public void CreateSabrCapFloorEngineTest()
{
const string engineHandle = "ATM Bootstrap Engine";
var settings = CreateSabrCapFloorBootstrapSettings();
settings.Set("EngineHandle", engineHandle);
string[] types = { "AUD-IRCAP-1Y", "AUD-IRCAP-2Y", "AUD-IRCAP-3Y", "AUD-IRCAP-4Y", "AUD-IRCAP-5Y" };
decimal[,] vols = { { .1966m }, { .1909m }, { .1965m }, { .1941m }, { .1882m } };
DateTime[] dates =
{
new DateTime(2010, 09, 10),
new DateTime(2011, 09, 10),
new DateTime(2012, 09, 10),
new DateTime(2013, 09, 10),
new DateTime(2014, 09, 10)
};
decimal[] discounts = { .999877m, 0.951649m, 0.905211m, 0.860439m, 0.816905m };
string result = SABRCapFloorInterface.Instance().CreateCapFloorCurve(Engine.Logger, Engine.Cache,
Engine.NameSpace, settings, types, vols, dates, discounts);
Assert.AreEqual(engineHandle, result);
}
private NamedValueSet CreateSabrCapFloorBootstrapSettings()
{
var settings = new object[, ]
{
{ "Instrument", "AUD-Xibor-3M" },
{ "PricingStructureType", "CapVolatilityCurve" },
{ "BaseDate", new DateTime(2007, 11, 29) },
{ "ValuationDate", new DateTime(2007, 11, 29) },
{ "IndexTenor", "3M" },
{ "IndexName", "AUD-BBR-BBSW" },
{ "MarketName", "Test" },
{ "Currency", "AUD" },
{ "StrikeQuoteUnits", StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString() },
{ "MeasureType", MeasureTypesEnum.Volatility.ToString() },
{ "QuoteUnits", QuoteUnitsEnum.LogNormalVolatility.ToString() },
{ "Algorithm", "Default" },
{ "EngineHandle", "AUD ATM Bootstrap Engine" },
{ "SettingsHandle", "ATM Bootstrap Settings" }
};
SABRCapFloorInterface cfInterface = SABRCapFloorInterface.Instance();
var properties = cfInterface.CreateCapFloorProperties(settings);
return(properties);
}
public void CreateAtmCapFloorBootstrapEngineTest()
{
#region inputs
var settings = new object[, ]
{
{ "Instrument", "AUD-Xibor-3M" },
{ "PricingStructureType", "CapVolatilityCurve" },
{ "BaseDate", new DateTime(2007, 11, 29) },
{ "ValuationDate", new DateTime(2007, 11, 29) },
{ "IndexTenor", "3M" },
{ "IndexName", "AUD-BBR-BBSW" },
{ "MarketName", "Test" },
{ "Currency", "AUD" },
{ "StrikeQuoteUnits", StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString() },
{ "MeasureType", MeasureTypesEnum.Volatility.ToString() },
{ "QuoteUnits", QuoteUnitsEnum.LogNormalVolatility.ToString() },
{ "Algorithm", "Default" },
{ "EngineHandle", "AUD ATM Bootstrap Engine" },
{ "SettingsHandle", "AUD ATM Bootstrap Settings" }
};
DateTime[] dates
=
{
new DateTime(2010, 8, 30),
new DateTime(2010, 11, 29),
new DateTime(2011, 2, 28),
new DateTime(2011, 5, 30),
new DateTime(2011, 8, 29),
new DateTime(2011, 11, 28),
new DateTime(2012, 2, 28),
new DateTime(2012, 5, 28),
new DateTime(2012, 8, 28),
new DateTime(2012, 11, 28),
new DateTime(2013, 2, 28),
new DateTime(2013, 5, 28),
new DateTime(2013, 8, 28),
new DateTime(2013, 11, 28),
new DateTime(2014, 2, 28),
new DateTime(2014, 5, 28),
new DateTime(2014, 8, 28),
new DateTime(2014, 11, 28),
new DateTime(2015, 2, 27),
new DateTime(2015, 5, 28),
new DateTime(2015, 8, 28),
new DateTime(2015, 11, 30),
new DateTime(2016, 2, 29),
new DateTime(2016, 5, 30),
new DateTime(2016, 8, 29),
new DateTime(2016, 11, 28),
new DateTime(2017, 2, 28),
new DateTime(2017, 5, 29),
new DateTime(2017, 8, 28),
new DateTime(2017, 11, 28),
new DateTime(2018, 2, 28),
new DateTime(2018, 5, 28),
new DateTime(2018, 8, 28),
