void vanillaSwapComparaisonExemple() { double strike = 1.6; size_t indexStart = 3; size_t indexEnd = 19; Tenor tenorStruture = Tenor::_6M; Tenor floatingTenor = Tenor::_6M; Tenor fixedTenor = Tenor::_12M; LMMTenorStructure_PTR lmmTenorStructure(new LMMTenorStructure(tenorStruture, 10)); size_t liborIndex = lmmTenorStructure->get_horizon()+1; std::vector<double> myInitialLibor(liborIndex); for (size_t i = 0; i <myInitialLibor.size(); i++) { myInitialLibor[i]=0.02;//+((double)i)*0.01; } //VanillaSwap_Chi_Trang VanillaSwap myVS(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure); myVS.print("test_beginer_VanillaSwap.txt"); LmmVanillaSwapPricer myVSP(lmmTenorStructure); double prix_swap=myVSP.swapNPV_Analytical_1(myVS, myInitialLibor); cout << "FirstVersionSwapPrice: "<< prix_swap << endl; //GeneticSwap test GeneticSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap( strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0); GeneticVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GeneticVanillaSwapPricer()); double geneticPrice=geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(vanillaSwap_Genetic, myInitialLibor); cout << "GeneticSwapTest: "<<geneticPrice << endl; cout << "Difference:" << geneticPrice-prix_swap<< endl; }
void vanillaSwapComparaisonExemple() { double strike = 0.02; size_t indexStart = 3; size_t indexEnd = 19; Tenor tenorStruture = Tenor::_6M; Tenor floatingTenor = Tenor::_6M; Tenor fixedTenor = Tenor::_12M; LMMTenorStructure_PTR lmmTenorStructure(new LMMTenorStructure(tenorStruture, 10)); size_t liborIndex = lmmTenorStructure->get_horizon()+1; std::vector<double> myInitialLibor(liborIndex); for (size_t i = 0; i <myInitialLibor.size(); i++) { myInitialLibor[i]=0.02; //+((double)i)*0.01; } cout << "strike: " << strike << endl; cout << "indexStart: " << indexStart << endl; cout << "indexEnd: " << indexEnd << endl; cout << "tenorStrutureYearFraction: " << lmmTenorStructure->get_tenorType().YearFraction() << endl; cout << "floatingVStenorStrutureRatio: " << floatingTenor.ratioTo(tenorStruture) << endl; cout << "fixedVStenorStrutureRatio: " << fixedTenor.ratioTo(tenorStruture) << endl; cout << "myInitialLibor: "; for (size_t i = 0; i <myInitialLibor.size(); i++) { cout << myInitialLibor[i] << " "; } cout << endl; cout << endl; //VanillaSwap_Chi_Trang VanillaSwap myVS(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure); LmmVanillaSwapPricer myVSP(lmmTenorStructure); double prix_swap=myVSP.swapNPV_Analytical_1(myVS, myInitialLibor); //GeneticSwap test //build geneticVanillaSwap GenericSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap( strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0); GenericVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GenericVanillaSwapPricer()); double geneticPrice=geneticVanillaSwapPricer->genericVanillaSwap_Analytical(vanillaSwap_Genetic, myInitialLibor); cout << "FirstVersionSwapPrice: " << prix_swap << endl; cout << "GeneticSwapTest: " << geneticPrice << endl; cout << "Difference: " << geneticPrice-prix_swap << endl; }
