public static SwapRateHelper as_swapratehelper(RateHelper helper)
{
SwapRateHelper ret = new SwapRateHelper(NQuantLibcPINVOKE.as_swapratehelper(RateHelper.getCPtr(helper)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(18, Month.September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 3;
int settlementDays = 3;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// Building of the bonds discounting yield curve
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// Common data
// ZC rates for the short end
double zc3mQuote = 0.0096;
double zc6mQuote = 0.0145;
double zc1yQuote = 0.0194;
Quote zc3mRate = new SimpleQuote(zc3mQuote);
Quote zc6mRate = new SimpleQuote(zc6mQuote);
Quote zc1yRate = new SimpleQuote(zc1yQuote);
DayCounter zcBondsDayCounter = new Actual365Fixed();
RateHelper zc3m = new DepositRateHelper(new Handle <Quote>(zc3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc6m = new DepositRateHelper(new Handle <Quote>(zc6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc1y = new DepositRateHelper(new Handle <Quote>(zc1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
// setup bonds
double redemption = 100.0;
const int numberOfBonds = 5;
Date[] issueDates =
{
new Date(15, Month.March, 2005),
new Date(15, Month.June, 2005),
new Date(30, Month.June, 2006),
new Date(15, Month.November, 2002),
new Date(15, Month.May, 1987)
};
Date[] maturities =
{
new Date(31, Month.August, 2010),
new Date(31, Month.August, 2011),
new Date(31, Month.August, 2013),
new Date(15, Month.August, 2018),
new Date(15, Month.May, 2038)
};
double[] couponRates =
{
0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
double[] marketQuotes =
{
100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
List <SimpleQuote> quote = new List <SimpleQuote>();
for (int i = 0; i < numberOfBonds; i++)
{
SimpleQuote cp = new SimpleQuote(marketQuotes[i]);
quote.Add(cp);
}
List <RelinkableHandle <Quote> > quoteHandle = new InitializedList <RelinkableHandle <Quote> >(numberOfBonds);
for (int i = 0; i < numberOfBonds; i++)
{
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
List <FixedRateBondHelper> bondsHelpers = new List <FixedRateBondHelper>();
for (int i = 0; i < numberOfBonds; i++)
{
Schedule schedule = new Schedule(issueDates[i], maturities[i], new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBondHelper bondHelper = new FixedRateBondHelper(quoteHandle[i],
settlementDays,
100.0,
schedule,
new List <double>()
{
couponRates[i]
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.Add(bondHelper);
}
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-bond curve
List <RateHelper> bondInstruments = new List <RateHelper>();
// Adding the ZC bonds to the curve for the short end
bondInstruments.Add(zc3m);
bondInstruments.Add(zc6m);
bondInstruments.Add(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (int i = 0; i < numberOfBonds; i++)
{
bondInstruments.Add(bondsHelpers[i]);
}
YieldTermStructure bondDiscountingTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, bondInstruments,
termStructureDayCounter,
new List <Handle <Quote> >(),
new List <Date>(),
tolerance);
// Building of the Libor forecasting curve
// deposits
double d1wQuote = 0.043375;
double d1mQuote = 0.031875;
double d3mQuote = 0.0320375;
double d6mQuote = 0.03385;
double d9mQuote = 0.0338125;
double d1yQuote = 0.0335125;
// swaps
double s2yQuote = 0.0295;
double s3yQuote = 0.0323;
double s5yQuote = 0.0359;
double s10yQuote = 0.0412;
double s15yQuote = 0.0433;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(
new Handle <Quote>(d1wRate),
new Period(1, TimeUnit.Weeks), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(
new Handle <Quote>(d1mRate),
new Period(1, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(
new Handle <Quote>(d3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(
new Handle <Quote>(d6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(
new Handle <Quote>(d9mRate),
new Period(9, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(
new Handle <Quote>(d1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency = Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
Period forwardStart = new Period(1, TimeUnit.Days);
RateHelper s2y = new SwapRateHelper(
new Handle <Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
RateHelper s3y = new SwapRateHelper(
new Handle <Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
RateHelper s5y = new SwapRateHelper(
new Handle <Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
RateHelper s10y = new SwapRateHelper(
new Handle <Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
RateHelper s15y = new SwapRateHelper(
new Handle <Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle <Quote>(), forwardStart);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
