// Calculate the time for initialise a SingleCurveBuilderInterpBestFit
public static void TimeForBestFitVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ... here not real data
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(1.434e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(2.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
#region building curve
DateTime timer; // initialise the timer
timer = DateTime.Now;
double firstFixing = 1.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
Console.WriteLine("\n{0} \nFitted in {1}", C.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
Console.WriteLine("\n{0} \nFitted in {1}", C1.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
Console.WriteLine("\n{0} \nFitted in {1}", C2.ToString(), DateTime.Now - timer);
#endregion building curve
}
// Calculate the time for initialise a SingleCurveBuilderInterpBestFit
public static void TimeForBestFitVs6m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate markets rates set: from file, from real time, ... here not real data
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(2.620e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
#endregion end Inputs
#region building curve
DateTime timer;
timer = DateTime.Now;
double firstFixing = 1.62e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
Console.WriteLine("\n{0} \nFitted in {1}", C.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
Console.WriteLine("\n{0} \nFitted in {1}", C1.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
Console.WriteLine("\n{0} \nFitted in {1}", C2.ToString(), DateTime.Now - timer);
#endregion building curve
}
// Print on excel forward rate using different curve builder for 3m
public static void CheckFwdRatesVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(0.434e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(0.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
#region building curve
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
double firstFixing = 0.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C3 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
#endregion end building curve
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
CurveList.Add(C3); CurveString.Add(C3.ToString());
#region printing output
// I get the longer swap
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Dc dc = Dc._Act_360;
Date[] FromDate = LS.scheduleLeg2.fromDates;
Date[] ToDate = LS.scheduleLeg2.toDates;
int N = FromDate.Length;
List <Vector <double> > Fwds = new List <Vector <double> >();
double[] dt = new double[N];
for (int i = 0; i < N; i++)
{
dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
}
foreach (IRateCurve myC in CurveList)
{
double[] fwd = new double[N];
for (int i = 0; i < N; i++)
{
double yf = FromDate[i].YF(ToDate[i], dc);
double df_ini = myC.Df(FromDate[i]);
double df_end = myC.Df(ToDate[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
Fwds.Add(new Vector <double>(fwd));
}
ExcelMechanisms exl = new ExcelMechanisms();
exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd vs 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
// Check if the process will match the starting inputs
public static void CheckInputsVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate markets rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
// Uncomment to chose the curve
// SingleCurveBuilderStandard<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderStandard<OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
double firstFixing = 1.435e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, LinearInterpolator>(mktRates, firstFixing);
// SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator> C = new SingleCurveBuilderInterpBestFit<OnLogDf, LinearInterpolator>(mktRates);
#region print output
IEnumerable <BuildingBlock> BBArray = mktRates.GetArrayOfBB();
// Only Given Swap from BBArray
IEnumerable <BuildingBlock> OnlyGivenDepo = from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
select c;
Console.WriteLine(C.ToString());
Console.WriteLine("Recalc Df at Ref Date: {0}", C.DF(refDate));
foreach (OnePaymentStyle BB in OnlyGivenDepo)
{
double yf = refDate.YF(BB.endDate, BB.dayCount);
double df = C.DF(BB.endDate);
double CalcRate = ((1 / df) - 1) / yf;
Console.WriteLine("{0} Input Rate: {1} Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
}
// Only Given Swap from BBArray
IEnumerable <BuildingBlock> OnlyGivenSwap = from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select c;
foreach (SwapStyle BB in OnlyGivenSwap)
{
// fixed leg data
double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1
// dfs array of fixed lag
Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)
// initialise array for df
double[] dfFixLeg = new double[dfDates.Length];
// calculate df
for (int i = 0; i < dfDates.Length; i++)
{
dfFixLeg[i] = C.DF(dfDates[i]);
}
// Interpolation Methods for Curve Construction PATRICK S. HAGAN & GRAEME WEST Applied Mathematical Finance,Vol. 13, No. 2, 89–129, June 2006
// Formula 2) page 4
double CalcRate = Formula.ParRate(yfFixLeg, dfFixLeg); // Calculate par rate
Console.WriteLine("{0} Input Rate: {1} Recalc Rate: {2}", BB.Tenor.GetPeriodStringFormat(), BB.rateValue, CalcRate);
}
#endregion end print output
}