/// <summary>
/// Creates synthetic swaps from FX curve for period under 1 year
/// </summary>
/// <param name="rateCurve"></param>
/// <returns></returns>
public TermPoint[] RemovePoints(IRateCurve rateCurve)
{
var fxTermCurve = rateCurve.GetTermCurve();
var curveId = GetRateCurveId();
var termDate = CutOverTerm.Add(curveId.BaseDate);
return((from point in fxTermCurve.point
let pillarPoint = (DateTime)point.term.Items[0]
where pillarPoint <= termDate
select point).ToArray());
}
public NewtonRaphsonSolverFunctions(IPriceableAssetController asset, IPriceableAssetController previousAsset, PricingStructureAlgorithmsHolder algorithmHolder,
IRateCurve baseCurve, DateTime baseDate, SortedDictionary <DateTime, Pair <string, decimal> > items,
double compoundingPeriod, IDictionary <DateTime, double> zeroRateSpreads, IDayCounter dayCounter,
List <DateTime> assetDates)
{
_asset = asset;
_baseCurve = baseCurve;
_zeroRateSpreads = zeroRateSpreads;
string currency = PropertyHelper.ExtractCurrency(baseCurve.GetPricingStructureId().Properties);
_algorithm = algorithmHolder;
_properties = new NamedValueSet(new Dictionary <string, object>
{
{ CurveProp.PricingStructureType, "RateCurve" },
{ CurveProp.Market, "DiscountCurveConstruction" },
{ CurveProp.IndexTenor, "0M" },
{ CurveProp.Currency1, currency },
{ "Index", "XXX-XXX" },
{ "Algorithm", "FastLinearZero" },
{ "BaseDate", baseDate },
});
_items = items;
_compoundingPeriod = compoundingPeriod;
_dayCounter = dayCounter;
_assetDates = assetDates;
if (previousAsset != null)
{
DateTime previousAssetMaturity = previousAsset.GetRiskMaturityDate();
DateTime assetMaturity = asset.GetRiskMaturityDate();
IEnumerable <KeyValuePair <DateTime, string> > points
= from b in baseCurve.GetTermCurve().point
where (DateTime)b.term.Items[0] > previousAssetMaturity &&
(DateTime)b.term.Items[0] < assetMaturity
select new KeyValuePair <DateTime, string>((DateTime)b.term.Items[0], b.id);
foreach (KeyValuePair <DateTime, string> point in points)
{
_extraPoints.Add(point.Key, point.Value);
Pair <string, decimal> pair = new Pair <string, decimal>(point.Value, 0);
items.Add(point.Key, pair);
}
}
}
/// <summary>
/// Bootstraps the specified priceable assets.
/// </summary>
/// <param name="priceableAssets">The priceable assets.</param>
/// <param name="baseZeroCurve">The base Zero Curve</param>
/// <param name="algorithmHolder">The algorithmHolder</param>
/// <returns></returns>
public TermPoint[] Bootstrap(List <IPriceableRateAssetController> priceableAssets,
IRateCurve baseZeroCurve, PricingStructureAlgorithmsHolder algorithmHolder)
{
var items = new SortedDictionary <DateTime, Pair <string, decimal> >();
DateTime baseDate = baseZeroCurve.GetBaseDate();
items.Add(baseDate, new Pair <string, decimal>(null, 1m));
bool firstTime = true;
const double compoundingPeriod = 0.25;
IPriceableRateAssetController previousAsset = null;
IEnumerable <TermPoint> basePillars = baseZeroCurve.GetTermCurve().point;
IDayCounter dayCounter = null;
foreach (IPriceableRateAssetController priceableAsset in priceableAssets)
{
List <DateTime> assetDates;
if (priceableAsset is PriceableSwapRateAsset swap)
{
dayCounter = DayCounterHelper.Parse(swap.DayCountFraction.Value);
assetDates = swap.AdjustedPeriodDates;
}
else
{
PriceableDeposit deposit = priceableAsset as PriceableDeposit;
if (deposit == null)
{
throw new ArgumentException(
$"PriceableAsset must be a PriceableSwapRateAsset or PriceableDeposit, '{priceableAsset.GetType()}' is not implemented.");
}
dayCounter = DayCounterHelper.Parse(deposit.Deposit.dayCountFraction.Value);
assetDates = new List <DateTime> {
deposit.AdjustedStartDate, deposit.GetRiskMaturityDate()
};
}
DateTime maturityDate = priceableAsset.GetRiskMaturityDate();
if (items.Keys.Contains(maturityDate))
{
throw new ArgumentException(
$"Duplicate priceable asset on '{maturityDate:yyyy-MM-dd}'", nameof(priceableAssets));
}
//The min and max values to use with the solver.
