public void testActualActualWithAnnualSchedule()
{
// Testing actual/actual with schedule "for undefined annual reference periods
// Now do an annual schedule
Calendar calendar = new UnitedStates();
Schedule schedule = new MakeSchedule()
.from(new Date(10, Month.January, 2017))
.withFirstDate(new Date(31, Month.August, 2017))
.to(new Date(28, Month.February, 2026))
.withFrequency(Frequency.Annual)
.withCalendar(calendar)
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().endOfMonth(false).value();
Date referencePeriodStart = schedule.date(1);
Date referencePeriodEnd = schedule.date(2);
Date testDate = schedule.date(1);
DayCounter dayCounter = new ActualActual(ActualActual.Convention.ISMA, schedule);
while (testDate < referencePeriodEnd)
{
double difference =
ISMAYearFractionWithReferenceDates(dayCounter,
testDate, referencePeriodEnd,
referencePeriodStart, referencePeriodEnd) -
dayCounter.yearFraction(testDate, referencePeriodEnd);
if (Math.Abs(difference) > 1.0e-10)
{
QAssert.Fail("Failed to correctly use the schedule " +
"to find the reference period for Act/Act:\n"
+ testDate + " to " + referencePeriodEnd
+ "\n Ref: " + referencePeriodStart
+ " to " + referencePeriodEnd);
}
testDate = calendar.advance(testDate, 1, TimeUnit.Days);
}
}
public void testCachedMarketValue()
{
// Testing credit-default swap against cached market values...
using (SavedSettings backup = new SavedSettings())
{
Settings.setEvaluationDate(new Date(9, Month.June, 2006));
Date evalDate = Settings.evaluationDate();
Calendar calendar = new UnitedStates();
List <Date> discountDates = new List <Date>();
discountDates.Add(evalDate);
discountDates.Add(calendar.advance(evalDate, 1, TimeUnit.Weeks, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 1, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 2, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 3, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 6, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 12, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 2, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 3, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 4, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 5, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 6, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 7, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 8, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 9, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 10, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
discountDates.Add(calendar.advance(evalDate, 15, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
List <double> dfs = new List <double>();
dfs.Add(1.0);
dfs.Add(0.9990151375768731);
dfs.Add(0.99570502636871183);
dfs.Add(0.99118260474528685);
dfs.Add(0.98661167950906203);
dfs.Add(0.9732592953359388);
dfs.Add(0.94724424481038083);
dfs.Add(0.89844996737120875);
dfs.Add(0.85216647839921411);
dfs.Add(0.80775477692556874);
dfs.Add(0.76517289234200347);
dfs.Add(0.72401019553182933);
dfs.Add(0.68503909569219212);
dfs.Add(0.64797499814013748);
dfs.Add(0.61263171936255534);
dfs.Add(0.5791942350748791);
dfs.Add(0.43518868769953606);
DayCounter curveDayCounter = new Actual360();
RelinkableHandle <YieldTermStructure> discountCurve = new RelinkableHandle <YieldTermStructure>();
discountCurve.linkTo(new InterpolatedDiscountCurve <LogLinear>(discountDates, dfs, curveDayCounter, null, null, null, new LogLinear()));
DayCounter dayCounter = new Thirty360();
List <Date> dates = new List <Date>();
dates.Add(evalDate);
dates.Add(calendar.advance(evalDate, 6, TimeUnit.Months, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 1, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 2, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 3, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 4, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 5, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 7, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
dates.Add(calendar.advance(evalDate, 10, TimeUnit.Years, BusinessDayConvention.ModifiedFollowing));
List <double> defaultProbabilities = new List <double>();
defaultProbabilities.Add(0.0000);
defaultProbabilities.Add(0.0047);
defaultProbabilities.Add(0.0093);
defaultProbabilities.Add(0.0286);
defaultProbabilities.Add(0.0619);
defaultProbabilities.Add(0.0953);
defaultProbabilities.Add(0.1508);
defaultProbabilities.Add(0.2288);
defaultProbabilities.Add(0.3666);
List <double> hazardRates = new List <double>();
hazardRates.Add(0.0);
for (int i = 1; i < dates.Count; ++i)
{
double t1 = dayCounter.yearFraction(dates[0], dates[i - 1]);
double t2 = dayCounter.yearFraction(dates[0], dates[i]);
double S1 = 1.0 - defaultProbabilities[i - 1];
double S2 = 1.0 - defaultProbabilities[i];
hazardRates.Add(Math.Log(S1 / S2) / (t2 - t1));
}
RelinkableHandle <DefaultProbabilityTermStructure> piecewiseFlatHazardRate = new RelinkableHandle <DefaultProbabilityTermStructure>();
piecewiseFlatHazardRate.linkTo(new InterpolatedHazardRateCurve <BackwardFlat>(dates, hazardRates, new Thirty360()));
// Testing credit default swap
// Build the schedule
