// return forward start swap as same building block used in building curve recalculated starting on custom StartDate, Tenor is the tenor of swap
public double SwapFwd(Date StartDate, string Tenor)
{
// 1. Build the swap. Rate is not important I use 0.0
SwapStyle myS = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(StartDate, 0.0, Tenor, SwapType.buildingBlockType);
return(ParRate(myS));
}
public static double CapBlack(string Tenor, double strike, double N, IRateCurve curve, BilinearInterpolator VolCapletMatrix)
{
Date refDate = curve.RefDate();
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, 0, Tenor, curve.GetSwapStyle().buildingBlockType);
double[] yf = y.scheduleLeg2.GetYFVect(Dc._Act_360);
int toRemove = yf.Length - 1;
yf = yf.Where((val, inx) => inx != toRemove).ToArray();
List <Date> ToDate = y.scheduleLeg2.toDates.ToList();
ToDate.RemoveAt(ToDate.Count - 1); // remove last element
double[] T = (from c in ToDate
select refDate.YF_365(c)).ToArray();
// df- getting relevant dates
Date[] dfDate = y.scheduleLeg2.payDates;
int Ncaplet = yf.Length; // number of caplets
double[] df = new double[Ncaplet];
// fwd rate
double[] fwd = new double[Ncaplet];
Date[] fwdDate = y.scheduleLeg2.fromDates;
for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1
{ // first discount factor is on first payment date of caplet (first caplet skipped)
df[i] = curve.Df(dfDate[i + 1]);
fwd[i] = curve.Fwd(fwdDate[i + 1]);
}
double[] sigma = (from t in T
select VolCapletMatrix.Solve(t, strike)).ToArray();
return(CapBlack(T, yf, N, strike, sigma, df, fwd));
}
// calculate forward start swap
public double SwapFwd(Date StartDate, string Tenor)
{
// 1. Build the swap. Rate is not important I use 0.0
SwapStyle myS = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(StartDate, 0.0, Tenor, SwapType.buildingBlockType);
// 2. Calculate Par Rate
// fixed leg data
double[] yfFixLeg = myS.scheduleLeg1.GetYFVect(myS.swapLeg1.DayCount); // fixed is leg 1
// dfs array of fixed lag
double[] dfDates = Date.GetSerialValue(myS.scheduleLeg1.payDates); // serial date of fixed lag (each dates we should find df)
// Vector<double> k = PostProcessInterpo.Curve(new Vector<double>(dfDates, 0));
double[] dfFixLeg = PostProcessInterpo.Curve(dfDates); // get interpolated value (i.e. log df or log r or...
// transform interpolated value back to discount factor
for (int i = 0; i < yfFixLeg.Length; i
++)
{
dfFixLeg[i] = interpAdapter.FromInterpToDf(dfFixLeg[i], dfDates[i]);
}
// Interpolation Methods for Curve Construction PATRICK S. HAGAN & GRAEME WEST Applied Mathematical Finance,Vol. 13, No. 2, 89–129, June 2006
// Formula 2) page 4
double iniDf = interpAdapter.FromInterpToDf(PostProcessInterpo.Solve(StartDate.SerialValue), StartDate.SerialValue);
return(Formula.ParRate(yfFixLeg, dfFixLeg, iniDf)); // Calculate par rate
}
protected void PrePorcessData(RateSet rateSetMC, ISingleRateCurve DiscountingCurve)
{
this.refDate = rateSetMC.refDate;
this.DCurve = DiscountingCurve; // my curve used in discounting
FWDInterpolator = new Interpolation(); // Interpolator used in fwd
this.mktRateSet = rateSetMC; // pass market rate set
// Create Building block
IEnumerable <BuildingBlock> BB = mktRateSet.GetArrayOfBB();
// Sort ascending end date
BBArray = from c in BB
orderby c.endDate.SerialValue ascending
select c;
// Only Given Swap from BBArray
OnlyGivenSwap = (from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select(SwapStyle) c).ToArray();
// validating underlying tenor: swap should be all vs the same tenor
string UnderlyingTenor = ((SwapStyle)OnlyGivenSwap.First()).swapLeg2.UnderlyingRateTenor;
// Getting the fixing
fixing = (from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
where c.endDate == refDate.add_period(UnderlyingTenor)
select c.rateValue).Single();
// From date of each fwd rate from longer swap(LS)
// FromDatesSerial = Date.GetSerialValue(OnlyGivenSwap.Last().scheduleLeg2.fromDates);
List <double> SerialDate = (from c in OnlyGivenSwap
select c.scheduleLeg2.fromDates.Last().SerialValue).ToList <double>();
// adding reference date at beginning (this is important since I use the fixing)
SerialDate.Insert(0, refDate.SerialValue);
FromDatesSerial = SerialDate.ToArray();
// some data validation: swap should be all of same building block
// the type of building block
BuildingBlockType BBT = OnlyGivenSwap[0].buildingBlockType;
// Are all them the same?
