internal static global::System.Runtime.InteropServices.HandleRef getCPtr(Euribor3M obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void testCurveConsistency <T, I, B>(CommonVars vars, I interpolator, double tolerance)
where T : ITraits <YieldTermStructure>, new()
where I : IInterpolationFactory, new()
where B : IBootStrap <PiecewiseYieldCurve>, new()
{
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.instruments,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
RelinkableHandle <YieldTermStructure> curveHandle = new RelinkableHandle <YieldTermStructure>();
curveHandle.linkTo(vars.termStructure);
// check deposits
for (int i = 0; i < vars.deposits; i++)
{
Euribor index = new Euribor(new Period(vars.depositData[i].n, vars.depositData[i].units), curveHandle);
double expectedRate = vars.depositData[i].rate / 100,
estimatedRate = index.fixing(vars.today);
QAssert.IsTrue(Math.Abs(expectedRate - estimatedRate) < tolerance,
vars.depositData[i].n + " "
+ (vars.depositData[i].units == TimeUnit.Weeks ? "week(s)" : "month(s)")
+ " deposit:"
+ "\n estimated rate: " + estimatedRate
+ "\n expected rate: " + expectedRate);
}
// check swaps
IborIndex euribor6m = new Euribor6M(curveHandle);
for (int i = 0; i < vars.swaps; i++)
{
Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
VanillaSwap swap = new MakeVanillaSwap(tenor, euribor6m, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(new Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention);
double expectedRate = vars.swapData[i].rate / 100,
estimatedRate = swap.fairRate();
double error = Math.Abs(expectedRate - estimatedRate);
QAssert.IsTrue(error < tolerance,
vars.swapData[i].n + " year(s) swap:\n"
+ "\n estimated rate: " + estimatedRate
+ "\n expected rate: " + expectedRate
+ "\n error: " + error
+ "\n tolerance: " + tolerance);
}
// check bonds
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.bondHelpers,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
curveHandle.linkTo(vars.termStructure);
for (int i = 0; i < vars.bonds; i++)
{
Date maturity = vars.calendar.advance(vars.today, vars.bondData[i].n, vars.bondData[i].units);
Date issue = vars.calendar.advance(maturity, -vars.bondData[i].length, TimeUnit.Years);
List <double> coupons = new List <double>()
{
vars.bondData[i].coupon / 100.0
};
FixedRateBond bond = new FixedRateBond(vars.bondSettlementDays, 100.0,
vars.schedules[i], coupons,
vars.bondDayCounter, vars.bondConvention,
vars.bondRedemption, issue);
IPricingEngine bondEngine = new DiscountingBondEngine(curveHandle);
bond.setPricingEngine(bondEngine);
double expectedPrice = vars.bondData[i].price,
estimatedPrice = bond.cleanPrice();
QAssert.IsTrue(Math.Abs(expectedPrice - estimatedPrice) < tolerance,
i + 1 + " bond failure:" +
"\n estimated price: " + estimatedPrice +
"\n expected price: " + expectedPrice);
}
// check FRA
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.fraHelpers,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
curveHandle.linkTo(vars.termStructure);
IborIndex euribor3m = new Euribor3M(curveHandle);
for (int i = 0; i < vars.fras; i++)
{
Date start = vars.calendar.advance(vars.settlement,
vars.fraData[i].n,
vars.fraData[i].units,
euribor3m.businessDayConvention(),
euribor3m.endOfMonth());
Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
euribor3m.businessDayConvention(),
euribor3m.endOfMonth());
ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Type.Long, vars.fraData[i].rate / 100,
100.0, euribor3m, curveHandle);
double expectedRate = vars.fraData[i].rate / 100,
estimatedRate = fra.forwardRate().rate();
QAssert.IsTrue(Math.Abs(expectedRate - estimatedRate) < tolerance,
