public CommonVars()
{
type = OvernightIndexedSwap.Type.Payer;
settlementDays = 2;
nominal = 100.0;
fixedEoniaConvention = BusinessDayConvention.ModifiedFollowing;
floatingEoniaConvention = BusinessDayConvention.ModifiedFollowing;
fixedEoniaPeriod = new Period(1, TimeUnit.Years);
floatingEoniaPeriod = new Period(1, TimeUnit.Years);
fixedEoniaDayCount = new Actual360();
eoniaIndex = new Eonia(eoniaTermStructure);
fixedSwapConvention = BusinessDayConvention.ModifiedFollowing;
fixedSwapFrequency = Frequency.Annual;
fixedSwapDayCount = new Thirty360();
swapIndex = (IborIndex) new Euribor3M(swapTermStructure);
calendar = eoniaIndex.fixingCalendar();
today = new Date(5, Month.February, 2009);
//today = calendar.adjust(Date::todaysDate());
Settings.setEvaluationDate(today);
settlement = calendar.advance(today,new Period(settlementDays,TimeUnit.Days),BusinessDayConvention.Following);
eoniaTermStructure.linkTo(Utilities.flatRate(settlement, 0.05,new Actual365Fixed()));
}
public void testBootstrap()
{
// Testing Eonia-swap curve building...
CommonVars vars = new CommonVars();
List<RateHelper> eoniaHelpers = new List<RateHelper>();
List<RateHelper> swap3mHelpers = new List<RateHelper>();
IborIndex euribor3m = new Euribor3M();
Eonia eonia = new Eonia();
for (int i = 0; i < depositData.Length; i++)
{
double rate = 0.01 * depositData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period term = new Period(depositData[i].n , depositData[i].unit);
RateHelper helper = new DepositRateHelper(quote,
term,
depositData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
if (term <= new Period(2,TimeUnit.Days))
eoniaHelpers.Add(helper);
if (term <= new Period(3,TimeUnit.Months))
swap3mHelpers.Add(helper);
}
for (int i = 0; i < fraData.Length; i++)
{
double rate = 0.01 * fraData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
RateHelper helper = new FraRateHelper(quote,
fraData[i].nExpiry,
fraData[i].nMaturity,
fraData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
swap3mHelpers.Add(helper);
}
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double rate = 0.01 * eoniaSwapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period term = new Period(eoniaSwapData[i].n , eoniaSwapData[i].unit);
RateHelper helper = new OISRateHelper(eoniaSwapData[i].settlementDays,
term,
quote,
eonia);
eoniaHelpers.Add(helper);
}
for (int i = 0; i < swapData.Length; i++)
{
double rate = 0.01 * swapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period tenor = new Period(swapData[i].nIndexUnits , swapData[i].indexUnit);
Period term = new Period(swapData[i].nTermUnits , swapData[i].termUnit);
RateHelper helper = new SwapRateHelper(quote,
term,
vars.calendar,
vars.fixedSwapFrequency,
vars.fixedSwapConvention,
vars.fixedSwapDayCount,
euribor3m);
if (tenor == new Period(3,TimeUnit.Months))
swap3mHelpers.Add(helper);
}
PiecewiseYieldCurve<Discount, LogLinear> eoniaTS = new PiecewiseYieldCurve<Discount, LogLinear>(vars.today,
eoniaHelpers,
new Actual365Fixed());
PiecewiseYieldCurve<Discount, LogLinear> swapTS = new PiecewiseYieldCurve<Discount, LogLinear>(vars.today,
swap3mHelpers,
new Actual365Fixed());
vars.eoniaTermStructure.linkTo(eoniaTS);
// test curve consistency
double tolerance = 1.0e-10;
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double expected = eoniaSwapData[i].rate;
Period term = new Period(eoniaSwapData[i].n , eoniaSwapData[i].unit);
OvernightIndexedSwap swap = vars.makeSwap(term, 0.0, 0.0);
double? calculated = 100.0 * swap.fairRate();
if (Math.Abs(expected-calculated.Value) > tolerance)
Assert.Fail("curve inconsistency:\n"
+ " swap length: " + term + "\n"
+ " quoted rate: " + expected + "\n"
+ " calculated rate: " + calculated);
}
}