void SwaptionHelper::performCalculations() const {
Calendar calendar = index_->fixingCalendar();
Natural fixingDays = index_->fixingDays();
Date exerciseDate = exerciseDate_;
if (exerciseDate == Null<Date>())
exerciseDate = calendar.advance(termStructure_->referenceDate(),
maturity_,
index_->businessDayConvention());
Date startDate = calendar.advance(exerciseDate,
fixingDays, Days,
index_->businessDayConvention());
Date endDate = endDate_;
if (endDate == Null<Date>())
endDate = calendar.advance(startDate, length_,
index_->businessDayConvention());
Schedule fixedSchedule(startDate, endDate, fixedLegTenor_, calendar,
index_->businessDayConvention(),
index_->businessDayConvention(),
DateGeneration::Forward, false);
Schedule floatSchedule(startDate, endDate, index_->tenor(), calendar,
index_->businessDayConvention(),
index_->businessDayConvention(),
DateGeneration::Forward, false);
boost::shared_ptr<PricingEngine> swapEngine(
new DiscountingSwapEngine(termStructure_, false));
VanillaSwap::Type type = VanillaSwap::Receiver;
VanillaSwap temp(VanillaSwap::Receiver, nominal_,
fixedSchedule, 0.0, fixedLegDayCounter_,
floatSchedule, index_, 0.0, floatingLegDayCounter_);
temp.setPricingEngine(swapEngine);
Real forward = temp.fairRate();
if(strike_ == Null<Real>()) {
exerciseRate_ = forward;
}
else {
exerciseRate_ = strike_;
type = strike_ <= forward ? VanillaSwap::Receiver : VanillaSwap::Payer;
// ensure that calibration instrument is out of the money
}
swap_ = boost::shared_ptr<VanillaSwap>(
new VanillaSwap(type, nominal_,
fixedSchedule, exerciseRate_, fixedLegDayCounter_,
floatSchedule, index_, 0.0, floatingLegDayCounter_));
swap_->setPricingEngine(swapEngine);
boost::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
swaption_ = boost::shared_ptr<Swaption>(new Swaption(swap_, exercise));
CalibrationHelper::performCalculations();
}
set<Date> AsianContract::getAllBusinessDaysBetween(Date startDate, Date endDate, Calendar calendar)
{
Date averagingStart;
if (calendar.isBusinessDay(startDate))
{
averagingStart = startDate;
}
else
{
averagingStart = calendar.advance(startDate, 1, Days);
}
Date lastDateInAveragingMonth;
if (calendar.isBusinessDay(endDate))
{
lastDateInAveragingMonth = endDate;
}
else
{
lastDateInAveragingMonth = calendar.advance(endDate, -1, Days);
}
set<Date> averagingDates;
Date tmp = averagingStart;
while (tmp <= endDate)
{
averagingDates.insert(tmp);
tmp = calendar.advance(tmp, 1, Days);
}
return averagingDates;
}
void historicalRatesAnalysis(
SequenceStatistics& statistics,
std::vector<Date>& skippedDates,
std::vector<std::string>& skippedDatesErrorMessage,
const Date& startDate,
const Date& endDate,
const Period& step,
const std::vector<boost::shared_ptr<InterestRateIndex> >& indexes) {
skippedDates.clear();
skippedDatesErrorMessage.clear();
Size nRates = indexes.size();
statistics.reset(nRates);
std::vector<Rate> sample(nRates);
std::vector<Rate> prevSample(nRates);
std::vector<Rate> sampleDiff(nRates);
Calendar cal = indexes[0]->fixingCalendar();
// start with a valid business date
Date currentDate = cal.advance(startDate, 1*Days, Following);
bool isFirst = true;
// Loop over the historical dataset
for (; currentDate<=endDate;
currentDate = cal.advance(currentDate, step, Following)) {
try {
for (Size i=0; i<nRates; ++i) {
Rate fixing = indexes[i]->fixing(currentDate, false);
sample[i] = fixing;
}
} catch (std::exception& e) {
skippedDates.push_back(currentDate);
skippedDatesErrorMessage.push_back(e.what());
continue;
}
// From 2nd step onwards, calculate forward rate
// relative differences
if (!isFirst){
for (Size i=0; i<nRates; ++i)
sampleDiff[i] = sample[i]/prevSample[i] -1.0;
// add observation
statistics.add(sampleDiff.begin(), sampleDiff.end());
}
else
isFirst = false;
// Store last calculated forward rates
std::swap(prevSample, sample);
}
}
static bool test_bond_schedule_today_cython()
{
Date today;
Calendar calendar;
FixedRateBond* bond;
Date s_date;
Date b_date;
today = Date::todaysDate();
calendar = TARGET();
bond = get_bond_for_evaluation_date(today);
s_date = calendar.advance(today, 3, Days, Following, 0);
b_date = bond->settlementDate();
if (s_date != b_date) {
std::cout << "Dates are not equivalent "
<< s_date
<< " vs "
<< b_date
<< std::endl;
return false;
}
return true;
}
void DefaultProbabilityCurveTest::testFlatHazardRate() {
BOOST_TEST_MESSAGE("Testing flat hazard rate...");
Real hazardRate = 0.0100;
Handle<Quote> hazardRateQuote = Handle<Quote>(
boost::shared_ptr<Quote>(new SimpleQuote(hazardRate)));
DayCounter dayCounter = Actual360();
Calendar calendar = TARGET();
Size n = 20;
double tolerance = 1.0e-10;
Date today = Settings::instance().evaluationDate();
Date startDate = today;
Date endDate = startDate;
FlatHazardRate flatHazardRate(today, hazardRateQuote, dayCounter);
for(Size i=0; i<n; i++){
endDate = calendar.advance(endDate, 1, Years);
Time t = dayCounter.yearFraction(startDate, endDate);
Probability probability = 1.0 - std::exp(-hazardRate * t);
Probability computedProbability = flatHazardRate.defaultProbability(t);
if (std::fabs(probability - computedProbability) > tolerance)
BOOST_ERROR(
"Failed to reproduce probability for flat hazard rate\n"
<< std::setprecision(10)
<< " calculated probability: " << computedProbability << "\n"
<< " expected probability: " << probability);
}
}
CmsSpreadOption::CmsSpreadOption(boost::shared_ptr<Schedule> calculationSchedule,
int fixingDays,
boost::shared_ptr<SwapIndex> index1,
boost::shared_ptr<SwapIndex> index2,
DayCounter couponDayCounter,
double strike,
int flavour) : index1_(index1), index2_(index2),
couponDayCounter_(couponDayCounter), strike_(strike), flavour_(flavour) {
calc_ = calculationSchedule->dates();
Calendar cal = calculationSchedule->calendar();
BusinessDayConvention bdc = calculationSchedule->businessDayConvention();
for(int i=1;i<calc_.size();i++) {
payments_.push_back(calc_[i]);
Date fix = calc_[i-1];
fix = cal.advance(fix,-fixingDays,Days,bdc);
fixings_.push_back(fix);
}
rates1_=vector<double>(fixings_.size());
rates2_=vector<double>(fixings_.size());
adjustedRates1_=vector<double>(fixings_.size());
adjustedRates2_=vector<double>(fixings_.size());
spreads_=vector<double>(fixings_.size());
areRatesComputed_=vector<bool>(fixings_.size(),false);
QL_REQUIRE(fixings_.size() == payments_.size() && fixings_.size() == calc_.size()-1,
"Number of fixings (" << fixings_.size() << "), payments (" << payments_.size() << ") and calculation schedules (" << calc_.size() << ") do not match.");
}
FuturesRateHelper::FuturesRateHelper(Real price,
const Date& iborStartDate,
Natural lengthInMonths,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
Rate convAdj,
Futures::Type type)
: RateHelper(price),
convAdj_(Handle<Quote>(shared_ptr<Quote>(new SimpleQuote(convAdj))))
{
switch (type) {
case Futures::IMM:
QL_REQUIRE(IMM::isIMMdate(iborStartDate, false),
iborStartDate << " is not a valid IMM date");
break;
case Futures::ASX:
QL_REQUIRE(ASX::isASXdate(iborStartDate, false),
iborStartDate << " is not a valid ASX date");
break;
default:
QL_FAIL("unknown futures type (" << Integer(type) << ")");
}
earliestDate_ = iborStartDate;
latestDate_ = calendar.advance(iborStartDate, lengthInMonths*Months,
convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
}
void SubPeriodsPricer::initialize(const FloatingRateCoupon& coupon) {
coupon_ = dynamic_cast<const SubPeriodsCoupon*>(&coupon);
QL_REQUIRE(coupon_, "sub-periods coupon required");
gearing_ = coupon_->gearing();
spread_ = coupon_->spread();
Date paymentDate = coupon_->date();
boost::shared_ptr<IborIndex> index =
boost::dynamic_pointer_cast<IborIndex>(coupon_->index());
const Handle<YieldTermStructure>& rateCurve =
index->forwardingTermStructure();
discount_ = rateCurve->discount(paymentDate);
accrualFactor_ = coupon_->accrualPeriod();
spreadLegValue_ = spread_ * accrualFactor_* discount_;
startTime_ = coupon_->startTime();
endTime_ = coupon_->endTime();
observationTimes_ = coupon_->observationTimes();
observations_ = coupon_->observations();
const std::vector<Date>& observationDates =
coupon_->observationsSchedule()->dates();
QL_REQUIRE(observationDates.size()==observations_+2,
"incompatible size of initialValues vector");
initialValues_ = std::vector<Real>(observationDates.size(),0.);
observationCvg_ = std::vector<Real>(observationDates.size(),0.);
observationIndexStartDates_ =
std::vector<Date>(observationDates.size());
observationIndexEndDates_ =
std::vector<Date>(observationDates.size());
Calendar calendar = index->fixingCalendar();
for(Size i=0; i<observationDates.size(); i++) {
Date fixingDate = calendar.advance(
observationDates[i],
-static_cast<Integer>(coupon_->fixingDays()),
Days);
initialValues_[i] =
index->fixing(fixingDate) + coupon_->rateSpread();
Date fixingValueDate = index->valueDate(fixingDate);
Date endValueDate = index->maturityDate(fixingValueDate);
observationIndexStartDates_[i] = fixingValueDate;
observationIndexEndDates_[i] = endValueDate;
observationCvg_[i] =
index->dayCounter().yearFraction(fixingValueDate, endValueDate);
}
}
static FixedRateBond* get_bond_for_evaluation_date(
Date &in_date
) {
Date evaluation_date;
Calendar calendar;
Date effective_date;
Date termination_date;
Natural settlement_days;
Real face_amount;
Real coupon_rate;
Real redemption;
Schedule fixed_bond_schedule;
Date issue_date;
std::vector<Rate>* coupons;
FixedRateBond* bond;
QL::set_evaluation_date(in_date);
evaluation_date = QL::get_evaluation_date();
std::cout << "Current evaluation date:" << evaluation_date << std::endl;
calendar = QuantLib::TARGET();
effective_date = Date(10, QuantLib::Jul, 2006);
termination_date = calendar.advance(
effective_date, 10, Years, Unadjusted, 0
);
settlement_days = 3;
face_amount = 100.0;
coupon_rate = 0.05;
redemption = 100.0;
fixed_bond_schedule = Schedule(
effective_date, termination_date, Period(Annual), calendar,
ModifiedFollowing, ModifiedFollowing, DateGeneration::Backward, 0
);
issue_date = Date(10, Jul, 2006);
coupons = new std::vector<Rate>();
coupons->push_back(coupon_rate);
bond = new FixedRateBond(
settlement_days, face_amount, fixed_bond_schedule, *coupons,
ActualActual(ActualActual::ISMA), Following, redemption, issue_date
);
return bond;
}
FuturesRateHelper::FuturesRateHelper(Real price,
const Date& immDate,
Natural lengthInMonths,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
Rate convAdj)
: RateHelper(price),
convAdj_(Handle<Quote>(shared_ptr<Quote>(new SimpleQuote(convAdj))))
{
QL_REQUIRE(IMM::isIMMdate(immDate, false),
immDate << "is not a valid IMM date");
earliestDate_ = immDate;
latestDate_ = calendar.advance(immDate, lengthInMonths*Months,
convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
}
FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
const Date& immDate,
Natural lengthInMonths,
const Calendar& calendar,
BusinessDayConvention convention,
bool endOfMonth,
const DayCounter& dayCounter,
const Handle<Quote>& convAdj)
: RateHelper(price), convAdj_(convAdj) {
QL_REQUIRE(IMM::isIMMdate(immDate, false),
immDate << " is not a valid IMM date");
earliestDate_ = immDate;
latestDate_ = calendar.advance(immDate, lengthInMonths*Months,
convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, latestDate_);
registerWith(convAdj_);
}
static bool test_bond_schedule_anotherday_cython()
{
Date last_month;
Date today;
FixedRateBond* bond;
Calendar calendar;
Date s_date;
Date b_date;
Date e_date;
last_month = Date(30, August, 2011);
today = Date::endOfMonth(last_month);
bond = get_bond_for_evaluation_date(today);
calendar = TARGET();
s_date = calendar.advance(today, 3, Days, Following, 0);
b_date = bond->settlementDate();
e_date = QL::get_evaluation_date();
if (s_date != b_date) {
std::cout << "Dates are not equivalent "
<< s_date
<< " vs "
<< b_date
<< std::endl;
return false;
}
if (today != e_date) {
std::cout << "Evaluation dates are not equivalent "
<< today
<< " vs "
<< e_date
<< std::endl;
return false;
}
return true;
}
boost::shared_ptr<VanillaSwap> InstrumentFactory::make_vanillaSwap(Real notional,
const Date& ref_date,
const std::string& swap_index_cd,
Rate fixedRate,
VanillaSwap::Type fixedPayRecType,
Spread floatingLegSpread,
const Handle<YieldTermStructure>& evalYieldCurve,
const boost::shared_ptr<PricingEngine>& engine )
{
// 로드해
boost::shared_ptr<SwapIndex> swapIndex = IndexFactory::swapIndex(swap_index_cd, evalYieldCurve.currentLink());
Calendar calendar = SouthKorea();
Period maturityTenor = swapIndex->tenor();
Period couponTenor = swapIndex->fixedLegTenor();
DayCounter dayCounter = swapIndex->dayCounter();
BusinessDayConvention businessDayConvention = BusinessDayConvention::ModifiedFollowing;
Schedule schedule = Schedule(ref_date,
calendar.advance(ref_date, maturityTenor, businessDayConvention),
couponTenor,
calendar,
businessDayConvention,
businessDayConvention,
DateGeneration::Rule::Forward,
false);
boost::shared_ptr<VanillaSwap> vanilla_swap
= boost::shared_ptr<VanillaSwap>(new VanillaSwap(fixedPayRecType,
notional,
schedule,
fixedRate, dayCounter,
schedule,
swapIndex->iborIndex()->clone(evalYieldCurve),
floatingLegSpread,
dayCounter));
vanilla_swap->setPricingEngine(engine);
return vanilla_swap;
}
AverageBMACoupon::AverageBMACoupon(const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
const boost::shared_ptr<BMAIndex>& index,
Real gearing, Spread spread,
const Date& refPeriodStart,
const Date& refPeriodEnd,
const DayCounter& dayCounter)
: FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
index->fixingDays(), index, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter, false)
{
Calendar cal = index->fixingCalendar();
Integer fixingDays = Integer(index->fixingDays());
fixingDays += bmaCutoffDays;
Date fixingStart = cal.advance(startDate, -fixingDays*Days, Preceding);
