public void testCashedValues()
{
Date startDate = new Date(01, 03, 2007);
Period period = new Period(360, TimeUnit.Months);
Calendar calendar = new TARGET();
Date endDate = calendar.advance(startDate,period,BusinessDayConvention.Unadjusted);
Schedule schedule = new Schedule( startDate, endDate, new Period(1,TimeUnit.Months), calendar,
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
// PSA 100%
PSACurve psa100 = new PSACurve(startDate);
double[] listCPR = {0.2000,0.4000,0.6000,0.8000,1.0000,1.2000,1.4000,1.6000,1.8000,2.0000,2.2000,2.4000,2.6000,2.8000,
3.0000,3.2000,3.4000,3.6000,3.8000,4.0000,4.2000,4.4000,4.6000,4.8000,5.0000,5.2000,5.4000,5.6000,
5.8000,6.0000};
for (int i = 0; i < schedule.Count; i++)
{
if ( i <= 29 )
Assert.AreEqual(listCPR[i], psa100.getCPR(schedule[i])*100,0.001);
else
Assert.AreEqual(6.0000, psa100.getCPR(schedule[i])*100);
}
}
public void testFairRate()
{
Calendar calendar = new TARGET();
Date settlementDate = new Date(10, Month.Mar, 2010);
/*********************
* LOAN TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Frequency.Monthly;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention principalLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
double fixedRate = 0.04;
// Principal leg
Frequency pricipalLegFrequency = Frequency.Annual;
int lenghtInMonths = 3;
Loan.Type loanType = Loan.Type.Payer;
Date maturity = settlementDate + new Period(lenghtInMonths, TimeUnit.Years);
Schedule fixedSchedule = new Schedule(settlementDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule principalSchedule = new Schedule(settlementDate, maturity, new Period(pricipalLegFrequency),
calendar, principalLegConvention, principalLegConvention, DateGeneration.Rule.Forward, false);
Loan testLoan = new FixedLoan(loanType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter,
principalSchedule, principalLegConvention);
}
public void testDefaultProbability()
{
// Testing default-probability structure...
double hazardRate = 0.0100;
Handle<Quote> hazardRateQuote = new Handle<Quote>(new SimpleQuote(hazardRate));
DayCounter dayCounter = new Actual360();
Calendar calendar = new TARGET();
int n = 20;
double tolerance = 1.0e-10;
Date today = Settings.evaluationDate();
Date startDate = today;
Date endDate = startDate;
FlatHazardRate flatHazardRate = new FlatHazardRate(startDate, hazardRateQuote, dayCounter);
for(int i=0; i<n; i++)
{
startDate = endDate;
endDate = calendar.advance(endDate, 1, TimeUnit.Years);
double pStart = flatHazardRate.defaultProbability(startDate);
double pEnd = flatHazardRate.defaultProbability(endDate);
double pBetweenComputed =
flatHazardRate.defaultProbability(startDate, endDate);
double pBetween = pEnd - pStart;
if (Math.Abs(pBetween - pBetweenComputed) > tolerance)
Assert.Fail( "Failed to reproduce probability(d1, d2) "
+ "for default probability structure\n"
+ " calculated probability: " + pBetweenComputed + "\n"
+ " expected probability: " + pBetween);
double t2 = dayCounter.yearFraction(today, endDate);
double timeProbability = flatHazardRate.defaultProbability(t2);
double dateProbability =
flatHazardRate.defaultProbability(endDate);
if (Math.Abs(timeProbability - dateProbability) > tolerance)
Assert.Fail( "single-time probability and single-date probability do not match\n"
+ " time probability: " + timeProbability + "\n"
+ " date probability: " + dateProbability);
double t1 = dayCounter.yearFraction(today, startDate);
timeProbability = flatHazardRate.defaultProbability(t1, t2);
dateProbability = flatHazardRate.defaultProbability(startDate, endDate);
if (Math.Abs(timeProbability - dateProbability) > tolerance)
Assert.Fail( "double-time probability and double-date probability do not match\n"
+ " time probability: " + timeProbability + "\n"
+ " date probability: " + dateProbability);
}
}
public CreditDefaultSwapHelper(double cdsSpread,
Period cdsTenor,
Handle <YieldTermStructure> discount,
Handle <DefaultProbabilityTermStructure> HazardHandle = null)
: base(cdsSpread)
{
cdsTenor_ = cdsTenor;
cdsSpread_ = cdsSpread;
calendar_ = new TARGET();
dayCount_ = new Actual365Fixed();
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
HazardHandle_ = HazardHandle ?? new Handle <DefaultProbabilityTermStructure>();
discountHandle_.registerWith(update);
initializeDates();
}
public void testAccessViolation()
{
// Testing dynamic cast of coupon in Black pricer...
