MakeCapFloor::operator shared_ptr<CapFloor>() const {
VanillaSwap swap = makeVanillaSwap_;
Leg leg = swap.floatingLeg();
if (firstCapletExcluded_)
leg.erase(leg.begin());
// only leaves the last coupon
if (asOptionlet_ && leg.size() > 1) {
Leg::iterator end = leg.end(); // Sun Studio needs an lvalue
leg.erase(leg.begin(), --end);
}
std::vector<Rate> strikeVector(1, strike_);
if (strike_ == Null<Rate>()) {
// temporary patch...
// should be fixed for every CapFloor::Engine
shared_ptr<BlackCapFloorEngine> temp =
dynamic_pointer_cast<BlackCapFloorEngine>(engine_);
QL_REQUIRE(temp,
"cannot calculate ATM without a BlackCapFloorEngine");
Handle<YieldTermStructure> discountCurve = temp->termStructure();
strikeVector[0] = CashFlows::atmRate(leg,
**discountCurve,
false,
discountCurve->referenceDate());
}
shared_ptr<CapFloor> capFloor(new
CapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
MakeYoYInflationCapFloor::operator ext::shared_ptr<YoYInflationCapFloor>() const {
Date startDate;
if (effectiveDate_ != Date()) {
startDate = effectiveDate_;
} else {
Date referenceDate = Settings::instance().evaluationDate();
Date spotDate = calendar_.advance(referenceDate,
fixingDays_*Days);
startDate = spotDate+forwardStart_;
}
Date endDate = calendar_.advance(startDate,length_*Years,Unadjusted);
Schedule schedule(startDate, endDate, Period(Annual), calendar_,
Unadjusted, Unadjusted, // ref periods & acc periods
DateGeneration::Forward, false);
Leg leg = yoyInflationLeg(schedule, calendar_, index_,
observationLag_)
.withPaymentAdjustment(roll_)
.withPaymentDayCounter(dayCounter_)
.withNotionals(nominal_)
;
if (firstCapletExcluded_)
leg.erase(leg.begin());
// only leaves the last coupon
if (asOptionlet_ && leg.size() > 1) {
Leg::iterator end = leg.end(); // Sun Studio needs an lvalue
leg.erase(leg.begin(), --end);
}
std::vector<Rate> strikeVector(1, strike_);
if (strike_ == Null<Rate>()) {
// ATM on the forecasting curve
Handle<YieldTermStructure> fc;
if (!nominalTermStructure_.empty()) {
fc = nominalTermStructure_;
} else {
QL_REQUIRE(!index_->yoyInflationTermStructure().empty(),
"no forecasting yoy term structure set for " <<
index_->name());
fc = index_->yoyInflationTermStructure()->nominalTermStructure();
}
strikeVector[0] = CashFlows::atmRate(leg,**fc,
false, fc->referenceDate());
}
ext::shared_ptr<YoYInflationCapFloor> capFloor(new
YoYInflationCapFloor(capFloorType_, leg, strikeVector));
capFloor->setPricingEngine(engine_);
return capFloor;
}
/* TODO: Instrument interface
- swaps: euro swaps, usd
- bonds: UST, corp, tax-exempt munis
*/
int main ()
{
cout << "QuantLib Version #: " << QL_VERSION << endl ;
Calendar calendar = TARGET();
// Date todaysDate = TARGET().adjust( Date(20, September, 2004) );
Date todaysDate = TARGET().adjust( Date(28, May, 2012) );
Settings::instance().evaluationDate() = todaysDate;
cout << "settings: " << &Settings::instance() << endl;
cout << "\n\nToday: " << todaysDate << endl;
string futtenors[] = {"ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7", "ED8"};
double futspots[] = {96.2875, 96.7875, 96.9875, 96.6875, 96.4875, 96.3875, 96.2875, 96.0875};
string depotenors[] = {"1W", "1M", "3M", "6M", "9M", "1y"};
double depospots[] = {.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345};
string swaptenors[] = {"2y", "3y", "5y", "10Y", "15Y"};
double swapspots[] = {0.037125, 0.0398, 0.0443, 0.05165, 0.055175};
cout << "test sc1" << endl;
RateHelperCurve acurve = RateHelperCurve(EURiborCurve("6M"));
acurve.update(depotenors, depospots, 6,
swaptenors, swapspots, 5,
todaysDate);
cout << "quote: " << acurve.tenorquote("10Y") << endl;
cout << "test tenors\n" << Period(6, Months) << " | " << Tenor("6M") << endl;
cout << "fixing calendar: " << acurve.calendar() << endl;
/*********************
* SWAPS TO BE PRICED *
