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();
}
void Test_evaluation_basis()
{
LMM::Index indexStart = 2; //1Y
LMM::Index indexEnd = 20; //10Y
Tenor floatingLegTenorType = Tenor::_6M;
Tenor fixedLegTenorType = Tenor::_1YR;
assert(indexStart%2==0&&indexEnd%2==0);
LMMTenorStructure_PTR lmmTenorStructure( new LMMTenorStructure(floatingLegTenorType, indexEnd/2));
std::vector<std::string> mkt_file_list = InputFileManager::get_VCUB_FileList();
const std::string& mkt_data_file = mkt_file_list.back();
std::string folder_name; // = "TotalCalib\\" ; config.use_positive_constraint_=true;
std::string base_name_file = LMMPATH::get_BaseFileName(mkt_data_file) + "\\";
folder_name+=base_name_file;
LMMPATH::reset_Output_SubFolder(folder_name );
LmmCalibrationConfig config;
config.floatLegTenor_=floatingLegTenorType;
config.fixedLegTenor_=fixedLegTenorType;
config.model_nbYear_ = indexEnd/2;
size_t fixedFloatRatio = config.fixedLegTenor_.ratioTo(config.floatLegTenor_);
config.correl_FullRank_ = fixedFloatRatio*config.model_nbYear_+1;
LmmSwaptionMarketData_PTR pLmmSwaptionMarketData = get_LmmSwaptionMarketData(config, mkt_data_file);
const std::vector<double>& initLiborValues = pLmmSwaptionMarketData->get_LiborQuotes()->get_InitLibor();
double strike = 0.0137;
std::vector<LMM::Index> exerciseDates;
exerciseDates.push_back(2);
//exerciseDates.push_back(4);
//exerciseDates.push_back(6);
//exerciseDates.push_back(8);
//exerciseDates.push_back(10);
//exerciseDates.push_back(12);
//exerciseDates.push_back(14);
//exerciseDates.push_back(16);
//exerciseDates.push_back(18);
exerciseDates.push_back(20);
McLmm_PTR mcLmm_for_pricer = getMcLmmExample(lmmTenorStructure, initLiborValues, LmmCalibrationConfig());
size_t fixedFloatingRatio = fixedLegTenorType.ratioTo(floatingLegTenorType);
std::vector<std::vector<size_t>> subset;
for(size_t i = 0; i <= 2; i++)
{
subset.push_back(std::vector<size_t>());
subset.back().push_back(0);
subset.back().push_back(0);
subset.back().push_back(i);
}
//for(size_t j = 1; j <= 2; j++)
//{
// subset.push_back(std::vector<size_t>());
// subset.back().push_back(0);
// subset.back().push_back(j);
// subset.back().push_back(0);
//}
/* for(size_t k = 1; k <= 2; k++)
{
subset.push_back(std::vector<size_t>());
subset.back().push_back(k);
subset.back().push_back(0);
subset.back().push_back(0);
} */
size_t regressionIndex=2;
LMM::Index liborIndex = indexStart + regressionIndex*fixedFloatingRatio;
LMM::Index paymentIndex = indexStart + regressionIndex*fixedFloatingRatio + 1;
VanillaSwap vanillaSwap( strike,
liborIndex,
indexEnd,
floatingLegTenorType,
fixedLegTenorType,
lmmTenorStructure);
std::vector<Basis_CONSTPTR> basis_vect;
std::vector<Basis_Evaluator_CONSTPTR> basis_evaluator_vect;
for(size_t basisIndex = 0; basisIndex<subset.size(); basisIndex++)
{
basis_vect.push_back(getBasis(subset[basisIndex], 1.0, vanillaSwap, strike, liborIndex));
basis_evaluator_vect.push_back(getBasisEvaluator(subset[basisIndex], McLmmVanillaSwapPricer(mcLmm_for_pricer)));
}
LS::Regression rg(LS::RegressionRepresentation(basis_vect, basis_evaluator_vect));
McLmm_PTR mcLmm = getMcLmmExample(lmmTenorStructure, initLiborValues, LmmCalibrationConfig());
McLmm_LS mcLmm_LS(mcLmm);
mcLmm_LS.simulateLMM(1);
size_t nb = 30000;
clock_t startTime = clock();
std::vector<std::vector<double>> vect(nb);