i + 1 + " FRA failure:" +
"\n estimated rate: " + estimatedRate +
"\n expected rate: " + expectedRate);
}
}
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)
{
QAssert.Fail("curve inconsistency:\n"
+ " swap length: " + term + "\n"
+ " quoted rate: " + expected + "\n"
+ " calculated rate: " + calculated);
}
}
}
// setup
public CommonVars()
{
// data
calendar = new TARGET();
settlementDays = 2;
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
fixedLegConvention = BusinessDayConvention.Unadjusted;
fixedLegFrequency = Frequency.Annual;
fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
bondSettlementDays = 3;
bondDayCounter = new ActualActual();
bondConvention = BusinessDayConvention.Following;
bondRedemption = 100.0;
bmaFrequency = Frequency.Quarterly;
bmaConvention = BusinessDayConvention.Following;
bmaDayCounter = new ActualActual();
deposits = depositData.Length;
fras = fraData.Length;
swaps = swapData.Length;
bonds = bondData.Length;
bmas = bmaData.Length;
// market elements
rates = new List <SimpleQuote>(deposits + swaps);
fraRates = new List <SimpleQuote>(fras);
prices = new List <SimpleQuote>(bonds);
fractions = new List <SimpleQuote>(bmas);
for (int i = 0; i < deposits; i++)
{
rates.Add(new SimpleQuote(depositData[i].rate / 100));
}
for (int i = 0; i < swaps; i++)
{
rates.Add(new SimpleQuote(swapData[i].rate / 100));
}
for (int i = 0; i < fras; i++)
{
fraRates.Add(new SimpleQuote(fraData[i].rate / 100));
}
for (int i = 0; i < bonds; i++)
{
prices.Add(new SimpleQuote(bondData[i].price));
}
for (int i = 0; i < bmas; i++)
{
fractions.Add(new SimpleQuote(bmaData[i].rate / 100));
}
// rate helpers
instruments = new List <RateHelper>(deposits + swaps);
fraHelpers = new List <RateHelper>(fras);
bondHelpers = new List <RateHelper>(bonds);
schedules = new List <Schedule>(bonds);
bmaHelpers = new List <RateHelper>(bmas);
IborIndex euribor6m = new Euribor6M();
for (int i = 0; i < deposits; i++)
{
Handle <Quote> r = new Handle <Quote>(rates[i]);
instruments.Add(new DepositRateHelper(r, new Period(depositData[i].n, depositData[i].units),
euribor6m.fixingDays(), calendar,
euribor6m.businessDayConvention(),
euribor6m.endOfMonth(),
euribor6m.dayCounter()));
}
for (int i = 0; i < swaps; i++)
{
Handle <Quote> r = new Handle <Quote>(rates[i + deposits]);
instruments.Add(new SwapRateHelper(r, new Period(swapData[i].n, swapData[i].units), calendar,
fixedLegFrequency, fixedLegConvention, fixedLegDayCounter, euribor6m));
}
Euribor3M euribor3m = new Euribor3M();
for (int i = 0; i < fras; i++)
{
Handle <Quote> r = new Handle <Quote>(fraRates[i]);
fraHelpers.Add(new FraRateHelper(r, fraData[i].n, fraData[i].n + 3,
euribor3m.fixingDays(),
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter()));
}
for (int i = 0; i < bonds; i++)
{
Handle <Quote> p = new Handle <Quote>(prices[i]);
Date maturity = calendar.advance(today, bondData[i].n, bondData[i].units);
Date issue = calendar.advance(maturity, -bondData[i].length, TimeUnit.Years);
List <double> coupons = new List <double>()
{
bondData[i].coupon / 100.0
};
schedules.Add(new Schedule(issue, maturity, new Period(bondData[i].frequency), calendar,
bondConvention, bondConvention, DateGeneration.Rule.Backward, false));
bondHelpers.Add(new FixedRateBondHelper(p, bondSettlementDays, bondRedemption, schedules[i],
coupons, bondDayCounter, bondConvention, bondRedemption, issue));
}
}
static void Main(string[] args)
{
try
{
DateTime timer = DateTime.Now;
Calendar calendar = new TARGET();
Date todaysDate = new Date(10, Month.March, 2004);
// must be a business day
todaysDate = calendar.adjust(todaysDate);
