void OvernightIndexedSwapTest::testCachedValue() {
BOOST_TEST_MESSAGE("Testing Eonia-swap calculation against cached value...");
CommonVars vars;
Settings::instance().evaluationDate() = vars.today;
vars.settlement =
vars.calendar.advance(vars.today,vars.settlementDays,Days);
Real flat = 0.05;
vars.eoniaTermStructure.linkTo(flatRate(vars.settlement,flat,Actual360()));
Real fixedRate = exp(flat) - 1;
shared_ptr<OvernightIndexedSwap> swap = vars.makeSwap(1*Years, fixedRate, 0.0,false);
shared_ptr<OvernightIndexedSwap> swap2 = vars.makeSwap(1*Years, fixedRate, 0.0,true);
Real cachedNPV = 0.001730450147;
Real tolerance = 1.0e-11;
if (std::fabs(swap->NPV()-cachedNPV) > tolerance)
BOOST_ERROR("\nfailed to reproduce cached swap value (non telescopic value dates):" <<
std::fixed << std::setprecision(12) <<
"\ncalculated: " << swap->NPV() <<
"\n expected: " << cachedNPV <<
"\n tolerance:" << tolerance);
if (std::fabs(swap2->NPV()-cachedNPV) > tolerance)
BOOST_ERROR("\nfailed to reproduce cached swap value (telescopic value dates):" <<
std::fixed << std::setprecision(12) <<
"\ncalculated: " << swap->NPV() <<
"\n expected: " << cachedNPV <<
"\n tolerance:" << tolerance);
}
void OvernightIndexedSwapTest::testSeasonedSwaps() {
BOOST_TEST_MESSAGE("Testing seasoned Eonia-swap calculation...");
CommonVars vars;
Period lengths[] = { 1*Years, 2*Years, 5*Years, 10*Years, 20*Years };
Spread spreads[] = { -0.001, -0.01, 0.0, 0.01, 0.001 };
Date effectiveDate = Date(2, February, 2009);
vars.eoniaIndex->addFixing(Date(2,February,2009), 0.0010); // fake fixing values
vars.eoniaIndex->addFixing(Date(3,February,2009), 0.0011);
vars.eoniaIndex->addFixing(Date(4,February,2009), 0.0012);
vars.eoniaIndex->addFixing(Date(5,February,2009), 0.0013);
for (Size i=0; i<LENGTH(lengths); i++) {
for (Size j=0; j<LENGTH(spreads); j++) {
shared_ptr<OvernightIndexedSwap> swap =
vars.makeSwap(lengths[i],0.0,spreads[j],false,effectiveDate);
shared_ptr<OvernightIndexedSwap> swap2 =
vars.makeSwap(lengths[i],0.0,spreads[j],true,effectiveDate);
if (std::fabs(swap->NPV() - swap2->NPV()) > 1.0e-10) {
BOOST_ERROR("swap npv is different:\n"
<< std::setprecision(2)
<< " length: " << lengths[i] << " \n"
<< " floating spread: "
<< io::rate(spreads[j]) << "\n"
<< " swap value (non telescopic value dates): " << swap->NPV()
<< "\n swap value (telescopic value dates ): " << swap2->NPV());
}
}
}
}
void OvernightIndexedSwapTest::testFairSpread() {
BOOST_TEST_MESSAGE("Testing Eonia-swap calculation of "
"fair floating spread...");
CommonVars vars;
Period lengths[] = { 1*Years, 2*Years, 5*Years, 10*Years, 20*Years };
Rate rates[] = { 0.04, 0.05, 0.06, 0.07 };
for (Size i=0; i<LENGTH(lengths); i++) {
for (Size j=0; j<LENGTH(rates); j++) {
shared_ptr<OvernightIndexedSwap> swap =
vars.makeSwap(lengths[i], rates[j], 0.0);
Spread fairSpread = swap->fairSpread();
swap = vars.makeSwap(lengths[i], rates[j], fairSpread);
