// NPV of swap public static double NPV(SwapStyle BB, IRateCurve c, bool PayOrRec) { #region FixLeg // 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) // # of fixed cash flows int n_fix = dfDates.Length; double NPV_fix = 0.0; // calculate df for (int i = 0; i < n_fix; i++) { NPV_fix += c.Df(dfDates[i]) * yfFixLeg[i] * BB.rateValue; // df*yf } #endregion #region FloatLeg // floating leg data double[] yfFloatLeg = BB.scheduleLeg2.GetYFVect(BB.swapLeg2.DayCount); // float is leg 2 // dfs array of fixed lag Date[] dfDatesFloat = BB.scheduleLeg2.payDates; // serial date of float leg (each dates we should find df) Date[] FromDateFloat = BB.scheduleLeg2.fromDates; // # of floating cash flows int n_float = dfDatesFloat.Length; double[] fwd = new double[n_float]; // fwd rates container // getting fwd rates for (int i = 0; i < n_float; i++) { fwd[i] = c.Fwd(FromDateFloat[i]); } double NPV_float = 0.0; // calculate df for (int i = 0; i < n_float; i++) { NPV_float += c.Df(dfDatesFloat[i]) * yfFloatLeg[i] * fwd[i]; // df*yf } #endregion if (!PayOrRec) { return(-NPV_fix + NPV_float); } // Receiver Swap return(NPV_fix - NPV_float); // NPV Payer Swap }
public static double CapBlack(string Tenor, double strike, double N, IRateCurve curve, BilinearInterpolator VolCapletMatrix) { Date refDate = curve.RefDate(); SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, 0, Tenor, curve.GetSwapStyle().buildingBlockType); double[] yf = y.scheduleLeg2.GetYFVect(Dc._Act_360); int toRemove = yf.Length - 1; yf = yf.Where((val, inx) => inx != toRemove).ToArray(); List <Date> ToDate = y.scheduleLeg2.toDates.ToList(); ToDate.RemoveAt(ToDate.Count - 1); // remove last element double[] T = (from c in ToDate select refDate.YF_365(c)).ToArray(); // df- getting relevant dates Date[] dfDate = y.scheduleLeg2.payDates; int Ncaplet = yf.Length; // number of caplets double[] df = new double[Ncaplet]; // fwd rate double[] fwd = new double[Ncaplet]; Date[] fwdDate = y.scheduleLeg2.fromDates; for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1 { // first discount factor is on first payment date of caplet (first caplet skipped) df[i] = curve.Df(dfDate[i + 1]); fwd[i] = curve.Fwd(fwdDate[i + 1]); } double[] sigma = (from t in T select VolCapletMatrix.Solve(t, strike)).ToArray(); return(CapBlack(T, yf, N, strike, sigma, df, fwd)); }
public static double Swaption(double N, double K, string Start, string SwapTenor, bool isPayer, double sigma, IRateCurve Curve) { Date refDate = Curve.RefDate(); // curve ref date // false/true with fwd swap matrix Date startDate = refDate.add_period(Start, false); // swap start 2 business days after the expiry Date expDate = startDate.add_workdays(-2); // expiry of swaption Date today = refDate.add_workdays(-2); double T = today.YF_365(expDate); Period p = new Period(SwapTenor); // should be in year 1Y, 2Y (not 3m,...) SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(startDate, 0, SwapTenor, Curve.GetSwapStyle().buildingBlockType); double[] yf = y.scheduleLeg1.GetYFVect(Dc._30_360); double[] df = (from payDay in y.scheduleLeg1.payDates select Curve.Df(payDay)).ToArray(); return(Swaption(N, Curve.SwapFwd(startDate, SwapTenor), K, sigma, T, isPayer, yf, df)); }