Date issueDate = new Date(20, Month.March, 2006);
Date maturity = new Date(20, Month.June, 2013);
Frequency cdsFrequency = Frequency.Semiannual;
BusinessDayConvention cdsConvention = BusinessDayConvention.ModifiedFollowing;
Schedule schedule = new Schedule(issueDate, maturity, new Period(cdsFrequency), calendar,
cdsConvention, cdsConvention,
DateGeneration.Rule.Forward, false);
// Build the CDS
double recoveryRate = 0.25;
double fixedRate = 0.0224;
DayCounter dayCount = new Actual360();
double cdsNotional = 100.0;
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, cdsNotional, fixedRate,
schedule, cdsConvention, dayCount, true, true);
cds.setPricingEngine(new MidPointCdsEngine(piecewiseFlatHazardRate, recoveryRate, discountCurve));
double calculatedNpv = cds.NPV();
double calculatedFairRate = cds.fairSpread();
double npv = -1.364048777; // from Bloomberg we have 98.15598868 - 100.00;
double fairRate = 0.0248429452; // from Bloomberg we have 0.0258378;
double tolerance = 1e-9;
if (Math.Abs(npv - calculatedNpv) > tolerance)
{
Assert.Fail(
"Failed to reproduce the npv for the given credit-default swap\n"
+ " computed NPV: " + calculatedNpv + "\n"
+ " Given NPV: " + npv);
}
if (Math.Abs(fairRate - calculatedFairRate) > tolerance)
{
Assert.Fail("Failed to reproduce the fair rate for the given credit-default swap\n"
+ " computed fair rate: " + calculatedFairRate + "\n"
+ " Given fair rate: " + fairRate);
}
}
}
public void testActualActualWithSemiannualSchedule()
{
// Testing actual/actual with schedule for undefined semiannual reference periods
Calendar calendar = new UnitedStates();
Date fromDate = new Date(10, Month.January, 2017);
Date firstCoupon = new Date(31, Month.August, 2017);
Date quasiCoupon = new Date(28, Month.February, 2017);
Date quasiCoupon2 = new Date(31, Month.August, 2016);
Schedule schedule = new MakeSchedule()
.from(fromDate)
.withFirstDate(firstCoupon)
.to(new Date(28, Month.February, 2026))
.withFrequency(Frequency.Semiannual)
.withCalendar(calendar)
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().endOfMonth(true).value();
Date testDate = schedule.date(1);
DayCounter dayCounter = new ActualActual(ActualActual.Convention.ISMA, schedule);
DayCounter dayCounterNoSchedule = new ActualActual(ActualActual.Convention.ISMA);
Date referencePeriodStart = schedule.date(1);
Date referencePeriodEnd = schedule.date(2);
// Test
QAssert.IsTrue(dayCounter.yearFraction(referencePeriodStart,
referencePeriodStart).IsEqual(0.0), "This should be zero.");
QAssert.IsTrue(dayCounterNoSchedule.yearFraction(referencePeriodStart,
referencePeriodStart).IsEqual(0.0), "This should be zero");
QAssert.IsTrue(dayCounterNoSchedule.yearFraction(referencePeriodStart,
referencePeriodStart, referencePeriodStart, referencePeriodStart).IsEqual(0.0),
"This should be zero");
QAssert.IsTrue(dayCounter.yearFraction(referencePeriodStart,
referencePeriodEnd).IsEqual(0.5),
"This should be exact using schedule; "
+ referencePeriodStart + " to " + referencePeriodEnd
+ "Should be 0.5");
QAssert.IsTrue(dayCounterNoSchedule.yearFraction(referencePeriodStart,
referencePeriodEnd, referencePeriodStart, referencePeriodEnd).IsEqual(0.5),
"This should be exact for explicit reference periods with no schedule");
while (testDate < referencePeriodEnd)
{
double difference =
dayCounter.yearFraction(testDate, referencePeriodEnd,
referencePeriodStart, referencePeriodEnd) -
dayCounter.yearFraction(testDate, referencePeriodEnd);
if (Math.Abs(difference) > 1.0e-10)
{
QAssert.Fail("Failed to correctly use the schedule to find the reference period for Act/Act");
}
testDate = calendar.advance(testDate, 1, TimeUnit.Days);
}
//Test long first coupon
double calculatedYearFraction =
dayCounter.yearFraction(fromDate, firstCoupon);
double expectedYearFraction =
0.5 + ((double)dayCounter.dayCount(fromDate, quasiCoupon))
/ (2 * dayCounter.dayCount(quasiCoupon2, quasiCoupon));
QAssert.IsTrue(Math.Abs(calculatedYearFraction - expectedYearFraction) < 1.0e-10,
"Failed to compute the expected year fraction " +
"\n expected: " + expectedYearFraction +
"\n calculated: " + calculatedYearFraction);
// test multiple periods
schedule = new MakeSchedule()
.from(new Date(10, Month.January, 2017))
.withFirstDate(new Date(31, Month.August, 2017))
.to(new Date(28, Month.February, 2026))
.withFrequency(Frequency.Semiannual)
.withCalendar(calendar)
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().endOfMonth(false).value();
Date periodStartDate = schedule.date(1);
Date periodEndDate = schedule.date(2);
dayCounter = new ActualActual(ActualActual.Convention.ISMA, schedule);
while (periodEndDate < schedule.date(schedule.size() - 2))
{
double expected =
actualActualDaycountComputation(schedule,
periodStartDate,
periodEndDate);
double calculated = dayCounter.yearFraction(periodStartDate,
periodEndDate);
if (Math.Abs(expected - calculated) > 1e-8)
{
QAssert.Fail("Failed to compute the correct year fraction " +
"given a schedule: " + periodStartDate +
" to " + periodEndDate +
"\n expected: " + expected +
" calculated: " + calculated);
}
periodEndDate = calendar.advance(periodEndDate, 1, TimeUnit.Days);
}
}