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));
}