bool IsSameSwapType = OnlyGivenSwap.All(s => s.buildingBlockType == BBT);
if (IsSameSwapType) // if true
{
// it is swap type used as inputs (i.e. EurSwapVs6m, EurSwapVs3m, ...)
SwapType = (SwapStyle) new BuildingBlockFactory().CreateEmptyBuildingBlock(BBT);
}
else
{
throw new ArgumentException("error in building blocktype"); // if not throw an exception
}
}
// NPV of swap
public static double NPV(SwapStyle BB, IRateCurve c, bool PayOrRec)
{
#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
}
#endregion
#region FloatLeg
// floating 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 leg (each dates we should find df)
Date[] FromDateFloat = BB.scheduleLeg2.fromDates;
// # of floating cash flows
int n_float = dfDatesFloat.Length;
double[] fwd = new double[n_float]; // fwd rates 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
if (!PayOrRec)
{
return(-NPV_fix + NPV_float);
} // Receiver Swap
return(NPV_fix - NPV_float); // NPV Payer Swap
}
public VanillaSwap(IMultiRateCurve MultiCurve, double Rate, string SwapTenor, bool PayOrRec, double Nominal)
{
// Standard swap
Type SwapType = MultiCurve.GetSwapStyle().GetType();
Date myRefDate = MultiCurve.RefDate();
// using reflection
this.mySwap = (SwapStyle)Activator.CreateInstance(SwapType, myRefDate, Rate, SwapTenor);
this.payOrRec = PayOrRec;
this.multiCurve = MultiCurve;
this.nominal = Nominal;
}
private delegate double SwapRate(SwapStyle S); // used in function to calculate swap rate
private double ParRate(SwapStyle S)
{ // floating leg data
double[] yfFloatLeg = S.scheduleLeg2.GetYFVect(S.swapLeg2.DayCount); // floating leg is leg 2
double[] dfFloatLeg = (from c in S.scheduleLeg2.payDates
select DCurve.Df(c)).ToArray();
double[] fwdFloatLeg = (from c in S.scheduleLeg2.fromDates
select FWDInterpolator.Solve(c.SerialValue)).ToArray();
// fixed leg data
double[] yfFixLeg = S.scheduleLeg1.GetYFVect(S.swapLeg1.DayCount); // fixed is leg 1
double[] dfFixLeg = (from c in S.scheduleLeg1.payDates
select DCurve.Df(c)).ToArray();
// calculate par swap rate according to given data
return(Formula.ParRateFormula(yfFloatLeg, dfFloatLeg, fwdFloatLeg, yfFixLeg, dfFixLeg));
}
public static double Swaption(double N, double K, string Start, string SwapTenor, bool isPayer, double sigma, IRateCurve Curve)
{
Date refDate = Curve.RefDate(); // curve ref date
// false/true with fwd swap matrix
Date startDate = refDate.add_period(Start, false); // swap start 2 business days after the expiry
Date expDate = startDate.add_workdays(-2); // expiry of swaption
Date today = refDate.add_workdays(-2);
double T = today.YF_365(expDate);
Period p = new Period(SwapTenor); // should be in year 1Y, 2Y (not 3m,...)
