public void BeforeScenario()
{
#if DEBUG
// Ensure recycling issues are not carried over
ObjectCacheTestHelper.ResetCounters();
ServerObjectCacheTestHelper.ResetCounters();
ClientObjectCacheTestHelper.ResetCounters();
ObjectCacheHelper.ResetCounters();
ServerObjectCacheHelper.ResetCounters();
ClientObjectCacheHelper.ResetCounters();
ExpectedUnaccountedForAutoRecyclingArrays = 0;
ExpectedUnaccountedForDarkRiftReaders = 0;
ExpectedUnaccountedForDarkRiftWriters = 0;
ExpectedUnaccountedForMessages = 0;
ExpectedUnaccountedForMessageBuffers = 0;
ExpectedUnaccountedForSocketAsyncEventArgs = 0;
ExpectedUnaccountedForActionDispatcherTasks = 0;
ExpectedUnaccountedForServerMessageReceviedEventArgs = 0;
ExpectedUnaccountedForServerServerMessageReceviedEventArgs = 0;
ExpectedUnaccountedForClientMessageReceviedEventArgs = 0;
ExpectedUnaccountedForMemory = 0;
#endif
}
public void TestPricingStructure()
{
var equityProperties = new NamedValueSet();
equityProperties.Set(CurveProp.PricingStructureType, "EquityWingVolatilityMatrix");
equityProperties.Set("BuildDateTime", DateTime.Today);
equityProperties.Set(CurveProp.BaseDate, DateTime.Today);
equityProperties.Set(CurveProp.Market, "LIVE");
equityProperties.Set("Identifier", "EquityWingVolatilityMatrix.AUD-BHP.07/01/2010");
equityProperties.Set("Currency", "AUD");
equityProperties.Set("CommodityAsset", "Stock");
equityProperties.Set(CurveProp.CurveName, "AUD-BHP-EquityTradingDesk");
equityProperties.Set("Algorithm", "SABR");
string[] strikes = new string[10] {
"0.5", "0.6", "0.75", "0.9", "1", "1.1", "1.25", "1.4", "1.5", "1.6"
};
string[] times = new string[2] {
"3d", "5d"
};
//string[] times = new string[10] { "1d", "2d", "3d", "5d", "1m", "3m", "6m", "1y", "2y", "5y" };
double[,] vols = new double[2, 10] {
{ 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d },
{ 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d }
};
/* { 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d} ,
* { 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d} ,
* { 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d} ,
* { 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d} ,
* { 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d} ,
* { 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d} ,
* { 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d} ,
* { 0.5d, 0.49d, 0.49d, 0.48d, 0.47d, 0.455d, 0.45d, 0.45d, 0.45d, 0.46d}
* }; */
double[] forwards = new double[3] {
6.90d, 7d, 7.5d
};
string id = ObjectCacheHelper.CreateVolatilitySurfaceWithProperties(equityProperties, times, strikes, vols, forwards);
//Get the curvbe.
var pricingStructure = (IStrikeVolatilitySurface)ObjectCacheHelper.GetPricingStructureFromSerialisable(id);
var rows = times.Length;
var width = strikes.Length;
//popultate the result matrix.
var result = new double[rows, width];
for (var i = 0; i < rows; i++)
{
for (var j = 0; j < width; j++)
{
result[i, j] = pricingStructure.GetValueByExpiryTermAndStrike(times[i], forwards[i + 1] * Convert.ToDouble(strikes[j]));
}
}
}
public static string BuildAndCacheRateCurve(DateTime baseDate)
{
var curve = TestRateCurve(baseDate);
string curveId = curve.GetPricingStructureId().UniqueIdentifier;
ObjectCacheHelper.SetPricingStructureAsSerialisable(curve);
return(curveId);
}
public void CreateStructuredFloorTest()
{
#region Initialise
QRLib.PricingStructures.ClearCache();
string rateCurveId = BuildMarket(_baseDate);
IMarketEnvironment marketEnvironment = ObjectCacheHelper.GetMarket(_marketEnvironmentId);
#endregion
#region Define the Swap
const string id = "TestStructuredFloor";
object[,] capFloorTerms
=
{
{ "DealReferenceIdentifier", id },
{ "BasePartyBuySellsInd", "Sells" },
{ "CounterpartyName", "ANZ" },
{ "DealType", "Floor" },
};
object[,] streamTerms
=
{
{ "NotionalAmount", "1000000" },
{ "Currency", "AUD" },
