【C#】18.使用Interest Rate SWAP生成interest rate curve
羊渝
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Collections;
namespace FinMktReverseEngineering
{
# region 1. 插值数据对象
// 抽象类 InterpAdapter
public abstract class InterpAdapter
{
//【3/12/2015】变量成员
public double refSerialDate;
//构造器
public InterpAdapter() { }
public InterpAdapter(double refserialdate)
{
this.refSerialDate = refserialdate;
}
// Derived class should implement these methods
// from discount factor (Df) to x (where x can be r, logr, logdf, ... )
abstract public double FromDfToInterp(double Df, double SerialDate);
// from x to DF (where x can be r, logr, logdf, ... )
abstract public double FromInterpToDf(double x, double SerialDate);
}
// Onr类型，继承自refDate
public class Onr : InterpAdapter
{
//构造器
public Onr() : base() { }
public Onr(double refserialdate): base(refserialdate) { }
public override double FromDfToInterp(double Df, double SerialDate)
{
return (1.0 / Df - 1.0) / ((SerialDate - refSerialDate)/360.0);
}
public override double FromInterpToDf(double x, double SerialDate)
{
return 1.0 / (1 + x * (SerialDate - refSerialDate)/360.0);
}
}
// OnLogr 类型 【3/14】
public class OnLogr : InterpAdapter
{
//构造器
public OnLogr() : base() { }
public OnLogr(double refserialdate): base(refserialdate) { }
//从Df到logR
public override double FromDfToInterp(double Df, double SerialDate)
{
return Math.Log((1.0 / Df - 1.0) / ((SerialDate - refSerialDate)/360.0));
}
//从logR到Df
public override double FromInterpToDf(double x, double SerialDate)
{
return 1.0 / (1 + Math.Exp(x) * (SerialDate - refSerialDate)/360.0);
}
}
// OnDf 类型 【3/14】
public class OnDf : InterpAdapter
{
//构造器
public OnDf() : base() { }
public OnDf(double refserialdate)
: base(refserialdate)
{
}
public override double FromDfToInterp(double Df, double SerialDate)
{
return Df;
}
public override double FromInterpToDf(double x, double SerialDate)
{
return x;
}
}
// OnLogDF 类型 【3/14】
public class OnLogDF : InterpAdapter
{
//构造器
public OnLogDF() : base() { }
public OnLogDF(double refserialdate)
: base(refserialdate)
{
}
public override double FromDfToInterp(double Df, double SerialDate)
{
return Math.Log(Df);
}
public override double FromInterpToDf(double x, double SerialDate)
{
return Math.Exp(x);
}
}
#endregion
//2. 结构体Period
public struct Period
{
public string Tensor;
public Date startDate;
public Date endDate;
public Period(Date startdate,string tensor)
{
this.Tensor = tensor;
this.startDate = startdate;
this.endDate = startdate.add_period_string(tensor,0);
}
}
// 3. RateSet类型
public class RateSet : System.Collections.CollectionBase
{
public Date refDate;
public BuildingBlock[] BBList;
//public ArrayList Bblist;
//0. 构造器
public RateSet(Date refdate)
{
this.refDate = refdate;
//Bblist = new ArrayList();
}
public RateSet(double Value, Period Maturity, BuildingBlockType Type)
{
}
//1. 增加数据点：Add(1.813e-2, "1Y", BuildingBlockType.EURSWAP3M);
public void Add(double rate, string maturity, BuildingBlockType bbt)
{
if (bbt == BuildingBlockType.EURSWAP6M)
{
// 2015/3/13
this.List.Add(new EurSwapVs6m(rate, refDate.add_period_string(maturity, 0)));
}
}
//2. 返回的数组
public BuildingBlock[] GetArrayOfBB()
{
BBList = new BuildingBlock[List.Count];
for (int i = 0; i < List.Count; i++)
{
BBList[i]=(BuildingBlock)List[i];
}
return BBList;
//Bblist.Sort();
//return Bblist;
//for (int i = 0; i < List.Count; i++)
//{
// BB[i]=(BuildingBlock)List[i];
//}
//return BB;
}
}
//子类是single或者multiple Rate Curve
public interface IRateCurve
{
//返回Reference Date
Date RefDate();
//返回在TargetDate那天的Discount Factor
double Df(Date TargetDate);
//返回指定的Tenor时间段，从StartDate开始的Future Rate
double Fwd(Date StartDate);
//返回StartDate开始的swap par rate,期限还是Tenor
double SwapFwd(Date StartDate, string Tenor);
//返回用于输入的Swap
SwapStyle GetSwapStyle();
}
// Single Curve接口：继承自IRateCurve
public interface ISingleRateCurve : IRateCurve
{
// Return array of curves, initialized after shifting mktRateSet elements
ISingleRateCurve[] ShiftedCurveArray(double shift);
// Return one only curve, initialized after shifting all mktRateSet elements up of 'shift' quantity, once at the same time
ISingleRateCurve ParallelShift(double shift);
// Return input rates
double[] GetInputRates();
}
// 1. 抽象类SingleCurveBuilder 【更新】2015/3/12
public abstract class SingleCurveBuilder<DoInterpOn, Interpolation> //: ISingleRateCurve
where DoInterpOn : InterpAdapter, new()
where Interpolation : BaseOneDimensionalInterpolator,new()
{
public Date refDate; // Reference date of the curve.
public Interpolation PostProcessInterpo; // The post process interpolator.
public DoInterpOn interpAdapter; // Adapter to interpolator.
public IEnumerable<BuildingBlock> BBArray; // Building block array, sorted in ascending order by maturity.
