void InflationCPICapFloorTest::cpicapfloorpricer() {
CommonVars common;
Real nominal = 1.0;
boost::shared_ptr<CPICapFloorTermPriceSurface> cpiCFpriceSurf(new InterpolatedCPICapFloorTermPriceSurface
<Bilinear>(nominal,
common.baseZeroRate,
common.observationLag,
common.calendar,
common.convention,
common.dcZCIIS,
common.hii,
common.nominalUK,
common.cStrikesUK,
common.fStrikesUK,
common.cfMaturitiesUK,
*(common.cPriceUK),
*(common.fPriceUK)));
common.cpiCFsurfUK = cpiCFpriceSurf;
// interpolation pricer first
// N.B. no new instrument required but we do need a new pricer
Date startDate = Settings::instance().evaluationDate();
Date maturity(startDate + Period(3,Years));
Calendar fixCalendar = UnitedKingdom(), payCalendar = UnitedKingdom();
BusinessDayConvention fixConvention(Unadjusted), payConvention(ModifiedFollowing);
Rate strike(0.03);
Real baseCPI = common.hii->fixing(fixCalendar.adjust(startDate-common.observationLag,fixConvention));
CPI::InterpolationType observationInterpolation = CPI::AsIndex;
CPICapFloor aCap(Option::Call,
nominal,
startDate, // start date of contract (only)
baseCPI,
maturity, // this is pre-adjustment!
fixCalendar,
fixConvention,
payCalendar,
payConvention,
strike,
common.hii,
common.observationLag,
observationInterpolation);
Handle<CPICapFloorTermPriceSurface> cpiCFsurfUKh(common.cpiCFsurfUK);
boost::shared_ptr<PricingEngine>engine(new InterpolatingCPICapFloorEngine(cpiCFsurfUKh));
aCap.setPricingEngine(engine);
Date d = common.cpiCFsurfUK->cpiOptionDateFromTenor(Period(3,Years));
Real cached = cpiCFsurfUKh->capPrice(d, strike);
QL_REQUIRE(fabs(cached - aCap.NPV())<1e-10,"InterpolatingCPICapFloorEngine does not reproduce cached price: "
<< cached << " vs " << aCap.NPV());
// remove circular refernce
common.hcpi.linkTo(boost::shared_ptr<ZeroInflationTermStructure>());
}
AverageBMALeg::operator Leg() const {
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg cashflows;
// the following is not always correct
Calendar calendar = schedule_.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
Size n = schedule_.size()-1;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i == 0 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)
&& schedule_.hasTenor())
refStart = calendar.adjust(end - schedule_.tenor(),
paymentAdjustment_);
if (i == n-1 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)
&& schedule_.hasTenor())
refEnd = calendar.adjust(start + schedule_.tenor(),
paymentAdjustment_);
cashflows.push_back(ext::shared_ptr<CashFlow>(new
AverageBMACoupon(paymentDate,
detail::get(notionals_, i, notionals_.back()),
start, end,
index_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd,
paymentDayCounter_)));
}
return cashflows;
}
CmsSpreadRangeAccrualLeg::operator Leg() const {
QL_REQUIRE(!notionals_.empty(), "no notional given");
Size n = schedule_.size()-1;
QL_REQUIRE(notionals_.size() <= n,
"too many nominals (" << notionals_.size() <<
"), only " << n << " required");
QL_REQUIRE(fixingDays_.size() <= n,
"too many fixingDays (" << fixingDays_.size() <<
"), only " << n << " required");
QL_REQUIRE(gearings_.size()<=n,
"too many gearings (" << gearings_.size() <<
"), only " << n << " required");
QL_REQUIRE(spreads_.size()<=n,
"too many spreads (" << spreads_.size() <<
"), only " << n << " required");
QL_REQUIRE(lowerTriggers_.size()<=n,
"too many lowerTriggers (" << lowerTriggers_.size() <<
"), only " << n << " required");
QL_REQUIRE(upperTriggers_.size()<=n,
"too many upperTriggers (" << upperTriggers_.size() <<
"), only " << n << " required");
Leg leg(n);
// the following is not always correct
Calendar calendar = schedule_.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
std::vector<boost::shared_ptr<Schedule> > observationsSchedules;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i==0 && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = calendar.adjust(end - schedule_.tenor(), bdc);
}
if (i==n-1 && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = calendar.adjust(start + schedule_.tenor(), bdc);
}
if (detail::get(gearings_, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(boost::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate,
detail::get(notionals_, i, Null<Real>()),
detail::get(spreads_, i, 0.0),
paymentDayCounter_,
start, end, refStart, refEnd)));
} else { // floating coupon
observationsSchedules.push_back(
boost::shared_ptr<Schedule>(new
Schedule(start, end,
observationTenor_, calendar,
observationConvention_,
observationConvention_,
DateGeneration::Forward, false)));
leg.push_back(boost::shared_ptr<CashFlow>(new
CmsSpreadRangeAccrualCoupon(
paymentDate,
detail::get(notionals_, i, Null<Real>()),
index_,
start, end,
detail::get(fixingDays_, i, 2),
paymentDayCounter_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd,
observationsSchedules.back(),
detail::get(lowerTriggers_, i, Null<Rate>()),
detail::get(upperTriggers_, i, Null<Rate>()))));
}
}
return leg;
}
yoyInflationLeg::operator Leg() const {
Size n = schedule_.size()-1;
QL_REQUIRE(!notionals_.empty(), "no notional given");
QL_REQUIRE(notionals_.size() <= n,
"too many nominals (" << notionals_.size() <<
"), only " << n << " required");
QL_REQUIRE(gearings_.size()<=n,
"too many gearings (" << gearings_.size() <<
"), only " << n << " required");
QL_REQUIRE(spreads_.size()<=n,
"too many spreads (" << spreads_.size() <<
"), only " << n << " required");
QL_REQUIRE(caps_.size()<=n,
"too many caps (" << caps_.size() <<
"), only " << n << " required");
QL_REQUIRE(floors_.size()<=n,
"too many floors (" << floors_.size() <<
"), only " << n << " required");
Leg leg; leg.reserve(n);
Calendar calendar = paymentCalendar_;
Date refStart, start, refEnd, end;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i==0 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i==n-1 && schedule_.hasIsRegular() && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (detail::get(gearings_, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(ext::shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate,
detail::get(notionals_, i, 1.0),
detail::effectiveFixedRate(spreads_,caps_,
floors_,i),
paymentDayCounter_,
start, end, refStart, refEnd)));
} else { // yoy inflation coupon
if (detail::noOption(caps_, floors_, i)) { // just swaplet
ext::shared_ptr<YoYInflationCoupon> coup(new
YoYInflationCoupon(
paymentDate,
detail::get(notionals_, i, 1.0),
start, end,
detail::get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd));
// in this case you can set a pricer
// straight away because it only provides computation - not data
ext::shared_ptr<YoYInflationCouponPricer> pricer(
new YoYInflationCouponPricer);
coup->setPricer(pricer);
leg.push_back(ext::dynamic_pointer_cast<CashFlow>(coup));
} else { // cap/floorlet
leg.push_back(ext::shared_ptr<CashFlow>(new
CappedFlooredYoYInflationCoupon(
paymentDate,
detail::get(notionals_, i, 1.0),
start, end,
detail::get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
detail::get(gearings_, i, 1.0),
detail::get(spreads_, i, 0.0),
detail::get(caps_, i, Null<Rate>()),
detail::get(floors_, i, Null<Rate>()),
refStart, refEnd)));
}
}
}
return leg;
}
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
Calendar calendar = TARGET();
Date todaysDate(19, March, 2014);
// must be a business day
todaysDate = calendar.adjust(todaysDate);
Settings::instance().evaluationDate() = todaysDate;
/* --------------------------------------------------------------
SET UP BASKET PORTFOLIO
-------------------------------------------------------------- */
// build curves and issuers into a basket of ten names
std::vector<Real> hazardRates;
hazardRates +=
// 0.01, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9;
0.001, 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09;
// 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01;
std::vector<std::string> names;
for(Size i=0; i<hazardRates.size(); i++)
names.push_back(std::string("Acme") +
boost::lexical_cast<std::string>(i));
std::vector<Handle<DefaultProbabilityTermStructure> > defTS;
for(Size i=0; i<hazardRates.size(); i++) {
defTS.push_back(Handle<DefaultProbabilityTermStructure>(
boost::make_shared<FlatHazardRate>(0, TARGET(), hazardRates[i],
Actual365Fixed())));
defTS.back()->enableExtrapolation();
}
std::vector<Issuer> issuers;
for(Size i=0; i<hazardRates.size(); i++) {
std::vector<QuantLib::Issuer::key_curve_pair> curves(1,
std::make_pair(NorthAmericaCorpDefaultKey(
EURCurrency(), QuantLib::SeniorSec,
Period(), 1. // amount threshold
), defTS[i]));
issuers.push_back(Issuer(curves));
}
boost::shared_ptr<Pool> thePool = boost::make_shared<Pool>();
for(Size i=0; i<hazardRates.size(); i++)
thePool->add(names[i], issuers[i], NorthAmericaCorpDefaultKey(
EURCurrency(), QuantLib::SeniorSec, Period(), 1.));
std::vector<DefaultProbKey> defaultKeys(hazardRates.size(),
NorthAmericaCorpDefaultKey(EURCurrency(), SeniorSec, Period(), 1.));
boost::shared_ptr<Basket> theBskt = boost::make_shared<Basket>(
todaysDate,
names, std::vector<Real>(hazardRates.size(), 100.), thePool,
// 0.0, 0.78);
0.03, .06);
/* --------------------------------------------------------------
SET UP DEFAULT LOSS MODELS
-------------------------------------------------------------- */
std::vector<Real> recoveries(hazardRates.size(), 0.4);
Date calcDate(TARGET().advance(Settings::instance().evaluationDate(),
Period(60, Months)));
Real factorValue = 0.05;
std::vector<std::vector<Real> > fctrsWeights(hazardRates.size(),
std::vector<Real>(1, std::sqrt(factorValue)));
// --- LHP model --------------------------
boost::shared_ptr<DefaultLossModel> lmGLHP(
boost::make_shared<GaussianLHPLossModel>(
fctrsWeights[0][0] * fctrsWeights[0][0], recoveries));
theBskt->setLossModel(lmGLHP);
std::cout << "GLHP Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- G Binomial model --------------------
boost::shared_ptr<GaussianConstantLossLM> ktLossLM(
boost::make_shared<GaussianConstantLossLM>(fctrsWeights,
recoveries, LatentModelIntegrationType::GaussianQuadrature,
GaussianCopulaPolicy::initTraits()));
boost::shared_ptr<DefaultLossModel> lmBinomial(
boost::make_shared<GaussianBinomialLossModel>(ktLossLM));
