public void testRateDependency()
{
//("Testing vanilla-swap dependency on fixed rate...");
CommonVars vars = new CommonVars();
int[] lengths = new int[] { 1, 2, 5, 10, 20 };
double[] spreads = new double[] { -0.001, -0.01, 0.0, 0.01, 0.001 };
double[] rates = new double[] { 0.03, 0.04, 0.05, 0.06, 0.07 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < spreads.Length; j++)
{
// store the results for different rates...
List <double> swap_values = new List <double>();
for (int k = 0; k < rates.Length; k++)
{
VanillaSwap swap = vars.makeSwap(lengths[i], rates[k], spreads[j]);
swap_values.Add(swap.NPV());
}
// and check that they go the right way
for (int z = 0; z < swap_values.Count - 1; z++)
{
if (swap_values[z] < swap_values[z + 1])
{
Assert.Fail(
"NPV is increasing with the fixed rate in a swap: \n"
+ " length: " + lengths[i] + " years\n"
+ " value: " + swap_values[z]
+ " paying fixed rate: " + rates[z] + "\n"
+ " value: " + swap_values[z + 1]
+ " paying fixed rate: " + rates[z + 1]);
}
}
}
}
}
public void testCachedValue()
{
// Testing Eonia-swap calculation against cached value...
CommonVars vars = new CommonVars();
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
double flat = 0.05;
vars.eoniaTermStructure.linkTo(Utilities.flatRate(vars.settlement, flat, new Actual360()));
double fixedRate = Math.Exp(flat) - 1;
OvernightIndexedSwap swap = vars.makeSwap(new Period(1, TimeUnit.Years), fixedRate, 0.0);
double cachedNPV = 0.001730450147;
double tolerance = 1.0e-11;
if (Math.Abs(swap.NPV() - cachedNPV) > tolerance)
{
QAssert.Fail("\nfailed to reproduce cached swap value:" +
"\ncalculated: " + swap.NPV() +
"\n expected: " + cachedNPV +
"\n tolerance:" + tolerance);
}
}
public void testCachedValue()
{
//("Testing vanilla-swap calculation against cached value...");
CommonVars vars = new CommonVars();
vars.today = new Date(17, Month.June, 2002);
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement, 0.05, new Actual365Fixed()));
VanillaSwap swap = vars.makeSwap(10, 0.06, 0.001);
#if QL_USE_INDEXED_COUPON
double cachedNPV = -5.872342992212;
#else
double cachedNPV = -5.872863313209;
#endif
if (Math.Abs(swap.NPV() - cachedNPV) > 1.0e-11)
Assert.Fail("failed to reproduce cached swap value:\n"
+ " calculated: " + swap.NPV() + "\n"
+ " expected: " + cachedNPV);
}
public void testBootstrap()
{
// Testing Eonia-swap curve building...
CommonVars vars = new CommonVars();
List <RateHelper> eoniaHelpers = new List <RateHelper>();
List <RateHelper> swap3mHelpers = new List <RateHelper>();
IborIndex euribor3m = new Euribor3M();
Eonia eonia = new Eonia();
for (int i = 0; i < depositData.Length; i++)
{
double rate = 0.01 * depositData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period term = new Period(depositData[i].n, depositData[i].unit);
RateHelper helper = new DepositRateHelper(quote,
term,
depositData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
if (term <= new Period(2, TimeUnit.Days))
{
eoniaHelpers.Add(helper);
}
if (term <= new Period(3, TimeUnit.Months))
{
swap3mHelpers.Add(helper);
}
}
for (int i = 0; i < fraData.Length; i++)
{
double rate = 0.01 * fraData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
RateHelper helper = new FraRateHelper(quote,
fraData[i].nExpiry,
fraData[i].nMaturity,
fraData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
swap3mHelpers.Add(helper);
}
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double rate = 0.01 * eoniaSwapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period term = new Period(eoniaSwapData[i].n, eoniaSwapData[i].unit);
RateHelper helper = new OISRateHelper(eoniaSwapData[i].settlementDays,
term,
quote,
eonia);
eoniaHelpers.Add(helper);
}
for (int i = 0; i < swapData.Length; i++)
{
double rate = 0.01 * swapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle <Quote> quote = new Handle <Quote>(simple);
Period tenor = new Period(swapData[i].nIndexUnits, swapData[i].indexUnit);
Period term = new Period(swapData[i].nTermUnits, swapData[i].termUnit);
RateHelper helper = new SwapRateHelper(quote,
