void vanillaSwapComparaisonExemple()
{
double strike = 1.6;
size_t indexStart = 3;
size_t indexEnd = 19;
Tenor tenorStruture = Tenor::_6M;
Tenor floatingTenor = Tenor::_6M;
Tenor fixedTenor = Tenor::_12M;
LMMTenorStructure_PTR lmmTenorStructure(new LMMTenorStructure(tenorStruture, 10));
size_t liborIndex = lmmTenorStructure->get_horizon()+1;
std::vector<double> myInitialLibor(liborIndex);
for (size_t i = 0; i <myInitialLibor.size(); i++)
{
myInitialLibor[i]=0.02;//+((double)i)*0.01;
}
//VanillaSwap_Chi_Trang
VanillaSwap myVS(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
myVS.print("test_beginer_VanillaSwap.txt");
LmmVanillaSwapPricer myVSP(lmmTenorStructure);
double prix_swap=myVSP.swapNPV_Analytical_1(myVS, myInitialLibor);
cout << "FirstVersionSwapPrice: "<< prix_swap << endl;
//GeneticSwap test
GeneticSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
GeneticVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GeneticVanillaSwapPricer());
double geneticPrice=geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(vanillaSwap_Genetic, myInitialLibor);
cout << "GeneticSwapTest: "<<geneticPrice << endl;
cout << "Difference:" << geneticPrice-prix_swap<< endl;
}
void vanillaSwapComparaisonExemple()
{
double strike = 0.02;
size_t indexStart = 3;
size_t indexEnd = 19;
Tenor tenorStruture = Tenor::_6M;
Tenor floatingTenor = Tenor::_6M;
Tenor fixedTenor = Tenor::_12M;
LMMTenorStructure_PTR lmmTenorStructure(new LMMTenorStructure(tenorStruture, 10));
size_t liborIndex = lmmTenorStructure->get_horizon()+1;
std::vector<double> myInitialLibor(liborIndex);
for (size_t i = 0; i <myInitialLibor.size(); i++)
{
myInitialLibor[i]=0.02; //+((double)i)*0.01;
}
cout << "strike: " << strike << endl;
cout << "indexStart: " << indexStart << endl;
cout << "indexEnd: " << indexEnd << endl;
cout << "tenorStrutureYearFraction: " << lmmTenorStructure->get_tenorType().YearFraction() << endl;
cout << "floatingVStenorStrutureRatio: " << floatingTenor.ratioTo(tenorStruture) << endl;
cout << "fixedVStenorStrutureRatio: " << fixedTenor.ratioTo(tenorStruture) << endl;
cout << "myInitialLibor: ";
for (size_t i = 0; i <myInitialLibor.size(); i++)
{
cout << myInitialLibor[i] << " ";
}
cout << endl;
cout << endl;
//VanillaSwap_Chi_Trang
VanillaSwap myVS(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
LmmVanillaSwapPricer myVSP(lmmTenorStructure);
double prix_swap=myVSP.swapNPV_Analytical_1(myVS, myInitialLibor);
//GeneticSwap test
//build geneticVanillaSwap
GenericSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
GenericVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GenericVanillaSwapPricer());
double geneticPrice=geneticVanillaSwapPricer->genericVanillaSwap_Analytical(vanillaSwap_Genetic, myInitialLibor);
cout << "FirstVersionSwapPrice: " << prix_swap << endl;
cout << "GeneticSwapTest: " << geneticPrice << endl;
cout << "Difference: " << geneticPrice-prix_swap << endl;
}
void Test_McGeneticSwapLMMPricer()
{
//! Parameters
double strike = 0.02;
LMM::Index indexStart = 0;
LMM::Index indexEnd = 20;
Tenor floatingTenor = Tenor::_6M;
Tenor fixedTenor = Tenor::_12M;
Tenor tenorStruture = Tenor::_6M;
size_t horizonYear = 10;
LMMTenorStructure_PTR lmmTenorStructure( new LMMTenorStructure(tenorStruture, horizonYear));
cout << "strike: " << strike << endl;
cout << "indexStart: " << indexStart << endl;
cout << "indexEnd: " << indexEnd << endl;
