public BasicFixedLeg( DateTime spotDate, DateTime mat, int swapInterval ) { OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360(); OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360(); OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365(); QLNet.UnitedStates cal = new QLNet.UnitedStates(); List <DateTime> list = new List <DateTime>(); DateTime tDate = mat; int step = 1; while (DateTime.Compare(tDate, spotDate) > 0) { list.Add(tDate); tDate = mat.AddMonths(-swapInterval * (step++)); } // remove spotDate from list, if it ends up there list.Remove(spotDate); _nPayments = list.Count(); _swapPaymentTimes = new double[_nPayments]; _yearFraction = new double[_nPayments]; DateTime prev = spotDate; int j = _nPayments - 1; for (int i = 0; i < _nPayments; i++, j--) { DateTime current = list[j]; DateTime adjCurr = cal.adjust(current, QLNet.BusinessDayConvention.Following); _yearFraction[i] = swapDCC.YearFraction(prev, adjCurr); _swapPaymentTimes[i] = curveDCC.YearFraction(spotDate, adjCurr); // Payment times always good business days prev = adjCurr; } }
public YieldTermStructure calculation(DateTime tradedate, List <double> QuotedSpot) { DateTime SpotDate = tradedate.AddDays(2); /********************* * * ** CURVE BUILDING ** * * *********************/ DateTime d1m = SpotDate.AddMonths(1); DateTime d2m = SpotDate.AddMonths(2); DateTime d3m = SpotDate.AddMonths(3); DateTime d6m = SpotDate.AddMonths(6); DateTime d9m = SpotDate.AddMonths(9); DateTime d1y = SpotDate.AddYears(1); DateTime d2y = SpotDate.AddYears(2); DateTime d3y = SpotDate.AddYears(3); DateTime d4y = SpotDate.AddYears(4); DateTime d5y = SpotDate.AddYears(5); DateTime d6y = SpotDate.AddYears(6); DateTime d7y = SpotDate.AddYears(7); DateTime d8y = SpotDate.AddYears(8); DateTime d9y = SpotDate.AddYears(9); DateTime d10y = SpotDate.AddYears(10); DateTime d11y = SpotDate.AddYears(11); DateTime d12y = SpotDate.AddYears(12); DateTime d15y = SpotDate.AddYears(15); DateTime d20y = SpotDate.AddYears(20); DateTime d25y = SpotDate.AddYears(25); DateTime d30y = SpotDate.AddYears(30); List <DateTime> dates = new List <DateTime>(); dates.Add(d1m); dates.Add(d2m); dates.Add(d3m); dates.Add(d6m); dates.Add(d9m); dates.Add(d1y); dates.Add(d2y); dates.Add(d3y); dates.Add(d4y); dates.Add(d5y); dates.Add(d6y); dates.Add(d7y); dates.Add(d8y); dates.Add(d9y); dates.Add(d10y); dates.Add(d11y); dates.Add(d12y); dates.Add(d15y); dates.Add(d20y); dates.Add(d25y); dates.Add(d30y); // Any DayCounter would be fine. // ActualActual::ISDA ensures that 30 years is 30.0 OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365(); QLNet.UnitedStates calendar = new QLNet.UnitedStates(); String[] YIELD_CURVE_POINTS = new String[] { "1M", "2M", "3M", "6M", "9M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "11Y", "12Y", "15Y", "20Y", "25Y", "30Y" }; String[] YIELD_CURVE_INSTRUMENTS = new String[] { "M", "M", "M", "M", "M", "M", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S" }; DateTime today = tradedate; List <DateTime> matDates = dates; List <DateTime> adjMatDates = new List <DateTime>(); OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360(); OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360(); OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365(); for (int i = 0; i < matDates.Count; i++) { adjMatDates.Add(calendar.adjust(matDates[i], QLNet.BusinessDayConvention.Following)); } adjMatDates[2] = adjMatDates[2].AddDays(-1); int nMM = 0; int n = YIELD_CURVE_INSTRUMENTS.Count(); double[] _t = new double[n]; for (int i = 0; i < n; i++) { _t[i] = curveDCC.YearFraction(SpotDate, adjMatDates[i]); if (YIELD_CURVE_INSTRUMENTS[i] == "M") { nMM++; } } int nSwap = n - nMM; double[] _mmYF = new double[nMM]; BasicFixedLeg[] _swaps = new BasicFixedLeg[nSwap]; int mmCount = 0; int swapCount = 0; int swapInterval = 12; for (int i = 0; i < n; i++) { if (YIELD_CURVE_INSTRUMENTS[i] == "M") { // TODO in ISDA code money market instruments of less than 21 days have special treatment _mmYF[mmCount++] = moneyMarketDCC.YearFraction(SpotDate, adjMatDates[i]); } else { _swaps[swapCount++] = new BasicFixedLeg(SpotDate, matDates[i], swapInterval); } } double _offset = DateTime.Compare(tradedate, SpotDate) > 0 ? curveDCC.YearFraction(SpotDate, tradedate) : -curveDCC.YearFraction( tradedate, SpotDate); YieldTermStructure curve = new YieldTermStructure(tradedate, QuotedSpot, dates, _t.ToList(), null); int mmCount_ = 0; int swapCount_ = 0; double[] rt_ = new double[n]; for (int i = 0; i < n; i++) { if (YIELD_CURVE_INSTRUMENTS[i] == "M") { // TODO in ISDA code money market instruments of less than 21 days have special treatment double z = 1.0 / (1 + QuotedSpot[i] * _mmYF[mmCount_++]); YieldTermStructure tempcurve = curve.withDiscountFactor(z, i); curve = tempcurve; } else { curve = curve.fitSwap(i, _swaps[swapCount_++], curve, QuotedSpot[i]); } } YieldTermStructure baseCurve = curve; List <double> ZeroRates = curve.getKnotZeroRates(); if (_offset == 0.0) { return(baseCurve); } this.Nodes = dates; return(baseCurve.withOffset(_offset)); }
public YieldTermStructure calculation2(DateTime tradedate, List <double> QuotedSpot) { /********************* *** MARKET DATA *** *********************/ QLNet.UnitedStates cal = new QLNet.UnitedStates(); DateTime SpotDate = tradedate.AddDays(4); //DateTime SpotDate = cal.advance(tradedate,2,QLNet.TimeUnit.Days,QLNet.BusinessDayConvention.ModifiedFollowing); // must be a business day /********************* * * ** CURVE BUILDING ** * * *********************/ DateTime d1m = SpotDate.AddMonths(1); DateTime d2m = SpotDate.AddMonths(2); DateTime d3m = SpotDate.AddMonths(3); DateTime d6m = SpotDate.AddMonths(6); DateTime d1y = SpotDate.AddYears(1); DateTime d2y = SpotDate.AddYears(2); DateTime d3y = SpotDate.AddYears(3); DateTime d4y = SpotDate.AddYears(4); DateTime d5y = SpotDate.AddYears(5); DateTime d6y = SpotDate.AddYears(6); DateTime d7y = SpotDate.AddYears(7); DateTime d8y = SpotDate.AddYears(8); DateTime d9y = SpotDate.AddYears(9); DateTime d10y = SpotDate.AddYears(10); DateTime d12y = SpotDate.AddYears(12); DateTime d15y = SpotDate.AddYears(15); DateTime d20y = SpotDate.AddYears(20); DateTime d25y = SpotDate.AddYears(25); DateTime d30y = SpotDate.AddYears(30); List <DateTime> dates = new List <DateTime>(); dates.Add(d1m); dates.Add(d2m); dates.Add(d3m); dates.Add(d6m); dates.Add(d1y); dates.Add(d2y); dates.Add(d3y); dates.Add(d4y); dates.Add(d5y); dates.Add(d6y); dates.Add(d7y); dates.Add(d8y); dates.Add(d9y); dates.Add(d10y); dates.Add(d12y); dates.Add(d15y); dates.Add(d20y); dates.Add(d25y); dates.Add(d30y); // Any DayCounter would be fine. // ActualActual::ISDA ensures that 30 years is 30.0 OMLib.Conventions.DayCount.Actual365 dc = new OMLib.Conventions.DayCount.Actual365(); QLNet.UnitedStates calendar = new QLNet.UnitedStates(); String[] YIELD_CURVE_POINTS = new String[] { "1M", "2M", "3M", "6M", "1Y", "2Y", "3Y", "4Y", "5Y", "6Y", "7Y", "8Y", "9Y", "10Y", "12Y", "15Y", "20Y", "25Y", "30Y" }; String[] YIELD_CURVE_INSTRUMENTS = new String[] { "M", "M", "M", "M", "M", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S", "S" }; List <double> YIELD_CURVE_RATES = QuotedSpot; DateTime spotDate = SpotDate; List <DateTime> matDates = dates; List <DateTime> adjMatDates = new List <DateTime>(); OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360(); OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360(); OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365(); for (int i = 0; i < matDates.Count; i++) { adjMatDates.Add(calendar.adjust(matDates[i], QLNet.BusinessDayConvention.ModifiedFollowing)); } int nMM = 0; int n = YIELD_CURVE_INSTRUMENTS.Count(); double[] _t = new double[n]; for (int i = 0; i < n; i++) { _t[i] = curveDCC.YearFraction(spotDate, adjMatDates[i]); if (YIELD_CURVE_INSTRUMENTS[i] == "M") { nMM++; } } int nSwap = n - nMM; double[] _mmYF = new double[nMM]; BasicFixedLeg[] _swaps = new BasicFixedLeg[nSwap]; int mmCount = 0; int swapCount = 0; int swapInterval = 6; for (int i = 0; i < n; i++) { if (YIELD_CURVE_INSTRUMENTS[i] == "M") { // TODO in ISDA code money market instruments of less than 21 days have special treatment _mmYF[mmCount++] = moneyMarketDCC.YearFraction(spotDate, adjMatDates[i]); } else { _swaps[swapCount++] = new BasicFixedLeg(spotDate, matDates[i], swapInterval); } } double _offset = DateTime.Compare(tradedate, spotDate) > 0 ? curveDCC.YearFraction(spotDate, tradedate) : -curveDCC.YearFraction( tradedate, spotDate); YieldTermStructure curve = new YieldTermStructure(tradedate, YIELD_CURVE_RATES, dates, _t.ToList(), null); int mmCount_ = 0; int swapCount_ = 0; double[] rt_ = new double[n]; for (int i = 0; i < n; i++) { if (YIELD_CURVE_INSTRUMENTS[i] == "M") { // TODO in ISDA code money market instruments of less than 21 days have special treatment double z = 1.0 / (1 + YIELD_CURVE_RATES[i] * _mmYF[mmCount_++]); YieldTermStructure tempcurve = curve.withDiscountFactor(z, i); curve = tempcurve; } else { curve = curve.fitSwap(i, _swaps[swapCount_++], curve, YIELD_CURVE_RATES[i]); } } YieldTermStructure baseCurve = curve; List <double> ZeroRates = curve.getKnotZeroRates(); if (_offset == 0.0) { return(baseCurve); } this.Nodes = dates; curve = baseCurve.withOffset(_offset); //List<double> rt = new List<double>() { 1.399914257002842E-4, 3.452229985902273E-4, 6.151397497988689E-4, 0.0017010975470283791, 0.005696357532861686, 0.008854793051714499, 0.0235368691596982, 0.04799336562986048, 0.07980430061988725, 0.11682686636178839, 0.1569272410971123, 0.1988340941576404, 0.24178776149530337, 0.2862865792161734, 0.37671732698783206, 0.512340347238558, 0.7299269275257245, 0.9365962573841474, 1.1363739062462221}; //curve.rt = rt; return(curve); }
/** * Set up a strip of increasing maturity CDSs that have some coupons in common. The trade date, step-in date and valuation date and * accrual start date are all common, as is the payment frequency. The maturities are expressed as integer multiples of the * payment interval from a reference date (the next IMM date after the trade date for standard CDSs) - this guarantees that premiums * will be the same across several CDSs. * @param tradeDate The trade date * @param stepinDate (aka Protection Effective sate or assignment date). Date when party assumes ownership. This is usually T+1. This is when protection * (and risk) starts in terms of the model. Note, this is sometimes just called the Effective Date, however this can cause * confusion with the legal effective date which is T-60 or T-90. * @param cashSettlementDate The cash settlement date. The date that values are PVed to. Is is normally today + 3 business days. * @param accStartDate Accrual Start Date. This is when the CDS nominally starts in terms of premium payments. i.e. the number * of days in the first period (and thus the amount of the first premium payment) is counted from this date. * @param maturityReferanceDate A reference date that maturities are measured from. For standard CDSSs, this is the next IMM date after * the trade date, so the actually maturities will be some fixed periods after this. * @param maturityIndexes The maturities are fixed integer multiples of the payment interval, so for 6M, 1Y and 2Y tenors with a 3M * payment interval, would require 2, 4, and 8 as the indices * @param payAccOnDefault Is the accrued premium paid in the event of a default * @param paymentInterval The nominal step between premium payments (e.g. 3 months, 6 months). * @param stubType the stub convention * @param protectStart If protectStart = true, then protections starts at the beginning of the day, otherwise it is at the end. * @param recoveryRate