/// <summary>
/// Add extra dates to make sure that the minimum spacing is not too large to make the Monte Carlo errors bad.
/// <para/>
/// At this point the dates are all copied.
/// </summary>
public override void Prepare(Date anchorDate)
{
_anchorDate = anchorDate;
fM = date => _inputRate;
PM = date => Math.Exp(-_inputRate * (date - anchorDate) / 365.0);
double minStepSize = 20;
allDates.Insert(0, anchorDate);
allDates = allDates.Distinct().ToList();
allDates.Sort();
var newDates = new List <Date>();
newDates.Add(new Date(allDates[0]));
for (var i = 1; i < allDates.Count; i++)
{
var nSteps = (int)Math.Floor((allDates[i] - allDates[i - 1]) / minStepSize);
var days = (allDates[i] - allDates[i - 1]) / (nSteps + 1);
for (var j = 0; j < nSteps; j++)
{
newDates.Add(new Date(allDates[i - 1].AddTenor(Tenor.FromDays((j + 1) * days))));
}
newDates.Add(new Date(allDates[i]));
}
allDates = newDates;
allDatesDouble = allDates.Select(date => (double)date).ToArray();
}
public void TestCoordinatorAllData()
{
// Make the swap
var rate = 0.07;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.FromYears(5);
var swap = TestHelpers.CreateZARSwap(rate, payFixed, notional, startDate, tenor, TestHelpers.Jibar3M);
// Set up the model
var valueDate = new Date(2016, 9, 17);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.07;
var hullWiteSim = new HullWhite1F(TestHelpers.ZAR, a, vol, flatCurveRate, flatCurveRate);
hullWiteSim.AddForecast(TestHelpers.Jibar3M);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var date = valueDate;
var endDate = valueDate.AddTenor(tenor);
var fwdValueDates = new List <Date>();
while (date < endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.FromDays(10));
}
var allDetails = coordinator.GetValuePaths(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
allDetails.GetNames();
}
public void RateCurveCalibrator_CanCalibrateTwoCurves()
{
var instruments = new List <IRateCurveInstrument>();
var zarCsaCurveDescription = new DiscountingSourceDescription(_zar, new BankAccountNumeraire(_zar));
var jibarDiscountDescription = new DiscountingSourceDescription(_zar, _jibar3M);
instruments.Add(new DepoCurveInstrument(Tenor.FromMonths(3), 0.071, jibarDiscountDescription));
instruments.Add(new FixedFloatSwapCurveInstrument(Tenor.FromMonths(6), _jibar3M, 0.0, 0.07,
zarCsaCurveDescription, FixedFloatSwapCurveInstrument.CurveToStrip.Forecast));
instruments.Add(new FixedFloatSwapCurveInstrument(Tenor.FromYears(2), _jibar3M, 0.0, 0.07,
zarCsaCurveDescription, FixedFloatSwapCurveInstrument.CurveToStrip.Forecast));
instruments.Add(new DepoCurveInstrument(Tenor.FromDays(1), 0.06, zarCsaCurveDescription));
instruments.Add(new BasisSwapCurveInstrument(Tenor.FromYears(1), _jibar3M, _jibar1D, 0.0, 0.01,
zarCsaCurveDescription, BasisSwapCurveInstrument.CurveToStrip.DiscountCurve));
instruments.Add(new BasisSwapCurveInstrument(Tenor.FromYears(2), _jibar3M, _jibar1D, 0.0, 0.01,
zarCsaCurveDescription, BasisSwapCurveInstrument.CurveToStrip.DiscountCurve));
var calib = new RateCurveCalibrator(instruments, new MultiDimNewton(1e-8, 100),
zarCsaCurveDescription, new FloatRateIndex[] { _jibar1D },
jibarDiscountDescription, new FloatRateIndex[] { _jibar3M });
var mdc = new MarketDataContainer();
mdc.Set(calib);
calib.TryCalibrate(_calibrationDate, mdc);
var testValues = instruments.Select(inst => Math.Abs(inst.Objective()));
var maxTestValue = testValues.Max();
Assert.AreEqual(0.0, maxTestValue, 1e-8);
}
/// <summary>
/// Add extra dates to make sure that the minimum spacing is not too large to make the Monte Carlo errors bad.