SavedSettings backup = new SavedSettings();
Date todaysDate = new Date(7, Month.April, 2010);
Date settlementDate = new Date(9, Month.April, 2010);
Settings.setEvaluationDate(todaysDate);
Calendar calendar = new TARGET();
Handle<YieldTermStructure> rhTermStructure = new Handle<YieldTermStructure>(
Utilities.flatRate(settlementDate, 0.04875825, new Actual365Fixed()));
double volatility = 0.10;
Handle<OptionletVolatilityStructure> vol= new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(2,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
IborIndex index3m =new USDLibor(new Period(3,TimeUnit.Months), rhTermStructure);
Date payDate = new Date(20, Month.December, 2013);
Date startDate = new Date(20, Month.September, 2013);
Date endDate = new Date(20, Month.December, 2013);
double spread = 0.0115;
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
FloatingRateCoupon coupon = new FloatingRateCoupon(100,payDate, startDate, endDate, 2,
index3m, 1.0 , spread / 100);
coupon.setPricer(pricer);
try
{
// this caused an access violation in version 1.0
coupon.amount();
}
catch (Exception )
{
// ok; proper exception thrown
}
}
static void Main(string[] args)
{
Calendar calendar = new TARGET();
Date todaysDate = new Date(22, 7, 2014);
Date settlementDate = new Date(3, 6, 2014);
Settings.setEvaluationDate(todaysDate);
DayCounter dayCounter = new Actual365Fixed();
double dividendYield = 0.0117;
double volatility = 0.15517;
Barrier.Type type = Barrier.Type.UpOut;
QLNet.PlainVanillaPayoff payoff = new PlainVanillaPayoff(Option.Type.Call,261.4);
QLNet.EuropeanExercise ex = new EuropeanExercise(new Date(30,11,2015));
//QLNet.BarrierOption barrierOption = new BarrierOption(type, 1.2,1.0, 0.0, payoff, ex);
//QLNet.BarrierOption barrierOption = new BarrierOption(type, 313.68, 0.0, payoff, ex);
QLNet.BarrierOption barrierOption = new BarrierOption(type, 313.68, 0.32,0.0, payoff, ex);
double underlying = 262.86;
double riskFreeRate = 0.0243;
Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
QLNet.AnalyticBarrierWithPartiRateEngine engine = new AnalyticBarrierWithPartiRateEngine(bsmProcess);
barrierOption.setPricingEngine(engine);
double kk = barrierOption.NPV();
Console.WriteLine(kk);
Console.WriteLine(kk / 261.4);
}
public void testSpecializedBondVsGenericBondUsingAsw()
{
// Testing asset-swap prices and spreads for specialized bond against equivalent generic bond...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1, BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
// generic bond
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate1, fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
// equivalent specialized fixed rate bond
Bond fixedSpecializedBond1 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule1,
new List<double>{0.04},
new ActualActual(ActualActual.Convention.ISDA), BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
fixedSpecializedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
double fixedSpecializedBondPrice1 = fixedSpecializedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondAssetSwap1 = new AssetSwap(payFixedRate,
fixedSpecializedBond1,
fixedSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double fixedSpecializedBondAssetSwapPrice1 =
fixedSpecializedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 =
Math.Abs(fixedBondAssetSwapPrice1-fixedSpecializedBondAssetSwapPrice1);
if (error1>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n generic fixed rate bond's clean price: "
+ fixedBondAssetSwapPrice1
+ "\n equivalent specialized bond's clean price: "
+ fixedSpecializedBondAssetSwapPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double fixedBondMktPrice1= 91.832;
AssetSwap fixedBondASW1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondASW1.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondASW1 = new AssetSwap(payFixedRate,
fixedSpecializedBond1,
fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondASW1.setPricingEngine(swapEngine);
double fixedBondASWSpread1 = fixedBondASW1.fairSpread();
double fixedSpecializedBondASWSpread1 = fixedSpecializedBondASW1.fairSpread();
double error2 = Math.Abs(fixedBondASWSpread1-fixedSpecializedBondASWSpread1);
if (error2>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic fixed rate bond's asw spread: "
+ fixedBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ fixedSpecializedBondASWSpread1
+ "\n error: " + error2
+ "\n tolerance: " + tolerance);
}
//Fixed bond (Isin: IT0006527060 IBRD 5 02/05/19)
//maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
// generic bond
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
// equivalent specialized fixed rate bond
Bond fixedSpecializedBond2 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule2,
new List<double>{ 0.05},
new Thirty360(Thirty360.Thirty360Convention.BondBasis), BusinessDayConvention.Following,
100.0, new Date(5,Month.February,2005));
fixedSpecializedBond2.setPricingEngine(bondEngine);
double fixedBondPrice2 = fixedBond2.cleanPrice();
double fixedSpecializedBondPrice2 = fixedSpecializedBond2.cleanPrice();
AssetSwap fixedBondAssetSwap2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondAssetSwap2 = new AssetSwap(payFixedRate,
fixedSpecializedBond2,
fixedSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice2 = fixedBondAssetSwap2.fairCleanPrice();
double fixedSpecializedBondAssetSwapPrice2 = fixedSpecializedBondAssetSwap2.fairCleanPrice();
double error3 = Math.Abs(fixedBondAssetSwapPrice2-fixedSpecializedBondAssetSwapPrice2);
if (error3>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n generic fixed rate bond's clean price: "
+ fixedBondAssetSwapPrice2
+ "\n equivalent specialized bond's clean price: "
+ fixedSpecializedBondAssetSwapPrice2
+ "\n error: " + error3
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double fixedBondMktPrice2= 102.178;