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(startDate, 0, SwapTenor, Curve.GetSwapStyle().buildingBlockType);
double[] yf = y.scheduleLeg1.GetYFVect(Dc._30_360);
double[] df = (from payDay in y.scheduleLeg1.payDates
select Curve.Df(payDay)).ToArray();
return(Swaption(N, Curve.SwapFwd(startDate, SwapTenor), K, sigma, T, isPayer, yf, df));
}
// constructor
public CapletMatrixVolBuilder(string[] Tenor, IRateCurve Curve, double[] strike, List <double[]> VolSilos)
{
#region preparing data
// yf of longer cap
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(Curve.RefDate(), 0, Tenor.Last(), Curve.GetSwapStyle().buildingBlockType);
double[] yf = y.scheduleLeg2.GetYFVect(Dc._Act_360);
int toRemove = yf.Length - 1;
yf = yf.Where((val, inx) => inx != toRemove).ToArray();
// T all tenor needed. They are more than input
Date refDate = Curve.RefDate();
List <Date> ToDate = y.scheduleLeg2.toDates.ToList();
ToDate.RemoveAt(ToDate.Count - 1); // remove last element
double[] T = (from c in ToDate
select refDate.YF_365(c)).ToArray();
// available T from input
double[] Tquoted = new double[Tenor.Length];
for (int i = 0; i < Tquoted.Length; i++)
{ // calculate yf of each available T as it was a swap
SwapStyle myS = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(Curve.RefDate(), 0, Tenor[i], Curve.GetSwapStyle().buildingBlockType);
int L = myS.scheduleLeg2.toDates.Count() - 1;
Date[] toDate = myS.scheduleLeg2.toDates;
Tquoted[i] = refDate.YF_365(toDate[L - 1]);
}
// df- getting relevant dates
Date[] dfDate = y.scheduleLeg2.payDates;
int Ncaplet = yf.Length; // number of caplets
double[] df = new double[Ncaplet];
// fwd rate
double[] fwd = new double[Ncaplet];
Date[] fwdDate = y.scheduleLeg2.fromDates;
for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1
{ // first discount factor is on first payment date of caplet (first caplet skipped)
df[i] = Curve.Df(dfDate[i + 1]);
fwd[i] = Curve.Fwd(fwdDate[i + 1]);
}
#endregion
Ini(T, df, fwd, yf, Tquoted, VolSilos, strike);
}
// used in constructor
private void Ini(string tenor, IRateCurve curve, BilinearInterpolator capletVolMatrix, double nominal)
{
stringTenor = tenor;
rateCurve = curve;
volMatrix = capletVolMatrix;
N = nominal;
// yf of longer cap
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(curve.RefDate(), 0, tenor, curve.GetSwapStyle().buildingBlockType);
yf = y.scheduleLeg2.GetYFVect(Dc._Act_360);
capSchedule = y.scheduleLeg2;
int toRemove = yf.Length - 1;
yf = yf.Where((val, inx) => inx != toRemove).ToArray();
// T all tenor needed. They are more than input
Date refDate = curve.RefDate();
List <Date> ToDate = y.scheduleLeg2.toDates.ToList();
ToDate.RemoveAt(ToDate.Count - 1); // remove last element
T = (from c in ToDate
select refDate.YF_365(c)).ToArray();
// df- getting relevant dates
Date[] dfDate = y.scheduleLeg2.payDates;
int Ncaplet = yf.Length; // number of caplets
df = new double[Ncaplet];
// fwd rate
fwd = new double[Ncaplet];
Date[] fwdDate = y.scheduleLeg2.fromDates;
for (int i = 0; i < Ncaplet; i++) // Note the loop start from 1
{ // first discount factor is on first payment date of caplet (first caplet skipped)
df[i] = curve.Df(dfDate[i + 1]);
fwd[i] = curve.Fwd(fwdDate[i + 1]);
}
}
public RateSet mktRateSet; // market starting data
// constructor: RateSet rateSet are market data inputs
public SingleCurveBuilder(RateSet rateSet)
{
// RefDate
refDate = rateSet.refDate;
PostProcessInterpo = new Interpolation(); // Post process interpolator
interpAdapter = new DoInterpOn();
mktRateSet = rateSet;
// Create Building block
IEnumerable <BuildingBlock> BB = rateSet.GetArrayOfBB();
// Sort ascending end date
BBArray = from c in BB
orderby c.endDate.SerialValue ascending
select c;
// Only Given Swap from BBArray
OnlyGivenSwap = (from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select(SwapStyle) c).ToArray();
// some data validation: swap should be all of same building block
// the type of building block
BuildingBlockType BBT = OnlyGivenSwap[0].buildingBlockType;
// Are all them the same?
