/// <summary>
/// Initializes a new instance of the <see cref="DeterminsiticCurves"/> class with just a discounting curve.
/// Additional rate forecast curves are added with <see cref="AddRateForecast(IFloatingRateSource)"/>, and
/// FXC forecast sources are added with <see cref="AddFXForecast(IFXSource)"/>.
/// </summary>
/// <param name="discountCurve">The discount curve.</param>
public DeterminsiticCurves(IDiscountingSource discountCurve)
{
numeraireCurrency = discountCurve.GetCurrency();
this.discountCurve = discountCurve;
forecastCurves = new Dictionary <MarketObservable, IFloatingRateSource>();
fxCurves = new Dictionary <MarketObservable, IFXSource>();
}
/// <summary>
/// Initializes a new instance of the <see cref="DeterministicCurves"/> class with just a discounting curve.
/// Additional rate forecast curves are added with <see cref="AddRateForecast(IFloatingRateSource)"/>, and
/// FXC forecast sources are added with <see cref="AddFXForecast(IFXSource)"/>.
/// </summary>
/// <param name="discountCurve">The discount curve.</param>
public DeterministicCurves(IDiscountingSource discountCurve)
{
_numeraireCurrency = discountCurve.GetCurrency();
_discountCurve = discountCurve;
_forecastCurves = new Dictionary <string, IFloatingRateSource>();
_fxCurves = new Dictionary <string, IFXSource>();
}
public static HullWhite1F CreateHWModelDemo([ExcelArgument(Description = "The constant rate of mean reversion.")] double meanReversion,
[ExcelArgument(Description = "The constant short rate volatility. Note that this is a Gaussian vol and will in general be lower than the vol that would be used in Black.")] double flatVol,
[ExcelArgument(Description = "The curve to which zero coupon bond prices will be calibrated.")] IDiscountingSource baseCurve,
[ExcelArgument(Description = "The indices that should be forecast with this same cuve. No spreads are added.")] FloatingIndex forecastIndices)
{
Date anchorDate = baseCurve.GetAnchorDate();
double flatCurveRate = -Math.Log(baseCurve.GetDF(anchorDate.AddTenor(Tenor.Years(1))));
HullWhite1F model = new HullWhite1F(baseCurve.GetCurrency(), meanReversion, flatVol, flatCurveRate, flatCurveRate, anchorDate);
model.AddForecast(forecastIndices);
return(model);
}
private Dictionary <int, double[]> simulation; // stores the simulated spot rates at each required date
/// <summary>
/// Initializes a new instance of the <see cref="MultiHWAndFXToy"/> class.
/// </summary>
/// <param name="anchorDate">The anchor date.</param>
/// <param name="numeraireCurve">The numeraire curve.</param>
/// <param name="numeraireHWParams"></param>
/// <param name="otherCcys">The other currencies that will be simulated.</param>
/// <param name="otherCcySpots">The exchange rates at the anchor date. Discounted from the spot values. Quoted in units of the numeraire currency per unit of the foreign currency.</param>
/// <param name="otherCcyVols"></param>
/// <param name="otherCcyCurves"></param>
/// <param name="otherCcyHwParams"></param>
/// <param name="correlations">The correlation matrix ordered by: numeraireRate, otherCcy1Rate, ..., otherCcyFX1, ...</param>
/// <exception cref="System.ArgumentException">A rate simulator must be provided for the numeraire currency: " + numeraireCcy.ToString()</exception>
public MultiHWAndFXToy(Date anchorDate, IDiscountingSource numeraireCurve,
List <FloatingIndex> numeraireCcyRequiredIndices, HWParams numeraireHWParams,
List <Currency> otherCcys, List <double> otherCcySpots, List <double> otherCcyVols,
List <IDiscountingSource> otherCcyCurves, List <List <FloatingIndex> > otherCcyRequiredIndices,
List <HWParams> otherCcyHwParams,
double[,] correlations)
{
this.anchorDate = anchorDate;
numeraireCcy = numeraireCurve.GetCurrency();
List <HullWhite1F> rateSimulatorsList = new List <HullWhite1F>();
ccySimMap = new Dictionary <Currency, HullWhite1F>();
double rate = -Math.Log(numeraireCurve.GetDF(anchorDate.AddMonths(12)));
numeraireSimulator = new HullWhite1F(numeraireCcy, numeraireHWParams.meanReversionSpeed,
numeraireHWParams.vol, rate, rate, anchorDate);
foreach (FloatingIndex index in numeraireCcyRequiredIndices)
{
numeraireSimulator.AddForecast(index);
}
rateSimulatorsList.Add(numeraireSimulator);
ccySimMap[numeraireCcy] = numeraireSimulator;
for (int i = 0; i < otherCcys.Count; i++)
{
rate = -Math.Log(otherCcyCurves[i].GetDF(anchorDate.AddMonths(12)));
HullWhite1F thisSim = new HullWhite1F(otherCcys[i], otherCcyHwParams[i].meanReversionSpeed,
otherCcyHwParams[i].vol, rate, rate, anchorDate);
foreach (FloatingIndex index in otherCcyRequiredIndices[i])
{
thisSim.AddForecast(index);
}
rateSimulatorsList.Add(thisSim);
ccySimMap[otherCcys[i]] = thisSim;
}
currencyPairs = otherCcys.Select(ccy => new CurrencyPair(ccy, numeraireCcy)).ToArray();
spots = otherCcySpots.ToArray();
vols = otherCcyVols.ToArray();
this.correlations = Matrix.Identity(otherCcys.Count);
normal = new MultivariateNormalDistribution(Vector.Zeros(currencyPairs.Length), correlations);
rateSimulators = rateSimulatorsList.ToArray();
}
/// <summary>
/// Initializes a new instance of the <see cref="DeterministicCreditWithFXJump"/> class.