List <RateHelper> depoSwapInstruments = new List <RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoSwapInstruments,
termStructureDayCounter,
new List <Handle <Quote> >(),
new List <Date>(),
tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle <YieldTermStructure> discountingTermStructure = new RelinkableHandle <YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle <YieldTermStructure> forecastingTermStructure = new RelinkableHandle <YieldTermStructure>();
/*********************
* BONDS TO BE PRICED *
**********************/
// Common data
double faceAmount = 100;
// Pricing engine
IPricingEngine bondEngine = new DiscountingBondEngine(discountingTermStructure);
// Zero coupon bond
ZeroCouponBond zeroCouponBond = new ZeroCouponBond(
settlementDays,
new UnitedStates(UnitedStates.Market.GovernmentBond),
faceAmount,
new Date(15, Month.August, 2013),
BusinessDayConvention.Following,
116.92,
new Date(15, Month.August, 2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
Schedule fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007),
new Date(15, Month.May, 2017), new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond fixedRateBond = new FixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
new List <double>()
{
0.045
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.ModifiedFollowing,
100.0, new Date(15, Month.May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
RelinkableHandle <YieldTermStructure> liborTermStructure = new RelinkableHandle <YieldTermStructure>();
IborIndex libor3m = new USDLibor(new Period(3, TimeUnit.Months), liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008), 0.0278625);
Schedule floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005),
new Date(21, Month.October, 2010), new Period(Frequency.Quarterly),
new UnitedStates(UnitedStates.Market.NYSE),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, true);
FloatingRateBond floatingRateBond = new FloatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
// Gearings
new List <double>()
{
1.0
},
// Spreads
new List <double>()
{
0.001
},
// Caps
new List <double?>(),
// Floors
new List <double?>(),
// Fixing in arrears
true,
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
IborCouponPricer pricer = new BlackIborCouponPricer();
// optionLet volatilities
double volatility = 0.0;
Handle <OptionletVolatilityStructure> vol;
vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(
settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
pricer.setCapletVolatility(vol);
Utils.setCouponPricer(floatingRateBond.cashflows(), pricer);
// Yield curve bootstrapping
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
// We are using the depo & swap curve to estimate the future Libor rates
liborTermStructure.linkTo(depoSwapTermStructure);
/***************
* BOND PRICING *
****************/
// write column headings
int[] widths = { 18, 10, 10, 10 };
Console.WriteLine("{0,18}{1,10}{2,10}{3,10}", "", "ZC", "Fixed", "Floating");
int width = widths[0]
+ widths[1]
+ widths[2]
+ widths[3];
string rule = "".PadLeft(width, '-'), dblrule = "".PadLeft(width, '=');
string tab = "".PadLeft(8, ' ');
Console.WriteLine(rule);
Console.WriteLine("Net present value".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.NPV(),
fixedRateBond.NPV(),
floatingRateBond.NPV());
Console.WriteLine("Clean price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.cleanPrice(),
fixedRateBond.cleanPrice(),
floatingRateBond.cleanPrice());
Console.WriteLine("Dirty price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.dirtyPrice(),
fixedRateBond.dirtyPrice(),
floatingRateBond.dirtyPrice());
Console.WriteLine("Accrued coupon".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.accruedAmount(),
fixedRateBond.accruedAmount(),
floatingRateBond.accruedAmount());
Console.WriteLine("Previous coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.previousCouponRate(),
floatingRateBond.previousCouponRate());
Console.WriteLine("Next coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.nextCouponRate(),
floatingRateBond.nextCouponRate());
Console.WriteLine("Yield".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual));
Console.WriteLine();
// Other computations
Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
Console.WriteLine(rule);
Console.WriteLine("Yield to Clean Price: {0:n2}",
floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
Console.WriteLine("Clean Price to Yield: {0:0.00%}",
floatingRateBond.yield(floatingRateBond.cleanPrice(), new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
/* "Yield to Price"
* "Price to Yield" */
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testBootstrap()
{
// Testing Eonia-swap curve building...
