public void LessComplexCurve()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _jhb, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _jhb, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var FIC = new FundingInstrumentCollection();
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.JIBAR.3M")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m });
var S = new NewtonRaphsonMultiCurveSolverStagedWithAnalyticJacobian();
//var S = new NewtonRaphsonMultiCurveSolverStaged();
S.Solve(engine, FIC);
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
}
public static object CreateFRA(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value date")] DateTime ValDate,
[ExcelArgument(Description = "FRA code e.g. 3X6")] string PeriodCode,
[ExcelArgument(Description = "Rate Index")] string RateIndex,
[ExcelArgument(Description = "Currency")] string Currency,
[ExcelArgument(Description = "Par Rate")] double ParRate,
[ExcelArgument(Description = "Notional")] double Notional,
[ExcelArgument(Description = "Forecast Curve")] string ForecastCurve,
[ExcelArgument(Description = "Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "DiscountingType")] object DiscountingType,
[ExcelArgument(Description = "Pay / Receive")] object PayRec,
[ExcelArgument(Description = "Solve Curve name ")] object SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var discType = DiscountingType.OptionalExcel("Isda");
var payRec = PayRec.OptionalExcel("Pay");
if (!ContainerStores.GetObjectCache <FloatRateIndex>().TryGetObject(RateIndex, out var rIndex))
{
_logger?.LogInformation("Rate index {index} not found in cache", RateIndex);
return $"Rate index {RateIndex} not found in cache";
}
if (!Enum.TryParse(payRec, out SwapPayReceiveType pType))
{
return $"Could not parse pay/rec - {payRec}";
}
if (!Enum.TryParse(discType, out FraDiscountingType fType))
{
return $"Could not parse FRA discounting type - {discType}";
}
ContainerStores.CurrencyProvider.TryGetCurrency(Currency, out var ccy);
var product = new ForwardRateAgreement(ValDate, PeriodCode, ParRate, rIndex.Value, pType, fType, ForecastCurve, DiscountCurve)
{
Notional = Notional,
TradeId = ObjectName,
SolveCurve = SolveCurve.OptionalExcel(rIndex.Name),
Currency = ccy
};
product.PillarDate = SolvePillarDate.OptionalExcel(product.FlowScheduleFra.Flows.Last().AccrualPeriodEnd);
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public void testCurveConsistency <T, I, B>(CommonVars vars, I interpolator, double tolerance)
where T : ITraits <YieldTermStructure>, new()
where I : IInterpolationFactory, new()
where B : IBootStrap <PiecewiseYieldCurve>, new()
{
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.instruments,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
RelinkableHandle <YieldTermStructure> curveHandle = new RelinkableHandle <YieldTermStructure>();
curveHandle.linkTo(vars.termStructure);
// check deposits
for (int i = 0; i < vars.deposits; i++)
{
Euribor index = new Euribor(new Period(vars.depositData[i].n, vars.depositData[i].units), curveHandle);
double expectedRate = vars.depositData[i].rate / 100,
estimatedRate = index.fixing(vars.today);
QAssert.IsTrue(Math.Abs(expectedRate - estimatedRate) < tolerance,
vars.depositData[i].n + " "
+ (vars.depositData[i].units == TimeUnit.Weeks ? "week(s)" : "month(s)")
+ " deposit:"
+ "\n estimated rate: " + estimatedRate
+ "\n expected rate: " + expectedRate);
}
// check swaps
IborIndex euribor6m = new Euribor6M(curveHandle);
for (int i = 0; i < vars.swaps; i++)
{
Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
VanillaSwap swap = new MakeVanillaSwap(tenor, euribor6m, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(new Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention);
double expectedRate = vars.swapData[i].rate / 100,
estimatedRate = swap.fairRate();
double error = Math.Abs(expectedRate - estimatedRate);
QAssert.IsTrue(error < tolerance,
vars.swapData[i].n + " year(s) swap:\n"