fixingSchedule_ = index->fixingSchedule(fixingStart, endDate);
setPricer(boost::shared_ptr<FloatingRateCouponPricer>(
new AverageBMACouponPricer));
}
Date BMAIndex::maturityDate(const Date& valueDate) const {
Calendar cal = fixingCalendar();
Date fixingDate = cal.advance(valueDate, -1, Days);
Date nextWednesday = previousWednesday(fixingDate+7);
return cal.advance(nextWednesday, 1, Days);
}
void qlVariableValueFactory::setSerialClass(const boost::shared_ptr<FpmlSerialized::VariableValue>& serial_vv)
{
const std::string& choiceStr_paraType = serial_vv->getChoiceStr_paraType();
boost::shared_ptr<QuantLib::VariableValue> ql_vv;
if( choiceStr_paraType == "indexRef") {
const boost::shared_ptr<FpmlSerialized::IndexRef>& serial_indexRef
= serial_vv->getIndexRef();
const Date& refDate = serial_indexRef->getEventDateRef()->getDateSingle()->dateValue();
const std::string& fixingTypeChoiceStr = serial_indexRef->getFixingDays()->getChoiceStr_fixingType();
Integer fixingDays = 0;
if(fixingTypeChoiceStr == "days"){
fixingDays = serial_indexRef->getFixingDays()->getDays()->IValue();
}else
{
QL_FAIL("not implementation");
}
Calendar calendar = PathInformation::instance().getCalendar();
const QuantLib::Period& dayUnit = QuantLib::Period(fixingDays,QuantLib::Days);
const Date& adjustedRefDate = calendar.advance(refDate,dayUnit);
const boost::shared_ptr<FpmlSerialized::UnderlyingIndex>& serial_under
= serial_vv->getIndexRef()->getUnderlyingIndexRef();
qlUnderlyingFactory ql_uf = qlUnderlyingFactory();
ql_uf.setSerialClass(serial_under);
boost::shared_ptr<QuantLib::Index> index = ql_uf.getIndex();
ql_vv = boost::shared_ptr<QuantLib::SimpleVariableValue>(
new QuantLib::SimpleVariableValue(index,adjustedRefDate));
}
else if(choiceStr_paraType == "indexTimeRef"){
const boost::shared_ptr<FpmlSerialized::IndexTimeRef>& serial_indexItmeRef
= serial_vv->getIndexTimeRef();
const std::string& fixingTypeChoiceStr = serial_indexItmeRef->getFixingDays()->getChoiceStr_fixingType();
Integer fixingDays = 0;
if(fixingTypeChoiceStr == "days"){
fixingDays = serial_indexItmeRef->getFixingDays()->getDays()->IValue();
}else
{
QL_FAIL("not implementation");
}
Calendar calendar = PathInformation::instance().getCalendar();
const boost::shared_ptr<FpmlSerialized::UnderlyingIndex>& serial_under
= serial_indexItmeRef->getUnderlyingIndexRef();
qlUnderlyingFactory ql_uf = qlUnderlyingFactory();
ql_uf.setSerialClass(serial_under);
boost::shared_ptr<QuantLib::Index> index = ql_uf.getIndex();
ql_vv = boost::shared_ptr<QuantLib::SimpleTimeVariableValue>(
new QuantLib::SimpleTimeVariableValue(index,fixingDays));
}
else if(choiceStr_paraType == "symbolName"){
const std::string& symbolName = serial_vv->getSymbolName()->SValue();
ql_vv = boost::shared_ptr<QuantLib::ComplexVariableValue>(
new QuantLib::ComplexVariableValue(symbolName));
}
else if(choiceStr_paraType == "constValue"){
Real value = serial_vv->getConstValue()->DValue();
ql_vv = boost::shared_ptr<QuantLib::ConstVariableValue>(new QuantLib::ConstVariableValue(value));
}
else
{
QL_FAIL("unknown type paraType");
}
ql_vv->registManager();
this->variableValue_ = ql_vv;
}
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
Date todaysDate(15, February, 2002);
Calendar calendar = TARGET();
Date settlementDate(19, February, 2002);
Settings::instance().evaluationDate() = todaysDate;
// flat yield term structure impling 1x5 swap at 5%
boost::shared_ptr<Quote> flatRate(new SimpleQuote(0.04875825));
Handle<YieldTermStructure> rhTermStructure(
boost::shared_ptr<FlatForward>(
new FlatForward(settlementDate, Handle<Quote>(flatRate),
Actual365Fixed())));
// Define the ATM/OTM/ITM swaps
Frequency fixedLegFrequency = Annual;
BusinessDayConvention fixedLegConvention = Unadjusted;
BusinessDayConvention floatingLegConvention = ModifiedFollowing;
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
Frequency floatingLegFrequency = Semiannual;
VanillaSwap::Type type = VanillaSwap::Payer;
Rate dummyFixedRate = 0.03;
boost::shared_ptr<IborIndex> indexSixMonths(new
Euribor6M(rhTermStructure));
Date startDate = calendar.advance(settlementDate,1,Years,
floatingLegConvention);
Date maturity = calendar.advance(startDate,5,Years,
floatingLegConvention);
Schedule fixedSchedule(startDate,maturity,Period(fixedLegFrequency),
calendar,fixedLegConvention,fixedLegConvention,
DateGeneration::Forward,false);
Schedule floatSchedule(startDate,maturity,Period(floatingLegFrequency),
calendar,floatingLegConvention,floatingLegConvention,
DateGeneration::Forward,false);
boost::shared_ptr<VanillaSwap> swap(new VanillaSwap(
type, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths->dayCounter()));
swap->setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(rhTermStructure)));
Rate fixedATMRate = swap->fairRate();
Rate fixedOTMRate = fixedATMRate * 1.2;
Rate fixedITMRate = fixedATMRate * 0.8;
boost::shared_ptr<VanillaSwap> atmSwap(new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedATMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths->dayCounter()));
boost::shared_ptr<VanillaSwap> otmSwap(new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedOTMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths->dayCounter()));
boost::shared_ptr<VanillaSwap> itmSwap(new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedITMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths->dayCounter()));
// defining the swaptions to be used in model calibration
std::vector<Period> swaptionMaturities;
swaptionMaturities.push_back(Period(1, Years));
swaptionMaturities.push_back(Period(2, Years));
swaptionMaturities.push_back(Period(3, Years));
swaptionMaturities.push_back(Period(4, Years));
swaptionMaturities.push_back(Period(5, Years));
std::vector<boost::shared_ptr<CalibrationHelper> > swaptions;
// List of times that have to be included in the timegrid
std::list<Time> times;
Size i;
for (i=0; i<numRows; i++) {
Size j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
Size k = i*numCols + j;
boost::shared_ptr<Quote> vol(new SimpleQuote(swaptionVols[k]));
swaptions.push_back(boost::shared_ptr<CalibrationHelper>(new
SwaptionHelper(swaptionMaturities[i],
Period(swapLenghts[j], Years),
Handle<Quote>(vol),
indexSixMonths,
indexSixMonths->tenor(),
indexSixMonths->dayCounter(),
indexSixMonths->dayCounter(),
rhTermStructure)));
swaptions.back()->addTimesTo(times);
}
// Building time-grid
TimeGrid grid(times.begin(), times.end(), 30);
// defining the models
boost::shared_ptr<G2> modelG2(new G2(rhTermStructure));
boost::shared_ptr<HullWhite> modelHW(new HullWhite(rhTermStructure));
boost::shared_ptr<HullWhite> modelHW2(new HullWhite(rhTermStructure));
boost::shared_ptr<BlackKarasinski> modelBK(
new BlackKarasinski(rhTermStructure));
// model calibrations
std::cout << "G2 (analytic formulae) calibration" << std::endl;
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
new G2SwaptionEngine(modelG2, 6.0, 16)));
calibrateModel(modelG2, swaptions);
std::cout << "calibrated to:\n"
<< "a = " << modelG2->params()[0] << ", "
<< "sigma = " << modelG2->params()[1] << "\n"
<< "b = " << modelG2->params()[2] << ", "
<< "eta = " << modelG2->params()[3] << "\n"
<< "rho = " << modelG2->params()[4]
<< std::endl << std::endl;
std::cout << "Hull-White (analytic formulae) calibration" << std::endl;
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
new JamshidianSwaptionEngine(modelHW)));
calibrateModel(modelHW, swaptions);
std::cout << "calibrated to:\n"
<< "a = " << modelHW->params()[0] << ", "
<< "sigma = " << modelHW->params()[1]
<< std::endl << std::endl;
std::cout << "Hull-White (numerical) calibration" << std::endl;
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelHW2, grid)));
calibrateModel(modelHW2, swaptions);
std::cout << "calibrated to:\n"
<< "a = " << modelHW2->params()[0] << ", "
<< "sigma = " << modelHW2->params()[1]
<< std::endl << std::endl;
std::cout << "Black-Karasinski (numerical) calibration" << std::endl;
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelBK, grid)));
calibrateModel(modelBK, swaptions);
std::cout << "calibrated to:\n"
<< "a = " << modelBK->params()[0] << ", "
<< "sigma = " << modelBK->params()[1]
<< std::endl << std::endl;
// ATM Bermudan swaption pricing
std::cout << "Payer bermudan swaption "
<< "struck at " << io::rate(fixedATMRate)
<< " (ATM)" << std::endl;
std::vector<Date> bermudanDates;
const std::vector<boost::shared_ptr<CashFlow> >& leg =
swap->fixedLeg();
for (i=0; i<leg.size(); i++) {
boost::shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(leg[i]);
bermudanDates.push_back(coupon->accrualStartDate());
}
boost::shared_ptr<Exercise> bermudanExercise(
new BermudanExercise(bermudanDates));
Swaption bermudanSwaption(atmSwap, bermudanExercise);
// Do the pricing for each model
// G2 price the European swaption here, it should switch to bermudan
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelG2, 50)));
std::cout << "G2 (tree): " << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdG2SwaptionEngine(modelG2)));
std::cout << "G2 (fdm) : " << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelHW, 50)));
std::cout << "HW (tree): " << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdHullWhiteSwaptionEngine(modelHW)));
std::cout << "HW (fdm) : " << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelHW2, 50)));
std::cout << "HW (num, tree): " << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdHullWhiteSwaptionEngine(modelHW2)));
std::cout << "HW (num, fdm) : " << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelBK, 50)));
std::cout << "BK: " << bermudanSwaption.NPV() << std::endl;
// OTM Bermudan swaption pricing
std::cout << "Payer bermudan swaption "
<< "struck at " << io::rate(fixedOTMRate)
<< " (OTM)" << std::endl;
Swaption otmBermudanSwaption(otmSwap,bermudanExercise);
// Do the pricing for each model
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelG2, 300)));
std::cout << "G2 (tree): " << otmBermudanSwaption.NPV()
<< std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdG2SwaptionEngine(modelG2)));
std::cout << "G2 (fdm) : " << otmBermudanSwaption.NPV()
<< std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelHW, 50)));
std::cout << "HW (tree): " << otmBermudanSwaption.NPV()
<< std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdHullWhiteSwaptionEngine(modelHW)));
std::cout << "HW (fdm) : " << otmBermudanSwaption.NPV()
<< std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelHW2, 50)));
std::cout << "HW (num, tree): " << otmBermudanSwaption.NPV()
<< std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdHullWhiteSwaptionEngine(modelHW2)));
std::cout << "HW (num, fdm): " << otmBermudanSwaption.NPV()
<< std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelBK, 50)));
std::cout << "BK: " << otmBermudanSwaption.NPV()
<< std::endl;
// ITM Bermudan swaption pricing
std::cout << "Payer bermudan swaption "
<< "struck at " << io::rate(fixedITMRate)
<< " (ITM)" << std::endl;
Swaption itmBermudanSwaption(itmSwap,bermudanExercise);
// Do the pricing for each model
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelG2, 50)));
std::cout << "G2 (tree): " << itmBermudanSwaption.NPV()
<< std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdG2SwaptionEngine(modelG2)));
std::cout << "G2 (fdm) : " << itmBermudanSwaption.NPV()
<< std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelHW, 50)));
std::cout << "HW (tree): " << itmBermudanSwaption.NPV()
<< std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdHullWhiteSwaptionEngine(modelHW)));
std::cout << "HW (fdm) : " << itmBermudanSwaption.NPV()
<< std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelHW2, 50)));
std::cout << "HW (num, tree): " << itmBermudanSwaption.NPV()
<< std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new FdHullWhiteSwaptionEngine(modelHW2)));
std::cout << "HW (num, fdm) : " << itmBermudanSwaption.NPV()
<< std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
new TreeSwaptionEngine(modelBK, 50)));
std::cout << "BK: " << itmBermudanSwaption.NPV()
<< std::endl;
double seconds = timer.elapsed();
Integer hours = int(seconds/3600);
seconds -= hours * 3600;
Integer minutes = int(seconds/60);
seconds -= minutes * 60;
std::cout << " \nRun completed in ";
if (hours > 0)
std::cout << hours << " h ";
if (hours > 0 || minutes > 0)
std::cout << minutes << " m ";
std::cout << std::fixed << std::setprecision(0)
<< seconds << " s\n" << std::endl;
return 0;
} catch (std::exception& e) {
std::cerr << e.what() << std::endl;
return 1;
} catch (...) {
std::cerr << "unknown error" << std::endl;
return 1;
}
}
/* 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;
}
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
Option::Type type(Option::Put);
Real underlying = 36.0;
Real spreadRate = 0.005;
Spread dividendYield = 0.02;
Rate riskFreeRate = 0.06;
Volatility volatility = 0.20;
Integer settlementDays = 3;
Integer length = 5;
Real redemption = 100.0;
Real conversionRatio = redemption/underlying; // at the money
// set up dates/schedules
Calendar calendar = TARGET();
Date today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
Date settlementDate = calendar.advance(today, settlementDays, Days);
Date exerciseDate = calendar.advance(settlementDate, length, Years);
Date issueDate = calendar.advance(exerciseDate, -length, Years);
BusinessDayConvention convention = ModifiedFollowing;
Frequency frequency = Annual;
Schedule schedule(issueDate, exerciseDate,
Period(frequency), calendar,
convention, convention,
DateGeneration::Backward, false);
DividendSchedule dividends;
CallabilitySchedule callability;
std::vector<Real> coupons(1, 0.05);
DayCounter bondDayCount = Thirty360();
Integer callLength[] = { 2, 4 }; // Call dates, years 2, 4.