CommonVars vars = new CommonVars();
List <RateHelper> eoniaHelpers = new List <RateHelper>();
List <RateHelper> swap3mHelpers = new List <RateHelper>();
IborIndex euribor3m = new Euribor3M();
Eonia eonia = new Eonia();
for (int i = 0; i < depositData.Length; i++)
{
double rate = 0.01 * depositData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period term = new Period(depositData[i].n, depositData[i].unit);
RateHelper helper = new DepositRateHelper(quote,
term,
depositData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
if (term <= new Period(2, TimeUnit.Days))
{
eoniaHelpers.Add(helper);
}
if (term <= new Period(3, TimeUnit.Months))
{
swap3mHelpers.Add(helper);
}
}
for (int i = 0; i < fraData.Length; i++)
{
double rate = 0.01 * fraData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
RateHelper helper = new FraRateHelper(quote,
fraData[i].nExpiry,
fraData[i].nMaturity,
fraData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
swap3mHelpers.Add(helper);
}
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double rate = 0.01 * eoniaSwapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period term = new Period(eoniaSwapData[i].n, eoniaSwapData[i].unit);
RateHelper helper = new OISRateHelper(eoniaSwapData[i].settlementDays,
term,
quote,
eonia);
eoniaHelpers.Add(helper);
}
for (int i = 0; i < swapData.Length; i++)
{
double rate = 0.01 * swapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period tenor = new Period(swapData[i].nIndexUnits, swapData[i].indexUnit);
Period term = new Period(swapData[i].nTermUnits, swapData[i].termUnit);
RateHelper helper = new SwapRateHelper(quote,
term,
vars.calendar,
vars.fixedSwapFrequency,
vars.fixedSwapConvention,
vars.fixedSwapDayCount,
euribor3m);
if (tenor == new Period(3, TimeUnit.Months))
{
swap3mHelpers.Add(helper);
}
}
PiecewiseYieldCurve <Discount, LogLinear> eoniaTS = new PiecewiseYieldCurve <Discount, LogLinear>(vars.today,
eoniaHelpers,
new Actual365Fixed());
PiecewiseYieldCurve <Discount, LogLinear> swapTS = new PiecewiseYieldCurve <Discount, LogLinear>(vars.today,
swap3mHelpers,
new Actual365Fixed());
vars.eoniaTermStructure.linkTo(eoniaTS);
// test curve consistency
double tolerance = 1.0e-10;
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double expected = eoniaSwapData[i].rate;
Period term = new Period(eoniaSwapData[i].n, eoniaSwapData[i].unit);
OvernightIndexedSwap swap = vars.makeSwap(term, 0.0, 0.0);
double?calculated = 100.0 * swap.fairRate();
if (Math.Abs(expected - calculated.Value) > tolerance)
{
QAssert.Fail("curve inconsistency:\n"
+ " swap length: " + term + "\n"
+ " quoted rate: " + expected + "\n"
+ " calculated rate: " + calculated);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwapRateHelper obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwapRateHelper obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
static void Main(string[] args)
{
try
{
var timer = new System.Diagnostics.Stopwatch();
timer.Start();
#region MARKET DATA
var calendar = new TARGET();
var settlementDate = new Date(18, Month.September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 3;
uint settlementDays = 3;
var todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.instance().setEvaluationDate(todaysDate);
Console.WriteLine("Today: {0} {1} {2} {3}", todaysDate.weekday(), todaysDate.dayOfMonth(), todaysDate.month(), todaysDate.year());
Console.WriteLine("Settlement date: {0} {1} {2} {3}", settlementDate.weekday(), settlementDate.dayOfMonth(), settlementDate.month(), settlementDate.year());
// Building of the bonds discounting yield curve
#endregion
#region RATE HELPERS
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// Common data
// ZC rates for the short end
double zc3mQuote = 0.0096;
double zc6mQuote = 0.0145;
double zc1yQuote = 0.0194;
var zc3mRate = new SimpleQuote(zc3mQuote);
var zc6mRate = new SimpleQuote(zc6mQuote);
var zc1yRate = new SimpleQuote(zc1yQuote);
var zcBondsDayCounter = new Actual365Fixed();
var zc3m = new DepositRateHelper(new QuoteHandle(zc3mRate),
new Period(3, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
var zc6m = new DepositRateHelper(new QuoteHandle(zc6mRate),
new Period(6, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
var zc1y = new DepositRateHelper(new QuoteHandle(zc1yRate),
new Period(1, TimeUnit.Years),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
// setup bonds
double redemption = 100.0;
const uint numberOfBonds = 5;
var issueDates = new Date[] { new Date(15, Month.March, 2005),
new Date(15, Month.June, 2005),
new Date(30, Month.June, 2006),
new Date(15, Month.November, 2002),
new Date(15, Month.May, 1987) };
var maturities = new Date[] { new Date(31, Month.August, 2010),
new Date(31, Month.August, 2011),
new Date(31, Month.August, 2013),