+ "\n estimated rate: " + estimatedRate
+ "\n expected rate: " + expectedRate
+ "\n error: " + error
+ "\n tolerance: " + tolerance);
}
// check bonds
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.bondHelpers,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
curveHandle.linkTo(vars.termStructure);
for (int i = 0; i < vars.bonds; i++)
{
Date maturity = vars.calendar.advance(vars.today, vars.bondData[i].n, vars.bondData[i].units);
Date issue = vars.calendar.advance(maturity, -vars.bondData[i].length, TimeUnit.Years);
List <double> coupons = new List <double>()
{
vars.bondData[i].coupon / 100.0
};
FixedRateBond bond = new FixedRateBond(vars.bondSettlementDays, 100.0,
vars.schedules[i], coupons,
vars.bondDayCounter, vars.bondConvention,
vars.bondRedemption, issue);
IPricingEngine bondEngine = new DiscountingBondEngine(curveHandle);
bond.setPricingEngine(bondEngine);
double expectedPrice = vars.bondData[i].price,
estimatedPrice = bond.cleanPrice();
QAssert.IsTrue(Math.Abs(expectedPrice - estimatedPrice) < tolerance,
i + 1 + " bond failure:" +
"\n estimated price: " + estimatedPrice +
"\n expected price: " + expectedPrice);
}
// check FRA
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.fraHelpers,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
curveHandle.linkTo(vars.termStructure);
IborIndex euribor3m = new Euribor3M(curveHandle);
for (int i = 0; i < vars.fras; i++)
{
Date start = vars.calendar.advance(vars.settlement,
vars.fraData[i].n,
vars.fraData[i].units,
euribor3m.businessDayConvention(),
euribor3m.endOfMonth());
Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
euribor3m.businessDayConvention(),
euribor3m.endOfMonth());
ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Type.Long, vars.fraData[i].rate / 100,
100.0, euribor3m, curveHandle);
double expectedRate = vars.fraData[i].rate / 100,
estimatedRate = fra.forwardRate().rate();
QAssert.IsTrue(Math.Abs(expectedRate - estimatedRate) < tolerance,
i + 1 + " FRA failure:" +
"\n estimated rate: " + estimatedRate +
"\n expected rate: " + expectedRate);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ForwardRateAgreement obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
static void Main()
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
RelinkableHandle <YieldTermStructure> euriborTermStructure = new RelinkableHandle <YieldTermStructure>();
IborIndex euribor3m = new Euribor3M(euriborTermStructure);
Date todaysDate = new Date(23, Month.May, 2006);
Settings.setEvaluationDate(todaysDate);
Calendar calendar = euribor3m.fixingCalendar();
int fixingDays = euribor3m.fixingDays();
Date settlementDate = calendar.advance(todaysDate, fixingDays, TimeUnit.Days);
Console.WriteLine("Today: " + todaysDate.DayOfWeek + ", " + todaysDate);
Console.WriteLine("Settlement date: " + settlementDate.DayOfWeek + ", " + settlementDate);
// 3 month term FRA quotes (index refers to monthsToStart)
double[] threeMonthFraQuote = new double[10];
threeMonthFraQuote[1] = 0.030;
threeMonthFraQuote[2] = 0.031;
threeMonthFraQuote[3] = 0.032;
threeMonthFraQuote[6] = 0.033;
threeMonthFraQuote[9] = 0.034;
/********************
*** 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.
// FRAs
SimpleQuote fra1x4Rate = new SimpleQuote(threeMonthFraQuote[1]);
SimpleQuote fra2x5Rate = new SimpleQuote(threeMonthFraQuote[2]);
SimpleQuote fra3x6Rate = new SimpleQuote(threeMonthFraQuote[3]);
SimpleQuote fra6x9Rate = new SimpleQuote(threeMonthFraQuote[6]);
SimpleQuote fra9x12Rate = new SimpleQuote(threeMonthFraQuote[9]);
RelinkableHandle <Quote> h1x4 = new RelinkableHandle <Quote>(); h1x4.linkTo(fra1x4Rate);
RelinkableHandle <Quote> h2x5 = new RelinkableHandle <Quote>(); h2x5.linkTo(fra2x5Rate);
RelinkableHandle <Quote> h3x6 = new RelinkableHandle <Quote>(); h3x6.linkTo(fra3x6Rate);
RelinkableHandle <Quote> h6x9 = new RelinkableHandle <Quote>(); h6x9.linkTo(fra6x9Rate);
RelinkableHandle <Quote> h9x12 = new RelinkableHandle <Quote>(); h9x12.linkTo(fra9x12Rate);
