public void TestMethod4()
{
DateTime baseDate = new DateTime(2015, 2, 1);
int exerciseCount = 1;
int resetCount = 6;
double swapRate = 0.01;
double divideInterval = 60;
Debug.Assert(resetCount >= exerciseCount);
DateTime[] exerciseDates = Enumerable.Range(0, exerciseCount).Select(x => baseDate.AddMonths(x * 6)).ToArray();
DateTime[] resetDates = Enumerable.Range(1, resetCount + 1).Select(x => baseDate.AddMonths(x * 6).AddDays(2)).ToArray();
double[] divideIntervals = resetDates.Select(x => divideInterval).ToArray();
List <Cashflow> cashflows = new List <Cashflow>();
for (int i = 0; i < resetDates.Length - 1; ++i)
{
cashflows.Add(new Cashflow(resetDates[i], resetDates[i + 1], swapRate));
}
SimpleBermudanSwaption sbs = new SimpleBermudanSwaption();
sbs.DivideTimeIntervals(baseDate, exerciseDates, cashflows.ToArray(), divideIntervals);
sbs.OutputCsvExerciseDates("BermudanSwaptionExerciseDates.csv");
sbs.OutputCsvCashflows("BermudanSwaptionCashflows.csv");
sbs.OutputCsvTimeIntervals("BermudanSwaptionTimeIntervals.csv");
sbs.SetTreeTimes();
double r = 0.01;
double[] times = sbs.GetTreeTimes();
double[] bondPrices = times.Select(x => Math.Exp(-r * x)).ToArray();
double[] a = times.Select(x => 0.005).ToArray();
double[] sigma = times.Select(x => 0.5).ToArray();
Stopwatch stopWatch = new Stopwatch();
stopWatch.Start();
sbs.InitializeTree(a, sigma);
sbs.SetBondPrices(bondPrices);
sbs.FitToBondPrices();
sbs.SetPayerOrReceiver(false);
Console.WriteLine("PV \t\t ={0}", sbs.ComputePV());
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0000));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0001));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0002));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0003));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0002));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0001));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0000));
stopWatch.Stop();
Console.WriteLine("{0}ms", stopWatch.ElapsedMilliseconds);
sbs._Tree.OutputCsvTreeBackBones("BermudanSwaptionTreeBackBones.csv");
sbs._Tree.OutputCsvTreeNodes("BermudanSwaptionTreeNodes.csv");
}
public void TestMethod1()
{
DateTime baseDate = new DateTime(2015, 2, 1);
double divideInterval = 60;
int cashflowNumber = 6;
int resetIntervalMonths = 6;
for (int i = 0; i < cashflowNumber - 1; ++i)
{
DateTime[] exerciseDates;
Cashflow[] cashflows;
CalibrationHelper.GetSwaptionCondition(baseDate.AddMonths(resetIntervalMonths * (i + 1))
, resetIntervalMonths, cashflowNumber - i, out exerciseDates, out cashflows);
double[] divideIntervals = cashflows.Select(x => divideInterval).ToArray();
SimpleBermudanSwaption sbs = new SimpleBermudanSwaption();
sbs.DivideTimeIntervals(baseDate, exerciseDates, cashflows, divideIntervals);
sbs.OutputCsvExerciseDates(string.Format("BermudanSwaptionExerciseDates{0}.csv", i));
sbs.OutputCsvCashflows(string.Format("BermudanSwaptionCashflows{0}.csv", i));
sbs.OutputCsvTimeIntervals(string.Format("BermudanSwaptionTimeIntervals{0}.csv", i));
}
}
public void TestMethod1()
{
DateTime baseDate = new DateTime(2015, 2, 1);
int exerciseCount = 2;
int resetCount = 6;
double swapRate = 0.01;
double divideInterval = 30;
Debug.Assert(resetCount >= exerciseCount);
DateTime[] exerciseDates = Enumerable.Range(1, exerciseCount).Select(x => baseDate.AddMonths(x * 6)).ToArray();
DateTime[] resetDates = Enumerable.Range(1, resetCount + 1).Select(x => baseDate.AddMonths(x * 6).AddDays(2)).ToArray();
double[] divideIntervals = resetDates.Select(x => divideInterval).ToArray();
//divideIntervals[0] *= 0.1 * divideIntervals[0];
//divideIntervals[1] *= 0.1 * divideIntervals[1];
List <Cashflow> cashflows = new List <Cashflow>();
for (int i = 0; i < resetDates.Length - 1; ++i)
{
cashflows.Add(new Cashflow(resetDates[i], resetDates[i + 1], swapRate));
}
SimpleBermudanSwaption sbs = new SimpleBermudanSwaption();
sbs.DivideTimeIntervals(baseDate, exerciseDates, cashflows.ToArray(), divideIntervals);
sbs.OutputCsvExerciseDates("BermudanSwaptionExerciseDates.csv");
sbs.OutputCsvCashflows("BermudanSwaptionCashflows.csv");
sbs.OutputCsvTimeIntervals("BermudanSwaptionTimeIntervals.csv");
sbs.SetTreeTimes();
double r = 0.01;
double[] times = sbs.GetTreeTimes();
double[] bondPrices = times.Select(x => Math.Exp(-r * x)).ToArray();
double[] a = times.Select(x => 0.005).ToArray();
double[] sigma = times.Select(x => 0.5).ToArray();
Stopwatch stopWatch = new Stopwatch();
stopWatch.Start();
sbs.InitializeTree(a, sigma);
sbs.SetBondPrices(bondPrices);
sbs.FitToBondPrices();
sbs.SetPayerOrReceiver(true);
Console.WriteLine("PV \t\t ={0}", sbs.ComputePV());
