public void FixedPaymentStreamLevelFunctionTest()
{
PaymentStream.Direction direction = PaymentStream.Direction.Payer;
decimal notional = 1239771.88m;
List <decimal> notionals = new List <decimal>(40);
for (int i = 0; i < 40; ++i)
{
notionals.Add(notional);
}
DateTime referenceDate = new DateTime(2009, 7, 1);
FixedPaymentStream fixedPaymentStream = new FixedPaymentStream(direction,
notionals,
fixedYearFractions,
fixedCashflows,
fixedDiscountFactors,
0.0m);
decimal calculatedLevelFunction = fixedPaymentStream.LevelFunction();
// decimal calculatedAccruedNPV = fixedPaymentStream.AccruedNPV();
//fixedPaymentStream.AccruedNPV(4.22095m/100.0m);
//double expectedAccruedNPV = -397825.73;
double expectedLevelFunction = -7.60223072;
Assert.AreEqual(Convert.ToDouble(calculatedLevelFunction), expectedLevelFunction, 5e-3);
// Assert.AreEqual(Convert.ToDouble(calculatedAccruedNPV), expectedAccruedNPV, 0.2);
}
public decimal BreakEvenRate(PaymentStream.Direction direction)
{
if (direction == _payerPaymentStream.Dir)
{
if (_payerPaymentStream.GetType() == typeof(FixedPaymentStream))
{
return((((_receiverPaymentStream.NPV() / getSpotExchangeRate(direction)) - _payerPaymentStream.PrincipleExchangePV()) / _payerPaymentStream.AccruedNPVOfNotional()) * -1.0m);
}
//else
//{
// find the spread over floating rate
//}
}
else
{
if (_receiverPaymentStream.GetType() == typeof(FixedPaymentStream))
{
return((((_payerPaymentStream.NPV() / getSpotExchangeRate(direction)) - _receiverPaymentStream.PrincipleExchangePV()) / _receiverPaymentStream.AccruedNPVOfNotional()) * -1.0m);
}
//else
//{
// find the spread over floating rate
//}
}
return(0.0m);
}
public CrossCurrencyIRSwap(PaymentStream payerPaymentStream, PaymentStream receiverPaymentStream,
decimal spotExchangeRate, PaymentStream.Direction direction)
{
_payerPaymentStream = payerPaymentStream;
_receiverPaymentStream = receiverPaymentStream;
_spotExchangeRate = spotExchangeRate;
_spotExchangeRateBase = direction;
}
public decimal getSpotExchangeRate(PaymentStream.Direction direction)
{
if (direction == _spotExchangeRateBase)
{
return(_spotExchangeRate);
}
return(1.0m / _spotExchangeRate);
}
public decimal SpotExchangeRate(PaymentStream.Direction conversionBase)
{
if (conversionBase == _payerPaymentStream.Dir)
{
return(_receiverPaymentStream.PrincipleExchange / _payerPaymentStream.PrincipleExchange);
}
return(_payerPaymentStream.PrincipleExchange / _receiverPaymentStream.PrincipleExchange);
}
public void CrossCurrencyIRSwapTest()
{
#region Receiver Leg of the swap
PaymentStream.Direction direction = PaymentStream.Direction.Receiver;
decimal notional = 1000000.0m;
List <decimal> notionals = new List <decimal>(40);
for (int i = 0; i < 40; ++i)
{
notionals.Add(notional);
}
DateTime referenceDate = new DateTime(2009, 7, 1);
FloatingPaymentStream floatingPaymentStream = new FloatingPaymentStream(direction,
notionals,
floatingYearFractions,
floatingCashflows,
floatingDiscountFactors,
0.0m);
#endregion
#region Payer Leg of the swap
PaymentStream.Direction dir = PaymentStream.Direction.Payer;
decimal payerNotional = 1239771.88m;
List <decimal> payerNotionals = new List <decimal>(40);
for (int i = 0; i < 40; ++i)
{
payerNotionals.Add(payerNotional);
}
DateTime payerReferenceDate = new DateTime(2009, 7, 1);
FixedPaymentStream fixedPaymentStream = new FixedPaymentStream(dir,
payerNotionals,
fixedYearFractions,
fixedCashflows,
fixedDiscountFactors,
0.0m);
#endregion
CrossCurrencyIRSwap swap = new CrossCurrencyIRSwap(fixedPaymentStream, floatingPaymentStream, 0.8066m, PaymentStream.Direction.Payer);
decimal ber = swap.BreakEvenRate(PaymentStream.Direction.Payer);
}
public void FloatingPaymentStreamConstructorTest()
{
PaymentStream.Direction direction = PaymentStream.Direction.Payer;
decimal notional = 1000000.0m;
List <decimal> notionals = new List <decimal>();
for (int i = 0; i < 40; ++i)
{
notionals.Add(notional);
}
DateTime referenceDate = new DateTime(2009, 7, 1);
FloatingPaymentStream floatingPaymentStream = new FloatingPaymentStream(direction,
notionals,
floatingYearFractions,
floatingCashflows,
floatingDiscountFactors,
0.0m);
#region expected forward rates
decimal[] expectedForwardRates = { 0.59494m / 100.0m, 0.6464m / 100.0m, 0.98232m / 100.0m, 1.25659m / 100.0m,
1.62129m / 100.0m, 1.99391m / 100.0m, 2.37068m / 100.0m, 2.70303m / 100.0m,
3.02493m / 100.0m, 3.29518m / 100.0m, 3.55722m / 100.0m, 3.74159m / 100.0m,
3.88433m / 100.0m, 3.85484m / 100.0m, 4.0788m / 100.0m, 4.29895m / 100.0m,
4.2114m / 100.0m, 4.40091m / 100.0m, 4.58781m / 100.0m, 4.76869m / 100.0m,
4.40348m / 100.0m, 4.54149m / 100.0m, 4.67837m / 100.0m, 4.78932m / 100.0m,
4.49065m / 100.0m, 4.59064m / 100.0m, 4.68818m / 100.0m, 4.78657m / 100.0m,
4.59108m / 100.0m, 4.66833m / 100.0m, 4.74582m / 100.0m, 4.82381m / 100.0m,
4.59301m / 100.0m, 4.6531m / 100.0m, 4.71192m / 100.0m, 4.76986m / 100.0m,
4.69361m / 100.0m, 4.74621m / 100.0m, 4.79761m / 100.0m, 4.84809m / 100.0m };
#endregion
List <decimal> calculatedForwardRates = new List <decimal>();
calculatedForwardRates.AddRange(floatingPaymentStream.ForwardRates);
int len = floatingPaymentStream.ForwardRates.Count;
for (int i = 0; i < len; ++i)
{
Assert.AreEqual(Convert.ToDouble(calculatedForwardRates[i]), Convert.ToDouble(expectedForwardRates[i]), 5e-3);
}
}
