public void TestMultiHWAndFXToyForwards()
{
Date valueDate = new Date(2016, 9, 17);
HullWhite1F zarRatesSim = new HullWhite1F(Currency.ZAR, 0.05, 0.01, 0.07, 0.07, valueDate);
zarRatesSim.AddForecast(FloatingIndex.JIBAR3M);
HullWhite1F usdRatesSim = new HullWhite1F(Currency.USD, 0.05, 0.0000001, 0.01, 0.01, valueDate);
usdRatesSim.AddForecast(FloatingIndex.LIBOR3M);
HullWhite1F eurRatesSim = new HullWhite1F(Currency.EUR, 0.05, 0.0000001, 0.005, 0.005, valueDate);
eurRatesSim.AddForecast(FloatingIndex.EURIBOR3M);
CurrencyPair[] currencyPairs = new CurrencyPair[] { new CurrencyPair(Currency.USD, Currency.ZAR), new CurrencyPair(Currency.EUR, Currency.ZAR) };
double[] spots = new double[] { 13.6, 15.0 };
double[] vols = new double[] { 0.15, 0.15 };
double[,] correlations = new double[, ] {
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
MultiHWAndFXToy model = new MultiHWAndFXToy(valueDate, Currency.ZAR, new HullWhite1F[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
List <Date> simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
model.Reset();
model.SetNumeraireDates(simDates);
model.SetRequiredDates(currencyPairs[0], simDates); // Will simulate both currency pairs
model.Prepare();
int N = 100;
double[,] fwdSpotValues = Matrix.Zeros(N, 5);
for (int i = 0; i < N; i++)
{
model.RunSimulation(i);
fwdSpotValues[i, 0] = model.GetIndices(currencyPairs[0], simDates)[0];
fwdSpotValues[i, 1] = model.GetIndices(currencyPairs[1], simDates)[0];
fwdSpotValues[i, 2] = model.GetIndices(FloatingIndex.JIBAR3M, simDates)[0];
fwdSpotValues[i, 3] = model.GetIndices(FloatingIndex.LIBOR3M, simDates)[0];
fwdSpotValues[i, 4] = model.GetIndices(FloatingIndex.EURIBOR3M, simDates)[0];
}
double meanUSDZAR = fwdSpotValues.GetColumn(0).Mean();
double meanEURZAR = fwdSpotValues.GetColumn(1).Mean();
double meanJibar = fwdSpotValues.GetColumn(2).Mean();
double meanLibor = fwdSpotValues.GetColumn(3).Mean();
double meanEuribor = fwdSpotValues.GetColumn(4).Mean();
Assert.AreEqual(15.7, meanUSDZAR, 0.1);
Assert.AreEqual(17.2, meanEURZAR, 0.1);
Assert.AreEqual(0.071, meanJibar, 1e-4);
Assert.AreEqual(0.01, meanLibor, 1e-4);
Assert.AreEqual(0.005, meanEuribor, 1e-4);
}
public void TestMultiHWAndFXToyForwards()
{
var valueDate = new Date(2016, 9, 17);
var zarRatesSim = new HullWhite1F(TestHelpers.ZAR, 0.05, 0.01, 0.07, 0.07);
zarRatesSim.AddForecast(TestHelpers.Jibar3M);
var usdRatesSim = new HullWhite1F(TestHelpers.USD, 0.05, 0.0000001, 0.01, 0.01);
usdRatesSim.AddForecast(TestHelpers.Libor3M);
var eurRatesSim = new HullWhite1F(TestHelpers.EUR, 0.05, 0.0000001, 0.005, 0.005);
eurRatesSim.AddForecast(TestHelpers.Euribor3M);
CurrencyPair[] currencyPairs =
{ TestHelpers.USDZAR, TestHelpers.EURZAR };
double[] spots = { 13.6, 15.0 };
double[] vols = { 0.15, 0.15 };
double[,] correlations = { { 1.0, 0.0 }, { 0.0, 1.0 } };
var model = new MultiHWAndFXToy(valueDate, TestHelpers.ZAR, new[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
var simDates = new List <Date>();
simDates.Add(valueDate.AddMonths(24));
model.Reset();
model.SetNumeraireDates(simDates);
model.SetRequiredDates(currencyPairs[0], simDates); // Will simulate both currency pairs
model.Prepare(valueDate);
var N = 100;
var fwdSpotValues = Matrix.Zeros(N, 5);
for (var i = 0; i < N; i++)
{
model.RunSimulation(i);
fwdSpotValues[i, 0] = model.GetIndices(currencyPairs[0], simDates)[0];
fwdSpotValues[i, 1] = model.GetIndices(currencyPairs[1], simDates)[0];
fwdSpotValues[i, 2] = model.GetIndices(TestHelpers.Jibar3M, simDates)[0];