**********************/
RelinkableHandle<YieldTermStructure>forecastingTermStructure = acurve.forecastingTermStructure();
// constant nominal 1,000,000 Euro
Real nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Annual;
BusinessDayConvention fixedLegConvention = Unadjusted;
BusinessDayConvention floatingLegConvention = ModifiedFollowing;
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
Rate fixedRate = 0.04;
DayCounter floatingLegDayCounter = Actual360();
// floating leg
Frequency floatingLegFrequency = Semiannual;
boost::shared_ptr<IborIndex> euriborIndex(new Euribor6M(forecastingTermStructure));
Spread spread = 0.0;
Integer lenghtInYears = 5;
VanillaSwap::Type swapType = VanillaSwap::Payer;
Date settlementDate = acurve.referenceDate();
Date maturity = acurve.referenceDate() + lenghtInYears*Years;
Schedule fixedSchedule(settlementDate, maturity,
Period(fixedLegFrequency),
calendar, fixedLegConvention,
fixedLegConvention,
DateGeneration::Forward, false);
Schedule floatSchedule(settlementDate, maturity,
Period(floatingLegFrequency),
calendar, floatingLegConvention,
floatingLegConvention,
DateGeneration::Forward, false);
VanillaSwap spot5YearSwap(swapType, nominal,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread,
floatingLegDayCounter);
Date fwdStart = calendar.advance(settlementDate, 1, Years);
Date fwdMaturity = fwdStart + lenghtInYears*Years;
Schedule fwdFixedSchedule(fwdStart, fwdMaturity,
Period(fixedLegFrequency),
calendar, fixedLegConvention,
fixedLegConvention,
DateGeneration::Forward, false);
Schedule fwdFloatSchedule(fwdStart, fwdMaturity,
Period(floatingLegFrequency),
calendar, floatingLegConvention,
floatingLegConvention,
DateGeneration::Forward, false);
VanillaSwap oneYearForward5YearSwap(swapType, nominal,
fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread,
floatingLegDayCounter);
cout << "swap." << endl;
boost::shared_ptr<PricingEngine> swapEngine = createPriceEngine<DiscountingSwapEngine>(
acurve.discountingTermStructure()
);
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
Real NPV;
Rate fairRate;
Spread fairSpread;
cout << "spot " << endl;
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << NPV <<
" | Fair Spread: " << io::rate(fairSpread) <<
" | Fair Rate: " << io::rate(fairRate) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << spot5YearSwap.fixedLegNPV() <<
" | fx NPV : " << spot5YearSwap.floatingLegNPV() << endl;
cout << "forward " << endl;
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << NPV <<
" | Fair Spread: " << io::rate(fairSpread) <<
" | Fair Rate: " << io::rate(fairRate) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << oneYearForward5YearSwap.fixedLegNPV() <<
" | fx NPV : " << oneYearForward5YearSwap.floatingLegNPV() << endl;
cout << "test libor clone" << endl;
RelinkableHandle<YieldTermStructure> indexTermStructure;
boost::shared_ptr<IborIndex> libor3m(new USDLibor(Period(3, Months),
indexTermStructure));
Handle<YieldTermStructure>testTS = acurve.forecastingTermStructure();
boost::shared_ptr<IborIndex> newlib = libor3m->clone(testTS);
// If one wanted a USD Libor index....
USDLiborBase testIndex;
cout << "\n\nSwap to compare to first swap " << endl;
cout << "Qswap" << endl;
cout << "mty: " << maturity << " | cpn: " << io::rate(fixedRate) << endl;
EuriborBase euribor(6, Months);
FixedFloatSwap qswp(settlementDate,
maturity,
fixedRate,
euribor(acurve.yieldTermStructurePtr()),
FixedPayer,
0.0,
1000000.0,
Annual,
Thirty360(Thirty360::European),
Unadjusted,
Semiannual,
Actual360(),
ModifiedFollowing,
TARGET()
);
qswp.setPricingEngine(swapEngine);
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << qswp.NPV() <<
" | Fair Spread: " << io::rate(qswp.fairSpread()) <<
" | Fair Rate: " << io::rate(qswp.fairRate()) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << qswp.fixedLegNPV() <<
" | fl NPV : " << qswp.floatingLegNPV() << endl;
cout << "Inspect Legs" << endl << endl;
