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 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);
}
}