if (std::fabs(swap->NPV()) > 1.0e-10) {
BOOST_ERROR("\nrecalculating with implied spread:" <<
std::setprecision(2) <<
"\n length: " << lengths[i] <<
"\n fixed rate: " << io::rate(rates[j]) <<
"\nfair spread: " << io::rate(fairSpread) <<
"\n swap value: " << swap->NPV());
}
}
}
}
void OvernightIndexedSwapTest::testFairRate() {
BOOST_TEST_MESSAGE("Testing Eonia-swap calculation of fair fixed rate...");
CommonVars vars;
Period lengths[] = { 1*Years, 2*Years, 5*Years, 10*Years, 20*Years };
Spread spreads[] = { -0.001, -0.01, 0.0, 0.01, 0.001 };
for (Size i=0; i<LENGTH(lengths); i++) {
for (Size j=0; j<LENGTH(spreads); j++) {
shared_ptr<OvernightIndexedSwap> swap =
vars.makeSwap(lengths[i],0.0,spreads[j]);
swap = vars.makeSwap(lengths[i],swap->fairRate(),spreads[j]);
if (std::fabs(swap->NPV()) > 1.0e-10) {
BOOST_ERROR("recalculating with implied rate:\n"
<< std::setprecision(2)
<< " length: " << lengths[i] << " \n"
<< " floating spread: "
<< io::rate(spreads[j]) << "\n"
<< " swap value: " << swap->NPV());
}
}
}
}
void SwapTest::testFairSpread() {
BOOST_TEST_MESSAGE("Testing vanilla-swap calculation of "
"fair floating spread...");
CommonVars vars;
Integer lengths[] = { 1, 2, 5, 10, 20 };
Rate rates[] = { 0.04, 0.05, 0.06, 0.07 };
for (Size i=0; i<LENGTH(lengths); i++) {
for (Size j=0; j<LENGTH(rates); j++) {
boost::shared_ptr<VanillaSwap> swap =
vars.makeSwap(lengths[i],rates[j],0.0);
swap = vars.makeSwap(lengths[i],rates[j],swap->fairSpread());
if (std::fabs(swap->NPV()) > 1.0e-10) {
BOOST_ERROR("recalculating with implied spread:\n"
<< std::setprecision(2)
<< " length: " << lengths[i] << " years\n"
<< " fixed rate: " << io::rate(rates[j]) << "\n"
<< " swap value: " << swap->NPV());
}
}
}
}
void SwapTest::testCachedValue() {
BOOST_TEST_MESSAGE("Testing vanilla-swap calculation against cached value...");
CommonVars vars;
vars.today = Date(17,June,2002);
Settings::instance().evaluationDate() = vars.today;
vars.settlement =
vars.calendar.advance(vars.today,vars.settlementDays,Days);
vars.termStructure.linkTo(flatRate(vars.settlement,0.05,Actual365Fixed()));
boost::shared_ptr<VanillaSwap> swap = vars.makeSwap(10, 0.06, 0.001);
#ifndef QL_USE_INDEXED_COUPON
Real cachedNPV = -5.872863313209;
#else
Real cachedNPV = -5.872342992212;
#endif
if (std::fabs(swap->NPV()-cachedNPV) > 1.0e-11)
BOOST_ERROR("failed to reproduce cached swap value:\n"
<< QL_FIXED << std::setprecision(12)
<< " calculated: " << swap->NPV() << "\n"
<< " expected: " << cachedNPV);
}
void SwapTest::testSpreadDependency() {
BOOST_TEST_MESSAGE("Testing vanilla-swap dependency on floating spread...");
CommonVars vars;
Integer lengths[] = { 1, 2, 5, 10, 20 };
Rate rates[] = { 0.04, 0.05, 0.06, 0.07 };
Spread spreads[] = { -0.01, -0.002, -0.001, 0.0, 0.001, 0.002, 0.01 };
for (Size i=0; i<LENGTH(lengths); i++) {
for (Size j=0; j<LENGTH(rates); j++) {
// store the results for different spreads...