Integer putLength[] = { 3 }; // Put dates year 3
Real callPrices[] = { 101.5, 100.85 };
Real putPrices[]= { 105.0 };
// Load call schedules
for (Size i=0; i<LENGTH(callLength); i++) {
callability.push_back(
boost::shared_ptr<Callability>(
new SoftCallability(Callability::Price(
callPrices[i],
Callability::Price::Clean),
schedule.date(callLength[i]),
1.20)));
}
for (Size j=0; j<LENGTH(putLength); j++) {
callability.push_back(
boost::shared_ptr<Callability>(
new Callability(Callability::Price(
putPrices[j],
Callability::Price::Clean),
Callability::Put,
schedule.date(putLength[j]))));
}
// Assume dividends are paid every 6 months.
for (Date d = today + 6*Months; d < exerciseDate; d += 6*Months) {
dividends.push_back(
boost::shared_ptr<Dividend>(new FixedDividend(1.0, d)));
}
DayCounter dayCounter = Actual365Fixed();
Time maturity = dayCounter.yearFraction(settlementDate,
exerciseDate);
std::cout << "option type = " << type << std::endl;
std::cout << "Time to maturity = " << maturity
<< std::endl;
std::cout << "Underlying price = " << underlying
<< std::endl;
std::cout << "Risk-free interest rate = " << io::rate(riskFreeRate)
<< std::endl;
std::cout << "Dividend yield = " << io::rate(dividendYield)
<< std::endl;
std::cout << "Volatility = " << io::volatility(volatility)
<< std::endl;
std::cout << std::endl;
std::string method;
std::cout << std::endl ;
// write column headings
Size widths[] = { 35, 14, 14 };
Size totalWidth = widths[0] + widths[1] + widths[2];
std::string rule(totalWidth, '-'), dblrule(totalWidth, '=');
std::cout << dblrule << std::endl;
std::cout << "Tsiveriotis-Fernandes method" << std::endl;
std::cout << dblrule << std::endl;
std::cout << std::setw(widths[0]) << std::left << "Tree type"
<< std::setw(widths[1]) << std::left << "European"
<< std::setw(widths[1]) << std::left << "American"
<< std::endl;
std::cout << rule << std::endl;
boost::shared_ptr<Exercise> exercise(
new EuropeanExercise(exerciseDate));
boost::shared_ptr<Exercise> amExercise(
new AmericanExercise(settlementDate,
exerciseDate));
Handle<Quote> underlyingH(
boost::shared_ptr<Quote>(new SimpleQuote(underlying)));
Handle<YieldTermStructure> flatTermStructure(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlementDate, riskFreeRate, dayCounter)));
Handle<YieldTermStructure> flatDividendTS(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(settlementDate, dividendYield, dayCounter)));
Handle<BlackVolTermStructure> flatVolTS(
boost::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(settlementDate, calendar,
volatility, dayCounter)));
boost::shared_ptr<BlackScholesMertonProcess> stochasticProcess(
new BlackScholesMertonProcess(underlyingH,
flatDividendTS,
flatTermStructure,
flatVolTS));
Size timeSteps = 801;
Handle<Quote> creditSpread(
boost::shared_ptr<Quote>(new SimpleQuote(spreadRate)));
boost::shared_ptr<Quote> rate(new SimpleQuote(riskFreeRate));
Handle<YieldTermStructure> discountCurve(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(today, Handle<Quote>(rate), dayCounter)));
boost::shared_ptr<PricingEngine> engine(
new BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
timeSteps));
ConvertibleFixedCouponBond europeanBond(
exercise, conversionRatio, dividends, callability,
creditSpread, issueDate, settlementDays,
coupons, bondDayCount, schedule, redemption);
europeanBond.setPricingEngine(engine);
ConvertibleFixedCouponBond americanBond(
amExercise, conversionRatio, dividends, callability,
creditSpread, issueDate, settlementDays,
coupons, bondDayCount, schedule, redemption);
americanBond.setPricingEngine(engine);
method = "Jarrow-Rudd";
europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
timeSteps)));
americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanBond.NPV()
<< std::setw(widths[2]) << std::left << americanBond.NPV()
<< std::endl;
method = "Cox-Ross-Rubinstein";
europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<CoxRossRubinstein>(stochasticProcess,
timeSteps)));
americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<CoxRossRubinstein>(stochasticProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanBond.NPV()
<< std::setw(widths[2]) << std::left << americanBond.NPV()
<< std::endl;
method = "Additive equiprobabilities";
europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<AdditiveEQPBinomialTree>(
stochasticProcess,
timeSteps)));
americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<AdditiveEQPBinomialTree>(
stochasticProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanBond.NPV()
<< std::setw(widths[2]) << std::left << americanBond.NPV()
<< std::endl;
method = "Trigeorgis";
europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<Trigeorgis>(stochasticProcess,
timeSteps)));
americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<Trigeorgis>(stochasticProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanBond.NPV()
<< std::setw(widths[2]) << std::left << americanBond.NPV()
<< std::endl;
method = "Tian";
europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<Tian>(stochasticProcess,
timeSteps)));
americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<Tian>(stochasticProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanBond.NPV()
<< std::setw(widths[2]) << std::left << americanBond.NPV()
<< std::endl;
method = "Leisen-Reimer";
europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<LeisenReimer>(stochasticProcess,
timeSteps)));
americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<LeisenReimer>(stochasticProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanBond.NPV()
<< std::setw(widths[2]) << std::left << americanBond.NPV()
<< std::endl;
method = "Joshi";
europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<Joshi4>(stochasticProcess,
timeSteps)));
americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
new BinomialConvertibleEngine<Joshi4>(stochasticProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanBond.NPV()
<< std::setw(widths[2]) << std::left << americanBond.NPV()
<< std::endl;
std::cout << dblrule << std::endl;
Real seconds = timer.elapsed();
Integer hours = int(seconds/3600);
seconds -= hours * 3600;
Integer minutes = int(seconds/60);
seconds -= minutes * 60;
std::cout << " \nRun completed in ";
if (hours > 0)
std::cout << hours << " h ";
if (hours > 0 || minutes > 0)
std::cout << minutes << " m ";
std::cout << std::fixed << std::setprecision(0)
<< seconds << " s\n" << std::endl;
return 0;
} catch (std::exception& e) {
std::cerr << e.what() << std::endl;
return 1;
} catch (...) {
std::cerr << "unknown error" << std::endl;
return 1;
}
}
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
/*********************
*** MARKET DATA ***
*********************/
RelinkableHandle<YieldTermStructure> euriborTermStructure;
boost::shared_ptr<IborIndex> euribor3m(
new Euribor3M(euriborTermStructure));
Date todaysDate = Date(23, May, 2006);
Settings::instance().evaluationDate() = todaysDate;
Calendar calendar = euribor3m->fixingCalendar();
Integer fixingDays = euribor3m->fixingDays();
Date settlementDate = calendar.advance(todaysDate, fixingDays, Days);
std::cout << "Today: " << todaysDate.weekday()
<< ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;
// 3 month term FRA quotes (index refers to monthsToStart)
Rate threeMonthFraQuote[10];
threeMonthFraQuote[1]=0.030;
threeMonthFraQuote[2]=0.031;
threeMonthFraQuote[3]=0.032;
threeMonthFraQuote[6]=0.033;
threeMonthFraQuote[9]=0.034;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// FRAs
boost::shared_ptr<SimpleQuote> fra1x4Rate(
new SimpleQuote(threeMonthFraQuote[1]));
boost::shared_ptr<SimpleQuote> fra2x5Rate(
new SimpleQuote(threeMonthFraQuote[2]));
boost::shared_ptr<SimpleQuote> fra3x6Rate(
new SimpleQuote(threeMonthFraQuote[3]));
boost::shared_ptr<SimpleQuote> fra6x9Rate(
new SimpleQuote(threeMonthFraQuote[6]));
boost::shared_ptr<SimpleQuote> fra9x12Rate(
new SimpleQuote(threeMonthFraQuote[9]));
RelinkableHandle<Quote> h1x4; h1x4.linkTo(fra1x4Rate);
RelinkableHandle<Quote> h2x5; h2x5.linkTo(fra2x5Rate);
RelinkableHandle<Quote> h3x6; h3x6.linkTo(fra3x6Rate);
RelinkableHandle<Quote> h6x9; h6x9.linkTo(fra6x9Rate);
RelinkableHandle<Quote> h9x12; h9x12.linkTo(fra9x12Rate);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
DayCounter fraDayCounter = euribor3m->dayCounter();
BusinessDayConvention convention = euribor3m->businessDayConvention();
bool endOfMonth = euribor3m->endOfMonth();
boost::shared_ptr<RateHelper> fra1x4(
new FraRateHelper(h1x4, 1, 4,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter));
boost::shared_ptr<RateHelper> fra2x5(
new FraRateHelper(h2x5, 2, 5,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter));
boost::shared_ptr<RateHelper> fra3x6(
new FraRateHelper(h3x6, 3, 6,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter));
boost::shared_ptr<RateHelper> fra6x9(
new FraRateHelper(h6x9, 6, 9,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter));
boost::shared_ptr<RateHelper> fra9x12(
new FraRateHelper(h9x12, 9, 12,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter));
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter =
ActualActual(ActualActual::ISDA);
double tolerance = 1.0e-15;
// A FRA curve
std::vector<boost::shared_ptr<RateHelper> > fraInstruments;
fraInstruments.push_back(fra1x4);
fraInstruments.push_back(fra2x5);
fraInstruments.push_back(fra3x6);
fraInstruments.push_back(fra6x9);
fraInstruments.push_back(fra9x12);
boost::shared_ptr<YieldTermStructure> fraTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, fraInstruments,
termStructureDayCounter,
tolerance));
// Term structures used for pricing/discounting
RelinkableHandle<YieldTermStructure> discountingTermStructure;
discountingTermStructure.linkTo(fraTermStructure);
/***********************
*** construct FRA's ***
***********************/
Calendar fraCalendar = euribor3m->fixingCalendar();
BusinessDayConvention fraBusinessDayConvention =
euribor3m->businessDayConvention();
Position::Type fraFwdType = Position::Long;
Real fraNotional = 100.0;
const Integer FraTermMonths = 3;
Integer monthsToStart[] = { 1, 2, 3, 6, 9 };
euriborTermStructure.linkTo(fraTermStructure);
cout << endl;
cout << "Test FRA construction, NPV calculation, and FRA purchase"
<< endl
<< endl;
Size i;
for (i=0; i<LENGTH(monthsToStart); i++) {
Date fraValueDate = fraCalendar.advance(
settlementDate,monthsToStart[i],Months,
fraBusinessDayConvention);
Date fraMaturityDate = fraCalendar.advance(
fraValueDate,FraTermMonths,Months,
fraBusinessDayConvention);
Rate fraStrikeRate = threeMonthFraQuote[monthsToStart[i]];
ForwardRateAgreement myFRA(fraValueDate, fraMaturityDate,
fraFwdType,fraStrikeRate,
fraNotional, euribor3m,
discountingTermStructure);
cout << "3m Term FRA, Months to Start: "
<< monthsToStart[i]
<< endl;
cout << "strike FRA rate: "
<< io::rate(fraStrikeRate)
<< endl;
cout << "FRA 3m forward rate: "
<< myFRA.forwardRate()
<< endl;
cout << "FRA market quote: "
<< io::rate(threeMonthFraQuote[monthsToStart[i]])
<< endl;
cout << "FRA spot value: "
<< myFRA.spotValue()
<< endl;
cout << "FRA forward value: "
<< myFRA.forwardValue()
<< endl;
cout << "FRA implied Yield: "
<< myFRA.impliedYield(myFRA.spotValue(),
myFRA.forwardValue(),
settlementDate,