new Date(15, Month.August, 2018),
new Date(15, Month.May, 2038) };
var couponRates = new double[] { 0.02375,
0.04625,
0.03125,
0.04000,
0.04500 };
var marketQuotes = new double[] { 100.390625,
106.21875,
100.59375,
101.6875,
102.140625 };
var quote = new QuoteVector((int)numberOfBonds);
for (uint i = 0; i < numberOfBonds; i++)
{
var cp = new SimpleQuote(marketQuotes[i]);
quote.Add(cp);
}
var quoteHandle = new RelinkableQuoteHandleVector((int)numberOfBonds);
for (int i = 0; i < (int)numberOfBonds; i++)
{
quoteHandle.Add(new RelinkableQuoteHandle());
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
var bondsHelpers = new RateHelperVector((int)numberOfBonds);
for (int i = 0; i < (int)numberOfBonds; i++)
{
var schedule = new Schedule(issueDates[i],
maturities[i],
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward,
false);
var bondHelper = new FixedRateBondHelper(quoteHandle[i],
settlementDays,
100.0,
schedule,
new DoubleVector(1)
{
couponRates[i]
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.Add(bondHelper);
}
#endregion
#region CURVE BUILDING
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
var termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
//double tolerance = 1.0e-15;
// A depo-bond curve
var bondInstruments = new RateHelperVector();
// Adding the ZC bonds to the curve for the short end
bondInstruments.Add(zc3m);
bondInstruments.Add(zc6m);
bondInstruments.Add(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (int i = 0; i < numberOfBonds; i++)
{
bondInstruments.Add(bondsHelpers[3]);
}
var bondDiscountingTermStructure = new PiecewiseFlatForward(settlementDate,
bondInstruments,
termStructureDayCounter);
// Building of the Libor forecasting curve
// deposits
double d1wQuote = 0.043375;
double d1mQuote = 0.031875;
double d3mQuote = 0.0320375;
double d6mQuote = 0.03385;
double d9mQuote = 0.0338125;
double d1yQuote = 0.0335125;
// swaps
double s2yQuote = 0.0295;
double s3yQuote = 0.0323;
double s5yQuote = 0.0359;
double s10yQuote = 0.0412;
double s15yQuote = 0.0433;
#endregion
#region QUOTES
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
var d1wRate = new SimpleQuote(d1wQuote);
var d1mRate = new SimpleQuote(d1mQuote);
var d3mRate = new SimpleQuote(d3mQuote);
var d6mRate = new SimpleQuote(d6mQuote);
var d9mRate = new SimpleQuote(d9mQuote);
var d1yRate = new SimpleQuote(d1yQuote);
// swaps
var s2yRate = new SimpleQuote(s2yQuote);
var s3yRate = new SimpleQuote(s3yQuote);
var s5yRate = new SimpleQuote(s5yQuote);
var s10yRate = new SimpleQuote(s10yQuote);
var s15yRate = new SimpleQuote(s15yQuote);
#endregion
#region RATE HELPERS
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
var depositDayCounter = new Actual360();
var d1w = new DepositRateHelper(new QuoteHandle(d1wRate),
new Period(1, TimeUnit.Weeks),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d1m = new DepositRateHelper(new QuoteHandle(d1mRate),
new Period(1, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d3m = new DepositRateHelper(new QuoteHandle(d3mRate),
new Period(3, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d6m = new DepositRateHelper(new QuoteHandle(d6mRate),
new Period(6, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d9m = new DepositRateHelper(new QuoteHandle(d9mRate),
new Period(9, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d1y = new DepositRateHelper(new QuoteHandle(d1yRate),
new Period(1, TimeUnit.Years),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
// setup swaps
var swFixedLegFrequency = Frequency.Annual;
var swFixedLegConvention = BusinessDayConvention.Unadjusted;
var swFixedLegDayCounter = new Thirty360(Thirty360.Convention.European);
var swFloatingLegIndex = new Euribor6M();
var forwardStart = new Period(1, TimeUnit.Days);
var s2y = new SwapRateHelper(new QuoteHandle(s2yRate),
new Period(2, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s3y = new SwapRateHelper(new QuoteHandle(s3yRate),
new Period(3, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s5y = new SwapRateHelper(new QuoteHandle(s5yRate),
new Period(5, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s10y = new SwapRateHelper(new QuoteHandle(s10yRate),
new Period(10, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s15y = new SwapRateHelper(new QuoteHandle(s15yRate),
new Period(15, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
#endregion
#region CURVE BUILDING
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
var depoSwapInstruments = new RateHelperVector();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
var depoSwapTermStructure = new PiecewiseFlatForward(settlementDate,
depoSwapInstruments,
termStructureDayCounter);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
var discountingTermStructure = new RelinkableYieldTermStructureHandle();