//【更新】2015/3/13
public RateSet mktRateSet;
public LinearInterpolator MRInterp;
//string FloatTenor; //有待改正！！！
//0. 构造器
public SingleCurveBuilder(RateSet rateSet)
{
this.refDate = rateSet.refDate;
this.mktRateSet = rateSet;
this.interpAdapter = new DoInterpOn();
interpAdapter.refSerialDate = rateSet.refDate.SerialValue;
}
//Protected Method used in constructor.
abstract protected void PreProcessInputs(); // Prepare rateSet to be processed from
//Solve method
abstract protected void Solve(); // Do calculus.
abstract protected void PostProcessData(); // Prepare data for interpolators.
#region 【3/14】 执行接口 IRateCurve
// 1. 返回 reference date.
public Date RefDate()
{
return refDate;
}
// 2. 返回 d 那天的 discount factor，折现时段由给定的swap的float leg决定（例如：6个月）
public double DF(Date d)
{
//Serial date for which it calculates the discount factor
double sd = new Date(d).SerialValue;
//Adapt data to interpolator according to <DoInterpOn>
return interpAdapter.FromInterpToDf(PostProcessInterpo.Solve(sd), sd);
} // Calculate discount factor.
// 3. 返回Forward rate of tenor Period FloatTenor.
//public double Fwd(Date StartDate)
//{
// Date ed = StartDate.add_period_string(FloatTenor);
// double yf = StartDate.YF_30_360(ed);// YF(ed, Dc._Act_360);
// double df_ini = DF(StartDate);
// double df_end = DF(ed);
// return ((df_ini / df_end) - 1) / yf; // equation (15.2).
//}
// 4. Forward Start IRS rate.
public double SwapFwd(Date StartDate, string Tenor)
{
Date ed = StartDate.add_period_string(Tenor,0);
double yf = StartDate.YF_30_360(ed);// YF(ed, Dc._Act_360);
double df_ini = DF(StartDate);
double df_end = DF(ed);
return ((df_ini / df_end) - 1) / yf;
}
//public SwapStyle GetSwapStyle() {...} // Return SwapStyle used for bootstrapping, it is swap type used as inputs (i.e. EurSwapVs6m,EurSwapVs3m,
//public ISingleRateCurve[] ShiftedCurveArray(double shift){..} // Return array of curves, initialized after shifting mktRateSet elements.
//public ISingleRateCurve ParallelShift(double shift){..}
//Return one only curve, initialized after shifting all mktRateSet elements up of 'shift'quantity, once at the same time.
#endregion
//Derived classes must implement this method.
public abstract ISingleRateCurve CreateInstance(RateSet newRateSet);
// Create an instance of class using a new RateSet.}
}
// 2. 类SingleCurveBuilderStandard 【更新】2015/3/12
public class SingleCurveBuilderStandard<DoInterpOn, Interpolation> :SingleCurveBuilder<DoInterpOn, Interpolation>
where DoInterpOn : InterpAdapter, new() //使用何种金融资产？Swap，Deposit？
where Interpolation : BaseOneDimensionalInterpolator, new() //插值器
{
//枚举型：MissingRateInterp是用来估计未知rate的插值器（例如线性插值器）
private OneDimensionInterpolation MissingRateInterp;
// Used in the constructor
private IEnumerable<BuildingBlock> PreProcessedData; // Building blocks collection
//DateDf中Key是SerialDate，Value是DF。
private SortedList<double, double> DateDf; //SerialDate as Key, DFas value, used in constructor to collect data coming from PreProcessedData
//private SortedList<double, double> DateR; //自定义
Vector<double> T;
Vector<double> ObvRate;
// Constructor
public SingleCurveBuilderStandard(RateSet rateSet, OneDimensionInterpolation missingRateInterp)
: base(rateSet)
{
// To Data Member
MissingRateInterp = missingRateInterp;
// 1)Prepare data to be used in Solve() (output is: PreProcessedData)
PreProcessInputs(); //输出PreProcessedData
// 2)Do Calculus: from PreProcessedData calculate post processed data (output is: DataDF)
Solve(); //输出DataDF
// 3)create the instance PostProcessInterpo stored in data member of base class
PostProcessData();
}
// 2015/3/13 预处理输入数据
protected override void PreProcessInputs()
{
// 【3/14】
PreProcessedData = mktRateSet.GetArrayOfBB();
PreProcessedData.OrderBy(BuildingBlock =>BuildingBlock.Maturity); //排序！
DateDf = new SortedList<double, double>();