term,
vars.calendar,
vars.fixedSwapFrequency,
vars.fixedSwapConvention,
vars.fixedSwapDayCount,
euribor3m);
if (tenor == new Period(3, TimeUnit.Months))
{
swap3mHelpers.Add(helper);
}
}
PiecewiseYieldCurve <Discount, LogLinear> eoniaTS = new PiecewiseYieldCurve <Discount, LogLinear>(vars.today,
eoniaHelpers,
new Actual365Fixed());
PiecewiseYieldCurve <Discount, LogLinear> swapTS = new PiecewiseYieldCurve <Discount, LogLinear>(vars.today,
swap3mHelpers,
new Actual365Fixed());
vars.eoniaTermStructure.linkTo(eoniaTS);
// test curve consistency
double tolerance = 1.0e-10;
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double expected = eoniaSwapData[i].rate;
Period term = new Period(eoniaSwapData[i].n, eoniaSwapData[i].unit);
OvernightIndexedSwap swap = vars.makeSwap(term, 0.0, 0.0);
double?calculated = 100.0 * swap.fairRate();
if (Math.Abs(expected - calculated.Value) > tolerance)
{
QAssert.Fail("curve inconsistency:\n"
+ " swap length: " + term + "\n"
+ " quoted rate: " + expected + "\n"
+ " calculated rate: " + calculated);
}
}
}
public void testCachedValues()
{
//("Testing Bermudan swaption against cached values...");
CommonVars vars = new CommonVars();
vars.today = new Date(15, Month.February, 2002);
Settings.setEvaluationDate(vars.today);
vars.settlement = new Date(19, Month.February, 2002);
// flat yield term structure impling 1x5 swap at 5%
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement,
0.04875825,
new Actual365Fixed()));
double atmRate = vars.makeSwap(0.0).fairRate();
VanillaSwap itmSwap = vars.makeSwap(0.8 * atmRate);
VanillaSwap atmSwap = vars.makeSwap(atmRate);
VanillaSwap otmSwap = vars.makeSwap(1.2 * atmRate);
double a = 0.048696, sigma = 0.0058904;
ShortRateModel model = new HullWhite(vars.termStructure, a, sigma);
List <Date> exerciseDates = new List <Date>();
List <CashFlow> leg = atmSwap.fixedLeg();
for (int i = 0; i < leg.Count; i++)
{
Coupon coupon = (Coupon)(leg[i]);
exerciseDates.Add(coupon.accrualStartDate());
}
Exercise exercise = new BermudanExercise(exerciseDates);
IPricingEngine treeEngine = new TreeSwaptionEngine(model, 50);
IPricingEngine fdmEngine = new FdHullWhiteSwaptionEngine(model as HullWhite);
#if QL_USE_INDEXED_COUPON
double itmValue = 42.2413, atmValue = 12.8789, otmValue = 2.4759;
double itmValueFdm = 42.2111, atmValueFdm = 12.8879, otmValueFdm = 2.44443;
#else
double itmValue = 42.2470, atmValue = 12.8826, otmValue = 2.4769;
double itmValueFdm = 42.2091, atmValueFdm = 12.8864, otmValueFdm = 2.4437;
#endif
double tolerance = 1.0e-4;
Swaption swaption = new Swaption(itmSwap, exercise);
swaption.setPricingEngine(treeEngine);
if (Math.Abs(swaption.NPV() - itmValue) > tolerance)
{
QAssert.Fail("failed to reproduce cached in-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + itmValue);
}
swaption.setPricingEngine(fdmEngine);
if (Math.Abs(swaption.NPV() - itmValueFdm) > tolerance)
{
QAssert.Fail("failed to reproduce cached in-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + itmValueFdm);
}
swaption = new Swaption(atmSwap, exercise);
swaption.setPricingEngine(treeEngine);
if (Math.Abs(swaption.NPV() - atmValue) > tolerance)
{
QAssert.Fail("failed to reproduce cached at-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + atmValue);
}
swaption.setPricingEngine(fdmEngine);
if (Math.Abs(swaption.NPV() - atmValueFdm) > tolerance)
{
QAssert.Fail("failed to reproduce cached at-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + atmValueFdm);
}
swaption = new Swaption(otmSwap, exercise);
swaption.setPricingEngine(treeEngine);
if (Math.Abs(swaption.NPV() - otmValue) > tolerance)
{
QAssert.Fail("failed to reproduce cached out-of-the-money "
+ "swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + otmValue);
}
swaption.setPricingEngine(fdmEngine);
if (Math.Abs(swaption.NPV() - otmValueFdm) > tolerance)
{
QAssert.Fail("failed to reproduce cached out-of-the-money "
+ "swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + otmValueFdm);
}
for (int j = 0; j < exerciseDates.Count; j++)
{