Settings.setEvaluationDate(todaysDate);
IborIndex yieldIndx = new Euribor3M();
int[] tenorsSwapMkt = { 5, 10, 15, 20, 25, 30 };
// rates ignoring counterparty risk:
double[] ratesSwapmkt = { .03249, .04074, .04463, .04675, .04775, .04811 };
List <RateHelper> swapHelpers = new List <RateHelper>();
for (int i = 0; i < tenorsSwapMkt.Length; i++)
{
swapHelpers.Add(new SwapRateHelper(new Handle <Quote>(new SimpleQuote(ratesSwapmkt[i])),
new Period(tenorsSwapMkt[i], TimeUnit.Years),
new TARGET(),
Frequency.Quarterly,
BusinessDayConvention.ModifiedFollowing,
new ActualActual(ActualActual.Convention.ISDA),
yieldIndx));
}
YieldTermStructure swapTS = new PiecewiseYieldCurve <Discount, LogLinear>(2, new TARGET(), swapHelpers,
new ActualActual(ActualActual.Convention.ISDA));
swapTS.enableExtrapolation();
IPricingEngine riskFreeEngine = new DiscountingSwapEngine(new Handle <YieldTermStructure>(swapTS));
List <Handle <DefaultProbabilityTermStructure> > defaultIntensityTS =
new List <Handle <DefaultProbabilityTermStructure> >();
int[] defaultTenors = { 0, 12, 36, 60, 84, 120, 180, 240, 300, 360 }; // months
// Three risk levels:
double[] intensitiesLow = { 0.0036, 0.0036, 0.0065, 0.0099, 0.0111, 0.0177, 0.0177, 0.0177, 0.0177, 0.0177, 0.0177 };
double[] intensitiesMedium = { 0.0202, 0.0202, 0.0231, 0.0266, 0.0278, 0.0349, 0.0349, 0.0349, 0.0349, 0.0349, 0.0349 };
double[] intensitiesHigh = { 0.0534, 0.0534, 0.0564, 0.06, 0.0614, 0.0696, 0.0696, 0.0696, 0.0696, 0.0696, 0.0696 };
// Recovery rates:
double ctptyRRLow = 0.4, ctptyRRMedium = 0.35, ctptyRRHigh = 0.3;
List <Date> defaultTSDates = new List <Date>();
List <double> intesitiesVLow = new List <double>(),
intesitiesVMedium = new List <double>(),
intesitiesVHigh = new List <double>();
for (int i = 0; i < defaultTenors.Length; i++)
{
defaultTSDates.Add(new TARGET().advance(todaysDate, new Period(defaultTenors[i], TimeUnit.Months)));
intesitiesVLow.Add(intensitiesLow[i]);
intesitiesVMedium.Add(intensitiesMedium[i]);
intesitiesVHigh.Add(intensitiesHigh[i]);
}
defaultIntensityTS.Add(new Handle <DefaultProbabilityTermStructure>(
new InterpolatedHazardRateCurve <BackwardFlat>(
defaultTSDates,
intesitiesVLow,
new Actual360(),
new TARGET())));
defaultIntensityTS.Add(new Handle <DefaultProbabilityTermStructure>(
new InterpolatedHazardRateCurve <BackwardFlat>(
defaultTSDates,
intesitiesVMedium,
new Actual360(),
new TARGET())));
defaultIntensityTS.Add(new Handle <DefaultProbabilityTermStructure>(
new InterpolatedHazardRateCurve <BackwardFlat>(
defaultTSDates,
intesitiesVHigh,
new Actual360(),
new TARGET())));
double blackVol = 0.15;
IPricingEngine ctptySwapCvaLow = new CounterpartyAdjSwapEngine(new Handle <YieldTermStructure>(swapTS),
blackVol, defaultIntensityTS[0], ctptyRRLow);
IPricingEngine ctptySwapCvaMedium = new CounterpartyAdjSwapEngine(new Handle <YieldTermStructure>(swapTS),
blackVol, defaultIntensityTS[1], ctptyRRMedium);
IPricingEngine ctptySwapCvaHigh = new CounterpartyAdjSwapEngine(new Handle <YieldTermStructure>(swapTS),
blackVol, defaultIntensityTS[2], ctptyRRHigh);
defaultIntensityTS[0].link.enableExtrapolation();
defaultIntensityTS[1].link.enableExtrapolation();
defaultIntensityTS[2].link.enableExtrapolation();
// SWAP RISKY REPRICE----------------------------------------------
// fixed leg
Frequency fixedLegFrequency = Frequency.Quarterly;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new ActualActual(ActualActual.Convention.ISDA);
DayCounter floatingLegDayCounter = new ActualActual(ActualActual.Convention.ISDA);
VanillaSwap.Type swapType =
//VanillaSwap::Receiver ;
VanillaSwap.Type.Payer;