Simple,
fraDayCounter)
<< endl;
cout << "market Zero Rate: "
<< discountingTermStructure->zeroRate(fraMaturityDate,
fraDayCounter,
Simple)
<< endl;
cout << "FRA NPV [should be zero]: "
<< myFRA.NPV()
<< endl
<< endl;
}
cout << endl << endl;
cout << "Now take a 100 basis-point upward shift in FRA quotes "
<< "and examine NPV"
<< endl
<< endl;
const Real BpsShift = 0.01;
threeMonthFraQuote[1]=0.030+BpsShift;
threeMonthFraQuote[2]=0.031+BpsShift;
threeMonthFraQuote[3]=0.032+BpsShift;
threeMonthFraQuote[6]=0.033+BpsShift;
threeMonthFraQuote[9]=0.034+BpsShift;
fra1x4Rate->setValue(threeMonthFraQuote[1]);
fra2x5Rate->setValue(threeMonthFraQuote[2]);
fra3x6Rate->setValue(threeMonthFraQuote[3]);
fra6x9Rate->setValue(threeMonthFraQuote[6]);
fra9x12Rate->setValue(threeMonthFraQuote[9]);
for (i=0; i<LENGTH(monthsToStart); i++) {
Date fraValueDate = fraCalendar.advance(
settlementDate,monthsToStart[i],Months,
fraBusinessDayConvention);
Date fraMaturityDate = fraCalendar.advance(
fraValueDate,FraTermMonths,Months,
fraBusinessDayConvention);
Rate fraStrikeRate =
threeMonthFraQuote[monthsToStart[i]] - BpsShift;
ForwardRateAgreement myFRA(fraValueDate, fraMaturityDate,
fraFwdType, fraStrikeRate,
fraNotional, euribor3m,
discountingTermStructure);
cout << "3m Term FRA, 100 notional, Months to Start = "
<< monthsToStart[i]
<< endl;
cout << "strike FRA rate: "
<< io::rate(fraStrikeRate)
<< endl;
cout << "FRA 3m forward rate: "
<< myFRA.forwardRate()
<< endl;
cout << "FRA market quote: "
<< io::rate(threeMonthFraQuote[monthsToStart[i]])
<< endl;
cout << "FRA spot value: "
<< myFRA.spotValue()
<< endl;
cout << "FRA forward value: "
<< myFRA.forwardValue()
<< endl;
cout << "FRA implied Yield: "
<< myFRA.impliedYield(myFRA.spotValue(),
myFRA.forwardValue(),
settlementDate,
Simple,
fraDayCounter)
<< endl;
cout << "market Zero Rate: "
<< discountingTermStructure->zeroRate(fraMaturityDate,
fraDayCounter,
Simple)
<< endl;
cout << "FRA NPV [should be positive]: "
<< myFRA.NPV()
<< endl
<< endl;
}
double seconds = timer.elapsed();
Integer hours = int(seconds/3600);
seconds -= hours * 3600;
Integer minutes = int(seconds/60);
seconds -= minutes * 60;
cout << " \nRun completed in ";
if (hours > 0)
cout << hours << " h ";
if (hours > 0 || minutes > 0)
cout << minutes << " m ";
cout << fixed << setprecision(0)
<< seconds << " s\n" << endl;
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}
/*Market Data -> FRA Quote -> FRA rate helper -> Curve Building -> Construct FRA*/
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
std::ifstream file("data.csv");
CSVRow data_row;
file >> data_row;
const size_t num_data = data_row.size()/2;
/*********************
*** MARKET DATA ***
*********************/
RelinkableHandle<YieldTermStructure> euriborTermStructure;
boost::shared_ptr<IborIndex> euribor3m(
new Euribor3M(euriborTermStructure));
Date todaysDate = Date(23, May, 2006);
Settings::instance().evaluationDate() = todaysDate;
Calendar calendar = euribor3m->fixingCalendar();
Integer fixingDays = euribor3m->fixingDays();
Date settlementDate = calendar.advance(todaysDate, fixingDays, Days);
std::cout << "Today: " << todaysDate.weekday()
<< ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;
// 3 month term FRA quotes (index refers to monthsToStart)
vector <stFRAMarketData> vecMarketData;
for(size_t i = 0 ; i < num_data; i++) {
stFRAMarketData element_data;
convertFromString(element_data.iMonthToStart, data_row[i]);
element_data.iTermDuration = 3; //3 month term
convertFromString(element_data.rateFraQuote, data_row[i + num_data]);
vecMarketData.push_back(element_data);
}
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// FRAs
std::vector <boost::shared_ptr<SimpleQuote> > vecFRAQuote;
for(size_t i = 0 ; i < num_data; i++) {
boost::shared_ptr<SimpleQuote> fraRate(new SimpleQuote(vecMarketData[i].rateFraQuote));
vecFRAQuote.push_back(fraRate);
}
std::vector <RelinkableHandle<Quote> > vecQuoteHandle;
for(size_t i = 0 ; i < num_data; i++) {
RelinkableHandle<Quote> hQuote;
hQuote.linkTo(vecFRAQuote[i]);
vecQuoteHandle.push_back(hQuote);
}
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
DayCounter fraDayCounter = euribor3m->dayCounter();
BusinessDayConvention convention = euribor3m->businessDayConvention();
bool endOfMonth = euribor3m->endOfMonth();
std::vector < boost::shared_ptr<RateHelper> > vecRateHelper;
for(size_t i = 0 ; i < num_data; i++) {
boost::shared_ptr<RateHelper> fra_helper(
new FraRateHelper(vecQuoteHandle[i],vecMarketData[i].iMonthToStart,
vecMarketData[i].iMonthToStart + vecMarketData[i].iTermDuration,
fixingDays, calendar, convention,
endOfMonth, fraDayCounter));
vecRateHelper.push_back(fra_helper);
}
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter =
ActualActual(ActualActual::ISDA);
double tolerance = 1.0e-15;
// A FRA curve
boost::shared_ptr<YieldTermStructure> fraTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, vecRateHelper,
termStructureDayCounter,
tolerance));
// Term structures used for pricing/discounting
RelinkableHandle<YieldTermStructure> discountingTermStructure;
discountingTermStructure.linkTo(fraTermStructure);
/***********************
*** construct FRA's ***
***********************/
Calendar fraCalendar = euribor3m->fixingCalendar();
BusinessDayConvention fraBusinessDayConvention =
euribor3m->businessDayConvention();
Position::Type fraFwdType = Position::Long;
Real fraNotional = 100.0;
//const Integer FraTermMonths = 3;
//Integer monthsToStart[] = { 1, 2, 3, 6, 9 };
euriborTermStructure.linkTo(fraTermStructure);
cout << endl;
cout << "Test FRA construction, NPV calculation, and FRA purchase"
<< endl
<< endl;
Size i;
for (i=0; i < num_data; i++) {
Date fraValueDate = fraCalendar.advance(
settlementDate,vecMarketData[i].iMonthToStart, Months,
fraBusinessDayConvention);
Date fraMaturityDate = fraCalendar.advance(
fraValueDate,vecMarketData[i].iTermDuration,Months,
fraBusinessDayConvention);
Rate fraStrikeRate = vecMarketData[i].rateFraQuote;
ForwardRateAgreement myFRA(fraValueDate, fraMaturityDate,
fraFwdType,fraStrikeRate,
fraNotional, euribor3m,
discountingTermStructure);
cout << vecMarketData[i].iTermDuration<<"m Term FRA, Months to Start: "
<< vecMarketData[i].iMonthToStart
<< endl;
cout << "strike FRA rate: "
<< io::rate(fraStrikeRate)
<< endl;
cout << "FRA 3m forward rate: "
<< myFRA.forwardRate()
<< endl;
cout << "FRA market quote: "
<< io::rate(vecMarketData[i].rateFraQuote)
<< endl;
cout << "FRA spot value: "
<< myFRA.spotValue()
<< endl;
cout << "FRA forward value: "
<< myFRA.forwardValue()
<< endl;
cout << "FRA implied Yield: "
<< myFRA.impliedYield(myFRA.spotValue(),
myFRA.forwardValue(),
settlementDate,
Simple,
fraDayCounter)
<< endl;
cout << "market Zero Rate: "
<< discountingTermStructure->zeroRate(fraMaturityDate,
fraDayCounter,
Simple)
<< endl;
cout << "FRA NPV [should be zero]: "
<< myFRA.NPV()
<< endl
<< endl;
}
cout << endl << endl;
cout << "Now take a 100 basis-point upward shift in FRA quotes "
<< "and examine NPV"
<< endl
<< endl;
const Real BpsShift = 0.01;
for(size_t i = 0; i< num_data; i++ ) {
vecMarketData[i].rateFraQuote += BpsShift;
vecFRAQuote[i]->setValue(vecMarketData[i].rateFraQuote);
}
for (i=0; i<num_data; i++) {
Date fraValueDate = fraCalendar.advance(
settlementDate,vecMarketData[i].iMonthToStart,Months,
fraBusinessDayConvention);
Date fraMaturityDate = fraCalendar.advance(
fraValueDate,vecMarketData[i].iTermDuration,Months,
fraBusinessDayConvention);
Rate fraStrikeRate =
vecMarketData[i].rateFraQuote - BpsShift;
ForwardRateAgreement myFRA(fraValueDate, fraMaturityDate,
fraFwdType, fraStrikeRate,
fraNotional, euribor3m,
discountingTermStructure);
cout << vecMarketData[i].iTermDuration <<"m Term FRA, 100 notional, Months to Start = "
<< vecMarketData[i].iMonthToStart
<< endl;
cout << "strike FRA rate: "
<< io::rate(fraStrikeRate)
<< endl;
cout << "FRA 3m forward rate: "
<< myFRA.forwardRate()
<< endl;
cout << "FRA market quote: "
<< io::rate(vecMarketData[i].rateFraQuote)
<< endl;
cout << "FRA spot value: "
<< myFRA.spotValue()
<< endl;
cout << "FRA forward value: "
<< myFRA.forwardValue()
<< endl;
cout << "FRA implied Yield: "
<< myFRA.impliedYield(myFRA.spotValue(),
myFRA.forwardValue(),
settlementDate,
Simple,
fraDayCounter)
<< endl;
cout << "market Zero Rate: "
<< discountingTermStructure->zeroRate(fraMaturityDate,
fraDayCounter,
Simple)
<< endl;
cout << "FRA NPV [should be positive]: "
<< myFRA.NPV()
<< endl
<< endl;
}
Real seconds = timer.elapsed();
Integer hours = int(seconds/3600);
seconds -= hours * 3600;
Integer minutes = int(seconds/60);
seconds -= minutes * 60;
cout << " \nRun completed in ";
if (hours > 0)
cout << hours << " h ";
if (hours > 0 || minutes > 0)
cout << minutes << " m ";
cout << fixed << setprecision(0)
<< seconds << " s\n" << endl;
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}
Schedule::Schedule(Date effectiveDate,
const Date& terminationDate,
const Period& tenor,
const Calendar& cal,
BusinessDayConvention convention,
BusinessDayConvention terminationDateConvention,
DateGeneration::Rule rule,
bool endOfMonth,
const Date& first,
const Date& nextToLast)
: tenor_(tenor), calendar_(cal), convention_(convention),
terminationDateConvention_(terminationDateConvention), rule_(rule),
endOfMonth_(allowsEndOfMonth(tenor) ? endOfMonth : false),
firstDate_(first==effectiveDate ? Date() : first),
nextToLastDate_(nextToLast==terminationDate ? Date() : nextToLast)
{
// sanity checks
QL_REQUIRE(terminationDate != Date(), "null termination date");
// in many cases (e.g. non-expired bonds) the effective date is not
// really necessary. In these cases a decent placeholder is enough
if (effectiveDate==Date() && first==Date()
&& rule==DateGeneration::Backward) {
Date evalDate = Settings::instance().evaluationDate();
QL_REQUIRE(evalDate < terminationDate, "null effective date");
Natural y;
if (nextToLast != Date()) {
y = (nextToLast - evalDate)/366 + 1;
effectiveDate = nextToLast - y*Years;
} else {
y = (terminationDate - evalDate)/366 + 1;
effectiveDate = terminationDate - y*Years;
}
} else
QL_REQUIRE(effectiveDate != Date(), "null effective date");
QL_REQUIRE(effectiveDate < terminationDate,
"effective date (" << effectiveDate
<< ") later than or equal to termination date ("
<< terminationDate << ")");
if (tenor.length()==0)
rule_ = DateGeneration::Zero;
else
QL_REQUIRE(tenor.length()>0,
"non positive tenor (" << tenor << ") not allowed");
if (firstDate_ != Date()) {
switch (*rule_) {
case DateGeneration::Backward:
case DateGeneration::Forward:
QL_REQUIRE(firstDate_ > effectiveDate &&
firstDate_ < terminationDate,
"first date (" << firstDate_ <<
") out of effective-termination date range [" <<
effectiveDate << ", " << terminationDate << ")");
// we should ensure that the above condition is still
// verified after adjustment
break;
case DateGeneration::ThirdWednesday:
QL_REQUIRE(IMM::isIMMdate(firstDate_, false),
"first date (" << firstDate_ <<
") is not an IMM date");
break;
case DateGeneration::Zero:
case DateGeneration::Twentieth:
case DateGeneration::TwentiethIMM:
case DateGeneration::OldCDS:
case DateGeneration::CDS:
QL_FAIL("first date incompatible with " << *rule_ <<
" date generation rule");
default:
