public void DemonstrateCreationOfFxForward()
{
// CREATE an Fx-Forward (that can then be upserted into LUSID)
var usdJpyFxRate = 109m; // Assume 1 USD is worth 109m as contract is struck. USD is domestic, JPY is foreign.
var fxForward = new FxForward(
domAmount: -1m,
fgnAmount: usdJpyFxRate,
domCcy: "USD",
fgnCcy: "JPY",
startDate: new DateTimeOffset(2020, 2, 7, 0, 0, 0, TimeSpan.Zero),
maturityDate: new DateTimeOffset(2020, 9, 18, 0, 0, 0, TimeSpan.Zero),
instrumentType: LusidInstrument.InstrumentTypeEnum.FxForward
);
// ASSERT that it was created
Assert.That(fxForward, Is.Not.Null);
// CAN NOW UPSERT TO LUSID
string uniqueId = "id-fxfwd-1";
UpsertOtcToLusid(fxForward, "some-name-for-this-fxforward", uniqueId);
// CAN NOW QUERY FROM LUSID
var retrieved = QueryOtcFromLusid(uniqueId);
Assert.That(retrieved.InstrumentType == LusidInstrument.InstrumentTypeEnum.FxForward);
var retrFxFwd = retrieved as FxForward;
Assert.That(retrFxFwd, Is.Not.Null);
Assert.That(retrFxFwd.DomAmount, Is.EqualTo(fxForward.DomAmount));
Assert.That(retrFxFwd.FgnAmount, Is.EqualTo(fxForward.FgnAmount));
Assert.That(retrFxFwd.DomCcy, Is.EqualTo(fxForward.DomCcy));
Assert.That(retrFxFwd.FgnCcy, Is.EqualTo(fxForward.FgnCcy));
}
public static object CreateFxForward(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Settle Date")] DateTime SettleDate,
[ExcelArgument(Description = "Domestic Currency")] string DomesticCcy,
[ExcelArgument(Description = "Foreign Currency")] string ForeignCcy,
[ExcelArgument(Description = "Domestic Notional")] double DomesticNotional,
[ExcelArgument(Description = "Strike")] double Strike,
[ExcelArgument(Description = "Foreign Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "Solve Curve name ")] string SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate)
{
return(ExcelHelper.Execute(_logger, () =>
{
var solvePillarDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(SettleDate.ToOADate()));
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(DomesticCcy, out var domesticCal);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ForeignCcy, out var foreignCal);
var product = new FxForward
{
DomesticCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy),
ForeignCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy),
DomesticQuantity = DomesticNotional,
DeliveryDate = SettleDate,
ForeignDiscountCurve = DiscountCurve,
SolveCurve = SolveCurve,
PillarDate = solvePillarDate,
Strike = Strike,
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
public override void Build(EngineFactory engineFactory)
{
Currency boughtCcy = Parsers.ParseCurrency(_boughtCurrency);
Currency soldCcy = Parsers.ParseCurrency(_soldCurrency);
Date maturityDate = Parsers.ParseDate(_maturityDate);
//QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxForward");
try
{
//DLOG("Build FxForward with maturity date " << QuantLib::io::iso_date(maturityDate));
QLNet.Instrument instrument = new FxForward(_boughtAmount, boughtCcy, _soldAmount, soldCcy, maturityDate, false);
//instrument_.reset(new VanillaInstrument(instrument));
_npvCurrency = _soldCurrency;
_notional = _soldAmount;
_maturity = maturityDate;
}
catch (Exception ex)
{
//_instrument.reset();
throw;
}
SimpleCashFlow cf1 = new SimpleCashFlow(_boughtAmount, maturityDate);
SimpleCashFlow cf2 = new SimpleCashFlow(_soldAmount, maturityDate);
_legs = new List <List <CashFlow> >()
{
new List <CashFlow> {
cf1, cf2
}
};
_legCurrencies = new List <string> {
_boughtCurrency, _soldCurrency