IborIndex yieldIndxS = new Euribor3M(new Handle <YieldTermStructure>(swapTS));
List <VanillaSwap> riskySwaps = new List <VanillaSwap>();
for (int i = 0; i < tenorsSwapMkt.Length; i++)
{
riskySwaps.Add(new MakeVanillaSwap(new Period(tenorsSwapMkt[i], TimeUnit.Years),
yieldIndxS,
ratesSwapmkt[i],
new Period(0, TimeUnit.Days))
.withSettlementDays(2)
.withFixedLegDayCount(fixedLegDayCounter)
.withFixedLegTenor(new Period(fixedLegFrequency))
.withFixedLegConvention(fixedLegConvention)
.withFixedLegTerminationDateConvention(fixedLegConvention)
.withFixedLegCalendar(calendar)
.withFloatingLegCalendar(calendar)
.withNominal(100.0)
.withType(swapType).value());
}
Console.WriteLine("-- Correction in the contract fix rate in bp --");
/* The paper plots correction to be substracted, here is printed
* with its sign
*/
for (int i = 0; i < riskySwaps.Count; i++)
{
riskySwaps[i].setPricingEngine(riskFreeEngine);
// should recover the input here:
double nonRiskyFair = riskySwaps[i].fairRate();
Console.Write((tenorsSwapMkt[i]).ToString("0").PadLeft(6));
Console.Write(" | " + nonRiskyFair.ToString("P3").PadLeft(6));
// Low Risk:
riskySwaps[i].setPricingEngine(ctptySwapCvaLow);
Console.Write(" | " + (10000.0 * (riskySwaps[i].fairRate() - nonRiskyFair)).ToString("#0.00").PadLeft(6));
//cout << " | " << setw(6) << riskySwaps[i].NPV() ;
// Medium Risk:
riskySwaps[i].setPricingEngine(ctptySwapCvaMedium);
Console.Write(" | " + (10000.0 * (riskySwaps[i].fairRate() - nonRiskyFair)).ToString("#0.00").PadLeft(6));
//cout << " | " << setw(6) << riskySwaps[i].NPV() ;
riskySwaps[i].setPricingEngine(ctptySwapCvaHigh);
Console.Write(" | " + (10000.0 * (riskySwaps[i].fairRate() - nonRiskyFair)).ToString("#0.00").PadLeft(6));
//cout << " | " << setw(6) << riskySwaps[i].NPV() ;
Console.WriteLine();
}
Console.WriteLine();
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
catch (Exception e)
{
Console.Write(e.Message);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
}
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();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(Euribor3M obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
static void Main(string[] args)
{
double nominal = 575000000;
Date _marketDate;
Date _settlementDate;
Dictionary <string, double> _depositRates;
Dictionary <string, double> _swapRates;
List <RateHelper> _rateHelpers;
Calendar _calendar = new TARGET();
int _fixingDays = 2;
_marketDate = new Date(new DateTime(2015, 12, 17));
Settings.setEvaluationDate(_marketDate);
_depositRates = new Dictionary <string, double>();
_depositRates.Add("1M", 0.0045);
_depositRates.Add("3M", 0.0070);
_depositRates.Add("6M", 0.0090);
_swapRates = new Dictionary <string, double>();
_swapRates.Add("1Y", 0.0080);
_swapRates.Add("2Y", 0.0109);
_swapRates.Add("3Y", 0.0134);
_swapRates.Add("4Y", 0.0153);
_swapRates.Add("5Y", 0.0169);
_swapRates.Add("7Y", 0.0193);
_swapRates.Add("10Y", 0.0218);
_swapRates.Add("30Y", 0.0262);
_rateHelpers = new List <RateHelper>();
foreach (var v in _depositRates)
{
SimpleQuote sq = new SimpleQuote(v.Value);
_rateHelpers.Add(new DepositRateHelper(new Handle <Quote>(sq), new Period(v.Key),
_fixingDays, _calendar, BusinessDayConvention.ModifiedFollowing, true, new Actual360()));
}
foreach (var v in _swapRates)
{
SimpleQuote sq = new SimpleQuote(v.Value);
_rateHelpers.Add(new SwapRateHelper(new Handle <Quote>(sq), new Period(v.Key),
_calendar, Frequency.Semiannual, BusinessDayConvention.Unadjusted,
new Thirty360(Thirty360.Thirty360Convention.USA), new Euribor3M()));
}
_marketDate = _calendar.adjust(_marketDate);
_settlementDate = _calendar.advance(_marketDate, _fixingDays, TimeUnit.Days);
