public static double ValueZARSwap1Curve([ExcelArgument(Description = "The name of the swap.")] IRSwap swap,
[ExcelArgument(Description = "The date on which valuation is required. Cannot be before the anchor date of the curve.")] Date valueDate,
[ExcelArgument(Description = "The discounting curve. Will also be used for forecasting Jibar and providing the most recent required Jibar fix.")] IDiscountingSource curve)
{
// Get the required objects off the map
FloatingIndex index = swap.GetFloatingIndex();
// Calculate the first fixing off the curve to use at all past dates.
double df1 = curve.GetDF(valueDate);
Date laterDate = valueDate.AddTenor(index.tenor);
double df2 = curve.GetDF(laterDate);
double dt = (laterDate - valueDate) / 365.0;
double rate = (df1 / df2 - 1) / dt;
//Set up the valuation engine.
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(curve, index,
new FloatingRateFixingCurve1Rate(rate, index));
DeterminsiticCurves curveSim = new DeterminsiticCurves(curve);
curveSim.AddRateForecast(forecastCurve);
Coordinator coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
double value = coordinator.Value(new Product[] { swap }, valueDate);
return(value);
}
public void TestFixedLegsZARUSD()
{
Date[] cfDates = { new Date(2016, 12, 23), new Date(2017, 03, 23) };
var legZAR = new FixedLeg(TestHelpers.ZAR, cfDates, new double[] { -16000000, -16000000 }, new[] { 0.07, 0.07 },
new[] { 0.25, 0.25 });
var legUSD = new FixedLeg(TestHelpers.USD, cfDates, new double[] { 1000000, 1000000 }, new[] { 0.01, 0.01 },
new[] { 0.25, 0.25 });
// Set up the model
var valueDate = new Date(2016, 9, 23);
Date[] dates = { new Date(2016, 9, 23), new Date(2026, 9, 23) };
double[] rates = { 0.0725, 0.0725 };
double[] basisRates = { 0.0735, 0.0735 };
double[] usdRates = { 0.01, 0.012 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, rates);
IDiscountingSource zarBasis = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, basisRates);
IDiscountingSource usdCurve = new DatesAndRates(TestHelpers.USD, valueDate, dates, usdRates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, TestHelpers.Jibar3M, dates, rates);
IFXSource fxSource = new FXForecastCurve(TestHelpers.USDZAR, 13.66, usdCurve, zarBasis);
var curveSim = new DeterminsiticCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
curveSim.AddFXForecast(fxSource);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
var value = coordinator.Value(new Product[] { legZAR, legUSD }, valueDate);
var refValue = -477027.31; // See GeneralSwapTest.xlsx
Assert.AreEqual(refValue, value, 0.01);
}
public void TestSwap()
{
// Make the swap
var rate = 0.08;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.Years(5);
var swap = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
// Set up the model
var valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, FloatingIndex.JIBAR3M, dates, rates);
var curveSim = new DeterminsiticCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
var value = coordinator.Value(new Product[] { swap }, valueDate);
var refValue = -41838.32; // See RateProductTest.xlsx
Assert.AreEqual(refValue, value, 0.01);
}
public void TestCurveStripSingleCurve()
{
Date valueDate = new Date(2017, 1, 13);
Currency zar = Currency.ZAR;
double N = 1.0;
double r1 = 0.07;
double r2 = 0.075;
Date date1 = valueDate.AddMonths(3);
Date date2 = valueDate.AddMonths(6);
ZeroRatesCurveForStripping zarDiscUSDColl = new ZeroRatesCurveForStripping(valueDate, zar);
ZeroRatesCurveForStripping zarDisc = new ZeroRatesCurveForStripping(valueDate, zar);
Product depo1 = new CashLeg(new Date[] { valueDate, date1 }, new double[] { -N, N * (1 + r1 * 0.25) }, new Currency[] { zar, zar });
Product depo2 = new CashLeg(new Date[] { valueDate, date2 }, new double[] { -N, N * (1 + r2 * 0.5) }, new Currency[] { zar, zar });
