public static void CapletVol20Y_InputInterp()
{
#region Data
// We load a set of data (not real)
DataForCapletExample1 d = new DataForCapletExample1();
double[] df = d.df();
double[] yf = d.yf();
double[] T = d.T();
double[] fwd = d.fwd();
double[] atmfwd = d.atmfwd();
double[] capVol = d.capVol();
double[] avT = d.avT();
double[] avcapVol = d.avcapVol();
#endregion
// All Data available
double[] CapletVol = Formula.CapletVolBootstrapping(T, df, fwd, yf, capVol, atmfwd);
// Cubic input
SimpleCubicInterpolator CubicInt = new SimpleCubicInterpolator(avT, avcapVol);
double[] cubicInterpCapVol = CubicInt.Curve(T);
double[] CapletVolCubicInput = Formula.CapletVolBootstrapping(T, df, fwd, yf, cubicInterpCapVol, atmfwd);
// Linear Input
LinearInterpolator LinearInt = new LinearInterpolator(avT, avcapVol);
double[] linearInterpCapVol = LinearInt.Curve(T);
double[] CapletVolLinearInput = Formula.CapletVolBootstrapping(T, df, fwd, yf, linearInterpCapVol, atmfwd);
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> CapletVol_ = new Vector <double>(CapletVol, 1);
Vector <double> CapletVolCubicInput_ = new Vector <double>(CapletVolCubicInput, 1);
Vector <double> CapletVolLinearInput_ = new Vector <double>(CapletVolLinearInput, 1);
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>()
{
"CapletVol All input", "CapVol Cubic Input", "CapVol Linear Input"
};
List <Vector <double> > yarrs = new List <Vector <double> >()
{
CapletVol_, CapletVolCubicInput_, CapletVolLinearInput_
};
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet Vol Input Interpolation", "Term", "Volatility");
#endregion
}
public static void MatrixCaplet()
{
#region Data
// We load a set of data (not real)
DataForCapletExample2 d = new DataForCapletExample2();
double[] df = d.df();
double[] yf = d.yf();
double[] T = d.T();
double[] avT = d.avT();
List <double[]> VolArr = d.VolArr();
double[] fwd = d.fwd();
double[] strike = d.strike();
List <double[]> VolSilos = new List <double[]>();
foreach (double[] cVol in VolArr)
{
LinearInterpolator LinearInt = new LinearInterpolator(avT, cVol);
VolSilos.Add(LinearInt.Curve(T));
}
#endregion
// Here you can change the MonoStrikeCaplet Builder
CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderPWC> B = new CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderPWC>(T, df, fwd, yf, avT, VolSilos, strike);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth> B = new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth>(T, df, fwd, yf, avT, VolSilos, strike);
// and more...
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>();
foreach (double myD in strike)
{
labels.Add(myD.ToString());
}
;
List <Vector <double> > yarrs = new List <Vector <double> >();
foreach (double[] arr in B.CapletVolMatrix)
{
yarrs.Add(new Vector <double>(arr, 1));
}
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet Vol Input Interpolation", "Term", "Volatility");
#endregion
}
public void Solve()
{
#region data
DataForCapletExample1 d = new DataForCapletExample1();
df = d.df();
yf = d.yf();
T = d.T();
fwd = d.fwd();
atmfwd = d.atmfwd();
x = d.avT(); // available maturity for market data
y = d.avcapVol(); // available Cap volatility from market
capPremium = new double[x.Length];
#endregion end data
double cP = 0.0;
// Calculate Cap price using Cap volatility available
for (int i = 0; i < x.Length; i++)
{
int maxJ = Array.IndexOf(T, x[i]); // right index
cP = 0.0;
for (int j = 0; j <= maxJ; j++)
{
cP += Formula.CapletBlack(T[j], yf[j], 1, atmfwd[maxJ], y[i], df[j], fwd[j]);
}
capPremium[i] = cP; // collecting values
}
#region Setting up minimisation
// Starting missing caplet vol guess
double[] VolGuess = Enumerable.Repeat(y[0], y.Length).ToArray();
double epsg = 0.000000000001; // original setting
double epsf = 0;
double epsx = 0;
int maxits = 0;
alglib.minlmstate state;
alglib.minlmreport rep;
// Number of equation to match
int NConstrains = x.Length;
// see alglib documentation
alglib.minlmcreatev(NConstrains, VolGuess, 0.000001, out state);
alglib.minlmsetcond(state, epsg, epsf, epsx, maxits);
alglib.minlmoptimize(state, function_fvec, null, null);
alglib.minlmresults(state, out VolGuess, out rep);
#endregion
// Minimisation Done!
