// Swap net present value
object IRate.SwapNPV(string idCode, double Rate, string SwapTenor, bool PayOrRec, double Nominal)
{
// Get Fwd Start Swap according to underlying rate floating tenor used in building carve (es 3m or 6m,..)
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
try
{
IMultiRateCurve MultiCurve = null; // initialise a multi curve
if (MCDictionary.TryGetValue(idCode, out MultiCurve)) // is the idCode in dictionary?
{
VanillaSwap swap = new VanillaSwap(MultiCurve, Rate, SwapTenor, PayOrRec, Nominal);
return(swap.NPV());
}
else
{
return("Curve not found"); // curve not found
}
}
catch (Exception e)
{
return((string)e.ToString());
}
}
// calculate basis swap spread
object IRate.FwdBasis(double SwapStartDate, string SwapTenor, string Curve1, string Curve2)
{
// Get Fwd Start Swap according to underlying rate floating tenor used in building carve (es 3m or 6m,..)
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
try
{
IMultiRateCurve MCurve1 = null; // initialise a multi curve
IMultiRateCurve MCurve2 = null; // initialise a multi curve
if (MCDictionary.TryGetValue(Curve1, out MCurve1) &&
MCDictionary.TryGetValue(Curve2, out MCurve2)) // is the idCode in dictionary?
{
return((double)Formula.FwdBasis(new Date(SwapStartDate), SwapTenor, MCurve1, MCurve2));
}
else
{
return("Curve not found"); // curve not found
}
}
catch (Exception e)
{
return((string)e.ToString());
}
}
// calculate basis swap spread for 6M vs 3M basis swap
object IRate.FwdBasis6M3M(double SwapStartDate, string SwapTenor, string Curve6M, string Curve3M)
{
// Get Fwd Start Swap according to underlying rate floating tenor used in building carve (es 3m or 6m,..)
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
try
{
IMultiRateCurve MultiCurve6m = null; // initialise a multi curve
IMultiRateCurve MultiCurve3m = null; // initialise a multi curve
if (MCDictionary.TryGetValue(Curve6M, out MultiCurve6m) &&
MCDictionary.TryGetValue(Curve3M, out MultiCurve3m)) // is the idCode in dictionary?
{
if (MultiCurve6m.GetSwapStyle().GetType() == typeof(EurSwapVs6m) &&
MultiCurve3m.GetSwapStyle().GetType() == typeof(EurSwapVs3m))
{
return((double)Formula.FwdBasis(new Date(SwapStartDate), SwapTenor, MultiCurve6m, MultiCurve3m));
}
else
{
return("Curve error");
}
}
else
{
return("Curve not found"); // curve not found
}
}
catch (Exception e)
{
return((string)e.ToString());
}
}
// At the money forward swap using string args
object IRate.FwdSwapX(string idCode, string StartTenor, string SwapTenor)
{
// make it volatile
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
try
{
IMultiRateCurve MultiCurve = null; // initialise a multi curve
if (MCDictionary.TryGetValue(idCode, out MultiCurve)) // is the idCode in dictionary?
