public void testFixing()
{
Date tradeDate = new Date(17, Month.April, 2015);
Calendar calendar = new UnitedKingdom();
Date settlementDate = calendar.advance(tradeDate, 2, TimeUnit.Days, BusinessDayConvention.Following);
Date maturityDate = calendar.advance(settlementDate, 5, TimeUnit.Years, BusinessDayConvention.Following);
Date valueDate = new Date(20, Month.April, 2015);
Settings.setEvaluationDate(valueDate);
List <Date> dates = new List <Date>();
dates.Add(valueDate);
dates.Add(valueDate + new Period(1, TimeUnit.Years));
dates.Add(valueDate + new Period(2, TimeUnit.Years));
dates.Add(valueDate + new Period(5, TimeUnit.Years));
dates.Add(valueDate + new Period(10, TimeUnit.Years));
dates.Add(valueDate + new Period(20, TimeUnit.Years));
List <double> rates = new List <double>();
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
var discountCurveHandle = new RelinkableHandle <YieldTermStructure>();
var forecastCurveHandle = new RelinkableHandle <YieldTermStructure>();
GBPLibor index = new GBPLibor(new Period(6, TimeUnit.Months), forecastCurveHandle);
InterpolatedZeroCurve <Linear> zeroCurve = new InterpolatedZeroCurve <Linear>(dates, rates, new Actual360(), new Linear());
var fixedSchedule = new Schedule(settlementDate, maturityDate, new Period(1, TimeUnit.Years), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false);
var floatSchedule = new Schedule(settlementDate, maturityDate, index.tenor(), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000000, fixedSchedule, 0.01, new Actual360(), floatSchedule, index, 0, new Actual360());
discountCurveHandle.linkTo(zeroCurve);
forecastCurveHandle.linkTo(zeroCurve);
var swapEngine = new DiscountingSwapEngine(discountCurveHandle, false, null);
swap.setPricingEngine(swapEngine);
try
{
double npv = swap.NPV();
}
catch (Exception ex)
{
Assert.Fail(ex.Message);
Console.WriteLine(ex);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(GBPLibor obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void consistency()
{
// check inflation leg vs calculation directly from inflation TS
CommonVars common = new CommonVars();
// ZeroInflationSwap aka CPISwap
CPISwap.Type type = CPISwap.Type.Payer;
double nominal = 1000000.0;
bool subtractInflationNominal = true;
// float+spread leg
double spread = 0.0;
DayCounter floatDayCount = new Actual365Fixed();
BusinessDayConvention floatPaymentConvention = BusinessDayConvention.ModifiedFollowing;
int fixingDays = 0;
IborIndex floatIndex = new GBPLibor(new Period(6, TimeUnit.Months), common.nominalUK);
// fixed x inflation leg
double fixedRate = 0.1; //1% would be 0.01
double baseCPI = 206.1; // would be 206.13871 if we were interpolating
DayCounter fixedDayCount = new Actual365Fixed();
BusinessDayConvention fixedPaymentConvention = BusinessDayConvention.ModifiedFollowing;
Calendar fixedPaymentCalendar = new UnitedKingdom();
ZeroInflationIndex fixedIndex = common.ii;
Period contractObservationLag = common.contractObservationLag;
InterpolationType observationInterpolation = common.contractObservationInterpolation;
// set the schedules
Date startDate = new Date(2, Month.October, 2007);
Date endDate = new Date(2, Month.October, 2052);
Schedule floatSchedule = new MakeSchedule().from(startDate).to(endDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(floatPaymentConvention)
.backwards().value();
Schedule fixedSchedule = new MakeSchedule().from(startDate).to(endDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().value();
CPISwap zisV = new CPISwap(type, nominal, subtractInflationNominal,
spread, floatDayCount, floatSchedule,
floatPaymentConvention, fixingDays, floatIndex,
fixedRate, baseCPI, fixedDayCount, fixedSchedule,
fixedPaymentConvention, contractObservationLag,
fixedIndex, observationInterpolation);
Date asofDate = Settings.evaluationDate();
double[] floatFix = { 0.06255, 0.05975, 0.0637, 0.018425, 0.0073438, -1, -1 };
double[] cpiFix = { 211.4, 217.2, 211.4, 213.4, -2, -2 };
for (int i = 0; i < floatSchedule.Count; i++)
{
if (floatSchedule[i] < common.evaluationDate)
{
floatIndex.addFixing(floatSchedule[i], floatFix[i], true);//true=overwrite
}
CPICoupon zic = zisV.cpiLeg()[i] as CPICoupon;
if (zic != null)
{
if (zic.fixingDate() < (common.evaluationDate - new Period(1, TimeUnit.Months)))
{
fixedIndex.addFixing(zic.fixingDate(), cpiFix[i], true);
}
}
}
// simple structure so simple pricing engine - most work done by index
DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
zisV.setPricingEngine(dse);
// get float+spread & fixed*inflation leg prices separately
double testInfLegNPV = 0.0;
double diff;
for (int i = 0; i < zisV.leg(0).Count; i++)
{
Date zicPayDate = (zisV.leg(0))[i].date();
if (zicPayDate > asofDate)
{
testInfLegNPV += (zisV.leg(0))[i].amount() * common.nominalUK.link.discount(zicPayDate);
}
CPICoupon zicV = zisV.cpiLeg()[i] as CPICoupon;
if (zicV != null)
{
diff = Math.Abs(zicV.rate() - (fixedRate * (zicV.indexFixing() / baseCPI)));
QAssert.IsTrue(diff < 1e-8, "failed " + i + "th coupon reconstruction as "
+ (fixedRate * (zicV.indexFixing() / baseCPI)) + " vs rate = "
+ zicV.rate() + ", with difference: " + diff);
}
}
double error = Math.Abs(testInfLegNPV - zisV.legNPV(0).Value);
QAssert.IsTrue(error < 1e-5, "failed manual inf leg NPV calc vs pricing engine: " + testInfLegNPV + " vs " +
zisV.legNPV(0));
diff = Math.Abs(1 - zisV.NPV() / 4191660.0);
#if QL_USE_INDEXED_COUPON
double max_diff = 1e-5;
#else
double max_diff = 3e-5;
#endif
QAssert.IsTrue(diff < max_diff, "failed stored consistency value test, ratio = " + diff);
// remove circular refernce
common.hcpi.linkTo(null);
}
public void cpibondconsistency()
{
CommonVars common = new CommonVars();
// ZeroInflationSwap aka CPISwap
CPISwap.Type type = CPISwap.Type.Payer;
double nominal = 1000000.0;
bool subtractInflationNominal = true;
// float+spread leg
double spread = 0.0;
DayCounter floatDayCount = new Actual365Fixed();
BusinessDayConvention floatPaymentConvention = BusinessDayConvention.ModifiedFollowing;
int fixingDays = 0;
IborIndex floatIndex = new GBPLibor(new Period(6, TimeUnit.Months), common.nominalUK);
// fixed x inflation leg
double fixedRate = 0.1; //1% would be 0.01
double baseCPI = 206.1; // would be 206.13871 if we were interpolating
DayCounter fixedDayCount = new Actual365Fixed();
BusinessDayConvention fixedPaymentConvention = BusinessDayConvention.ModifiedFollowing;
Calendar fixedPaymentCalendar = new UnitedKingdom();
ZeroInflationIndex fixedIndex = common.ii;
Period contractObservationLag = common.contractObservationLag;
InterpolationType observationInterpolation = common.contractObservationInterpolation;
// set the schedules
Date startDate = new Date(2, Month.October, 2007);
Date endDate = new Date(2, Month.October, 2052);
Schedule floatSchedule = new MakeSchedule().from(startDate).to(endDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(floatPaymentConvention)
.backwards().value();
Schedule fixedSchedule = new MakeSchedule().from(startDate).to(endDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().value();
CPISwap zisV = new CPISwap(type, nominal, subtractInflationNominal,
spread, floatDayCount, floatSchedule,
floatPaymentConvention, fixingDays, floatIndex,
fixedRate, baseCPI, fixedDayCount, fixedSchedule,
fixedPaymentConvention, contractObservationLag,
fixedIndex, observationInterpolation);
double[] floatFix = { 0.06255, 0.05975, 0.0637, 0.018425, 0.0073438, -1, -1 };
double[] cpiFix = { 211.4, 217.2, 211.4, 213.4, -2, -2 };
for (int i = 0; i < floatSchedule.Count; i++)
{
if (floatSchedule[i] < common.evaluationDate)
{
floatIndex.addFixing(floatSchedule[i], floatFix[i], true);//true=overwrite
}
CPICoupon zic = zisV.cpiLeg()[i] as CPICoupon;
if (zic != null)
{
if (zic.fixingDate() < (common.evaluationDate - new Period(1, TimeUnit.Months)))
{
fixedIndex.addFixing(zic.fixingDate(), cpiFix[i], true);
}
}
}
// simple structure so simple pricing engine - most work done by index
DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
zisV.setPricingEngine(dse);
// now do the bond equivalent
List <double> fixedRates = new InitializedList <double>(1, fixedRate);
int settlementDays = 1;// cannot be zero!
bool growthOnly = true;
CPIBond cpiB = new CPIBond(settlementDays, nominal, growthOnly,
baseCPI, contractObservationLag, fixedIndex,
observationInterpolation, fixedSchedule,
fixedRates, fixedDayCount, fixedPaymentConvention);
DiscountingBondEngine dbe = new DiscountingBondEngine(common.nominalUK);
cpiB.setPricingEngine(dbe);
QAssert.IsTrue(Math.Abs(cpiB.NPV() - zisV.legNPV(0).GetValueOrDefault()) < 1e-5,
"cpi bond does not equal equivalent cpi swap leg");
// remove circular refernce
common.hcpi.linkTo(null);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(GBPLibor obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