cout << "tenorStrutureYearFraction: " << lmmTenorStructure->get_tenorType().YearFraction() << endl;
cout << "floatingVStenorStrutureRatio: " << floatingTenor.ratioTo(tenorStruture) << endl;
cout << "fixedVStenorStrutureRatio: " << fixedTenor.ratioTo(tenorStruture) << endl;
double fwdRate = 0.02;
std::vector<double> liborsInitValue(lmmTenorStructure->get_horizon()+1, fwdRate);
cout << "myInitialLibor: ";
for (size_t i = 0; i <liborsInitValue.size(); i++)
{
cout << liborsInitValue[i] << " ";
}
cout << endl;
cout << endl;
//VanillaSwap_Chi_Trang
VanillaSwap firstVersionVanillaSwap(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
LmmVanillaSwapPricer myVSP(lmmTenorStructure);
double FirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(firstVersionVanillaSwap, liborsInitValue);
//---------------------------Build Lmm and McLmm's structure--------------------------------------
//! Parameter of h
double a = -0.06;
double b = 0.17;
double c = 0.54;
double d = 0.17;
Shifted_HGVolatilityParam::ABCDParameter abcdParam (a,b,c,d);
//Parameter of hg
double g_constParam = 1.0;
double shift_constParam = -0.01;
ConstShifted_HGVolatilityParam_PTR hgParam( new ConstShifted_HGVolatilityParam(lmmTenorStructure,abcdParam,g_constParam,shift_constParam));
//! Correlation 1
size_t nbFactor = 3; // need to test nbFactor = 3, and nbFactor =
size_t correlFullRank = lmmTenorStructure->get_horizon()+1;
size_t correlReducedRank = nbFactor;
//!"Check Parameters(): Condition not implemented yet."
std::cout << "checkParams(): ";
CorrelationReductionType::CorrelationReductionType correlReductionType = CorrelationReductionType::PCA;
double correlAlpha = 0.0;
double correlBeta = 0.1;
Correlation_PTR correlation(new XY_beta_Correlation(correlFullRank,correlReducedRank, correlReductionType,correlAlpha,correlBeta));
correlation->calculate(); // for print.
correlation->print("test_McTerminalLmm_Correlation.csv");
//hgVolatilityFunction
ConstShifted_HGVolatilityFunction_PTR hgVolatilityFunction (new ConstShifted_HGVolatilityFunction(lmmTenorStructure, correlation, hgParam));
hgVolatilityFunction->print("test_McTerminalLmm_Volatility.csv");
//! Dispersion
Dispersion dispersion(hgVolatilityFunction);
unsigned long seed = 5033;
RNGenerator_PTR rnGenerator(new McGenerator(seed));
//build lmm and mcLmm model
Lmm_PTR shiftedLmm (new Lmm(dispersion));
McLmm_PTR mcLmm(new McTerminalLmm(shiftedLmm, liborsInitValue, rnGenerator, MCSchemeType::EULER));
//build a McGeneticSwapLMMPricer
McGeneticSwapLMMPricer_PTR mcGeneticSwapLMMPricer(new McGeneticSwapLMMPricer(mcLmm));
//build the geneticVanillaSwap
GeneticSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
//use Monte Carlo Method
size_t nbSimulation=10000;
double MonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(vanillaSwap_Genetic, nbSimulation);
//ordinaryGeneticVanillaSwapPricer
GeneticVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GeneticVanillaSwapPricer());
double OrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(vanillaSwap_Genetic,liborsInitValue);
//subVanillaSwap
LMM::Index subIndexStart = 10;
LMM::Index subIndexEnd = 16;
GeneticSwap_CONSTPTR subVanillaSwap_Genetic=InstrumentFactory::createVanillaSwap(
strike,subIndexStart,subIndexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0);
double subMonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(subVanillaSwap_Genetic, nbSimulation);
//subOrdinaryGeneticVanillaSwapPrice
double subOrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(subVanillaSwap_Genetic,liborsInitValue);
//subFirstVersionVanillaSwapPrice
VanillaSwap subFirstVersionVanillaSwap(strike, subIndexStart , subIndexEnd, floatingTenor, fixedTenor, lmmTenorStructure);
double subFirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(subFirstVersionVanillaSwap, liborsInitValue);
cout << "MonteCarloPrice: " << MonteCarloPrice << endl;
cout << "OrdinaryGeneticVanillaSwapPrice: " << OrdinaryGeneticVanillaSwapPrice << endl;
cout << "FirstVersionSwapPrice: " << FirstVersionSwapPrice << endl;
cout << "Difference between MonteCarloPrice and OrdinaryGeneticVanillaSwapPrice: " << MonteCarloPrice-OrdinaryGeneticVanillaSwapPrice << endl;
cout << "Difference between OrdinaryGeneticVanillaSwapPrice and FirstVersionSwapPrice: " << OrdinaryGeneticVanillaSwapPrice-FirstVersionSwapPrice << endl;
cout << "subMonteCarloPrice: " << subMonteCarloPrice << endl;
cout << "subOrdinaryGeneticVanillaSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice << endl;
cout << "subFirstVersionSwapPrice: " << subFirstVersionSwapPrice << endl;
cout << "Difference between subMonteCarloPrice and subOrdinaryGeneticVanillaSwapPrice: " << subMonteCarloPrice-subOrdinaryGeneticVanillaSwapPrice << endl;
cout << "Difference between subOrdinaryGeneticVanillaSwapPrice and subFirstVersionSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice-subFirstVersionSwapPrice << endl;
ofstream o;
o.open("TestResult_GeneticVanillaSwap_05_06.csv", ios::out | ios::app );
o << endl;
o << endl;
o << endl;
o << "strike: " << strike << endl;
o << "indexStart: " << indexStart << endl;
o << "indexEnd: " << indexEnd << endl;
o << "floatingTenorVSLmmStructureTenorRatio: " << floatingTenor.ratioTo(lmmTenorStructure->get_tenorType()) << endl;
o << "fixedTenorVSLmmStructureTenorRatio: " << fixedTenor.ratioTo(lmmTenorStructure->get_tenorType()) << endl;
o << "floatingTenorYearFraction: " << floatingTenor.YearFraction() << endl;
o << "fixedTenorYearFraction: " << fixedTenor.YearFraction() << endl;
o << "horizonYear: " << horizonYear << endl;
o << "liborsInitValue: ";
for(size_t i=0; i<liborsInitValue.size(); i++)
{
o << liborsInitValue[i] << " ";
}
o << endl;
o << "nbSimulation: " << nbSimulation << endl;
o << "PRICES: " << endl;
o << "MonteCarloPrice: " << MonteCarloPrice << endl;
o << "OrdinaryGeneticVanillaSwapPrice: " << OrdinaryGeneticVanillaSwapPrice << endl;
o << "FirstVersionSwapPrice: " << FirstVersionSwapPrice << endl;
o << "Difference between MonteCarloPrice and OrdinaryGeneticVanillaSwapPrice: " << MonteCarloPrice-OrdinaryGeneticVanillaSwapPrice << endl;
o << "Difference between OrdinaryGeneticVanillaSwapPrice and FirstVersionSwapPrice: " << OrdinaryGeneticVanillaSwapPrice-FirstVersionSwapPrice << endl;
o << "SUBPRICES: "<< endl;
o << "subIndexStart: " << subIndexStart << endl;
o << "subIndexEnd: " << subIndexEnd << endl;
o << "subMonteCarloPrice: " << subMonteCarloPrice << endl;
o << "subOrdinaryGeneticVanillaSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice << endl;
o << "subFirstVersionSwapPrice: " << subFirstVersionSwapPrice << endl;
o << "Difference between subMonteCarloPrice and subOrdinaryGeneticVanillaSwapPrice: " << subMonteCarloPrice-subOrdinaryGeneticVanillaSwapPrice << endl;
o << "Difference between subOrdinaryGeneticVanillaSwapPrice and subFirstVersionSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice-subFirstVersionSwapPrice << endl;
o.close();
}