bool IsSameSwapType = OnlyGivenSwap.All(s => s.buildingBlockType == BBT);
if (IsSameSwapType) // if true
{
// it is swap type used as inputs (i.e. EurSwapVs6m, EurSwapVs3m, ...)
SwapType = (SwapStyle) new BuildingBlockFactory().CreateEmptyBuildingBlock(BBT);
}
else
{
throw new ArgumentException("error in building blocktype"); // if not throw an exception
}
}
public static double FwdBasis(Date StartDate, string SwapTenor, IRateCurve Curve1, IRateCurve Curve2)
{
SwapStyle S1 = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(StartDate, 0.0, SwapTenor, Curve1.GetSwapStyle().buildingBlockType);
SwapStyle S2 = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(StartDate, 0.0, SwapTenor, Curve2.GetSwapStyle().buildingBlockType);
double[] yfFloatLeg1 = S1.scheduleLeg2.GetYFVect(S1.swapLeg2.DayCount);
// using LINQ syntax
double[] dfFloatLeg1 = (from d in S1.scheduleLeg2.payDates
select Curve1.Df(d)).ToArray <double>();
double[] fwdFloatLeg1 = (from d in S1.scheduleLeg2.fromDates
select Curve1.Fwd(d)).ToArray <double>();
double[] yfFloatLeg2 = S2.scheduleLeg2.GetYFVect(S2.swapLeg2.DayCount);
// using LINQ syntax
double[] dfFloatLeg2 = (from d in S2.scheduleLeg2.payDates
select Curve2.Df(d)).ToArray <double>();
double[] fwdFloatLeg2 = (from d in S2.scheduleLeg2.fromDates
select Curve2.Fwd(d)).ToArray <double>();
return(SpreadBasisFormula(yfFloatLeg1, dfFloatLeg1, fwdFloatLeg1,
yfFloatLeg2, dfFloatLeg2, fwdFloatLeg2));
}
// More on sensitivities calc
public static void MoreOnSensitivities()
{
#region Inputs
// Start input
Date refDate = new Date(2010, 10, 11);
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(1.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(1.435e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(1.720e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(1.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
#endregion end Inputs
#region building curve
List <ISingleRateCurve> Curves = new List <ISingleRateCurve>();
// initialised each class and add to list. You can add more curves
// Setup (a) in Table 15.3
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> c2 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear); Curves.Add(c2);
// Setup (b) in Table 15.3
SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> c1 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates); Curves.Add(c1);
string swapTenor = "11y"; // you can change it
#endregion end building curve
#region myFunction
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[] toDateFloat = BB.scheduleLeg2.toDates;
// # of fixed cash flows
int n_float = dfDatesFloat.Length;
double[] fwd = new double[n_float];
fwd[0] = ((1 / c.Df(toDateFloat[0])) - 1) / refDate.YF(toDateFloat[0], Dc._Act_360);;
for (int i = 1; i < n_float; i++)
{
double yf = toDateFloat[i - 1].YF(toDateFloat[i], Dc._Act_360);
double df_ini = c.Df(toDateFloat[i - 1]);
double df_end = c.Df(toDateFloat[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
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);
};
#endregion
#region Print results
foreach (ISingleRateCurve C in Curves)
{
double swapRate = C.SwapFwd(refDate, swapTenor);
IRateCurve[] cs = C.ShiftedCurveArray(0.0001); IRateCurve csp = C.ParallelShift(0.0001);
// initialise some variable used in sensitivities
double sens = 0.0;
double runSum = 0.0;
// standard
Console.WriteLine(C.ToString());
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
double iniMTM = NPV(y, C) * 100000000;
Console.WriteLine("{0} swap ATM fwd: {1:f5}", swapTenor, swapRate);
Console.WriteLine("Starting P&L {0:f}", iniMTM);
int nOfRate = mktRates.Count;
for (int i = 0; i < nOfRate; i++)
{
sens = NPV(y, cs[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("Parallel Total: {0:f}", NPV(y, csp) * 100000000 - iniMTM);
Console.WriteLine("Press a key to continue"); Console.ReadLine();
}
#endregion
}
// Prepare data to be used in Solve()
protected override void PreProcessInputs()
{
/*
* 1) Check if input data are ok (data validation): from date contained
* 2) I choose the Longer Swap (LS)
* 3) I get array of dates of payment of LS (pass it to data member)
* 4) I get array of year fraction of LS (pass it to data member)
*/
// From date of each fwd rate from longer swap(LS)
List <double> FromDatesSerial = Date.GetSerialValue(OnlyGivenSwap.Last().scheduleLeg2.fromDates).ToList <double>();
