static void Main(string[] args)
{
try
{
DateTime timer = DateTime.Now;
Calendar calendar = new TARGET();
Date todaysDate = new Date(10, Month.March, 2004);
// must be a business day
todaysDate = calendar.adjust(todaysDate);
Settings.setEvaluationDate(todaysDate);
IborIndex yieldIndx = new Euribor3M();
int[] tenorsSwapMkt = { 5, 10, 15, 20, 25, 30 };
// rates ignoring counterparty risk:
double[] ratesSwapmkt = { .03249, .04074, .04463, .04675, .04775, .04811 };
List <RateHelper> swapHelpers = new List <RateHelper>();
for (int i = 0; i < tenorsSwapMkt.Length; i++)
{
swapHelpers.Add(new SwapRateHelper(new Handle <Quote>(new SimpleQuote(ratesSwapmkt[i])),
new Period(tenorsSwapMkt[i], TimeUnit.Years),
new TARGET(),
Frequency.Quarterly,
BusinessDayConvention.ModifiedFollowing,
new ActualActual(ActualActual.Convention.ISDA),
yieldIndx));
}
YieldTermStructure swapTS = new PiecewiseYieldCurve <Discount, LogLinear>(2, new TARGET(), swapHelpers,
new ActualActual(ActualActual.Convention.ISDA));
swapTS.enableExtrapolation();
IPricingEngine riskFreeEngine = new DiscountingSwapEngine(new Handle <YieldTermStructure>(swapTS));
List <Handle <DefaultProbabilityTermStructure> > defaultIntensityTS =
new List <Handle <DefaultProbabilityTermStructure> >();
int[] defaultTenors = { 0, 12, 36, 60, 84, 120, 180, 240, 300, 360 }; // months
// Three risk levels:
double[] intensitiesLow = { 0.0036, 0.0036, 0.0065, 0.0099, 0.0111, 0.0177, 0.0177, 0.0177, 0.0177, 0.0177, 0.0177 };
double[] intensitiesMedium = { 0.0202, 0.0202, 0.0231, 0.0266, 0.0278, 0.0349, 0.0349, 0.0349, 0.0349, 0.0349, 0.0349 };
double[] intensitiesHigh = { 0.0534, 0.0534, 0.0564, 0.06, 0.0614, 0.0696, 0.0696, 0.0696, 0.0696, 0.0696, 0.0696 };
// Recovery rates:
double ctptyRRLow = 0.4, ctptyRRMedium = 0.35, ctptyRRHigh = 0.3;
List <Date> defaultTSDates = new List <Date>();
List <double> intesitiesVLow = new List <double>(),
intesitiesVMedium = new List <double>(),
intesitiesVHigh = new List <double>();
for (int i = 0; i < defaultTenors.Length; i++)
{
defaultTSDates.Add(new TARGET().advance(todaysDate, new Period(defaultTenors[i], TimeUnit.Months)));
intesitiesVLow.Add(intensitiesLow[i]);
intesitiesVMedium.Add(intensitiesMedium[i]);
intesitiesVHigh.Add(intensitiesHigh[i]);
}
defaultIntensityTS.Add(new Handle <DefaultProbabilityTermStructure>(
new InterpolatedHazardRateCurve <BackwardFlat>(
defaultTSDates,
intesitiesVLow,
new Actual360(),
new TARGET())));
defaultIntensityTS.Add(new Handle <DefaultProbabilityTermStructure>(
new InterpolatedHazardRateCurve <BackwardFlat>(
defaultTSDates,
intesitiesVMedium,
new Actual360(),
new TARGET())));
defaultIntensityTS.Add(new Handle <DefaultProbabilityTermStructure>(
new InterpolatedHazardRateCurve <BackwardFlat>(
defaultTSDates,
intesitiesVHigh,
new Actual360(),
new TARGET())));
double blackVol = 0.15;
IPricingEngine ctptySwapCvaLow = new CounterpartyAdjSwapEngine(new Handle <YieldTermStructure>(swapTS),
blackVol, defaultIntensityTS[0], ctptyRRLow);
IPricingEngine ctptySwapCvaMedium = new CounterpartyAdjSwapEngine(new Handle <YieldTermStructure>(swapTS),
blackVol, defaultIntensityTS[1], ctptyRRMedium);
IPricingEngine ctptySwapCvaHigh = new CounterpartyAdjSwapEngine(new Handle <YieldTermStructure>(swapTS),
blackVol, defaultIntensityTS[2], ctptyRRHigh);
defaultIntensityTS[0].link.enableExtrapolation();
defaultIntensityTS[1].link.enableExtrapolation();
defaultIntensityTS[2].link.enableExtrapolation();
// SWAP RISKY REPRICE----------------------------------------------
// fixed leg