theBskt->setLossModel(lmBinomial);
std::cout << "Gaussian Binomial Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- T Binomial model --------------------
TCopulaPolicy::initTraits initT;
initT.tOrders = std::vector<Integer>(2, 3);
boost::shared_ptr<TConstantLossLM> ktTLossLM(
boost::make_shared<TConstantLossLM>(fctrsWeights,
recoveries,
//LatentModelIntegrationType::GaussianQuadrature,
LatentModelIntegrationType::Trapezoid,
initT));
boost::shared_ptr<DefaultLossModel> lmTBinomial(
boost::make_shared<TBinomialLossModel>(ktTLossLM));
theBskt->setLossModel(lmTBinomial);
std::cout << "T Binomial Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- G Inhomogeneous model ---------------
boost::shared_ptr<GaussianConstantLossLM> gLM(
boost::make_shared<GaussianConstantLossLM>(fctrsWeights,
recoveries,
LatentModelIntegrationType::GaussianQuadrature,
// g++ requires this when using make_shared
GaussianCopulaPolicy::initTraits()));
Size numBuckets = 100;
boost::shared_ptr<DefaultLossModel> inhomogeneousLM(
boost::make_shared<IHGaussPoolLossModel>(gLM, numBuckets));
theBskt->setLossModel(inhomogeneousLM);
std::cout << "G Inhomogeneous Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- G Random model ---------------------
// Gaussian random joint default model:
Size numSimulations = 100000;
// Size numCoresUsed = 4;
// Sobol, many cores
boost::shared_ptr<DefaultLossModel> rdlmG(
boost::make_shared<RandomDefaultLM<GaussianCopulaPolicy,
RandomSequenceGenerator<
BoxMullerGaussianRng<MersenneTwisterUniformRng> > > >(gLM,
recoveries, numSimulations, 1.e-6, 2863311530));
//boost::shared_ptr<DefaultLossModel> rdlmG(
// boost::make_shared<RandomDefaultLM<GaussianCopulaPolicy> >(gLM,
// recoveries, numSimulations, 1.e-6, 2863311530));
theBskt->setLossModel(rdlmG);
std::cout << "Random G Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- StudentT Random model ---------------------
// Sobol, many cores
boost::shared_ptr<DefaultLossModel> rdlmT(
boost::make_shared<RandomDefaultLM<TCopulaPolicy,
RandomSequenceGenerator<
PolarStudentTRng<MersenneTwisterUniformRng> > > >(ktTLossLM,
recoveries, numSimulations, 1.e-6, 2863311530));
//boost::shared_ptr<DefaultLossModel> rdlmT(
// boost::make_shared<RandomDefaultLM<TCopulaPolicy> >(ktTLossLM,
// recoveries, numSimulations, 1.e-6, 2863311530));
theBskt->setLossModel(rdlmT);
std::cout << "Random T Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// Spot Loss latent model:
std::vector<std::vector<Real> > fctrsWeightsRR(2 * hazardRates.size(),
std::vector<Real>(1, std::sqrt(factorValue)));
Real modelA = 2.2;
boost::shared_ptr<GaussianSpotLossLM> sptLG(new GaussianSpotLossLM(
fctrsWeightsRR, recoveries, modelA,
LatentModelIntegrationType::GaussianQuadrature,
GaussianCopulaPolicy::initTraits()));
boost::shared_ptr<TSpotLossLM> sptLT(new TSpotLossLM(fctrsWeightsRR,
recoveries, modelA,
LatentModelIntegrationType::GaussianQuadrature, initT));
// --- G Random Loss model ---------------------
// Gaussian random joint default model:
// Sobol, many cores
boost::shared_ptr<DefaultLossModel> rdLlmG(
boost::make_shared<RandomLossLM<GaussianCopulaPolicy> >(sptLG,
numSimulations, 1.e-6, 2863311530));
theBskt->setLossModel(rdLlmG);
std::cout << "Random Loss G Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// --- T Random Loss model ---------------------
// Gaussian random joint default model:
// Sobol, many cores
boost::shared_ptr<DefaultLossModel> rdLlmT(
boost::make_shared<RandomLossLM<TCopulaPolicy> >(sptLT,
numSimulations, 1.e-6, 2863311530));
theBskt->setLossModel(rdLlmT);
std::cout << "Random Loss T Expected 10-Yr Losses: " << std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
// Base Correlation model set up to test cocherence with base LHP model
std::vector<Period> bcTenors;
bcTenors.push_back(Period(1, Years));
bcTenors.push_back(Period(5, Years));
std::vector<Real> bcLossPercentages;
bcLossPercentages.push_back(0.03);
bcLossPercentages.push_back(0.12);
std::vector<std::vector<Handle<Quote> > > correls;
//
std::vector<Handle<Quote> > corr1Y;
// 3%
corr1Y.push_back(Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(fctrsWeights[0][0] * fctrsWeights[0][0]))));
// 12%
corr1Y.push_back(Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(fctrsWeights[0][0] * fctrsWeights[0][0]))));
correls.push_back(corr1Y);
std::vector<Handle<Quote> > corr2Y;
// 3%
corr2Y.push_back(Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(fctrsWeights[0][0] * fctrsWeights[0][0]))));
// 12%
corr2Y.push_back(Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(fctrsWeights[0][0] * fctrsWeights[0][0]))));
correls.push_back(corr2Y);
boost::shared_ptr<BaseCorrelationTermStructure<BilinearInterpolation> >
correlSurface(
new BaseCorrelationTermStructure<BilinearInterpolation>(
// first one would do, all should be the same.
defTS[0]->settlementDays(),
defTS[0]->calendar(),
Unadjusted,
bcTenors,
bcLossPercentages,
correls,
Actual365Fixed()
)
);
Handle<BaseCorrelationTermStructure<BilinearInterpolation> >
correlHandle(correlSurface);
boost::shared_ptr<DefaultLossModel> bcLMG_LHP_Bilin(
boost::make_shared<GaussianLHPFlatBCLM>(correlHandle, recoveries,
GaussianCopulaPolicy::initTraits()));
theBskt->setLossModel(bcLMG_LHP_Bilin);
std::cout << "Base Correlation GLHP Expected 10-Yr Losses: "
<< std::endl;
std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;
Real seconds = timer.elapsed();
Integer hours = Integer(seconds/3600);
seconds -= hours * 3600;
Integer minutes = Integer(seconds/60);
seconds -= minutes * 60;
cout << "Run completed in ";
if (hours > 0)
cout << hours << " h ";
if (hours > 0 || minutes > 0)
cout << minutes << " m ";
cout << fixed << setprecision(0)
<< seconds << " s" << endl;
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}
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);
}
}
}
}
}
void CreditDefaultSwapTest::testFairUpfront() {
BOOST_TEST_MESSAGE(
"Testing fair-upfront calculation for credit-default swaps...");
SavedSettings backup;
// Initialize curves
Calendar calendar = TARGET();
Date today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
Handle<Quote> hazardRate = Handle<Quote>(
ext::shared_ptr<Quote>(new SimpleQuote(0.01234)));
RelinkableHandle<DefaultProbabilityTermStructure> probabilityCurve;
probabilityCurve.linkTo(
ext::shared_ptr<DefaultProbabilityTermStructure>(
new FlatHazardRate(0, calendar, hazardRate, Actual360())));
RelinkableHandle<YieldTermStructure> discountCurve;
discountCurve.linkTo(ext::shared_ptr<YieldTermStructure>(
new FlatForward(today,0.06,Actual360())));
// Build the schedule
Date issueDate = today;
Date maturity = calendar.advance(issueDate, 10, Years);
BusinessDayConvention convention = Following;
Schedule schedule =
MakeSchedule().from(issueDate)
.to(maturity)
.withFrequency(Quarterly)
.withCalendar(calendar)
.withTerminationDateConvention(convention)
.withRule(DateGeneration::TwentiethIMM);
// Build the CDS
Rate fixedRate = 0.05;
Rate upfront = 0.001;
DayCounter dayCount = Actual360();
Real notional = 10000.0;
Real recoveryRate = 0.4;
ext::shared_ptr<PricingEngine> engine(
new MidPointCdsEngine(probabilityCurve, recoveryRate,
discountCurve, true));
CreditDefaultSwap cds(Protection::Seller, notional, upfront, fixedRate,
schedule, convention, dayCount, true, true);
cds.setPricingEngine(engine);
Rate fairUpfront = cds.fairUpfront();
CreditDefaultSwap fairCds(Protection::Seller, notional,
fairUpfront, fixedRate,
schedule, convention, dayCount, true, true);
fairCds.setPricingEngine(engine);
Real fairNPV = fairCds.NPV();
Real tolerance = 1e-10;
if (std::fabs(fairNPV) > tolerance)
BOOST_ERROR(
"Failed to reproduce null NPV with calculated fair upfront\n"
<< " calculated upfront: " << io::rate(fairUpfront) << "\n"
<< " calculated NPV: " << fairNPV);
// same with null upfront to begin with
upfront = 0.0;
CreditDefaultSwap cds2(Protection::Seller, notional, upfront, fixedRate,
schedule, convention, dayCount, true, true);
cds2.setPricingEngine(engine);
fairUpfront = cds2.fairUpfront();
CreditDefaultSwap fairCds2(Protection::Seller, notional,
fairUpfront, fixedRate,
schedule, convention, dayCount, true, true);
fairCds2.setPricingEngine(engine);
fairNPV = fairCds2.NPV();
if (std::fabs(fairNPV) > tolerance)
BOOST_ERROR(
"Failed to reproduce null NPV with calculated fair upfront\n"
<< " calculated upfront: " << io::rate(fairUpfront) << "\n"
<< " calculated NPV: " << fairNPV);
}
void InflationTest::testYYTermStructure() {
BOOST_MESSAGE("Testing year-on-year inflation term structure...");
SavedSettings backup;
// try the YY UK
Calendar calendar = UnitedKingdom();
BusinessDayConvention bdc = ModifiedFollowing;
Date evaluationDate(13, August, 2007);
evaluationDate = calendar.adjust(evaluationDate);
Settings::instance().evaluationDate() = evaluationDate;
// fixing data
Date from(1, January, 2005);
Date to(13, August, 2007);
Schedule rpiSchedule = MakeSchedule().from(from).to(to)
.withTenor(1*Months)
.withCalendar(UnitedKingdom())
.withConvention(ModifiedFollowing);
Real fixData[] = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, -999.0, -999 };
RelinkableHandle<YoYInflationTermStructure> hy;
bool interp = false;
boost::shared_ptr<YYUKRPIr> iir(new YYUKRPIr(interp, hy));
for (Size i=0; i<rpiSchedule.size();i++) {
iir->addFixing(rpiSchedule[i], fixData[i]);
}
boost::shared_ptr<YieldTermStructure> nominalTS = nominalTermStructure();
// now build the YoY inflation curve
Datum yyData[] = {
{ Date(13, August, 2008), 2.95 },
{ Date(13, August, 2009), 2.95 },
{ Date(13, August, 2010), 2.93 },
{ Date(15, August, 2011), 2.955 },
{ Date(13, August, 2012), 2.945 },
{ Date(13, August, 2013), 2.985 },
{ Date(13, August, 2014), 3.01 },
{ Date(13, August, 2015), 3.035 },
{ Date(13, August, 2016), 3.055 }, // note that
{ Date(13, August, 2017), 3.075 }, // some dates will be on
{ Date(13, August, 2019), 3.105 }, // holidays but the payment
{ Date(15, August, 2022), 3.135 }, // calendar will roll them
{ Date(13, August, 2027), 3.155 },
{ Date(13, August, 2032), 3.145 },
{ Date(13, August, 2037), 3.145 }
};
Period observationLag = Period(2,Months);
DayCounter dc = Thirty360();
// now build the helpers ...
