar, "ZAR.DISC.CSA_USD" },
};
fxMatrix.Init(ccyUsd, startDate, spotRates, fxPairs, discountMap);
engine.SetupFx(fxMatrix);
var S = new NewtonRaphsonMultiCurveSolverStaged()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(engine, FIC);
if (!IsCoverageOnly)
{
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
}
}
public void ComplexCurve()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var FIC = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, usdon, usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDoisSwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDdeposOIS[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var ZARcurve3m0 = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS0 = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m0 = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS0 = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var engine0 = new FundingModel(startDate, new IrCurve[] { ZARcurve3m0, ZARcurveOIS0, USDcurve3m0, USDcurveOIS0 }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var S = new NewtonRaphsonMultiCurveSolverStagedWithAnalyticJacobian()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
var S0 = new NewtonRaphsonMultiCurveSolverStaged()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(engine, FIC);
S0.Solve(engine0, FIC);
if (!IsCoverageOnly)
{
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
foreach (var curve in engine.Curves)
{
var otherCurve = engine0.Curves[curve.Key];
Assert.Equal(curve.Value.NumberOfPillars, otherCurve.NumberOfPillars);
var otherRates = otherCurve.GetRates();
var rates = curve.Value.GetRates();
for (var i = 0; i < otherRates.Length; i++)
{
Assert.Equal(otherRates[i], rates[i], 10);
}
}
}
}
public static double InstrumentFactory_ValueSwap(string instrumentFactory, string model, string instrument)
{
IrSwap swap = ObjectMap.InstrumentFactories[instrumentFactory].IrSwaps[instrument];
return(ObjectMap.LinearRateModels[model].IrParSwapRate(swap));
}
public static void Setup()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
double[] crossxPrices = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var ccySwaps = new XccyBasisSwap[oisTenors.Length];
_instruments = new FundingInstrumentCollection();
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], CurveDataSetup._zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], CurveDataSetup.usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, CurveDataSetup.zaron, CurveDataSetup._zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
_instruments.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, CurveDataSetup.usdon, CurveDataSetup.usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
_instruments.Add(USDoisSwaps[i]);
ccySwaps[i] = new XccyBasisSwap(startDate, oisTenors[i], crossxPrices[i], true, CurveDataSetup.usd3m, CurveDataSetup._zar3m, ExchangeType.Both, MTMSwapType.ReceiveNotionalFixed, "USD.LIBOR.3M", "ZAR.JIBAR.3M", "USD.DISC.CSA_USD", "ZAR.DISC.CSA_USD");
//_instruments.Add(ccySwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], CurveDataSetup._zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], CurveDataSetup.usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], CurveDataSetup._zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], CurveDataSetup.usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], CurveDataSetup.zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
_instruments.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], CurveDataSetup.usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
_instruments.Add(USDdeposOIS[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 1
};
// var ZARccyBasisCurve = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap) { SolveStage = 2 };
_fundingModel = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS });
}
