private static void ShortGbpEurExample(DateTime todaysDate)
{
var deliveryDate = new DateTime(2020, 3, 11);
var baseNotionalAmount = new Money(40300000m, Currency.GBP);
var contractAllInRate = new ExchangeRate(Currency.GBP, Currency.EUR, 1.16992588519517);
var fxFwd = new ForeignExchangeForward(deliveryDate, baseNotionalAmount, contractAllInRate);
Console.WriteLine("Valuation of FxFwd " + fxFwd);
ExchangeRate spotBaseTermRate = ExchangeRateManager.Lookup(Currency.GBP, Currency.EUR, todaysDate);
var termBaseFwdCurve = EurGbpFwdPointStructure(todaysDate);
var baseTermFwdCurve = GbpEurFwdPointStructure(todaysDate);
var termDiscountCurve = DiscountingEurCurve(todaysDate);
var baseDiscountCurve = DiscountingGbpCurve(todaysDate);
fxFwd.PricingEngine = new ForwardPointsEngine(spotBaseTermRate, baseTermFwdCurve, baseDiscountCurve, termDiscountCurve);
PrintResults(fxFwd);
// Base Leg: 47,148,013.17 EUR
// Term Leg: -46,843,587.57 EUR
// ----------------------------
// NPV: 304,425.60 EUR
// ============================
}
private static void ShortUsdEurExample(DateTime todaysDate)
{
var deliveryDate = new DateTime(2020, 3, 4);
var baseNotionalAmount = new Money(12925000m, Currency.USD);
var contractAllInRate = new ExchangeRate(Currency.USD, Currency.EUR, 0.897487215294618);
var fxFwd = new ForeignExchangeForward(deliveryDate, baseNotionalAmount, contractAllInRate);
Console.WriteLine("Valuation of FxFwd " + fxFwd);
ExchangeRate spotUsdEurRate = ExchangeRateManager.Lookup(Currency.USD, Currency.EUR, todaysDate);
var usdEurFwdCurve = UsdEurFwdPointStructure(todaysDate);
var eurDiscountCurve = DiscountingEurCurve(todaysDate);
var usdDiscountCurve = DiscountingUsdCurve(todaysDate);
fxFwd.PricingEngine = new ForwardPointsEngine(spotUsdEurRate, usdEurFwdCurve, usdDiscountCurve, eurDiscountCurve);
PrintResults(fxFwd);
// Base Leg: 11,600,022.36 EUR
// Term Leg: -11,762,835.05 EUR
// ----------------------------
// NPV: -162,812.69 EUR
// ============================
}
private static void LongGbpEurExample(DateTime todaysDate)
{
var deliveryDate = new DateTime(2020, 5, 28);
var baseNotionalAmount = new Money(16925000m, Currency.GBP);
var contractAllInRate = new ExchangeRate(Currency.GBP, Currency.EUR, 1.19394431443717);
var fxFwd = new ForeignExchangeForward(deliveryDate, baseNotionalAmount, contractAllInRate);
Console.WriteLine("Valuation of FxFwd " + fxFwd);
ExchangeRate spotBaseTermRate = ExchangeRateManager.Lookup(Currency.GBP, Currency.EUR, todaysDate);
var termBaseFwdCurve = EurGbpFwdPointStructure(todaysDate);
var baseTermFwdCurve = GbpEurFwdPointStructure(todaysDate);
var termDiscountCurve = DiscountingEurCurve(todaysDate);
var baseDiscountCurve = DiscountingGbpCurve(todaysDate);
fxFwd.PricingEngine = new ForwardPointsEngine(spotBaseTermRate, baseTermFwdCurve, baseDiscountCurve, termDiscountCurve);
PrintResults(fxFwd);
// Base Leg: 20,207,507.52 EUR
// Term Leg: -19,621,824.42 EUR
// ----------------------------
// NPV: 585,683.10 EUR
// ============================
}
private static void LongUsdEurExample(DateTime todaysDate)
{
var deliveryDate = new DateTime(2020, 5, 28);
var baseNotionalAmount = new Money(24750000m, Currency.USD);
var contractAllInRate = new ExchangeRate(Currency.USD, Currency.EUR, 0.919214806712107);
var fxFwd = new ForeignExchangeForward(deliveryDate, baseNotionalAmount, contractAllInRate);
Console.WriteLine("Valuation of FxFwd " + fxFwd);
ExchangeRate spotUsdEurRate = ExchangeRateManager.Lookup(Currency.USD, Currency.EUR, todaysDate);
var eurUsdFwdCurve = EurUsdFwdPointStructure(todaysDate);
var usdEurFwdCurve = UsdEurFwdPointStructure(todaysDate);
var eurDiscountCurve = DiscountingEurCurve(todaysDate);
var usdDiscountCurve = DiscountingUsdCurve(todaysDate);
fxFwd.PricingEngine = new ForwardPointsEngine(spotUsdEurRate, usdEurFwdCurve, usdDiscountCurve, eurDiscountCurve);
PrintResults(fxFwd);
// Base Leg: 22,750,566.47 EUR
// Term Leg: -22,412,996.84 EUR
// ----------------------------
// NPV: 337,569.62 EUR
// ============================
}
private static FxForwardPointTermStructure UsdEurFwdPointStructure(DateTime todaysDate)
{
ExchangeRate spotExchRate = ExchangeRateManager.Lookup(Currency.USD, Currency.EUR, todaysDate);
if (spotExchRate.BaseCurrency != Currency.USD)
{
spotExchRate = spotExchRate.Inverse();
}
var builder = new FxForwardPointTermStructure.Builder(todaysDate, spotExchRate)
{
BaseCalendar = CalendarName.UnitedStatesFederalReserve,
QuoteCalendar = CalendarName.TARGET,
DayCounter = DayCounter.Actual360,
ForwardPoints = new[]
static void Main(string[] args)
{
DateTime startTime = DateTime.Now;
try
{
var todaysDate = new DateTime(2020, 2, 28);
Settings.EvaluationDate = todaysDate;
Console.WriteLine($"Today: {todaysDate:D}\n");
ExchangeRateManager.MoneyConversion = ExchangeRateManager.ConversionType.AutomatedConversion;
ExchangeRateManager.Add(Currency.USD, Currency.EUR, 0.9103736341, todaysDate);
ExchangeRateManager.Add(Currency.GBP, Currency.EUR, 1.1628202171, todaysDate);
ExchangeRateManager.Add(Currency.CHF, Currency.EUR, 0.9405171323, todaysDate);
ShortUsdEurExample(todaysDate);
Console.WriteLine(string.Concat(Enumerable.Repeat('-', 20)));
ShortGbpEurExample(todaysDate);
Console.WriteLine(string.Concat(Enumerable.Repeat('-', 20)));
LongUsdEurExample(todaysDate);
Console.WriteLine(string.Concat(Enumerable.Repeat('-', 20)));
LongGbpEurExample(todaysDate);
Console.WriteLine(string.Concat(Enumerable.Repeat('-', 20)));
}
catch (Exception e)
{
PrintException(e, true);
}
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