std::vector<boost::shared_ptr<BootstrapHelper<YoYInflationTermStructure> > > helpers =
makeHelpers<YoYInflationTermStructure,YearOnYearInflationSwapHelper,
YoYInflationIndex>(yyData, LENGTH(yyData), iir,
observationLag,
calendar, bdc, dc);
Rate baseYYRate = yyData[0].rate/100.0;
boost::shared_ptr<PiecewiseYoYInflationCurve<Linear> > pYYTS(
new PiecewiseYoYInflationCurve<Linear>(
evaluationDate, calendar, dc, observationLag,
iir->frequency(),iir->interpolated(), baseYYRate,
Handle<YieldTermStructure>(nominalTS), helpers));
pYYTS->recalculate();
// validation
// yoy swaps should reprice to zero
// yy rates should not equal yySwap rates
Real eps = 0.000001;
// usual swap engine
Handle<YieldTermStructure> hTS(nominalTS);
boost::shared_ptr<PricingEngine> sppe(new DiscountingSwapEngine(hTS));
// make sure that the index has the latest yoy term structure
hy.linkTo(pYYTS);
for (Size j = 1; j < LENGTH(yyData); j++) {
from = nominalTS->referenceDate();
to = yyData[j].date;
Schedule yoySchedule = MakeSchedule().from(from).to(to)
.withConvention(Unadjusted) // fixed leg gets calendar from
.withCalendar(calendar) // schedule
.withTenor(1*Years)
.backwards()
;
YearOnYearInflationSwap yyS2(YearOnYearInflationSwap::Payer,
1000000.0,
yoySchedule,//fixed schedule, but same as yoy
yyData[j].rate/100.0,
dc,
yoySchedule,
iir,
observationLag,
0.0, //spread on index
dc,
UnitedKingdom());
yyS2.setPricingEngine(sppe);
BOOST_CHECK_MESSAGE(fabs(yyS2.NPV())<eps,"fresh yoy swap NPV!=0 from TS "
<<"swap quote for pt " << j
<< ", is " << yyData[j].rate/100.0
<<" vs YoY rate "<< pYYTS->yoyRate(yyData[j].date-observationLag)
<<" at quote date "<<(yyData[j].date-observationLag)
<<", NPV of a fresh yoy swap is " << yyS2.NPV()
<<"\n fair rate " << yyS2.fairRate()
<<" payment "<<yyS2.paymentConvention());
}
Size jj=3;
for (Size k = 0; k < 14; k++) {
from = nominalTS->referenceDate() - k*Months;
to = yyData[jj].date - k*Months;
Schedule yoySchedule = MakeSchedule().from(from).to(to)
.withConvention(Unadjusted) // fixed leg gets calendar from
.withCalendar(calendar) // schedule
.withTenor(1*Years)
.backwards()
;
YearOnYearInflationSwap yyS3(YearOnYearInflationSwap::Payer,
1000000.0,
yoySchedule,//fixed schedule, but same as yoy
yyData[jj].rate/100.0,
dc,
yoySchedule,
iir,
observationLag,
0.0, //spread on index
dc,
UnitedKingdom());
yyS3.setPricingEngine(sppe);
BOOST_CHECK_MESSAGE(fabs(yyS3.NPV())< 20000.0,
"unexpected size of aged YoY swap, aged "
<<k<<" months: YY aged NPV = " << yyS3.NPV()
<<", legs "<< yyS3.legNPV(0) << " and " << yyS3.legNPV(1)
);
}
}
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = TARGET();
Date todaysDate(15, May, 2007);
// must be a business day
todaysDate = calendar.adjust(todaysDate);
Settings::instance().evaluationDate() = todaysDate;
// dummy curve
boost::shared_ptr<Quote> flatRate(new SimpleQuote(0.01));
Handle<YieldTermStructure> tsCurve(
boost::shared_ptr<FlatForward>(
new FlatForward(todaysDate, Handle<Quote>(flatRate),
Actual365Fixed())));
/*
In Lehmans Brothers "guide to exotic credit derivatives"
p. 32 there's a simple case, zero flat curve with a flat CDS
curve with constant market spreads of 150 bp and RR = 50%
corresponds to a flat 3% hazard rate. The implied 1-year
survival probability is 97.04% and the 2-years is 94.18%
*/
// market
Real recovery_rate = 0.5;
Real quoted_spreads[] = { 0.0150, 0.0150, 0.0150, 0.0150 };
vector<Period> tenors;
tenors.push_back(3*Months);
tenors.push_back(6*Months);
tenors.push_back(1*Years);
tenors.push_back(2*Years);
vector<Date> maturities;
for (Size i=0; i<4; i++) {
maturities.push_back(calendar.adjust(todaysDate + tenors[i],
Following));
}
std::vector<boost::shared_ptr<DefaultProbabilityHelper> > instruments;
for (Size i=0; i<4; i++) {
instruments.push_back(boost::shared_ptr<DefaultProbabilityHelper>(
new SpreadCdsHelper(
Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(quoted_spreads[i]))),
tenors[i],
0,
calendar,
Quarterly,
Following,
DateGeneration::TwentiethIMM,
Actual365Fixed(),
recovery_rate,
tsCurve)));
}
// Bootstrap hazard rates
boost::shared_ptr<PiecewiseDefaultCurve<HazardRate, BackwardFlat> >
hazardRateStructure(
new PiecewiseDefaultCurve<HazardRate, BackwardFlat>(
todaysDate,
instruments,
Actual365Fixed()));
vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes();
cout << "Calibrated hazard rate values: " << endl ;
for (Size i=0; i<hr_curve_data.size(); i++) {
cout << "hazard rate on " << hr_curve_data[i].first << " is "
<< hr_curve_data[i].second << endl;
}
cout << endl;
cout << "Some survival probability values: " << endl ;
cout << "1Y survival probability: "
<< io::percent(hazardRateStructure->survivalProbability(
todaysDate + 1*Years))
<< endl
<< " expected: "
<< io::percent(0.9704)
<< endl;
cout << "2Y survival probability: "
<< io::percent(hazardRateStructure->survivalProbability(
todaysDate + 2*Years))
<< endl
<< " expected: "
<< io::percent(0.9418)
<< endl;
cout << endl << endl;
// reprice instruments
Real nominal = 1000000.0;
Handle<DefaultProbabilityTermStructure> probability(hazardRateStructure);
boost::shared_ptr<PricingEngine> engine(
new MidPointCdsEngine(probability, recovery_rate, tsCurve));
Schedule cdsSchedule =
MakeSchedule().from(todaysDate).to(maturities[0])
.withFrequency(Quarterly)
.withCalendar(calendar)
.withTerminationDateConvention(Unadjusted)
.withRule(DateGeneration::TwentiethIMM);
CreditDefaultSwap cds_3m(Protection::Seller,
nominal,
quoted_spreads[0],
cdsSchedule,
Following,
Actual365Fixed());
cdsSchedule =
MakeSchedule().from(todaysDate).to(maturities[1])
.withFrequency(Quarterly)
.withCalendar(calendar)
.withTerminationDateConvention(Unadjusted)
.withRule(DateGeneration::TwentiethIMM);
CreditDefaultSwap cds_6m(Protection::Seller,
nominal,
quoted_spreads[1],
cdsSchedule,
Following,
Actual365Fixed());
cdsSchedule =
MakeSchedule().from(todaysDate).to(maturities[2])
.withFrequency(Quarterly)
.withCalendar(calendar)
.withTerminationDateConvention(Unadjusted)
.withRule(DateGeneration::TwentiethIMM);
CreditDefaultSwap cds_1y(Protection::Seller,
nominal,
quoted_spreads[2],
cdsSchedule,
Following,
Actual365Fixed());
cdsSchedule =
MakeSchedule().from(todaysDate).to(maturities[3])
.withFrequency(Quarterly)
.withCalendar(calendar)
.withTerminationDateConvention(Unadjusted)
.withRule(DateGeneration::TwentiethIMM);
CreditDefaultSwap cds_2y(Protection::Seller,
nominal,
quoted_spreads[3],
cdsSchedule,
Following,
Actual365Fixed());
cds_3m.setPricingEngine(engine);
cds_6m.setPricingEngine(engine);
cds_1y.setPricingEngine(engine);
cds_2y.setPricingEngine(engine);
cout << "Repricing of quoted CDSs employed for calibration: " << endl;
cout << "3M fair spread: " << io::rate(cds_3m.fairSpread()) << endl
<< " NPV: " << cds_3m.NPV() << endl
<< " default leg: " << cds_3m.defaultLegNPV() << endl
<< " coupon leg: " << cds_3m.couponLegNPV() << endl
<< endl;
cout << "6M fair spread: " << io::rate(cds_6m.fairSpread()) << endl
<< " NPV: " << cds_6m.NPV() << endl
<< " default leg: " << cds_6m.defaultLegNPV() << endl
<< " coupon leg: " << cds_6m.couponLegNPV() << endl
<< endl;
cout << "1Y fair spread: " << io::rate(cds_1y.fairSpread()) << endl
<< " NPV: " << cds_1y.NPV() << endl
<< " default leg: " << cds_1y.defaultLegNPV() << endl
<< " coupon leg: " << cds_1y.couponLegNPV() << endl
<< endl;
cout << "2Y fair spread: " << io::rate(cds_2y.fairSpread()) << endl
<< " NPV: " << cds_2y.NPV() << endl
<< " default leg: " << cds_2y.defaultLegNPV() << endl
<< " coupon leg: " << cds_2y.couponLegNPV() << endl
<< endl;
cout << endl << endl;
Real seconds = timer.elapsed();
Integer hours = Integer(seconds/3600);
seconds -= hours * 3600;
Integer minutes = Integer(seconds/60);
seconds -= minutes * 60;
cout << "Run completed in ";
if (hours > 0)
cout << hours << " h ";
if (hours > 0 || minutes > 0)
cout << minutes << " m ";
cout << fixed << setprecision(0)
<< seconds << " s" << endl;
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}
FixedRateLeg::operator Leg() const {
QL_REQUIRE(!couponRates_.empty(), "no coupon rates given");
QL_REQUIRE(!notionals_.empty(), "no notional given");
Leg leg;
leg.reserve(schedule_.size()-1);
Calendar schCalendar = schedule_.calendar();
// first period might be short or long
Date start = schedule_.date(0), end = schedule_.date(1);
Date paymentDate = calendar_.adjust(end, paymentAdjustment_);
Date exCouponDate;
InterestRate rate = couponRates_[0];
Real nominal = notionals_[0];
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if (schedule_.isRegular(1)) {
QL_REQUIRE(firstPeriodDC_.empty() ||
firstPeriodDC_ == rate.dayCounter(),
"regular first coupon "
"does not allow a first-period day count");
shared_ptr<CashFlow> temp(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate));
leg.push_back(temp);
} else {
Date ref = end - schedule_.tenor();
ref = schCalendar.adjust(ref, schedule_.businessDayConvention());
InterestRate r(rate.rate(),
firstPeriodDC_.empty() ? rate.dayCounter()
: firstPeriodDC_,
rate.compounding(), rate.frequency());
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, ref, end, exCouponDate)));
}
// regular periods
for (Size i=2; i<schedule_.size()-1; ++i) {
start = end; end = schedule_.date(i);
paymentDate = calendar_.adjust(end, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((i-1) < couponRates_.size())
rate = couponRates_[i-1];
else
rate = couponRates_.back();
if ((i-1) < notionals_.size())
nominal = notionals_[i-1];
else
nominal = notionals_.back();
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, rate,
start, end, start, end, exCouponDate)));
}
if (schedule_.size() > 2) {
// last period might be short or long
Size N = schedule_.size();
start = end; end = schedule_.date(N-1);
paymentDate = calendar_.adjust(end, paymentAdjustment_);
if (exCouponPeriod_ != Period())
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}
if ((N-2) < couponRates_.size())
rate = couponRates_[N-2];
else
rate = couponRates_.back();
if ((N-2) < notionals_.size())
nominal = notionals_[N-2];
else
nominal = notionals_.back();
InterestRate r(rate.rate(),
lastPeriodDC_.empty() ? rate.dayCounter()
: lastPeriodDC_,
rate.compounding(), rate.frequency());
if (schedule_.isRegular(N - 1)) {
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, start, end, exCouponDate)));
} else {
Date ref = start + schedule_.tenor();
ref = schCalendar.adjust(ref, schedule_.businessDayConvention());
leg.push_back(shared_ptr<CashFlow>(new
FixedRateCoupon(paymentDate, nominal, r,
start, end, start, ref, exCouponDate)));
}
}
return leg;
}
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = TARGET();
Date settlementDate(18, September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
Integer fixingDays = 3;
Natural settlementDays = 3;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);
// nothing to do with Date::todaysDate
Settings::instance().evaluationDate() = todaysDate;
std::cout << "Today: " << todaysDate.weekday()
<< ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;
