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 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);
}));
}