exerciseDates[j] = vars.calendar.adjust(exerciseDates[j] - 10);
}
exercise = new BermudanExercise(exerciseDates);
#if QL_USE_INDEXED_COUPON
itmValue = 42.1917; atmValue = 12.7788; otmValue = 2.4388;
#else
itmValue = 42.1974; atmValue = 12.7825; otmValue = 2.4399;
#endif
swaption = new Swaption(itmSwap, exercise);
swaption.setPricingEngine(treeEngine);
if (Math.Abs(swaption.NPV() - itmValue) > tolerance)
{
QAssert.Fail("failed to reproduce cached in-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + itmValue);
}
swaption = new Swaption(atmSwap, exercise);
swaption.setPricingEngine(treeEngine);
if (Math.Abs(swaption.NPV() - atmValue) > tolerance)
{
QAssert.Fail("failed to reproduce cached at-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + atmValue);
}
swaption = new Swaption(otmSwap, exercise);
swaption.setPricingEngine(treeEngine);
if (Math.Abs(swaption.NPV() - otmValue) > tolerance)
{
QAssert.Fail("failed to reproduce cached out-of-the-money "
+ "swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + otmValue);
}
}
public void testCachedValues()
{
//("Testing Bermudan swaption against cached values...");
CommonVars vars = new CommonVars();
vars.today = new Date(15, Month.February, 2002);
Settings.setEvaluationDate(vars.today);
vars.settlement = new Date(19, Month.February, 2002);
// flat yield term structure impling 1x5 swap at 5%
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement,
0.04875825,
new Actual365Fixed()));
double atmRate = vars.makeSwap(0.0).fairRate();
VanillaSwap itmSwap = vars.makeSwap(0.8*atmRate);
VanillaSwap atmSwap = vars.makeSwap(atmRate);
VanillaSwap otmSwap = vars.makeSwap(1.2*atmRate);
double a = 0.048696, sigma = 0.0058904;
ShortRateModel model=new HullWhite(vars.termStructure,a, sigma);
List<Date> exerciseDates= new List<Date>();
List<CashFlow> leg = atmSwap.fixedLeg();
for (int i=0; i<leg.Count; i++) {
Coupon coupon = (Coupon)(leg[i]);
exerciseDates.Add(coupon.accrualStartDate());
}
Exercise exercise = new BermudanExercise(exerciseDates);
IPricingEngine engine = new TreeSwaptionEngine(model, 50);
#if QL_USE_INDEXED_COUPON
Real itmValue = 42.2413, atmValue = 12.8789, otmValue = 2.4759;
#else
double itmValue = 42.2470, atmValue = 12.8826, otmValue = 2.4769;
#endif
double tolerance = 1.0e-4;
Swaption swaption = new Swaption(itmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-itmValue) > tolerance)
Assert.Fail("failed to reproduce cached in-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + itmValue);
swaption = new Swaption(atmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-atmValue) > tolerance)
Assert.Fail("failed to reproduce cached at-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + atmValue);
swaption = new Swaption(otmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-otmValue) > tolerance)
Assert.Fail("failed to reproduce cached out-of-the-money "
+ "swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + otmValue);
for (int j=0; j<exerciseDates.Count; j++)
exerciseDates[j] = vars.calendar.adjust(exerciseDates[j]-10);
exercise = new BermudanExercise(exerciseDates);
#if QL_USE_INDEXED_COUPON
itmValue = 42.1917; atmValue = 12.7788; otmValue = 2.4388;
#else
itmValue = 42.1974; atmValue = 12.7825; otmValue = 2.4399;
#endif
swaption = new Swaption(itmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-itmValue) > tolerance)
Assert.Fail("failed to reproduce cached in-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + itmValue);
swaption = new Swaption(atmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-atmValue) > tolerance)
Assert.Fail("failed to reproduce cached at-the-money swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + atmValue);
swaption = new Swaption(otmSwap, exercise);
swaption.setPricingEngine(engine);
if (Math.Abs(swaption.NPV()-otmValue) > tolerance)
Assert.Fail("failed to reproduce cached out-of-the-money "
+ "swaption value:\n"
+ "calculated: " + swaption.NPV() + "\n"
+ "expected: " + otmValue);
}
public void testFairSpread()
{
// Testing Eonia-swap calculation of fair floating spread...
