public void OISFuture()
{
var bd = DateTime.Today;
var pillars = new[] { bd, bd.AddDays(1000) };
var flatRate = 0.05;
var rates = pillars.Select(p => flatRate).ToArray();
CalendarProvider.Collection.TryGetCalendar("LON", out var cal);
var usd = TestProviderHelper.CurrencyProvider["USD"];
var discoCurve = new IrCurve(pillars, rates, bd, "USD.BLAH", Interpolator1DType.Linear, usd);
var fModel = new FundingModel(bd, new[] { discoCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var price = 93.0;
var ix = new FloatRateIndex
{
Currency = usd,
DayCountBasis = DayCountBasis.ACT360,
FixingOffset = 2.Bd(),
HolidayCalendars = cal,
ResetTenor = 3.Months(),
RollConvention = RollType.MF
};
var maturity = bd.AddDays(365);
var accrualStart = maturity.AddPeriod(RollType.F, ix.HolidayCalendars, ix.FixingOffset);
var accrualEnd = accrualStart.AddPeriod(ix.RollConvention, ix.HolidayCalendars, ix.ResetTenor);
var dcf = maturity.CalculateYearFraction(accrualEnd, DayCountBasis.ACT360);
var s = new OISFuture
{
Currency = usd,
ContractSize = 1e6,
Position = 1,
DCF = dcf,
AverageStartDate = accrualStart,
AverageEndDate = accrualEnd,
ForecastCurve = "USD.BLAH",
Price = price,
Index = ix
};
var pv = s.Pv(fModel, false);
var rateEst = discoCurve.GetForwardRate(accrualStart, accrualEnd, RateType.Linear, ix.DayCountBasis);
var fairPrice = 100.0 - rateEst * 100;
var expectedPv = (price - fairPrice) * 1e6 * dcf;
Assert.Equal(expectedPv, pv);
var ss = s.Sensitivities(fModel);
Assert.True(ss.Count == 1 && ss.Keys.Single() == "USD.BLAH");
Assert.True(ss["USD.BLAH"].Count == 2 && ss["USD.BLAH"].Keys.Contains(accrualStart) && ss["USD.BLAH"].Keys.Contains(accrualEnd));
Assert.Equal(accrualEnd, s.LastSensitivityDate);
Assert.Empty(s.Dependencies(null));
var s2 = (OISFuture)s.SetParRate(97);
Assert.Equal(97, s2.Price);
}
public double Pv(IrCurve discountCurve, IrCurve forecastCurve, bool updateState, bool updateDF, bool updateEstimate)
{
var totalPV = 0.0;
if (FlowScheduleFra.Flows.Count != 1)
{
throw new InvalidOperationException("FRA should have a sinlge flow");
}
var flow = FlowScheduleFra.Flows.Single();
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
double FV, DF;
if (updateEstimate)
{
var RateFix = flow.FixedRateOrMargin;
var RateFloat = forecastCurve.GetForwardRate(s, e, RateType.Linear, Basis);
var YF = flow.NotionalByYearFraction;
FV = ((RateFloat - RateFix) * YF) / (1 + RateFloat * YF) * flow.Notional;
FV *= (PayRec == SwapPayReceiveType.Payer) ? 1.0 : -1.0;
}
else
{
FV = flow.Fv;
}
if (updateDF)
{
DF = discountCurve.Pv(1.0, flow.SettleDate);
}
else
{
DF = flow.Pv / flow.Fv;
}
totalPV = discountCurve.Pv(FV, flow.SettleDate);
if (!updateState)
{
return(totalPV);
}
flow.Fv = FV;
flow.Pv = totalPV;
return(totalPV);
}
public static double PV(this CashFlowSchedule schedule, IrCurve discountCurve, IrCurve forecastCurve, bool updateState, bool updateDf, bool updateEstimate, DayCountBasis basisFloat, DateTime?filterDate)
{
double totalPv = 0;
for (var i = 0; i < schedule.Flows.Count; i++)
{
var flow = schedule.Flows[i];
if (filterDate.HasValue && flow.SettleDate < filterDate.Value)
{
continue;
}
double fv, pv, df;
switch (flow.FlowType)
{
case FlowType.FixedRate:
{
if (updateState)
{
var rateLin = flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
}
else
{
fv = flow.Fv;
}
if (updateDf)
{
df = discountCurve.Pv(1, flow.SettleDate);
}
else
{
df = flow.Fv == flow.Pv ? 1.0 : flow.Pv / flow.Fv;
}