{
Date StartDate = MultiCurve.RefDate().add_period(StartTenor, true);
return(MultiCurve.SwapFwd(new Date(StartDate), SwapTenor));
}
else
{
return("IdCode not found"); // curve not found
}
}
catch (Exception e)
{
return((string)e.ToString());
}
}
public VanillaSwap(IMultiRateCurve MultiCurve, double Rate, string SwapTenor, bool PayOrRec, double Nominal)
{
// Standard swap
Type SwapType = MultiCurve.GetSwapStyle().GetType();
Date myRefDate = MultiCurve.RefDate();
// using reflection
this.mySwap = (SwapStyle)Activator.CreateInstance(SwapType, myRefDate, Rate, SwapTenor);
this.payOrRec = PayOrRec;
this.multiCurve = MultiCurve;
this.nominal = Nominal;
}
// return array of curves, initialised after shifting mktRateSet elements of forwarding curve
public IMultiRateCurve[] ShiftedCurvesArrayFwdCurveSeq(double shift)
{
// i-curve is built using its setup (interpolator,..), but shifting i-element of mktRateSet
// up of 'shift' quantity
RateSet[] rsArr = mktRateSet.ShiftedRateSetArray(shift); // array of shifted RateSet (my scenario)
int n = rsArr.Length; // number of elements
IMultiRateCurve[] curves = new IMultiRateCurve[n]; // array of curves
for (int i = 0; i < n; i++)
{ // iterate to build all curve needed
curves[i] = CreateInstance(rsArr[i], DCurve); // build the correct curve
}
return(curves);
}
// return array of curves, initialised after shifting mktRateSet elements of discounting curve
public IMultiRateCurve[] ShiftedCurvesArrayDCurveSeq(double shift)
{
// i-discount curve is built using its setup (interpolator,..), but shifting i-element of mktRateSet of discounting curve
// up of 'shift' quantity
ISingleRateCurve[] dC = DCurve.ShiftedCurveArray(shift);
int n = dC.Length;
IMultiRateCurve[] outPut = new IMultiRateCurve[n];
for (int i = 0; i < n; i++)
{
outPut[i] = CreateInstance(mktRateSet, dC[i]);
}
return(outPut); // array of curves
}
// Risk of a vanilla swap with respect discounting and forwarding curves (it works only for multi-curve)
object IRate.SwapRisk(string idCode, double Rate, string SwapTenor, bool PayOrRec, double Nominal, double shift, int caseSwitch)
{
// Get Fwd Start Swap according to underlying rate floating tenor used in building carve (es 3m or 6m,..)
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
try
{
IMultiRateCurve MultiCurve = null; // initialise a multi curve
if (MCDictionary.TryGetValue(idCode, out MultiCurve)) // is the idCode in dictionary?
{
object OutPut = null;
VanillaSwap swap = new VanillaSwap(MultiCurve, Rate, SwapTenor, PayOrRec, Nominal);
switch (caseSwitch)
{
case 1:
OutPut = (double[])swap.BPVShiftedDCurve(shift);
break;
case 2:
OutPut = (double)swap.BPVParallelShiftDCurve(shift);
break;
case 3:
OutPut = (double[])swap.BPVShiftedFwdCurve(shift);
break;
case 4:
OutPut = (double)swap.BPVParallelShiftFwdCurve(shift);
break;
default:
return(0);
// break;
}
return(OutPut);
}
else
{
return("Curve not found"); // curve not found
}
}
catch (Exception e)
{
return((string)e.ToString());
}
}
// Discount factor
object IRate.Df(string idCode, double DfDate)
{
// make it volatile
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
try
{
IMultiRateCurve MultiCurve = null; // initialise a multi curve
if (MCDictionary.TryGetValue(idCode, out MultiCurve)) // is the idCode in dictionary?
{
return(MultiCurve.Df(new Date(DfDate)));
}
else
{
return("IdCode not found"); // curve not found
}
}
catch (Exception e)
{
return((string)e.ToString());
}
}
// return one only curve, initialised after shifting all mktRateSet elements, of discounting curve, up of 'shift' quantity, once at the same time
public double BPVParallelShiftDCurve(double shift)
{
IMultiRateCurve sCurve = multiCurve.ParallelShiftDCurve(shift);
return(Formula.NPV(mySwap, sCurve, payOrRec) * nominal - this.NPV());
}
// sensitivities/DVO1. ATM swap has no sensitivities with respect to the discount curve
public static void SensitivitiesParallel()
{
#region Inputs
// Start input
// Start input, reference date.