// validating underlying tenor: swap should be all vs the same tenor
string UnderlyingTenor = ((SwapStyle)OnlyGivenSwap.First()).swapLeg2.UnderlyingRateTenor;
foreach (SwapStyle b in OnlyGivenSwap)
{
// Check if contained
if (!FromDatesSerial.Contains(((SwapStyle)b).scheduleLeg2.fromDates.Last().SerialValue))
{
throw new ArgumentException("From date not contained");
}
}
DateDf = new SortedList <double, double>(); // Inizialize DateDF
DateDf.Add(refDate.SerialValue, 1.0); // first discount factor
// IEnumerable<KeyValuePair<double,double>>
var f = from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
where c.endDate != refDate.add_period(UnderlyingTenor)
let yf = refDate.YF(c.endDate, c.dayCount) // year fraction
let df = Formula.DFsimple(yf, c.rateValue) // calculate discount factor
select new KeyValuePair <double, double>(c.endDate.SerialValue, df);
foreach (KeyValuePair <double, double> kpv in f)
{
DateDf.Add(kpv.Key, kpv.Value);
}
// Getting the fixing
fixing = (from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
where c.endDate == refDate.add_period(UnderlyingTenor)
select c.rateValue).Single();
// Inizialize some data member
SwapStyle LongerSwap = OnlyGivenSwap.Last(); // Swap with longer maturity
// Year Fraction of floating leg of longer swap. It is needed to calculate DF
yfFloatLegLongerSwap = LongerSwap.scheduleLeg2.GetYFVect(LongerSwap.swapLeg2.DayCount); // floating leg is leg 2
// Dates on which I calculate Df
DatesDfLongerSwap = Date.GetSerialValue(LongerSwap.scheduleLeg2.payDates);
// number of fwd rate to find
N = DatesDfLongerSwap.Length;
// fwd rate of longer swap
fwdGuessLongerSwap = new double[N];
fwdGuessLongerSwap[0] = fixing; // first is the fixing
}
// 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
}
// Print on excel forward rate using different curve builder for 3m
public static void CheckFwdRatesVs3m()
{
#region Inputs
// Start input
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(0.434e-2, "3m", BuildingBlockType.EURDEPO);
// Swap Vs 3M
mktRates.Add(0.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.096e-2, "2Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.322e-2, "3Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.529e-2, "4Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.709e-2, "5Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.862e-2, "6Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(1.991e-2, "7Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.101e-2, "8Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.197e-2, "9Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.285e-2, "10Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.443e-2, "12Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.614e-2, "15Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.711e-2, "20Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.671e-2, "25Y", BuildingBlockType.EURSWAP3M);
mktRates.Add(2.589e-2, "30Y", BuildingBlockType.EURSWAP3M);
#endregion end Inputs
#region building curve
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
double firstFixing = 0.434e-2; SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderSmoothingFwd <OnLogDf, SimpleCubicInterpolator>(mktRates, firstFixing);
SingleCurveBuilderStandard <OnLogDf, LinearInterpolator> C3 = new SingleCurveBuilderStandard <OnLogDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
#endregion end building curve
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
CurveList.Add(C3); CurveString.Add(C3.ToString());
#region printing output
// I get the longer swap
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Dc dc = Dc._Act_360;
Date[] FromDate = LS.scheduleLeg2.fromDates;
Date[] ToDate = LS.scheduleLeg2.toDates;
int N = FromDate.Length;
List <Vector <double> > Fwds = new List <Vector <double> >();
double[] dt = new double[N];
for (int i = 0; i < N; i++)
{
dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
}
foreach (IRateCurve myC in CurveList)
{
double[] fwd = new double[N];
for (int i = 0; i < N; i++)
{
double yf = FromDate[i].YF(ToDate[i], dc);
double df_ini = myC.Df(FromDate[i]);
double df_end = myC.Df(ToDate[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
Fwds.Add(new Vector <double>(fwd));
}
ExcelMechanisms exl = new ExcelMechanisms();
exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd vs 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