// the one used for forward rate forecasting
//var forecastingTermStructure = new RelinkableYieldTermStructureHandle();
#endregion
#region BONDS TO BE PRICED
// Common data
double faceAmount = 100;
// Pricing engine
var bondEngine = new DiscountingBondEngine(new YieldTermStructureHandle(bondDiscountingTermStructure));
// Zero coupon bond
var zeroCouponBond = new ZeroCouponBond(settlementDays,
new UnitedStates(UnitedStates.Market.GovernmentBond),
faceAmount,
new Date(15, Month.August, 2013),
BusinessDayConvention.Following,
116.92,
new Date(15, Month.August, 2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
var fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007),
new Date(15, Month.May, 2017),
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward,
false);
var fixedRateBond = new FixedRateBond((int)settlementDays,
faceAmount,
fixedBondSchedule,
new DoubleVector(1)
{
0.045
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.ModifiedFollowing,
100.0,
new Date(15, Month.May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
var liborTermStructure = new RelinkableYieldTermStructureHandle();
var libor3m = new USDLibor(new Period(3, TimeUnit.Months),
liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008), 0.0278625);
var floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005),
new Date(21, Month.October, 2010),
new Period(Frequency.Quarterly),
new UnitedStates(UnitedStates.Market.NYSE),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward,
true);
var floatingRateBond = new FloatingRateBond(settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
// Gearings
new DoubleVector(1)
{
1.0
},
// Spreads
new DoubleVector(1)
{
0.001
},
// Caps
new DoubleVector(),
// Floors
new DoubleVector(),
// Fixing in arrears
true,
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
var pricer = new BlackIborCouponPricer();
// optionLet volatilities
double volatility = 0.0;
var vol = new OptionletVolatilityStructureHandle(new ConstantOptionletVolatility(settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
pricer.setCapletVolatility(vol);
NQuantLibc.setCouponPricer(floatingRateBond.cashflows(), pricer);
// Yield curve bootstrapping
//forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
// We are using the depo & swap curve to estimate the future Libor rates
liborTermStructure.linkTo(depoSwapTermStructure);
#endregion
#region BOND PRICING
Console.WriteLine();
// write column headings
int[] widths = new int[] { 0, 28, 38, 48 };
Console.CursorLeft = widths[0]; Console.Write(" ");
Console.CursorLeft = widths[1]; Console.Write("ZC");
Console.CursorLeft = widths[2]; Console.Write("Fixed");
Console.CursorLeft = widths[3]; Console.WriteLine("Floating");
//string separator = " | ";
int width = widths[3];
string rule = new string('-', width);
string dblrule = new string('=', width);
string tab = new string(' ', 8);
Console.WriteLine(rule);
Console.CursorLeft = widths[0]; Console.Write("Net present value");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Clean price");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Dirty price");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Accrued coupon");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Previous coupon");
Console.CursorLeft = widths[1]; Console.Write("N/A");
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.previousCouponRate().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.previousCouponRate().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Next coupon");
Console.CursorLeft = widths[1]; Console.Write("N/A");
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.nextCouponRate().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.nextCouponRate().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Yield");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
double yield = fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual);
Console.CursorLeft = widths[2]; Console.Write(BondFunctions.duration(fixedRateBond, new InterestRate(yield, fixedRateBond.dayCounter(), Compounding.Compounded, Frequency.Annual), Duration.Type.Modified));
Console.WriteLine();
// Other computations
Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
Console.WriteLine(rule);
Console.WriteLine("Yield to Clean Price: {0}", floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual), new Actual360(), Compounding.Compounded, Frequency.Annual, settlementDate).ToString("000.00"));
Console.WriteLine("Clean Price to Yield: {0}", floatingRateBond.yield(floatingRateBond.cleanPrice(), new Actual360(), Compounding.Compounded, Frequency.Annual, settlementDate).ToString("000.00"));
/* "Yield to Price"
* "Price to Yield" */
double milliseconds = timer.ElapsedMilliseconds;
Console.WriteLine();
