public void RateCurveCalibrator_CanCalibrateTwoCurves()
{
var instruments = new List <IRateCurveInstrument>();
var zarCsaCurveDescription = new DiscountingSourceDescription(_zar, new BankAccountNumeraire(_zar));
var jibarDiscountDescription = new DiscountingSourceDescription(_zar, _jibar3M);
instruments.Add(new DepoCurveInstrument(Tenor.FromMonths(3), 0.071, jibarDiscountDescription));
instruments.Add(new FixedFloatSwapCurveInstrument(Tenor.FromMonths(6), _jibar3M, 0.0, 0.07,
zarCsaCurveDescription, FixedFloatSwapCurveInstrument.CurveToStrip.Forecast));
instruments.Add(new FixedFloatSwapCurveInstrument(Tenor.FromYears(2), _jibar3M, 0.0, 0.07,
zarCsaCurveDescription, FixedFloatSwapCurveInstrument.CurveToStrip.Forecast));
instruments.Add(new DepoCurveInstrument(Tenor.FromDays(1), 0.06, zarCsaCurveDescription));
instruments.Add(new BasisSwapCurveInstrument(Tenor.FromYears(1), _jibar3M, _jibar1D, 0.0, 0.01,
zarCsaCurveDescription, BasisSwapCurveInstrument.CurveToStrip.DiscountCurve));
instruments.Add(new BasisSwapCurveInstrument(Tenor.FromYears(2), _jibar3M, _jibar1D, 0.0, 0.01,
zarCsaCurveDescription, BasisSwapCurveInstrument.CurveToStrip.DiscountCurve));
var calib = new RateCurveCalibrator(instruments, new MultiDimNewton(1e-8, 100),
zarCsaCurveDescription, new FloatRateIndex[] { _jibar1D },
jibarDiscountDescription, new FloatRateIndex[] { _jibar3M });
var mdc = new MarketDataContainer();
mdc.Set(calib);
calib.TryCalibrate(_calibrationDate, mdc);
var testValues = instruments.Select(inst => Math.Abs(inst.Objective()));
var maxTestValue = testValues.Max();
Assert.AreEqual(0.0, maxTestValue, 1e-8);
}
public void RateCurveCalibrator_CanCalibrateSingleCurve()
{
var instruments = new List <IRateCurveInstrument>();
var discountCurve = new DiscountingSourceDescription(TestHelpers.ZAR);
instruments.Add(new DepoCurveInstrument(Tenor.FromMonths(1), 0.071, discountCurve));
instruments.Add(new DepoCurveInstrument(Tenor.FromMonths(3), 0.072, discountCurve));
instruments.Add(new DepoCurveInstrument(Tenor.FromMonths(6), 0.073, discountCurve));
instruments.Add(new FRACurveInstrument(Tenor.FromMonths(6), Tenor.FromMonths(9), TestHelpers.Jibar3M, 0.073));
var calib = new RateCurveCalibrator(instruments, new MultiDimNewton(1e-8, 100), discountCurve,
new FloatRateIndex[] { TestHelpers.Jibar3M });
var mdc = new MarketDataContainer();
mdc.Set(calib);
calib.TryCalibrate(_calibrationDate, mdc);
var testValues = instruments.Select(inst => Math.Abs(inst.Objective()));
var maxTestValue = testValues.Max();
Assert.AreEqual(0.0, maxTestValue, 1e-8);
}