QL_FAIL("unknown rule (" << Integer(*rule_) << ")");
}
}
if (nextToLastDate_ != Date()) {
switch (*rule_) {
case DateGeneration::Backward:
case DateGeneration::Forward:
QL_REQUIRE(nextToLastDate_ > effectiveDate &&
nextToLastDate_ < terminationDate,
"next to last date (" << nextToLastDate_ <<
") out of effective-termination date range (" <<
effectiveDate << ", " << terminationDate << "]");
// we should ensure that the above condition is still
// verified after adjustment
break;
case DateGeneration::ThirdWednesday:
QL_REQUIRE(IMM::isIMMdate(nextToLastDate_, false),
"next-to-last date (" << nextToLastDate_ <<
") is not an IMM date");
break;
case DateGeneration::Zero:
case DateGeneration::Twentieth:
case DateGeneration::TwentiethIMM:
case DateGeneration::OldCDS:
case DateGeneration::CDS:
QL_FAIL("next to last date incompatible with " << *rule_ <<
" date generation rule");
default:
QL_FAIL("unknown rule (" << Integer(*rule_) << ")");
}
}
// calendar needed for endOfMonth adjustment
Calendar nullCalendar = NullCalendar();
Integer periods = 1;
Date seed, exitDate;
switch (*rule_) {
case DateGeneration::Zero:
tenor_ = 0*Years;
dates_.push_back(effectiveDate);
dates_.push_back(terminationDate);
isRegular_.push_back(true);
break;
case DateGeneration::Backward:
dates_.push_back(terminationDate);
seed = terminationDate;
if (nextToLastDate_ != Date()) {
dates_.insert(dates_.begin(), nextToLastDate_);
Date temp = nullCalendar.advance(seed,
-periods*(*tenor_), convention, *endOfMonth_);
if (temp!=nextToLastDate_)
isRegular_.insert(isRegular_.begin(), false);
else
isRegular_.insert(isRegular_.begin(), true);
seed = nextToLastDate_;
}
exitDate = effectiveDate;
if (firstDate_ != Date())
exitDate = firstDate_;
for (;;) {
Date temp = nullCalendar.advance(seed,
-periods*(*tenor_), convention, *endOfMonth_);
if (temp < exitDate) {
if (firstDate_ != Date() &&
(calendar_.adjust(dates_.front(),convention)!=
calendar_.adjust(firstDate_,convention))) {
dates_.insert(dates_.begin(), firstDate_);
isRegular_.insert(isRegular_.begin(), false);
}
break;
} else {
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.front(),convention)!=
calendar_.adjust(temp,convention)) {
dates_.insert(dates_.begin(), temp);
isRegular_.insert(isRegular_.begin(), true);
}
++periods;
}
}
if (calendar_.adjust(dates_.front(),convention)!=
calendar_.adjust(effectiveDate,convention)) {
dates_.insert(dates_.begin(), effectiveDate);
isRegular_.insert(isRegular_.begin(), false);
}
break;
case DateGeneration::Twentieth:
case DateGeneration::TwentiethIMM:
case DateGeneration::ThirdWednesday:
case DateGeneration::OldCDS:
case DateGeneration::CDS:
QL_REQUIRE(!*endOfMonth_,
"endOfMonth convention incompatible with " << *rule_ <<
" date generation rule");
// fall through
case DateGeneration::Forward:
if (*rule_ == DateGeneration::CDS) {
dates_.push_back(previousTwentieth(effectiveDate,
DateGeneration::CDS));
} else {
dates_.push_back(effectiveDate);
}
seed = dates_.back();
if (firstDate_!=Date()) {
dates_.push_back(firstDate_);
Date temp = nullCalendar.advance(seed, periods*(*tenor_),
convention, *endOfMonth_);
if (temp!=firstDate_)
isRegular_.push_back(false);
else
isRegular_.push_back(true);
seed = firstDate_;
} else if (*rule_ == DateGeneration::Twentieth ||
*rule_ == DateGeneration::TwentiethIMM ||
*rule_ == DateGeneration::OldCDS ||
*rule_ == DateGeneration::CDS) {
Date next20th = nextTwentieth(effectiveDate, *rule_);
if (*rule_ == DateGeneration::OldCDS) {
// distance rule inforced in natural days
static const BigInteger stubDays = 30;
if (next20th - effectiveDate < stubDays) {
// +1 will skip this one and get the next
next20th = nextTwentieth(next20th + 1, *rule_);
}
}
if (next20th != effectiveDate) {
dates_.push_back(next20th);
isRegular_.push_back(false);
seed = next20th;
}
}
exitDate = terminationDate;
if (nextToLastDate_ != Date())
exitDate = nextToLastDate_;
for (;;) {
Date temp = nullCalendar.advance(seed, periods*(*tenor_),
convention, *endOfMonth_);
if (temp > exitDate) {
if (nextToLastDate_ != Date() &&
(calendar_.adjust(dates_.back(),convention)!=
calendar_.adjust(nextToLastDate_,convention))) {
dates_.push_back(nextToLastDate_);
isRegular_.push_back(false);
}
break;
} else {
// skip dates that would result in duplicates
// after adjustment
if (calendar_.adjust(dates_.back(),convention)!=
calendar_.adjust(temp,convention)) {
dates_.push_back(temp);
isRegular_.push_back(true);
}
++periods;
}
}
if (calendar_.adjust(dates_.back(),terminationDateConvention)!=
calendar_.adjust(terminationDate,terminationDateConvention)) {
if (*rule_ == DateGeneration::Twentieth ||
*rule_ == DateGeneration::TwentiethIMM ||
*rule_ == DateGeneration::OldCDS ||
*rule_ == DateGeneration::CDS) {
dates_.push_back(nextTwentieth(terminationDate, *rule_));
isRegular_.push_back(true);
} else {
dates_.push_back(terminationDate);
isRegular_.push_back(false);
}
}
break;
default:
QL_FAIL("unknown rule (" << Integer(*rule_) << ")");
}
// adjustments
if (*rule_==DateGeneration::ThirdWednesday)
for (Size i=1; i<dates_.size()-1; ++i)
dates_[i] = Date::nthWeekday(3, Wednesday,
dates_[i].month(),
dates_[i].year());
if (*endOfMonth_ && calendar_.isEndOfMonth(seed)) {
// adjust to end of month
if (convention == Unadjusted) {
for (Size i=1; i<dates_.size()-1; ++i)
dates_[i] = Date::endOfMonth(dates_[i]);
} else {
for (Size i=1; i<dates_.size()-1; ++i)
dates_[i] = calendar_.endOfMonth(dates_[i]);
}
if (terminationDateConvention != Unadjusted) {
dates_.front() = calendar_.endOfMonth(dates_.front());
dates_.back() = calendar_.endOfMonth(dates_.back());
} else {
// the termination date is the first if going backwards,
// the last otherwise.
if (*rule_ == DateGeneration::Backward)
dates_.back() = Date::endOfMonth(dates_.back());
else
dates_.front() = Date::endOfMonth(dates_.front());
}
} else {
// first date not adjusted for CDS schedules
if (*rule_ != DateGeneration::OldCDS)
dates_[0] = calendar_.adjust(dates_[0], convention);
for (Size i=1; i<dates_.size()-1; ++i)
dates_[i] = calendar_.adjust(dates_[i], convention);
// termination date is NOT adjusted as per ISDA
// specifications, unless otherwise specified in the
// confirmation of the deal or unless we're creating a CDS
// schedule
if (terminationDateConvention != Unadjusted
|| *rule_ == DateGeneration::Twentieth
|| *rule_ == DateGeneration::TwentiethIMM
|| *rule_ == DateGeneration::OldCDS
|| *rule_ == DateGeneration::CDS) {
dates_.back() = calendar_.adjust(dates_.back(),
terminationDateConvention);
}
}
// Final safety checks to remove extra next-to-last date, if
// necessary. It can happen to be equal or later than the end
// date due to EOM adjustments (see the Schedule test suite
// for an example).
if (dates_.size() >= 2 && dates_[dates_.size()-2] >= dates_.back()) {
isRegular_[dates_.size()-2] =
(dates_[dates_.size()-2] == dates_.back());
dates_[dates_.size()-2] = dates_.back();
dates_.pop_back();
isRegular_.pop_back();
}
if (dates_.size() >= 2 && dates_[1] <= dates_.front()) {
isRegular_[1] =
(dates_[1] == dates_.front());
dates_[1] = dates_.front();
dates_.erase(dates_.begin());
isRegular_.erase(isRegular_.begin());
}
QL_ENSURE(dates_.size()>1,
"degenerate single date (" << dates_[0] << ") schedule" <<
"\n seed date: " << seed <<
"\n exit date: " << exitDate <<
"\n effective date: " << effectiveDate <<
"\n first date: " << first <<
"\n next to last date: " << nextToLast <<
"\n termination date: " << terminationDate <<
"\n generation rule: " << *rule_ <<
"\n end of month: " << *endOfMonth_);
}
void QtSwap::qtswap() {
try {
boost::timer timer;
std::cout << std::endl;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = TARGET();
Date settlementDate(22, September, 2004);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
Integer fixingDays = 2;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);
// nothing to do with Date::todaysDate
Settings::instance().evaluationDate() = todaysDate;
todaysDate = Settings::instance().evaluationDate();
std::cout << "Today: " << todaysDate.weekday()
<< ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;
// deposits
Rate d1wQuote=0.0382;
Rate d1mQuote=0.0372;
Rate d3mQuote=0.0363;
Rate d6mQuote=0.0353;
Rate d9mQuote=0.0348;
Rate d1yQuote=0.0345;
// FRAs
Rate fra3x6Quote=0.037125;
Rate fra6x9Quote=0.037125;
Rate fra6x12Quote=0.037125;
// futures
Real fut1Quote=96.2875;
Real fut2Quote=96.7875;
Real fut3Quote=96.9875;
Real fut4Quote=96.6875;
Real fut5Quote=96.4875;
Real fut6Quote=96.3875;
Real fut7Quote=96.2875;
Real fut8Quote=96.0875;
// swaps
Rate s2yQuote=0.037125;
Rate s3yQuote=0.0398;
Rate s5yQuote=0.0443;
Rate s10yQuote=0.05165;
Rate s15yQuote=0.055175;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
boost::shared_ptr<Quote> d1wRate(new SimpleQuote(d1wQuote));
boost::shared_ptr<Quote> d1mRate(new SimpleQuote(d1mQuote));
boost::shared_ptr<Quote> d3mRate(new SimpleQuote(d3mQuote));
boost::shared_ptr<Quote> d6mRate(new SimpleQuote(d6mQuote));
boost::shared_ptr<Quote> d9mRate(new SimpleQuote(d9mQuote));
boost::shared_ptr<Quote> d1yRate(new SimpleQuote(d1yQuote));
// FRAs
boost::shared_ptr<Quote> fra3x6Rate(new SimpleQuote(fra3x6Quote));
boost::shared_ptr<Quote> fra6x9Rate(new SimpleQuote(fra6x9Quote));
boost::shared_ptr<Quote> fra6x12Rate(new SimpleQuote(fra6x12Quote));
// futures
boost::shared_ptr<Quote> fut1Price(new SimpleQuote(fut1Quote));
boost::shared_ptr<Quote> fut2Price(new SimpleQuote(fut2Quote));
boost::shared_ptr<Quote> fut3Price(new SimpleQuote(fut3Quote));
boost::shared_ptr<Quote> fut4Price(new SimpleQuote(fut4Quote));
boost::shared_ptr<Quote> fut5Price(new SimpleQuote(fut5Quote));
boost::shared_ptr<Quote> fut6Price(new SimpleQuote(fut6Quote));
boost::shared_ptr<Quote> fut7Price(new SimpleQuote(fut7Quote));
boost::shared_ptr<Quote> fut8Price(new SimpleQuote(fut8Quote));
// swaps
boost::shared_ptr<Quote> s2yRate(new SimpleQuote(s2yQuote));
boost::shared_ptr<Quote> s3yRate(new SimpleQuote(s3yQuote));
boost::shared_ptr<Quote> s5yRate(new SimpleQuote(s5yQuote));
boost::shared_ptr<Quote> s10yRate(new SimpleQuote(s10yQuote));
boost::shared_ptr<Quote> s15yRate(new SimpleQuote(s15yQuote));
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = Actual360();
boost::shared_ptr<RateHelper> d1w(new DepositRateHelper(
Handle<Quote>(d1wRate),
1*Weeks, fixingDays,
calendar, ModifiedFollowing,
true, depositDayCounter));
boost::shared_ptr<RateHelper> d1m(new DepositRateHelper(
Handle<Quote>(d1mRate),
1*Months, fixingDays,
calendar, ModifiedFollowing,
true, depositDayCounter));
boost::shared_ptr<RateHelper> d3m(new DepositRateHelper(
Handle<Quote>(d3mRate),
3*Months, fixingDays,
calendar, ModifiedFollowing,
true, depositDayCounter));
boost::shared_ptr<RateHelper> d6m(new DepositRateHelper(
Handle<Quote>(d6mRate),
6*Months, fixingDays,
calendar, ModifiedFollowing,
true, depositDayCounter));
boost::shared_ptr<RateHelper> d9m(new DepositRateHelper(
Handle<Quote>(d9mRate),
9*Months, fixingDays,
calendar, ModifiedFollowing,
true, depositDayCounter));
boost::shared_ptr<RateHelper> d1y(new DepositRateHelper(
Handle<Quote>(d1yRate),
1*Years, fixingDays,
calendar, ModifiedFollowing,
true, depositDayCounter));
// setup FRAs
boost::shared_ptr<RateHelper> fra3x6(new FraRateHelper(