std::vector<Real> swap_values;
for (Size k=0; k<LENGTH(spreads); k++) {
boost::shared_ptr<VanillaSwap> swap =
vars.makeSwap(lengths[i],rates[j],spreads[k]);
swap_values.push_back(swap->NPV());
}
// and check that they go the right way
std::vector<Real>::iterator it =
std::adjacent_find(swap_values.begin(),swap_values.end(),
std::greater<Real>());
if (it != swap_values.end()) {
Size n = it - swap_values.begin();
BOOST_ERROR(
"NPV is decreasing with the floating spread in a swap: \n"
<< " length: " << lengths[i] << " years\n"
<< " value: " << swap_values[n]
<< " receiving spread: " << io::rate(spreads[n]) << "\n"
<< " value: " << swap_values[n+1]
<< " receiving spread: " << io::rate(spreads[n+1]));
}
}
}
}
void OvernightIndexedSwapTest::testBootstrap() {
BOOST_TEST_MESSAGE("Testing Eonia-swap curve building...");
CommonVars vars;
std::vector<shared_ptr<RateHelper> > eoniaHelpers;
std::vector<shared_ptr<RateHelper> > swap3mHelpers;
shared_ptr<IborIndex> euribor3m(new Euribor3M);
shared_ptr<Eonia> eonia(new Eonia);
for (Size i = 0; i < LENGTH(depositData); i++) {
Real rate = 0.01 * depositData[i].rate;
shared_ptr<SimpleQuote> simple = shared_ptr<SimpleQuote>(new SimpleQuote(rate));
shared_ptr<Quote> quote (simple);
Period term = depositData[i].n * depositData[i].unit;
shared_ptr<RateHelper> helper(new
DepositRateHelper(Handle<Quote>(quote),
term,
depositData[i].settlementDays,
euribor3m->fixingCalendar(),
euribor3m->businessDayConvention(),
euribor3m->endOfMonth(),
euribor3m->dayCounter()));
if (term <= 2*Days)
eoniaHelpers.push_back(helper);
if (term <= 3*Months)
swap3mHelpers.push_back(helper);
}
for (Size i = 0; i < LENGTH(fraData); i++) {
Real rate = 0.01 * fraData[i].rate;
shared_ptr<SimpleQuote> simple = shared_ptr<SimpleQuote>(new SimpleQuote(rate));
shared_ptr<Quote> quote (simple);
shared_ptr<RateHelper> helper(new
FraRateHelper(Handle<Quote>(quote),
fraData[i].nExpiry,
fraData[i].nMaturity,
fraData[i].settlementDays,
euribor3m->fixingCalendar(),
euribor3m->businessDayConvention(),
euribor3m->endOfMonth(),
euribor3m->dayCounter()));
swap3mHelpers.push_back(helper);
}
for (Size i = 0; i < LENGTH(eoniaSwapData); i++) {
Real rate = 0.01 * eoniaSwapData[i].rate;
shared_ptr<SimpleQuote> simple = shared_ptr<SimpleQuote>(new SimpleQuote(rate));
shared_ptr<Quote> quote (simple);
Period term = eoniaSwapData[i].n * eoniaSwapData[i].unit;
shared_ptr<RateHelper> helper(new
OISRateHelper(eoniaSwapData[i].settlementDays,
term,
Handle<Quote>(quote),
eonia));
eoniaHelpers.push_back(helper);
}
for (Size i = 0; i < LENGTH(swapData); i++) {
Real rate = 0.01 * swapData[i].rate;
shared_ptr<SimpleQuote> simple = shared_ptr<SimpleQuote>(new SimpleQuote(rate));
shared_ptr<Quote> quote (simple);
Period tenor = swapData[i].nIndexUnits * swapData[i].indexUnit;
Period term = swapData[i].nTermUnits * swapData[i].termUnit;
shared_ptr<RateHelper> helper(new SwapRateHelper(
Handle<Quote>(quote),
term,
vars.calendar,
vars.fixedSwapFrequency,
vars.fixedSwapConvention,
vars.fixedSwapDayCount,
euribor3m));
if (tenor == 3*Months)
swap3mHelpers.push_back(helper);
}
shared_ptr<PiecewiseFlatForward> eoniaTS(new
PiecewiseFlatForward (vars.today, eoniaHelpers, Actual365Fixed()));
shared_ptr<PiecewiseFlatForward> swapTS(new
PiecewiseFlatForward (vars.today, swap3mHelpers, Actual365Fixed()));
vars.eoniaTermStructure.linkTo(eoniaTS);
/*
std::cout.setf (std::ios::fixed, std::ios::floatfield);
std::cout.setf (std::ios::showpoint);
*/
// test curve consistency
Real tolerance = 1.0e-8;
for (Size i = 0; i < LENGTH(eoniaSwapData); i++) {
Rate expected = eoniaSwapData[i].rate;
Period term = eoniaSwapData[i].n * eoniaSwapData[i].unit;
shared_ptr<OvernightIndexedSwap> swap = vars.makeSwap(term, 0.0, 0.0);
Rate calculated = 100.0 * swap->fairRate();
Rate error = std::fabs(expected-calculated);
if (error>tolerance)
BOOST_FAIL("curve inconsistency:" << std::setprecision(10) <<
"\n swap length: " << term <<
"\n quoted rate: " << expected <<
"\n calculated rate: " << calculated <<