pv = fv * df;
totalPv += pv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
break;
}
case FlowType.FloatRate:
{
if (updateEstimate)
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var rateLin = forecastCurve.GetForwardRate(s, e, RateType.Linear, basisFloat);
rateLin += flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
}
else
{
fv = flow.Fv;
}
if (updateDf)
{
df = discountCurve.Pv(1, flow.SettleDate);
}
else
{
df = flow.Fv == flow.Pv ? 1.0 : flow.Pv / flow.Fv;
}
pv = fv * df;
totalPv += pv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
break;
}
case FlowType.FixedAmount:
{
fv = flow.Notional;
if (updateDf)
{
df = discountCurve.Pv(1, flow.SettleDate);
}
else
{
df = flow.Fv == flow.Pv ? 1.0 : flow.Pv / flow.Fv;
}
pv = fv * df;
totalPv += pv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
break;
}
}
}
return(totalPv);
}
private double PV(IrCurve discountCurve, IrCurve forecastCurve, bool updateState, bool updateDf, bool updateEstimate)
{
double totalPv = 0;
for (var i = 0; i < FlowScheduleFixed.Flows.Count; i++)
{
var flow = FlowScheduleFixed.Flows[i];
double fv, df;
if (updateState)
{
var rateLin = flow.FixedRateOrMargin;
var yf = flow.NotionalByYearFraction;
fv = rateLin * yf * flow.Notional;
}
else
{
fv = flow.Fv;
}
if (updateDf)
{
df = discountCurve.Pv(1, flow.SettleDate);
}
else
{
df = flow.Fv == flow.Pv ? 1.0 : flow.Pv / flow.Fv;
}
var pv = fv * df;
totalPv += pv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
}
for (var i = 0; i < FlowScheduleFloat.Flows.Count; i++)
{
var flow = FlowScheduleFloat.Flows[i];
double fv, df;
if (updateEstimate)
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var rateLin = forecastCurve.GetForwardRate(s, e, RateType.Linear, BasisFloat);
var yf = flow.NotionalByYearFraction;
fv = rateLin * yf * flow.Notional;
}
else
{
fv = flow.Fv;
}
if (updateDf)
{
df = discountCurve.Pv(1, flow.SettleDate);
}
else
{
df = flow.Fv == flow.Pv ? 1.0 : flow.Pv / flow.Fv;
}
var pv = fv * df;
totalPv += pv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
}
return(totalPv);
}
public double Pv(IrCurve discountCurve, IrCurve forecastCurvePay, IrCurve forecastCurveRec, bool updateState, bool updateDF, bool updatePayEst, bool updateRecEst)
{
double totalPV = 0;
for (var i = 0; i < FlowSchedulePay.Flows.Count; i++)
{
double FV, DF;
var flow = FlowSchedulePay.Flows[i];
if (updatePayEst)
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var RateLin = forecastCurvePay.GetForwardRate(s, e, RateType.Linear, BasisPay)
+ flow.FixedRateOrMargin;
var YF = flow.NotionalByYearFraction;
FV = RateLin * YF * flow.Notional;
}
else
{
FV = flow.Fv;
}
if (updateDF)
{
DF = discountCurve.Pv(1, flow.SettleDate);
}
else
{
DF = (flow.Fv == flow.Pv) ? 1.0 : flow.Pv / flow.Fv;
}
var PV = DF * FV;
if (updateState)
{
flow.Fv = FV;
flow.Pv = PV;
}
totalPV += PV;
}
for (var i = 0; i < FlowScheduleRec.Flows.Count; i++)
{
double FV, DF;
var flow = FlowScheduleRec.Flows[i];
if (updateRecEst)
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var RateLin = forecastCurveRec.GetForwardRate(s, e, RateType.Linear, BasisRec)
+ flow.FixedRateOrMargin;
var YF = flow.NotionalByYearFraction;
FV = RateLin * YF * flow.Notional;
}
else
{
FV = flow.Fv;
}
if (updateDF)
{
DF = discountCurve.Pv(1, flow.SettleDate);
}
else
{
DF = (flow.Fv == flow.Pv) ? 1.0 : flow.Pv / flow.Fv;
}
var PV = DF * FV;
if (updateState)
{
flow.Fv = FV;
flow.Pv = PV;
}
totalPV += PV;
}
return(totalPV);
}