fwdSpotValues[i, 3] = model.GetIndices(TestHelpers.Libor3M, simDates)[0];
fwdSpotValues[i, 4] = model.GetIndices(TestHelpers.Euribor3M, simDates)[0];
}
var meanUSDZAR = fwdSpotValues.GetColumn(0).Mean();
var meanEURZAR = fwdSpotValues.GetColumn(1).Mean();
var meanJibar = fwdSpotValues.GetColumn(2).Mean();
var meanLibor = fwdSpotValues.GetColumn(3).Mean();
var meanEuribor = fwdSpotValues.GetColumn(4).Mean();
Assert.AreEqual(15.0, meanUSDZAR, 0.1);
Assert.AreEqual(17.2, meanEURZAR, 0.1);
Assert.AreEqual(0.07, meanJibar, 2e-3);
Assert.AreEqual(0.01, meanLibor, 1e-4);
Assert.AreEqual(0.005, meanEuribor, 1e-4);
}
public void TestMultiHWAndFXToyCCIRS()
{
var valueDate = new Date(2016, 9, 17);
var zarRatesSim = new HullWhite1F(Currency.ZAR, 0.05, 0.01, 0.07, 0.07, valueDate);
zarRatesSim.AddForecast(FloatingIndex.JIBAR3M);
var usdRatesSim = new HullWhite1F(Currency.USD, 0.05, 0.01, 0.01, 0.01, valueDate);
usdRatesSim.AddForecast(FloatingIndex.LIBOR3M);
var eurRatesSim = new HullWhite1F(Currency.EUR, 0.05, 0.01, 0.005, 0.005, valueDate);
eurRatesSim.AddForecast(FloatingIndex.EURIBOR3M);
var currencyPairs = new[]
{ new CurrencyPair(Currency.USD, Currency.ZAR), new CurrencyPair(Currency.EUR, Currency.ZAR) };
var spots = new[] { 13.6, 15.0 };
var vols = new[] { 0.15, 0.15 };
var correlations = new[, ]
{
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
var model = new MultiHWAndFXToy(valueDate, Currency.ZAR, new[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
var portfolio = new List <Product>();
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, -15e6, FloatingIndex.JIBAR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.EUR, valueDate, +1e6, FloatingIndex.EURIBOR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, 13e6, FloatingIndex.JIBAR3M, 13));
portfolio.Add(CreateFloatingLeg(Currency.USD, valueDate, -1e6, FloatingIndex.EURIBOR3M, 13));
portfolio.Add(IRSwap.CreateZARSwap(0.07, true, 20e6, valueDate, Tenor.Years(4)));
var stepInMonths = 1;
var fwdValueDates = Enumerable.Range(1, 13 * 12 / stepInMonths)
.Select(i => valueDate.AddMonths(stepInMonths * i)).ToArray();
var coord = new Coordinator(model, new List <Simulator>(), 1000);
//coord.SetThreadedness(false);
var epe = coord.EPE(portfolio.ToArray(), valueDate, fwdValueDates);
Assert.AreEqual(1555002, epe[0], 5000);
Assert.AreEqual(2170370, epe[87], 5000);
Assert.AreEqual(0, epe[155], 5);
//Debug.WriteToFile("c:\\dev\\quantsa\\temp\\epeTest_singlethread_10000.csv", epe);
}
public void TestMultiHWAndFXToyCCIRS()
{
var valueDate = new Date(2016, 9, 17);
var zarRatesSim = new HullWhite1F(TestHelpers.ZAR, 0.05, 0.01, 0.07, 0.07);
zarRatesSim.AddForecast(TestHelpers.Jibar3M);
var usdRatesSim = new HullWhite1F(TestHelpers.USD, 0.05, 0.01, 0.01, 0.01);
usdRatesSim.AddForecast(TestHelpers.Libor3M);
var eurRatesSim = new HullWhite1F(TestHelpers.EUR, 0.05, 0.01, 0.005, 0.005);
eurRatesSim.AddForecast(TestHelpers.Euribor3M);
var currencyPairs = new[] { TestHelpers.USDZAR, TestHelpers.EURZAR };
var spots = new[] { 13.6, 15.0 };
var vols = new[] { 0.15, 0.15 };
var correlations = new[, ]
{
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
var model = new MultiHWAndFXToy(valueDate, TestHelpers.ZAR, new[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
var portfolio = new List <IProduct>
{
CreateFloatingLeg(TestHelpers.ZAR, valueDate, -15e6, TestHelpers.Jibar3M, 7),
CreateFloatingLeg(TestHelpers.EUR, valueDate, +1e6, TestHelpers.Euribor3M, 7),
