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 TestCoordinatorAllData()
{
// Make the swap
var rate = 0.07;
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);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.07;
var hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
hullWiteSim.AddForecast(FloatingIndex.JIBAR3M);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var date = valueDate;
var endDate = valueDate.AddTenor(tenor);
var fwdValueDates = new List <Date>();
while (date < endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.Days(10));
}
var allDetails = coordinator.GetValuePaths(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
allDetails.GetNames();
}
public void TestSwapHW()
{
// 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);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.07;
var hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
hullWiteSim.AddForecast(FloatingIndex.JIBAR3M);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 10000);
// Run the valuation
var value = coordinator.Value(new Product[] { swap }, valueDate);
var refValue = -41838.32; // See RateProductTest.xlsx
Assert.AreEqual(refValue, value, 4000);
}
public void Init()
{
// Set up the model
valueDate = new Date(2016, 9, 17);
var a = 0.05;
var vol = 0.01;
var flatCurveRate = 0.07;
hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
hullWiteSim.AddForecast(FloatingIndex.JIBAR3M);
// Make the underlying swap
var rate = 0.07;
var payFixed = true;
double notional = 1000000;
var startDate = new Date(2016, 9, 17);
var tenor = Tenor.Years(5);
swapPay = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
swapRec = IRSwap.CreateZARSwap(rate, !payFixed, notional, startDate, tenor);
// Full set of exercise dates
exDates = new List <Date>
{
new Date(2017, 9, 17),
new Date(2018, 9, 17),
new Date(2019, 9, 17),
new Date(2020, 9, 17)
};
}
private Product[] GetListOfSwaps()
{
int N = 50000;
Date anchorDate = new Date(2016, 11, 21);
double rate = 0.08;
bool payFixed = true;
double notional = 1000000;
double[,] swapDist = new double[, ] {
{ 0.171 }, { 0.148 }, { 0.101 }, { 0.094 }, { 0.108 }, { 0.056 }, { 0.041 }, { 0.049 }, { 0.047 }, { 0.056 }, { 0.013 }, { 0.013 }, { 0.010 }, { 0.011 }, { 0.011 }, { 0.004 }, { 0.003 }, { 0.005 }, { 0.007 }, { 0.006 }, { 0.004 }, { 0.004 }, { 0.007 }, { 0.005 }, { 0.006 }, { 0.006 }, { 0.003 }, { 0.003 }, { 0.002 }, { 0.005 }
};
IRandomNumberGenerator <double> generator1 = new ZigguratUniformGenerator(0, 1);
IRandomNumberGenerator <double> generator365 = new ZigguratUniformGenerator(1, 365);
double[,] cumSum = swapDist.CumulativeSum(1);
Product[] allSwaps = new Product[N];
for (int swapNum = 0; swapNum < N; swapNum++)
{
double x = generator1.Generate();
int years = 0;
while (years < cumSum.GetLength(0) && x > cumSum[years, 0])
{
years++;
}
int days = (int)Math.Round(generator365.Generate());
Date endDate = anchorDate.AddTenor(new Tenor(days, 0, 0, years));
Date startDate = endDate.AddTenor(Tenor.Years(-years - 1));
allSwaps[swapNum] = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, Tenor.Years(years + 1));
}
return(allSwaps);
}
public static IRSwap CreateZARSwap([ExcelArgument(Description = "First reset date of the swap")] Date startDate,
[ExcelArgument(Description = "Tenor of swap, must be a whole number of years. Example '5Y'.")] Tenor tenor,
[ExcelArgument(Description = "The fixed rate paid or received")] double rate,
[ExcelArgument(Description = "Is the fixed rate paid? Enter 'TRUE' for yes.")] bool payFixed,
[ExcelArgument(Description = "Flat notional for all dates.")] double notional)
{
return(IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor));
}
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 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 TestMultiHWAndFXToyCCIRS()
{
var valueDate = new Date(2016, 9, 17);
var zarRatesSim = new HullWhite1F(Currency.ZAR, 0.05, 0.01, 0.07, 0.07, valueDate);
zarRatesSim.AddForecast(FloatingIndex.JIBAR3M);
var usdRatesSim = new HullWhite1F(Currency.USD, 0.05, 0.01, 0.01, 0.01, valueDate);
usdRatesSim.AddForecast(FloatingIndex.LIBOR3M);
var eurRatesSim = new HullWhite1F(Currency.EUR, 0.05, 0.01, 0.005, 0.005, valueDate);
eurRatesSim.AddForecast(FloatingIndex.EURIBOR3M);
var currencyPairs = new[]
{ new CurrencyPair(Currency.USD, Currency.ZAR), new CurrencyPair(Currency.EUR, Currency.ZAR) };
var spots = new[] { 13.6, 15.0 };
var vols = new[] { 0.15, 0.15 };
var correlations = new[, ]
{
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
var model = new MultiHWAndFXToy(valueDate, Currency.ZAR, new[] { zarRatesSim, usdRatesSim, eurRatesSim },