Leg fixedLeg = qswp.fixedLeg();
Leg floatingLeg = qswp.floatingLeg();
cout << "Fixed: " << endl;
Leg::iterator fxIt;
int cfCount =0;
Date cfDate;
double cfAmt;
double cfDF;
double cfNPV = 0.0;
for (fxIt=fixedLeg.begin(); fxIt < fixedLeg.end(); fxIt++) {
cfDate = (*fxIt)->date();
cfAmt = (*fxIt)->amount();
cfDF = acurve.discount((*fxIt)->date());
cfNPV += cfAmt*cfDF;
cout << cfCount++ << ") "
<< std::setw(24) << cfDate << " | " << std::setw(12)
<< cfAmt << " | "
<< std::setprecision(6) << cfDF << " | "
<< std::setprecision(2) << cfNPV
<< endl;
}
cout << "Floating: " << endl;
Leg::iterator flIt;
cfCount =0;
cfNPV = 0.0;
for (flIt=floatingLeg.begin(); flIt < floatingLeg.end(); flIt++) {
cfDate = (*flIt)->date();
cfAmt = (*flIt)->amount();
cfDF = acurve.discount((*flIt)->date());
cfNPV += cfAmt*cfDF;
cout << cfCount++ << ") "
<< std::setw(24) << cfDate << " | " << std::setw(12)
<< cfAmt << " | "
<< std::setprecision(6) << cfDF << " | "
<< std::setprecision(2) << cfNPV
<< endl;
}
cout << "swp2 " << endl;
SwapType<Euribor> euriborswaps(Annual,
Thirty360(Thirty360::European),
Unadjusted,
Semiannual,
Actual360(),
ModifiedFollowing,
TARGET()
);
cout << "create" << endl;
boost::shared_ptr<FixedFloatSwap> qswp2 = euriborswaps.create(settlementDate,
maturity,
fixedRate);
cout << "pricing" << endl;
qswp2->setEngine(acurve);
cout << "link" << endl;
euriborswaps.linkIndex(acurve);
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << qswp2->NPV() <<
" | Fair Spread: " << io::rate(qswp2->fairSpread()) <<
" | Fair Rate: " << io::rate(qswp2->fairRate()) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << qswp2->fixedLegNPV() <<
" | fx NPV : " << qswp2->floatingLegNPV() << endl;
cout << "\nSwap 3: forward" << endl;
boost::shared_ptr<FixedFloatSwap> qswp3 = euriborswaps.create(fwdStart,
fwdMaturity,
fixedRate);
cout << "fixed rate: " << qswp3->fixedRate() << endl;
qswp3->setPricingEngine(swapEngine);
euriborswaps.linkIndexTo(acurve.yieldTermStructurePtr());
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"NPV : " << qswp3->NPV() <<
" | Fair Spread: " << io::rate(qswp3->fairSpread()) <<
" | Fair Rate: " << io::rate(qswp3->fairRate()) << endl;
cout << std::setprecision(2) << std::setw(12) << std::fixed <<
"fx NPV : " << qswp3->fixedLegNPV() <<
" | fx NPV : " << qswp3->floatingLegNPV() << endl;
cout << "\n\nBonds" << endl;
boost::shared_ptr<BulletBond> bond1(new BulletBond(.045,
Date(15, May, 2017),
Date(15, May, 2003))
);
cout << "mty: " << bond1->maturityDate() << endl;
cout << "stl: " << bond1->settlementDate() << endl;
cout << "test" << endl;
bond1->setEngine(acurve);
cout << "bondprice: " ;
double prc = bond1->cleanPrice();
cout << std::setprecision(3) << prc << endl;
cout << "Yield: " ;
double yld = bond1->yield(prc, bond1->dayCounter(), Compounded, bond1->frequency());
cout << io::rate(yld) << endl;
cout << "\n\nIMM Stuff\n";
cout << "settle: " << settlementDate << endl;
Date imm = IMM::nextDate(settlementDate);
string immcode = IMM::code(imm);
Date imm2 = imm_nextDate(imm);
string immcode2 = imm_nextCode(immcode);
cout << "date: " << imm << " | code: " << immcode << endl;
cout << "date: " << imm2 << " | code: " << immcode2 << endl;
cout << "ED3: " << FuturesTenor("ED3") << endl;
CurveMap depocurve;
CurveMap futscurve;
CurveMap swapcurve;
RateHelperCurve rhcurve( EURiborCurve("6M", Annual) );
if (futscurve.empty()) {
cout << "futscurve empty " << endl;
} else {
cout << "futscurve not empty: " << endl;
}
for (int i=0; i<2; i++)
depocurve[depotenors[i]] = depospots[i];
for (int i=0; i<6; i++)
futscurve[futtenors[i]] = futspots[i];
for (int i=0; i<5; i++)
swapcurve[swaptenors[i]] = swapspots[i];
rhcurve.update(depocurve, futscurve, swapcurve);
cout << "\n10Y: " << io::rate(rhcurve.tenorquote("10Y")) << endl;
cout << "discount: " << rhcurve.discount(10.0) << endl;
return 0;
}