/*********************
*** 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.
DayCounter fraDayCounter = euribor3m.dayCounter();
BusinessDayConvention convention = euribor3m.businessDayConvention();
bool endOfMonth = euribor3m.endOfMonth();
RateHelper fra1x4 = new FraRateHelper(h1x4, 1, 4,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter);
RateHelper fra2x5 = new FraRateHelper(h2x5, 2, 5,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter);
RateHelper fra3x6 = new FraRateHelper(h3x6, 3, 6,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter);
RateHelper fra6x9 = new FraRateHelper(h6x9, 6, 9,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter);
RateHelper fra9x12 = new FraRateHelper(h9x12, 9, 12,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter);
/*********************
** 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 FRA curve
List <RateHelper> fraInstruments = new List <RateHelper>();
fraInstruments.Add(fra1x4);
fraInstruments.Add(fra2x5);
fraInstruments.Add(fra3x6);
fraInstruments.Add(fra6x9);
fraInstruments.Add(fra9x12);
YieldTermStructure fraTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
settlementDate, fraInstruments, termStructureDayCounter,
new List <Handle <Quote> >(), new List <Date>(), tolerance);
// Term structures used for pricing/discounting
RelinkableHandle <YieldTermStructure> discountingTermStructure = new RelinkableHandle <YieldTermStructure>();
discountingTermStructure.linkTo(fraTermStructure);
/***********************
*** construct FRA's ***
***********************/
Calendar fraCalendar = euribor3m.fixingCalendar();
BusinessDayConvention fraBusinessDayConvention = euribor3m.businessDayConvention();
Position.Type fraFwdType = Position.Type.Long;
double fraNotional = 100.0;
const int FraTermMonths = 3;
int[] monthsToStart = new [] { 1, 2, 3, 6, 9 };
euriborTermStructure.linkTo(fraTermStructure);
Console.WriteLine("\nTest FRA construction, NPV calculation, and FRA purchase\n");
int i;
for (i = 0; i < monthsToStart.Length; i++)
{
Date fraValueDate = fraCalendar.advance(
settlementDate, monthsToStart[i], TimeUnit.Months,
fraBusinessDayConvention);
Date fraMaturityDate = fraCalendar.advance(
fraValueDate, FraTermMonths, TimeUnit.Months,
fraBusinessDayConvention);
double fraStrikeRate = threeMonthFraQuote[monthsToStart[i]];
ForwardRateAgreement myFRA = new ForwardRateAgreement(fraValueDate, fraMaturityDate,
fraFwdType, fraStrikeRate,
fraNotional, euribor3m,
discountingTermStructure);
Console.WriteLine("3m Term FRA, Months to Start: " + monthsToStart[i]);
Console.WriteLine("strike FRA rate: {0:0.00%}", fraStrikeRate);
Console.WriteLine("FRA 3m forward rate: {0:0.00%}", myFRA.forwardRate());
Console.WriteLine("FRA market quote: {0:0.00%}", threeMonthFraQuote[monthsToStart[i]]);
Console.WriteLine("FRA spot value: " + myFRA.spotValue());
Console.WriteLine("FRA forward value: " + myFRA.forwardValue());
Console.WriteLine("FRA implied Yield: {0:0.00%}",
myFRA.impliedYield(myFRA.spotValue(), myFRA.forwardValue(), settlementDate, Compounding.Simple, fraDayCounter));
Console.WriteLine("market Zero Rate: {0:0.00%}",
discountingTermStructure.link.zeroRate(fraMaturityDate, fraDayCounter, Compounding.Simple));
Console.WriteLine("FRA NPV [should be zero]: {0}\n", myFRA.NPV());
}
Console.WriteLine("\n");
Console.WriteLine("Now take a 100 basis-point upward shift in FRA quotes and examine NPV\n");
const double BpsShift = 0.01;
threeMonthFraQuote[1] = 0.030 + BpsShift;
threeMonthFraQuote[2] = 0.031 + BpsShift;
threeMonthFraQuote[3] = 0.032 + BpsShift;
threeMonthFraQuote[6] = 0.033 + BpsShift;
threeMonthFraQuote[9] = 0.034 + BpsShift;
fra1x4Rate.setValue(threeMonthFraQuote[1]);
fra2x5Rate.setValue(threeMonthFraQuote[2]);
fra3x6Rate.setValue(threeMonthFraQuote[3]);
fra6x9Rate.setValue(threeMonthFraQuote[6]);
fra9x12Rate.setValue(threeMonthFraQuote[9]);
for (i = 0; i < monthsToStart.Length; i++)
{
Date fraValueDate = fraCalendar.advance(
settlementDate, monthsToStart[i], TimeUnit.Months,
fraBusinessDayConvention);
Date fraMaturityDate = fraCalendar.advance(
fraValueDate, FraTermMonths, TimeUnit.Months,
fraBusinessDayConvention);
double fraStrikeRate = threeMonthFraQuote[monthsToStart[i]] - BpsShift;
ForwardRateAgreement myFRA = new ForwardRateAgreement(fraValueDate, fraMaturityDate,
fraFwdType, fraStrikeRate,
fraNotional, euribor3m,
discountingTermStructure);
Console.WriteLine("3m Term FRA, 100 notional, Months to Start: " + monthsToStart[i]);
Console.WriteLine("strike FRA rate: {0:0.00%}", fraStrikeRate);
Console.WriteLine("FRA 3m forward rate: {0:0.00%}", myFRA.forwardRate());
Console.WriteLine("FRA market quote: {0:0.00%}", threeMonthFraQuote[monthsToStart[i]]);
Console.WriteLine("FRA spot value: " + myFRA.spotValue());
Console.WriteLine("FRA forward value: " + myFRA.forwardValue());
Console.WriteLine("FRA implied Yield: {0:0.00%}",