};
_legPayers = new List <bool> {
false, true
};
// set Pricing engine
EngineBuilder builder = engineFactory.Builder(_tradeType);
QLNet.Utils.QL_REQUIRE(builder != null, () => "No builder found for " + _tradeType);
FxForwardEngineBuilder fxBuilder = builder as FxForwardEngineBuilder;
_instrument.setPricingEngine(fxBuilder.Engine(boughtCcy, soldCcy));
//DLOG("FxForward leg 0: " << legs_[0][0]->date() << " " << legs_[0][0]->amount());
//DLOG("FxForward leg 1: " << legs_[1][0]->date() << " " << legs_[1][0]->amount());
}
public void ComplexerCurve()
{
var startDate = new DateTime(2016, 05, 20);
Frequency[] depoTenors = { 3.Months() };
Frequency[] OISdepoTenors = { 1.Bd() };
double[] depoPricesZAR = { 0.06 };
double[] depoPricesUSD = { 0.01 };
double[] OISdepoPricesZAR = { 0.055 };
double[] OISdepoPricesUSD = { 0.009 };
string[] FRATenors = { "3x6", "6x9", "9x12", "12x15", "15x18", "18x21", "21x24" };
double[] FRAPricesZAR = { 0.065, 0.07, 0.075, 0.077, 0.08, 0.081, 0.082 };
double[] FRAPricesUSD = { 0.012, 0.013, 0.014, 0.015, 0.016, 0.017, 0.018 };
Frequency[] swapTenors = { 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] swapPricesZAR = { 0.08, 0.083, 0.085, 0.087, 0.089, 0.091, 0.092, 0.093, 0.094, 0.097, 0.099, 0.099, 0.099 };
double[] swapPricesUSD = { 0.017, 0.018, 0.019, 0.020, 0.021, 0.022, 0.023, 0.024, 0.025, 0.026, 0.027, 0.028, 0.03 };
Frequency[] oisTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years(), 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] oisPricesZAR = { 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004, 0.004 };
double[] oisPricesUSD = { 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002, 0.002 };
var fxSpot = 14.0;
Frequency[] fxForwardTenors = { 3.Months(), 6.Months(), 1.Years(), 18.Months(), 2.Years(), 3.Years() };
double[] fxForwardPrices = { 14.10, 14.20, 14.40, 14.60, 14.80, 15.20 };
Frequency[] xcySwapTenors = { 4.Years(), 5.Years(), 6.Years(), 7.Years(), 8.Years(), 9.Years(), 10.Years(), 12.Years(), 15.Years(), 20.Years(), 25.Years(), 30.Years() };
double[] xcySwapPrices = { 0.0055, 0.0050, 0.0045, 0.0040, 0.0035, 0.0030, 0.0025, 0.0020, 0.0015, 0.0010, 0.0005, 0.0000 };
var ZARpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var ZARpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDates3m = ZARpillarDatesDepo.Union(ZARpillarDatesSwap).Union(ZARpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var ZARpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, JHB, x)).ToArray();
var ZARpillarDatesOIS = ZARpillarDatesDepoOIS.Union(ZARpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepo = depoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesFRA = FRATenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, new Frequency(x.Split('x')[1] + "M"))).ToArray();
var USDpillarDatesSwap = swapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDates3m = USDpillarDatesDepo.Union(USDpillarDatesSwap).Union(USDpillarDatesFRA).Distinct().OrderBy(x => x).ToArray();
var USDpillarDatesDepoOIS = OISdepoTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOISSwap = oisTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var USDpillarDatesOIS = USDpillarDatesDepoOIS.Union(USDpillarDatesOISSwap).Distinct().OrderBy(x => x).ToArray();
var fxForwardPillarDates = fxForwardTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var xcySwapDates = xcySwapTenors.Select(x => startDate.AddPeriod(RollType.MF, _usd, x)).ToArray();