new DateTime(2018, 11, 28),
new DateTime(2019, 2, 28),
new DateTime(2019, 5, 28),
new DateTime(2019, 8, 28),
new DateTime(2019, 11, 28),
new DateTime(2020, 2, 28),
new DateTime(2020, 5, 28),
new DateTime(2020, 8, 28),
new DateTime(2020, 11, 30),
new DateTime(2021, 2, 26),
new DateTime(2021, 5, 28),
new DateTime(2021, 8, 30),
new DateTime(2021, 11, 29),
new DateTime(2022, 2, 28),
new DateTime(2022, 5, 30),
new DateTime(2022, 8, 29),
new DateTime(2022, 11, 28),
new DateTime(2023, 2, 28),
new DateTime(2023, 5, 29),
new DateTime(2023, 8, 28),
new DateTime(2023, 11, 28),
new DateTime(2024, 2, 28),
new DateTime(2024, 5, 28),
new DateTime(2024, 8, 28),
new DateTime(2024, 11, 28),
new DateTime(2025, 2, 28),
new DateTime(2025, 5, 28),
new DateTime(2025, 8, 28),
new DateTime(2025, 11, 28),
new DateTime(2026, 2, 27),
new DateTime(2026, 5, 28),
new DateTime(2026, 8, 28),
new DateTime(2026, 11, 30),
new DateTime(2027, 2, 26),
new DateTime(2027, 5, 28),
new DateTime(2027, 8, 30),
new DateTime(2027, 11, 29),
new DateTime(2028, 2, 28),
new DateTime(2028, 5, 29),
new DateTime(2028, 8, 28),
new DateTime(2028, 11, 28),
new DateTime(2029, 2, 28),
new DateTime(2029, 5, 28),
new DateTime(2029, 8, 28),
new DateTime(2029, 11, 28),
new DateTime(2030, 2, 28),
new DateTime(2030, 5, 28),
new DateTime(2030, 8, 28),
new DateTime(2030, 11, 28),
new DateTime(2031, 2, 28),
new DateTime(2031, 5, 28),
new DateTime(2031, 8, 28),
new DateTime(2031, 11, 28),
new DateTime(2032, 2, 27),
new DateTime(2032, 5, 28),
new DateTime(2032, 8, 30),
new DateTime(2032, 11, 29),
new DateTime(2033, 2, 28),
new DateTime(2033, 5, 30),
new DateTime(2033, 8, 29),
new DateTime(2033, 11, 28),
new DateTime(2034, 2, 28),
new DateTime(2034, 5, 29),
new DateTime(2034, 8, 28),
new DateTime(2034, 11, 28),
new DateTime(2035, 2, 28),
new DateTime(2035, 5, 28),
new DateTime(2035, 8, 28),
new DateTime(2035, 11, 28),
new DateTime(2036, 2, 28),
new DateTime(2036, 5, 28),
new DateTime(2036, 8, 28),
new DateTime(2036, 11, 28),
new DateTime(2037, 2, 27),
new DateTime(2037, 5, 28),
new DateTime(2037, 8, 28),
new DateTime(2037, 11, 30),
new DateTime(2038, 2, 26),
new DateTime(2038, 5, 28),
new DateTime(2038, 8, 30),
new DateTime(2038, 11, 29),
new DateTime(2039, 2, 28),
new DateTime(2039, 5, 30),
new DateTime(2039, 8, 29),
new DateTime(2039, 11, 28),
new DateTime(2040, 2, 28),
new DateTime(2040, 5, 28),
new DateTime(2040, 8, 28),
new DateTime(2040, 11, 28),
new DateTime(2041, 2, 28),
new DateTime(2041, 5, 28),
new DateTime(2041, 8, 28),
new DateTime(2041, 11, 28),
new DateTime(2042, 2, 28),
new DateTime(2042, 5, 28),
new DateTime(2042, 8, 28),
new DateTime(2042, 11, 28),
new DateTime(2043, 2, 27),
new DateTime(2043, 5, 28),
new DateTime(2043, 8, 28),
new DateTime(2043, 11, 30),
new DateTime(2044, 2, 29),
new DateTime(2044, 5, 30),
new DateTime(2044, 8, 29),
new DateTime(2044, 11, 28),
new DateTime(2045, 2, 28),
new DateTime(2045, 5, 29),
new DateTime(2045, 8, 28),
new DateTime(2045, 11, 28),
new DateTime(2046, 2, 28),
new DateTime(2046, 5, 28),
new DateTime(2046, 8, 28),
new DateTime(2046, 11, 28),
new DateTime(2047, 2, 28),
new DateTime(2047, 5, 28),
new DateTime(2047, 8, 28),
new DateTime(2047, 11, 28),
new DateTime(2048, 2, 28),
new DateTime(2048, 5, 28),
new DateTime(2048, 8, 28),
new DateTime(2048, 11, 30),
new DateTime(2049, 2, 26),
