public void StripCoalSparse()
{
var startDate = new DateTime(2018, 07, 28);
string[] periods = { "AUG18", "SEP18", "Q4-18", "Q1-19", "Q2-19", "H2-19", "CAL-20", "CAL-21" };
double[] strikes = { 100, 99, 98, 97, 96, 95, 94, 93 };
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var xaf = TestProviderHelper.CurrencyProvider["XAF"];
var instruments = periods.Select((p, ix) =>
AssetProductFactory.CreateMonthlyAsianSwap(p, strikes[ix], "coalXXX", cal, cal, 0.Bd(), xaf, TradeDirection.Long, 0.Bd(), 1, DateGenerationType.Fridays)
).ToList();
var pillars = instruments.Select(x => x.Swaplets.Max(sq => sq.AverageEndDate)).ToList();
DateTime[] dPillars = { startDate, startDate.AddDays(1000) };
double[] dRates = { 0, 0 };
var discountCurve = new IrCurve(dPillars, dRates, startDate, "zeroDiscount", Interpolator1DType.LinearFlatExtrap, xaf);
var s = new NewtonRaphsonAssetCurveSolver()
{
Tollerance = IsCoverageOnly ? 1 : 0.00000001
};
var curve = s.Solve(instruments, pillars, discountCurve, startDate, TestProviderHelper.CurrencyProvider);
if (!IsCoverageOnly)
{
for (var i = 0; i < instruments.Count; i++)
{
var resultPV = NewtonRaphsonAssetCurveSolver.SwapPv(curve, instruments[i], discountCurve);
Assert.Equal(0, resultPV, 6);
}
}
}
public void AsianCompoSwap()
{
ParallelUtils.Instance.MultiThreaded = false;
var startDate = new DateTime(2018, 07, 28);
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var xaf = TestProviderHelper.CurrencyProvider["XAF"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var curvePillars = new[] { "1W", "1M", "3M", "6M", "1Y" };
var curvePillarDates = curvePillars.Select(l => startDate.AddPeriod(RollType.F, cal, new Frequency(l))).ToArray();
var curvePoints = new[] { 100.0, 100, 100, 100, 100 };
var curve = new BasicPriceCurve(startDate, curvePillarDates, curvePoints, PriceCurveType.LME, TestProviderHelper.CurrencyProvider, curvePillars)
{
Currency = usd,
CollateralSpec = "CURVE",
Name = "Coconuts",
AssetId = "Coconuts"
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var fxSpot = 7;
var rates = new Dictionary <Currency, double> {
{ xaf, fxSpot }
};
var discoMap = new Dictionary <Currency, string> {
{ xaf, "XAF.CURVE" }, { usd, "USD.CURVE" }
};
var fxPair = new FxPair()
{
Domestic = usd,
Foreign = xaf,
PrimaryCalendar = cal,
SpotLag = new Frequency("2b")
};
fxMatrix.Init(usd, startDate, rates, new List <FxPair> {
fxPair
}, discoMap);
var irPillars = new[] { startDate, startDate.AddYears(10) };
var xafRates = new[] { 0.1, 0.1 };
var usdRates = new[] { 0.01, 0.01 };
var xafCurve = new IrCurve(irPillars, xafRates, startDate, "XAF.CURVE", Interpolator1DType.Linear, xaf, "CURVE");
var usdCurve = new IrCurve(irPillars, usdRates, startDate, "USD.CURVE", Interpolator1DType.Linear, usd, "CURVE");
var fModel = new FundingModel(startDate, new[] { xafCurve, usdCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var aModel = new AssetFxModel(startDate, fModel);
aModel.AddPriceCurve("Coconuts", curve);
var periodCode = "SEP-18";
var(Start, End) = periodCode.ParsePeriod();
var fixingDates = Start.BusinessDaysInPeriod(End, cal).ToArray();
var settleDate = fixingDates.Last().AddPeriod(RollType.F, cal, new Frequency("5b"));
var fxFwd = aModel.FundingModel.GetFxAverage(fixingDates, usd, xaf);
var assetFwd = curve.GetAveragePriceForDates(fixingDates);
var fairStrike = fxFwd * assetFwd;
var asianSwap = AssetProductFactory.CreateMonthlyAsianSwap(periodCode, fairStrike, "Coconuts", cal, cal, new Frequency("5b"), xaf, TradeDirection.Long, new Frequency("0b"), 1000, DateGenerationType.BusinessDays);
asianSwap.TradeId = "aLovelyBunch";
foreach (var sw in asianSwap.Swaplets)
{
sw.DiscountCurve = "XAF.CURVE";
sw.FxConversionType = FxConversionType.AverageThenConvert;
}
var pv = asianSwap.PV(aModel, false);
Assert.Equal(0, pv, 8);
var portfolio = new Portfolio()
{
Instruments = new List <IInstrument> {
asianSwap
}
};
var pfPvCube = portfolio.PV(aModel);