var fxPillarDates = fxForwardPillarDates.Union(xcySwapDates).Distinct().OrderBy(x => x).ToArray();
var ZARswaps = new IrSwap[swapTenors.Length];
var ZARdepos = new IrSwap[depoTenors.Length];
var ZARdeposOIS = new IrSwap[OISdepoTenors.Length];
var ZARoisSwaps = new IrBasisSwap[oisTenors.Length];
var ZARFRAs = new ForwardRateAgreement[FRATenors.Length];
var USDswaps = new IrSwap[swapTenors.Length];
var USDdepos = new IrSwap[depoTenors.Length];
var USDdeposOIS = new IrSwap[OISdepoTenors.Length];
var USDoisSwaps = new IrBasisSwap[oisTenors.Length];
var USDFRAs = new ForwardRateAgreement[FRATenors.Length];
var fxForwards = new FxForward[fxForwardTenors.Length];
var xcySwaps = new XccyBasisSwap[xcySwapTenors.Length];
var FIC = new FundingInstrumentCollection(TestProviderHelper.CurrencyProvider);
for (var i = 0; i < FRATenors.Length; i++)
{
ZARFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesZAR[i], _zar3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARFRAs[i]);
USDFRAs[i] = new ForwardRateAgreement(startDate, FRATenors[i], FRAPricesUSD[i], usd3m, SwapPayReceiveType.Payer, FraDiscountingType.Isda, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDFRAs[i]);
}
for (var i = 0; i < oisTenors.Length; i++)
{
ZARoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesZAR[i], true, zaron, _zar3m, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARoisSwaps[i]);
USDoisSwaps[i] = new IrBasisSwap(startDate, oisTenors[i], oisPricesUSD[i], true, usdon, usd3m, "USD.LIBOR.3M", "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDoisSwaps[i]);
}
for (var i = 0; i < swapTenors.Length; i++)
{
ZARswaps[i] = new IrSwap(startDate, swapTenors[i], _zar3m, swapPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARswaps[i]);
USDswaps[i] = new IrSwap(startDate, swapTenors[i], usd3m, swapPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDswaps[i]);
}
for (var i = 0; i < depoTenors.Length; i++)
{
ZARdepos[i] = new IrSwap(startDate, depoTenors[i], _zar3m, depoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.JIBAR.3M", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.JIBAR.3M"
};
FIC.Add(ZARdepos[i]);
USDdepos[i] = new IrSwap(startDate, depoTenors[i], usd3m, depoPricesUSD[i], SwapPayReceiveType.Payer, "USD.LIBOR.3M", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.LIBOR.3M"
};
FIC.Add(USDdepos[i]);
}
for (var i = 0; i < OISdepoTenors.Length; i++)
{
ZARdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], zaron, OISdepoPricesZAR[i], SwapPayReceiveType.Payer, "ZAR.DISC.CSA_ZAR", "ZAR.DISC.CSA_ZAR")
{
SolveCurve = "ZAR.DISC.CSA_ZAR"
};
FIC.Add(ZARdeposOIS[i]);
USDdeposOIS[i] = new IrSwap(startDate, OISdepoTenors[i], usdon, OISdepoPricesUSD[i], SwapPayReceiveType.Payer, "USD.DISC.CSA_USD", "USD.DISC.CSA_USD")
{
SolveCurve = "USD.DISC.CSA_USD"
};
FIC.Add(USDdeposOIS[i]);
}
for (var i = 0; i < fxForwards.Length; i++)
{
fxForwards[i] = new FxForward
{
SolveCurve = "ZAR.DISC.CSA_USD",
DeliveryDate = fxForwardPillarDates[i],
DomesticCCY = ccyUsd,
ForeignCCY = ccyZar,
DomesticQuantity = 1e6 / fxForwardPrices[i],
Strike = fxForwardPrices[i],
ForeignDiscountCurve = "ZAR.DISC.CSA_USD",
};
FIC.Add(fxForwards[i]);
}
for (var i = 0; i < xcySwapTenors.Length; i++)
{
xcySwaps[i] = new XccyBasisSwap(startDate, xcySwapTenors[i], xcySwapPrices[i], true, usd3m, _zar3m, ExchangeType.Both, MTMSwapType.ReceiveNotionalFixed, "USD.LIBOR.3M", "ZAR.JIBAR.3M", "USD.DISC.CSA_USD", "ZAR.DISC.CSA_USD")
{
SolveCurve = "ZAR.DISC.CSA_USD"
};
FIC.Add(xcySwaps[i]);
}
