public void testFairRate()
{
Calendar calendar = new TARGET();
Date settlementDate = new Date(10, Month.Mar, 2010);
/*********************
* LOAN TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Frequency.Monthly;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention principalLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
double fixedRate = 0.04;
// Principal leg
Frequency pricipalLegFrequency = Frequency.Annual;
int lenghtInMonths = 3;
Loan.Type loanType = Loan.Type.Payer;
Date maturity = settlementDate + new Period(lenghtInMonths, TimeUnit.Years);
Schedule fixedSchedule = new Schedule(settlementDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule principalSchedule = new Schedule(settlementDate, maturity, new Period(pricipalLegFrequency),
calendar, principalLegConvention, principalLegConvention, DateGeneration.Rule.Forward, false);
Loan testLoan = new FixedLoan(loanType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter,
principalSchedule, principalLegConvention);
}
public MakeCash(Date startDate, Date endDate, double nominal)
{
startDate_ = startDate;
endDate_ = endDate;
nominal_ = nominal;
frequency_ = Frequency.Once;
type_ = Loan.Type.Loan;
amortising_ = Loan.Amortising.Bullet;
calendar_ = new TARGET();
convention_ = BusinessDayConvention.ModifiedFollowing;
dayCounter_ = new Actual365Fixed();
rule_ = DateGeneration.Rule.Forward;
endOfMonth_ = false;
}
public MakeCommercialPaper(Date startDate, Date endDate, double fixedRate, Frequency frequency)
{
startDate_ = startDate;
endDate_ = endDate;
fixedRate_ = fixedRate;
frequency_ = frequency;
type_ = Loan.Type.Loan;
amortising_ = Loan.Amortising.Bullet;
nominal_ = 1.0;
calendar_ = new TARGET();
convention_ = BusinessDayConvention.ModifiedFollowing;
dayCounter_ = new Actual365Fixed();
rule_ = DateGeneration.Rule.Forward;
endOfMonth_ = false;
}
public MakeFloatingLoan(Date startDate, Date endDate, double spread, Frequency frequency)
{
startDate_ = startDate;
endDate_ = endDate;
spread_ = spread;
frequency_ = frequency;
type_ = Loan.Type.Loan;
amortising_ = Loan.Amortising.Bullet;
nominal_ = 1.0;
calendar_ = new TARGET();
convention_ = BusinessDayConvention.ModifiedFollowing;
dayCounter_ = new Actual365Fixed();
rule_ = DateGeneration.Rule.Forward;
endOfMonth_ = false;
index_ = new IborIndex();
}
public MakeCash(Date startDate, Date endDate, double nominal)
{
startDate_ = startDate;
endDate_ = endDate;
nominal_ = nominal;
frequency_ = Frequency.Once;
type_ = Loan.Type.Loan;
amortising_ = Loan.Amortising.Bullet;
calendar_ = new TARGET();
convention_ = BusinessDayConvention.ModifiedFollowing;
dayCounter_ = new Actual365Fixed();
rule_ = DateGeneration.Rule.Forward;
endOfMonth_ = false;
//engine_ = new DiscountingSwapEngine(index.termStructure());
}
public MakeFixedLoan(Date startDate, Date endDate, double fixedRate, Frequency frequency)
{
startDate_ = startDate;
endDate_ = endDate;
fixedRate_ = fixedRate;
frequency_ = frequency;
type_ = Loan.Type.Loan;
amortising_ = Loan.Amortising.Bullet;
nominal_ = 1.0;
calendar_ = new TARGET();
convention_ = BusinessDayConvention.ModifiedFollowing;
dayCounter_ = new Actual365Fixed();
rule_ = DateGeneration.Rule.Forward;
endOfMonth_ = false;
//engine_ = new DiscountingSwapEngine(index.termStructure());
}
public CommercialPaper(Loan.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount, Schedule principalSchedule, BusinessDayConvention?paymentConvention)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = fixedSchedule_.businessDayConvention();
}
List <CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Discounting Pricipal
notionals_.Clear();
double n;
for (int i = 0; i < fixedLeg.Count; i++)
{
FixedRateCoupon c = (FixedRateCoupon)fixedLeg[i];
n = i > 0 ? notionals_.Last() : c.nominal();
notionals_.Add(n / (1 + (c.rate() * c.dayCounter().yearFraction(c.refPeriodStart, c.refPeriodEnd))));
}
// New Leg
List <CashFlow> discountedFixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Adjust Principal
Principal p0 = (Principal)principalLeg[0];
p0.setAmount(notionals_.Last());
legs_[0] = discountedFixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
public MakeFloatingLoan withType(Loan.Type type)
{
type_ = type;
return this;
}
public MakeFloatingLoan(Date startDate, Date endDate, double spread, Frequency frequency)
{
startDate_ = startDate;
endDate_ = endDate;
spread_ = spread;
frequency_ = frequency;
type_ = Loan.Type.Loan;
amortising_ = Loan.Amortising.Bullet;
nominal_ = 1.0;
calendar_ = new TARGET();
convention_ = BusinessDayConvention.ModifiedFollowing;
dayCounter_ = new Actual365Fixed();
rule_ = DateGeneration.Rule.Forward;
endOfMonth_ = false;
index_ = new IborIndex();
//engine_ = new DiscountingSwapEngine(index.termStructure());
}
public MakeFixedLoan withType(Loan.Type type)
{
type_ = type;
return this;
}
public MakeCommercialPaper withType(Loan.Type type)
{
type_ = type;
return this;
}
public MakeCash withType(Loan.Type type)
{
type_ = type;
return this;
}
public MakeFixedLoan withType(Loan.Type type)
{
type_ = type;
return(this);
}
public MakeCash withType(Loan.Type type)
{
type_ = type;
return(this);
}
public CommercialPaper(Loan.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount, Schedule principalSchedule, BusinessDayConvention? paymentConvention)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
paymentConvention_ = paymentConvention.Value;
else
paymentConvention_ = fixedSchedule_.businessDayConvention();
List<CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Discounting Pricipal
notionals_.Clear();
double n;
for (int i = 0; i < fixedLeg.Count; i++)
{
FixedRateCoupon c = (FixedRateCoupon)fixedLeg[i];
n = i > 0 ? notionals_.Last() : c.nominal();
notionals_.Add(n / (1 + (c.rate() * c.dayCounter().yearFraction(c.refPeriodStart, c.refPeriodEnd))));
}
// New Leg
List<CashFlow> discountedFixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Adjust Principal
Principal p0 = (Principal)principalLeg[0];
p0.setAmount(notionals_.Last());
legs_[0] = discountedFixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
public MakeCommercialPaper withType(Loan.Type type)
{
type_ = type;
return(this);
}
public MakeFloatingLoan withType(Loan.Type type)
{
type_ = type;
return(this);
}