CreateFloatingLeg(TestHelpers.ZAR, valueDate, 13e6, TestHelpers.Jibar3M, 13),
CreateFloatingLeg(TestHelpers.USD, valueDate, -1e6, TestHelpers.Euribor3M, 13),
TestHelpers.CreateZARSwap(0.07, true, 20e6, valueDate, Tenor.FromYears(4), TestHelpers.Jibar3M)
};
var stepInMonths = 1;
var fwdValueDates = Enumerable.Range(1, 13 * 12 / stepInMonths)
.Select(i => valueDate.AddMonths(stepInMonths * i)).ToArray();
var coord = new Coordinator(model, new List <Simulator>(), 1000);
//coord.SetThreadedness(false);
var epe = coord.EPE(portfolio.ToArray(), valueDate, fwdValueDates);
Assert.AreEqual(1489695, epe[0], 5000);
Assert.AreEqual(2194183, epe[87], 5000);
Assert.AreEqual(0, epe[155], 5);
//QuantSA.Shared.Debug.Debug.WriteToFile("c:\\dev\\quantsa\\temp\\epeTest_singlethread_10000.csv", epe);
}
public void TestMultiHWAndFXToyCCIRSAltConstructor()
{
var valueDate = new Date(2016, 9, 17);
var spots = new List <double> {
13.6, 15.0
};
var vols = new List <double> {
0.15, 0.15
};
var correlations = new[, ]
{
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
// ZAR HW specs
IDiscountingSource zarCurve = new DatesAndRates(Currency.ZAR, valueDate,
new[] { valueDate, valueDate.AddMonths(240) },
new[] { 0.07, 0.07 });
var zarHWParams = new HWParams {
vol = 0.01, meanReversionSpeed = 0.05
};
var zarRequiredIndices = new List <FloatingIndex> {
FloatingIndex.JIBAR3M
};
// Lists to be populated for other currencies
var otherCcys = new List <Currency>();
var otherCcyCurves = new List <IDiscountingSource>();
var otherCcyHwParams = new List <HWParams>();
var otherCcyRequiredIndices = new List <List <FloatingIndex> >();
// USD HW specs
otherCcys.Add(Currency.USD);
otherCcyCurves.Add(new DatesAndRates(Currency.USD, valueDate, new[] { valueDate, valueDate.AddMonths(240) },
new[] { 0.01, 0.01 }));
otherCcyHwParams.Add(new HWParams {
vol = 0.01, meanReversionSpeed = 0.05
});
otherCcyRequiredIndices.Add(new List <FloatingIndex> {
FloatingIndex.LIBOR3M
});
// EUR HW specs
otherCcys.Add(Currency.EUR);
otherCcyCurves.Add(new DatesAndRates(Currency.EUR, valueDate, new[] { valueDate, valueDate.AddMonths(240) },
new[] { 0.005, 0.005 }));
otherCcyHwParams.Add(new HWParams {
vol = 0.01, meanReversionSpeed = 0.05
});
otherCcyRequiredIndices.Add(new List <FloatingIndex> {
FloatingIndex.EURIBOR3M
});
// Construct the model
var model = new MultiHWAndFXToy(valueDate, zarCurve, zarRequiredIndices, zarHWParams,
otherCcys, spots, vols, otherCcyCurves, otherCcyRequiredIndices, otherCcyHwParams, correlations);
var portfolio = new List <Product>();
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, -15e6, FloatingIndex.JIBAR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.EUR, valueDate, +1e6, FloatingIndex.EURIBOR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, 13e6, FloatingIndex.JIBAR3M, 13));
portfolio.Add(CreateFloatingLeg(Currency.USD, valueDate, -1e6, FloatingIndex.EURIBOR3M, 13));
portfolio.Add(IRSwap.CreateZARSwap(0.07, true, 20e6, valueDate, Tenor.Years(4)));
var stepInMonths = 1;
var fwdValueDates = Enumerable.Range(1, 13 * 12 / stepInMonths)
.Select(i => valueDate.AddMonths(stepInMonths * i)).ToArray();
var coord = new Coordinator(model, new List <Simulator>(), 1000);
//coord.SetThreadedness(false);
var epe = coord.EPE(portfolio.ToArray(), valueDate, fwdValueDates);
Assert.AreEqual(1555002, epe[0], 5000);
Assert.AreEqual(2170370, epe[87], 5000);
Assert.AreEqual(0, epe[155], 5);
//Debug.WriteToFile("c:\\dev\\quantsa\\temp\\epeTest_2.csv", epe);
}