myFRA.impliedYield(myFRA.spotValue(), myFRA.forwardValue(), settlementDate, Compounding.Simple, fraDayCounter));
Console.WriteLine("market Zero Rate: {0:0.00%}",
discountingTermStructure.link.zeroRate(fraMaturityDate, fraDayCounter, Compounding.Simple));
Console.WriteLine("FRA NPV [should be positive]: {0}\n", myFRA.NPV());
}
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void BasicOisCurveSolving()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
double[] depoPrices = { 0.06 };
string[] FRATenors = { "3x6", "6x9", "9x12" };
double[] FRAPrices = { 0.065, 0.07, 0.075 };
var swapTenors = new Frequency[] { 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 7.Years(), 10.Years(), 15.Years(), 20.Years() };
double[] swapPrices = { 0.075, 0.08, 0.085, 0.09, 0.095, 0.0975, 0.098, 0.099, 0.1 };
var oisTenors = new Frequency[] { 3.Months(), 6.Months(), 1.Years(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 7.Years(), 10.Years(), 15.Years(), 20.Years() };
var oisPrices = new double[] { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
var pillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var pillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var pillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var pillarDates3m = pillarDatesDepo.Union(pillarDatesSwap).Union(pillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var pillarDatesOIS = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var swaps = new IrSwap[swapTenors.Length];
var depos = new IrSwap[depoTenors.Length];
var oisSwaps = new IrBasisSwap[oisTenors.Length];
var FRAs = new ForwardRateAgreement[FRATenors.Length];
var fic = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRAs.Length; i++)
{
FRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPrices[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(FRAs[i]);
}
for (var i = 0; i < oisSwaps.Length; i++)
{
oisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPrices[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.OIS.1B", "ZAR.OIS.1B");
fic.Add(oisSwaps[i]);
}
for (var i = 0; i < swaps.Length; i++)
{
swaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPrices[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(swaps[i]);
}
for (var i = 0; i < depos.Length; i++)
{
depos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPrices[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.OIS.1B");
fic.Add(depos[i]);
}
var curve3m = new IrCurve(pillarDates3m, new double[pillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar);
var curveOIS = new IrCurve(pillarDatesOIS, new double[pillarDatesOIS.Length], startDate, "ZAR.OIS.1B", Interpolator1DType.LinearFlatExtrap, ccyZar);
var model = new FundingModel(startDate, new IrCurve[] { curve3m, curveOIS }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var S = new NewtonRaphsonMultiCurveSolver
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(model, fic);
if (!IsCoverageOnly)
{
foreach (var ins in fic)
{
var pv = ins.Pv(model, false);
Assert.Equal(0.0, pv, 7);
}
}
}
public void ComplexerCurve()
{
var startDate = new DateTime(2016, 05, 20);
Frequency[] depoTenors = { 3.Months() };
Frequency[] OISdepoTenors = { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var fxSpot = 14.0;
Frequency[] fxForwardTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years() };
double[] fxForwardPrices = { 14.10, 14.20, 14.40, 14.60, 14.80, 15.20 };
Frequency[] xcySwapTenors = { 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] xcySwapPrices = { 0.0055, 0.0050, 0.0045, 0.0040, 0.0035, 0.0030, 0.0025, 0.0020, 0.0015, 0.0010, 0.0005, 0.0000 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var fxForwardPillarDates = fxForwardTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var xcySwapDates = xcySwapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var fxPillarDates = fxForwardPillarDates.Union(xcySwapDates).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var fxForwards = new FxForward[fxForwardTenors.Length];
var xcySwaps = new XccyBasisSwap[xcySwapTenors.Length];
var FIC = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, usdon, usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDoisSwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDdeposOIS[i]);
}
for (var i = 0; i < fxForwards.Length; i++)
{
fxForwards[i] = new FxForward
{
SolveCurve = "ZAR.DISC.CSA_USD",
DeliveryDate = fxForwardPillarDates[i],
DomesticCCY = ccyUsd,
ForeignCCY = ccyZar,
DomesticQuantity = 1e6 / fxForwardPrices[i],
Strike = fxForwardPrices[i],
ForeignDiscountCurve = "ZAR.DISC.CSA_USD",
};
FIC.Add(fxForwards[i]);
}
for (var i = 0; i < xcySwapTenors.Length; i++)
{
xcySwaps[i] = new XccyBasisSwap(startDate, xcySwapTenors[i], xcySwapPrices[i], true, usd3m, _zar3m, ExchangeType.Both, MTMSwapType.ReceiveNotionalFixed, "USD.LIBOR.3M", "ZAR.JIBAR.3M", "USD.DISC.CSA_USD", "ZAR.DISC.CSA_USD")