CommonVars vars = new CommonVars();
Period[] lengths = { new Period(1,TimeUnit.Years),
new Period(2,TimeUnit.Years),
new Period(5,TimeUnit.Years),
new Period(10,TimeUnit.Years),
new Period(20,TimeUnit.Years) };
double[] rates = { 0.04, 0.05, 0.06, 0.07 };
for (int i=0; i<lengths.Length; i++)
{
for (int j=0; j<rates.Length; j++)
{
OvernightIndexedSwap swap = vars.makeSwap(lengths[i], rates[j], 0.0);
double? fairSpread = swap.fairSpread();
swap = vars.makeSwap(lengths[i], rates[j], fairSpread.Value);
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
Assert.Fail("Recalculating with implied spread:" +
"\n length: " + lengths[i] +
"\n fixed rate: " + rates[j] +
"\nfair spread: " + fairSpread +
"\n swap value: " + swap.NPV());
}
}
}
}
public void testFairRate()
{
// Testing Eonia-swap calculation of fair fixed rate...
CommonVars vars = new CommonVars();
Period[] lengths = new Period[] { new Period(1, TimeUnit.Years), new Period(2, TimeUnit.Years), new Period(5, TimeUnit.Years), new Period(10, TimeUnit.Years), new Period(20, TimeUnit.Years) };
double[] spreads = { -0.001, -0.01, 0.0, 0.01, 0.001 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < spreads.Length; j++)
{
OvernightIndexedSwap swap = vars.makeSwap(lengths[i], 0.0, spreads[j]);
swap = vars.makeSwap(lengths[i], swap.fairRate().Value, spreads[j]);
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
Assert.Fail("recalculating with implied rate:\n"
+ " length: " + lengths[i] + " \n"
+ " floating spread: "
+ (spreads[j]) + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
public void testCachedValue()
{
// Testing Eonia-swap calculation against cached value...
CommonVars vars = new CommonVars();
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today,vars.settlementDays,TimeUnit.Days);
double flat = 0.05;
vars.eoniaTermStructure.linkTo(Utilities.flatRate(vars.settlement,flat,new Actual360()));
double fixedRate = Math.Exp(flat) - 1;
OvernightIndexedSwap swap = vars.makeSwap(new Period(1,TimeUnit.Years), fixedRate, 0.0);
double cachedNPV = 0.001730450147;
double tolerance = 1.0e-11;
if (Math.Abs(swap.NPV()-cachedNPV) > tolerance)
Assert.Fail("\nfailed to reproduce cached swap value:" +
"\ncalculated: " + swap.NPV() +
"\n expected: " + cachedNPV +
"\n tolerance:" + tolerance);
}
public void testBootstrap()
{
// Testing Eonia-swap curve building...
