public void StripCrackedCurveSimple()
{
var buildDate = new DateTime(2018, 07, 28);
string[] periods = { "AUG18" };
double[] strikes = { -10 };
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var bPillars = new[] { buildDate, buildDate.AddDays(100) };
var brentCurve = new PriceCurve(buildDate, bPillars, new[] { 100.0, 100.0 }, PriceCurveType.Linear, TestProviderHelper.CurrencyProvider)
{
AssetId = "Brent"
};
var instruments = periods.Select((p, ix) =>
(IAssetInstrument)AssetProductFactory.CreateTermAsianBasisSwap(p, strikes[ix], "Brent", "Sing180", cal, cal, cal, 0.Bd(), usd, 0.Bd(), 0.Bd(), 1000, 1000 / 6.35))
.ToList();
var pillars = instruments.Select(x => ((AsianBasisSwap)x).RecSwaplets.Max(sq => sq.AverageEndDate)).ToList();
DateTime[] dPillars = { buildDate, buildDate.AddDays(1000) };
double[] dRates = { 0, 0 };
var discountCurve = new IrCurve(dPillars, dRates, buildDate, "zeroDiscount", Interpolator1DType.LinearFlatExtrap, usd);
var s = new NewtonRaphsonAssetBasisCurveSolver(TestProviderHelper.CurrencyProvider);
var curve = s.SolveCurve(instruments, pillars, discountCurve, brentCurve, buildDate, PriceCurveType.Linear);
Assert.Equal((100.0 - 10.0) * 6.35, curve.GetPriceForDate(buildDate));
Assert.Equal((100.0 - 10.0) * 6.35, curve.GetPriceForDate(buildDate.AddDays(50)));
}
public BasisPriceCurve(List <IAssetInstrument> instruments, List <DateTime> pillars, IIrCurve discountCurve, IPriceCurve baseCurve, DateTime buildDate, PriceCurveType curveType, ICurrencyProvider ccyProvider, List <string> pillarLabels = null)
{
Instruments = instruments;
Pillars = pillars;
DiscountCurve = discountCurve;
BaseCurve = baseCurve;
CurveType = curveType;
_ccyProvider = ccyProvider;
BuildDate = buildDate;
PillarLabels = pillarLabels ?? pillars.Select(x => x.ToString("yyyy-MM-dd")).ToList();
var solver = new NewtonRaphsonAssetBasisCurveSolver(_ccyProvider);
Curve = solver.SolveCurve(Instruments, Pillars, DiscountCurve, BaseCurve, BuildDate, CurveType);
}
public void StripCrackedCurve()
{
var buildDate = new DateTime(2018, 07, 28);
string[] futures = { "COV8", "COX8", "COZ8", "COF9", "COG9" };
double[] futuresPrices = { 77, 78, 79, 79.5, 79.75 };
string[] periods = { "AUG18", "SEP18", "OCT18", "NOV18" };
double[] strikes = { -10, -11, -12, -13 };
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var bPillars = futures.Select(x => FutureCode.GetExpiryFromCode(x, TestProviderHelper.FutureSettingsProvider)).ToArray();
var brentCurve = new PriceCurve(buildDate, bPillars, futuresPrices, PriceCurveType.ICE, TestProviderHelper.CurrencyProvider, futures)
{
AssetId = "Brent"
};
var instruments = periods.Select((p, ix) =>
(IAssetInstrument)AssetProductFactory.CreateTermAsianBasisSwap(p, strikes[ix], "Brent", "Sing180", cal, cal, cal, 0.Bd(), usd, 0.Bd(), 0.Bd(), 1000, 1000 / 6.35))
.ToList();
var pillars = instruments.Select(x => ((AsianBasisSwap)x).RecSwaplets.Max(sq => sq.AverageEndDate)).ToList();
DateTime[] dPillars = { buildDate, buildDate.AddDays(1000) };
double[] dRates = { 0, 0 };
var discountCurve = new IrCurve(dPillars, dRates, buildDate, "zeroDiscount", Interpolator1DType.LinearFlatExtrap, usd);
var s = new NewtonRaphsonAssetBasisCurveSolver(TestProviderHelper.CurrencyProvider);
if (IsCoverageOnly)
{
s.Tollerance = 1.0;
}
var curve = s.SolveCurve(instruments, pillars, discountCurve, brentCurve, buildDate, PriceCurveType.ICE);
if (!IsCoverageOnly)
{
for (var i = 0; i < instruments.Count; i++)
{
var resultPV = NewtonRaphsonAssetBasisCurveSolver.BasisSwapPv(curve, instruments[i], discountCurve, brentCurve);
Assert.Equal(0, resultPV, 6);
}
}
}