var ZARcurve3m = new IrCurve(ZARpillarDates3m, new double[ZARpillarDates3m.Length], startDate, "ZAR.JIBAR.3M", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var ZARcurveOIS = new IrCurve(ZARpillarDatesOIS, new double[ZARpillarDatesOIS.Length], startDate, "ZAR.DISC.CSA_ZAR", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 0
};
var USDcurve3m = new IrCurve(USDpillarDates3m, new double[USDpillarDates3m.Length], startDate, "USD.LIBOR.3M", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var USDcurveOIS = new IrCurve(USDpillarDatesOIS, new double[USDpillarDatesOIS.Length], startDate, "USD.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyUsd)
{
SolveStage = 1
};
var fxCurve = new IrCurve(fxPillarDates, new double[fxPillarDates.Length], startDate, "ZAR.DISC.CSA_USD", Interpolator1DType.LinearFlatExtrap, ccyZar)
{
SolveStage = 2
};
var engine = new FundingModel(startDate, new IrCurve[] { ZARcurve3m, ZARcurveOIS, USDcurve3m, USDcurveOIS, fxCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var spotRates = new Dictionary <Currency, double>
{
{ ccyZar, fxSpot }
};
var fxPairs = new List <FxPair>
{
new FxPair {
Domestic = ccyUsd, Foreign = ccyZar, SettlementCalendar = _usd, SpotLag = new Frequency("2b")
}
};
var discountMap = new Dictionary <Currency, string>
{
{ ccyUsd, "USD.DISC.CSA_USD" },
{ ccyZar, "ZAR.DISC.CSA_USD" },
};
fxMatrix.Init(ccyUsd, startDate, spotRates, fxPairs, discountMap);
engine.SetupFx(fxMatrix);
var S = new NewtonRaphsonMultiCurveSolverStaged()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001,
MaxItterations = IsCoverageOnly ? 1 : 100,
};
S.Solve(engine, FIC);
if (!IsCoverageOnly)
{
foreach (var ins in FIC)
{
var pv = ins.Pv(engine, false);
Assert.Equal(0.0, pv, 7);
}
}
}
public static object CreateFxSwap(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value Date")] DateTime ValDate,
[ExcelArgument(Description = "Tenor")] string Tenor,
[ExcelArgument(Description = "Spot Price")] double SpotPrice,
[ExcelArgument(Description = "Domestic Currency")] string DomesticCcy,
[ExcelArgument(Description = "Foreign Currency")] string ForeignCcy,
[ExcelArgument(Description = "Domestic Notional")] double DomesticNotional,
[ExcelArgument(Description = "Swap Points")] double SwapPoints,
[ExcelArgument(Description = "Foreign Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "Solve Curve name ")] string SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate,
[ExcelArgument(Description = "Divisor, defualt 10,000")] object Divisor,
[ExcelArgument(Description = "Spot lag, defualt 2b")] object SpotLag)
{
return(ExcelHelper.Execute(_logger, () =>
{
var spotLag = SpotLag.OptionalExcel("2b");
var divisor = Divisor.OptionalExcel(10000.0);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(DomesticCcy, out var domesticCal);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ForeignCcy, out var foreignCal);
var domesticCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy);
var foreignCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy);
var pair = new FxPair()
{
Domestic = domesticCCY, Foreign = foreignCCY, SpotLag = new Frequency(spotLag), PrimaryCalendar = domesticCal, SecondaryCalendar = foreignCal
};
var SettleDate = new DateTime();
var SolveDate = new DateTime();
var fwd = SpotPrice;
switch (Tenor.ToUpper())
{
case "ON":
case "O/N":
case "OVERNIGHT":
SettleDate = ValDate.AddPeriod(RollType.F, domesticCal, 1.Bd());
SettleDate = SettleDate.IfHolidayRollForward(foreignCal);