{ "DayCountConvention", "ACT/365.FIXED" },
{ "DiscountingType", "Standard" },
{ "DiscountCurveReference", rateCurveId },
{ "ForwardCurveReference", rateCurveId },
{ "VolatilityCurveReference", _volatilityStructureId },
{ "RateIndexName", "AUD-LIBOR-BBA" },
{ "RateIndexTenor", "6m" },
{ "StrikePrice", "0.07" },
};
const double notionalAmount = -1000000;
object[,] couponMatrix
=
{
{ "StartDate", "EndDate", "NotionalAmount", "StrikePrice" },
{ new DateTime(2009, 09, 04), new DateTime(2010, 03, 01), notionalAmount, "0.07"},
{ new DateTime(2010, 03, 01), new DateTime(2010, 09, 01), notionalAmount, "0.07"},
{ new DateTime(2010, 09, 01), new DateTime(2011, 03, 01), notionalAmount, "0.07"},
{ new DateTime(2011, 03, 01), new DateTime(2011, 09, 05), notionalAmount, "0.07"},
};
#endregion
#region Define the Valuation Criteria
string[] requiredMetrics = { "NPV", "BreakEvenRate" };
#endregion
#region Create & Value the Swap
string returnedId = QRLib.Rates.InterestRateCapFloor.CreateStructured(capFloorTerms, streamTerms, couponMatrix);
Assert.AreEqual(id, returnedId);
InterestRateCapFloor capFloor = ProductHelper.Get <InterestRateCapFloor>(id);
Assert.IsNotNull(capFloor);
CreditSettings creditSettings = new CreditSettings(ServerStore.Client);
IDictionary <string, object> valuation = capFloor.BasicValuation(_baseDate, marketEnvironment, requiredMetrics, creditSettings);
#endregion
#region Validate the Results
Assert.AreEqual(CapBreakEvenRate, Convert.ToDouble(valuation["BreakEvenRate"]), 0.0000001);
Assert.AreEqual(_pv, Convert.ToDouble(valuation["NPV"]), 3);
#endregion
#region Reset
QRLib.PricingStructures.ClearCache();
#endregion
}
public void CreateAmortisedFloorTest()
{
#region Initialise
QRLib.PricingStructures.ClearCache();
string rateCurveId = BuildMarket(_baseDate);
IMarketEnvironment marketEnvironment = ObjectCacheHelper.GetMarket(_marketEnvironmentId);
#endregion
#region Define the Swap
const string id = "TestAmortisedFloor";
object[,] capFloorTerms
=
{
{ "DealReferenceIdentifier", id },
{ "BasePartyBuySellsInd", "Sells" },
{ "CounterpartyName", "ANZ" },
{ "DealType", "Floor" },
{ "EffectiveDate", _baseDate },
{ "TerminationDate", _baseDate.AddYears(2) },
{ "AdjustCalculationDates", true },
};
object[,] streamTerms
=
{
{ "NotionalAmount", "1000000" },
{ "Currency", "AUD" },
{ "ScheduleGeneration", "Forward" },
{ "BusinessCenters", "Sydney" },
{ "CouponPeriod", "6m" },
{ "RollDay", "1" },
{ "CouponDateAdjustment", "FOLLOWING" },
{ "DayCountConvention", "ACT/365.FIXED" },
{ "DiscountingType", "Standard" },
{ "DiscountCurveReference", rateCurveId },
{ "FixedOrObservedRate", "0.07" },
{ "ObservedRateSpecified", "FALSE" },
{ "ForwardCurveReference", rateCurveId },
{ "FixingDateBusinessCenters", "Sydney" },
{ "FixingDateResetInterval", "0D" },
{ "FixingDateAdjustmentConvention", "NONE" },
{ "RateIndexName", "AUD-LIBOR-BBA" },
{ "RateIndexTenor", "6m" },
{ "Spread", "0" },
{ "VolatilityCurveReference", _volatilityStructureId },
{ "StrikePrice", "0.07" },
};
#endregion
#region Define the Valuation Criteria
string[] requiredMetrics = { "NPV", "BreakEvenRate" };
#endregion
#region Create & Value the Swap
string returnedId = QRLib.Rates.InterestRateCapFloor.CreateAmortised(capFloorTerms, streamTerms, null);
Assert.AreEqual(id, returnedId);
InterestRateCapFloor capFloor = ProductHelper.Get <InterestRateCapFloor>(id);
Assert.IsNotNull(capFloor);
CreditSettings creditSettings = new CreditSettings(ServerStore.Client);
IDictionary <string, object> valuation = capFloor.BasicValuation(_baseDate, marketEnvironment, requiredMetrics, creditSettings);
#endregion
#region Validate the Results
Assert.AreEqual(CapBreakEvenRate, Convert.ToDouble(valuation["BreakEvenRate"]), 0.0000001);
Assert.AreEqual(_pv, Convert.ToDouble(valuation["NPV"]), 3);
#endregion
#region Reset
QRLib.PricingStructures.ClearCache();
#endregion
}