Handle<Quote>(fra3x6Rate),
3, 6, fixingDays, calendar, ModifiedFollowing,
true, depositDayCounter));
boost::shared_ptr<RateHelper> fra6x9(new FraRateHelper(
Handle<Quote>(fra6x9Rate),
6, 9, fixingDays, calendar, ModifiedFollowing,
true, depositDayCounter));
boost::shared_ptr<RateHelper> fra6x12(new FraRateHelper(
Handle<Quote>(fra6x12Rate),
6, 12, fixingDays, calendar, ModifiedFollowing,
true, depositDayCounter));
// setup futures
// Rate convexityAdjustment = 0.0;
Integer futMonths = 3;
Date imm = IMM::nextDate(settlementDate);
boost::shared_ptr<RateHelper> fut1(new FuturesRateHelper(
Handle<Quote>(fut1Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut2(new FuturesRateHelper(
Handle<Quote>(fut2Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut3(new FuturesRateHelper(
Handle<Quote>(fut3Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut4(new FuturesRateHelper(
Handle<Quote>(fut4Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut5(new FuturesRateHelper(
Handle<Quote>(fut5Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut6(new FuturesRateHelper(
Handle<Quote>(fut6Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut7(new FuturesRateHelper(
Handle<Quote>(fut7Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut8(new FuturesRateHelper(
Handle<Quote>(fut8Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
// setup swaps
Frequency swFixedLegFrequency = Annual;
BusinessDayConvention swFixedLegConvention = Unadjusted;
DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);
boost::shared_ptr<IborIndex> swFloatingLegIndex(new Euribor6M);
boost::shared_ptr<RateHelper> s2y(new SwapRateHelper(
Handle<Quote>(s2yRate), 2*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s3y(new SwapRateHelper(
Handle<Quote>(s3yRate), 3*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s5y(new SwapRateHelper(
Handle<Quote>(s5yRate), 5*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s10y(new SwapRateHelper(
Handle<Quote>(s10yRate), 10*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s15y(new SwapRateHelper(
Handle<Quote>(s15yRate), 15*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter =
ActualActual(ActualActual::ISDA);
double tolerance = 1.0e-15;
// A depo-swap curve
std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments;
depoSwapInstruments.push_back(d1w);
depoSwapInstruments.push_back(d1m);
depoSwapInstruments.push_back(d3m);
depoSwapInstruments.push_back(d6m);
depoSwapInstruments.push_back(d9m);
depoSwapInstruments.push_back(d1y);
depoSwapInstruments.push_back(s2y);
depoSwapInstruments.push_back(s3y);
depoSwapInstruments.push_back(s5y);
depoSwapInstruments.push_back(s10y);
depoSwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoSwapInstruments,
termStructureDayCounter,
tolerance));
// A depo-futures-swap curve
std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments;
depoFutSwapInstruments.push_back(d1w);
depoFutSwapInstruments.push_back(d1m);
depoFutSwapInstruments.push_back(fut1);
depoFutSwapInstruments.push_back(fut2);
depoFutSwapInstruments.push_back(fut3);
depoFutSwapInstruments.push_back(fut4);
depoFutSwapInstruments.push_back(fut5);
depoFutSwapInstruments.push_back(fut6);
depoFutSwapInstruments.push_back(fut7);
depoFutSwapInstruments.push_back(fut8);
depoFutSwapInstruments.push_back(s3y);
depoFutSwapInstruments.push_back(s5y);
depoFutSwapInstruments.push_back(s10y);
depoFutSwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoFutSwapInstruments,
termStructureDayCounter,
tolerance));
// A depo-FRA-swap curve
std::vector<boost::shared_ptr<RateHelper> > depoFRASwapInstruments;
depoFRASwapInstruments.push_back(d1w);
depoFRASwapInstruments.push_back(d1m);
depoFRASwapInstruments.push_back(d3m);
depoFRASwapInstruments.push_back(fra3x6);
depoFRASwapInstruments.push_back(fra6x9);
depoFRASwapInstruments.push_back(fra6x12);
depoFRASwapInstruments.push_back(s2y);
depoFRASwapInstruments.push_back(s3y);
depoFRASwapInstruments.push_back(s5y);
depoFRASwapInstruments.push_back(s10y);
depoFRASwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoFRASwapInstruments,
termStructureDayCounter,
tolerance));
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle<YieldTermStructure> discountingTermStructure;
// the one used for forward rate forecasting
RelinkableHandle<YieldTermStructure> forecastingTermStructure;
/*********************
* SWAPS TO BE PRICED *
**********************/
// 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 maturity = settlementDate + 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);
/***************
* SWAP PRICING *
****************/
// utilities for reporting
std::vector<std::string> headers(4);
headers[0] = "term structure";
headers[1] = "net present value";
headers[2] = "fair spread";
headers[3] = "fair fixed rate";
std::string separator = " | ";
Size width = headers[0].size() + separator.size()
+ headers[1].size() + separator.size()
+ headers[2].size() + separator.size()
+ headers[3].size() + separator.size() - 1;
std::string rule(width, '-'), dblrule(width, '=');
std::string tab(8, ' ');
// calculations
std::cout << dblrule << std::endl;
std::cout << "5-year market swap-rate = "
<< std::setprecision(2) << io::rate(s5yRate->value())
<< std::endl;
std::cout << dblrule << std::endl;
std::cout << tab << "5-years swap paying "
<< io::rate(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
Real NPV;
Rate fairRate;
Spread fairSpread;
boost::shared_ptr<PricingEngine> swapEngine(
new DiscountingSwapEngine(discountingTermStructure));
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
// Of course, you're not forced to really use different curves
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
// let's check that the 5 years swap has been correctly re-priced
QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8,
"5-years swap mispriced by "
<< io::rate(std::fabs(fairRate-s5yQuote)));
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-fut-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8,
"5-years swap mispriced!");
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-FRA-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8,
"5-years swap mispriced!");
std::cout << rule << std::endl;
// now let's price the 1Y forward 5Y swap
std::cout << tab << "5-years, 1-year forward swap paying "
<< io::rate(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-fut-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-FRA-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
// now let's say that the 5-years swap rate goes up to 4.60%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we're using SimpleQuotes,
// we'll have to change the value manually--which forces us to
// downcast the handle and use the SimpleQuote
// interface. In any case, the point here is that a change in the
// value contained in the Quote triggers a new bootstrapping
// of the curve and a repricing of the swap.
boost::shared_ptr<SimpleQuote> fiveYearsRate =
boost::dynamic_pointer_cast<SimpleQuote>(s5yRate);
fiveYearsRate->setValue(0.0460);
std::cout << dblrule << std::endl;
std::cout << "5-year market swap-rate = "
<< io::rate(s5yRate->value()) << std::endl;
std::cout << dblrule << std::endl;
std::cout << tab << "5-years swap paying "
<< io::rate(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
// now get the updated results
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-fut-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-FRA-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
std::cout << rule << std::endl;
// the 1Y forward 5Y swap changes as well
std::cout << tab << "5-years, 1-year forward swap paying "
<< io::rate(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-fut-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-FRA-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
Real seconds = timer.elapsed();
Integer hours = int(seconds/3600);
seconds -= hours * 3600;
Integer minutes = int(seconds/60);
seconds -= minutes * 60;
std::cout << " \nRun completed in ";
if (hours > 0)
std::cout << hours << " h ";
if (hours > 0 || minutes > 0)
std::cout << minutes << " m ";
std::cout << std::fixed << std::setprecision(0)
<< seconds << " s\n" << std::endl;
} catch (std::exception& e) {
std::cerr << e.what() << std::endl;
} catch (...) {
std::cerr << "unknown error" << std::endl;
}
}
void DefaultProbabilityCurveTest::testDefaultProbability() {
BOOST_TEST_MESSAGE("Testing default-probability structure...");
Real hazardRate = 0.0100;
Handle<Quote> hazardRateQuote = Handle<Quote>(
boost::shared_ptr<Quote>(new SimpleQuote(hazardRate)));
DayCounter dayCounter = Actual360();
Calendar calendar = TARGET();
Size n = 20;
double tolerance = 1.0e-10;
Date today = Settings::instance().evaluationDate();
Date startDate = today;
Date endDate = startDate;
FlatHazardRate flatHazardRate(startDate, hazardRateQuote, dayCounter);
for(Size i=0; i<n; i++){
startDate = endDate;
endDate = calendar.advance(endDate, 1, Years);
Probability pStart = flatHazardRate.defaultProbability(startDate);
Probability pEnd = flatHazardRate.defaultProbability(endDate);
Probability pBetweenComputed =
flatHazardRate.defaultProbability(startDate, endDate);
Probability pBetween = pEnd - pStart;
if (std::fabs(pBetween - pBetweenComputed) > tolerance)
BOOST_ERROR(
"Failed to reproduce probability(d1, d2) "
<< "for default probability structure\n"
<< std::setprecision(12)
<< " calculated probability: " << pBetweenComputed << "\n"
<< " expected probability: " << pBetween);
Time t2 = dayCounter.yearFraction(today, endDate);
Probability timeProbability = flatHazardRate.defaultProbability(t2);
Probability dateProbability =
flatHazardRate.defaultProbability(endDate);
if (std::fabs(timeProbability - dateProbability) > tolerance)
BOOST_ERROR(
"single-time probability and single-date probability do not match\n"
<< std::setprecision(10)
<< " time probability: " << timeProbability << "\n"
<< " date probability: " << dateProbability);
Time t1 = dayCounter.yearFraction(today, startDate);
timeProbability = flatHazardRate.defaultProbability(t1, t2);
dateProbability = flatHazardRate.defaultProbability(startDate, endDate);
if (std::fabs(timeProbability - dateProbability) > tolerance)
BOOST_ERROR(
"double-time probability and double-date probability do not match\n"
<< std::setprecision(10)
<< " time probability: " << timeProbability << "\n"
<< " date probability: " << dateProbability);
}
}
void QuoteTest::testForwardValueQuoteAndImpliedStdevQuote() {
BOOST_MESSAGE(
"Testing forward-value and implied-standard-deviation quotes...");
Real forwardRate = .05;
DayCounter dc = ActualActual();
Calendar calendar = TARGET();
boost::shared_ptr<SimpleQuote> forwardQuote(new SimpleQuote(forwardRate));
Handle<Quote> forwardHandle(forwardQuote);
Date evaluationDate = Settings::instance().evaluationDate();
boost::shared_ptr<YieldTermStructure>yc (new FlatForward(
evaluationDate, forwardHandle, dc));
Handle<YieldTermStructure> ycHandle(yc);
Period euriborTenor(1,Years);
boost::shared_ptr<Index> euribor(new Euribor(euriborTenor, ycHandle));
Date fixingDate = calendar.advance(evaluationDate, euriborTenor);
boost::shared_ptr<ForwardValueQuote> forwardValueQuote( new
ForwardValueQuote(euribor, fixingDate));
