public void Test()
{
var market = Market();
const double lambda = 0.01;
var sigma = new StepFunction(new[] { 0.0, 1.0, 2.0 }, new[] { 0.007, 0.004, 0.0065 }, 0.0);
var hw1 = new Hw1Model(TimeMeasure.Act365(market.RefDate), Currency.Eur, lambda, sigma);
var mcConfig = new MonteCarloConfig(20000,
RandomGenerators.GaussianSobol(SobolDirection.JoeKuoD5));
var mcPricer = McPricer.WithDetails(mcConfig);
var fixedLeg = FixedLeg(market.RefDate);
var mcPriceResult = (PriceResult)mcPricer.Price(fixedLeg, hw1, market);
var mcCoupons = mcPriceResult.Details.Map(p => p.Item3.Value);
var refCoupons = mcPriceResult.Details.Map(pi => market.DiscountCurve(pi.Item2.Financing).Zc(pi.Item2.Date));
var errAbs = Math.Abs(mcCoupons.Sum() - refCoupons.Sum());
Assert.LessOrEqual(errAbs, 7.0e-5);
var errRel = Math.Abs(mcCoupons.Sum() / refCoupons.Sum() - 1.0);
Assert.LessOrEqual(errRel, 8.0e-6);
}
public void ProbaMeasure(double lambda, RrFunction sigma, Duration probaMaturity, Duration simulationMaturity,
int quadratureNbPoints, double precision)
{
var refDate = DateTime.Parse("07/06/2009");
var hw1 = new Hw1Model(TimeMeasure.Act365(refDate), Currency.Eur, lambda, sigma);
var probaMeasure = new PaymentInfo(hw1.Currency, refDate + probaMaturity);
var t = refDate + simulationMaturity;
var hw1PathGen = new Hw1ModelPathGeneratorFactory().Build(hw1, null, probaMeasure, new[] { t });
var brownianBridge = BrownianBridge.Create(hw1PathGen.AllSimulatedDates);
var hw1Zc = new Hw1ModelZcRepresentation(hw1);
var numeraireZc = hw1Zc.Zc(t, probaMeasure.Date, 1.0);
Assert.AreEqual(hw1PathGen.AllSimulatedDates.Length, 1);
double[] x, w;
GaussHermite.GetQuadrature(quadratureNbPoints, out x, out w);
double flow = 0.0;
for (int i = 0; i < x.Length; i++)
{
var dw = brownianBridge.PathIncrements(new[] { x[i] }, 1);
var ornstein = hw1PathGen.Path(dw).GetProcessValue(0);
flow += w[i] * 1.0 / numeraireZc.Eval(ornstein);
}
var error = Math.Abs(flow - 1.0);
Assert.LessOrEqual(error, precision);
}
private static Market Market()
{
var refDate = DateTime.Parse("07/06/2009");
var time = TimeMeasure.Act365(refDate);
var pillars = new[] { refDate + Duration.Year, refDate + 2 * Duration.Year, refDate + 3 * Duration.Year, refDate + 5 * Duration.Year };
var zcRates = new[] { 0.0010, 0.003, 0.005, 0.008 };
var zcs = zcRates.Select((r, i) => Math.Exp(-time[pillars[i]] * r)).ToArray();
DiscountCurve discountCurve = DiscountCurve.LinearRateInterpol(
FinancingId.RiskFree(Currency.Eur),
pillars, zcs, time);
var market = new Market(new[] { discountCurve }, new AssetMarket[0]);
return(market);
}
private static AssetMarket[] ProcessAssetMkt(object[,] bag, DateTime refDate, DiscountCurve[] discountCurves)
{
var eqtyTime = TimeMeasure.Act365(refDate);
var assetRawDatas = bag.ProcessLabelledMatrix("Asset", o => o.ToString(), o => o.ToString(), o => o);
TimeMatrixDatas repoRawDatas = bag.ProcessTimeMatrixDatas("Repo");
var repoPillars = repoRawDatas.RowLabels
.Select(dOrDur => dOrDur.ToDate(refDate)).ToArray();
var assetMkts = new List <AssetMarket>();
for (int i = 0; i < assetRawDatas.RowLabels.Length; i++)
{
var assetName = assetRawDatas.RowLabels[i];
var rawCurrency = assetRawDatas.GetColFromLabel("Currency")[i].ToString();
object rawSpot = assetRawDatas.GetColFromLabel("Spot")[i];
var currency = Currency.Parse(rawCurrency);
var assetId = new AssetId(assetName, currency);
double spot;
if (!NumberConverter.TryConvertDouble(rawSpot, out spot))
{
throw new ArgumentException(String.Format("AssetMarketFactory, invalid {0} spot : {1}", assetName, rawSpot));
}
double[] repoRates = repoRawDatas.GetColFromLabel(assetName);
var repoZcs = repoRates.Select((r, idx) => Math.Exp(-eqtyTime[repoPillars[idx]] * r)).ToArray();
var repoCurve = DiscountCurve.LinearRateInterpol(FinancingId.AssetCollat(assetId), repoPillars, repoZcs, eqtyTime);
var divQuotes = ProcessDiv(bag, refDate, assetName);
var volMatrix = AssetVolMatrix(bag, eqtyTime, assetName);
var riskFreeDiscount = discountCurves.Single(curve => curve.Financing.Equals(FinancingId.RiskFree(currency)));
var mkt = new AssetMarket(assetId, refDate, eqtyTime,
spot, riskFreeDiscount, repoCurve,
divQuotes, volMatrix);
assetMkts.Add(mkt);
}
return(assetMkts.ToArray());
}
public void Zc(double lambda, Duration zcStart, Duration zcDuration, int quadratureNbPoints, double precision)
{
var sigma = new StepFunction(new[] { 0.0, 1.0, 2.0 }, new[] { 0.007, 0.004, 0.0065 }, 0.0);
var refDate = DateTime.Parse("07/06/2009");
var hw1 = new Hw1Model(TimeMeasure.Act365(refDate), Currency.Eur, lambda, sigma);
var hw1Zc = new Hw1ModelZcRepresentation(hw1);
var zcDate = refDate + zcStart;
var zc = hw1Zc.Zc(zcDate, zcDate + zcDuration, 1.0);
var drift = hw1.DriftTerm();
var stdDev = Math.Sqrt(drift.Eval(hw1.Time[zcDate]));
double[] x, w;
GaussHermite.GetQuadrature(quadratureNbPoints, out x, out w);
double zcQuad = x.Select((t, i) => w[i] * zc.Eval(new[] { stdDev *t })).Sum();
var error = Math.Abs(zcQuad - 1.0);
Assert.LessOrEqual(error, precision);
}
public static ITimeMeasure DefaultTime(DateTime refDate)
{
return(TimeMeasure.Act365(refDate));
}
private static ITimeMeasure RateTimeMeasure(DateTime refDate)
{
return(TimeMeasure.Act365(refDate));
}
public static DiscountCurve Flat(FinancingId financing, DateTime refDate, double zcRate)
{
var time = TimeMeasure.Act365(refDate);
var zc1Y = Math.Exp(-zcRate * time[refDate + Duration.Year]);
return LinearRateInterpol(financing, new[] { refDate + Duration.Year }, new[] { zc1Y }, time);
}