var swapProduct = new FxSwap(SwapPoints, ValDate, SettleDate, DomesticNotional, ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy), ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy))
{
SolveCurve = SolveCurve,
PillarDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(SettleDate.ToOADate())),
};
return ExcelHelper.PushToCache(swapProduct, ObjectName);
case "T/N":
case "TN":
SettleDate = pair.SpotDate(ValDate).SubtractPeriod(RollType.P, domesticCal, 1.Bd());
var startDate = SettleDate.IfHolidayRollBack(foreignCal);
SolveDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(pair.SpotDate(ValDate).ToOADate()));
fwd -= SwapPoints / divisor;
break;
default:
SettleDate = pair.SpotDate(ValDate);
var rt = Tenor.EndsWith("M") || Tenor.EndsWith("Y") ? RollType.MF : RollType.F;
SettleDate = SettleDate.AddPeriod(rt, domesticCal, new Frequency(Tenor));
SettleDate = SettleDate.IfHolidayRollForward(foreignCal);
fwd += SwapPoints / divisor;
SolveDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(SettleDate.ToOADate()));;
break;
}
var product = new FxForward
{
DomesticCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy),
ForeignCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy),
DomesticQuantity = DomesticNotional,
DeliveryDate = SettleDate,
ForeignDiscountCurve = DiscountCurve,
SolveCurve = SolveCurve,
PillarDate = SolveDate,
Strike = fwd,
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
private (IAssetFxModel startModel, IAssetFxModel endModel, Portfolio portfolio) GenerateTestData()
{
Utils.Parallel.ParallelUtils.Instance.MultiThreaded = false;
var usd = TestProviderHelper.CurrencyProvider.GetCurrency("USD");
var zar = TestProviderHelper.CurrencyProvider.GetCurrency("ZAR");
var nyc = TestProviderHelper.CalendarProvider.Collection["NYC"];
var originDate = DateTime.Parse("2019-04-25");
var ins = new FxForward
{
TradeId = "TestA",
DeliveryDate = originDate.AddDays(30),
DomesticCCY = zar,
ForeignCCY = usd,
DomesticQuantity = 1e6,
Strike = 14,
ForeignDiscountCurve = "DISCO-USD"
};
var pf = new Portfolio {
Instruments = new List <IInstrument> {
ins
}
};
var discoUsd = new FlatIrCurve(0.02, usd, "DISCO-USD");
var discoZar = new FlatIrCurve(0.05, zar, "DISCO-ZAR");
var fxpairs = new List <FxPair>
{
new FxPair {
Domestic = usd, Foreign = zar, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
new FxPair {
Domestic = zar, Foreign = usd, PrimaryCalendar = nyc, SpotLag = 2.Bd()
},
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
fxMatrix.Init(zar, originDate, new Dictionary <Currency, double> {
{ usd, 14.0 }
}, fxpairs, new Dictionary <Currency, string> {
{ usd, "DISCO-USD" }, { zar, "DISCO-ZAR" }
});
var fModel = new FundingModel(originDate, new[] { discoUsd, discoZar }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var startModel = new AssetFxModel(originDate, fModel);
startModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
startModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
startModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
var endFModel = fModel.DeepClone();
endFModel.FxMatrix.SpotRates[usd] = 15;
var endModel = startModel.Clone(endFModel);
endModel.AddFixingDictionary("FakeAsset", new FixingDictionary());
endModel.AddPriceCurve("FakeAsset", new ConstantPriceCurve(100, originDate, TestProviderHelper.CurrencyProvider));
endModel.AddVolSurface("FakeAsset", new ConstantVolSurface(originDate, 1.00)
{
AssetId = "FakeAsset", Currency = usd
});
return(startModel, endModel, pf);
}