Rate forwardValue = forwardValueQuote->value();
Rate expectedForwardValue = euribor->fixing(fixingDate, true);
// we test if the forward value given by the quote is consistent
// with the one directly given by the index
if (std::fabs(forwardValue-expectedForwardValue) > 1.0e-15)
BOOST_FAIL("Foward Value Quote quote yields " << forwardValue << "\n"
<< "expected result is " << expectedForwardValue);
// then we test the observer/observable chain
Flag f;
f.registerWith(forwardValueQuote);
forwardQuote->setValue(0.04);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
// and we retest if the values are still matching
forwardValue = forwardValueQuote->value();
expectedForwardValue = euribor->fixing(fixingDate, true);
if (std::fabs(forwardValue-expectedForwardValue) > 1.0e-15)
BOOST_FAIL("Foward Value Quote quote yields " << forwardValue << "\n"
<< "expected result is " << expectedForwardValue);
// we test the ImpliedStdevQuote class
f.unregisterWith(forwardValueQuote);
f.lower();
Real price = 0.02;
Rate strike = 0.04;
Volatility guess = .15;
Real accuracy = 1.0e-6;
Option::Type optionType = Option::Call;
boost::shared_ptr<SimpleQuote> priceQuote(new SimpleQuote(price));
Handle<Quote> priceHandle(priceQuote);
boost::shared_ptr<ImpliedStdDevQuote> impliedStdevQuote(new
ImpliedStdDevQuote(optionType, forwardHandle, priceHandle,
strike, guess, accuracy));
Real impliedStdev = impliedStdevQuote->value();
Real expectedImpliedStdev =
blackFormulaImpliedStdDev(optionType, strike,
forwardQuote->value(), price,
1.0, 0.0, guess, 1.0e-6);
if (std::fabs(impliedStdev-expectedImpliedStdev) > 1.0e-15)
BOOST_FAIL("\nimpliedStdevQuote yields :" << impliedStdev <<
"\nexpected result is :" << expectedImpliedStdev);
// then we test the observer/observable chain
boost::shared_ptr<Quote> quote = impliedStdevQuote;
f.registerWith(quote);
forwardQuote->setValue(0.05);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
quote->value();
f.lower();
quote->value();
priceQuote->setValue(0.11);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of quote change");
}
// evaluate fitting error on benchmark with parameter set
Real HestonPriceBenchmark(Handle<Quote> &s0, std::vector<CALIB> &c, std::vector<RD> &rd,
std::vector<double> p, double sdCutOff) {
Date settlementDate(24, January, 2011);
SavedSettings backup;
Settings::instance().evaluationDate() = settlementDate;
Real theta = p[0];
Real kappa = p[1];
Real sigma = p[2];
Real rho = p[3];
Real v0 = p[4];
std::cout << "Theta: " << theta <<
"\nKappa: " << kappa <<
"\nsigma: " << sigma <<
"\nrho: " << rho <<
"\nv0: " << v0 << std::endl;
DayCounter dayCounter = Actual365Fixed();
Calendar calendar = TARGET();
std::vector<Date> dates;
std::vector<Rate> rates;
std::vector<Rate> div;
// this is indispensable: expiry in Heston helper is computed from YC settlement date
dates.push_back(settlementDate);
rates.push_back(rd[0].R);
div.push_back(rd[0].D);
for (Size i = 0; i < rd.size(); ++i) {
Integer days = 365*rd[i].T;
dates.push_back(settlementDate + days);
rates.push_back(rd[i].R);
div.push_back(rd[i].D);
}
Date dtLast = settlementDate + ((int) 365*rd[rd.size()-1].T);
std::cout << "Last curve date: " << dtLast << std::endl;
Integer days = (rd[rd.size()-1].T+1)*365;
dates.push_back(settlementDate + days);
rates.push_back(rd[rd.size()-1].R);
div.push_back(rd[rd.size()-1].D);
std::cout << "Heston model Benchmark Pricing: TS..." << std::endl;
Handle<YieldTermStructure> riskFreeTS(
boost::shared_ptr<YieldTermStructure>(
new ZeroCurve(dates, rates, dayCounter)));
Handle<YieldTermStructure> dividendTS(
boost::shared_ptr<YieldTermStructure>(
new ZeroCurve(dates, div, dayCounter)));
Volatility vol = 2.0;
Handle<BlackVolTermStructure> volTS(
boost::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(settlementDate, calendar, vol,
dayCounter)));
boost::shared_ptr<BlackScholesMertonProcess> BSprocess(
new BlackScholesMertonProcess(s0, dividendTS, riskFreeTS, volTS));
// boost::shared_ptr<PricingEngine> BSengine(
// new AnalyticEuropeanEngine(BSprocess));
boost::shared_ptr<HestonProcess> process(new HestonProcess(
riskFreeTS, dividendTS, s0, v0, kappa, theta, sigma, rho));
boost::shared_ptr<PricingEngine> engine(new AnalyticHestonEngine(
boost::shared_ptr<HestonModel>(new HestonModel(process)), 64));
std::cout << "Heston model Benchmark Pricing: engine set ..." << std::endl;
IncrementalStatistics errorStat;
vector<Real> error;
ofstream myfile;
Volatility ivol;
Real errorBid;
Real errorAsk;
// myfile.open ("dump.csv", ios::out|ios::trunc); // this is the default
// myfile << "T, dm, y, CP, PB, Calc, PA, Vega, iVol, ErrorBid, ErrorAsk" << std::endl;
for (Size i = 0; i < c.size(); ++i) {
Integer days = 365*c[i].T;
//std::cout << "Expiry dates: " << dtExpiry << std::endl;
Period maturity((int)((days+3)/7.), Weeks); // round to weeks
Date dtExpiry = calendar.advance(riskFreeTS->referenceDate(),
maturity);
if (i==0)
std::cout << dtExpiry << std::endl;
// Time tau = riskFreeTS->dayCounter().yearFraction(
// riskFreeTS->referenceDate(), dtExpiry);
boost::shared_ptr<StrikedTypePayoff> payoff(
new PlainVanillaPayoff(Option::Call, c[i].K));
boost::shared_ptr<Exercise> exercise(new EuropeanExercise(dtExpiry));
VanillaOption option(payoff, exercise);
option.setPricingEngine(engine);
Real calculated = option.NPV();
// option.setPricingEngine(BSengine);
if (calculated >0) {
try {
ivol = option.impliedVolatility(calculated, BSprocess, 1.e-6, 1000, .1, 10);
errorBid = std::max((c[i].VB-ivol), 0.0)*100;
errorAsk = std::max((ivol-c[i].VA), 0.0)*100;
} catch (...) {
errorBid = 0.0;
errorAsk = 0.0;
};
} else {
vol = 0.0;
errorAsk = 0.0;
errorBid = 0.0;
};
error.push_back(errorBid+errorAsk);
// myfile << c[i].T << "," << dtExpiry << "," << c[i].CP << "," << c[i].PB << "," << calculated << "," << c[i].PA << "," << c[i].Vega << "," << ivol << "," << errorBid << "," << errorAsk << std::endl;
}
// remove outliers and calculate sse
errorStat.addSequence(error.begin(), error.end());
Real sse = errorStat.standardDeviation();
for (Size i=0; i<error.size(); ++i)
if (abs(error[i]) > sdCutOff*sse) error[i] = 0.0;
errorStat.reset();
errorStat.addSequence(error.begin(), error.end());
sse = errorStat.standardDeviation();
return sse;
}
void ShortRateModelTest::testSwaps() {
BOOST_TEST_MESSAGE("Testing Hull-White swap pricing against known values...");
SavedSettings backup;
IndexHistoryCleaner cleaner;
Date today = Settings::instance().evaluationDate();
Calendar calendar = TARGET();
today = calendar.adjust(today);
Settings::instance().evaluationDate() = today;
Date settlement = calendar.advance(today,2,Days);
Date dates[] = {
settlement,
calendar.advance(settlement,1,Weeks),
calendar.advance(settlement,1,Months),
calendar.advance(settlement,3,Months),
calendar.advance(settlement,6,Months),
calendar.advance(settlement,9,Months),
calendar.advance(settlement,1,Years),
calendar.advance(settlement,2,Years),
calendar.advance(settlement,3,Years),
calendar.advance(settlement,5,Years),
calendar.advance(settlement,10,Years),
calendar.advance(settlement,15,Years)
};
DiscountFactor discounts[] = {
1.0,
0.999258,
0.996704,
0.990809,
0.981798,
0.972570,
0.963430,
0.929532,
0.889267,
0.803693,
0.596903,
0.433022
};
Handle<YieldTermStructure> termStructure(
boost::shared_ptr<YieldTermStructure>(
new DiscountCurve(
std::vector<Date>(dates,dates+LENGTH(dates)),
std::vector<DiscountFactor>(discounts,
discounts+LENGTH(discounts)),
Actual365Fixed())));
boost::shared_ptr<HullWhite> model(new HullWhite(termStructure));
Integer start[] = { -3, 0, 3 };
Integer length[] = { 2, 5, 10 };
Rate rates[] = { 0.02, 0.04, 0.06 };
boost::shared_ptr<IborIndex> euribor(new Euribor6M(termStructure));
boost::shared_ptr<PricingEngine> engine(
new TreeVanillaSwapEngine(model,120));
#if defined(QL_USE_INDEXED_COUPON)
Real tolerance = 4.0e-3;
#else
Real tolerance = 1.0e-8;
#endif
for (Size i=0; i<LENGTH(start); i++) {
Date startDate = calendar.advance(settlement,start[i],Months);
if (startDate < today) {
Date fixingDate = calendar.advance(startDate,-2,Days);
TimeSeries<Real> pastFixings;
pastFixings[fixingDate] = 0.03;
IndexManager::instance().setHistory(euribor->name(),
pastFixings);
}
for (Size j=0; j<LENGTH(length); j++) {
Date maturity = calendar.advance(startDate,length[i],Years);
Schedule fixedSchedule(startDate, maturity, Period(Annual),
calendar, Unadjusted, Unadjusted,
DateGeneration::Forward, false);
Schedule floatSchedule(startDate, maturity, Period(Semiannual),
calendar, Following, Following,
DateGeneration::Forward, false);
for (Size k=0; k<LENGTH(rates); k++) {
VanillaSwap swap(VanillaSwap::Payer, 1000000.0,
fixedSchedule, rates[k], Thirty360(),
floatSchedule, euribor, 0.0, Actual360());
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(termStructure)));
Real expected = swap.NPV();
swap.setPricingEngine(engine);
Real calculated = swap.NPV();
Real error = std::fabs((expected-calculated)/expected);
if (error > tolerance) {
BOOST_ERROR("Failed to reproduce swap NPV:"
<< QL_FIXED << std::setprecision(9)
<< "\n calculated: " << calculated
<< "\n expected: " << expected
<< QL_SCIENTIFIC
<< "\n rel. error: " << error);
}
}
}
}
}
int main(int, char* [])
{
try {
boost::timer timer;
Date today = Date(16,October,2007);
Settings::instance().evaluationDate() = today;
cout << endl;
cout << "Pricing a callable fixed rate bond using" << endl;
cout << "Hull White model w/ reversion parameter = 0.03" << endl;
cout << "BAC4.65 09/15/12 ISIN: US06060WBJ36" << endl;
cout << "roughly five year tenor, ";
cout << "quarterly coupon and call dates" << endl;
cout << "reference date is : " << today << endl << endl;
/* Bloomberg OAS1: "N" model (Hull White)
varying volatility parameter
The curve entered into Bloomberg OAS1 is a flat curve,
at constant yield = 5.5%, semiannual compounding.
Assume here OAS1 curve uses an ACT/ACT day counter,
as documented in PFC1 as a "default" in the latter case.
*/
// set up a flat curve corresponding to Bloomberg flat curve
Rate bbCurveRate = 0.055;
DayCounter bbDayCounter = ActualActual(ActualActual::Bond);
InterestRate bbIR(bbCurveRate,bbDayCounter,Compounded,Semiannual);
Handle<YieldTermStructure> termStructure(flatRate(today,
bbIR.rate(),
bbIR.dayCounter(),
bbIR.compounding(),
bbIR.frequency()));
// set up the call schedule
CallabilitySchedule callSchedule;
Real callPrice = 100.;
Size numberOfCallDates = 24;
Date callDate = Date(15,September,2006);
for (Size i=0; i< numberOfCallDates; i++) {
Calendar nullCalendar = NullCalendar();
Callability::Price myPrice(callPrice,
Callability::Price::Clean);
callSchedule.push_back(
boost::shared_ptr<Callability>(
new Callability(myPrice,
Callability::Call,
callDate )));
callDate = nullCalendar.advance(callDate, 3, Months);
}
// set up the callable bond
Date dated = Date(16,September,2004);
Date issue = dated;
Date maturity = Date(15,September,2012);
Natural settlementDays = 3; // Bloomberg OAS1 settle is Oct 19, 2007
Calendar bondCalendar = UnitedStates(UnitedStates::GovernmentBond);
Real coupon = .0465;
Frequency frequency = Quarterly;
Real redemption = 100.0;
Real faceAmount = 100.0;
/* The 30/360 day counter Bloomberg uses for this bond cannot
reproduce the US Bond/ISMA (constant) cashflows used in PFC1.