DeterminsiticCurves modelZARDisc = new DeterminsiticCurves(zarDisc);
Coordinator coordZARDisc = new Coordinator(modelZARDisc, new List <Simulator>(), 1);
coordZARDisc.SetThreadedness(false);
MultiCurveStripper mcs = new MultiCurveStripper(valueDate);
mcs.AddDiscounting(depo1, () => coordZARDisc.Value(depo1, valueDate), N, 1.0, zarDisc);
mcs.AddDiscounting(depo2, () => coordZARDisc.Value(depo2, valueDate), N, 1.0, zarDisc);
mcs.Strip();
Assert.AreEqual(N, coordZARDisc.Value(depo1, valueDate), 1e-6);
Assert.AreEqual(N, coordZARDisc.Value(depo2, valueDate), 1e-6);
}
public void TestManySwaps()
{
Debug.StartTimer();
Product[] allSwaps = GetListOfSwaps();
Debug.WriteLine("Create swaps took: " + Debug.ElapsedTime().ToString());
// Set up the model
Date valueDate = new Date(2016, 11, 21);
Date[] dates = { new Date(2016, 11, 21), new Date(2047, 11, 21) };
Date[] datesLong = { new Date(2016, 11, 21), new Date(2018, 11, 21), new Date(2020, 11, 21), new Date(2022, 11, 21), new Date(2024, 11, 21), new Date(2047, 11, 21) };
double[] rates = { 0.07, 0.07 };
double[] ratesLong = { 0.07, 0.071, 0.072, 0.073, 0.074, 0.08 };
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate, datesLong, ratesLong);
IFloatingRateSource forecastCurve = new ForecastCurveFromDiscount(discountCurve, FloatingIndex.JIBAR3M,
new FloatingRateFixingCurve1Rate(0.07, FloatingIndex.JIBAR3M));
DeterminsiticCurves curveSim = new DeterminsiticCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
Coordinator coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
// Run the valuation
Debug.StartTimer();
double value = coordinator.Value(allSwaps, valueDate);
Debug.WriteLine("Value took: " + Debug.ElapsedTime().ToString());
}
public void TestCurveStripTwoZARDiscount()
{
var valueDate = new Date(2017, 1, 13);
var zar = Currency.ZAR;
// Empty curves
var zarDiscUSDColl = new ZeroRatesCurveForStripping(valueDate, zar);
var zarDisc = new ZeroRatesCurveForStripping(valueDate, zar);
var jibarCurve = new ForwardRatesCurveForStripping(valueDate, FloatingIndex.JIBAR3M);
// Models
var modelZARDiscUSDColl = new DeterminsiticCurves(zarDiscUSDColl);
modelZARDiscUSDColl.AddRateForecast(jibarCurve);
var coordZARDiscUSDColl = new Coordinator(modelZARDiscUSDColl, new List <Simulator>(), 1);
coordZARDiscUSDColl.SetThreadedness(false);
var modelZARDisc = new DeterminsiticCurves(zarDisc);
modelZARDisc.AddRateForecast(jibarCurve); // same jibar curve in both coordinators.
var coordZARDisc = new Coordinator(modelZARDisc, new List <Simulator>(), 1);
coordZARDisc.SetThreadedness(false);
//Instruments for USDColl discounting curve.
var mcs = new MultiCurveStripper(valueDate);
var depo1 = MakeDepo(valueDate, 0.07, 24);
var depo2 = MakeDepo(valueDate, 0.072, 48);
mcs.AddDiscounting(depo1, () => coordZARDiscUSDColl.Value(depo1, valueDate), 1.0, 1.0, zarDiscUSDColl);
mcs.AddDiscounting(depo2, () => coordZARDiscUSDColl.Value(depo2, valueDate), 1.0, 1.0, zarDiscUSDColl);
Product swapUSDColl1 = IRSwap.CreateZARSwap(0.07, true, 1.0, valueDate, Tenor.Months(24));
Product swapUSDColl2 = IRSwap.CreateZARSwap(0.072, true, 1.0, valueDate, Tenor.Months(48));
mcs.AddForecast(swapUSDColl1, () => coordZARDiscUSDColl.Value(swapUSDColl1, valueDate), 0, 1, jibarCurve,
FloatingIndex.JIBAR3M);
mcs.AddForecast(swapUSDColl2, () => coordZARDiscUSDColl.Value(swapUSDColl2, valueDate), 0, 1, jibarCurve,
FloatingIndex.JIBAR3M);
Product swapNoColl1 = IRSwap.CreateZARSwap(0.0709, true, 1.0, valueDate, Tenor.Months(36));
Product swapNoColl2 = IRSwap.CreateZARSwap(0.0719, true, 1.0, valueDate, Tenor.Months(48));
mcs.AddDiscounting(swapNoColl1, () => coordZARDisc.Value(swapNoColl1, valueDate), 0, 1, zarDisc);
mcs.AddDiscounting(swapNoColl2, () => coordZARDisc.Value(swapNoColl2, valueDate), 0, 1, zarDisc);
mcs.Strip();
