// Fras
public ADouble ParFraRateAD(Fra fra)
{
Curve_AD fwdCurve = this.ADFwdCurveCollection.GetCurve(fra.ReferenceIndex);
ADouble rate = fwdCurve.FwdRate(fra.AsOf, fra.StartDate, fra.EndDate, fra.DayRule, fra.DayCount, Interpolation);
return(rate);
}
public ADouble FraNpvAD(Fra fra)
{
ADouble fraRate = ADFwdCurveCollection.GetCurve(fra.ReferenceIndex).FwdRate(fra.AsOf, fra.StartDate, fra.EndDate, fra.DayRule, fra.DayCount, Interpolation);
ADouble notional = fra.Notional;
ADouble discFactor = ADDiscCurve.DiscFactor(fra.AsOf, fra.EndDate, fra.DayCount, Interpolation);
ADouble coverage = DateHandling.Cvg(fra.StartDate, fra.EndDate, fra.DayCount);
return(fra.TradeSign * notional * discFactor * coverage * (fraRate - fra.FixedRate));
}
public double FraNpv(Fra fra)
{
double fraRate = FwdCurveCollection.GetCurve(fra.ReferenceIndex).FwdRate(fra.AsOf, fra.StartDate, fra.EndDate, fra.DayRule, fra.DayCount, Interpolation);
double notional = fra.Notional;
double discFactor = DiscCurve.DiscFactor(fra.AsOf, fra.StartDate, fra.DayCount, Interpolation); // Note from today and to startDate => Market FRA
double coverage = DateHandling.Cvg(fra.StartDate, fra.EndDate, fra.DayCount);
return(fra.TradeSign * notional * discFactor * coverage * (fraRate - fra.FixedRate));
}
public ADouble FuturesNpvAD(Futures future)
{
Fra fra = future.FraSameSpec;
ADouble fraRate = ParFraRateAD(fra);
ADouble notional = fra.Notional;
ADouble convexity = future.Convexity;
ADouble futuresRate = fraRate + convexity;
return(notional * (1.0 - futuresRate));
}
public double FuturesNpv(Futures future)
{
Fra fra = future.FraSameSpec;
double fraRate = ParFraRate(fra);
double notional = fra.Notional;
double convexity = future.Convexity;
double futuresRate = fraRate + convexity;
return(notional * (1 - futuresRate));
}
public Futures(Fra fra, double?convexity)
{
FraSameSpec = fra;
if (convexity == null)
{
Convexity = CalcSimpleConvexity(fra.AsOf, fra.StartDate, fra.EndDate, fra.DayCount);
}
else
{
Convexity = (double)convexity;
}
}
public Futures(DateTime asOf, DateTime startDate, DateTime endDate, CurveTenor referenceIndex, DayCount dayCount, DayRule dayRule, double fixedRate, double notional, int tradeSign, double?convexity = null)
{
FraSameSpec = new Fra(asOf, startDate, endDate, referenceIndex, dayCount, dayRule, fixedRate, notional, tradeSign);
if (convexity == null)
{
Convexity = CalcSimpleConvexity(asOf, startDate, endDate, dayCount);
}
else
{
Convexity = (double)convexity;
}
}
public Futures(DateTime asOf, string startTenor, string endTenor, CurveTenor referenceIndex, DayCount dayCount, DayRule dayRule, double fixedRate, double notional, int tradeSign, double?convexity = null)
{
DateTime startDate = DateHandling.AddTenorAdjust(asOf, startTenor, dayRule);
DateTime endDate = DateHandling.AddTenorAdjust(startDate, endTenor, dayRule);
FraSameSpec = new Fra(asOf, startDate, endDate, referenceIndex, dayCount, dayRule, fixedRate, notional, tradeSign);
if (convexity == null)
{
Convexity = CalcSimpleConvexity(asOf, startDate, endDate, dayCount);
}
else
{
Convexity = (double)convexity;
}
}
private void InterpretFuturesString(string instrumentString)
{
string identifier, type, currency, endTenor, settlementLag, floatPayFreq, floatFixingTenor, fwdTenor;
DayRule dayRule;
DayCount dayCount;
CurveTenor curveTenor;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
endTenor = infoArray[3];
settlementLag = infoArray[4];
dayRule = StrToEnum.DayRuleConvert(infoArray[5]);
floatPayFreq = infoArray[8];
floatFixingTenor = infoArray[9];
fwdTenor = infoArray[15];
dayCount = StrToEnum.DayCountConvert(infoArray[11]);
DateTime startDate, endDate;
try
{
startDate = Convert.ToDateTime(fwdTenor);
endDate = DateHandling.AddTenorAdjust(startDate, floatPayFreq, dayRule);
curveTenor = StrToEnum.CurveTenorFromSimpleTenor(floatPayFreq);
Fra fra = new MasterThesis.Fra(AsOf, startDate, endDate, curveTenor, dayCount, dayRule, _defaultFixedRate, _defaultNotional, _defaultTradeSign);
Futures[identifier] = new MasterThesis.Futures(fra, null);
CurvePointMap[identifier] = fra.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.FuturesRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Futures;
IdentifierStringMap[identifier] = instrumentString;
}
catch
{
// Ignore instrument
}
}
private void InterpretFraString(string instrumentString)
{
string identifier, type, currency, endTenor, settlementLag, floatPayFreq, floatFixingTenor, fwdTenor;
DayRule dayRule;
DayCount dayCount;
CurveTenor curveTenor;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
endTenor = infoArray[3];
settlementLag = infoArray[4];
dayRule = StrToEnum.DayRuleConvert(infoArray[5]);
floatPayFreq = infoArray[8];
floatFixingTenor = infoArray[9];
fwdTenor = infoArray[15];
dayCount = StrToEnum.DayCountConvert(infoArray[11]);
if (type == "DEPOSIT")
{
//handle deposits - only used for LIBOR discounting. Not implemented
}
else
{
// handle FRA
// Has to consider both FwdTenor and SettlementLag here..
curveTenor = StrToEnum.CurveTenorFromSimpleTenor(floatPayFreq);
Fra fra = new MasterThesis.Fra(AsOf, fwdTenor, endTenor, curveTenor, dayCount, dayRule, _defaultFixedRate, _defaultNotional, _defaultTradeSign);
Fras[identifier] = fra;
CurvePointMap[identifier] = fra.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.FraRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Fras;
IdentifierStringMap[identifier] = instrumentString;
}
}