/// </summary>
/// <param name="survivalProbSource">A curve that provides survival probabilities. Usually a hazard curve.</param>
/// <param name="otherCurrency">The other currency required in the simulation. The valuation currency will
/// be inferred from the <paramref name="valueCurrencyDiscount"/>. This value needs to be explicitly set
/// since <paramref name="fxSource"/> may provide multiple pairs.</param>
/// <param name="fxSource">The source FX spot and forwards.</param>
/// <param name="valueCurrencyDiscount">The value currency discount curve.</param>
/// <param name="fxVol">The fx volatility.</param>
/// <param name="relJumpSizeInDefault">The relative jump size in default. For example if the value currency is ZAR and the
/// other currency is USD then the fx is modelled as ZAR per USD and in default the fx rate will change to:
/// rate before default * (1 + relJumpSizeInDefault).</param>
/// <param name="expectedRecoveryRate">The constant recovery rate that will be assumed to apply in default.</param>
public DeterministicCreditWithFXJump(ISurvivalProbabilitySource survivalProbSource,
Currency otherCurrency, IFXSource fxSource, IDiscountingSource valueCurrencyDiscount,
double fxVol, double relJumpSizeInDefault, double expectedRecoveryRate)
{
this.survivalProbSource = survivalProbSource;
valueCurrency = valueCurrencyDiscount.GetCurrency();
this.fxSource = fxSource;
this.valueCurrencyDiscount = valueCurrencyDiscount;
this.fxVol = fxVol;
this.relJumpSizeInDefault = relJumpSizeInDefault;
ReferenceEntity refEntity = survivalProbSource.GetReferenceEntity();
defaultTime = new DefaultTime(refEntity);
defaultRecovery = new DefaultRecovery(refEntity);
currencyPair = new CurrencyPair(otherCurrency, valueCurrency);
anchorDate = valueCurrencyDiscount.GetAnchorDate();
spot = fxSource.GetRate(anchorDate);
simRecoveryRate = expectedRecoveryRate;
}
/// <summary>
/// Construct an FX source where the forwards are obtained from the discount factors on two basis curves.
/// </summary>
/// <param name="baseCurrency"></param>
/// <param name="counterCurrency"></param>
/// <param name="fxRateAtAnchorDate"></param>
/// <param name="baseCurrencyFXBasisCurve"></param>
/// <param name="counterCurrencyFXBasisCurve"></param>
public FXForecastCurve(Currency baseCurrency, Currency counterCurrency, double fxRateAtAnchorDate, IDiscountingSource baseCurrencyFXBasisCurve,
IDiscountingSource counterCurrencyFXBasisCurve)
{
if (baseCurrencyFXBasisCurve.GetAnchorDate() != counterCurrencyFXBasisCurve.GetAnchorDate())
{
throw new ArgumentException("The two basis curves must have the same anchor dates.");
}
if (baseCurrency != baseCurrencyFXBasisCurve.GetCurrency())
{
throw new ArgumentException("The currency of the baseCurrencyFXBasisCurve must the base currency.");
}
if (counterCurrency != counterCurrencyFXBasisCurve.GetCurrency())
{
throw new ArgumentException("The currency of the counterCurrencyFXBasisCurve must the counter currency.");
}
this.baseCurrency = baseCurrency;
this.counterCurrency = counterCurrency;
this.fxRateAtAnchorDate = fxRateAtAnchorDate;
this.baseCurrencyFXBasisCurve = baseCurrencyFXBasisCurve;
this.counterCurrencyFXBasisCurve = counterCurrencyFXBasisCurve;
currencyPair = new CurrencyPair(baseCurrency, counterCurrency);
}
/// <summary>
/// Construct an FX source where the forwards are obtained from the discount factors on two basis curves.
/// </summary>
/// <param name="currencyPair"></param>
/// <param name="fxRateAtAnchorDate"></param>
/// <param name="baseCurrencyFXBasisCurve"></param>
/// <param name="counterCurrencyFXBasisCurve"></param>
public FXForecastCurve(CurrencyPair currencyPair, double fxRateAtAnchorDate,
IDiscountingSource baseCurrencyFXBasisCurve,
IDiscountingSource counterCurrencyFXBasisCurve)
{
_currencyPair = currencyPair ?? throw new ArgumentNullException(nameof(currencyPair));
if (baseCurrencyFXBasisCurve.GetAnchorDate() != counterCurrencyFXBasisCurve.GetAnchorDate())
{
throw new ArgumentException("The two basis curves must have the same anchor dates.");
}
if (currencyPair.BaseCurrency != baseCurrencyFXBasisCurve.GetCurrency())
{
throw new ArgumentException("The currency of the baseCurrencyFXBasisCurve must the base currency.");
}
if (currencyPair.CounterCurrency != counterCurrencyFXBasisCurve.GetCurrency())
{
throw new ArgumentException(
"The currency of the counterCurrencyFXBasisCurve must the counter currency.");
}
_fxRateAtAnchorDate = fxRateAtAnchorDate;
_baseCurrencyFXBasisCurve = baseCurrencyFXBasisCurve;
_counterCurrencyFXBasisCurve = counterCurrencyFXBasisCurve;
}
public ZeroRatesCurveForStripping(Date anchorDate, IDiscountingSource underlyingCurve)
{
this.anchorDate = anchorDate;
this.underlyingCurve = underlyingCurve;
ccy = underlyingCurve.GetCurrency();
}
public override Currency GetNumeraireCurrency()
{
return(discountCurve.GetCurrency());
}
public Currency GetCurrency()
{
return(underlyingCurve.GetCurrency());
}
public override Currency GetNumeraireCurrency()
{
return(_valueCurrencyDiscount.GetCurrency());
}