AssetSwap fixedBondASW2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondASW2.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondASW2 = new AssetSwap(payFixedRate,
fixedSpecializedBond2,
fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondASW2.setPricingEngine(swapEngine);
double fixedBondASWSpread2 = fixedBondASW2.fairSpread();
double fixedSpecializedBondASWSpread2 = fixedSpecializedBondASW2.fairSpread();
double error4 = Math.Abs(fixedBondASWSpread2-fixedSpecializedBondASWSpread2);
if (error4>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic fixed rate bond's asw spread: "
+ fixedBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ fixedSpecializedBondASWSpread2
+ "\n error: " + error4
+ "\n tolerance: " + tolerance);
}
//FRN bond (Isin: IT0003543847 ISPIM 0 09/29/13)
//maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 = bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
// generic bond
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate1, floatingBondStartDate1, floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
// equivalent specialized floater
Bond floatingSpecializedBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule1,
vars.iborIndex, new Actual360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1},
new List<double>{0.0056},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(29,Month.September,2003));
floatingSpecializedBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
Utils.setCouponPricer(floatingSpecializedBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondPrice1 = floatingBond1.cleanPrice();
double floatingSpecializedBondPrice1= floatingSpecializedBond1.cleanPrice();
AssetSwap floatingBondAssetSwap1= new AssetSwap(payFixedRate,
floatingBond1, floatingBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,
floatingSpecializedBond1,
floatingSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice1 = floatingBondAssetSwap1.fairCleanPrice();
double floatingSpecializedBondAssetSwapPrice1 =
floatingSpecializedBondAssetSwap1.fairCleanPrice();
double error5 =
Math.Abs(floatingBondAssetSwapPrice1-floatingSpecializedBondAssetSwapPrice1);
if (error5>tolerance) {
Assert.Fail("wrong clean price for frnbond:"
+ "\n generic frn rate bond's clean price: "
+ floatingBondAssetSwapPrice1
+ "\n equivalent specialized bond's price: "
+ floatingSpecializedBondAssetSwapPrice1
+ "\n error: " + error5
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double floatingBondMktPrice1= 101.33;
AssetSwap floatingBondASW1= new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondASW1.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondASW1= new AssetSwap(payFixedRate,
floatingSpecializedBond1,
floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondASW1.setPricingEngine(swapEngine);
double floatingBondASWSpread1 = floatingBondASW1.fairSpread();
double floatingSpecializedBondASWSpread1 =
floatingSpecializedBondASW1.fairSpread();
double error6 =
Math.Abs(floatingBondASWSpread1-floatingSpecializedBondASWSpread1);
if (error6>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic frn rate bond's asw spread: "
+ floatingBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ floatingSpecializedBondASWSpread1
+ "\n error: " + error6
+ "\n tolerance: " + tolerance);
}
//FRN bond (Isin: XS0090566539 COE 0 09/24/18)
//maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2= new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.inArrears(inArrears)
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 = bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new SimpleCashFlow(100.0, floatingbondRedemption2));
// generic bond
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate2, floatingBondStartDate2,floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
// equivalent specialized floater
Bond floatingSpecializedBond2 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule2,
vars.iborIndex, new Actual360(),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List<double>{1},
new List<double>{0.0025},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(24,Month.September,2004));
floatingSpecializedBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
Utils.setCouponPricer(floatingSpecializedBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
double floatingBondPrice2 = floatingBond2.cleanPrice();
double floatingSpecializedBondPrice2= floatingSpecializedBond2.cleanPrice();
AssetSwap floatingBondAssetSwap2= new AssetSwap(payFixedRate,
floatingBond2, floatingBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,
floatingSpecializedBond2,
floatingSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice2 = floatingBondAssetSwap2.fairCleanPrice();
double floatingSpecializedBondAssetSwapPrice2 =
floatingSpecializedBondAssetSwap2.fairCleanPrice();
double error7 =
Math.Abs(floatingBondAssetSwapPrice2-floatingSpecializedBondAssetSwapPrice2);
if (error7>tolerance) {
Assert.Fail("wrong clean price for frnbond:"
+ "\n generic frn rate bond's clean price: "
+ floatingBondAssetSwapPrice2
+ "\n equivalent specialized frn bond's price: "
+ floatingSpecializedBondAssetSwapPrice2
+ "\n error: " + error7
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double floatingBondMktPrice2 = 101.26;
AssetSwap floatingBondASW2= new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondASW2.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondASW2= new AssetSwap(payFixedRate,
floatingSpecializedBond2,
floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondASW2.setPricingEngine(swapEngine);
double floatingBondASWSpread2 = floatingBondASW2.fairSpread();
double floatingSpecializedBondASWSpread2 =
floatingSpecializedBondASW2.fairSpread();
double error8 =
Math.Abs(floatingBondASWSpread2-floatingSpecializedBondASWSpread2);