Frequency fixedLegFrequency = Frequency.Quarterly;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new ActualActual(ActualActual.Convention.ISDA);
DayCounter floatingLegDayCounter = new ActualActual(ActualActual.Convention.ISDA);
VanillaSwap.Type swapType =
//VanillaSwap::Receiver ;
VanillaSwap.Type.Payer;
IborIndex yieldIndxS = new Euribor3M(new Handle <YieldTermStructure>(swapTS));
List <VanillaSwap> riskySwaps = new List <VanillaSwap>();
for (int i = 0; i < tenorsSwapMkt.Length; i++)
{
riskySwaps.Add(new MakeVanillaSwap(new Period(tenorsSwapMkt[i], TimeUnit.Years),
yieldIndxS,
ratesSwapmkt[i],
new Period(0, TimeUnit.Days))
.withSettlementDays(2)
.withFixedLegDayCount(fixedLegDayCounter)
.withFixedLegTenor(new Period(fixedLegFrequency))
.withFixedLegConvention(fixedLegConvention)
.withFixedLegTerminationDateConvention(fixedLegConvention)
.withFixedLegCalendar(calendar)
.withFloatingLegCalendar(calendar)
.withNominal(100.0)
.withType(swapType).value());
}
Console.WriteLine("-- Correction in the contract fix rate in bp --");
/* The paper plots correction to be substracted, here is printed
* with its sign
*/
for (int i = 0; i < riskySwaps.Count; i++)
{
riskySwaps[i].setPricingEngine(riskFreeEngine);
// should recover the input here:
double nonRiskyFair = riskySwaps[i].fairRate();
Console.Write((tenorsSwapMkt[i]).ToString("0").PadLeft(6));
Console.Write(" | " + nonRiskyFair.ToString("P3").PadLeft(6));
// Low Risk:
riskySwaps[i].setPricingEngine(ctptySwapCvaLow);
Console.Write(" | " + (10000.0 * (riskySwaps[i].fairRate() - nonRiskyFair)).ToString("#0.00").PadLeft(6));
//cout << " | " << setw(6) << riskySwaps[i].NPV() ;
// Medium Risk:
riskySwaps[i].setPricingEngine(ctptySwapCvaMedium);
Console.Write(" | " + (10000.0 * (riskySwaps[i].fairRate() - nonRiskyFair)).ToString("#0.00").PadLeft(6));
//cout << " | " << setw(6) << riskySwaps[i].NPV() ;
riskySwaps[i].setPricingEngine(ctptySwapCvaHigh);
Console.Write(" | " + (10000.0 * (riskySwaps[i].fairRate() - nonRiskyFair)).ToString("#0.00").PadLeft(6));
//cout << " | " << setw(6) << riskySwaps[i].NPV() ;
Console.WriteLine();
}
Console.WriteLine();
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
catch (Exception e)
{
Console.Write(e.Message);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
}
private YieldTermStructure Piecewisecurve(List <RateHelper> instruments)
{
YieldTermStructure yieldts; // = FastActivator<PiecewiseYieldCurve>.Create();
switch (_interpolationVariable)
{
case InterpolationVariable.Zero:
switch (_interpolationMethod)
{
case InterpolationMethod.Linear:
yieldts = new PiecewiseYieldCurve <ZeroYield, Linear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.LogLinear:
yieldts = new PiecewiseYieldCurve <ZeroYield, LogLinear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.NaturalCubic:
yieldts = new PiecewiseYieldCurve <ZeroYield, Cubic>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.FinancialCubic:
yieldts = new PiecewiseYieldCurve <ZeroYield, Cubic>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.ConvexMonotone:
yieldts = new PiecewiseYieldCurve <ZeroYield, ConvexMonotone>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
default:
Utils.QL_FAIL("Interpolation method not recognised.");
throw new Exception();
}
break;
case InterpolationVariable.Discount:
switch (_interpolationMethod)
{
case InterpolationMethod.Linear:
yieldts = new PiecewiseYieldCurve <Discount, Linear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.LogLinear:
