public void testParity()
{
// Testing put-call parity for capped-floored CMS coupons
CommonVars vars = new CommonVars();
List <Handle <SwaptionVolatilityStructure> > swaptionVols = new List <Handle <SwaptionVolatilityStructure> >();
swaptionVols.Add(vars.atmVol);
swaptionVols.Add(vars.SabrVolCube1);
swaptionVols.Add(vars.SabrVolCube2);
SwapIndex swapIndex = new EuriborSwapIsdaFixA(new Period(10, TimeUnit.Years),
vars.iborIndex.forwardingTermStructure());
Date startDate = vars.termStructure.link.referenceDate() + new Period(20, TimeUnit.Years);
Date paymentDate = startDate + new Period(1, TimeUnit.Years);
Date endDate = paymentDate;
double nominal = 1.0;
double?infiniteCap = null;
double?infiniteFloor = null;
double gearing = 1.0;
double spread = 0.0;
double discount = vars.termStructure.link.discount(paymentDate);
CappedFlooredCmsCoupon swaplet = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, infiniteCap, infiniteFloor,
startDate, endDate, vars.iborIndex.dayCounter());
for (double strike = .02; strike < .12; strike += 0.05)
{
CappedFlooredCmsCoupon caplet = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, strike, infiniteFloor,
startDate, endDate, vars.iborIndex.dayCounter());
CappedFlooredCmsCoupon floorlet = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, infiniteCap, strike,
startDate, endDate, vars.iborIndex.dayCounter());
for (int i = 0; i < swaptionVols.Count; ++i)
{
for (int j = 0; j < vars.yieldCurveModels.Count; ++j)
{
vars.numericalPricers[j].setSwaptionVolatility(swaptionVols[i]);
vars.analyticPricers[j].setSwaptionVolatility(swaptionVols[i]);
List <CmsCouponPricer> pricers = new List <CmsCouponPricer>(2);
pricers.Add(vars.numericalPricers[j]);
pricers.Add(vars.analyticPricers[j]);
for (int k = 0; k < pricers.Count; ++k)
{
swaplet.setPricer(pricers[k]);
caplet.setPricer(pricers[k]);
floorlet.setPricer(pricers[k]);
double swapletPrice = swaplet.price(vars.termStructure) +
nominal * swaplet.accrualPeriod() * strike * discount;
double capletPrice = caplet.price(vars.termStructure);
double floorletPrice = floorlet.price(vars.termStructure);
double difference = Math.Abs(capletPrice + floorletPrice - swapletPrice);
double tol = 2.0e-5;
bool linearTsr = k == 0 && j == vars.yieldCurveModels.Count - 1;
if (linearTsr)
{
tol = 1.0e-7;
}
if (difference > tol)
{
QAssert.Fail("\nCoupon payment date: " + paymentDate +
"\nCoupon start date: " + startDate +
"\nCoupon gearing: " + (gearing) +
"\nCoupon swap index: " + swapIndex.name() +
"\nCoupon spread: " + (spread) +
"\nstrike: " + (strike) +
"\nCoupon DayCounter: " + vars.iborIndex.dayCounter() +
"\nYieldCurve Model: " + vars.yieldCurveModels[j] +
(k == 0 ? "\nNumerical Pricer" : "\nAnalytic Pricer") +
(linearTsr ? " (Linear TSR Model)" : "") +
"\nSwaplet price: " + (swapletPrice) +
"\nCaplet price: " + (capletPrice) +
"\nFloorlet price: " + (floorletPrice) +
"\ndifference: " + difference +
"\ntolerance: " + (tol));
}
}
}
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CappedFlooredCmsCoupon obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void testFairRate()
{
// Testing Hagan-pricer flat-vol equivalence for coupons
CommonVars vars = new CommonVars();
SwapIndex swapIndex = new SwapIndex("EuriborSwapIsdaFixA",
new Period(10, TimeUnit.Years),
vars.iborIndex.fixingDays(),
vars.iborIndex.currency(),
vars.iborIndex.fixingCalendar(),
new Period(1, TimeUnit.Years),
BusinessDayConvention.Unadjusted,
vars.iborIndex.dayCounter(),//??
vars.iborIndex);
// FIXME
//shared_ptr<SwapIndex> swapIndex(new
// EuriborSwapIsdaFixA(10*Years, vars.iborIndex->termStructure()));
Date startDate = vars.termStructure.link.referenceDate() + new Period(20, TimeUnit.Years);
Date paymentDate = startDate + new Period(1, TimeUnit.Years);
Date endDate = paymentDate;
double nominal = 1.0;
double?infiniteCap = null;
double?infiniteFloor = null;
double gearing = 1.0;
double spread = 0.0;
CappedFlooredCmsCoupon coupon = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate,
swapIndex.fixingDays(), swapIndex,
gearing, spread,
infiniteCap, infiniteFloor,
startDate, endDate,
vars.iborIndex.dayCounter());
for (int j = 0; j < vars.yieldCurveModels.Count; ++j)
{
vars.numericalPricers[j].setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.numericalPricers[j]);
double rate0 = coupon.rate();
vars.analyticPricers[j].setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.analyticPricers[j]);
double rate1 = coupon.rate();
double difference = Math.Abs(rate1 - rate0);
double tol = 2.0e-4;
bool linearTsr = j == vars.yieldCurveModels.Count - 1;
if (difference > tol)
{
QAssert.Fail("\nCoupon payment date: " + paymentDate +
"\nCoupon start date: " + startDate +
"\nCoupon floor: " + (infiniteFloor) +
"\nCoupon gearing: " + (gearing) +
"\nCoupon swap index: " + swapIndex.name() +
"\nCoupon spread: " + (spread) +
"\nCoupon cap: " + (infiniteCap) +
"\nCoupon DayCounter: " + vars.iborIndex.dayCounter() +
"\nYieldCurve Model: " + vars.yieldCurveModels[j] +
"\nNumerical Pricer: " + (rate0) + (linearTsr ? " (Linear TSR Model)" : "") +
"\nAnalytic Pricer: " + (rate1) +
"\ndifference: " + (difference) +
"\ntolerance: " + (tol));
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CappedFlooredCmsCoupon obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