if (error8>tolerance) {
Assert.Fail("wrong asw spread for frn bond:"
+ "\n generic frn rate bond's asw spread: "
+ floatingBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ floatingSpecializedBondASWSpread2
+ "\n error: " + error8
+ "\n tolerance: " + tolerance);
}
// CMS bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
// generic cms bond
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate1, cmsBondStartDate1, cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
// equivalent specialized cms bond
Bond cmsSpecializedBond1 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule1,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1.0}, new List<double>{0.0},
new List<double>{0.055}, new List<double>{0.025},
inArrears,
100.0, new Date(22,Month.August,2005));
cmsSpecializedBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
Utils.setCouponPricer(cmsSpecializedBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondPrice1 = cmsBond1.cleanPrice();
double cmsSpecializedBondPrice1 = cmsSpecializedBond1.cleanPrice();
AssetSwap cmsBondAssetSwap1= new AssetSwap(payFixedRate,cmsBond1, cmsBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,cmsSpecializedBond1,
cmsSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice1 = cmsBondAssetSwap1.fairCleanPrice();
double cmsSpecializedBondAssetSwapPrice1 =
cmsSpecializedBondAssetSwap1.fairCleanPrice();
double error9 =
Math.Abs(cmsBondAssetSwapPrice1-cmsSpecializedBondAssetSwapPrice1);
if (error9>tolerance) {
Assert.Fail("wrong clean price for cmsbond:"
+ "\n generic bond's clean price: "
+ cmsBondAssetSwapPrice1
+ "\n equivalent specialized cms rate bond's price: "
+ cmsSpecializedBondAssetSwapPrice1
+ "\n error: " + error9
+ "\n tolerance: " + tolerance);
}
double cmsBondMktPrice1 = 87.02;// market executable price as of 4th sept 2007
AssetSwap cmsBondASW1= new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondASW1.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondASW1= new AssetSwap(payFixedRate,
cmsSpecializedBond1,
cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondASW1.setPricingEngine(swapEngine);
double cmsBondASWSpread1 = cmsBondASW1.fairSpread();
double cmsSpecializedBondASWSpread1 = cmsSpecializedBondASW1.fairSpread();
double error10 = Math.Abs(cmsBondASWSpread1-cmsSpecializedBondASWSpread1);
if (error10>tolerance) {
Assert.Fail("wrong asw spread for cm bond:"
+ "\n generic cms rate bond's asw spread: "
+ cmsBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ cmsSpecializedBondASWSpread1
+ "\n error: " + error10
+ "\n tolerance: " + tolerance);
}
//CMS bond (Isin: XS0218766664 ISPIM 0 5/6/15)
//maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2,
BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
// generic bond
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate2, cmsBondStartDate2, cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
// equivalent specialized cms bond
Bond cmsSpecializedBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{0.84}, new List<double>{0.0},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(06,Month.May,2005));
cmsSpecializedBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
Utils.setCouponPricer(cmsSpecializedBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondPrice2 = cmsBond2.cleanPrice();
double cmsSpecializedBondPrice2 = cmsSpecializedBond2.cleanPrice();
AssetSwap cmsBondAssetSwap2= new AssetSwap(payFixedRate,cmsBond2, cmsBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,cmsSpecializedBond2,
cmsSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice2 = cmsBondAssetSwap2.fairCleanPrice();
double cmsSpecializedBondAssetSwapPrice2 =
cmsSpecializedBondAssetSwap2.fairCleanPrice();
double error11 =
Math.Abs(cmsBondAssetSwapPrice2-cmsSpecializedBondAssetSwapPrice2);
if (error11>tolerance) {
Assert.Fail("wrong clean price for cmsbond:"
+ "\n generic bond's clean price: "
+ cmsBondAssetSwapPrice2
+ "\n equivalent specialized cms rate bond's price: "
+ cmsSpecializedBondAssetSwapPrice2
+ "\n error: " + error11
+ "\n tolerance: " + tolerance);
}
double cmsBondMktPrice2 = 94.35;// market executable price as of 4th sept 2007
AssetSwap cmsBondASW2= new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondASW2.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondASW2= new AssetSwap(payFixedRate,
cmsSpecializedBond2,
cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondASW2.setPricingEngine(swapEngine);
double cmsBondASWSpread2 = cmsBondASW2.fairSpread();
double cmsSpecializedBondASWSpread2 = cmsSpecializedBondASW2.fairSpread();
double error12 = Math.Abs(cmsBondASWSpread2-cmsSpecializedBondASWSpread2);
if (error12>tolerance) {
Assert.Fail("wrong asw spread for cm bond:"
+ "\n generic cms rate bond's asw spread: "
+ cmsBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ cmsSpecializedBondASWSpread2
+ "\n error: " + error12
+ "\n tolerance: " + tolerance);
}
// Zero-Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
// generic bond
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate1, zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
// specialized zerocpn bond
Bond zeroCpnSpecializedBond1= new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(20,Month.December,2015),
BusinessDayConvention.Following,
100.0, new Date(19,Month.December,1985));
zeroCpnSpecializedBond1.setPricingEngine(bondEngine);
double zeroCpnBondPrice1 = zeroCpnBond1.cleanPrice();
double zeroCpnSpecializedBondPrice1 = zeroCpnSpecializedBond1.cleanPrice();
AssetSwap zeroCpnBondAssetSwap1= new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond1,
zeroCpnSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice1 = zeroCpnBondAssetSwap1.fairCleanPrice();
double zeroCpnSpecializedBondAssetSwapPrice1 =
zeroCpnSpecializedBondAssetSwap1.fairCleanPrice();
double error13 =