Therefore use ActAct(Bond)
*/
DayCounter bondDayCounter = ActualActual(ActualActual::Bond);
// PFC1 shows no indication dates are being adjusted
// for weekends/holidays for vanilla bonds
BusinessDayConvention accrualConvention = Unadjusted;
BusinessDayConvention paymentConvention = Unadjusted;
Schedule sch(dated, maturity, Period(frequency), bondCalendar,
accrualConvention, accrualConvention,
DateGeneration::Backward, false);
Size maxIterations = 1000;
Real accuracy = 1e-8;
Integer gridIntervals = 40;
Real reversionParameter = .03;
// output price/yield results for varying volatility parameter
Real sigma = QL_EPSILON; // core dumps if zero on Cygwin
boost::shared_ptr<ShortRateModel> hw0(
new HullWhite(termStructure,reversionParameter,sigma));
boost::shared_ptr<PricingEngine> engine0(
new TreeCallableFixedRateBondEngine(hw0,gridIntervals));
CallableFixedRateBond callableBond(settlementDays, faceAmount, sch,
vector<Rate>(1, coupon),
bondDayCounter, paymentConvention,
redemption, issue, callSchedule);
callableBond.setPricingEngine(engine0);
cout << setprecision(2)
<< showpoint
<< fixed
<< "sigma/vol (%) = "
<< 100.*sigma
<< endl;
cout << "QuantLib price/yld (%) ";
cout << callableBond.cleanPrice() << " / "
<< 100. * callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << "Bloomberg price/yld (%) ";
cout << "96.50 / 5.47"
<< endl
<< endl;
sigma = .01;
cout << "sigma/vol (%) = " << 100.*sigma << endl;
boost::shared_ptr<ShortRateModel> hw1(
new HullWhite(termStructure,reversionParameter,sigma));
boost::shared_ptr<PricingEngine> engine1(
new TreeCallableFixedRateBondEngine(hw1,gridIntervals));
callableBond.setPricingEngine(engine1);
cout << "QuantLib price/yld (%) ";
cout << callableBond.cleanPrice() << " / "
<< 100.* callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << "Bloomberg price/yld (%) ";
cout << "95.68 / 5.66"
<< endl
<< endl;
////////////////////
sigma = .03;
boost::shared_ptr<ShortRateModel> hw2(
new HullWhite(termStructure, reversionParameter, sigma));
boost::shared_ptr<PricingEngine> engine2(
new TreeCallableFixedRateBondEngine(hw2,gridIntervals));
callableBond.setPricingEngine(engine2);
cout << "sigma/vol (%) = "
<< 100.*sigma
<< endl;
cout << "QuantLib price/yld (%) ";
cout << callableBond.cleanPrice() << " / "
<< 100. * callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << "Bloomberg price/yld (%) ";
cout << "92.34 / 6.49"
<< endl
<< endl;
////////////////////////////
sigma = .06;
boost::shared_ptr<ShortRateModel> hw3(
new HullWhite(termStructure, reversionParameter, sigma));
boost::shared_ptr<PricingEngine> engine3(
new TreeCallableFixedRateBondEngine(hw3,gridIntervals));
callableBond.setPricingEngine(engine3);
cout << "sigma/vol (%) = "
<< 100.*sigma
<< endl;
cout << "QuantLib price/yld (%) ";
cout << callableBond.cleanPrice() << " / "
<< 100. * callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << "Bloomberg price/yld (%) ";
cout << "87.16 / 7.83"
<< endl
<< endl;
/////////////////////////
sigma = .12;
boost::shared_ptr<ShortRateModel> hw4(
new HullWhite(termStructure, reversionParameter, sigma));
boost::shared_ptr<PricingEngine> engine4(
new TreeCallableFixedRateBondEngine(hw4,gridIntervals));
callableBond.setPricingEngine(engine4);
cout << "sigma/vol (%) = "
<< 100.*sigma
<< endl;
cout << "QuantLib price/yld (%) ";
cout << callableBond.cleanPrice() << " / "
<< 100.* callableBond.yield(bondDayCounter,
Compounded,
frequency,
accuracy,
maxIterations)
<< endl;
cout << "Bloomberg price/yld (%) ";
cout << "77.31 / 10.65"
<< endl
<< endl;
double seconds = timer.elapsed();
Integer hours = int(seconds/3600);
seconds -= hours * 3600;
Integer minutes = int(seconds/60);
seconds -= minutes * 60;
cout << " \nRun completed in ";
if (hours > 0)
cout << hours << " h ";
if (hours > 0 || minutes > 0)
cout << minutes << " m ";
cout << fixed << setprecision(0)
<< seconds << " s\n" << endl;
return 0;
} catch (std::exception& e) {
std::cerr << e.what() << std::endl;
return 1;
} catch (...) {
std::cerr << "unknown error" << std::endl;
return 1;
}
}
boost::shared_ptr<IborIndex> curveCreation( // creates the libor index (the "curve")
utilities::csvBuilder & file) {
const Real convexity_ = 0.009; // convexity adjustment for future prices
const Real meanReverting_ = 0.09 ; // mean reversion for future prices
const Calendar calendar // pricing calendar
= JointCalendar(
UnitedStates(UnitedStates::Settlement),
UnitedKingdom(UnitedKingdom::Settlement));
const Date pricingDate // set global evaluation date
= Settings::instance().evaluationDate();
boost::shared_ptr<RelinkableHandle<YieldTermStructure> > ts(
new RelinkableHandle<YieldTermStructure>()); // create the yield term structure
boost::shared_ptr<IborIndex> libor( // libor index associated
new USDLibor(
Period(3, Months),
*ts));
libor->addFixing(Date(16, April, 2014), .0022785); // add a few fixings
libor->addFixing(Date(15, April, 2014), .0022635);
libor->addFixing(Date(14, April, 2014), .0022865);
libor->addFixing(Date(11, April, 2014), .0022645);
// the rate helpers
std::vector<boost::shared_ptr<RateHelper> > rateHelpers;
std::vector<depositData> depositRates // deposit data
= std::vector<depositData>
{
{ .0009070, 0, Period(1, Days ) },
{ .0014250, 1, Period(2, Days ) },
{ .0012150, 2, Period(1, Weeks ) },
{ .0015200, 2, Period(1, Months) },
{ .0019300, 2, Period(2, Months) }
};
std::vector<futureData> futureRates // future data
= std::vector<futureData>
{
{ 99.7700, "EDM4" },
{ 99.7600, "EDU4" },
{ 99.7250, "EDZ4" },
{ 99.6300, "EDH5" },
{ 99.4550, "EDM5" },
{ 99.2250, "EDU5" },
{ 98.9450, "EDZ5" },
{ 98.6450, "EDH6" },
{ 98.3400, "EDM6" },
{ 98.0500, "EDU6" },
{ 97.7850, "EDZ6" }
};
std::vector<swapData> swapRates // future data
= std::vector<swapData>
{
{ .0139980, Period(4 , Years) },
{ .0176100, Period(5 , Years) },
{ .0205300, Period(6 , Years) },
{ .0228500, Period(7 , Years) },
{ .0247290, Period(8 , Years) },
{ .0262750, Period(9 , Years) },
{ .0275070, Period(10, Years) },
{ .0286800, Period(11, Years) },
{ .0296100, Period(12, Years) }
};
for (std::vector<depositData>::const_iterator It = depositRates.cbegin();
It != depositRates.cend(); It++)
{
// settlement and maturity dates
Date settlement = calendar.advance(
pricingDate, Period(It->settlementDays_, Days));
Date maturity = calendar.advance(
settlement, It->maturity_);
// creating the deposit
boost::shared_ptr<QuantLib::deposit> myDepositPtr(
new deposit(
pricingDate,
maturity,
calendar,
It->settlementDays_));
Handle<Quote> quoteHandler( // quote handle
boost::shared_ptr<Quote>(
new SimpleQuote(
myDepositPtr->cleanPrice(
It->quote_,
Actual360(),
Simple,
Once,
Unadjusted,
settlement))));
rateHelpers.push_back( // insert RateHelper
boost::shared_ptr<RateHelper>(
new depositBootstrapHelper(
quoteHandler,
myDepositPtr)));
}
for (std::vector<futureData>::const_iterator It = futureRates.cbegin();
It != futureRates.cend(); It++)
{
Handle<Quote> convexityHandle( // convexity adjustment
boost::shared_ptr<Quote>(
new SimpleQuote(convexity_)));
Handle<Quote> meanRevertingHandle( // mean reverting
boost::shared_ptr<Quote>(
new SimpleQuote(meanReverting_)));
Handle<Quote> futurePriceHandle( // price
boost::shared_ptr<Quote>(
new SimpleQuote(It->price_)));
Date futureDate = IMM::date( // IMM date
It->futureCode_.substr(2, 2),
pricingDate);
Handle<Quote> convexityAdjustedQuoteHendle( // convexity adjustement
boost::shared_ptr<Quote>(
new futuresConvexityAdjustmentQuote2(
libor,
futureDate,
futurePriceHandle,
convexityHandle,
meanRevertingHandle,
pricingDate)));
rateHelpers.push_back( // helper
boost::shared_ptr<FuturesRateHelper>(
new FuturesRateHelper(
futurePriceHandle,
futureDate,
libor,
convexityAdjustedQuoteHendle)));
}
for (std::vector<swapData>::const_iterator It = swapRates.cbegin();
It != swapRates.cend(); It++)
{
QuantLib::Handle<QuantLib::Quote> myHandle( // creates the rate handle
boost::shared_ptr<QuantLib::Quote>(
new QuantLib::SimpleQuote(It->fairRate_)));
rateHelpers.push_back(
boost::shared_ptr<QuantLib::RateHelper>(new
QuantLib::SwapRateHelper(
myHandle,
It->maturity_,
calendar,
Semiannual,
ModifiedFollowing,
ActualActual(),
libor)));
}
boost::shared_ptr<swapCurve> curve( // building the curve object
new swapCurve(rateHelpers, calendar, 10e-12));
ts->linkTo(curve); // finally relink the index
Size size_ = 20;
Array times(size_, 0.0); // saves yield curve data
Array rates(size_, 0.0);
Array fwd (size_, 0.0);
for (Size i = 0; i < size_; i++) {
times[i] = .5 * i; // the fixing times from model
rates[i] = libor->forwardingTermStructure()->zeroRate(
times[i], Continuous);
fwd[i] = libor->forwardingTermStructure()->forwardRate(
times[i], times[i] + .02, Continuous);
}
file.add("times" , 1, 1); // adds the yield curve data
file.add(times , 2, 1);
file.add("rates" , 1, 2);
file.add(rates , 2, 2);
file.add("forward", 1, 3);
file.add(fwd , 2, 3);
return libor;
}
void historicalForwardRatesAnalysis(
SequenceStatistics& statistics,
std::vector<Date>& skippedDates,
std::vector<std::string>& skippedDatesErrorMessage,
std::vector<Date>& failedDates,
std::vector<std::string>& failedDatesErrorMessage,
std::vector<Period>& fixingPeriods,
const Date& startDate,
const Date& endDate,
const Period& step,
const boost::shared_ptr<InterestRateIndex>& fwdIndex,
const Period& initialGap,
const Period& horizon,
const std::vector<boost::shared_ptr<IborIndex> >& iborIndexes,
const std::vector<boost::shared_ptr<SwapIndex> >& swapIndexes,
const DayCounter& yieldCurveDayCounter,
Real yieldCurveAccuracy = 1.0e-12,
const Interpolator& i = Interpolator()) {
statistics.reset();
skippedDates.clear();
skippedDatesErrorMessage.clear();
failedDates.clear();
failedDatesErrorMessage.clear();
fixingPeriods.clear();
SavedSettings backup;
Settings::instance().enforcesTodaysHistoricFixings() = true;
std::vector<boost::shared_ptr<RateHelper> > rateHelpers;
// Create DepositRateHelper
std::vector<boost::shared_ptr<SimpleQuote> > iborQuotes;
std::vector<boost::shared_ptr<IborIndex> >::const_iterator ibor;
for (ibor=iborIndexes.begin(); ibor!=iborIndexes.end(); ++ibor) {
boost::shared_ptr<SimpleQuote> quote(new SimpleQuote);
iborQuotes.push_back(quote);
Handle<Quote> quoteHandle(quote);
rateHelpers.push_back(boost::shared_ptr<RateHelper> (new
DepositRateHelper(quoteHandle,
(*ibor)->tenor(),
(*ibor)->fixingDays(),
(*ibor)->fixingCalendar(),
(*ibor)->businessDayConvention(),
(*ibor)->endOfMonth(),
(*ibor)->dayCounter())));
}
// Create SwapRateHelper
std::vector<boost::shared_ptr<SimpleQuote> > swapQuotes;
std::vector<boost::shared_ptr<SwapIndex> >::const_iterator swap;
for (swap=swapIndexes.begin(); swap!=swapIndexes.end(); ++swap) {
boost::shared_ptr<SimpleQuote> quote(new SimpleQuote);
swapQuotes.push_back(quote);
Handle<Quote> quoteHandle(quote);
rateHelpers.push_back(boost::shared_ptr<RateHelper> (new
SwapRateHelper(quoteHandle,
(*swap)->tenor(),
(*swap)->fixingCalendar(),
(*swap)->fixedLegTenor().frequency(),
(*swap)->fixedLegConvention(),
(*swap)->dayCounter(),
(*swap)->iborIndex())));
}
// Set up the forward rates time grid
Period indexTenor = fwdIndex->tenor();
Period fixingPeriod = initialGap;
while (fixingPeriod<=horizon) {
fixingPeriods.push_back(fixingPeriod);
fixingPeriod += indexTenor;
}
Size nRates = fixingPeriods.size();
statistics.reset(nRates);
std::vector<Rate> fwdRates(nRates);
std::vector<Rate> prevFwdRates(nRates);
std::vector<Rate> fwdRatesDiff(nRates);
DayCounter indexDayCounter = fwdIndex->dayCounter();
Calendar cal = fwdIndex->fixingCalendar();
// Bootstrap the yield curve at the currentDate
Natural settlementDays = 0;
PiecewiseYieldCurve<Traits, Interpolator> yc(settlementDays,
cal,
rateHelpers,
yieldCurveDayCounter,
std::vector<Handle<Quote> >(),
std::vector<Date>(),
yieldCurveAccuracy,
i);
// start with a valid business date
Date currentDate = cal.advance(startDate, 1*Days, Following);
bool isFirst = true;
// Loop over the historical dataset
for (; currentDate<=endDate;
currentDate = cal.advance(currentDate, step, Following)) {
// move the evaluationDate to currentDate
// and update ratehelpers dates...
Settings::instance().evaluationDate() = currentDate;
try {
// update the quotes...
for (Size i=0; i<iborIndexes.size(); ++i) {
Rate fixing = iborIndexes[i]->fixing(currentDate, false);
iborQuotes[i]->setValue(fixing);
}
for (Size i=0; i<swapIndexes.size(); ++i) {
Rate fixing = swapIndexes[i]->fixing(currentDate, false);
swapQuotes[i]->setValue(fixing);
}
} catch (std::exception& e) {
skippedDates.push_back(currentDate);
skippedDatesErrorMessage.push_back(e.what());
continue;
}
try {
for (Size i=0; i<nRates; ++i) {
// Time-to-go forwards
Date d = currentDate + fixingPeriods[i];
fwdRates[i] = yc.forwardRate(d,
indexTenor,
indexDayCounter,
Simple);
}
} catch (std::exception& e) {
failedDates.push_back(currentDate);
failedDatesErrorMessage.push_back(e.what());
continue;
}
// From 2nd step onwards, calculate forward rate
// relative differences
if (!isFirst){
for (Size i=0; i<nRates; ++i)
fwdRatesDiff[i] = fwdRates[i]/prevFwdRates[i] -1.0;
// add observation
statistics.add(fwdRatesDiff.begin(), fwdRatesDiff.end());
}
else
isFirst = false;
// Store last calculated forward rates
std::swap(prevFwdRates, fwdRates);
}
}