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 TestQuantoCDS()
{
var spot = 1.00;
var relJumpSizeInDefault = -0.2;
var cdsSpread = 0.025;
// Trades
var anchorDate = new Date(2016, 11, 25);
var refEntity = new ReferenceEntity("ABC");
Date[] paymentDates;
double[] accrualFractions;
DateGenerators.CreateDatesNoHolidays(Tenor.Months(3), anchorDate, 20, out paymentDates,
out accrualFractions);
var zarNotionals = Vector.Ones(paymentDates.Length).Multiply(1000000.0);
var usdNotionals = zarNotionals.Divide(spot);
var zarSpreads = Vector.Ones(paymentDates.Length).Multiply(cdsSpread);
var usdSpreads = zarSpreads.Multiply(1 + relJumpSizeInDefault); // Adjusted for the FX jump size.
var boughtProtection = true;
var cdsZAR = new CDS(refEntity, Currency.ZAR, paymentDates, zarNotionals, zarSpreads, accrualFractions,
boughtProtection);
var cdsUSD = new CDS(refEntity, Currency.USD, paymentDates, zarNotionals, usdSpreads, accrualFractions,
boughtProtection);
// Model
var curveDates = new[] { anchorDate, anchorDate.AddTenor(Tenor.Years(10)) };
var expectedRecovery = 0.4;
var hazardRates = new[] { cdsSpread / (1 - expectedRecovery), cdsSpread / (1 - expectedRecovery) };
var usdRates = new[] { 0.01, 0.02 };
var zarRates = new[] { 0.07, 0.08 };
IDiscountingSource usdDiscountCurve = new DatesAndRates(Currency.USD, anchorDate, curveDates, usdRates);
IDiscountingSource zarDiscountCurve = new DatesAndRates(Currency.ZAR, anchorDate, curveDates, zarRates);
ISurvivalProbabilitySource abcHazardCurve = new HazardCurve(refEntity, anchorDate, curveDates, hazardRates);
var otherCurrency = Currency.USD;
var fxSource = new FXForecastCurve(otherCurrency, Currency.ZAR, spot, usdDiscountCurve, zarDiscountCurve);
var fxVol = 0.15;
NumeraireSimulator model = new DeterministicCreditWithFXJump(abcHazardCurve, otherCurrency, fxSource,
zarDiscountCurve, fxVol, relJumpSizeInDefault, expectedRecovery);
// Valuation
var N = 5000;
var coord = new Coordinator(model, new List <Simulator>(), N);
var zarValue = coord.Value(new Product[] { cdsZAR }, anchorDate);
var usdValue = coord.Value(new Product[] { cdsUSD }, anchorDate);
Assert.AreEqual(0.0, zarValue, 800.0); // about 2bp
Assert.AreEqual(0.0, usdValue, 800.0); // about 2bp
}
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);
*/
}