Math.Abs(zeroCpnBondAssetSwapPrice1-zeroCpnSpecializedBondAssetSwapPrice1);
if (error13>tolerance) {
Assert.Fail("wrong clean price for zerocpn bond:"
+ "\n generic zero cpn bond's clean price: "
+ zeroCpnBondAssetSwapPrice1
+ "\n specialized equivalent bond's price: "
+ zeroCpnSpecializedBondAssetSwapPrice1
+ "\n error: " + error13
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double zeroCpnBondMktPrice1 = 72.277;
AssetSwap zeroCpnBondASW1= new AssetSwap(payFixedRate,
zeroCpnBond1,zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondASW1.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondASW1= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondASW1.setPricingEngine(swapEngine);
double zeroCpnBondASWSpread1 = zeroCpnBondASW1.fairSpread();
double zeroCpnSpecializedBondASWSpread1 =
zeroCpnSpecializedBondASW1.fairSpread();
double error14 =
Math.Abs(zeroCpnBondASWSpread1-zeroCpnSpecializedBondASWSpread1);
if (error14>tolerance) {
Assert.Fail("wrong asw spread for zeroCpn bond:"
+ "\n generic zeroCpn bond's asw spread: "
+ zeroCpnBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ zeroCpnSpecializedBondASWSpread1
+ "\n error: " + error14
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
// generic bond
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
// specialized zerocpn bond
Bond zeroCpnSpecializedBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(17,Month.February,2028),
BusinessDayConvention.Following,
100.0, new Date(17,Month.February,1998));
zeroCpnSpecializedBond2.setPricingEngine(bondEngine);
double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
double zeroCpnSpecializedBondPrice2 = zeroCpnSpecializedBond2.cleanPrice();
AssetSwap zeroCpnBondAssetSwap2= new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond2,
zeroCpnSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice2 = zeroCpnBondAssetSwap2.fairCleanPrice();
double zeroCpnSpecializedBondAssetSwapPrice2 =
zeroCpnSpecializedBondAssetSwap2.fairCleanPrice();
double error15 = Math.Abs(zeroCpnBondAssetSwapPrice2
-zeroCpnSpecializedBondAssetSwapPrice2);
if (error15>tolerance) {
Assert.Fail("wrong clean price for zerocpn bond:"
+ "\n generic zero cpn bond's clean price: "
+ zeroCpnBondAssetSwapPrice2
+ "\n equivalent specialized bond's price: "
+ zeroCpnSpecializedBondAssetSwapPrice2
+ "\n error: " + error15
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double zeroCpnBondMktPrice2 = 72.277;
AssetSwap zeroCpnBondASW2= new AssetSwap(payFixedRate,
zeroCpnBond2,zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondASW2.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondASW2= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondASW2.setPricingEngine(swapEngine);
double zeroCpnBondASWSpread2 = zeroCpnBondASW2.fairSpread();
double zeroCpnSpecializedBondASWSpread2 =
zeroCpnSpecializedBondASW2.fairSpread();
double error16 =
Math.Abs(zeroCpnBondASWSpread2-zeroCpnSpecializedBondASWSpread2);
if (error16>tolerance) {
Assert.Fail("wrong asw spread for zeroCpn bond:"
+ "\n generic zeroCpn bond's asw spread: "
+ zeroCpnBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ zeroCpnSpecializedBondASWSpread2
+ "\n error: " + error16
+ "\n tolerance: " + tolerance);
}
}
public void calculate(GBMParaViewModel para)
{
// set up dates
Calendar calendar = new TARGET();
//Date todaysDate = new Date(DateTime.Now);
Date settlementDate = new Date(para.ReferenceDate_);
Settings.setEvaluationDate(settlementDate);
// our options
Option.Type type = this.callPutEnum_;
double underlying = para.CurrentPrice_;
double strike = this.strike_;
double dividendYield = para.Dividend_ / 100;
double riskFreeRate = para.Drift_ / 100;
double volatility = 0.0;
if (this.callPutEnum_ == Option.Type.Call)
{
try
{
volatility = para.Call_Interpolation_.value(this.strike_) / 100;
this.imVolCal_ = Math.Round(para.Call_Interpolation_.value(this.strike_), 1);
}
catch (Exception)
{
volatility = para.Call_Interpolation_.value(this.strike_, true) / 100;
this.imVolCal_ = Math.Round(para.Call_Interpolation_.value(this.strike_,true), 1);
}
}
else if (this.callPutEnum_ == Option.Type.Put)
{
try
{
volatility = para.Call_Interpolation_.value(this.strike_) / 100;
this.imVolCal_ = Math.Round(para.Put_Interpolation_.value(this.strike_), 1);
}
catch (Exception)
{
volatility = para.Call_Interpolation_.value(this.strike_, true) / 100;
this.imVolCal_ = Math.Round(para.Put_Interpolation_.value(this.strike_,true), 1);
}
}
Date maturity = new Date(this.maturiry_);
DayCounter dayCounter = new Actual365Fixed();
//// write column headings
//int[] widths = new int[] { 35, 14, 14, 14 };
//Console.Write("{0,-" + widths[0] + "}", "Method");
//Console.Write("{0,-" + widths[1] + "}", "European");
//Console.Write("{0,-" + widths[2] + "}", "Bermudan");
//Console.WriteLine("{0,-" + widths[3] + "}", "American");
//List<Date> exerciseDates = new List<Date>(); ;
//for (int i = 1; i <= 4; i++)
// exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
Exercise europeanExercise = new EuropeanExercise(maturity);
//Exercise bermudanExercise = new BermudanExercise(exerciseDates);
//Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// Analytic formulas:
// Black-Scholes for European
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
this.npv_ = Math.Round(europeanOption.NPV(),6);
this.deltaCal_ = Math.Round(europeanOption.delta(),6);
this.gammaCal_= Math.Round(europeanOption.gamma(),6);
this.vegaCal_ = Math.Round(europeanOption.vega()/ 100, 6);
this.thetaCal_= Math.Round(europeanOption.theta()/ 365,6) ;
this.rhoCal_ = Math.Round(europeanOption.rho() / 100, 6);
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(22, Month.September, 2004);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 2;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