// Building of the bonds discounting yield curve
/*********************
*** 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.
// Common data
// ZC rates for the short end
Rate zc3mQuote=0.0096;
Rate zc6mQuote=0.0145;
Rate zc1yQuote=0.0194;
boost::shared_ptr<Quote> zc3mRate(new SimpleQuote(zc3mQuote));
boost::shared_ptr<Quote> zc6mRate(new SimpleQuote(zc6mQuote));
boost::shared_ptr<Quote> zc1yRate(new SimpleQuote(zc1yQuote));
DayCounter zcBondsDayCounter = Actual365Fixed();
boost::shared_ptr<RateHelper> zc3m(new DepositRateHelper(
Handle<Quote>(zc3mRate),
3*Months, fixingDays,
calendar, ModifiedFollowing,
true, zcBondsDayCounter));
boost::shared_ptr<RateHelper> zc6m(new DepositRateHelper(
Handle<Quote>(zc6mRate),
6*Months, fixingDays,
calendar, ModifiedFollowing,
true, zcBondsDayCounter));
boost::shared_ptr<RateHelper> zc1y(new DepositRateHelper(
Handle<Quote>(zc1yRate),
1*Years, fixingDays,
calendar, ModifiedFollowing,
true, zcBondsDayCounter));
// setup bonds
Real redemption = 100.0;
const Size numberOfBonds = 5;
Date issueDates[] = {
Date (15, March, 2005),
Date (15, June, 2005),
Date (30, June, 2006),
Date (15, November, 2002),
Date (15, May, 1987)
};
Date maturities[] = {
Date (31, August, 2010),
Date (31, August, 2011),
Date (31, August, 2013),
Date (15, August, 2018),
Date (15, May, 2038)
};
Real couponRates[] = {
0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
Real marketQuotes[] = {
100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
std::vector< boost::shared_ptr<SimpleQuote> > quote;
for (Size i=0; i<numberOfBonds; i++) {
boost::shared_ptr<SimpleQuote> cp(new SimpleQuote(marketQuotes[i]));
quote.push_back(cp);
}
RelinkableHandle<Quote> quoteHandle[numberOfBonds];
for (Size i=0; i<numberOfBonds; i++) {
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
std::vector<boost::shared_ptr<BondHelper> > bondsHelpers;
for (Size i=0; i<numberOfBonds; i++) {
Schedule schedule(issueDates[i], maturities[i], Period(Semiannual), UnitedStates(UnitedStates::GovernmentBond),
Unadjusted, Unadjusted, DateGeneration::Backward, false);
boost::shared_ptr<FixedRateBondHelper> bondHelper(new FixedRateBondHelper(
quoteHandle[i],
settlementDays,
100.0,
schedule,
std::vector<Rate>(1,couponRates[i]),
ActualActual(ActualActual::Bond),
Unadjusted,
redemption,
issueDates[i]));
// the above could also be done by creating a
// FixedRateBond instance and writing:
//
// boost::shared_ptr<BondHelper> bondHelper(
// new BondHelper(quoteHandle[i], bond));
//
// This would also work for bonds that still don't have a
// specialized helper, such as floating-rate bonds.
bondsHelpers.push_back(bondHelper);
}
/*********************
** 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-bond curve
std::vector<boost::shared_ptr<RateHelper> > bondInstruments;
// Adding the ZC bonds to the curve for the short end
bondInstruments.push_back(zc3m);
bondInstruments.push_back(zc6m);
bondInstruments.push_back(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (Size i=0; i<numberOfBonds; i++) {
bondInstruments.push_back(bondsHelpers[i]);
}
boost::shared_ptr<YieldTermStructure> bondDiscountingTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, bondInstruments,
termStructureDayCounter,
tolerance));
// Building of the Libor forecasting curve
// deposits
Rate d1wQuote=0.043375;
Rate d1mQuote=0.031875;
Rate d3mQuote=0.0320375;
Rate d6mQuote=0.03385;
Rate d9mQuote=0.0338125;
Rate d1yQuote=0.0335125;
// swaps
Rate s2yQuote=0.0295;
Rate s3yQuote=0.0323;
Rate s5yQuote=0.0359;
Rate s10yQuote=0.0412;
Rate s15yQuote=0.0433;
/********************
*** 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));
// 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 swaps
Frequency swFixedLegFrequency = Annual;
BusinessDayConvention swFixedLegConvention = Unadjusted;
DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);
boost::shared_ptr<IborIndex> swFloatingLegIndex(new Euribor6M);
const Period forwardStart(1*Days);
boost::shared_ptr<RateHelper> s2y(new SwapRateHelper(
Handle<Quote>(s2yRate), 2*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
boost::shared_ptr<RateHelper> s3y(new SwapRateHelper(
Handle<Quote>(s3yRate), 3*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
boost::shared_ptr<RateHelper> s5y(new SwapRateHelper(
Handle<Quote>(s5yRate), 5*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
boost::shared_ptr<RateHelper> s10y(new SwapRateHelper(
Handle<Quote>(s10yRate), 10*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
boost::shared_ptr<RateHelper> s15y(new SwapRateHelper(
Handle<Quote>(s15yRate), 15*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// 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));
// 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;
/*********************
* BONDS TO BE PRICED *
**********************/
// Common data
Real faceAmount = 100;
// Pricing engine
boost::shared_ptr<PricingEngine> bondEngine(
new DiscountingBondEngine(discountingTermStructure));
// Zero coupon bond
ZeroCouponBond zeroCouponBond(
settlementDays,
UnitedStates(UnitedStates::GovernmentBond),
faceAmount,
Date(15,August,2013),
Following,
Real(116.92),
Date(15,August,2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
Schedule fixedBondSchedule(Date(15, May, 2007),
Date(15,May,2017), Period(Semiannual),
UnitedStates(UnitedStates::GovernmentBond),
Unadjusted, Unadjusted, DateGeneration::Backward, false);
FixedRateBond fixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
std::vector<Rate>(1, 0.045),
ActualActual(ActualActual::Bond),
ModifiedFollowing,
100.0, Date(15, May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
RelinkableHandle<YieldTermStructure> liborTermStructure;
const boost::shared_ptr<IborIndex> libor3m(
new USDLibor(Period(3,Months),liborTermStructure));
libor3m->addFixing(Date(17, July, 2008),0.0278625);
Schedule floatingBondSchedule(Date(21, October, 2005),
Date(21, October, 2010), Period(Quarterly),
UnitedStates(UnitedStates::NYSE),
Unadjusted, Unadjusted, DateGeneration::Backward, true);
FloatingRateBond floatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
Actual360(),
ModifiedFollowing,
Natural(2),
// Gearings
std::vector<Real>(1, 1.0),
// Spreads
std::vector<Rate>(1, 0.001),
// Caps
std::vector<Rate>(),
// Floors
std::vector<Rate>(),
// Fixing in arrears
true,
Real(100.0),
Date(21, October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
// optionLet volatilities
Volatility volatility = 0.0;
Handle<OptionletVolatilityStructure> vol;
vol = Handle<OptionletVolatilityStructure>(
boost::shared_ptr<OptionletVolatilityStructure>(new
ConstantOptionletVolatility(
settlementDays,
calendar,
ModifiedFollowing,
volatility,
Actual365Fixed())));
pricer->setCapletVolatility(vol);
setCouponPricer(floatingRateBond.cashflows(),pricer);
// Yield curve bootstrapping
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
// We are using the depo & swap curve to estimate the future Libor rates
liborTermStructure.linkTo(depoSwapTermStructure);
/***************
* BOND PRICING *
****************/
std::cout << std::endl;
// write column headings
Size widths[] = { 18, 10, 10, 10 };
std::cout << std::setw(widths[0]) << " "
<< std::setw(widths[1]) << "ZC"
<< std::setw(widths[2]) << "Fixed"
<< std::setw(widths[3]) << "Floating"
<< std::endl;
std::string separator = " | ";
Size width = widths[0]
+ widths[1]
+ widths[2]
+ widths[3];
std::string rule(width, '-'), dblrule(width, '=');
std::string tab(8, ' ');
std::cout << rule << std::endl;
std::cout << std::fixed;
std::cout << std::setprecision(2);
std::cout << std::setw(widths[0]) << "Net present value"
<< std::setw(widths[1]) << zeroCouponBond.NPV()
<< std::setw(widths[2]) << fixedRateBond.NPV()
<< std::setw(widths[3]) << floatingRateBond.NPV()
<< std::endl;
std::cout << std::setw(widths[0]) << "Clean price"
<< std::setw(widths[1]) << zeroCouponBond.cleanPrice()
<< std::setw(widths[2]) << fixedRateBond.cleanPrice()
<< std::setw(widths[3]) << floatingRateBond.cleanPrice()
<< std::endl;
std::cout << std::setw(widths[0]) << "Dirty price"
<< std::setw(widths[1]) << zeroCouponBond.dirtyPrice()
<< std::setw(widths[2]) << fixedRateBond.dirtyPrice()
<< std::setw(widths[3]) << floatingRateBond.dirtyPrice()
<< std::endl;
std::cout << std::setw(widths[0]) << "Accrued coupon"
<< std::setw(widths[1]) << zeroCouponBond.accruedAmount()
<< std::setw(widths[2]) << fixedRateBond.accruedAmount()
<< std::setw(widths[3]) << floatingRateBond.accruedAmount()
<< std::endl;
std::cout << std::setw(widths[0]) << "Previous coupon"
<< std::setw(widths[1]) << "N/A" // zeroCouponBond
<< std::setw(widths[2]) << io::rate(fixedRateBond.previousCouponRate())
<< std::setw(widths[3]) << io::rate(floatingRateBond.previousCouponRate())
<< std::endl;
std::cout << std::setw(widths[0]) << "Next coupon"
<< std::setw(widths[1]) << "N/A" // zeroCouponBond
<< std::setw(widths[2]) << io::rate(fixedRateBond.nextCouponRate())
<< std::setw(widths[3]) << io::rate(floatingRateBond.nextCouponRate())
<< std::endl;
std::cout << std::setw(widths[0]) << "Yield"
<< std::setw(widths[1])
<< io::rate(zeroCouponBond.yield(Actual360(),Compounded,Annual))
<< std::setw(widths[2])
<< io::rate(fixedRateBond.yield(Actual360(),Compounded,Annual))
<< std::setw(widths[3])
<< io::rate(floatingRateBond.yield(Actual360(),Compounded,Annual))
<< std::endl;
std::cout << std::endl;
// Other computations
std::cout << "Sample indirect computations (for the floating rate bond): " << std::endl;
std::cout << rule << std::endl;
std::cout << "Yield to Clean Price: "
<< floatingRateBond.cleanPrice(floatingRateBond.yield(Actual360(),Compounded,Annual),Actual360(),Compounded,Annual,settlementDate) << std::endl;
std::cout << "Clean Price to Yield: "
<< io::rate(floatingRateBond.yield(floatingRateBond.cleanPrice(),Actual360(),Compounded,Annual,settlementDate)) << std::endl;
/* "Yield to Price"
"Price to Yield" */
