public void TestGetCapPremiumAUD_6M100M_5YExpiry05Vol20Pct()
{
var valuationDate = new DateTime(1994, 12, 14);
var curveId = BuildAndCacheRateCurve(valuationDate);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
CapFloorType.Cap, "Standard", curveId, curveId);
InterestRateStream floatStream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(capLeg);
floatStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(floatStream, FixingCalendar, PaymentCalendar);
double sumOfCapletPremiums = 0;
var rateCurve = (RateCurve)Engine.GetCurve(curveId, false);
foreach (PaymentCalculationPeriod paymentCalculationPeriod in floatStream.cashflows.paymentCalculationPeriod)
{
DateTime startDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
DateTime endDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
double accrualFactor = (endDate - startDate).TotalDays / 365.0;
var discountFactor = (double)paymentCalculationPeriod.discountFactor;
var rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
double rate2 = rateCurve.GetForwardRate(startDate, endDate, "ACT/365.FIXED");
double diff = rate - rate2;
Debug.Print("Diff in forward rate: {0}", diff);
var strikeRate = (double)capLeg.StrikeRate; //fixed - replace with a schedule
const double volatility = 0.2; //fixed - replace with a schedule
double timeToExpiry = (startDate - valuationDate).TotalDays / 365.0;
double optionValue = accrualFactor * BlackModel.GetSwaptionValue(rate, strikeRate, volatility, timeToExpiry) * discountFactor;
Debug.Print("Expiry:\t{0},\tPremium:\t{1}'", timeToExpiry, optionValue);
sumOfCapletPremiums += optionValue;
}
Debug.Print("Premium : '{0}'", sumOfCapletPremiums * (double)capLeg.NotionalAmount);
}
private static InterestRateStream GetCashflowsSchedule(IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange legParametersRange)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream, fixingCalendar, paymentCalendar);
stream.cashflows = cashflows;
return(stream);
}
protected static Cashflows BuildCashflow(InterestRateStream stream, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
var cashflows = stream.cashflows;
if (stream.cashflows == null || stream.cashflows.cashflowsMatchParameters == false)
{
cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream, fixingCalendar, paymentCalendar);
}
return(cashflows);
}
public static InterestRateStream GetCashflowsSchedule(SwapLegParametersRange legParametersRange)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream);
stream.cashflows = cashflows;
return(stream);
}
private static InterestRateStream GetCashflowsScheduleWithNotionalSchedule(
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange_Old legParametersRange,
NonNegativeAmountSchedule notionalSchedule)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream, notionalSchedule);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream, fixingCalendar, paymentCalendar);
stream.cashflows = cashflows;
return(stream);
}
private static void UpdateCashflowsWithAmounts(ILogger logger, ICoreCache cache,
String nameSpace, InterestRateStream stream,
CapFloorLegParametersRange_Old legParametersRange, ValuationRange valuationRange)
{
// Get a forecast curve
//
IRateCurve forecastCurve = null;
if (!String.IsNullOrEmpty(legParametersRange.ForecastCurve) && legParametersRange.ForecastCurve.ToLower() != "none")
{
forecastCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, legParametersRange.ForecastCurve);
}
// Get a discount curve
//
var discountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, legParametersRange.DiscountCurve);
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(stream, forecastCurve, discountCurve, valuationRange.ValuationDate);
}
