string IRate.AddMultiCurve(string idCode, double RefDate, object DfTenor, object DfRates, string DfType,
object FwdTenor, object FwdRates, string FwdType, string FixingTenor, double FixingValue)
{
#region Market Rates for discounting
RateSet dfMktRates = new RateSet(new Date(RefDate));
double[] dfRates = (double[])DfRates;
string[] dfTenor = (string[])DfTenor;
int MaxDfRates = dfTenor.Count();
BuildingBlockType dfType = (BuildingBlockType)Enum.Parse(typeof(BuildingBlockType), DfType);
for (int i = 0; i < MaxDfRates; i++)
{
dfMktRates.Add(dfRates[i], dfTenor[i], dfType);
}
#endregion
#region Market Rates for forwarding
RateSet fwdMktRates = new RateSet(new Date(RefDate));
double[] fwdRates = (double[])FwdRates;
string[] fwdTenor = (string[])FwdTenor;
int MaxFwdRates = fwdTenor.Count();
BuildingBlockType fwdType = (BuildingBlockType)Enum.Parse(typeof(BuildingBlockType), FwdType);
fwdMktRates.Add(FixingValue, FixingTenor, BuildingBlockType.EURDEPO);
for (int i = 0; i < MaxFwdRates; i++)
{
fwdMktRates.Add(fwdRates[i], fwdTenor[i], fwdType);
}
#endregion
#region InizializeMyCurve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> DCurve = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(dfMktRates, OneDimensionInterpolation.Linear);
MultiCurveBuilder <SimpleCubicInterpolator> MultiCurve = new MultiCurveBuilder <SimpleCubicInterpolator>(fwdMktRates, DCurve);
#endregion
#region UpDating Dictionary
try
{
if (MCDictionary.ContainsKey(idCode) == true) // check if idCode is in dictionary
{
MCDictionary[idCode] = MultiCurve; // if true, updates it
}
else
{
MCDictionary.Add(idCode, MultiCurve); // if false, adds it
}
return("Loaded @ " + DateTime.Now.ToString()); // return time of last load
}
catch (Exception e)
{
return((string)e.ToString());
}
#endregion
}
// 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
}
public static void UsingTPLinImplementation()
{
// ref date, you should use the one you need
Date refDate = (new Date(DateTime.Now)).mod_foll();
#region eonia market data
// I populate markets 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(1.123e-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
// initialise discount curve - it is the same for both forwarding curve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> DCurve = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
// initializing the stopwatch
Stopwatch stopwatch = new Stopwatch();
MultiCurveBuilder <SimpleCubicInterpolator> MC = new MultiCurveBuilder <SimpleCubicInterpolator>(rs, DCurve);
Console.WriteLine("ProcessorCount: {0}", Environment.ProcessorCount); // number of processor
#region MultiCurveBuilder sequential
Console.WriteLine("Implementing shift sequential...");
stopwatch.Start();
IMultiRateCurve[] MCArrayFwdSeq = MC.ShiftedCurvesArrayFwdCurveSeq(0.01);
IMultiRateCurve[] MCArrayDfSeq = MC.ShiftedCurvesArrayDCurveSeq(0.01);
stopwatch.Stop();
Console.WriteLine("Done. Time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
#endregion
stopwatch.Reset(); // resetting the stopwatch
#region MultiCurveBuilder2
Console.WriteLine("Implementing shift parallel ...");
stopwatch.Start();
IMultiRateCurve[] MCArrayFwd = MC.ShiftedCurvesArrayFwdCurve(0.01);
IMultiRateCurve[] MCArrayDf = MC.ShiftedCurvesArrayDCurve(0.01);
stopwatch.Stop();
Console.WriteLine("Done. Time in milliseconds: {0}", stopwatch.ElapsedMilliseconds);
#endregion
}