void Test_McGeneticSwapLMMPricer() { //! Parameters double strike = 0.02; LMM::Index indexStart = 0; LMM::Index indexEnd = 20; Tenor floatingTenor = Tenor::_6M; Tenor fixedTenor = Tenor::_12M; Tenor tenorStruture = Tenor::_6M; size_t horizonYear = 10; LMMTenorStructure_PTR lmmTenorStructure( new LMMTenorStructure(tenorStruture, horizonYear)); cout << "strike: " << strike << endl; cout << "indexStart: " << indexStart << endl; cout << "indexEnd: " << indexEnd << endl; cout << "tenorStrutureYearFraction: " << lmmTenorStructure->get_tenorType().YearFraction() << endl; cout << "floatingVStenorStrutureRatio: " << floatingTenor.ratioTo(tenorStruture) << endl; cout << "fixedVStenorStrutureRatio: " << fixedTenor.ratioTo(tenorStruture) << endl; double fwdRate = 0.02; std::vector<double> liborsInitValue(lmmTenorStructure->get_horizon()+1, fwdRate); cout << "myInitialLibor: "; for (size_t i = 0; i <liborsInitValue.size(); i++) { cout << liborsInitValue[i] << " "; } cout << endl; cout << endl; //VanillaSwap_Chi_Trang VanillaSwap firstVersionVanillaSwap(strike, indexStart , indexEnd, floatingTenor, fixedTenor, lmmTenorStructure); LmmVanillaSwapPricer myVSP(lmmTenorStructure); double FirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(firstVersionVanillaSwap, liborsInitValue); //---------------------------Build Lmm and McLmm's structure-------------------------------------- //! Parameter of h double a = -0.06; double b = 0.17; double c = 0.54; double d = 0.17; Shifted_HGVolatilityParam::ABCDParameter abcdParam (a,b,c,d); //Parameter of hg double g_constParam = 1.0; double shift_constParam = -0.01; ConstShifted_HGVolatilityParam_PTR hgParam( new ConstShifted_HGVolatilityParam(lmmTenorStructure,abcdParam,g_constParam,shift_constParam)); //! Correlation 1 size_t nbFactor = 3; // need to test nbFactor = 3, and nbFactor = size_t correlFullRank = lmmTenorStructure->get_horizon()+1; size_t correlReducedRank = nbFactor; //!"Check Parameters(): Condition not implemented yet." std::cout << "checkParams(): "; CorrelationReductionType::CorrelationReductionType correlReductionType = CorrelationReductionType::PCA; double correlAlpha = 0.0; double correlBeta = 0.1; Correlation_PTR correlation(new XY_beta_Correlation(correlFullRank,correlReducedRank, correlReductionType,correlAlpha,correlBeta)); correlation->calculate(); // for print. correlation->print("test_McTerminalLmm_Correlation.csv"); //hgVolatilityFunction ConstShifted_HGVolatilityFunction_PTR hgVolatilityFunction (new ConstShifted_HGVolatilityFunction(lmmTenorStructure, correlation, hgParam)); hgVolatilityFunction->print("test_McTerminalLmm_Volatility.csv"); //! Dispersion Dispersion dispersion(hgVolatilityFunction); unsigned long seed = 5033; RNGenerator_PTR rnGenerator(new McGenerator(seed)); //build lmm and mcLmm model Lmm_PTR shiftedLmm (new Lmm(dispersion)); McLmm_PTR mcLmm(new McTerminalLmm(shiftedLmm, liborsInitValue, rnGenerator, MCSchemeType::EULER)); //build a McGeneticSwapLMMPricer McGeneticSwapLMMPricer_PTR mcGeneticSwapLMMPricer(new McGeneticSwapLMMPricer(mcLmm)); //build the geneticVanillaSwap GeneticSwap_CONSTPTR vanillaSwap_Genetic=InstrumentFactory::createVanillaSwap( strike,indexStart,indexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0); //use Monte Carlo Method size_t nbSimulation=10000; double MonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(vanillaSwap_Genetic, nbSimulation); //ordinaryGeneticVanillaSwapPricer GeneticVanillaSwapPricer_PTR geneticVanillaSwapPricer(new GeneticVanillaSwapPricer()); double OrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(vanillaSwap_Genetic,liborsInitValue); //subVanillaSwap LMM::Index subIndexStart = 10; LMM::Index subIndexEnd = 16; GeneticSwap_CONSTPTR subVanillaSwap_Genetic=InstrumentFactory::createVanillaSwap( strike,subIndexStart,subIndexEnd,floatingTenor,fixedTenor,lmmTenorStructure,1.0); double subMonteCarloPrice = mcGeneticSwapLMMPricer->swapNPV(subVanillaSwap_Genetic, nbSimulation); //subOrdinaryGeneticVanillaSwapPrice