"\n error: " << error <<
"\n tolerance: " << tolerance);
}
// zero spread
/*
std::cout << "zero spread:" << std::endl;
std::cout << "years date zero3m/% zero1d/% spread/bp" << std::endl;
DayCounter dc = Actual365Fixed();
for (Size i = 1; i <= 10; i++) {
Date d = vars.today + i*Years;
Rate zero1d = eoniaTS->zeroRate(d, dc, Continuous, Annual,false).rate();
Rate zero3m = swapTS->zeroRate(d, dc, Continuous, Annual,false).rate();
std::cout << std::setw(2) << i << "y " << io::iso_date(d) << " "
<< std::setprecision(3)
<< zero3m * 100.0 << " "
<< zero1d * 100.0 << " "
<< std::setprecision(1)
<< (zero3m - zero1d) * 10000.0 << std::endl;
}
*/
}
void BermudanSwaptionTest::testCachedValues() {
BOOST_MESSAGE("Testing Bermudan swaption against cached values...");
CommonVars vars;
vars.today = Date(15, February, 2002);
Settings::instance().evaluationDate() = vars.today;
vars.settlement = Date(19, February, 2002);
// flat yield term structure impling 1x5 swap at 5%
vars.termStructure.linkTo(flatRate(vars.settlement,
0.04875825,
Actual365Fixed()));
Rate atmRate = vars.makeSwap(0.0)->fairRate();
boost::shared_ptr<VanillaSwap> itmSwap = vars.makeSwap(0.8*atmRate);
boost::shared_ptr<VanillaSwap> atmSwap = vars.makeSwap(atmRate);
boost::shared_ptr<VanillaSwap> otmSwap = vars.makeSwap(1.2*atmRate);
Real a = 0.048696, sigma = 0.0058904;
boost::shared_ptr<ShortRateModel> model(new HullWhite(vars.termStructure,
a, sigma));
std::vector<Date> exerciseDates;
const Leg& leg = atmSwap->fixedLeg();
for (Size i=0; i<leg.size(); i++) {
boost::shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(leg[i]);
exerciseDates.push_back(coupon->accrualStartDate());
}
boost::shared_ptr<Exercise> exercise(new BermudanExercise(exerciseDates));
boost::shared_ptr<PricingEngine> engine(new TreeSwaptionEngine(model, 50));
#if defined(QL_USE_INDEXED_COUPON)
Real itmValue = 42.2413, atmValue = 12.8789, otmValue = 2.4759;
#else
Real itmValue = 42.2470, atmValue = 12.8826, otmValue = 2.4769;
#endif
Real tolerance = 1.0e-4;
Swaption swaption(itmSwap, exercise);
swaption.setPricingEngine(engine);
if (std::fabs(swaption.NPV()-itmValue) > tolerance)
BOOST_ERROR("failed to reproduce cached in-the-money swaption value:\n"
<< "calculated: " << swaption.NPV() << "\n"
<< "expected: " << itmValue);
swaption = Swaption(atmSwap, exercise);
swaption.setPricingEngine(engine);
if (std::fabs(swaption.NPV()-atmValue) > tolerance)
BOOST_ERROR("failed to reproduce cached at-the-money swaption value:\n"
<< "calculated: " << swaption.NPV() << "\n"
<< "expected: " << atmValue);
swaption = Swaption(otmSwap, exercise);
swaption.setPricingEngine(engine);
if (std::fabs(swaption.NPV()-otmValue) > tolerance)
BOOST_ERROR("failed to reproduce cached out-of-the-money "
<< "swaption value:\n"
<< "calculated: " << swaption.NPV() << "\n"
<< "expected: " << otmValue);
for (Size j=0; j<exerciseDates.size(); j++)
exerciseDates[j] = vars.calendar.adjust(exerciseDates[j]-10);
exercise =
boost::shared_ptr<Exercise>(new BermudanExercise(exerciseDates));
#if defined(QL_USE_INDEXED_COUPON)
itmValue = 42.1917; atmValue = 12.7788; otmValue = 2.4388;
#else
itmValue = 42.1974; atmValue = 12.7825; otmValue = 2.4399;
#endif
swaption = Swaption(itmSwap, exercise);
swaption.setPricingEngine(engine);
if (std::fabs(swaption.NPV()-itmValue) > tolerance)
BOOST_ERROR("failed to reproduce cached in-the-money swaption value:\n"
<< "calculated: " << swaption.NPV() << "\n"
<< "expected: " << itmValue);
swaption = Swaption(atmSwap, exercise);
swaption.setPricingEngine(engine);
if (std::fabs(swaption.NPV()-atmValue) > tolerance)
BOOST_ERROR("failed to reproduce cached at-the-money swaption value:\n"
<< "calculated: " << swaption.NPV() << "\n"
<< "expected: " << atmValue);
swaption = Swaption(otmSwap, exercise);
swaption.setPricingEngine(engine);
if (std::fabs(swaption.NPV()-otmValue) > tolerance)
BOOST_ERROR("failed to reproduce cached out-of-the-money "
<< "swaption value:\n"
<< "calculated: " << swaption.NPV() << "\n"
<< "expected: " << otmValue);
}