YieldTermStructure yieldTermStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
_settlementDate, _rateHelpers, new ActualActual(ActualActual.Convention.ISDA));
RelinkableHandle <YieldTermStructure> yieldTermStructureHandle = new RelinkableHandle <YieldTermStructure>();
Frequency fixedLegFrequency = Frequency.Semiannual;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.USA);
double fixedRate = 0.0144;
Frequency floatLegFrequency = Frequency.Quarterly;
BusinessDayConvention floatLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter floatLegDayCounter = new Actual360();
IborIndex iborIndex = new Euribor3M(yieldTermStructureHandle);
iborIndex.addFixing(new Date(18, Month.Aug, 2015), 0.0033285);
iborIndex.addFixing(new Date(18, Month.Nov, 2015), 0.0036960);
double floatSpread = 0.0;
VanillaSwap.Type swapType = VanillaSwap.Type.Receiver;
Date maturity = new Date(20, Month.Nov, 2018);
Date effective = new Date(20, Month.Nov, 2013);
Schedule fixedSchedule = new Schedule(effective, maturity, new Period(fixedLegFrequency), _calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(effective, maturity, new Period(floatLegFrequency), _calendar, floatLegConvention, floatLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap vanillaSwap = new VanillaSwap(swapType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatSchedule, iborIndex, floatSpread, floatLegDayCounter);
InterestRate interestRate = new InterestRate(fixedRate, fixedLegDayCounter, Compounding.Simple, fixedLegFrequency);
List <InterestRate> coupons = new List <InterestRate>();
for (int i = 0; i < fixedSchedule.Count; i++)
{
coupons.Add(interestRate);
}
FixedRateBond fixedBond = new FixedRateBond(_fixingDays, nominal, fixedSchedule, coupons, BusinessDayConvention.ModifiedFollowing);
FloatingRateBond floatBond = new FloatingRateBond(_fixingDays, nominal, floatSchedule, iborIndex, floatLegDayCounter);
IPricingEngine bondPricingEngine = new DiscountingBondEngine(yieldTermStructureHandle);
fixedBond.setPricingEngine(bondPricingEngine);
floatBond.setPricingEngine(bondPricingEngine);
IPricingEngine swapPricingEngine = new DiscountingSwapEngine(yieldTermStructureHandle);
vanillaSwap.setPricingEngine(swapPricingEngine);
yieldTermStructureHandle.linkTo(yieldTermStructure);
double swapNPV = vanillaSwap.NPV();
double swapFixedNPV = vanillaSwap.fixedLegNPV();
double swapFloatNPV = vanillaSwap.floatingLegNPV();
double bondFixedNPV = fixedBond.NPV();
double bondFloatNPV = floatBond.NPV();
int w = (swapType == VanillaSwap.Type.Receiver ? 1 : -1);
double asBondsMarketValue = w * (bondFixedNPV - bondFloatNPV);
double asBondsMarketValueNoAcc = w * (fixedBond.cleanPrice() - floatBond.cleanPrice()) / 100.0 * nominal;
double asBondsAccruedInterest = asBondsMarketValue - asBondsMarketValueNoAcc;
Console.WriteLine("Vanilla Swap Maket Value : {0:N}", swapNPV);
Console.WriteLine("As Bonds Market Value : {0:N}", asBondsMarketValue);
Console.WriteLine("As Bonds Market Value (no acc): {0:N}", asBondsMarketValueNoAcc);
Console.WriteLine("As Bonds Accrued Interest : {0:N}", asBondsAccruedInterest);
Date rollDate = new Date(1, Month.Nov, 2015);
double bondFixedCash = 0;
foreach (CashFlow cf in fixedBond.cashflows())
{
if (cf.date() > rollDate & cf.date() <= _marketDate)
{
bondFixedCash += cf.amount();
}
}
double bondFloatCash = 0;
foreach (CashFlow cf in floatBond.cashflows())
{
if (cf.date() > rollDate & cf.date() <= _marketDate)
{
bondFloatCash += cf.amount();
}
}
double asBondsCash = w * (bondFixedCash - bondFloatCash);
Console.WriteLine("As Bonds Settled Cash : {0:N}", asBondsCash);
}
