public void testBootstrap()
{
// Testing Eonia-swap curve building...
CommonVars vars = new CommonVars();
List<RateHelper> eoniaHelpers = new List<RateHelper>();
List<RateHelper> swap3mHelpers = new List<RateHelper>();
IborIndex euribor3m = new Euribor3M();
Eonia eonia = new Eonia();
for (int i = 0; i < depositData.Length; i++)
{
double rate = 0.01 * depositData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period term = new Period(depositData[i].n , depositData[i].unit);
RateHelper helper = new DepositRateHelper(quote,
term,
depositData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
if (term <= new Period(2,TimeUnit.Days))
eoniaHelpers.Add(helper);
if (term <= new Period(3,TimeUnit.Months))
swap3mHelpers.Add(helper);
}
for (int i = 0; i < fraData.Length; i++)
{
double rate = 0.01 * fraData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
RateHelper helper = new FraRateHelper(quote,
fraData[i].nExpiry,
fraData[i].nMaturity,
fraData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
swap3mHelpers.Add(helper);
}
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double rate = 0.01 * eoniaSwapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period term = new Period(eoniaSwapData[i].n , eoniaSwapData[i].unit);
RateHelper helper = new OISRateHelper(eoniaSwapData[i].settlementDays,
term,
quote,
eonia);
eoniaHelpers.Add(helper);
}
for (int i = 0; i < swapData.Length; i++)
{
double rate = 0.01 * swapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period tenor = new Period(swapData[i].nIndexUnits , swapData[i].indexUnit);
Period term = new Period(swapData[i].nTermUnits , swapData[i].termUnit);
RateHelper helper = new SwapRateHelper(quote,
term,
vars.calendar,
vars.fixedSwapFrequency,
vars.fixedSwapConvention,
vars.fixedSwapDayCount,
euribor3m);
if (tenor == new Period(3,TimeUnit.Months))
swap3mHelpers.Add(helper);
}
PiecewiseYieldCurve<Discount, LogLinear> eoniaTS = new PiecewiseYieldCurve<Discount, LogLinear>(vars.today,
eoniaHelpers,
new Actual365Fixed());
PiecewiseYieldCurve<Discount, LogLinear> swapTS = new PiecewiseYieldCurve<Discount, LogLinear>(vars.today,
swap3mHelpers,
new Actual365Fixed());
vars.eoniaTermStructure.linkTo(eoniaTS);
// test curve consistency
double tolerance = 1.0e-10;
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double expected = eoniaSwapData[i].rate;
Period term = new Period(eoniaSwapData[i].n , eoniaSwapData[i].unit);
OvernightIndexedSwap swap = vars.makeSwap(term, 0.0, 0.0);
double? calculated = 100.0 * swap.fairRate();
if (Math.Abs(expected-calculated.Value) > tolerance)
Assert.Fail("curve inconsistency:\n"
+ " swap length: " + term + "\n"
+ " quoted rate: " + expected + "\n"
+ " calculated rate: " + calculated);
}
}
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();
}