Console.WriteLine("Run completed in " + milliseconds + "ms");
#endregion
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
finally
{
Console.Read();
}
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(22, Month.September, 2004);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 2;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
todaysDate = Settings.evaluationDate();
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// deposits
double d1wQuote = 0.0382;
double d1mQuote = 0.0372;
double d3mQuote = 0.0363;
double d6mQuote = 0.0353;
double d9mQuote = 0.0348;
double d1yQuote = 0.0345;
// FRAs
double fra3x6Quote = 0.037125;
double fra6x9Quote = 0.037125;
double fra6x12Quote = 0.037125;
// futures
double fut1Quote = 96.2875;
double fut2Quote = 96.7875;
double fut3Quote = 96.9875;
double fut4Quote = 96.6875;
double fut5Quote = 96.4875;
double fut6Quote = 96.3875;
double fut7Quote = 96.2875;
double fut8Quote = 96.0875;
// swaps
double s2yQuote = 0.037125;
double s3yQuote = 0.0398;
double s5yQuote = 0.0443;
double s10yQuote = 0.05165;
double s15yQuote = 0.055175;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// FRAs
Quote fra3x6Rate = new SimpleQuote(fra3x6Quote);
Quote fra6x9Rate = new SimpleQuote(fra6x9Quote);
Quote fra6x12Rate = new SimpleQuote(fra6x12Quote);
// futures
Quote fut1Price = new SimpleQuote(fut1Quote);
Quote fut2Price = new SimpleQuote(fut2Quote);
Quote fut3Price = new SimpleQuote(fut3Quote);
Quote fut4Price = new SimpleQuote(fut4Quote);
Quote fut5Price = new SimpleQuote(fut5Quote);
Quote fut6Price = new SimpleQuote(fut6Quote);
Quote fut7Price = new SimpleQuote(fut7Quote);
Quote fut8Price = new SimpleQuote(fut8Quote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(new Handle <Quote>(d1wRate), new Period(1, TimeUnit.Weeks),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(new Handle <Quote>(d1mRate), new Period(1, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(new Handle <Quote>(d3mRate), new Period(3, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(new Handle <Quote>(d6mRate), new Period(6, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(new Handle <Quote>(d9mRate), new Period(9, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(new Handle <Quote>(d1yRate), new Period(1, TimeUnit.Years),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup FRAs
RateHelper fra3x6 = new FraRateHelper(new Handle <Quote>(fra3x6Rate), 3, 6, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x9 = new FraRateHelper(new Handle <Quote>(fra6x9Rate), 6, 9, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x12 = new FraRateHelper(new Handle <Quote>(fra6x12Rate), 6, 12, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup futures
// Handle<Quote> convexityAdjustment = new Handle<Quote>(new SimpleQuote(0.0));
int futMonths = 3;
Date imm = IMM.nextDate(settlementDate);
RateHelper fut1 = new FuturesRateHelper(new Handle <Quote>(fut1Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut2 = new FuturesRateHelper(new Handle <Quote>(fut2Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut3 = new FuturesRateHelper(new Handle <Quote>(fut3Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut4 = new FuturesRateHelper(new Handle <Quote>(fut4Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut5 = new FuturesRateHelper(new Handle <Quote>(fut5Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut6 = new FuturesRateHelper(new Handle <Quote>(fut6Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut7 = new FuturesRateHelper(new Handle <Quote>(fut7Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut8 = new FuturesRateHelper(new Handle <Quote>(fut8Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency = Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
RateHelper s2y = new SwapRateHelper(new Handle <Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s3y = new SwapRateHelper(new Handle <Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s5y = new SwapRateHelper(new Handle <Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s10y = new SwapRateHelper(new Handle <Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s15y = new SwapRateHelper(new Handle <Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-swap curve
List <RateHelper> depoSwapInstruments = new List <RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoSwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// A depo-futures-swap curve
List <RateHelper> depoFutSwapInstruments = new List <RateHelper>();
depoFutSwapInstruments.Add(d1w);
depoFutSwapInstruments.Add(d1m);
depoFutSwapInstruments.Add(fut1);
depoFutSwapInstruments.Add(fut2);
depoFutSwapInstruments.Add(fut3);
depoFutSwapInstruments.Add(fut4);
depoFutSwapInstruments.Add(fut5);
depoFutSwapInstruments.Add(fut6);