Date refDate = (new Date(DateTime.Now)).mod_foll();
#region Eonia market data
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
mktRates.Add(0.447e-2, "1w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.583e-2, "2w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.627e-2, "3w", BuildingBlockType.EONIASWAP);
mktRates.Add(0.635e-2, "1m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.675e-2, "2m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.705e-2, "3m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.734e-2, "4m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.758e-2, "5m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.780e-2, "6m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.798e-2, "7m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.816e-2, "8m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.834e-2, "9m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.849e-2, "10m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.864e-2, "11m", BuildingBlockType.EONIASWAP);
mktRates.Add(0.878e-2, "1Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.098e-2, "2Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.36e-2, "3Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.639e-2, "4Y", BuildingBlockType.EONIASWAP);
mktRates.Add(1.9e-2, "5Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.122e-2, "6Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.308e-2, "7Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.467e-2, "8Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.599e-2, "9Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.715e-2, "10Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.818e-2, "11Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.908e-2, "12Y", BuildingBlockType.EONIASWAP);
// From here interpolation is need
mktRates.Add(3.093e-2, "15Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.173e-2, "20Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.114e-2, "25Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.001e-2, "30Y", BuildingBlockType.EONIASWAP);
#endregion
#region Swap Market Data
// RateSet EUR 6m swap
RateSet rs = new RateSet(refDate);
rs.Add(1.16e-2, "6m", BuildingBlockType.EURDEPO);
rs.Add(1.42e-2, "1y", BuildingBlockType.EURSWAP6M);
rs.Add(1.635e-2, "2y", BuildingBlockType.EURSWAP6M);
rs.Add(1.872e-2, "3y", BuildingBlockType.EURSWAP6M);
rs.Add(2.131e-2, "4y", BuildingBlockType.EURSWAP6M);
rs.Add(2.372e-2, "5y", BuildingBlockType.EURSWAP6M);
rs.Add(2.574e-2, "6y", BuildingBlockType.EURSWAP6M);
rs.Add(2.743e-2, "7y", BuildingBlockType.EURSWAP6M);
rs.Add(2.886e-2, "8y", BuildingBlockType.EURSWAP6M);
rs.Add(3.004e-2, "9y", BuildingBlockType.EURSWAP6M);
rs.Add(3.107e-2, "10y", BuildingBlockType.EURSWAP6M);
rs.Add(3.198e-2, "11y", BuildingBlockType.EURSWAP6M);
rs.Add(3.278e-2, "12y", BuildingBlockType.EURSWAP6M);
rs.Add(3.344e-2, "13y", BuildingBlockType.EURSWAP6M);
rs.Add(3.398e-2, "14y", BuildingBlockType.EURSWAP6M);
rs.Add(3.438e-2, "15y", BuildingBlockType.EURSWAP6M);
rs.Add(3.467e-2, "16y", BuildingBlockType.EURSWAP6M);
rs.Add(3.484e-2, "17y", BuildingBlockType.EURSWAP6M);
rs.Add(3.494e-2, "18y", BuildingBlockType.EURSWAP6M);
rs.Add(3.495e-2, "19y", BuildingBlockType.EURSWAP6M);
rs.Add(3.491e-2, "20y", BuildingBlockType.EURSWAP6M);
rs.Add(3.483e-2, "21y", BuildingBlockType.EURSWAP6M);
rs.Add(3.471e-2, "22y", BuildingBlockType.EURSWAP6M);
rs.Add(3.455e-2, "23y", BuildingBlockType.EURSWAP6M);
rs.Add(3.436e-2, "24y", BuildingBlockType.EURSWAP6M);
rs.Add(3.415e-2, "25y", BuildingBlockType.EURSWAP6M);
rs.Add(3.391e-2, "26y", BuildingBlockType.EURSWAP6M);
rs.Add(3.366e-2, "27y", BuildingBlockType.EURSWAP6M);
rs.Add(3.340e-2, "28y", BuildingBlockType.EURSWAP6M);
rs.Add(3.314e-2, "29y", BuildingBlockType.EURSWAP6M);
rs.Add(3.29e-2, "30y", BuildingBlockType.EURSWAP6M);
#endregion
#endregion end Inputs
#region building curve
string swapTenor = "11y"; // you can change it
// I build my multi curve,
SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> DCurve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(mktRates, OneDimensionInterpolation.LogLinear); // discount curve
