コード例 #1
0
ファイル: OISFutureFacts.cs プロジェクト: wy6688/qwack
        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);
        }
コード例 #2
0
        public static object CreateOISFutureFromCode(
            [ExcelArgument(Description = "Object name")] string ObjectName,
            [ExcelArgument(Description = "Value date")] DateTime ValDate,
            [ExcelArgument(Description = "Futures Code, e.g. EDZ9")] string FuturesCode,
            [ExcelArgument(Description = "Rate Index")] string RateIndex,
            [ExcelArgument(Description = "Price")] double Price,
            [ExcelArgument(Description = "Quantity in lots")] double Quantity,
            [ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
            [ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
            [ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
        {
            return(ExcelHelper.Execute(_logger, () =>
            {
                if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
                {
                    _logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
                    return $"Rate index {RateIndex} not found in cache";
                }

                var c = new FutureCode(FuturesCode, DateTime.Today.Year - 2, ContainerStores.SessionContainer.GetService <IFutureSettingsProvider>());

                var expiry = c.GetExpiry();
                var accrualStart = expiry.FirstDayOfMonth();
                var accrualEnd = expiry.LastDayOfMonth();
                var dcf = accrualStart.CalculateYearFraction(accrualEnd, rIndex.Value.DayCountBasis);
                var product = new OISFuture
                {
                    Currency = rIndex.Value.Currency,
                    ContractSize = c.Settings.LotSize,
                    DCF = dcf,
                    AverageStartDate = accrualStart,
                    AverageEndDate = accrualEnd,
                    ForecastCurve = ForecastCurve,
                    Index = rIndex.Value,
                    Position = Quantity,
                    Price = Price,
                    SolveCurve = SolveCurve.OptionalExcel(rIndex.Name),
                    PillarDate = SolvePillarDate.OptionalExcel(accrualEnd),
                    TradeId = ObjectName
                };

                return ExcelHelper.PushToCache(product, ObjectName);
            }));
        }