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;
}
}
void qlHazardRateFactory::calculate()
{
try {
TiXmlDocument document;
document.Parse(instInfo_.c_str(), 0, TIXML_ENCODING_UTF8);
TiXmlNode* rootNode = document.FirstChild("defaultCurveCalculation");
Settings::instance().evaluationDate() =
strToDate(rootNode->FirstChildElement("evaluationTime")->GetText());
DayCounter daycounter = Actual365Fixed();
TiXmlElement* pricingParametorNode = rootNode->FirstChildElement("pricingParameter");
TiXmlElement* referenceCurveNode = pricingParametorNode->FirstChildElement("referenceCurves");
Calendar calendar = SouthKorea();
Date refereceDate = Settings::instance().evaluationDate();
// must be a business day
refereceDate = calendar.adjust(refereceDate);
// dummy curve
boost::shared_ptr<Quote> flatRate(new SimpleQuote(0.01));
//Handle<YieldTermStructure> tsCurve(
// boost::shared_ptr<FlatForward>(
// new FlatForward(todaysDate, Handle<Quote>(flatRate),
// Actual365Fixed())));
TiXmlNode* pricingParametorNode = document.FirstChild("pricingParameter");
TiXmlElement* referenceCurveNode = pricingParametorNode->FirstChildElement("referenceCurves");
std::vector<boost::shared_ptr<HazardRateStructure>> hazardRateCurves;
TiXmlElement* tsNode = referenceCurveNode->FirstChildElement("termstructure");
if(tsNode)
{
for(tsNode; tsNode; tsNode = tsNode->NextSiblingElement("termstructure"))
{
hazardRateCurves.push_back(this->hazardRateTS(tsNode));
}
}
TiXmlNode* yieldNode = document.FirstChild("yieldNode");
qlYieldTermStructureFactory yieldTsFactory = qlYieldTermStructureFactory();
this->tsCurve_ = yieldTsFactory.yieldTSHandle(yieldNode);
// outputTenor Build
std::vector<Period> outputTenors;
Size outputNum = outputTenors.size();
qlTimeUnitFactory tuFactory = qlTimeUnitFactory();
TiXmlElement* outputTenorNode = pricingParametorNode->FirstChildElement("outputCurveTemplate");
TiXmlElement* tenorNode = outputTenorNode->FirstChildElement("tenorList");
if(tenorNode)
{
for(tenorNode; tenorNode; tenorNode = tenorNode->NextSiblingElement("tenor"))
{
outputTenors.push_back(tuFactory.timeUnit(tenorNode));
}
}
//compositeCalculation
boost::shared_ptr<DefaultProbabilityTermStructure> copulaHazardTS =
boost::shared_ptr<DefaultProbabilityTermStructure>(new CopulaHazardRate<ProbabilityOfAtLeastNEvents,Linear>(
dates,hazardRateCurves,0.9,1,50));
//result
for (Size i=0 ; i<outputNum ; ++i)
{
dates_.push_back(calendar.advance(refereceDate,outputTenors[i]));
dateTimes_.push_back(daycounter.yearFraction(refereceDate,dates_[i]));
data_.push_back(copulaHazardTS->defaultProbability(dateTimes_[i]));
}
// makeXml
this->buildResultXml();
//this->buildResultXml(inst_->additionalResults());
} catch (std::exception& e) {
std::cerr << e.what() << std::endl;
} catch (...) {
std::cerr << "unknown error" << std::endl;
}
}
PiecewiseYieldCurve<Discount, LogLinear>* create_yield_curve() {
Calendar calendar = UnitedStates();
Date settlementDate(4, January, 2012);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
Integer fixingDays = 2;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);
Settings::instance().evaluationDate() = todaysDate;
std::cout << "Today: " << todaysDate.weekday()
<< ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;
// Data source: Bloomberg as of 12/30/2011
// deposits
Rate d1wQuote=0.00208200;
Rate d2wQuote=0.00243500;
Rate d1mQuote=0.00295300;
Rate d2mQuote=0.00427100;
Rate d3mQuote=0.00581000;
// futures
Real fut1Quote=99.2950;
Real fut2Quote=99.2650;
Real fut3Quote=99.2450;
Real fut4Quote=99.2500;
Real fut5Quote=99.2350;
Real fut6Quote=99.2100;
Real fut7Quote=99.1550;
Real fut8Quote=99.1550;
// swaps
Rate s2yQuote=0.00726000;
Rate s3yQuote=0.00820400;
Rate s4yQuote=0.01006500;
Rate s5yQuote=0.01224500;
Rate s6yQuote=0.01449100;
Rate s7yQuote=0.01643100;
Rate s8yQuote=0.01802800;
Rate s9yQuote=0.01932400;
Rate s10yQuote=0.02027000;
Rate s12yQuote=0.02227100;
Rate s15yQuote=0.02401600;
/*
// Data source: Bloomberg as of 01/31/2012
// deposits
Rate d1wQuote=0.00196500;
Rate d2wQuote=0.00225500;
Rate d1mQuote=0.00264750;
Rate d2mQuote=0.00394450;
Rate d2mQuote=0.00000000;
// futures
Real fut1Quote=99.5450;
Real fut2Quote=99.5400;
Real fut3Quote=99.5200;
Real fut4Quote=99.5000;
Real fut5Quote=99.4950;
Real fut6Quote=99.4750;
Real fut7Quote=99.4450;
Real fut8Quote=99.4000;
// swaps
Rate s2yQuote=0.00512500000;
Rate s3yQuote=0.00590500000;
Rate s4yQuote=0.00764500000;
Rate s5yQuote=0.00988000000;
Rate s6yQuote=0.01228000000;
Rate s7yQuote=0.01449000000;
Rate s8yQuote=0.01630500000;
Rate s9yQuote=0.01782600000;
Rate s10yQuote=0.01915000000;
Rate s12yQuote=0.02126000000;
Rate s15yQuote=0.02340300000;
*/
/********************
*** QUOTES ***
********************/
// deposits
boost::shared_ptr<Quote> d1wRate(new SimpleQuote(d1wQuote));
boost::shared_ptr<Quote> d2wRate(new SimpleQuote(d2wQuote));
boost::shared_ptr<Quote> d1mRate(new SimpleQuote(d1mQuote));
boost::shared_ptr<Quote> d2mRate(new SimpleQuote(d2mQuote));
boost::shared_ptr<Quote> d3mRate(new SimpleQuote(d3mQuote));
// 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> s4yRate(new SimpleQuote(s4yQuote));
boost::shared_ptr<Quote> s5yRate(new SimpleQuote(s5yQuote));
boost::shared_ptr<Quote> s6yRate(new SimpleQuote(s6yQuote));
boost::shared_ptr<Quote> s7yRate(new SimpleQuote(s7yQuote));
boost::shared_ptr<Quote> s8yRate(new SimpleQuote(s8yQuote));
boost::shared_ptr<Quote> s9yRate(new SimpleQuote(s9yQuote));
boost::shared_ptr<Quote> s10yRate(new SimpleQuote(s10yQuote));
boost::shared_ptr<Quote> s12yRate(new SimpleQuote(s12yQuote));
boost::shared_ptr<Quote> s15yRate(new SimpleQuote(s15yQuote));
/*********************
*** RATE HELPERS ***
*********************/
// 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> d2w(new DepositRateHelper(
Handle<Quote>(d2wRate),
2*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> d2m(new DepositRateHelper(
Handle<Quote>(d2mRate),
2*Months, fixingDays,
calendar, ModifiedFollowing,
true, depositDayCounter));
boost::shared_ptr<RateHelper> d3m(new DepositRateHelper(
Handle<Quote>(d3mRate),
3*Months, fixingDays,
calendar, ModifiedFollowing,
true, depositDayCounter));
// setup futures
// Rate convexityAdjustment = 0.0;
Integer futMonths = 3;
Date imm = IMM::nextDate(settlementDate);
std::cout << "imm1 = " << imm << std::endl;
boost::shared_ptr<RateHelper> fut1(new FuturesRateHelper(
Handle<Quote>(fut1Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
std::cout << "imm2 = " << imm << std::endl;
boost::shared_ptr<RateHelper> fut2(new FuturesRateHelper(
Handle<Quote>(fut2Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
std::cout << "imm3 = " << imm << std::endl;
boost::shared_ptr<RateHelper> fut3(new FuturesRateHelper(
Handle<Quote>(fut3Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
std::cout << "imm4 = " << imm << std::endl;
boost::shared_ptr<RateHelper> fut4(new FuturesRateHelper(
Handle<Quote>(fut4Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
std::cout << "imm5 = " << imm << std::endl;
boost::shared_ptr<RateHelper> fut5(new FuturesRateHelper(
Handle<Quote>(fut5Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
std::cout << "imm6 = " << imm << std::endl;
boost::shared_ptr<RateHelper> fut6(new FuturesRateHelper(
Handle<Quote>(fut6Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
std::cout << "imm7 = " << imm << std::endl;
boost::shared_ptr<RateHelper> fut7(new FuturesRateHelper(
Handle<Quote>(fut7Price),
imm,
futMonths, calendar, ModifiedFollowing,
true, depositDayCounter));
imm = IMM::nextDate(imm+1);
std::cout << "imm8 = " << imm << std::endl;
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::USA);
RelinkableHandle<YieldTermStructure> liborTermStructure;
boost::shared_ptr<IborIndex> swFloatingLegIndex(new USDLibor(Period(3, Months), liborTermStructure));
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> s4y(new SwapRateHelper(
Handle<Quote>(s4yRate), 4*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> s6y(new SwapRateHelper(
Handle<Quote>(s6yRate), 6*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s7y(new SwapRateHelper(
Handle<Quote>(s7yRate), 7*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s8y(new SwapRateHelper(
Handle<Quote>(s8yRate), 8*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s9y(new SwapRateHelper(
Handle<Quote>(s9yRate), 9*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> s12y(new SwapRateHelper(
Handle<Quote>(s12yRate), 12*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 **
*********************/
DayCounter termStructureDayCounter =
ActualActual(ActualActual::ISDA);
double tolerance = 1.0e-15;
// A depo-futures-swap curve
std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments;
depoFutSwapInstruments.push_back(d1w);
depoFutSwapInstruments.push_back(d2w);
depoFutSwapInstruments.push_back(d1m);
depoFutSwapInstruments.push_back(d2m);
depoFutSwapInstruments.push_back(d3m);
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(s4y);
depoFutSwapInstruments.push_back(s5y);
depoFutSwapInstruments.push_back(s6y);
depoFutSwapInstruments.push_back(s7y);
depoFutSwapInstruments.push_back(s8y);
depoFutSwapInstruments.push_back(s9y);
depoFutSwapInstruments.push_back(s10y);
depoFutSwapInstruments.push_back(s12y);
depoFutSwapInstruments.push_back(s15y);
/*boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(
new PiecewiseYieldCurve<Discount, LogLinear>(
settlementDate, depoFutSwapInstruments,
termStructureDayCounter,
tolerance));*/
PiecewiseYieldCurve<Discount, LogLinear>* depoFutSwapTermStructure
= new PiecewiseYieldCurve<Discount, LogLinear>(
settlementDate, depoFutSwapInstruments,
termStructureDayCounter,
tolerance);
Date date1 = Date(29, May, 2012);
Real df1 = depoFutSwapTermStructure->discount(date1);
Date date2 = Date(16, Aug, 2013);
Real df2 = depoFutSwapTermStructure->discount(date2);
Size widths[] = { 35, 14, 14 };