todaysDate = Settings.evaluationDate();
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// deposits
double d1wQuote = 0.0382;
double d1mQuote = 0.0372;
double d3mQuote = 0.0363;
double d6mQuote = 0.0353;
double d9mQuote = 0.0348;
double d1yQuote = 0.0345;
// FRAs
double fra3x6Quote = 0.037125;
double fra6x9Quote = 0.037125;
double fra6x12Quote = 0.037125;
// futures
double fut1Quote = 96.2875;
double fut2Quote = 96.7875;
double fut3Quote = 96.9875;
double fut4Quote = 96.6875;
double fut5Quote = 96.4875;
double fut6Quote = 96.3875;
double fut7Quote = 96.2875;
double fut8Quote = 96.0875;
// swaps
double s2yQuote = 0.037125;
double s3yQuote = 0.0398;
double s5yQuote = 0.0443;
double s10yQuote = 0.05165;
double s15yQuote = 0.055175;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// FRAs
Quote fra3x6Rate = new SimpleQuote(fra3x6Quote);
Quote fra6x9Rate = new SimpleQuote(fra6x9Quote);
Quote fra6x12Rate = new SimpleQuote(fra6x12Quote);
// futures
Quote fut1Price = new SimpleQuote(fut1Quote);
Quote fut2Price = new SimpleQuote(fut2Quote);
Quote fut3Price = new SimpleQuote(fut3Quote);
Quote fut4Price = new SimpleQuote(fut4Quote);
Quote fut5Price = new SimpleQuote(fut5Quote);
Quote fut6Price = new SimpleQuote(fut6Quote);
Quote fut7Price = new SimpleQuote(fut7Quote);
Quote fut8Price = new SimpleQuote(fut8Quote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(new Handle<Quote>(d1wRate), new Period(1, TimeUnit.Weeks),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(new Handle<Quote>(d1mRate), new Period(1, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(new Handle<Quote>(d3mRate), new Period(3, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(new Handle<Quote>(d6mRate), new Period(6, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(new Handle<Quote>(d9mRate), new Period(9, TimeUnit.Months),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(new Handle<Quote>(d1yRate), new Period(1, TimeUnit.Years),
fixingDays, calendar, BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup FRAs
RateHelper fra3x6 = new FraRateHelper(new Handle<Quote>(fra3x6Rate), 3, 6, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x9 = new FraRateHelper(new Handle<Quote>(fra6x9Rate), 6, 9, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
RateHelper fra6x12 = new FraRateHelper(new Handle<Quote>(fra6x12Rate), 6, 12, fixingDays, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup futures
// Handle<Quote> convexityAdjustment = new Handle<Quote>(new SimpleQuote(0.0));
int futMonths = 3;
Date imm = IMM.nextDate(settlementDate);
RateHelper fut1 = new FuturesRateHelper(new Handle<Quote>(fut1Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut2 = new FuturesRateHelper(new Handle<Quote>(fut2Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut3 = new FuturesRateHelper(new Handle<Quote>(fut3Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut4 = new FuturesRateHelper(new Handle<Quote>(fut4Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut5 = new FuturesRateHelper(new Handle<Quote>(fut5Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut6 = new FuturesRateHelper(new Handle<Quote>(fut6Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut7 = new FuturesRateHelper(new Handle<Quote>(fut7Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
imm = IMM.nextDate(imm + 1);
RateHelper fut8 = new FuturesRateHelper(new Handle<Quote>(fut8Price), imm, futMonths, calendar,
BusinessDayConvention.ModifiedFollowing, true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency = Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
RateHelper s2y = new SwapRateHelper(new Handle<Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s3y = new SwapRateHelper(new Handle<Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s5y = new SwapRateHelper(new Handle<Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s10y = new SwapRateHelper(new Handle<Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
RateHelper s15y = new SwapRateHelper(new Handle<Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-swap curve
List<RateHelper> depoSwapInstruments = new List<RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoSwapInstruments, termStructureDayCounter, new List<Handle<Quote>>(), new List<Date>(), tolerance);
// A depo-futures-swap curve
List<RateHelper> depoFutSwapInstruments = new List<RateHelper>();
depoFutSwapInstruments.Add(d1w);
depoFutSwapInstruments.Add(d1m);
depoFutSwapInstruments.Add(fut1);
depoFutSwapInstruments.Add(fut2);
depoFutSwapInstruments.Add(fut3);
depoFutSwapInstruments.Add(fut4);
depoFutSwapInstruments.Add(fut5);
depoFutSwapInstruments.Add(fut6);
depoFutSwapInstruments.Add(fut7);
depoFutSwapInstruments.Add(fut8);
depoFutSwapInstruments.Add(s3y);
depoFutSwapInstruments.Add(s5y);
depoFutSwapInstruments.Add(s10y);
depoFutSwapInstruments.Add(s15y);
YieldTermStructure depoFutSwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoFutSwapInstruments, termStructureDayCounter, new List<Handle<Quote>>(), new List<Date>(), tolerance);
// A depo-FRA-swap curve
List<RateHelper> depoFRASwapInstruments = new List<RateHelper>();
depoFRASwapInstruments.Add(d1w);
depoFRASwapInstruments.Add(d1m);
depoFRASwapInstruments.Add(d3m);
depoFRASwapInstruments.Add(fra3x6);
depoFRASwapInstruments.Add(fra6x9);
depoFRASwapInstruments.Add(fra6x12);
depoFRASwapInstruments.Add(s2y);
depoFRASwapInstruments.Add(s3y);
depoFRASwapInstruments.Add(s5y);
depoFRASwapInstruments.Add(s10y);
depoFRASwapInstruments.Add(s15y);
YieldTermStructure depoFRASwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoFRASwapInstruments, termStructureDayCounter, new List<Handle<Quote>>(), new List<Date>(), tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle<YieldTermStructure> discountingTermStructure = new RelinkableHandle<YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle<YieldTermStructure> forecastingTermStructure = new RelinkableHandle<YieldTermStructure>();