for(size_t i=0; i<nb; i++)
{
//rg.getRegressionRepresentation().evaluate_basis(mcLmm_LS.lmmSimualtionResults_[0]);
vect[i].resize(3);
vect[i]=rg.getRegressionRepresentation().getBasis_val_buffer();
vect[i]=std::vector<double>(3, 1.0);
}
clock_t endTime = clock();
clock_t time = endTime - startTime;
double time_in_second = time/(double) CLOCKS_PER_SEC;
cout << "time_in_second "<< time_in_second << endl;
const matrix& m = mcLmm_LS.lmmSimualtionResults_[0].get_liborMatrix();
const std::vector<double>& numeraire = mcLmm_LS.lmmSimualtionResults_[0].get_numeraire();
std::vector<size_t> basis1;
basis1.push_back(1);
basis1.push_back(0);
basis1.push_back(0);
Basis_CONSTPTR basisA=getBasis(basis1, 1.0, vanillaSwap, strike, liborIndex);
Basis_Evaluator_CONSTPTR basis_EvaluatorA = getBasisEvaluator(basis1, McLmmVanillaSwapPricer(mcLmm_for_pricer));
basis_EvaluatorA->evaluate(basisA,m, numeraire);
clock_t startTime1 = clock();
for(size_t i=0; i<1000; i++)
basis_EvaluatorA->evaluate(basisA,m, numeraire);
clock_t endTime1 = clock();
clock_t time1 = endTime1 - startTime1;
double time1_in_second = time1/(double) CLOCKS_PER_SEC;
cout << "time1_in_second "<< time1_in_second << endl;
std::vector<size_t> basis2;
basis2.push_back(0);
basis2.push_back(1);
basis2.push_back(0);
Basis_CONSTPTR basisB=getBasis(basis2, 1.0, vanillaSwap, strike, liborIndex);
Basis_Evaluator_CONSTPTR basis_EvaluatorB = getBasisEvaluator(basis2, McLmmVanillaSwapPricer(mcLmm_for_pricer));
clock_t startTime2 = clock();
for(size_t i=0; i<1000; i++)
basis_EvaluatorB->evaluate(basisB, m, numeraire);
clock_t endTime2 = clock();
clock_t time2 = endTime2 - startTime2;
double time2_in_second = time2/(double) CLOCKS_PER_SEC;
cout << "time2_in_second "<< time2_in_second << endl;
std::vector<size_t> basis3;
basis3.push_back(0);
basis3.push_back(0);
basis3.push_back(1);
Basis_CONSTPTR basisC=getBasis(basis3, 1.0, vanillaSwap, strike, liborIndex);
Basis_Evaluator_CONSTPTR basis_EvaluatorC = getBasisEvaluator(basis3, McLmmVanillaSwapPricer(mcLmm_for_pricer));
clock_t startTime3 = clock();
for(size_t i=0; i<1000; i++)
basis_EvaluatorC->evaluate(basisC, m, numeraire);
clock_t endTime3 = clock();
clock_t time3 = endTime3 - startTime3;
double time3_in_second = time3/(double) CLOCKS_PER_SEC;
cout << "time3_in_second "<< time3_in_second << endl;
EV_Evaluator_CONSTPTR ev_evaluator_libor(new EV_LiborRate_Evaluator());
EV_Evaluator_CONSTPTR ev_evaluator_swaprate(new EV_VanillaSwapRate_Evaluator(McLmmVanillaSwapPricer(mcLmm_for_pricer)));
EV_CONSTPTR ev_swaprate(new EV_VanillaSwapRate( Rate1_CONSTPTR( new VanillaSwapRate(VanillaSwap(vanillaSwap)))));
EV_CONSTPTR ev_libor(new EV_LiborRate(Rate1_CONSTPTR(new LiborRate(2,Tenor(Tenor::_6M)))));
clock_t startTime4 = clock();
for(size_t i=0; i<1000; i++)
ev_evaluator_swaprate->evaluate(ev_swaprate,m,numeraire);
clock_t endTime4 = clock();
clock_t time4 = endTime4 - startTime4;
double time4_in_second = time4/(double) CLOCKS_PER_SEC;
cout << "time4_in_second "<< time4_in_second << endl;
clock_t startTime5 = clock();
for(size_t i=0; i<1000; i++)
ev_evaluator_libor->evaluate(ev_libor,m,numeraire);
clock_t endTime5 = clock();
clock_t time5 = endTime5 - startTime5;
double time5_in_second = time5/(double) CLOCKS_PER_SEC;
cout << "time5_in_second "<< time5_in_second << endl;
}