std::cout << std::setw(widths[0]) << std::left << "Date"
<< std::setw(widths[1]) << std::left << "Disc. Factor"
<< std::endl;
std::cout << std::setw(widths[0]) << std::left << date1
<< std::setw(widths[1]) << std::left << df1
<< std::endl;
std::cout << std::setw(widths[0]) << std::left << date2
<< std::setw(widths[1]) << std::left << df2
<< std::endl;
return depoFutSwapTermStructure;
}
void MainWindow::showSwapNPV()
{
//ui->lineEdit_SwapNPV->setText(tr("1000000000"));
//ui->lineEdit_SwapFairRate->setText(QString::number(3.141659));
//ui->lineEdit_SwapFairSpread->setText(QString::number(2.68796451));
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = TARGET();
/////■ Date settlementDate(22, September, 2004);
QDate qtFormSettlementDate = ui->dateEdit_settlementDate->date();
QuantLib::Date settlementDate(22, September, 2004);
if(!qtFormSettlementDate.isNull() && qtFormSettlementDate.isValid()) {
QuantLib::Date settlementDate_(qtFormSettlementDate.day(), (QuantLib::Month)(qtFormSettlementDate.month()), qtFormSettlementDate.year());
settlementDate = settlementDate_;
}
// 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;
d1wQuote = static_cast<Rate>(ui->tableWidget_RatesDeposites->item(-1,1)->text().toDouble()*0.01);
Rate d1mQuote=0.0372;
d1mQuote = static_cast<Rate>(ui->tableWidget_RatesDeposites->item(0,1)->text().toDouble()*0.01);
Rate d3mQuote=0.0363;
d3mQuote = static_cast<Rate>(ui->tableWidget_RatesDeposites->item(1,1)->text().toDouble()*0.01);
Rate d6mQuote=0.0353;
d6mQuote = static_cast<Rate>(ui->tableWidget_RatesDeposites->item(2,1)->text().toDouble()*0.01);
Rate d9mQuote=0.0348;
d9mQuote = static_cast<Rate>(ui->tableWidget_RatesDeposites->item(3,1)->text().toDouble()*0.01);
Rate d1yQuote=0.0345;
d1yQuote = static_cast<Rate>(ui->tableWidget_RatesDeposites->item(4,1)->text().toDouble()*0.01);
// FRAs
Rate fra3x6Quote=0.037125;
fra3x6Quote = static_cast<Rate>(ui->tableWidget_RatesFRAs->item(-1,1)->text().toDouble()*0.01);
Rate fra6x9Quote=0.037125;
fra6x9Quote = static_cast<Rate>(ui->tableWidget_RatesFRAs->item(0,1)->text().toDouble()*0.01);
Rate fra6x12Quote=0.037125;
fra6x12Quote = static_cast<Rate>(ui->tableWidget_RatesFRAs->item(1,1)->text().toDouble()*0.01);
// futures
Real fut1Quote=96.2875;
fut1Quote = static_cast<Real>(ui->tableWidget_RatesFutures->item(-1,1)->text().toDouble());
Real fut2Quote=96.7875;
fut2Quote = static_cast<Real>(ui->tableWidget_RatesFutures->item(0,1)->text().toDouble());
Real fut3Quote=96.9875;
fut3Quote = static_cast<Real>(ui->tableWidget_RatesFutures->item(1,1)->text().toDouble());
Real fut4Quote=96.6875;
fut4Quote = static_cast<Real>(ui->tableWidget_RatesFutures->item(2,1)->text().toDouble());
Real fut5Quote=96.4875;
fut5Quote = static_cast<Real>(ui->tableWidget_RatesFutures->item(3,1)->text().toDouble());
Real fut6Quote=96.3875;
fut6Quote = static_cast<Real>(ui->tableWidget_RatesFutures->item(4,1)->text().toDouble());
Real fut7Quote=96.2875;
fut7Quote = static_cast<Real>(ui->tableWidget_RatesFutures->item(5,1)->text().toDouble());
Real fut8Quote=96.0875;
fut8Quote = static_cast<Real>(ui->tableWidget_RatesFutures->item(6,1)->text().toDouble());
// swaps
Rate s2yQuote=0.037125;
s2yQuote = static_cast<Rate>(ui->tableWidget_RatesSwaps->item(-1,1)->text().toDouble()*0.01);
Rate s3yQuote=0.0398;
s3yQuote = static_cast<Rate>(ui->tableWidget_RatesSwaps->item(0,1)->text().toDouble()*0.01);
Rate s5yQuote=0.0443;
s5yQuote = static_cast<Rate>(ui->tableWidget_RatesSwaps->item(1,1)->text().toDouble()*0.01);
Rate s10yQuote=0.05165;
s10yQuote = static_cast<Rate>(ui->tableWidget_RatesSwaps->item(2,1)->text().toDouble()*0.01);
Rate s15yQuote=0.055175;
s15yQuote = static_cast<Rate>(ui->tableWidget_RatesSwaps->item(3,1)->text().toDouble()*0.01);
/********************
*** 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;
Real nominal = static_cast<Real>(ui->doubleSpinBox_Notional->value());
// fixed leg
/////■ Frequency fixedLegFrequency = Annual;
Frequency fixedLegFrequency = Annual;
/////■ BusinessDayConvention fixedLegConvention = Unadjusted;
BusinessDayConvention fixedLegConvention = Unadjusted;
/////■ DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
/////■ Rate fixedRate = 0.04;
Rate fixedRate = static_cast<Real>((ui->doubleSpinBox_fixedRate->value())*0.01);
// floating leg
/////■ Frequency floatingLegFrequency = Semiannual;
Frequency floatingLegFrequency = Semiannual;
int comboBoxFloatingLegFrequency = ui->comboBox_FloatingLegFrequency->currentIndex();
switch(comboBoxFloatingLegFrequency) {
case 0: // Semiannual
floatingLegFrequency = Semiannual;
break;
case 1: // Annual
floatingLegFrequency = Annual;
break;
case 2: // Quarterly
floatingLegFrequency = Quarterly;
break;
}
/////■ BusinessDayConvention floatingLegConvention = ModifiedFollowing;
BusinessDayConvention floatingLegConvention = ModifiedFollowing;
/////■ DayCounter floatingLegDayCounter = Actual360();
DayCounter floatingLegDayCounter = Actual360();
boost::shared_ptr<IborIndex> euriborIndex(
new Euribor6M(forecastingTermStructure));
/////■ Spread spread = 0.0;
Spread spread = static_cast<Spread>((ui->doubleSpinBox_spread->value())*0.01);
/////■ Integer lenghtInYears = 5;
Integer lenghtInYears = (Integer)(ui->doubleSpinBox_lenghtInYears->value());
/////■ VanillaSwap::Type swapType = VanillaSwap::Payer;
int comboBoxPayerReceiver = ui->comboBox_swapType->currentIndex();
VanillaSwap::Type swapType = VanillaSwap::Receiver;
switch(comboBoxPayerReceiver) {
case 0: // Fix Payer
swapType = VanillaSwap::Payer;
break; // VanillaSwap::Payer=1
case 1: // Fix Receiver
swapType = VanillaSwap::Receiver;
break; // VanillaSwap::Receiver=-1
}
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 *
****************/
Real NPV;
Rate fairRate;
Spread fairSpread;
boost::shared_ptr<PricingEngine> swapEngine(
new DiscountingSwapEngine(discountingTermStructure));
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
int swapTermStructureType(0);
swapTermStructureType = ui->comboBox_TermStructureType->currentIndex();
//QMessageBox msgBoxTmp(this); msgBoxTmp.setText(QString::number(swapTermStructureType)); msgBoxTmp.exec();
switch(swapTermStructureType) {
case 0:
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
break;
case 1:
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
break;
case 2:
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
break;
}
NPV = spot5YearSwap.NPV();
fairRate = spot5YearSwap.fairRate();
fairSpread = spot5YearSwap.fairSpread();
ui->lineEdit_SwapNPV->setText(QString::number(static_cast<double>(NPV),'f'));
ui->lineEdit_SwapFairRate->setText(QString::number(static_cast<double>(fairRate*100.0),'f'));
ui->lineEdit_SwapFairSpread->setText(QString::number(static_cast<double>(fairSpread*100.0),'f'));
}
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;
}
}
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 InflationTest::testZeroTermStructure() {
BOOST_MESSAGE("Testing zero inflation term structure...");
SavedSettings backup;
// try the Zero UK
Calendar calendar = UnitedKingdom();
BusinessDayConvention bdc = ModifiedFollowing;
Date evaluationDate(13, August, 2007);
evaluationDate = calendar.adjust(evaluationDate);
Settings::instance().evaluationDate() = evaluationDate;
// fixing data
Date from(1, January, 2005);
Date to(13, August, 2007);
Schedule rpiSchedule = MakeSchedule().from(from).to(to)
.withTenor(1*Months)
.withCalendar(UnitedKingdom())
.withConvention(ModifiedFollowing);
Real fixData[] = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, 206.1, -999.0 };
RelinkableHandle<ZeroInflationTermStructure> hz;
bool interp = false;
boost::shared_ptr<UKRPI> iiUKRPI(new UKRPI(interp, hz));
for (Size i=0; i<rpiSchedule.size();i++) {
iiUKRPI->addFixing(rpiSchedule[i], fixData[i]);
}
boost::shared_ptr<ZeroInflationIndex> ii = boost::dynamic_pointer_cast<ZeroInflationIndex>(iiUKRPI);
boost::shared_ptr<YieldTermStructure> nominalTS = nominalTermStructure();
// now build the zero inflation curve
Datum zcData[] = {
{ Date(13, August, 2008), 2.93 },
{ Date(13, August, 2009), 2.95 },
{ Date(13, August, 2010), 2.965 },
{ Date(15, August, 2011), 2.98 },
{ Date(13, August, 2012), 3.0 },
{ Date(13, August, 2014), 3.06 },
{ Date(13, August, 2017), 3.175 },
{ Date(13, August, 2019), 3.243 },
{ Date(15, August, 2022), 3.293 },
{ Date(14, August, 2027), 3.338 },
{ Date(13, August, 2032), 3.348 },
{ Date(15, August, 2037), 3.348 },
{ Date(13, August, 2047), 3.308 },
{ Date(13, August, 2057), 3.228 }
};
Period observationLag = Period(2,Months);
DayCounter dc = Thirty360();
Frequency frequency = Monthly;
std::vector<boost::shared_ptr<BootstrapHelper<ZeroInflationTermStructure> > > helpers =
makeHelpers<ZeroInflationTermStructure,ZeroCouponInflationSwapHelper,
ZeroInflationIndex>(zcData, LENGTH(zcData), ii,
observationLag,
calendar, bdc, dc);
Rate baseZeroRate = zcData[0].rate/100.0;
boost::shared_ptr<PiecewiseZeroInflationCurve<Linear> > pZITS(
new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dc, observationLag,
frequency, ii->interpolated(), baseZeroRate,
Handle<YieldTermStructure>(nominalTS), helpers));
pZITS->recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
const Real eps = 0.00000001;
bool forceLinearInterpolation = false;
for (Size i=0; i<LENGTH(zcData); i++) {
BOOST_REQUIRE_MESSAGE(std::fabs(zcData[i].rate/100.0
- pZITS->zeroRate(zcData[i].date, observationLag, forceLinearInterpolation)) < eps,
"ZITS zeroRate != instrument "
<< pZITS->zeroRate(zcData[i].date, observationLag, forceLinearInterpolation)
<< " vs " << zcData[i].rate/100.0
<< " interpolation: " << ii->interpolated()
<< " forceLinearInterpolation " << forceLinearInterpolation);
BOOST_REQUIRE_MESSAGE(std::fabs(helpers[i]->impliedQuote()
- zcData[i].rate/100.0) < eps,
"ZITS implied quote != instrument "
<< helpers[i]->impliedQuote()
<< " vs " << zcData[i].rate/100.0);
}
// now test the forecasting capability of the index.