/*********************
* SWAPS TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Frequency.Annual;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
double fixedRate = 0.04;
DayCounter floatingLegDayCounter = new Actual360();
// floating leg
Frequency floatingLegFrequency = Frequency.Semiannual;
IborIndex euriborIndex = new Euribor6M(forecastingTermStructure);
double spread = 0.0;
int lenghtInYears = 5;
VanillaSwap.Type swapType = VanillaSwap.Type.Payer;
Date maturity = settlementDate + new Period(lenghtInYears, TimeUnit.Years);
Schedule fixedSchedule = new Schedule(settlementDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(settlementDate, maturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap spot5YearSwap = new VanillaSwap(swapType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread, floatingLegDayCounter);
Date fwdStart = calendar.advance(settlementDate, 1, TimeUnit.Years);
Date fwdMaturity = fwdStart + new Period(lenghtInYears, TimeUnit.Years);
Schedule fwdFixedSchedule = new Schedule(fwdStart, fwdMaturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule fwdFloatSchedule = new Schedule(fwdStart, fwdMaturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap oneYearForward5YearSwap = new VanillaSwap(swapType, nominal, fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread, floatingLegDayCounter);
/***************
* SWAP PRICING *
****************/
// utilities for reporting
List<string> headers = new List<string>();
headers.Add("term structure");
headers.Add("net present value");
headers.Add("fair spread");
headers.Add("fair fixed rate");
string separator = " | ";
int width = headers[0].Length + separator.Length
+ headers[1].Length + separator.Length
+ headers[2].Length + separator.Length
+ headers[3].Length + separator.Length - 1;
string rule = string.Format("").PadLeft(width, '-'), dblrule = string.Format("").PadLeft(width, '=');
string tab = string.Format("").PadLeft(8, ' ');
// calculations
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
double NPV;
double fairRate;
double fairSpread;
IPricingEngine swapEngine = new DiscountingSwapEngine(discountingTermStructure);
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
// Of course, you're not forced to really use different curves
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// let's check that the 5 years swap has been correctly re-priced
if (!(Math.Abs(fairRate-s5yQuote)<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yQuote));
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yQuote)<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yQuote));
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yQuote)<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yQuote));
Console.WriteLine(rule);
// now let's price the 1Y forward 5Y swap
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
// now let's say that the 5-years swap rate goes up to 4.60%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we're using SimpleQuotes,
// we'll have to change the value manually--which forces us to
// downcast the handle and use the SimpleQuote
// interface. In any case, the point here is that a change in the
// value contained in the Quote triggers a new bootstrapping
// of the curve and a repricing of the swap.
SimpleQuote fiveYearsRate = s5yRate as SimpleQuote;
fiveYearsRate.setValue(0.0460);
Console.WriteLine(dblrule);
Console.WriteLine("5-year market swap-rate = {0:0.00%}", s5yRate.value());
Console.WriteLine(dblrule);
Console.WriteLine(tab + "5-years swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
// now get the updated results
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yRate.value())<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yRate.value()));
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yRate.value())<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yRate.value()));
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
if (!(Math.Abs(fairRate-s5yRate.value())<1e-8))
throw new ApplicationException("5-years swap mispriced by " + Math.Abs(fairRate-s5yRate.value()));
Console.WriteLine(rule);
// the 1Y forward 5Y swap changes as well
Console.WriteLine(tab + "5-years, 1-year forward swap paying {0:0.00%}", fixedRate);
Console.WriteLine(headers[0] + separator
+ headers[1] + separator
+ headers[2] + separator
+ headers[3] + separator);
Console.WriteLine(rule);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-fut-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
Console.Write("{0," + headers[0].Length + ":0.00}" + separator, "depo-FRA-swap");
Console.Write("{0," + headers[1].Length + ":0.00}" + separator, NPV);
Console.Write("{0," + headers[2].Length + ":0.00%}" + separator, fairSpread);
Console.WriteLine("{0," + headers[3].Length + ":0.00%}" + separator, fairRate);
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testModifiedCalendars()
{
Calendar c1 = new TARGET();
Calendar c2 = new UnitedStates(UnitedStates.Market.NYSE);
Date d1 = new Date(1, Month.May, 2004); // holiday for both calendars
Date d2 = new Date(26, Month.April, 2004); // business day
Assert.IsTrue(c1.isHoliday(d1), "wrong assumption---correct the test");
Assert.IsTrue(c1.isBusinessDay(d2), "wrong assumption---correct the test");
Assert.IsTrue(c2.isHoliday(d1), "wrong assumption---correct the test");
Assert.IsTrue(c2.isBusinessDay(d2), "wrong assumption---correct the test");
// modify the TARGET calendar
c1.removeHoliday(d1);
c1.addHoliday(d2);
// test
Assert.IsFalse(c1.isHoliday(d1), d1 + " still a holiday for original TARGET instance");
Assert.IsFalse(c1.isBusinessDay(d2), d2 + " still a business day for original TARGET instance");
// any instance of TARGET should be modified...
