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();
}
private void setDates()
{
exDates = new List <Date>();
for (int i = 0; i < couponDates.Length; i++)
{
if (couponDates[i] > firstCouponDate)
{
exDates.Add(couponDates[i]);
}
}
exProducts = new List <Product>();
for (int i = 0; i < couponDates.Length; i++)
{
if (couponDates[i] > firstCouponDate)
{
exProducts.Add(new CashLeg(new Date[] { couponDates[i].AddTenor(Tenor.Days(1)) }, new double[] { -notional }, new Currency[] { Currency.ZAR }));
}
}
}
public void TestPhysicalSwaptionEPE()
{
Coordinator coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
List <Date> exDate = new List <Date> {
new Date(2018, 9, 17)
};
// Couterparty has option to enter into a receive fixed swap
BermudanSwaption physicalSwaption = new BermudanSwaption(swapPay, exDate, false);
Date date = valueDate;
Date endDate = valueDate.AddTenor(new Tenor(0, 0, 3, 5));
List <Date> fwdValueDates = new List <Date>();
while (date <= endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.Days(10));
}
double[] epe = coordinator.EPE(new Product[] { physicalSwaption }, valueDate, fwdValueDates.ToArray());
//Debug.WriteToFile(@"c:\dev\temp\ene_physicalswaption_HW.csv", epe);
}
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);
}
/// <summary>
/// Add extra dates to make sure that the minimum spacing is not too large to make the Monte Carlo errors bad.
/// <para/>
/// At this point the dates are all copied.
/// </summary>
public override void Prepare()
{
double minStepSize = 20;
allDates.Insert(0, time0);
allDates = allDates.Distinct().ToList <Date>();
allDates.Sort();
List <Date> newDates = new List <Date>();
newDates.Add(new Date(allDates[0]));
for (int i = 1; i < allDates.Count; i++)
{
int nSteps = (int)Math.Floor((allDates[i] - allDates[i - 1]) / minStepSize);
int days = (allDates[i] - allDates[i - 1]) / (nSteps + 1);
for (int j = 0; j < nSteps; j++)
{
newDates.Add(new Date(allDates[i - 1].AddTenor(Tenor.Days((j + 1) * days))));
}
newDates.Add(new Date(allDates[i]));
}
allDates = newDates;
allDatesDouble = allDates.Select(date => (double)date).ToArray();
}