hz.linkTo(pZITS);
from = hz->baseDate();
to = hz->maxDate()-1*Months; // a bit of margin for adjustments
Schedule testIndex = MakeSchedule().from(from).to(to)
.withTenor(1*Months)
.withCalendar(UnitedKingdom())
.withConvention(ModifiedFollowing);
// we are testing UKRPI which is not interpolated
Date bd = hz->baseDate();
Real bf = ii->fixing(bd);
for (Size i=0; i<testIndex.size();i++) {
Date d = testIndex[i];
Real z = hz->zeroRate(d, Period(0,Days));
Real t = hz->dayCounter().yearFraction(bd, d);
if(!ii->interpolated()) // because fixing constant over period
t = hz->dayCounter().yearFraction(bd,
inflationPeriod(d, ii->frequency()).first);
Real calc = bf * pow( 1+z, t);
if (t<=0)
calc = ii->fixing(d,false); // still historical
if (std::fabs(calc - ii->fixing(d,true))/10000.0 > eps)
BOOST_ERROR("ZC index does not forecast correctly for date " << d
<< " from base date " << bd
<< " with fixing " << bf
<< ", correct: " << calc
<< ", fix: " << ii->fixing(d,true)
<< ", t " << t);
}
//===========================================================================================
// Test zero-inflation-indexed (i.e. cpi ratio) cashflow
// just ordinary indexed cashflow with a zero inflation index
Date baseDate(1, January, 2006);
Date fixDate(1, August, 2014);
Date payDate=UnitedKingdom().adjust(fixDate+Period(3,Months),ModifiedFollowing);
boost::shared_ptr<Index> ind = boost::dynamic_pointer_cast<Index>(ii);
BOOST_REQUIRE_MESSAGE(ind,"dynamic_pointer_cast to Index from InflationIndex failed");
Real notional = 1000000.0;//1m
IndexedCashFlow iicf(notional,ind,baseDate,fixDate,payDate);
Real correctIndexed = ii->fixing(iicf.fixingDate())/ii->fixing(iicf.baseDate());
Real calculatedIndexed = iicf.amount()/iicf.notional();
BOOST_REQUIRE_MESSAGE(std::fabs(correctIndexed - calculatedIndexed) < eps,
"IndexedCashFlow indexing wrong: " << calculatedIndexed << " vs correct = "
<< correctIndexed);
//===========================================================================================
// Test zero coupon swap
// first make one ...
boost::shared_ptr<ZeroInflationIndex> zii = boost::dynamic_pointer_cast<ZeroInflationIndex>(ii);
BOOST_REQUIRE_MESSAGE(zii,"dynamic_pointer_cast to ZeroInflationIndex from UKRPI failed");
ZeroCouponInflationSwap nzcis(ZeroCouponInflationSwap::Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate/100.0, // fixed rate
zii, observationLag);
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
Handle<YieldTermStructure> hTS(nominalTS);
boost::shared_ptr<PricingEngine> sppe(new DiscountingSwapEngine(hTS));
nzcis.setPricingEngine(sppe);
// ... and price it, should be zero
BOOST_CHECK_MESSAGE(fabs(nzcis.NPV())<0.00001,"ZCIS does not reprice to zero "
<< nzcis.NPV()
<< evaluationDate << " to " << zcData[6].date << " becoming " << nzcis.maturityDate()
<< " rate " << zcData[6].rate
<< " fixed leg " << nzcis.legNPV(0)
<< " indexed-predicted inflated leg " << nzcis.legNPV(1)
<< " discount " << nominalTS->discount(nzcis.maturityDate())
);
//===========================================================================================
// Test multiplicative seasonality in price
//
//Seasonality factors NOT normalized
//and UKRPI is not interpolated
Date trueBaseDate = inflationPeriod(hz->baseDate(), ii->frequency()).second;
Date seasonallityBaseDate(31,January,trueBaseDate.year());
std::vector<Rate> seasonalityFactors(12);
seasonalityFactors[0] = 1.003245;
seasonalityFactors[1] = 1.000000;
seasonalityFactors[2] = 0.999715;
seasonalityFactors[3] = 1.000495;
seasonalityFactors[4] = 1.000929;
seasonalityFactors[5] = 0.998687;
seasonalityFactors[6] = 0.995949;
seasonalityFactors[7] = 0.994682;
seasonalityFactors[8] = 0.995949;
seasonalityFactors[9] = 1.000519;
seasonalityFactors[10] = 1.003705;
seasonalityFactors[11] = 1.004186;
//Creating two different seasonality objects
//
boost::shared_ptr<MultiplicativePriceSeasonality> seasonality_1(new MultiplicativePriceSeasonality());
std::vector<Rate> seasonalityFactors_1(12, 1.0);
seasonality_1->set(seasonallityBaseDate,Monthly,seasonalityFactors_1);
boost::shared_ptr<MultiplicativePriceSeasonality> seasonality_real(
new MultiplicativePriceSeasonality(seasonallityBaseDate,Monthly,seasonalityFactors));
//Testing seasonality correction when seasonality factors are = 1
//
Rate fixing[] = {
ii->fixing(Date(14,January ,2013),true),
ii->fixing(Date(14,February ,2013),true),
ii->fixing(Date(14,March ,2013),true),
ii->fixing(Date(14,April ,2013),true),
ii->fixing(Date(14,May ,2013),true),
ii->fixing(Date(14,June ,2013),true),
ii->fixing(Date(14,July ,2013),true),
ii->fixing(Date(14,August ,2013),true),
ii->fixing(Date(14,September,2013),true),
ii->fixing(Date(14,October ,2013),true),
ii->fixing(Date(14,November ,2013),true),
ii->fixing(Date(14,December ,2013),true)
};
hz->setSeasonality(seasonality_1);
QL_REQUIRE(hz->hasSeasonality(),"[44] incorrectly believes NO seasonality correction");
Rate seasonalityFixing_1[] = {
ii->fixing(Date(14,January ,2013),true),
ii->fixing(Date(14,February ,2013),true),
ii->fixing(Date(14,March ,2013),true),
ii->fixing(Date(14,April ,2013),true),
ii->fixing(Date(14,May ,2013),true),
ii->fixing(Date(14,June ,2013),true),
ii->fixing(Date(14,July ,2013),true),
ii->fixing(Date(14,August ,2013),true),
ii->fixing(Date(14,September,2013),true),
ii->fixing(Date(14,October ,2013),true),
ii->fixing(Date(14,November ,2013),true),
ii->fixing(Date(14,December ,2013),true)
};
for(int i=0;i<12;i++){
if(std::fabs(fixing[i] - seasonalityFixing_1[i]) > eps) {
BOOST_ERROR("Seasonality doesn't work correctly when seasonality factors are set = 1");
}
}
//Testing seasonality correction when seasonality factors are different from 1
//
//0.998687 is the seasonality factor corresponding to June (the base CPI curve month)
//
Rate expectedFixing[] = {
ii->fixing(Date(14,January ,2013),true) * 1.003245/0.998687,
ii->fixing(Date(14,February ,2013),true) * 1.000000/0.998687,
ii->fixing(Date(14,March ,2013),true) * 0.999715/0.998687,
ii->fixing(Date(14,April ,2013),true) * 1.000495/0.998687,
ii->fixing(Date(14,May ,2013),true) * 1.000929/0.998687,
ii->fixing(Date(14,June ,2013),true) * 0.998687/0.998687,
ii->fixing(Date(14,July ,2013),true) * 0.995949/0.998687,
ii->fixing(Date(14,August ,2013),true) * 0.994682/0.998687,
ii->fixing(Date(14,September,2013),true) * 0.995949/0.998687,
ii->fixing(Date(14,October ,2013),true) * 1.000519/0.998687,
ii->fixing(Date(14,November ,2013),true) * 1.003705/0.998687,
ii->fixing(Date(14,December ,2013),true) * 1.004186/0.998687
};
hz->setSeasonality(seasonality_real);
Rate seasonalityFixing_real[] = {
ii->fixing(Date(14,January ,2013),true),
ii->fixing(Date(14,February ,2013),true),
ii->fixing(Date(14,March ,2013),true),
ii->fixing(Date(14,April ,2013),true),
ii->fixing(Date(14,May ,2013),true),
ii->fixing(Date(14,June ,2013),true),
ii->fixing(Date(14,July ,2013),true),
ii->fixing(Date(14,August ,2013),true),
ii->fixing(Date(14,September,2013),true),
ii->fixing(Date(14,October ,2013),true),
ii->fixing(Date(14,November ,2013),true),
ii->fixing(Date(14,December ,2013),true)
};
for(int i=0;i<12;i++){
if(std::fabs(expectedFixing[i] - seasonalityFixing_real[i]) > 0.01) {
BOOST_ERROR("Seasonality doesn't work correctly when considering seasonality factors != 1 "
<< expectedFixing[i] << " vs " << seasonalityFixing_real[i]);
}
}
//Testing Unset function
//
QL_REQUIRE(hz->hasSeasonality(),"[4] incorrectly believes NO seasonality correction");
hz->setSeasonality();
QL_REQUIRE(!hz->hasSeasonality(),"[5] incorrectly believes HAS seasonality correction");
Rate seasonalityFixing_unset[] = {
ii->fixing(Date(14,January ,2013),true),
ii->fixing(Date(14,February ,2013),true),
ii->fixing(Date(14,March ,2013),true),
ii->fixing(Date(14,April ,2013),true),
ii->fixing(Date(14,May ,2013),true),
ii->fixing(Date(14,June ,2013),true),
ii->fixing(Date(14,July ,2013),true),
ii->fixing(Date(14,August ,2013),true),
ii->fixing(Date(14,September,2013),true),
ii->fixing(Date(14,October ,2013),true),
ii->fixing(Date(14,November ,2013),true),
ii->fixing(Date(14,December ,2013),true)
};
for(int i=0;i<12;i++){
if(std::fabs(seasonalityFixing_unset[i] - seasonalityFixing_1[i]) > eps) {
BOOST_ERROR("UnsetSeasonality doesn't work correctly "
<< seasonalityFixing_unset[i] << " vs " << seasonalityFixing_1[i]);
}
}
//==============================================================================
// now do an INTERPOLATED index, i.e. repeat everything on a fake version of
// UKRPI (to save making another term structure)
bool interpYES = true;
boost::shared_ptr<UKRPI> iiUKRPIyes(new UKRPI(interpYES, hz));
for (Size i=0; i<rpiSchedule.size();i++) {
iiUKRPIyes->addFixing(rpiSchedule[i], fixData[i]);
}
boost::shared_ptr<ZeroInflationIndex> iiyes
= boost::dynamic_pointer_cast<ZeroInflationIndex>(iiUKRPIyes);
// now build the zero inflation curve
// same data, bigger lag or it will be a self-contradiction
Period observationLagyes = Period(3,Months);
std::vector<boost::shared_ptr<BootstrapHelper<ZeroInflationTermStructure> > > helpersyes =
makeHelpers<ZeroInflationTermStructure,ZeroCouponInflationSwapHelper,
ZeroInflationIndex>(zcData, LENGTH(zcData), iiyes,
observationLagyes,
calendar, bdc, dc);
boost::shared_ptr<PiecewiseZeroInflationCurve<Linear> > pZITSyes(
new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dc, observationLagyes,
frequency, iiyes->interpolated(), baseZeroRate,
Handle<YieldTermStructure>(nominalTS), helpersyes));
pZITSyes->recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
forceLinearInterpolation = false; // still
for (Size i=0; i<LENGTH(zcData); i++) {
BOOST_CHECK_MESSAGE(std::fabs(zcData[i].rate/100.0
- pZITSyes->zeroRate(zcData[i].date, observationLagyes, forceLinearInterpolation)) < eps,
"ZITS INTERPOLATED zeroRate != instrument "
<< pZITSyes->zeroRate(zcData[i].date, observationLagyes, forceLinearInterpolation)
<< " date " << zcData[i].date << " observationLagyes " << observationLagyes
<< " vs " << zcData[i].rate/100.0
<< " interpolation: " << iiyes->interpolated()
<< " forceLinearInterpolation " << forceLinearInterpolation);
BOOST_CHECK_MESSAGE(std::fabs(helpersyes[i]->impliedQuote()
- zcData[i].rate/100.0) < eps,
"ZITS INTERPOLATED implied quote != instrument "
<< helpersyes[i]->impliedQuote()
<< " vs " << zcData[i].rate/100.0);
}
//======================================================================================
// now test the forecasting capability of the index.