double subOrdinaryGeneticVanillaSwapPrice = geneticVanillaSwapPricer->geneticVanillaSwap_Analytical(subVanillaSwap_Genetic,liborsInitValue); //subFirstVersionVanillaSwapPrice VanillaSwap subFirstVersionVanillaSwap(strike, subIndexStart , subIndexEnd, floatingTenor, fixedTenor, lmmTenorStructure); double subFirstVersionSwapPrice = myVSP.swapNPV_Analytical_1(subFirstVersionVanillaSwap, liborsInitValue); cout << "MonteCarloPrice: " << MonteCarloPrice << endl; cout << "OrdinaryGeneticVanillaSwapPrice: " << OrdinaryGeneticVanillaSwapPrice << endl; cout << "FirstVersionSwapPrice: " << FirstVersionSwapPrice << endl; cout << "Difference between MonteCarloPrice and OrdinaryGeneticVanillaSwapPrice: " << MonteCarloPrice-OrdinaryGeneticVanillaSwapPrice << endl; cout << "Difference between OrdinaryGeneticVanillaSwapPrice and FirstVersionSwapPrice: " << OrdinaryGeneticVanillaSwapPrice-FirstVersionSwapPrice << endl; cout << "subMonteCarloPrice: " << subMonteCarloPrice << endl; cout << "subOrdinaryGeneticVanillaSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice << endl; cout << "subFirstVersionSwapPrice: " << subFirstVersionSwapPrice << endl; cout << "Difference between subMonteCarloPrice and subOrdinaryGeneticVanillaSwapPrice: " << subMonteCarloPrice-subOrdinaryGeneticVanillaSwapPrice << endl; cout << "Difference between subOrdinaryGeneticVanillaSwapPrice and subFirstVersionSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice-subFirstVersionSwapPrice << endl; ofstream o; o.open("TestResult_GeneticVanillaSwap_05_06.csv", ios::out | ios::app ); o << endl; o << endl; o << endl; o << "strike: " << strike << endl; o << "indexStart: " << indexStart << endl; o << "indexEnd: " << indexEnd << endl; o << "floatingTenorVSLmmStructureTenorRatio: " << floatingTenor.ratioTo(lmmTenorStructure->get_tenorType()) << endl; o << "fixedTenorVSLmmStructureTenorRatio: " << fixedTenor.ratioTo(lmmTenorStructure->get_tenorType()) << endl; o << "floatingTenorYearFraction: " << floatingTenor.YearFraction() << endl; o << "fixedTenorYearFraction: " << fixedTenor.YearFraction() << endl; o << "horizonYear: " << horizonYear << endl; o << "liborsInitValue: "; for(size_t i=0; i<liborsInitValue.size(); i++) { o << liborsInitValue[i] << " "; } o << endl; o << "nbSimulation: " << nbSimulation << endl; o << "PRICES: " << endl; o << "MonteCarloPrice: " << MonteCarloPrice << endl; o << "OrdinaryGeneticVanillaSwapPrice: " << OrdinaryGeneticVanillaSwapPrice << endl; o << "FirstVersionSwapPrice: " << FirstVersionSwapPrice << endl; o << "Difference between MonteCarloPrice and OrdinaryGeneticVanillaSwapPrice: " << MonteCarloPrice-OrdinaryGeneticVanillaSwapPrice << endl; o << "Difference between OrdinaryGeneticVanillaSwapPrice and FirstVersionSwapPrice: " << OrdinaryGeneticVanillaSwapPrice-FirstVersionSwapPrice << endl; o << "SUBPRICES: "<< endl; o << "subIndexStart: " << subIndexStart << endl; o << "subIndexEnd: " << subIndexEnd << endl; o << "subMonteCarloPrice: " << subMonteCarloPrice << endl; o << "subOrdinaryGeneticVanillaSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice << endl; o << "subFirstVersionSwapPrice: " << subFirstVersionSwapPrice << endl; o << "Difference between subMonteCarloPrice and subOrdinaryGeneticVanillaSwapPrice: " << subMonteCarloPrice-subOrdinaryGeneticVanillaSwapPrice << endl; o << "Difference between subOrdinaryGeneticVanillaSwapPrice and subFirstVersionSwapPrice: " << subOrdinaryGeneticVanillaSwapPrice-subFirstVersionSwapPrice << endl; o.close(); }