{
SolveCurve = "ZAR.DISC.CSA_USD"
};
FIC.Add(xcySwaps[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var fxCurve = new IrCurve(fxPillarDates, new double[fxPillarDates.Length], startDate, "ZAR.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 2
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS, fxCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var spotRates = new Dictionary <Currency, double>
{
{ ccyZar, fxSpot }
};
var fxPairs = new List <FxPair>
{
new FxPair {
Domestic = ccyUsd, Foreign = ccyZar, SettlementCalendar = _usd, SpotLag = new Frequency("2b")
}
};
var discountMap = new Dictionary <Currency, string>
{
{ ccyUsd, "USD.DISC.CSA_USD" },
{ ccyZar, "ZAR.DISC.CSA_USD" },
};
fxMatrix.Init(ccyUsd, startDate, spotRates, fxPairs, discountMap);
engine.SetupFx(fxMatrix);
var S = new NewtonRaphsonMultiCurveSolverStaged()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(engine, FIC);
if (!IsCoverageOnly)
{
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
}
}
public void ComplexCurve()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var FIC = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, usdon, usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDoisSwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDdeposOIS[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var ZARcurve3m0 = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS0 = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m0 = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS0 = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var engine0 = new FundingModel(startDate, new IrCurve[] { ZARcurve3m0, ZARcurveOIS0, USDcurve3m0, USDcurveOIS0 }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var S = new NewtonRaphsonMultiCurveSolverStagedWithAnalyticJacobian()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
var S0 = new NewtonRaphsonMultiCurveSolverStaged()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(engine, FIC);
S0.Solve(engine0, FIC);
if (!IsCoverageOnly)
{
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
foreach (var curve in engine.Curves)
{
var otherCurve = engine0.Curves[curve.Key];
Assert.Equal(curve.Value.NumberOfPillars, otherCurve.NumberOfPillars);
var otherRates = otherCurve.GetRates();
var rates = curve.Value.GetRates();
for (var i = 0; i < otherRates.Length; i++)
{
Assert.Equal(otherRates[i], rates[i], 10);
}
}
}
}
public static void Setup()
{
var startDate = new DateTime(2016, 05, 20);
var depoTenors = new Frequency[] { 3.Months() };
var OISdepoTenors = new Frequency[] { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
double[] crossxPrices = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._jhb, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, CurveDataSetup._usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var ccySwaps = new XccyBasisSwap[oisTenors.Length];
_instruments = new FundingInstrumentCollection();
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], CurveDataSetup._zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], CurveDataSetup.usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, CurveDataSetup.zaron, CurveDataSetup._zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
_instruments.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, CurveDataSetup.usdon, CurveDataSetup.usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
_instruments.Add(USDoisSwaps[i]);
ccySwaps[i] = new XccyBasisSwap(startDate, oisTenors[i], crossxPrices[i], true, CurveDataSetup.usd3m, CurveDataSetup._zar3m, ExchangeType.Both, MTMSwapType.ReceiveNotionalFixed, "USD.LIBOR.3M", "ZAR.JIBAR.3M", "USD.DISC.CSA_USD", "ZAR.DISC.CSA_USD");
//_instruments.Add(ccySwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], CurveDataSetup._zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], CurveDataSetup.usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], CurveDataSetup._zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
_instruments.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], CurveDataSetup.usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
_instruments.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], CurveDataSetup.zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
_instruments.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], CurveDataSetup.usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
_instruments.Add(USDdeposOIS[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap)
{
SolveStage = 1
};
// var ZARccyBasisCurve = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap) { SolveStage = 2 };
_fundingModel = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS });
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ForwardRateAgreement obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
