public static double CapBlack(string Tenor, double strike, double N, IRateCurve curve, BilinearInterpolator VolCapletMatrix)
{
Date refDate = curve.RefDate();
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, 0, Tenor, curve.GetSwapStyle().buildingBlockType);
double[] yf = y.scheduleLeg2.GetYFVect(Dc._Act_360);
int toRemove = yf.Length - 1;
yf = yf.Where((val, inx) => inx != toRemove).ToArray();
List <Date> ToDate = y.scheduleLeg2.toDates.ToList();
ToDate.RemoveAt(ToDate.Count - 1); // remove last element
double[] T = (from c in ToDate
select refDate.YF_365(c)).ToArray();
// df- getting relevant dates
Date[] dfDate = y.scheduleLeg2.payDates;
int Ncaplet = yf.Length; // number of caplets
double[] df = new double[Ncaplet];
// fwd rate
double[] fwd = new double[Ncaplet];
Date[] fwdDate = y.scheduleLeg2.fromDates;
for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1
{ // first discount factor is on first payment date of caplet (first caplet skipped)
df[i] = curve.Df(dfDate[i + 1]);
fwd[i] = curve.Fwd(fwdDate[i + 1]);
}
double[] sigma = (from t in T
select VolCapletMatrix.Solve(t, strike)).ToArray();
return(CapBlack(T, yf, N, strike, sigma, df, fwd));
}
// NPV of swap
public static double NPV(SwapStyle BB, IRateCurve c, bool PayOrRec)
{
#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
}
#endregion
#region FloatLeg
// floating 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 leg (each dates we should find df)
Date[] FromDateFloat = BB.scheduleLeg2.fromDates;
// # of floating cash flows
int n_float = dfDatesFloat.Length;
double[] fwd = new double[n_float]; // fwd rates 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
if (!PayOrRec)
{
return(-NPV_fix + NPV_float);
} // Receiver Swap
return(NPV_fix - NPV_float); // NPV Payer Swap
}
// constructor
public CapletMatrixVolBuilder(string[] Tenor, IRateCurve Curve, double[] strike, List <double[]> VolSilos)
{
#region preparing data
// yf of longer cap
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(Curve.RefDate(), 0, Tenor.Last(), Curve.GetSwapStyle().buildingBlockType);
double[] yf = y.scheduleLeg2.GetYFVect(Dc._Act_360);
int toRemove = yf.Length - 1;
yf = yf.Where((val, inx) => inx != toRemove).ToArray();
// T all tenor needed. They are more than input
Date refDate = Curve.RefDate();
List <Date> ToDate = y.scheduleLeg2.toDates.ToList();
ToDate.RemoveAt(ToDate.Count - 1); // remove last element
double[] T = (from c in ToDate
select refDate.YF_365(c)).ToArray();
// available T from input
double[] Tquoted = new double[Tenor.Length];
for (int i = 0; i < Tquoted.Length; i++)
{ // calculate yf of each available T as it was a swap
SwapStyle myS = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(Curve.RefDate(), 0, Tenor[i], Curve.GetSwapStyle().buildingBlockType);
int L = myS.scheduleLeg2.toDates.Count() - 1;
Date[] toDate = myS.scheduleLeg2.toDates;
Tquoted[i] = refDate.YF_365(toDate[L - 1]);
}
// df- getting relevant dates
Date[] dfDate = y.scheduleLeg2.payDates;
int Ncaplet = yf.Length; // number of caplets
double[] df = new double[Ncaplet];
// fwd rate
double[] fwd = new double[Ncaplet];
Date[] fwdDate = y.scheduleLeg2.fromDates;
for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1
{ // first discount factor is on first payment date of caplet (first caplet skipped)
df[i] = Curve.Df(dfDate[i + 1]);
fwd[i] = Curve.Fwd(fwdDate[i + 1]);
}
#endregion
Ini(T, df, fwd, yf, Tquoted, VolSilos, strike);
}
// used in constructor
private void Ini(string tenor, IRateCurve curve, BilinearInterpolator capletVolMatrix, double nominal)
{
stringTenor = tenor;
rateCurve = curve;
volMatrix = capletVolMatrix;
N = nominal;
// yf of longer cap
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(curve.RefDate(), 0, tenor, curve.GetSwapStyle().buildingBlockType);
yf = y.scheduleLeg2.GetYFVect(Dc._Act_360);
capSchedule = y.scheduleLeg2;
int toRemove = yf.Length - 1;
yf = yf.Where((val, inx) => inx != toRemove).ToArray();
// T all tenor needed. They are more than input
Date refDate = curve.RefDate();
List <Date> ToDate = y.scheduleLeg2.toDates.ToList();
ToDate.RemoveAt(ToDate.Count - 1); // remove last element
T = (from c in ToDate
select refDate.YF_365(c)).ToArray();
// df- getting relevant dates
Date[] dfDate = y.scheduleLeg2.payDates;
int Ncaplet = yf.Length; // number of caplets
df = new double[Ncaplet];
// fwd rate
fwd = new double[Ncaplet];
Date[] fwdDate = y.scheduleLeg2.fromDates;
for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1
{ // first discount factor is on first payment date of caplet (first caplet skipped)
df[i] = curve.Df(dfDate[i + 1]);
fwd[i] = curve.Fwd(fwdDate[i + 1]);
}
}
public static double FwdBasis(Date StartDate, string SwapTenor, IRateCurve Curve1, IRateCurve Curve2)
{
SwapStyle S1 = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(StartDate, 0.0, SwapTenor, Curve1.GetSwapStyle().buildingBlockType);
SwapStyle S2 = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(StartDate, 0.0, SwapTenor, Curve2.GetSwapStyle().buildingBlockType);
double[] yfFloatLeg1 = S1.scheduleLeg2.GetYFVect(S1.swapLeg2.DayCount);
// using LINQ syntax
double[] dfFloatLeg1 = (from d in S1.scheduleLeg2.payDates
select Curve1.Df(d)).ToArray <double>();
double[] fwdFloatLeg1 = (from d in S1.scheduleLeg2.fromDates
select Curve1.Fwd(d)).ToArray <double>();
double[] yfFloatLeg2 = S2.scheduleLeg2.GetYFVect(S2.swapLeg2.DayCount);
// using LINQ syntax
double[] dfFloatLeg2 = (from d in S2.scheduleLeg2.payDates
select Curve2.Df(d)).ToArray <double>();
double[] fwdFloatLeg2 = (from d in S2.scheduleLeg2.fromDates
select Curve2.Fwd(d)).ToArray <double>();
return(SpreadBasisFormula(yfFloatLeg1, dfFloatLeg1, fwdFloatLeg1,
yfFloatLeg2, dfFloatLeg2, fwdFloatLeg2));
}