public ADouble OisSwapNpvAD(OisSwap swap, InterpMethod interpolation)
{
ADouble oisAnnuity = OisAnnuityAD(swap.FloatSchedule, interpolation);
double notional = swap.TradeSign * swap.Notional;
ADouble oisRate = OisRateSimpleAD(swap, interpolation);
return(notional * (oisRate - swap.FixedRate) * oisAnnuity);
}
public ADouble OisRateSimpleAD(OisSwap swap, InterpMethod interpolation)
{
// Simple calculation of par OIS rate. Holds only under the assumption
// that FRA's can be perfectly hedged by OIS zero coupon bonds.
ADouble annuity = OisAnnuityAD(swap.FixedSchedule, interpolation);
return((DiscFactor(swap.AsOf, swap.StartDate, swap.FixedSchedule.DayCount, interpolation) - DiscFactor(swap.AsOf, swap.EndDate, swap.FixedSchedule.DayCount, interpolation)) / annuity);
}
public double OisRateSimple(OisSwap swap, InterpMethod interpolation)
{
// Simple calculation of par OIS rate. Holds only under the assumption
// that FRA's can perfecetly hedge something.
double annuity = OisAnnuity(swap.FixedSchedule, interpolation);
DateTime asOf = swap.AsOf;
return((DiscFactor(asOf, swap.StartDate, swap.FixedSchedule.DayCount, interpolation) - DiscFactor(asOf, swap.EndDate, swap.FixedSchedule.DayCount, interpolation)) / annuity);
}
public ADouble OisRateAD(OisSwap swap, InterpMethod interpolation)
{
ADouble floatContribution = 0.0;
ADouble annuity = OisAnnuityAD(swap.FixedSchedule, interpolation);
DateTime asOf = swap.FloatSchedule.AsOf;
for (int i = 0; i < swap.FloatSchedule.AdjEndDates.Count; i++)
{
DateTime startDate = swap.FloatSchedule.AdjStartDates[i];
DateTime endDate = swap.FloatSchedule.AdjEndDates[i];
ADouble compoundedRate = OisCompoundedRateAD(asOf, startDate, endDate, swap.FloatSchedule.DayRule, swap.FloatSchedule.DayCount, interpolation);
ADouble discFactor = DiscFactor(asOf, endDate, swap.FixedSchedule.DayCount, interpolation);
ADouble coverage = DateHandling.Cvg(startDate, endDate, swap.FloatSchedule.DayCount);
floatContribution = floatContribution + discFactor * compoundedRate * coverage;
}
return(floatContribution / annuity);
}
// Overnight indexed swaps (More functionality is contained in the AD Curve class
public ADouble OisRateSimpleAD(OisSwap swap)
{
return(ADDiscCurve.OisRateSimpleAD(swap, Interpolation));
}
// Ois swaps (more functions are located under the Curve-classes)
public double OisRateSimple(OisSwap swap)
{
return(DiscCurve.OisRateSimple(swap, Interpolation));
}
private void InterpretSwapString(string instrumentString)
{
string identifier, type, currency, startTenor, endTenor, settlementLag, fixedFreq, floatFreq, referenceIndex;
DayRule dayRule;
DayCount floatDayCount, fixedDayCount;
CurveTenor floatTenor, fixedTenor;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
startTenor = infoArray[3];
endTenor = infoArray[4];
settlementLag = infoArray[5];
dayRule = StrToEnum.DayRuleConvert(infoArray[6]);
fixedFreq = infoArray[9];
floatFreq = infoArray[10];
referenceIndex = infoArray[12];
floatDayCount = StrToEnum.DayCountConvert(infoArray[14]);
fixedDayCount = StrToEnum.DayCountConvert(infoArray[13]);
floatTenor = StrToEnum.CurveTenorFromSimpleTenor(floatFreq);
fixedTenor = StrToEnum.CurveTenorFromSimpleTenor(fixedFreq);
DateTime startDate, endDate;
// Make sure to get fwd starting stuff right here...
if (DateHandling.StrIsConvertableToDate(startTenor))
{
startDate = Convert.ToDateTime(startTenor);
}
else
{
startDate = DateHandling.AddTenorAdjust(AsOf, settlementLag, dayRule);
}
if (DateHandling.StrIsConvertableToDate(endTenor))
{
endDate = Convert.ToDateTime(endTenor);
}
else
{
endDate = DateHandling.AddTenorAdjust(startDate, endTenor, dayRule);
}
try
{
if (referenceIndex == "EONIA")
{
// Handle OIS case
// Error with endTenor here and string parsing
// TEMPORARY
//settlementLag = "0D";
//dayRule = DayRule.F;
// This is a dirty hack to value deposits
if (identifier == "EUREONON" || identifier == "EUREONTN")
{
Deposit deposit = new Deposit(AsOf, startTenor, endTenor, settlementLag, _defaultFixedRate, floatDayCount, dayRule, _defaultNotional, _defaultTradeSign);
Deposits[identifier] = deposit;
CurvePointMap[identifier] = deposit.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.Deposit;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
else
{
OisSwap oisSwap = new OisSwap(AsOf, startTenor, endTenor, settlementLag, fixedDayCount, floatDayCount, dayRule, _defaultNotional, _defaultFixedRate, _defaultTradeSign);
OisSwaps[identifier] = oisSwap;
CurvePointMap[identifier] = oisSwap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.OisRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
}
else
{
// Handle non-OIS case
IrSwap swap = new IrSwap(AsOf, startDate, endDate, _defaultFixedRate, fixedTenor, floatTenor, fixedDayCount, floatDayCount, dayRule, dayRule, _defaultNotional, _defaultTradeSign, 0.0);
IrSwaps[identifier] = swap;
CurvePointMap[identifier] = swap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.ParSwapRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
}
catch
{
// Ignore instrument.
}
}