// Check if the process will match the starting inputs
public static void FwdStartSwap()
{
#region Inputs
// Start input
Date refDate = new Date(2021, 10, 11); // ref date, this is only an example
// I populate market rates set: from file, from real time, ... here not real data
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(1.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(1.435e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(1.720e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(1.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
#endregion end Inputs
// my curve
IRateCurve Curve1 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
#region print output
Console.WriteLine("Input Rate (1Y): {0}, ReCalc Rate (1Y): {1} \n\n", 1.869e-2, Curve1.SwapFwd(refDate, "1Y"));
// Start and Tenor of each point in my fwd matrix (2Y15Y is a 15Y swap starting in 2Y)
string[] Start = new string[] { "1Y", "2Y", "3Y", "5Y", "7Y", "10Y" };
string[] Tenor = new string[] { "1Y", "2Y", "5Y", "7Y", "10Y" };
// print fwd swap matrix using multi curve
Console.WriteLine("Matrix using {0}\n", Curve1.ToString());
for (int i = 0; i < Start.Length; i++)
{
for (int t = 0; t < Tenor.Length; t++)
{
Console.Write("{0}{1}:{2:P3} ", Start[i], Tenor[t], Curve1.SwapFwd(refDate.add_period(Start[i]), Tenor[t]));
}
Console.Write("\n\n");
}
#endregion end print output
}
// Calculate the time for initialise a SingleCurveBuilderInterpBestFit
public static void TimeForBestFitVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ... here not real data
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(1.434e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(2.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(3.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(4.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
#region building curve
DateTime timer; // initialise the timer
timer = DateTime.Now;
double firstFixing = 1.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
Console.WriteLine("\n{0} \nFitted in {1}", C.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
Console.WriteLine("\n{0} \nFitted in {1}", C1.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
Console.WriteLine("\n{0} \nFitted in {1}", C2.ToString(), DateTime.Now - timer);
#endregion building curve
}
// Calculate the time for initialise a SingleCurveBuilderInterpBestFit
public static void TimeForBestFitVs6m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate markets rates set: from file, from real time, ... here not real data
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(2.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(2.435e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(2.620e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(2.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(4.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
#endregion end Inputs
#region building curve
DateTime timer;
timer = DateTime.Now;
double firstFixing = 1.62e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
Console.WriteLine("\n{0} \nFitted in {1}", C.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
Console.WriteLine("\n{0} \nFitted in {1}", C1.ToString(), DateTime.Now - timer);
timer = DateTime.Now;
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
Console.WriteLine("\n{0} \nFitted in {1}", C2.ToString(), DateTime.Now - timer);
#endregion building curve
}
// Print on excel forward rate using different curve builder for OIS fwd 3m
public static void CheckFwdRatesOIS3m()
{
#region Inputs
// ref date
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
mktRates.Add(2.338e-2, "1d", BuildingBlockType.EURDEPO); //
mktRates.Add(2.272e-2, "1w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.241e-2, "2w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.16e-2, "3w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.226e-2, "1m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.299e-2, "2m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.323e-2, "3m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.344e-2, "4m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.371e-2, "5m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.39e-2, "6m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.41e-2, "7m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.4316e-2, "8m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.449e-2, "9m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.466e-2, "10m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.48e-2, "11m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.529e-2, "15m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.565e-2, "18m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.603e-2, "21m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.493e-2, "1Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.644e-2, "2Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.849e-2, "3Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.08e-2, "4Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.292e-2, "5Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.471e-2, "6Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.621e-2, "7Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.748e-2, "8Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.86e-2, "9Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.965e-2, "10Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.064e-2, "11Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.155e-2, "12Y", BuildingBlockType.EONIASWAP);
// From here interpolation is need
mktRates.Add(4.358e-2, "15Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.48e-2, "20Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.465e-2, "25Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.415e-2, "30Y", BuildingBlockType.EONIASWAP);
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
#endregion end Inputs
#region building curve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> C1 = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
#endregion end building curve
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
#region printing output
// I get the longer eonia swap available from the input data
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Schedule s = new Schedule(refDate, LS.endDate, "3m", Rule.Backward, LS.swapLeg1.SwapBusDayRollsAdj, "0d", LS.swapLeg1.SwapBusDayPayAdj);
Dc dc = Dc._Act_360;
Date[] FromDate = s.fromDates;
Date[] ToDate = s.toDates;
int N = FromDate.Length;
List <Vector <double> > Fwds = new List <Vector <double> >();
double[] dt = new double[N];
for (int i = 0; i < N; i++)
{
dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
}
foreach (IRateCurve myC in CurveList)
{
double[] fwd = new double[N];
for (int i = 0; i < N; i++)
{
double yf = FromDate[i].YF(ToDate[i], dc);
double df_ini = myC.Df(FromDate[i]);
double df_end = myC.Df(ToDate[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
Fwds.Add(new Vector <double>(fwd));
}
ExcelMechanisms exl = new ExcelMechanisms();
exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
// Print on excel forward rate using different curve builder for 3m
public static void CheckFwdRatesVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(0.434e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(0.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
#region building curve
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
double firstFixing = 0.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C3 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
#endregion end building curve
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
CurveList.Add(C3); CurveString.Add(C3.ToString());
#region printing output
// I get the longer swap
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Dc dc = Dc._Act_360;
Date[] FromDate = LS.scheduleLeg2.fromDates;
Date[] ToDate = LS.scheduleLeg2.toDates;
int N = FromDate.Length;
List <Vector <double> > Fwds = new List <Vector <double> >();
double[] dt = new double[N];
for (int i = 0; i < N; i++)
{
dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
}
foreach (IRateCurve myC in CurveList)
{
double[] fwd = new double[N];
for (int i = 0; i < N; i++)
{
double yf = FromDate[i].YF(ToDate[i], dc);
double df_ini = myC.Df(FromDate[i]);
double df_end = myC.Df(ToDate[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
Fwds.Add(new Vector <double>(fwd));
}
ExcelMechanisms exl = new ExcelMechanisms();
exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd vs 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