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0000));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0001));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0002));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0003));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0002));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0001));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0000));
stopWatch.Stop();
Console.WriteLine("{0}ms", stopWatch.ElapsedMilliseconds);
Console.WriteLine("InitializeTree(double, double)");
stopWatch.Reset();
stopWatch.Start();
sbs.InitializeTree(a[0], sigma[0]);
sbs.SetBondPrices(bondPrices);
sbs.FitToBondPrices();
sbs.SetPayerOrReceiver(true);
Console.WriteLine("PV \t\t ={0}", sbs.ComputePV());
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0000));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0001));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0002));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0003));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0002));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0001));
Console.WriteLine("PVShifted \t ={0}", sbs.ComputeSigmaShiftedPV(0.0000));
stopWatch.Stop();
Console.WriteLine("{0}ms", stopWatch.ElapsedMilliseconds);
sbs._Tree.OutputCsvTreeBackBones("BermudanSwaptionTreeBackBones.csv");
sbs._Tree.OutputCsvTreeNodes("BermudanSwaptionTreeNodes.csv");
SimpleBermudanSwaption sbs2 = new SimpleBermudanSwaption();
sbs2.DivideTimeIntervals(baseDate, exerciseDates, cashflows.ToArray()
, divideIntervals.Select(x => 0.5 * x).ToArray());
sbs2.SetTreeTimes();
sbs2.SetBondPrices(sbs2.GetTreeTimes().Select(x => Math.Exp(-r * x)).ToArray());
sbs2.SetPayerOrReceiver(true);
using (var sw = new System.IO.StreamWriter("PVSigma.csv", false))
{
double unit = 0.01;
sw.WriteLine("sigma,pv,pv2");
for (int i = 1; i <= 1D / unit; ++i)
{
sbs.InitializeTree(a[0], i * unit);
sbs.FitToBondPrices();
sbs2.InitializeTree(a[0], i * unit);
sbs2.FitToBondPrices();
sw.WriteLine("{0},{1},{2}", i * unit, sbs.ComputePV(), sbs2.ComputePV());
}
}
}
public void TestMethod2()
{
DateTime baseDate = new DateTime(2015, 2, 1);
double divideInterval = 30;
double r = 0.01;
/// キャリブレーション用ツリーによるヨーロピアンスワップション評価オブジェクトの用意
int cashflowNumber = 1;
int resetIntervalMonths = 6;
SimpleBermudanSwaption[] sbss = new SimpleBermudanSwaption[cashflowNumber];
for (int i = 1; i <= cashflowNumber; ++i)
{
DateTime[] exerciseDates;
Cashflow[] cashflows;
CalibrationHelper.GetSwaptionCondition(baseDate.AddMonths(resetIntervalMonths * i)
, resetIntervalMonths, cashflowNumber - i + 1, out exerciseDates, out cashflows);
/// スワップレートの設定
List <double> bondPricesAtCashflowDates = cashflows.Select(x => Math.Exp(-r * (x.ResetDate - baseDate).Days / 365D)).ToList();
bondPricesAtCashflowDates.Add(Math.Exp(-r * (cashflows.Last().SettlementDate - baseDate).Days / 365D));
double[] bondPricesForSwapRate = bondPricesAtCashflowDates.ToArray();
double[] yearFractionsForSwapRate = bondPricesForSwapRate.Select(x => resetIntervalMonths / 12D).ToArray();
double swapRate = CalibrationHelper.GetForwardSwapRate(bondPricesForSwapRate, yearFractionsForSwapRate);
Console.WriteLine("SwapRate={0}", swapRate);
foreach (Cashflow cf in cashflows)
{
cf.SwapRate = swapRate;
}
/// スワップションオブジェクトの生成
double[] divideIntervals = cashflows.Select(x => divideInterval).ToArray();
divideIntervals[0] /= 3;
SimpleBermudanSwaption sbs = new SimpleBermudanSwaption();
sbs.DivideTimeIntervals(baseDate, exerciseDates, cashflows, divideIntervals);
double[] times = sbs.GetTreeTimes();
double[] bondPrices = times.Select(x => Math.Exp(-r * x)).ToArray();
sbs.SetBondPrices(bondPrices);
sbs.SetPayerOrReceiver(true);
sbss[i - 1] = sbs;
}
/// ダミーの市場価格
/// 本当はボラから計算する必要がある。
double[] PVs = sbss.Select(x => 0.01D).ToArray();
double a, sigma;
a = 0.005;
sigma = 0.01;
// a, sigmaでcalibration
//CalibrationHelper.CalibrateToSwaptionValues(PVs, sbss, 0, 0.2D, out a, out sigma);
/// sigmaのみでcalibration
CalibrationHelper.CalibrateToSwaptionValues(PVs, sbss, a, sigma, out sigma);
Console.WriteLine("a={0}, sigma={1}", a, sigma);
for (int i = 0; i < sbss.Length; ++i)
{
sbss[i].OutputCsvCashflows(string.Format("ESwaptionCashflow{0}.csv", i));
sbss[i].OutputCsvExerciseDates(string.Format("ESwaptionExerciseDates{0}.csv", i));
Console.WriteLine("{0}, Input : {1}, Fitted : {2}", i, PVs[i], sbss[i]._Tree._TreeNodes[0][0].ContingentClaimValue);
}
/// 目的関数のsigma依存性を見る
CalibrationHelper.OutputCsvCalibrationObjectiveValues("Js.csv", PVs, sbss
, Enumerable.Range(1, 100).Select(x => 0.01D * x).ToArray()
, Enumerable.Range(1, 100).Select(x => 0.01D * x).ToArray());
}