depoFutSwapInstruments.Add(fut7);
depoFutSwapInstruments.Add(fut8);
depoFutSwapInstruments.Add(s3y);
depoFutSwapInstruments.Add(s5y);
depoFutSwapInstruments.Add(s10y);
depoFutSwapInstruments.Add(s15y);
YieldTermStructure depoFutSwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoFutSwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// A depo-FRA-swap curve
List <RateHelper> depoFRASwapInstruments = new List <RateHelper>();
depoFRASwapInstruments.Add(d1w);
depoFRASwapInstruments.Add(d1m);
depoFRASwapInstruments.Add(d3m);
depoFRASwapInstruments.Add(fra3x6);
depoFRASwapInstruments.Add(fra6x9);
depoFRASwapInstruments.Add(fra6x12);
depoFRASwapInstruments.Add(s2y);
depoFRASwapInstruments.Add(s3y);
depoFRASwapInstruments.Add(s5y);
depoFRASwapInstruments.Add(s10y);
depoFRASwapInstruments.Add(s15y);
YieldTermStructure depoFRASwapTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, depoFRASwapInstruments, termStructureDayCounter, new List <Handle <Quote> >(), new List <Date>(), tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle <YieldTermStructure> discountingTermStructure = new RelinkableHandle <YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle <YieldTermStructure> forecastingTermStructure = new RelinkableHandle <YieldTermStructure>();
/*********************
* SWAPS TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Frequency.Annual;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
double fixedRate = 0.04;
DayCounter floatingLegDayCounter = new Actual360();
// floating leg
Frequency floatingLegFrequency = Frequency.Semiannual;
IborIndex euriborIndex = new Euribor6M(forecastingTermStructure);
double spread = 0.0;
int lenghtInYears = 5;
VanillaSwap.Type swapType = VanillaSwap.Type.Payer;
Date maturity = settlementDate + new Period(lenghtInYears, TimeUnit.Years);
Schedule fixedSchedule = new Schedule(settlementDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(settlementDate, maturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap spot5YearSwap = new VanillaSwap(swapType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread, floatingLegDayCounter);
Date fwdStart = calendar.advance(settlementDate, 1, TimeUnit.Years);
Date fwdMaturity = fwdStart + new Period(lenghtInYears, TimeUnit.Years);
Schedule fwdFixedSchedule = new Schedule(fwdStart, fwdMaturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule fwdFloatSchedule = new Schedule(fwdStart, fwdMaturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap oneYearForward5YearSwap = new VanillaSwap(swapType, nominal, fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread, floatingLegDayCounter);
/***************
* SWAP PRICING *
****************/
// utilities for reporting
List <string> headers = new List <string>();
headers.Add("term structure");
headers.Add("net present value");
headers.Add("fair spread");
headers.Add("fair fixed rate");
string separator = " | ";
int width = headers[0].Length + separator.Length
+ headers[1].Length + separator.Length
+ headers[2].Length + separator.Length
+ headers[3].Length + separator.Length - 1;
string rule = string.Format("").PadLeft(width, '-'), dblrule = string.Format("").PadLeft(width, '=');
string tab = string.Format("").PadLeft(8, ' ');
// calculations
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
double NPV;
double fairRate;
double fairSpread;
IPricingEngine swapEngine = new DiscountingSwapEngine(discountingTermStructure);
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
// Of course, you're not forced to really use different curves
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// let's check that the 5 years swap has been correctly re-priced
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yQuote) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yQuote));
}
Console.WriteLine(rule);
// now let's price the 1Y forward 5Y swap
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// now let's say that the 5-years swap rate goes up to 4.60%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we're using SimpleQuotes,
// we'll have to change the value manually--which forces us to
// downcast the handle and use the SimpleQuote
// interface. In any case, the point here is that a change in the
// value contained in the Quote triggers a new bootstrapping
// of the curve and a repricing of the swap.
SimpleQuote fiveYearsRate = s5yRate as SimpleQuote;
fiveYearsRate.setValue(0.0460);
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
// now get the updated results
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate - s5yRate.value()) < 1e-8))
{
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate - s5yRate.value()));
}
Console.WriteLine(rule);
// the 1Y forward 5Y swap changes as well
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}