Assert.AreEqual(1.0, coordZARDiscUSDColl.Value(depo1, valueDate), 1e-6);
Assert.AreEqual(1.0, coordZARDiscUSDColl.Value(depo2, valueDate), 1e-6);
Assert.AreEqual(0.0, coordZARDiscUSDColl.Value(swapUSDColl2, valueDate), 1e-6);
Assert.AreEqual(0.0, coordZARDiscUSDColl.Value(swapUSDColl2, valueDate), 1e-6);
//Assert.AreNotEqual(0.0, coordZARDisc.Value(swapUSDColl1, valueDate), 1e-6); No discount sensitivity
Assert.AreNotEqual(0.0, coordZARDisc.Value(swapUSDColl2, valueDate), 1e-6);
Assert.AreEqual(0.0, coordZARDisc.Value(swapNoColl1, valueDate), 1e-6);
Assert.AreEqual(0.0, coordZARDisc.Value(swapNoColl2, valueDate), 1e-6);
}
public static NumeraireSimulator CreateCurveModel([ExcelArgument(Description = "The discounting curve")] IDiscountingSource discountCurve,
[ExcelArgument(Description = "The floating rate forecast curves for all the rates that the products in the portfolio will need.")] IFloatingRateSource[] rateForecastCurves,
[ExcelArgument(Description = "The FX rate forecast curves for all the cashflow currencies other than the discounting currency.")] IFXSource[] fxForecastCurves)
{
DeterminsiticCurves model = new DeterminsiticCurves(discountCurve);
model.AddRateForecast(rateForecastCurves);
model.AddFXForecast(fxForecastCurves);
return(model);
}
public void TestFloatLeg()
{
// Make the reference swap
var rate = 0.0;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.Years(1);
var swap = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
// Make a FloatLeg
var resetDates = new Date[4];
var paymentDates = new Date[4];
var accrualFractions = new double[4];
var runningDate = new Date(2016, 9, 17);
for (var i = 0; i < 4; i++)
{
resetDates[i] = new Date(runningDate);
paymentDates[i] = resetDates[i].AddMonths(3);
accrualFractions[i] = (paymentDates[i] - resetDates[i]) / 365.0;
runningDate = paymentDates[i];
}
var floatLeg = new FloatLeg(Currency.ZAR, paymentDates, new[] { 1e6, 1e6, 1e6, 1e6 },
resetDates,
new[] { FloatingIndex.JIBAR3M, FloatingIndex.JIBAR3M, FloatingIndex.JIBAR3M, FloatingIndex.JIBAR3M },
new double[] { 0, 0, 0, 0 }, accrualFractions);
// Set up the model
var valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(Currency.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, FloatingIndex.JIBAR3M, dates, rates);
var curveSim = new DeterminsiticCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
// Run the valuation
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
var swapValue = coordinator.Value(new Product[] { swap }, valueDate);
var floatLegValue = coordinator.Value(new Product[] { floatLeg }, valueDate);
Assert.AreEqual(swapValue, floatLegValue, 0.01);
}
public void TestDynamicCallFromStringFRA()
{
var source =
@"Date date = new Date(2017, 08, 28);
FloatRateIndex jibar = new FloatRateIndex(""ZAR.JIBAR.3M"", new Currency(""ZAR""), ""JIBAR"", Tenor.FromMonths(3));
double dt = 91.0/365.0;
double fixedRate = 0.071;
double notional = 1000000.0;
Currency currency = new Currency(""ZAR"");
public override List<Cashflow> GetCFs()
{
double reset = Get(jibar, date);
double cfAmount = notional * (reset - fixedRate)*dt/(1+dt*reset);
return new List<Cashflow>() { new Cashflow(date, cfAmount, currency) };
}";
// Make a product at runtime
var runtimeProduct = RuntimeProduct.CreateFromString("MyEuropeanOption", source);
// Set up the model
var valueDate = new Date(2016, 9, 17);
Date[] dates = { new Date(2016, 9, 17), new Date(2026, 9, 17) };
double[] rates = { 0.07, 0.07 };
IDiscountingSource discountCurve = new DatesAndRates(TestHelpers.ZAR, valueDate, dates, rates);
IFloatingRateSource forecastCurve = new ForecastCurve(valueDate, TestHelpers.Jibar3M, dates, rates);
var curveSim = new DeterminsiticCurves(discountCurve);
curveSim.AddRateForecast(forecastCurve);
// Run the valuation
var coordinator = new Coordinator(curveSim, new List <Simulator>(), 1);