const int xmin = -1;
const int xmax = 1;
var accuracy = 10 ^ -12;
if (firstTime)
{
firstTime = false;
// Solve to find the quarterly compounded zero rate spread
var solverFunctions
= new NewtonRaphsonSolverFunctions(priceableAsset, null, algorithmHolder, baseZeroCurve,
baseDate, items, compoundingPeriod, ZeroRateSpreads, dayCounter, assetDates);
var solver = new Newton();
var initialGuess = (double)priceableAsset.MarketQuote.value;
//var solution = new CenteredFiniteDifferenceDerivative();
Func <double, double> f = solverFunctions.ShortEndTargetFunction;
var derivativeOfTargetFunction = new NumericalDerivative().CreateDerivativeFunctionHandle(f, 1);
double zeroRateSpread = solver.Solve(f, derivativeOfTargetFunction, accuracy, initialGuess, xmin, xmax);
// add first point
DateTime startDate = assetDates.First();
decimal df = (decimal)GetAdjustedDiscountFactor(baseDate, startDate, dayCounter, zeroRateSpread, baseZeroCurve);
if (startDate != baseDate)
{
items.Add(startDate, new Pair <string, decimal>(null, df));
}
ZeroRateSpreads.Add(maturityDate, zeroRateSpread);
// add extra points
IEnumerable <TermPoint> extraPoints = basePillars.Where(b => (DateTime)b.term.Items[0] > startDate && (DateTime)b.term.Items[0] < maturityDate);
// Extrapolate the preceding extra points
foreach (TermPoint extraPoint in extraPoints)
{
DateTime date = (DateTime)extraPoint.term.Items[0];
df = (decimal)GetAdjustedDiscountFactor(baseDate, date, dayCounter, zeroRateSpread, baseZeroCurve);
items.Add(date, new Pair <string, decimal>(extraPoint.id, df));
}
// add final point
df = (decimal)GetAdjustedDiscountFactor(baseDate, maturityDate, dayCounter, zeroRateSpread, baseZeroCurve);
items.Add(maturityDate, new Pair <string, decimal>(priceableAsset.Id, df));
}
else
{
items.Add(maturityDate, new Pair <string, decimal>(priceableAsset.Id, 0));
ZeroRateSpreads.Add(maturityDate, (double)priceableAsset.MarketQuote.value);
// Solve to find the quarterly compounded zero rate spread
var solverFunctions
= new NewtonRaphsonSolverFunctions(priceableAsset, previousAsset, algorithmHolder, baseZeroCurve,
baseDate, items, compoundingPeriod, ZeroRateSpreads, dayCounter, assetDates);
Func <double, double> f = solverFunctions.LongEndTargetFunction;
var solver = new Newton();
var initialGuess = (double)priceableAsset.MarketQuote.value;
var derivativeOfTargetFunction = new NumericalDerivative().CreateDerivativeFunctionHandle(f, 1);
double zeroRateSpread = solver.Solve(f, derivativeOfTargetFunction, accuracy, initialGuess, xmin, xmax);
// Update discount factor value
decimal df = (decimal)GetAdjustedDiscountFactor(baseDate, maturityDate, dayCounter, zeroRateSpread, baseZeroCurve);
items[maturityDate].Second = df;
ZeroRateSpreads[maturityDate] = zeroRateSpread;
solverFunctions.UpdateDiscountFactors(baseDate);
}
previousAsset = priceableAsset;
}
// Extrapolate the following extra points
IEnumerable <TermPoint> finalPoints = basePillars.Where(b => (DateTime)b.term.Items[0] > items.Last().Key);
KeyValuePair <DateTime, double> zeroRateSpreadFinal = ZeroRateSpreads.Last();
foreach (TermPoint extraPoint in finalPoints)
{
DateTime date = (DateTime)extraPoint.term.Items[0];
decimal df = (decimal)GetAdjustedDiscountFactor(baseDate, date, dayCounter, zeroRateSpreadFinal.Value, baseZeroCurve);
items.Add(date, new Pair <string, decimal>(extraPoint.id, df));
}
return(TermPointsFactory.Create(items));
}