CommonVars vars = new CommonVars();
List<RateHelper> eoniaHelpers = new List<RateHelper>();
List<RateHelper> swap3mHelpers = new List<RateHelper>();
IborIndex euribor3m = new Euribor3M();
Eonia eonia = new Eonia();
for (int i = 0; i < depositData.Length; i++)
{
double rate = 0.01 * depositData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period term = new Period(depositData[i].n , depositData[i].unit);
RateHelper helper = new DepositRateHelper(quote,
term,
depositData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
if (term <= new Period(2,TimeUnit.Days))
eoniaHelpers.Add(helper);
if (term <= new Period(3,TimeUnit.Months))
swap3mHelpers.Add(helper);
}
for (int i = 0; i < fraData.Length; i++)
{
double rate = 0.01 * fraData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
RateHelper helper = new FraRateHelper(quote,
fraData[i].nExpiry,
fraData[i].nMaturity,
fraData[i].settlementDays,
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter());
swap3mHelpers.Add(helper);
}
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double rate = 0.01 * eoniaSwapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period term = new Period(eoniaSwapData[i].n , eoniaSwapData[i].unit);
RateHelper helper = new OISRateHelper(eoniaSwapData[i].settlementDays,
term,
quote,
eonia);
eoniaHelpers.Add(helper);
}
for (int i = 0; i < swapData.Length; i++)
{
double rate = 0.01 * swapData[i].rate;
SimpleQuote simple = new SimpleQuote(rate);
Handle<Quote> quote = new Handle<Quote>(simple);
Period tenor = new Period(swapData[i].nIndexUnits , swapData[i].indexUnit);
Period term = new Period(swapData[i].nTermUnits , swapData[i].termUnit);
RateHelper helper = new SwapRateHelper(quote,
term,
vars.calendar,
vars.fixedSwapFrequency,
vars.fixedSwapConvention,
vars.fixedSwapDayCount,
euribor3m);
if (tenor == new Period(3,TimeUnit.Months))
swap3mHelpers.Add(helper);
}
PiecewiseYieldCurve<Discount, LogLinear> eoniaTS = new PiecewiseYieldCurve<Discount, LogLinear>(vars.today,
eoniaHelpers,
new Actual365Fixed());
PiecewiseYieldCurve<Discount, LogLinear> swapTS = new PiecewiseYieldCurve<Discount, LogLinear>(vars.today,
swap3mHelpers,
new Actual365Fixed());
vars.eoniaTermStructure.linkTo(eoniaTS);
// test curve consistency
double tolerance = 1.0e-10;
for (int i = 0; i < eoniaSwapData.Length; i++)
{
double expected = eoniaSwapData[i].rate;
Period term = new Period(eoniaSwapData[i].n , eoniaSwapData[i].unit);
OvernightIndexedSwap swap = vars.makeSwap(term, 0.0, 0.0);
double? calculated = 100.0 * swap.fairRate();
if (Math.Abs(expected-calculated.Value) > tolerance)
Assert.Fail("curve inconsistency:\n"
+ " swap length: " + term + "\n"
+ " quoted rate: " + expected + "\n"
+ " calculated rate: " + calculated);
}
}
public void testFairRate()
{
//("Testing vanilla-swap calculation of fair fixed rate...");
CommonVars vars = new CommonVars();
int[] lengths = new int[] { 1, 2, 5, 10, 20 };
double[] spreads = new double[] { -0.001, -0.01, 0.0, 0.01, 0.001 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < spreads.Length; j++)
{
VanillaSwap swap = vars.makeSwap(lengths[i], 0.0, spreads[j]);
swap = vars.makeSwap(lengths[i], swap.fairRate(), spreads[j]);
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
Assert.Fail("recalculating with implied rate:\n"
+ " length: " + lengths[i] + " years\n"
+ " floating spread: "
+ spreads[j] + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
public void testSpreadDependency()
{
//("Testing vanilla-swap dependency on floating spread...");
CommonVars vars = new CommonVars();
int[] lengths = new int[] { 1, 2, 5, 10, 20 };
double[] spreads = new double[] { -0.01, -0.002, -0.001, 0.0, 0.001, 0.002, 0.01 };
double[] rates = new double[] { 0.04, 0.05, 0.06, 0.07 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < rates.Length; j++)
{
// store the results for different rates...
List<double> swap_values = new List<double>();
for (int k = 0; k < spreads.Length; k++)
{
VanillaSwap swap = vars.makeSwap(lengths[i], rates[j], spreads[k]);
swap_values.Add(swap.NPV());
}
// and check that they go the right way
for (int z = 0; z < swap_values.Count - 1; z++)
{
if (swap_values[z] > swap_values[z + 1])
Assert.Fail(
"NPV is decreasing with the floating spread in a swap: \n"
+ " length: " + lengths[i] + " years\n"
+ " value: " + swap_values[z]
+ " receiving spread: " + rates[z] + "\n"
+ " value: " + swap_values[z + 1]
+ " receiving spread: " + rates[z + 1]);
}
}
}
}
public void testFairSpread()
{
//("Testing vanilla-swap calculation of fair floating spread...");
CommonVars vars = new CommonVars();
int[] lengths = new int[] { 1, 2, 5, 10, 20 };
double[] rates = new double[] { 0.04, 0.05, 0.06, 0.07 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < rates.Length; j++)
{
VanillaSwap swap = vars.makeSwap(lengths[i], rates[j], 0.0);
swap = vars.makeSwap(lengths[i], rates[j], swap.fairSpread());
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
Assert.Fail("recalculating with implied spread:\n"
+ " length: " + lengths[i] + " years\n"
+ " fixed rate: "
+ rates[j] + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}