var fraValue = coordinator.Value(new[] { runtimeProduct }, valueDate);
var date = new Date(2017, 08, 28);
var t = (date - valueDate) / 365.0;
var dt = 91.0 / 365.0;
var fixedRate = 0.071;
var notional = 1000000.0;
var fwdRate = 0.07;
var refValue = notional * (fwdRate - fixedRate) * dt / (1 + fwdRate * dt) * Math.Exp(-t * 0.07);
Assert.AreEqual(refValue, fraValue, 0.01);
}
public void TestCurveStripSeparateForecastAndDiscount()
{
var valueDate = new Date(2017, 1, 13);
var zar = Currency.ZAR;
var N = 1.0;
var r1 = 0.12;
var r2 = 0.08;
var date1 = valueDate.AddMonths(6);
var date2 = valueDate.AddMonths(12);
var zarDisc = new ZeroRatesCurveForStripping(valueDate, zar);
var jibar3mForecast = new ForwardRatesCurveForStripping(valueDate, FloatingIndex.JIBAR3M, zarDisc);
Product depo1 = new CashLeg(new[] { valueDate, date1 }, new[] { -N, N * (1 + r1 * 0.5) }, new[] { zar, zar });
Product depo2 = new CashLeg(new[] { valueDate, date2 }, new[] { -N, N * (1 + r2 * 1) }, new[] { zar, zar });
Product swap = IRSwap.CreateZARSwap(0.08, true, 1.0, valueDate, Tenor.Months(9));
var modelZARDisc = new DeterminsiticCurves(zarDisc);
modelZARDisc.AddRateForecast(jibar3mForecast);
var coordZARDisc = new Coordinator(modelZARDisc, new List <Simulator>(), 1);
coordZARDisc.SetThreadedness(false);
var mcs = new MultiCurveStripper(valueDate);
mcs.AddDiscounting(depo1, () => coordZARDisc.Value(depo1, valueDate), N, 1.0, zarDisc);
mcs.AddDiscounting(depo2, () => coordZARDisc.Value(depo2, valueDate), N, 1.0, zarDisc);
mcs.AddForecast(swap, () => coordZARDisc.Value(swap, valueDate), 0.0, 1.0, jibar3mForecast,
FloatingIndex.JIBAR3M);
mcs.Strip();
Assert.AreEqual(N, coordZARDisc.Value(depo1, valueDate), 1e-6);
Assert.AreEqual(N, coordZARDisc.Value(depo2, valueDate), 1e-6);
Assert.AreEqual(0, coordZARDisc.Value(swap, valueDate), 1e-6);
/*double[] fwdRates = new double[180];
* for (int i=0; i<180; i++ )
* {
* fwdRates[i] = jibar3mForecast.GetForwardRate(valueDate.AddTenor(Tenor.Days(i)));
* }
* Debug.WriteToFile("c:\\dev\\quantsa\\temp\\fwdRates.csv", fwdRates);
*/
}
public void TestCurveStripWithUnderlying()
{
Date valueDate = new Date(2017, 1, 13);
Currency zar = Currency.ZAR;
double N = 1.0;
double r1 = 0.07;
double r2 = 0.075;
Date date1 = valueDate.AddMonths(3);
Date date2 = valueDate.AddMonths(6);
double turnSize = 0.05;
IDiscountingSource turnShapeCurve = new DFCurveWithTurn(valueDate, zar, new Date(2017, 2, 20), turnSize);
ZeroRatesCurveForStripping zarDisc = new ZeroRatesCurveForStripping(valueDate, turnShapeCurve);
Product depo1 = new CashLeg(new Date[] { valueDate, date1 }, new double[] { -N, N * (1 + r1 * 0.25) }, new Currency[] { zar, zar });
Product depo2 = new CashLeg(new Date[] { valueDate, date2 }, new double[] { -N, N * (1 + r2 * 0.5) }, new Currency[] { zar, zar });
DeterminsiticCurves modelZARDisc = new DeterminsiticCurves(zarDisc);
Coordinator coordZARDisc = new Coordinator(modelZARDisc, new List <Simulator>(), 1);
coordZARDisc.SetThreadedness(false);
MultiCurveStripper mcs = new MultiCurveStripper(valueDate);
mcs.AddDiscounting(depo1, () => coordZARDisc.Value(depo1, valueDate), N, 1.0, zarDisc);
mcs.AddDiscounting(depo2, () => coordZARDisc.Value(depo2, valueDate), N, 1.0, zarDisc);
mcs.Strip();
Assert.AreEqual(N, coordZARDisc.Value(depo1, valueDate), 1e-6);
Assert.AreEqual(N, coordZARDisc.Value(depo2, valueDate), 1e-6);
double df1 = zarDisc.GetDF(new Date(2017, 2, 19));
double df2 = zarDisc.GetDF(new Date(2017, 2, 20));
double df3 = zarDisc.GetDF(new Date(2017, 2, 21));
double df4 = zarDisc.GetDF(new Date(2017, 2, 22));
double rate1 = 365.0 * (df1 / df2 - 1);
double rate2 = 365.0 * (df2 / df3 - 1);
double rate3 = 365.0 * (df3 / df4 - 1);
Assert.AreEqual(turnSize, rate2 - rate1, turnSize / 100);
Assert.AreEqual(turnSize, rate2 - rate3, turnSize / 100);
}