// Print on excel forward rate using different curve builder for OIS fwd 3m
public static void CheckFwdRatesOIS3m()
{
#region Inputs
// ref date
Date refDate = (new Date(DateTime.Now)).mod_foll();
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
mktRates.Add(2.338e-2, "1d", BuildingBlockType.EURDEPO); //
mktRates.Add(2.272e-2, "1w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.241e-2, "2w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.16e-2, "3w", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.226e-2, "1m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.299e-2, "2m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.323e-2, "3m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.344e-2, "4m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.371e-2, "5m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.39e-2, "6m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.41e-2, "7m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.4316e-2, "8m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.449e-2, "9m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.466e-2, "10m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.48e-2, "11m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.529e-2, "15m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.565e-2, "18m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.603e-2, "21m", BuildingBlockType.EONIASWAP); //
mktRates.Add(2.493e-2, "1Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.644e-2, "2Y", BuildingBlockType.EONIASWAP);
mktRates.Add(2.849e-2, "3Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.08e-2, "4Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.292e-2, "5Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.471e-2, "6Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.621e-2, "7Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.748e-2, "8Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.86e-2, "9Y", BuildingBlockType.EONIASWAP);
mktRates.Add(3.965e-2, "10Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.064e-2, "11Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.155e-2, "12Y", BuildingBlockType.EONIASWAP);
// From here interpolation is need
mktRates.Add(4.358e-2, "15Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.48e-2, "20Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.465e-2, "25Y", BuildingBlockType.EONIASWAP);
mktRates.Add(4.415e-2, "30Y", BuildingBlockType.EONIASWAP);
List <IRateCurve> CurveList = new List <IRateCurve>(); // list containing curve
List <string> CurveString = new List <string>(); // list containing labels
#endregion end Inputs
#region building curve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> C1 = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(mktRates, OneDimensionInterpolation.Linear);
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> C2 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
#endregion end building curve
// populate lists
CurveList.Add(C1); CurveString.Add(C1.ToString());
CurveList.Add(C2); CurveString.Add(C2.ToString());
#region printing output
// I get the longer eonia swap available from the input data
SwapStyle LS = (SwapStyle)mktRates.GetArrayOfBB().Last();
Schedule s = new Schedule(refDate, LS.endDate, "3m", Rule.Backward, LS.swapLeg1.SwapBusDayRollsAdj, "0d", LS.swapLeg1.SwapBusDayPayAdj);
Dc dc = Dc._Act_360;
Date[] FromDate = s.fromDates;
Date[] ToDate = s.toDates;
int N = FromDate.Length;
List <Vector <double> > Fwds = new List <Vector <double> >();
double[] dt = new double[N];
for (int i = 0; i < N; i++)
{
dt[i] = FromDate[0].YF(ToDate[i], Dc._30_360);
}
foreach (IRateCurve myC in CurveList)
{
double[] fwd = new double[N];
for (int i = 0; i < N; i++)
{
double yf = FromDate[i].YF(ToDate[i], dc);
double df_ini = myC.Df(FromDate[i]);
double df_end = myC.Df(ToDate[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
Fwds.Add(new Vector <double>(fwd));
}
ExcelMechanisms exl = new ExcelMechanisms();
exl.printInExcel(new Vector <double>(dt), CurveString, Fwds, "Fwd 3M", "time", "rate"); // .printInExcel<T>
#endregion end printing output
}
// Calculate sensitivities
public static void Sensitivities()
{
#region Inputs
// Start input
Date refDate = new Date(2019, 2, 25);
// I populate market rates set: from file, from real time, ...