/// <para/>
/// At this point the dates are all copied.
/// </summary>
public override void Prepare(Date anchorDate)
{
_anchorDate = anchorDate;
_fM = date => _inputRate;
_pm = date => Math.Exp(-_inputRate * (date - anchorDate) / 365.0);
double minStepSize = 20;
_allDates.Insert(0, anchorDate);
_allDates = _allDates.Distinct().ToList();
_allDates.Sort();
var newDates = new List<Date>();
newDates.Add(new Date(_allDates[0]));
for (var i = 1; i < _allDates.Count; i++)
{
var nSteps = (int) Math.Floor((_allDates[i] - _allDates[i - 1]) / minStepSize);
var days = (_allDates[i] - _allDates[i - 1]) / (nSteps + 1);
for (var j = 0; j < nSteps; j++)
newDates.Add(new Date(_allDates[i - 1].AddTenor(Tenor.FromDays((j + 1) * days))));
newDates.Add(new Date(_allDates[i]));
}
_allDates = newDates;
_allDatesDouble = _allDates.Select(date => (double) date).ToArray();
_dist = new NormalDistribution();
Generator.Seed = -1585814591; // This magic number is: "HW1FSimulator".GetHashCode();
}
private void SetDates()
{
_exDates = new List <Date>();
foreach (var couponDate in _couponDates)
{
if (couponDate > _firstCouponDate)
{
_exDates.Add(couponDate);
}
}
_exProducts = new List <IProduct>();
foreach (var couponDate in _couponDates)
{
if (couponDate > _firstCouponDate)
{
_exProducts.Add(new CashLeg(new[] { couponDate.AddTenor(Tenor.FromDays(1)) }, new[] { -_notional },
new[] { _currency }));
}
}
}
public void TestPhysicalSwaptionEPE()
{
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var exDate = new List <Date> {
new Date(2018, 9, 17)
};
// Couterparty has option to enter into a receive fixed swap
var physicalSwaption = new BermudanSwaption(swapPay, exDate, false);
var date = valueDate;
var endDate = valueDate.AddTenor(new Tenor(0, 0, 3, 5));
var fwdValueDates = new List <Date>();
while (date <= endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.FromDays(10));
}
var epe = coordinator.EPE(new Product[] { physicalSwaption }, valueDate, fwdValueDates.ToArray());
//Debug.WriteToFile(@"c:\dev\temp\ene_physicalswaption_HW.csv", epe);
}
public void TestCoordinatorEPESwap()
{
// Make the swap
var rate = 0.07;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.FromYears(5);
var swap = TestHelpers.CreateZARSwap(rate, payFixed, notional, startDate, tenor, TestHelpers.Jibar3M);
// Set up the model
var valueDate = new Date(2016, 9, 17);
var a = 0.05;
var vol = 0.005;
var flatCurveRate = 0.07;
var hullWiteSim = new HullWhite1F(TestHelpers.ZAR, a, vol, flatCurveRate, flatCurveRate);
hullWiteSim.AddForecast(TestHelpers.Jibar3M);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var date = valueDate;
var endDate = valueDate.AddTenor(tenor);
var fwdValueDates = new List <Date>();
while (date < endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.FromDays(10));
}
var epe = coordinator.EPE(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
//Debug.WriteToFile(@"c:\dev\temp\epe_rate08_vol005.csv", epe);
Assert.AreEqual(2560, epe[0], 100.0);
Assert.AreEqual(6630, epe[90], 100.0);
Assert.AreEqual(734, epe[182], 30);
}