public void TestGetCapPremiumAUD_6M100M_5YExpiry05Vol20Pct()
{
var valuationDate = new DateTime(1994, 12, 14);
var curveId = BuildAndCacheRateCurve(valuationDate);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
CapFloorType.Cap, "Standard", curveId, curveId);
InterestRateStream floatStream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(capLeg);
floatStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(floatStream, FixingCalendar, PaymentCalendar);
double sumOfCapletPremiums = 0;
var rateCurve = (RateCurve)Engine.GetCurve(curveId, false);
foreach (PaymentCalculationPeriod paymentCalculationPeriod in floatStream.cashflows.paymentCalculationPeriod)
{
DateTime startDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
DateTime endDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
double accrualFactor = (endDate - startDate).TotalDays / 365.0;
var discountFactor = (double)paymentCalculationPeriod.discountFactor;
var rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
double rate2 = rateCurve.GetForwardRate(startDate, endDate, "ACT/365.FIXED");
double diff = rate - rate2;
Debug.Print("Diff in forward rate: {0}", diff);
var strikeRate = (double)capLeg.StrikeRate; //fixed - replace with a schedule
const double volatility = 0.2; //fixed - replace with a schedule
double timeToExpiry = (startDate - valuationDate).TotalDays / 365.0;
double optionValue = accrualFactor * BlackModel.GetSwaptionValue(rate, strikeRate, volatility, timeToExpiry) * discountFactor;
Debug.Print("Expiry:\t{0},\tPremium:\t{1}'", timeToExpiry, optionValue);
sumOfCapletPremiums += optionValue;
}
Debug.Print("Premium : '{0}'", sumOfCapletPremiums * (double)capLeg.NotionalAmount);
}
public static double GetPremiumImpl(
ILogger logger,
ICoreCache cache,
String nameSpace,
SwapLegParametersRange payLegParametersRange,
SwapLegParametersRange receiveLegParametersRange,
SwaptionParametersRange swaptionTermsRange,
ValuationRange valuationRange)
{
InterestRateStream payStream = null;
InterestRateStream receiveStream = null;
UpdateCashflowsWithAmounts(logger, cache, nameSpace, payStream, payLegParametersRange, valuationRange);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, receiveStream, receiveLegParametersRange, valuationRange);
Money fv = CashflowsHelper.GetForecastValue(payStream.cashflows);
Money pv = CashflowsHelper.GetPresentValue(payStream.cashflows);
double tillExpiry = (swaptionTermsRange.ExpirationDate - valuationRange.ValuationDate).TotalDays / 365.0;
//Debug.Print("Future value :{0}", fv.amount);
//Debug.Print("Present value :{0}", pv.amount);
// get swaption price
//
double pricePerDollar = BlackModel.GetSwaptionValue((double)payLegParametersRange.CouponOrLastResetRate, (double)swaptionTermsRange.StrikeRate, (double)swaptionTermsRange.Volatility, tillExpiry);
double premium = System.Math.Abs((double)payLegParametersRange.NotionalAmount * pricePerDollar);
return(premium);
}