RateSet mktRates = new RateSet(refDate);
// Depos
mktRates.Add(1.243e-2, "1m", BuildingBlockType.EURDEPO);
mktRates.Add(1.435e-2, "3m", BuildingBlockType.EURDEPO);
mktRates.Add(1.720e-2, "6m", BuildingBlockType.EURDEPO);
// Swap Vs 6M
mktRates.Add(1.869e-2, "1Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.316e-2, "2Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.544e-2, "3Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.745e-2, "4Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(2.915e-2, "5Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.057e-2, "6Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.175e-2, "7Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.273e-2, "8Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.362e-2, "9Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.442e-2, "10Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.589e-2, "12Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.750e-2, "15Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.835e-2, "20Y", BuildingBlockType.EURSWAP6M);
mktRates.Add(3.787e-2, "25Y", BuildingBlockType.EURSWAP6M);
// I shift 1bp up 10y swap input rate
int IndexShifted = 12;
RateSet mktRates2 = mktRates.ShiftedRateSet(IndexShifted, 0.0001);
// print out first and second market input rates
for (int i = 0; i < mktRates.Count; i++)
{
Console.WriteLine("First: {0} {1} Second: {2} {3}", mktRates.Item(i).M.GetPeriodStringFormat(), mktRates.Item(i).V, mktRates2.Item(i).M.GetPeriodStringFormat(), mktRates2.Item(i).V);
}
#endregion end Inputs
#region building curve
// First curve: using markets rates
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> c1 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates);
// Second curve: like c1 but 10Y input rate is shifted
SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator> c2 = new SingleCurveBuilderInterpBestFit <OnLogDf, SimpleCubicInterpolator>(mktRates2);
string swapTenor = "10y"; // you can change it
#endregion end building curve
#region myFunction
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[] toDateFloat = BB.scheduleLeg2.toDates;
// # of fixed cash flows
int n_float = dfDatesFloat.Length;
double[] fwd = new double[n_float];
fwd[0] = ((1 / c.Df(toDateFloat[0])) - 1) / refDate.YF(toDateFloat[0], Dc._Act_360);;
for (int i = 1; i < n_float; i++)
{
double yf = toDateFloat[i - 1].YF(toDateFloat[i], Dc._Act_360);
double df_ini = c.Df(toDateFloat[i - 1]);
double df_end = c.Df(toDateFloat[i]);
fwd[i] = ((df_ini / df_end) - 1) / yf;
}
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);
};
#endregion
#region Print results
// test forward swap starting in ref date (it should be like simple spot swap)
double swapRate = c1.SwapFwd(refDate, swapTenor);
// I create the swap according to standard convention
SwapStyle y = (SwapStyle) new BuildingBlockFactory().CreateBuildingBlock(refDate, swapRate, swapTenor, BuildingBlockType.EURSWAP6M);
// initial NPV
double iniMTM = NPV(y, c1) * 100000000;
// print out
Console.WriteLine("IRS to be priced tenor: {0}. IRS to be priced rate: {1:f5}", swapTenor, swapRate);
Console.WriteLine("{0} swap ATM fwd according the starting curve: {1:f5}. Starting P&L {2:f}", swapTenor, swapRate, iniMTM);
Console.WriteLine("Let's shift {0} rate from {1:f5} to {2:f5}", mktRates.Item(IndexShifted).M.GetPeriodStringFormat(), mktRates.Item(IndexShifted).V, mktRates2.Item(IndexShifted).V);
// NPV after shift
double endMTM = NPV(y, c2) * 100000000;
Console.WriteLine("{0} swap ATM fwd after shifting: {1:f5}. P&L after shifting {2:f}", swapTenor, c2.SwapFwd(refDate, swapTenor), endMTM);
Console.WriteLine("Press a key to continue"); Console.ReadLine();
#endregion
}