// constructor public CapletMatrixVolBuilder(string[] Tenor, IRateCurve Curve, double[] strike, List <double[]> VolSilos) { #region preparing data // yf of longer cap SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(Curve.RefDate(), 0, Tenor.Last(), Curve.GetSwapStyle().buildingBlockType); double[] yf = y.scheduleLeg2.GetYFVect(Dc._Act_360); int toRemove = yf.Length - 1; yf = yf.Where((val, inx) => inx != toRemove).ToArray(); // T all tenor needed. They are more than input Date refDate = Curve.RefDate(); List <Date> ToDate = y.scheduleLeg2.toDates.ToList(); ToDate.RemoveAt(ToDate.Count - 1); // remove last element double[] T = (from c in ToDate select refDate.YF_365(c)).ToArray(); // available T from input double[] Tquoted = new double[Tenor.Length]; for (int i = 0; i < Tquoted.Length; i++) { // calculate yf of each available T as it was a swap SwapStyle myS = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(Curve.RefDate(), 0, Tenor[i], Curve.GetSwapStyle().buildingBlockType); int L = myS.scheduleLeg2.toDates.Count() - 1; Date[] toDate = myS.scheduleLeg2.toDates; Tquoted[i] = refDate.YF_365(toDate[L - 1]); } // df- getting relevant dates Date[] dfDate = y.scheduleLeg2.payDates; int Ncaplet = yf.Length; // number of caplets double[] df = new double[Ncaplet]; // fwd rate double[] fwd = new double[Ncaplet]; Date[] fwdDate = y.scheduleLeg2.fromDates; for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1 { // first discount factor is on first payment date of caplet (first caplet skipped) df[i] = Curve.Df(dfDate[i + 1]); fwd[i] = Curve.Fwd(fwdDate[i + 1]); } #endregion Ini(T, df, fwd, yf, Tquoted, VolSilos, strike); }
// used in constructor private void Ini(string tenor, IRateCurve curve, BilinearInterpolator capletVolMatrix, double nominal) { stringTenor = tenor; rateCurve = curve; volMatrix = capletVolMatrix; N = nominal; // yf of longer cap SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(curve.RefDate(), 0, tenor, curve.GetSwapStyle().buildingBlockType); yf = y.scheduleLeg2.GetYFVect(Dc._Act_360); capSchedule = y.scheduleLeg2; int toRemove = yf.Length - 1; yf = yf.Where((val, inx) => inx != toRemove).ToArray(); // T all tenor needed. They are more than input Date refDate = curve.RefDate(); List <Date> ToDate = y.scheduleLeg2.toDates.ToList(); ToDate.RemoveAt(ToDate.Count - 1); // remove last element T = (from c in ToDate select refDate.YF_365(c)).ToArray(); // df- getting relevant dates Date[] dfDate = y.scheduleLeg2.payDates; int Ncaplet = yf.Length; // number of caplets df = new double[Ncaplet]; // fwd rate fwd = new double[Ncaplet]; Date[] fwdDate = y.scheduleLeg2.fromDates; for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1 { // first discount factor is on first payment date of caplet (first caplet skipped) df[i] = curve.Df(dfDate[i + 1]); fwd[i] = curve.Fwd(fwdDate[i + 1]); } }
public static double FwdBasis(Date StartDate, string SwapTenor, IRateCurve Curve1, IRateCurve Curve2) { SwapStyle S1 = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(StartDate, 0.0, SwapTenor, Curve1.GetSwapStyle().buildingBlockType); SwapStyle S2 = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(StartDate, 0.0, SwapTenor, Curve2.GetSwapStyle().buildingBlockType); double[] yfFloatLeg1 = S1.scheduleLeg2.GetYFVect(S1.swapLeg2.DayCount); // using LINQ syntax double[] dfFloatLeg1 = (from d in S1.scheduleLeg2.payDates select Curve1.Df(d)).ToArray <double>(); double[] fwdFloatLeg1 = (from d in S1.scheduleLeg2.fromDates select Curve1.Fwd(d)).ToArray <double>(); double[] yfFloatLeg2 = S2.scheduleLeg2.GetYFVect(S2.swapLeg2.DayCount); // using LINQ syntax double[] dfFloatLeg2 = (from d in S2.scheduleLeg2.payDates select Curve2.Df(d)).ToArray <double>(); double[] fwdFloatLeg2 = (from d in S2.scheduleLeg2.fromDates select Curve2.Fwd(d)).ToArray <double>(); return(SpreadBasisFormula(yfFloatLeg1, dfFloatLeg1, fwdFloatLeg1, yfFloatLeg2, dfFloatLeg2, fwdFloatLeg2)); }