/// <summary>
/// Computes today's value of an annuity factor for a vanilla
/// interest rate swap.
/// </summary>
/// <param name="forwardSwapRate">Forward swap rate, expressed as a
/// decimal.
/// Example: if the forward swap rate is 6.820177%, call the function
/// with the value 0.006820177.</param>
/// <param name="dfSwapStart">Discount factor from today to the start
/// of the swap.
/// Example: 6M option into a 2YR quarterly swap.
/// The appropriate discount factor is for the tenor 6M.</param>
/// <param name="dfSwapEnd">Discount factor from today to the end of
/// the swap.
/// Example: 6M option into a 2YR quarterly swap.
/// The appropriate discount factor is for the tenor (6M + 2YR).</param>
/// <returns>Annuity factor for a vanilla interest rate swap.</returns>
public double ComputeAnnuityFactor(double forwardSwapRate,
double dfSwapStart,
double dfSwapEnd)
{
return(SwapAnalytics.ComputeAnnuityFactor(forwardSwapRate,
dfSwapStart,
dfSwapEnd));
}
public void ComputeAnnuityFactorTest()
{
const double forwardSwapRate = 0.0615; // 6.15%
const double dfSwapStart = 0.95;
const double dfSwapEnd = 0.80;
const double Expected = 2.43902439;
double actual = SwapAnalytics.ComputeAnnuityFactor(forwardSwapRate, dfSwapStart, dfSwapEnd);
Assert.AreEqual(Expected, actual, 0.00000001);
}
public void TestComputeAnnuityFactor()
{
// Test #1: 2M option into a 3YR swap.
_forwardSwapRate = 6.820177 / 100.0;
_dfSwapStart = 0.99437584934;
_dfSwapEnd = 0.81178430567;
_expected = 2.67723;
_actual = SwapAnalytics.ComputeAnnuityFactor(_forwardSwapRate,
_dfSwapStart,
_dfSwapEnd);
Assert.AreEqual(_expected, _actual, _tolerance);
// Test #2: 6M option into a 4YR swap.
_forwardSwapRate = 6.824469 / 100.0;
_dfSwapStart = 0.96673145605;
_dfSwapEnd = 0.73858756401;
_expected = 3.33348;
_actual = SwapAnalytics.ComputeAnnuityFactor(_forwardSwapRate,
_dfSwapStart,
_dfSwapEnd);
// Test #3: 5YR option into a 10YR swap.
_forwardSwapRate = 6.352136 / 100.0;
_dfSwapStart = 0.73016181577;
_dfSwapEnd = 0.39069662207;
_expected = 5.34411;
_actual = SwapAnalytics.ComputeAnnuityFactor(_forwardSwapRate,
_dfSwapStart,
_dfSwapEnd);
// Test #4: 3YR option into a 7YR swap.
_forwardSwapRate = 6.507184 / 100.0;
_dfSwapStart = 0.81864063634;
_dfSwapEnd = 0.52290276017;
_expected = 4.54479;
_actual = SwapAnalytics.ComputeAnnuityFactor(_forwardSwapRate,
_dfSwapStart,
_dfSwapEnd);
}
