public void TestFixedLegsZARUSD()
{
Date[] cfDates = { new Date(2016, 12, 23), new Date(2017, 03, 23) };
var legZAR = new FixedLeg(TestHelpers.ZAR, cfDates, new double[] { -16000000, -16000000 }, new[] { 0.07, 0.07 },
new[] { 0.25, 0.25 });
var legUSD = new FixedLeg(TestHelpers.USD, cfDates, new double[] { 1000000, 1000000 }, new[] { 0.01, 0.01 },
new[] { 0.25, 0.25 });
// Set up the model
var valueDate = new Date(2016, 9, 23);
Date[] dates = { new Date(2016, 9, 23), new Date(2026, 9, 23) };
double[] rates = { 0.0725, 0.0725 };
double[] basisRates = { 0.0735, 0.0735 };
double[] usdRates = { 0.01, 0.012 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, rates);
IDiscountingSource zarBasis = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, basisRates);
IDiscountingSource usdCurve = new DatesAndRates(TestHelpers.USD, valueDate, dates, usdRates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, TestHelpers.Jibar3M, dates, rates);
IFXSource fxSource = new FXForecastCurve(TestHelpers.USDZAR, 13.66, usdCurve, zarBasis);
var curveSim = new DeterministicCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
curveSim.AddFXForecast(fxSource);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
var value = coordinator.Value(new Product[] { legZAR, legUSD }, valueDate);
var refValue = -477027.31; // See GeneralSwapTest.xlsx
Assert.AreEqual(refValue, value, 0.01);
}
public static NumeraireSimulator CreateCurveModel([QuantSAExcelArgument(Description = "The discounting curve")]
IDiscountingSource discountCurve,
[QuantSAExcelArgument(Description =
"The floating rate forecast curves for all the rates that the products in the portfolio will need.")]
IFloatingRateSource[] rateForecastCurves,
[QuantSAExcelArgument(Description =
"The FX rate forecast curves for all the cashflow currencies other than the discounting currency.",
Default = null)]
IFXSource[] fxForecastCurves)
{
var model = new DeterministicCurves(discountCurve);
model.AddRateForecast(rateForecastCurves);
if (fxForecastCurves != null)
{
model.AddFXForecast(fxForecastCurves);
}
return(model);
}