for (int i = 0; i < mktRateSet.Count; i++)
{
DateDf.Add(PreProcessedData.ElementAt(i).endDate.SerialValue, PreProcessedData.ElementAt(i).Rate);
}
}
protected override void Solve()
{
T = new Vector<double>(DateDf.Keys.ToArray(), 0);
ObvRate = new Vector<double>(DateDf.Values.ToArray(), 0);
// 对于Discount Factor插值
if (MissingRateInterp == OneDimensionInterpolation.Linear)
{
MRInterp = new LinearInterpolator(T, ObvRate);
}
for (int i = 0; i < DateDf.Count - 1; i++)
{
Date dt1 = new Date(DateDf.Keys[i]);
Date dt2 = dt1.add_period_string("6m", 0);
while (dt2.SerialValue < DateDf.Keys[i + 1])
{
double d = dt2.SerialValue;
DateDf.Add(d, MRInterp.Solve(d)); //插值missing
dt2 = dt2.add_period_string("6m", 0);
}
}
}
protected override void PostProcessData()
{
T = new Vector<double>(DateDf.Keys.ToArray(), 0);
ObvRate = new Vector<double>(DateDf.Values.ToArray(), 0);
this.PostProcessInterpo = new Interpolation();
PostProcessInterpo.t=T;
PostProcessInterpo.observedRate=ObvRate;
for (int i = 0; i < 200; i+=10)
{
Console.WriteLine("{0}, {1}", new Date( DateDf.Keys[0] + i).ToString(), interpAdapter.FromDfToInterp(PostProcessInterpo.Solve(DateDf.Keys[0] + i), DateDf.Keys[0]+i));
}
}
public override ISingleRateCurve CreateInstance(RateSet newRateSet)
{
throw new NotImplementedException();
}
}
//4. BuildingBlock类型
public class BuildingBlock:IComparable
{
// 成员变量
public double Rate;
public BuildingBlockType BBT;
public Dc dc;
public double Maturity;
public Date startDate;
public Date endDate;
public string FloatTernsor;
// 构造器
public BuildingBlock(double rate,Date enddate)
{
this.Rate=rate;
this.endDate = enddate;
}
public BuildingBlock(double rate,string floattensor)
{
this.Rate=rate;
this.FloatTernsor=floattensor;
}
//CompareTo
int IComparable.CompareTo(object obj)
{
if (obj is BuildingBlock)
<span style="white-space:pre"> </span> {
BuildingBlock bb = obj as BuildingBlock;
return this.endDate.SerialValue>bb.endDate.SerialValue?1:(this.endDate.SerialValue==bb.endDate.SerialValue?0:-1);
<span style="white-space:pre"> </span> }
else
{
throw new ArgumentException( "比较错误" );
}
}
}
public enum OneDimensionInterpolation
{
Linear,
Cubine
}
//Swap类型，继承自BuildingBlock类型
public class SwapStyle : BuildingBlock
{
// 成员变量
public string FixLegInterval;
// 构造器
public SwapStyle(double rate, Date enddate)
: base(rate, enddate)
{
dc=Dc._30_360;
}
}
public class EurSwapVs6m : SwapStyle
{
public EurSwapVs6m(double rate,Date enddate):base(rate,enddate)
{
BBT=BuildingBlockType.EURSWAP6M;
FixLegInterval="6m";
dc = Dc._30_360;
//endDate=startDate.add_period(maturity);
}
}
//5. 枚举型
public enum BuildingBlockType
{
EURSWAP3M,
EURSWAP6M,
EONIASWAP,
EURDEPO
}
public abstract class BaseOneDimensionalInterpolator
{
public Vector<double> t;
public Vector<double> observedRate;
public BaseOneDimensionalInterpolator(Vector<double> t, Vector<double> ObservedRate)
{
this.t = t;
this.observedRate = ObservedRate;
}
public BaseOneDimensionalInterpolator()
{ }
public abstract double Solve(double DateSerial);
public abstract Vector<double> Curve(Vector<double> term);
}
}
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Diagnostics;
using System.Globalization;
namespace FinMktReverseEngineering
{
class test
{
static void Main(string[] args)
{
Date dt = new Date (new DateTime(2015,3,11));
RateSet rateSet=new RateSet(dt);
rateSet.Add(0.998, "6m", BuildingBlockType.EURSWAP6M);
rateSet.Add(0.989, "1y", BuildingBlockType.EURSWAP6M);
rateSet.Add(0.95, "2y", BuildingBlockType.EURSWAP6M);
rateSet.Add(0.934, "4y", BuildingBlockType.EURSWAP6M);
LinearInterpolator missingRateInterp;
SingleCurveBuilderStandard<Onr, LinearInterpolator> sb = new SingleCurveBuilderStandard<Onr, LinearInterpolator>(rateSet,OneDimensionInterpolation.Linear);
Console.Read();
}
}
}
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