// Uncomment to change interpolator
LinearInterpolator interp = new LinearInterpolator(x, VolGuess);
// SimpleCubicInterpolator interp = new SimpleCubicInterpolator(x, VolGuess);
double[] Vols = interp.Curve(T); // Vols from interpolator
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> CapVol = new Vector <double>(Vols, 1);
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>()
{
"CapVol"
};
List <Vector <double> > yarrs = new List <Vector <double> >()
{
CapVol
};
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet vs Cap Vol", "Term", "Volatility");
#endregion
}
public static void MatrixCapletWithRateCurve()
{
#region Inputs
// We load a set of data (not real)
DataForCapletExample2 d = new DataForCapletExample2();
RateSet rs = d.GetRateSet();
double[] T = d.T();
string[] avT = d.avTString();
List <double[]> VolArr = d.VolArr();
double[] strike = d.strike();
// We build our multi curve
SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> Curve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(rs, OneDimensionInterpolation.LogLinear); // discount curve
#endregion
#region Testing all available MonoStrikeCapletVolBuilder
// Uncomment one of these
CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderInputInterpLinear> B =
new CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderInputInterpLinear>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderInputInterpCubic> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderInputInterpCubic>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitStd> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitStd>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitPWL> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitPWL>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitCubic> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitCubic>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitFunct> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitFunct>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderPWC> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderPWC>(avT, Curve, strike, VolArr);
#endregion
List <double[]> VolSilos = B.CapletVolMatrix;
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>();
foreach (double myD in strike)
{
labels.Add(myD.ToString());
}
;
List <Vector <double> > yarrs = new List <Vector <double> >();
foreach (double[] arr in VolSilos)
{
yarrs.Add(new Vector <double>(arr, 1));
}
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet Vol Input Interpolation", "Term", "Volatility");
#endregion
}
public static void SimpleBootstrap20Y()
{
#region data
// We load a set of data (not real)
DataForCapletExample1 data1 = new DataForCapletExample1();
double[] df = data1.df();
double[] yf = data1.yf();
double[] T = data1.T();
int N = df.Length;
double[] fwd = new double[N];
double[] atmfwd = new double[N];
double[] capletVol = new double[N];
double[] capPrice = new double[N];
double df_ini = data1.df_ini;
double[] capVol = data1.capVol();
#endregion
// calculate fwd
fwd[0] = ((df_ini / df[0]) - 1) / yf[0];
for (int i = 1; i < df.Length; i++)
{
fwd[i] = ((df[i - 1] / df[i]) - 1) / yf[i];
}
// calculate ATM strike
double summ = 0.0;
for (int i = 0; i < df.Length; i++)
{
summ += yf[i] * df[i];
atmfwd[i] = (df_ini - df[i]) / summ;
}
double shorterCap = 0.0;
// calculate cap price using flat vol
for (int i = 0; i < N; i++)
{
shorterCap = 0.0;
for (int j = 0; j <= i; j++)
{
capPrice[i] += Formula.CapletBlack(T[j], yf[j], 100, atmfwd[i], capVol[i], df[j], fwd[j]);
}
for (int j = 0; j < i; j++)
{
shorterCap += Formula.CapletBlack(T[j], yf[j], 100, atmfwd[i], capletVol[j], df[j], fwd[j]);
}
NumMethod.myMethodDelegate fname =
s => capPrice[i] - shorterCap - Formula.CapletBlack(T[i], yf[i], 100, atmfwd[i], s, df[i], fwd[i]);
capletVol[i] = NumMethod.NewRapNum(fname, 0.20);
}
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> CapletVol = new Vector <double>(capletVol, 1);
Vector <double> CapVol = new Vector <double>(capVol, 1);
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>()
{
"CapletVol", "CapVol"
};
List <Vector <double> > yarrs = new List <Vector <double> >()
{
CapletVol, CapVol
};
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet vs Cap Vol", "Term", "Volatility");
#endregion
}
// 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
}