currencyPairs, spots, vols, correlations);
var portfolio = new List <Product>();
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, -15e6, FloatingIndex.JIBAR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.EUR, valueDate, +1e6, FloatingIndex.EURIBOR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, 13e6, FloatingIndex.JIBAR3M, 13));
portfolio.Add(CreateFloatingLeg(Currency.USD, valueDate, -1e6, FloatingIndex.EURIBOR3M, 13));
portfolio.Add(IRSwap.CreateZARSwap(0.07, true, 20e6, valueDate, Tenor.Years(4)));
var stepInMonths = 1;
var fwdValueDates = Enumerable.Range(1, 13 * 12 / stepInMonths)
.Select(i => valueDate.AddMonths(stepInMonths * i)).ToArray();
var coord = new Coordinator(model, new List <Simulator>(), 1000);
//coord.SetThreadedness(false);
var epe = coord.EPE(portfolio.ToArray(), valueDate, fwdValueDates);
Assert.AreEqual(1555002, epe[0], 5000);
Assert.AreEqual(2170370, epe[87], 5000);
Assert.AreEqual(0, epe[155], 5);
//Debug.WriteToFile("c:\\dev\\quantsa\\temp\\epeTest_singlethread_10000.csv", epe);
}
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 TestCoordinatorEPESwap()
{
// Make the swap
var rate = 0.07;
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);
var a = 0.05;
var vol = 0.005;
var flatCurveRate = 0.07;
var hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
hullWiteSim.AddForecast(FloatingIndex.JIBAR3M);
var coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
var date = valueDate;
var endDate = valueDate.AddTenor(tenor);
var fwdValueDates = new List <Date>();
while (date < endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.Days(10));
}
var epe = coordinator.EPE(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
//Debug.WriteToFile(@"c:\dev\temp\epe_rate08_vol005.csv", epe);
Assert.AreEqual(2560, epe[0], 100.0);
Assert.AreEqual(6630, epe[90], 100.0);
Assert.AreEqual(734, epe[182], 30);
}
public void TestMultiHWAndFXToyCCIRSAltConstructor()
{
var valueDate = new Date(2016, 9, 17);
var spots = new List <double> {
13.6, 15.0
};
var vols = new List <double> {
0.15, 0.15
};
var correlations = new[, ]
{
{ 1.0, 0.0 },
{ 0.0, 1.0 }
};
// ZAR HW specs
IDiscountingSource zarCurve = new DatesAndRates(Currency.ZAR, valueDate,
new[] { valueDate, valueDate.AddMonths(240) },
new[] { 0.07, 0.07 });
var zarHWParams = new HWParams {
vol = 0.01, meanReversionSpeed = 0.05
};
var zarRequiredIndices = new List <FloatingIndex> {
FloatingIndex.JIBAR3M
};
// Lists to be populated for other currencies
var otherCcys = new List <Currency>();
var otherCcyCurves = new List <IDiscountingSource>();
var otherCcyHwParams = new List <HWParams>();
var otherCcyRequiredIndices = new List <List <FloatingIndex> >();
// USD HW specs
otherCcys.Add(Currency.USD);
otherCcyCurves.Add(new DatesAndRates(Currency.USD, valueDate, new[] { valueDate, valueDate.AddMonths(240) },
new[] { 0.01, 0.01 }));
otherCcyHwParams.Add(new HWParams {
vol = 0.01, meanReversionSpeed = 0.05
});
otherCcyRequiredIndices.Add(new List <FloatingIndex> {
FloatingIndex.LIBOR3M
});
// EUR HW specs
otherCcys.Add(Currency.EUR);
otherCcyCurves.Add(new DatesAndRates(Currency.EUR, valueDate, new[] { valueDate, valueDate.AddMonths(240) },
new[] { 0.005, 0.005 }));
otherCcyHwParams.Add(new HWParams {
vol = 0.01, meanReversionSpeed = 0.05
});
otherCcyRequiredIndices.Add(new List <FloatingIndex> {
FloatingIndex.EURIBOR3M
});
// Construct the model
var model = new MultiHWAndFXToy(valueDate, zarCurve, zarRequiredIndices, zarHWParams,
otherCcys, spots, vols, otherCcyCurves, otherCcyRequiredIndices, otherCcyHwParams, correlations);
var portfolio = new List <Product>();
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, -15e6, FloatingIndex.JIBAR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.EUR, valueDate, +1e6, FloatingIndex.EURIBOR3M, 7));
portfolio.Add(CreateFloatingLeg(Currency.ZAR, valueDate, 13e6, FloatingIndex.JIBAR3M, 13));
portfolio.Add(CreateFloatingLeg(Currency.USD, valueDate, -1e6, FloatingIndex.EURIBOR3M, 13));
portfolio.Add(IRSwap.CreateZARSwap(0.07, true, 20e6, valueDate, Tenor.Years(4)));
var stepInMonths = 1;
var fwdValueDates = Enumerable.Range(1, 13 * 12 / stepInMonths)
.Select(i => valueDate.AddMonths(stepInMonths * i)).ToArray();
var coord = new Coordinator(model, new List <Simulator>(), 1000);
//coord.SetThreadedness(false);
var epe = coord.EPE(portfolio.ToArray(), valueDate, fwdValueDates);
Assert.AreEqual(1555002, epe[0], 5000);
Assert.AreEqual(2170370, epe[87], 5000);
Assert.AreEqual(0, epe[155], 5);
//Debug.WriteToFile("c:\\dev\\quantsa\\temp\\epeTest_2.csv", epe);
}
