public FixedFloatSwapCurveInstrument(Tenor tenor, FloatRateIndex index, double spread, double fixedRate,
DiscountingSourceDescription discountCurveDescription, CurveToStrip curveToStrip)
{
_tenor = tenor;
_index = index;
_spread = spread;
_fixedRate = fixedRate;
_discountCurveDescription = discountCurveDescription;
switch (curveToStrip)
{
case CurveToStrip.Forecast:
{
_nameOfCurveToStrip = new FloatingRateSourceDescription(index).Name;
break;
}
case CurveToStrip.Discount:
{
_nameOfCurveToStrip = _discountCurveDescription.Name;
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(curveToStrip), curveToStrip, null);
}
}
public FloatingRateSourceFromDiscountCalibrator(DiscountingSourceDescription baseCurveDescription,
FloatRateIndex index)
{
_baseCurveDescription = baseCurveDescription;
_index = index;
_name = new FloatingRateSourceDescription(index).Name;
}
public BasisSwapCurveInstrument(Tenor tenor, FloatRateIndex leg1Index, FloatRateIndex leg2Index,
double leg1Spread,
double leg2Spread, DiscountingSourceDescription discountCurveDescription, CurveToStrip curveToStrip)
{
_tenor = tenor;
_leg1Index = leg1Index;
_leg2Index = leg2Index;
_leg1Spread = leg1Spread;
_leg2Spread = leg2Spread;
_discountCurveDescription = discountCurveDescription;
switch (curveToStrip)
{
case CurveToStrip.Leg1Forecast:
{
_curveName = new FloatingRateSourceDescription(leg1Index).Name;
break;
}
case CurveToStrip.Leg2Forecast:
{
_curveName = new FloatingRateSourceDescription(leg2Index).Name;
break;
}
case CurveToStrip.DiscountCurve:
{
_curveName = _discountCurveDescription.Name;
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(curveToStrip), curveToStrip, null);
}
}
private DatesAndRates InitializeCurve(Date calibrationDate, InitialValueCollector initialValueCollector,
ObjectiveFunction objective, DiscountingSourceDescription curveToStrip,
IEnumerable <FloatRateIndex> indicesToBaseOffCurve)
{
if (curveToStrip == null)
{
return(null);
}
var curveNames = new List <string> {
curveToStrip.Name
};
var indices = indicesToBaseOffCurve.ToList();
curveNames.AddRange(
indices.Select(ind => new FloatingRateSourceDescription(ind).Name));
var initial = initialValueCollector.GetValues(curveNames);
var curve = new DatesAndRates(curveToStrip.Currency, calibrationDate,
initial.dates, initial.values);
foreach (var index in indices)
{
var name = new FloatingRateSourceDescription(index).Name;
_floatingRateSources[name] = new ForecastCurveFromDiscount(curve, index, null);
}
objective.AddCurve(curve, initial.values);
return(curve);
}
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>
/// Create a calibrator for a two curves and forecast curves based off each of them.
/// </summary>
/// <param name="instruments"></param>
/// <param name="rootFinder"></param>
/// <param name="curveToStrip"></param>
/// <param name="indicesToBaseOffDiscountCurve"></param>
/// <param name="secondCurveToStrip"></param>
/// <param name="indicesToBaseOffSecondCurve"></param>
public RateCurveCalibrator(List <IRateCurveInstrument> instruments, IVectorRootFinder rootFinder,
DiscountingSourceDescription curveToStrip, IEnumerable <FloatRateIndex> indicesToBaseOffDiscountCurve,
DiscountingSourceDescription secondCurveToStrip, IEnumerable <FloatRateIndex> indicesToBaseOffSecondCurve)
: this(instruments, rootFinder, curveToStrip, indicesToBaseOffDiscountCurve)
{
_secondCurveToStrip = secondCurveToStrip;
_indicesToBaseOffSecondCurve = indicesToBaseOffSecondCurve ??
throw new ArgumentNullException(nameof(indicesToBaseOffSecondCurve));
}
public void RateCurveCalibrator_CanCalibrateSingleCurve()
{
var instruments = new List <IRateCurveInstrument>();
var discountCurve = new DiscountingSourceDescription(TestHelpers.ZAR);
instruments.Add(new DepoCurveInstrument(Tenor.FromMonths(1), 0.071, discountCurve));
instruments.Add(new DepoCurveInstrument(Tenor.FromMonths(3), 0.072, discountCurve));
instruments.Add(new DepoCurveInstrument(Tenor.FromMonths(6), 0.073, discountCurve));
instruments.Add(new FRACurveInstrument(Tenor.FromMonths(6), Tenor.FromMonths(9), TestHelpers.Jibar3M, 0.073));
var calib = new RateCurveCalibrator(instruments, new MultiDimNewton(1e-8, 100), discountCurve,
new FloatRateIndex[] { TestHelpers.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);
}
public DepoCurveInstrument(Tenor tenor, double simpleRate, DiscountingSourceDescription discountCurve)
{
_tenor = tenor;
_simpleRate = simpleRate;
_discountCurve = discountCurve;
}