new DateTime(2049, 5, 28),
new DateTime(2049, 8, 30),
new DateTime(2049, 11, 29),
new DateTime(2050, 2, 28),
new DateTime(2050, 5, 30)
};
decimal[] discountFactors
=
{
0.987518712m,
0.976295684m,
0.9649125m,
0.953388204m,
0.94166812m,
0.929795825m,
0.917715973m,
0.905898714m,
0.893874697m,
0.881835588m,
0.86977551m,
0.858089024m,
0.845537741m,
0.832923844m,
0.820255666m,
0.807964428m,
0.795958233m,
0.783985532m,
0.772179728m,
0.760545449m,
0.748904536m,
0.737074286m,
0.725685628m,
0.714372418m,
0.703425614m,
0.692563644m,
0.681669846m,
0.67109924m,
0.660724404m,
0.650334924m,
0.640045807m,
0.630188111m,
0.620402678m,
0.610727398m,
0.601161867m,
0.592015048m,
0.582920044m,
0.573939201m,
0.565071554m,
0.556507012m,
0.548020869m,
0.539467077m,
0.531565141m,
0.523500336m,
0.515282143m,
0.507433934m,
0.499690512m,
0.49205554m,
0.484664917m,
0.477377081m,
0.470112325m,
0.463104602m,
0.456117408m,
0.44915273m,
0.442286616m,
0.435663923m,
0.428989077m,
0.422409064m,
0.415922659m,
0.409747646m,
0.404543017m,
0.399433413m,
0.394470931m,
0.38965077m,
0.384811919m,
0.379958343m,
0.375495784m,
0.370962047m,
0.366363562m,
0.361992208m,
0.357698346m,
0.353480452m,
0.349337036m,
0.345222313m,
0.341180754m,
0.337339255m,
0.333437471m,
0.329604676m,
0.325839526m,
0.322260433m,
0.318637998m,
0.315079421m,
0.311583469m,
0.308259975m,
0.304883738m,
0.301566625m,
0.298342628m,
0.295174306m,
0.291958885m,
0.288900556m,
0.285894805m,
0.282940657m,
0.280037154m,
0.277183363m,
0.274347813m,
0.271621277m,
0.268911211m,
0.266218294m,
0.263571702m,
0.261054696m,
0.258617538m,
0.256224336m,
0.25387429m,
0.251616338m,
0.249349374m,
0.247123286m,
0.244960887m,
0.242860203m,
0.240751162m,
0.238635584m,
0.236690427m,
0.234714322m,
0.232710175m,
0.230805289m,
0.228934531m,
0.227097324m,
0.225293101m,
0.223521309m,
0.221762463m,
0.220072868m,
0.218102234m,
0.216162604m,
0.214253465m,
0.212435122m,
0.210584508m,
0.208762918m,
0.206969876m,
0.20526203m,
0.203523802m,
0.201812766m,
0.200146649m,
0.198524177m,
0.196891279m,
0.195249217m,
0.193684513m,
0.192143967m,
0.1906272m,
0.189133843m,
0.187647501m,
0.186215911m,
0.184790629m,
0.183372046m,
0.181975599m,
0.180645434m,
0.17929155m,
0.177958812m,
0.176646897m,
0.175397282m,
0.174125422m,
0.172873469m,
0.171641125m,
0.170454265m,
0.169259859m,
0.16805886m,
0.166952006m,
0.165824947m,
0.164679175m,
0.163587568m,
0.162513022m,
0.161455298m
};
string[] volTypes =
{
"AUD-CAPLET-9d-90d",
"AUD-CAPLET-100d-90d",
"AUD-CAPLET-191d-90d",
"AUD-CAPLET-282d-90d",
"AUD-IRCAP-2Y",
"AUD-IRCAP-3Y",
"AUD-IRCAP-4Y",
"AUD-IRCAP-5Y",
"AUD-IRCAP-7Y",
"AUD-IRCAP-10Y",
"AUD-IRCAP-15Y",
"AUD-IRCAP-20Y",
"AUD-IRCAP-25Y",
"AUD-IRCAP-30Y"
};
decimal[] vols =
{
0.1638m,
0.1865m,
0.1911m,
0.2033m,
0.2171m,
0.2059m,
0.1961m,
0.1851m,
0.1680m,
0.1532m,
0.1440m,
0.1440m,
0.1440m,
0.1440m
};
#endregion
SABRCapFloorInterface cfInterface = SABRCapFloorInterface.NewInstance();
var properties = cfInterface.CreateCapFloorProperties(settings);
Assert.AreEqual("AUD ATM Bootstrap Settings", properties.GetValue <string>("SettingsHandle", true));
const string engineHandle = "AUD ATM Bootstrap Engine";
string result = cfInterface.CreateCapFloorATMCurve(Engine.Logger, Engine.Cache, Engine.NameSpace, properties, volTypes,
vols, dates, discountFactors);
Assert.AreEqual(engineHandle, result);
}
