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;
}