yieldts = new PiecewiseYieldCurve <Discount, LogLinear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.NaturalCubic:
yieldts = new PiecewiseYieldCurve <Discount, Cubic>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy, new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.FinancialCubic:
yieldts = new PiecewiseYieldCurve <Discount, Cubic>(
_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.FirstDerivative, 0.0));
break;
case InterpolationMethod.ConvexMonotone:
yieldts = new PiecewiseYieldCurve <Discount, ConvexMonotone>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
default:
Utils.QL_FAIL("Interpolation method not recognised.");
throw new Exception();
}
break;
case InterpolationVariable.Forward:
switch (_interpolationMethod)
{
case InterpolationMethod.Linear:
yieldts = new PiecewiseYieldCurve <ForwardRate, Linear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.LogLinear:
yieldts = new PiecewiseYieldCurve <ForwardRate, LogLinear>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
case InterpolationMethod.NaturalCubic:
yieldts = new PiecewiseYieldCurve <ForwardRate, Cubic>(
_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
break;
case InterpolationMethod.FinancialCubic:
yieldts = new PiecewiseYieldCurve <ForwardRate, Cubic>(
_asofDate, instruments, _zeroDayCounter, null, null, _accuracy,
new Cubic(CubicInterpolation.DerivativeApprox.Kruger, true, CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0, CubicInterpolation.BoundaryCondition.FirstDerivative, 0.0));
break;
case InterpolationMethod.ConvexMonotone:
yieldts = new PiecewiseYieldCurve <ForwardRate, ConvexMonotone>(_asofDate, instruments, _zeroDayCounter, null, null, _accuracy);
break;
default:
Utils.QL_FAIL("Interpolation method not recognised.");
throw new Exception();
}
break;
default:
Utils.QL_FAIL("Interpolation variable not recognised.");
throw new Exception();
}
// Build fixed zero/discount curve that matches the boostrapped curve
// initially, but does NOT react to quote changes: This is a workaround
// for a QuantLib problem, where a fixed reference date piecewise
// yield curve reacts to evaluation date changes because the bootstrap
// helper recompute their start date (because they are realtive date
// helper for deposits, fras, swaps, etc.).
InitializedList <Date> dates = new InitializedList <Date>(instruments.Count + 1, _asofDate);
InitializedList <double> zeros = new InitializedList <double>(instruments.Count + 1, 0.0);
InitializedList <double> discounts = new InitializedList <double>(instruments.Count + 1, 1.0);
InitializedList <double> forwards = new InitializedList <double>(instruments.Count + 1, 0.0);
if (_extrapolation)
{
yieldts.enableExtrapolation();
}
for (int i = 0; i < instruments.Count; i++)
{
dates[i + 1] = instruments[i].latestDate();
zeros[i + 1] = yieldts.zeroRate(dates[i + 1], _zeroDayCounter, Compounding.Continuous).value();
discounts[i + 1] = yieldts.discount(dates[i + 1]);
forwards[i + 1] = yieldts.forwardRate(dates[i + 1], dates[i + 1], _zeroDayCounter, Compounding.Continuous).value();
}
zeros[0] = zeros[1];
forwards[0] = forwards[1];
if (_interpolationVariable == InterpolationVariable.Zero)
{
_p = Zerocurve(dates, zeros, _zeroDayCounter);
}
else if (_interpolationVariable == InterpolationVariable.Discount)
{
_p = Discountcurve(dates, discounts, _zeroDayCounter);
}
else if (_interpolationVariable == InterpolationVariable.Forward)
{
_p = Forwardcurve(dates, forwards, _zeroDayCounter);
}
else
{
Utils.QL_FAIL("Interpolation variable not recognised.");
}
return(_p);
}