MultiCurveBuilder <SimpleCubicInterpolator> C = new MultiCurveBuilder <SimpleCubicInterpolator>(rs, DCurve); // multi curve
#endregion end building curve
#region myFunction
// my function to calculate Net Present Value of a Vanilla Swap (receiver swap)
Func <SwapStyle, IRateCurve, double> NPV = (BB, c) =>
{
#region FixLeg
// fixed leg data
double[] yfFixLeg = BB.scheduleLeg1.GetYFVect(BB.swapLeg1.DayCount); // fixed is leg 1
// dfs array of fixed lag
Date[] dfDates = BB.scheduleLeg1.payDates; // serial date of fixed lag (each dates we should find df)
// # of fixed cash flows
int n_fix = dfDates.Length;
double NPV_fix = 0.0;
// calculate df
for (int i = 0; i < n_fix; i++)
{
NPV_fix += c.Df(dfDates[i]) * yfFixLeg[i] * BB.rateValue; // df*yf
}
// NPV_fix *= BB.rateValue;
#endregion
#region FloatLeg
// fixed leg data
double[] yfFloatLeg = BB.scheduleLeg2.GetYFVect(BB.swapLeg2.DayCount); // float is leg 2
// dfs array of fixed lag
Date[] dfDatesFloat = BB.scheduleLeg2.payDates; // serial date of float lag (each dates we should find df)
Date[] FromDateFloat = BB.scheduleLeg2.fromDates;
// # of fixed cash flows
int n_float = dfDatesFloat.Length;
double[] fwd = new double[n_float]; // fwd rate container
// getting fwd rates
for (int i = 0; i < n_float; i++)
{
fwd[i] = c.Fwd(FromDateFloat[i]);
}
double NPV_float = 0.0;
// calculate df
for (int i = 0; i < n_float; i++)
{
NPV_float += c.Df(dfDatesFloat[i]) * yfFloatLeg[i] * fwd[i]; // df*yf
}
#endregion
return(NPV_fix - NPV_float); // NPV
};
#endregion
#region Print results
double atmSwap = C.SwapFwd(refDate, swapTenor); // At The Money swap (i.e. par rate)
List <double> swapRateList = new List <double>(); // lists of swap to analyze
swapRateList.Add(atmSwap); // it is ATM
swapRateList.Add(atmSwap + 0.01); // it has positive mark to market (MtM). It is a receiver swap with a contract rate > than Atm)
swapRateList.Add(atmSwap - 0.01); // it has negative MtM
// iterate for each swap:
// see how change the sign of sensitivities for discount curve and for forwarding curve changing contract rates
Console.WriteLine("Executing parallel loop...");
Stopwatch stopwatch = new Stopwatch();
stopwatch.Start();
Parallel.ForEach(swapRateList, swapRate =>
{
Console.WriteLine("Pricing Receiver Swap {0}, Atm Rate: {1:f6}, Contract Rate: {2:f6}", swapTenor, atmSwap, swapRate);
IRateCurve[] cs = C.ShiftedCurvesArrayFwdCurve(0.0001);
IRateCurve csp = C.ParallelShiftFwdCurve(0.0001);
// initialise some variable used in sensitivities
double sens = 0.0;
double runSum = 0.0;
// Standard swap
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
double iniMTM = NPV(y, C) * 100000000; // initial mark to market for 100ml receiver contract
Console.WriteLine("Starting Mark To Market {0:f}", iniMTM);
Console.WriteLine("Sensitivities to Curve used for forward rate: ");
int nOfRate = rs.Count; // iterate for market input for forwarding curve
for (int i = 0; i < nOfRate; i++)
{
sens = NPV(y, cs[i]) * 100000000 - iniMTM;
Console.WriteLine("{0} BPV: {1:f}", rs.Item(i).M.GetPeriodStringFormat(), sens);
runSum += sens;
}
Console.WriteLine("Total: {0:f}", runSum);
Console.WriteLine("\nParallel Shift Total: {0:f}", NPV(y, csp) * 100000000 - iniMTM); // parallel shift
// reset some variable used in sensitivities
sens = 0.0;
runSum = 0.0;
Console.WriteLine("Sensitivities to Discount Curve:");
// let's consider discounting curve
IRateCurve[] DCrvs = C.ShiftedCurvesArrayDCurve(0.0001); // shifting each bucket
IMultiRateCurve DCrvp = C.ParallelShiftDCurve(0.0001); // parallel shift
nOfRate = mktRates.Count; // iterate for market input for discounting curve
for (int i = 0; i < nOfRate; i++)
{
sens = NPV(y, DCrvs[i]) * 100000000 - iniMTM;
Console.WriteLine("{0} BPV: {1:f}", mktRates.Item(i).M.GetPeriodStringFormat(), sens);
runSum += sens;
}
Console.WriteLine("Total: {0:f}", runSum);
Console.WriteLine("\nParallel Shift Total: {0:f}", NPV(y, DCrvp) * 100000000 - iniMTM);
});
stopwatch.Stop();
Console.WriteLine("Parallel loop time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
#endregion
}
