public void testFixing()
{
Date tradeDate = new Date( 17, Month.April, 2015 );
Calendar calendar = new UnitedKingdom();
Date settlementDate = calendar.advance( tradeDate, 2, TimeUnit.Days, BusinessDayConvention.Following );
Date maturityDate = calendar.advance( settlementDate, 5, TimeUnit.Years, BusinessDayConvention.Following );
Date valueDate = new Date( 20, Month.April, 2015 );
Settings.setEvaluationDate( valueDate );
List<Date> dates = new List<Date>();
dates.Add( valueDate );
dates.Add( valueDate + new Period( 1, TimeUnit.Years ) );
dates.Add( valueDate + new Period( 2, TimeUnit.Years ) );
dates.Add( valueDate + new Period( 5, TimeUnit.Years ) );
dates.Add( valueDate + new Period( 10, TimeUnit.Years ) );
dates.Add( valueDate + new Period( 20, TimeUnit.Years ) );
List<double> rates = new List<double>();
rates.Add( 0.01 );
rates.Add( 0.01 );
rates.Add( 0.01 );
rates.Add( 0.01 );
rates.Add( 0.01 );
rates.Add( 0.01 );
var discountCurveHandle = new RelinkableHandle<YieldTermStructure>();
var forecastCurveHandle = new RelinkableHandle<YieldTermStructure>();
GBPLibor index = new GBPLibor( new Period( 6, TimeUnit.Months ), forecastCurveHandle );
InterpolatedZeroCurve<Linear> zeroCurve = new InterpolatedZeroCurve<Linear>( dates, rates, new Actual360(), new Linear() );
var fixedSchedule = new Schedule( settlementDate, maturityDate, new Period( 1, TimeUnit.Years ), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
var floatSchedule = new Schedule( settlementDate, maturityDate, index.tenor(), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
VanillaSwap swap = new VanillaSwap( VanillaSwap.Type.Payer, 1000000, fixedSchedule, 0.01, new Actual360(), floatSchedule, index, 0, new Actual360() );
discountCurveHandle.linkTo( zeroCurve );
forecastCurveHandle.linkTo( zeroCurve );
var swapEngine = new DiscountingSwapEngine( discountCurveHandle, false, null );
swap.setPricingEngine( swapEngine );
try
{
double npv = swap.NPV();
}
catch ( Exception ex )
{
Assert.Fail( ex.Message );
Console.WriteLine( ex );
}
}