var pfPv = (double)pfPvCube.GetAllRows().First().Value;
Assert.Equal(0.0, pfPv, 8);
var deltaCube = portfolio.AssetDelta(aModel);
var dAgg = deltaCube.Pivot("TradeId", AggregationAction.Sum);
var delta = (double)dAgg.GetAllRows().First().Value;
var t0Spot = aModel.FundingModel.GetFxRate(startDate, usd, xaf);
var df = xafCurve.GetDf(startDate, settleDate);
Assert.Equal(995.361065482776, delta, 7);
var fxDeltaCube = portfolio.FxDelta(aModel, usd, TestProviderHelper.CurrencyProvider);
var dfxAgg = fxDeltaCube.Pivot("TradeId", AggregationAction.Sum);
var fxDelta = (double)dfxAgg.GetAllRows().First().Value;
Assert.Equal(-1000 * df * fxFwd * 100 / (t0Spot / fxSpot) / usdCurve.GetDf(startDate, fxPair.SpotDate(startDate)), fxDelta, 4);
}
public void FxDeltaOnUSDTrade()
{
ParallelUtils.Instance.MultiThreaded = false;
var startDate = new DateTime(2018, 07, 28);
var cal = TestProviderHelper.CalendarProvider.Collection["LON"];
var zar = TestProviderHelper.CurrencyProvider["ZAR"];
var usd = TestProviderHelper.CurrencyProvider["USD"];
var curvePillars = new[] { "1W", "1M", "3M", "6M", "1Y" };
var curvePillarDates = curvePillars.Select(l => startDate.AddPeriod(RollType.F, cal, new Frequency(l))).ToArray();
var curvePoints = new[] { 100.0, 100, 100, 100, 100 };
var curve = new PriceCurve(startDate, curvePillarDates, curvePoints, PriceCurveType.LME, TestProviderHelper.CurrencyProvider, curvePillars)
{
Currency = usd,
CollateralSpec = "CURVE",
Name = "Coconuts"
};
var fxMatrix = new FxMatrix(TestProviderHelper.CurrencyProvider);
var fxSpot = 15;
var rates = new Dictionary <Currency, double> {
{ zar, fxSpot }
};
var discoMap = new Dictionary <Currency, string> {
{ zar, "ZAR.CURVE" }, { usd, "USD.CURVE" }
};
var fxPair = new FxPair()
{
Domestic = usd,
Foreign = zar,
SettlementCalendar = cal,
SpotLag = new Frequency("0b")
};
fxMatrix.Init(usd, startDate, rates, new List <FxPair> {
fxPair
}, discoMap);
var irPillars = new[] { startDate, startDate.AddYears(10) };
var zarRates = new[] { 0.0, 0.0 };
var usdRates = new[] { 0.0, 0.0 };
var zarCurve = new IrCurve(irPillars, zarRates, startDate, "ZAR.CURVE", Interpolator1DType.Linear, zar, "CURVE");
var usdCurve = new IrCurve(irPillars, usdRates, startDate, "USD.CURVE", Interpolator1DType.Linear, usd, "CURVE");
var fModel = new FundingModel(startDate, new[] { zarCurve, usdCurve }, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider);
fModel.SetupFx(fxMatrix);
var aModel = new AssetFxModel(startDate, fModel);
aModel.AddPriceCurve("Coconuts", curve);
var periodCode = "SEP-18";
var(Start, End) = periodCode.ParsePeriod();
var fixingDates = Start.BusinessDaysInPeriod(End, cal).ToArray();
var settleDate = fixingDates.Last().AddPeriod(RollType.F, cal, new Frequency("5b"));
var fxFwd = aModel.FundingModel.GetFxAverage(fixingDates, usd, zar);
var assetFwd = curve.GetAveragePriceForDates(fixingDates);
var fairStrike = assetFwd;
var strike = fairStrike - 10;
var nominal = 1000;
var asianSwap = AssetProductFactory.CreateMonthlyAsianSwap(periodCode, strike, "Coconuts", cal, cal, new Frequency("5b"), usd, TradeDirection.Long, new Frequency("0b"), nominal, DateGenerationType.BusinessDays);
asianSwap.TradeId = "aLovelyBunch";
foreach (var sw in asianSwap.Swaplets)
{
sw.DiscountCurve = "USD.CURVE";
sw.FxConversionType = FxConversionType.None;
}
var pv = asianSwap.PV(aModel, false);
var expectedPV = (fairStrike - strike) * nominal;
Assert.Equal(expectedPV, pv, 8);
var portfolio = new Portfolio()
{
Instruments = new List <IInstrument> {
asianSwap
}
};
var pfPvCube = portfolio.PV(aModel, usd);
var pfPv = (double)pfPvCube.GetAllRows().First().Value;
Assert.Equal(expectedPV, pfPv, 8);
//expected fx delta is just PV in USD
var deltaCube = portfolio.FxDelta(aModel, zar, TestProviderHelper.CurrencyProvider);
var dAgg = deltaCube.Pivot("TradeId", AggregationAction.Sum);
var delta = (double)dAgg.GetAllRows().First().Value;
Assert.Equal(expectedPV, delta, 4);
}