hz.linkTo(pZITSyes);
from = hz->baseDate()+1*Months; // to avoid historical linear bit for rest of base month
to = hz->maxDate()-1*Months; // a bit of margin for adjustments
testIndex = MakeSchedule().from(from).to(to)
.withTenor(1*Months)
.withCalendar(UnitedKingdom())
.withConvention(ModifiedFollowing);
// we are testing UKRPI which is FAKE interpolated for testing here
bd = hz->baseDate();
bf = iiyes->fixing(bd);
for (Size i=0; i<testIndex.size();i++) {
Date d = testIndex[i];
Real z = hz->zeroRate(d, Period(0,Days));
Real t = hz->dayCounter().yearFraction(bd, d);
Real calc = bf * pow( 1+z, t);
if (t<=0) calc = iiyes->fixing(d); // still historical
if (std::fabs(calc - iiyes->fixing(d)) > eps)
BOOST_ERROR("ZC INTERPOLATED index does not forecast correctly for date " << d
<< " from base date " << bd
<< " with fixing " << bf
<< ", correct: " << calc
<< ", fix: " << iiyes->fixing(d)
<< ", t " << t
<< ", zero " << z);
}
//===========================================================================================
// Test zero coupon swap
boost::shared_ptr<ZeroInflationIndex> ziiyes = boost::dynamic_pointer_cast<ZeroInflationIndex>(iiyes);
BOOST_REQUIRE_MESSAGE(ziiyes,"dynamic_pointer_cast to ZeroInflationIndex from UKRPI-I failed");
ZeroCouponInflationSwap nzcisyes(ZeroCouponInflationSwap::Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate/100.0, // fixed rate
ziiyes, observationLagyes);
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
nzcisyes.setPricingEngine(sppe);
// ... and price it, should be zero
BOOST_CHECK_MESSAGE(fabs(nzcisyes.NPV())<0.00001,"ZCIS-I does not reprice to zero "
<< nzcisyes.NPV()
<< evaluationDate << " to " << zcData[6].date << " becoming " << nzcisyes.maturityDate()
<< " rate " << zcData[6].rate
<< " fixed leg " << nzcisyes.legNPV(0)
<< " indexed-predicted inflated leg " << nzcisyes.legNPV(1)
<< " discount " << nominalTS->discount(nzcisyes.maturityDate())
);
}
/* Generally inflation indices are available with a lag of 1month
and then observed with a lag of 2-3 months depending whether
they use an interpolated fixing or not. Here, we make the
swap use the interpolation of the index to avoid incompatibilities.
*/
ZeroCouponInflationSwap::ZeroCouponInflationSwap(
Type type,
Real nominal,
const Date& startDate, // start date of contract (only)
const Date& maturity, // this is pre-adjustment!
const Calendar& fixCalendar,
BusinessDayConvention fixConvention,
const DayCounter& dayCounter,
Rate fixedRate,
const boost::shared_ptr<ZeroInflationIndex> &infIndex,
const Period& observationLag,
bool adjustInfObsDates,
Calendar infCalendar,
BusinessDayConvention infConvention)
: Swap(2), type_(type), nominal_(nominal), fixedRate_(fixedRate),
infIndex_(infIndex), observationLag_(observationLag), dayCounter_(dayCounter) {
// first check compatibility of index and swap definitions
if (infIndex_->interpolated()) {
Period pShift(infIndex_->frequency());
QL_REQUIRE(observationLag_ - pShift > infIndex_->availabilityLag(),
"inconsistency between swap observation of index " << observationLag_ <<
" index availability " << infIndex_->availabilityLag() <<
" interpolated index period " << pShift <<
" and index availability " << infIndex_->availabilityLag() <<
" need (obsLag-index period) > availLag");
} else {
QL_REQUIRE(infIndex_->availabilityLag() < observationLag_,
"index tries to observe inflation fixings that do not yet exist: "
<< " availability lag " << infIndex_->availabilityLag()
<< " versus obs lag = " << observationLag_);
}
if (infCalendar==Calendar()) infCalendar = fixCalendar;
if (infConvention==BusinessDayConvention()) infConvention = fixConvention;
if (adjustInfObsDates) {
baseDate_ = infCalendar.adjust(startDate - observationLag_, infConvention);
obsDate_ = infCalendar.adjust(maturity - observationLag_, infConvention);
} else {
baseDate_ = startDate - observationLag_;
obsDate_ = maturity - observationLag_;
}
Date infPayDate = infCalendar.adjust(maturity, infConvention);
Date fixedPayDate = fixCalendar.adjust(maturity, fixConvention);
// At this point the index may not be able to forecast
// i.e. do not want to force the existence of an inflation
// term structure before allowing users to create instruments.
Real T = inflationYearFraction(infIndex_->frequency(), infIndex_->interpolated(),
dayCounter_, baseDate_, obsDate_);
// N.B. the -1.0 is because swaps only exchange growth, not notionals as well
Real fixedAmount = nominal * ( std::pow(1.0 + fixedRate, T) - 1.0 );
legs_[0].push_back(boost::shared_ptr<CashFlow>(
new SimpleCashFlow(fixedAmount, fixedPayDate)));
bool growthOnly = true;
legs_[1].push_back(boost::shared_ptr<CashFlow>(
new IndexedCashFlow(nominal,infIndex,baseDate_,obsDate_,infPayDate,growthOnly)));
for (Size j=0; j<2; ++j) {
for (Leg::iterator i = legs_[j].begin(); i!= legs_[j].end(); ++i)
registerWith(*i);
}
switch (type_) {
case Payer:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
case Receiver:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
default:
QL_FAIL("Unknown zero-inflation-swap type");
}
}
CPILeg::operator Leg() const {
QL_REQUIRE(!notionals_.empty(), "no notional given");
Size n = schedule_.size()-1;
Calendar calendar = schedule_.calendar();
Leg leg;
leg.reserve(n+1); // +1 for notional, we always have some sort ...
if (n>0) {
QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(),
"no fixedRates or spreads given");
Date refStart, start, refEnd, end;
for (Size i=0; i<n; ++i) {
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i+1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i==0 && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i==n-1 && !schedule_.isRegular(i+1)) {
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (detail::get(fixedRates_, i, 1.0) == 0.0) { // fixed coupon
leg.push_back(boost::shared_ptr<CashFlow>
(new FixedRateCoupon
(paymentDate, detail::get(notionals_, i, 0.0),
detail::effectiveFixedRate(spreads_,caps_,floors_,i),
paymentDayCounter_, start, end, refStart, refEnd)));
} else { // zero inflation coupon
if (detail::noOption(caps_, floors_, i)) { // just swaplet
boost::shared_ptr<CPICoupon> coup;
coup = boost::shared_ptr<CPICoupon>
(new CPICoupon(baseCPI_, // all have same base for ratio
paymentDate,
detail::get(notionals_, i, 0.0),
start, end,
detail::get(fixingDays_, i, 0.0),
index_, observationLag_,
observationInterpolation_,
paymentDayCounter_,
detail::get(fixedRates_, i, 0.0),
detail::get(spreads_, i, 0.0),
refStart, refEnd));
// in this case you can set a pricer
// straight away because it only provides computation - not data
boost::shared_ptr<CPICouponPricer> pricer
(new CPICouponPricer);
coup->setPricer(pricer);
leg.push_back(boost::dynamic_pointer_cast<CashFlow>(coup));
} else { // cap/floorlet
QL_FAIL("caps/floors on CPI coupons not implemented.");
}
}
}
}
// in CPI legs you always have a notional flow of some sort
Date paymentDate = calendar.adjust(schedule_.date(n), paymentAdjustment_);
Date fixingDate = paymentDate - observationLag_;
boost::shared_ptr<CashFlow> xnl(new CPICashFlow
(detail::get(notionals_, n, 0.0), index_,
Date(), // is fake, i.e. you do not have one
baseCPI_, fixingDate, paymentDate,
subtractInflationNominal_, observationInterpolation_,
index_->frequency())
);
leg.push_back(xnl);
return leg;
}
void CreditDefaultSwapTest::testImpliedHazardRate() {
BOOST_TEST_MESSAGE("Testing implied hazard-rate for credit-default swaps...");
SavedSettings backup;
// Initialize curves
Calendar calendar = TARGET();
Date today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
Rate h1 = 0.30, h2 = 0.40;
DayCounter dayCounter = Actual365Fixed();
std::vector<Date> dates(3);
std::vector<Real> hazardRates(3);
dates[0] = today;
hazardRates[0] = h1;
dates[1] = today + 5*Years;
hazardRates[1] = h1;
dates[2] = today + 10*Years;
hazardRates[2] = h2;
RelinkableHandle<DefaultProbabilityTermStructure> probabilityCurve;
probabilityCurve.linkTo(ext::shared_ptr<DefaultProbabilityTermStructure>(
new InterpolatedHazardRateCurve<BackwardFlat>(dates,
hazardRates,
dayCounter)));
RelinkableHandle<YieldTermStructure> discountCurve;
discountCurve.linkTo(ext::shared_ptr<YieldTermStructure>(
new FlatForward(today,0.03,Actual360())));
Frequency frequency = Semiannual;
BusinessDayConvention convention = ModifiedFollowing;
Date issueDate = calendar.advance(today, -6, Months);
Rate fixedRate = 0.0120;
DayCounter cdsDayCount = Actual360();
Real notional = 10000.0;
Real recoveryRate = 0.4;
Rate latestRate = Null<Rate>();
for (Integer n=6; n<=10; ++n) {
Date maturity = calendar.advance(issueDate, n, Years);
Schedule schedule(issueDate, maturity, Period(frequency), calendar,
convention, convention,
DateGeneration::Forward, false);
CreditDefaultSwap cds(Protection::Seller, notional, fixedRate,
schedule, convention, cdsDayCount,
true, true);
cds.setPricingEngine(ext::shared_ptr<PricingEngine>(
new MidPointCdsEngine(probabilityCurve,
recoveryRate, discountCurve)));
Real NPV = cds.NPV();
Rate flatRate = cds.impliedHazardRate(NPV, discountCurve,
dayCounter,
recoveryRate);
if (flatRate < h1 || flatRate > h2) {
BOOST_ERROR("implied hazard rate outside expected range\n"
<< " maturity: " << n << " years\n"
<< " expected minimum: " << h1 << "\n"
<< " expected maximum: " << h2 << "\n"
<< " implied rate: " << flatRate);
}
if (n > 6 && flatRate < latestRate) {
BOOST_ERROR("implied hazard rate decreasing with swap maturity\n"
<< " maturity: " << n << " years\n"
<< " previous rate: " << latestRate << "\n"
<< " implied rate: " << flatRate);
}
latestRate = flatRate;
RelinkableHandle<DefaultProbabilityTermStructure> probability;
probability.linkTo(ext::shared_ptr<DefaultProbabilityTermStructure>(
new FlatHazardRate(
today,
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(flatRate))),
dayCounter)));
CreditDefaultSwap cds2(Protection::Seller, notional, fixedRate,
schedule, convention, cdsDayCount,
true, true);
cds2.setPricingEngine(ext::shared_ptr<PricingEngine>(
new MidPointCdsEngine(probability,recoveryRate,
discountCurve)));
Real NPV2 = cds2.NPV();
Real tolerance = 1.0;
if (std::fabs(NPV-NPV2) > tolerance) {
BOOST_ERROR("failed to reproduce NPV with implied rate\n"
<< " expected: " << NPV << "\n"
<< " calculated: " << NPV2);
}
}
}