The recovery rate * @param businessdayAdjustmentConvention How are adjustments for non-business days made * @param calendar HolidayCalendar defining what is a non-business day * @param accrualDayCount Day count used for accrual * @param curveDayCount Day count used on curve (NOTE ISDA uses ACT/365 and it is not recommended to change this) */ public MultiCdsAnalytic( DateTime tradeDate, DateTime stepinDate, DateTime cashSettlementDate, DateTime accStartDate, DateTime maturityReferanceDate, int[] maturityIndexes, Boolean payAccOnDefault, int paymentInterval, StubConvention stubType, Boolean protectStart, double recoveryRate, QLNet.BusinessDayConvention businessdayAdjustmentConvention, QLNet.Calendar calendar, Enums.DayCount accrualDayCount, Enums.DayCount curveDayCount) { OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360(); OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360(); OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365(); _nMaturities = maturityIndexes.Length; _payAccOnDefault = payAccOnDefault; _accStart = DateTime.Compare(accStartDate, tradeDate) < 0 ? -curveDCC.YearFraction(accStartDate, tradeDate) : curveDCC.YearFraction(tradeDate, accStartDate); DateTime temp = DateTime.Compare(stepinDate, accStartDate) > 0 ? stepinDate : accStartDate; DateTime effectiveStartDate = protectStart ? temp.AddDays(-1) : temp; _cashSettlementTime = curveDCC.YearFraction(tradeDate, cashSettlementDate); _effectiveProtectionStart = curveDCC.YearFraction(tradeDate, effectiveStartDate); _lgd = 1 - recoveryRate; DateTime[] maturities = new DateTime[_nMaturities]; _protectionEnd = new double[_nMaturities]; int period = paymentInterval; for (int i = 0; i < _nMaturities; i++) { int tStep = period * maturityIndexes[i]; maturities[i] = maturityReferanceDate.AddMonths(tStep); _protectionEnd[i] = curveDCC.YearFraction(tradeDate, maturities[i]); } IsdaPremiumLegSchedule fullPaymentSchedule = new IsdaPremiumLegSchedule(accStartDate, maturities[_nMaturities - 1], period, stubType, businessdayAdjustmentConvention, calendar, protectStart); //remove already expired coupons IsdaPremiumLegSchedule paymentSchedule = fullPaymentSchedule.truncateSchedule(stepinDate); int couponOffset = fullPaymentSchedule.getNumPayments() - paymentSchedule.getNumPayments(); _totalPayments = paymentSchedule.getNumPayments(); _standardCoupons = new CdsCoupon[_totalPayments - 1]; for (int i = 0; i < (_totalPayments - 1); i++) { //The last coupon is actually a terminal coupon, so not included here _standardCoupons[i] = new CdsCoupon( tradeDate, paymentSchedule.getAccPaymentDateTriplet(i), protectStart, accrualDayCount, curveDayCount); } //find the terminal coupons _terminalCoupons = new CdsCoupon[_nMaturities]; _matIndexToPayments = new int[_nMaturities]; _accruedDays = new int[_nMaturities]; _accrued = new double[_nMaturities]; long secondJulianDate = stepinDate.Ticks; for (int i = 0; i < _nMaturities; i++) { int index = fullPaymentSchedule.getNominalPaymentDateIndex(maturities[i]); //maturity is unadjusted, but if protectionStart=true (i.e. standard CDS) there is effectively an extra day of accrued interest DateTime accEnd = protectStart ? maturities[i].AddDays(1) : maturities[i]; _terminalCoupons[i] = new CdsCoupon( tradeDate, fullPaymentSchedule.getAccStartDate(index), accEnd, fullPaymentSchedule.getPaymentDate(index), protectStart); _matIndexToPayments[i] = index - couponOffset; //This will only matter for the edge case when the trade date is 1 day before maturity DateTime tDate2 = _matIndexToPayments[i] < 0 ? fullPaymentSchedule.getAccStartDate(couponOffset - 1) : paymentSchedule.getAccStartDate(0); long firstJulianDate = tDate2.Ticks; _accruedDays[i] = secondJulianDate > firstJulianDate ? (int)(secondJulianDate - firstJulianDate) : 0; _accrued[i] = DateTime.Compare(tDate2, stepinDate) < 0 ? swapDCC.YearFraction(tDate2, stepinDate) : 0.0; } }