Calendar c3 = new TARGET();
Assert.IsFalse(c3.isHoliday(d1), d1 + " still a holiday for generic TARGET instance");
Assert.IsFalse(c3.isBusinessDay(d2), d2 + " still a business day for generic TARGET instance");
// ...but not other calendars
Assert.IsFalse(c2.isBusinessDay(d1), d1 + " business day for New York");
Assert.IsFalse(c2.isHoliday(d2), d2 + " holiday for New York");
// restore original holiday set---test the other way around
c3.addHoliday(d1);
c3.removeHoliday(d2);
Assert.IsFalse(c1.isBusinessDay(d1), d1 + " still a business day");
Assert.IsFalse(c1.isHoliday(d2), d2 + " still a holiday");
}
public void testEndOfMonth()
{
//BOOST_MESSAGE("Testing end-of-month calculation...");
Calendar c = new TARGET(); // any calendar would be OK
Date eom, counter = Date.minDate();
Date last = Date.maxDate() - new Period(2, TimeUnit.Months);
while (counter<=last) {
eom = c.endOfMonth(counter);
// check that eom is eom
if (!c.isEndOfMonth(eom))
Assert.Fail("\n "
+ eom.weekday() + " " + eom
+ " is not the last business day in "
+ eom.month() + " " + eom.year()
+ " according to " + c.name());
// check that eom is in the same month as counter
if (eom.month()!=counter.month())
Assert.Fail("\n "
+ eom
+ " is not in the same month as "
+ counter);
counter = counter + 1;
}
}
public void testImpliedValue()
{
// Testing implied bond value against asset-swap fair price with null spread
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Schedule fixedBondSchedule1 = new Schedule( new Date(4,Month.January,2005),
new Date(4,Month.January,2037),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond1 = new FixedRateBond(settlementDays, vars.faceAmount,
fixedBondSchedule1,
new List<double>(){0.04},
new ActualActual(ActualActual.Convention.ISDA),
BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixedRate, fixedBond1, fixedBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondAssetSwapPrice1-fixedBondPrice1);
if (error1>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:" +
"\n bond's clean price: " + fixedBondPrice1 +
"\n asset swap fair price: " + fixedBondAssetSwapPrice1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Schedule fixedBondSchedule2 = new Schedule( new Date(5,Month.February,2005),
new Date(5,Month.February,2019),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond2 = new FixedRateBond(settlementDays, vars.faceAmount,
fixedBondSchedule2,
new List<double>(){0.05},
new Thirty360(Thirty360.Thirty360Convention.BondBasis),
BusinessDayConvention.Following,
100.0, new Date(5,Month.February,2005));
fixedBond2.setPricingEngine(bondEngine);
double fixedBondPrice2 = fixedBond2.cleanPrice();
AssetSwap fixedBondAssetSwap2 = new AssetSwap(payFixedRate, fixedBond2, fixedBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
fixedBondAssetSwap2.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice2 = fixedBondAssetSwap2.fairCleanPrice();
double error2 = Math.Abs(fixedBondAssetSwapPrice2-fixedBondPrice2);
if (error2>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:" +
"\n bond's clean price: " + fixedBondPrice2 +
"\n asset swap fair price: " + fixedBondAssetSwapPrice2 +
"\n error: " + error2 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Schedule floatingBondSchedule1 = new Schedule( new Date(29,Month.September,2003),
new Date(29,Month.September,2013),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond floatingBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule1,
vars.iborIndex, new Actual360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){1},
new List<double>(){0.0056},
new List<double>(),
new List<double>(),
inArrears,
100.0, new Date(29,Month.September,2003));
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondPrice1 = floatingBond1.cleanPrice();
AssetSwap floatingBondAssetSwap1 = new AssetSwap(payFixedRate, floatingBond1, floatingBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
floatingBondAssetSwap1.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice1 = floatingBondAssetSwap1.fairCleanPrice();
double error3 = Math.Abs(floatingBondAssetSwapPrice1-floatingBondPrice1);
if (error3>tolerance) {
Assert.Fail("wrong zero spread asset swap price for floater:" +
"\n bond's clean price: " + floatingBondPrice1 +
"\n asset swap fair price: " + floatingBondAssetSwapPrice1 +
"\n error: " + error3 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Schedule floatingBondSchedule2 = new Schedule( new Date(24,Month.September,2004),
new Date(24,Month.September,2018),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
Bond floatingBond2 = new FloatingRateBond( settlementDays, vars.faceAmount,
floatingBondSchedule2,
vars.iborIndex, new Actual360(),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List<double>(){1},
new List<double>(){0.0025},
new List<double>(),
new List<double>(),
inArrears,
100.0, new Date(24,Month.September,2004));
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing( new Date(22,Month.March,2007), 0.04013);
double currentCoupon=0.04013+0.0025;
double floatingCurrentCoupon= floatingBond2.nextCouponRate();
double error4= Math.Abs(floatingCurrentCoupon-currentCoupon);
if (error4>tolerance) {
Assert.Fail("wrong current coupon is returned for floater bond:" +
"\n bond's calculated current coupon: " +
currentCoupon +
"\n current coupon asked to the bond: " +
floatingCurrentCoupon +
"\n error: " + error4 +
"\n tolerance: " + tolerance);
}
double floatingBondPrice2 = floatingBond2.cleanPrice();
AssetSwap floatingBondAssetSwap2 = new AssetSwap(payFixedRate,floatingBond2, floatingBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
floatingBondAssetSwap2.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice2 = floatingBondAssetSwap2.fairCleanPrice();
double error5 = Math.Abs(floatingBondAssetSwapPrice2-floatingBondPrice2);
if (error5>tolerance) {
Assert.Fail("wrong zero spread asset swap price for floater:" +
"\n bond's clean price: " + floatingBondPrice2 +
"\n asset swap fair price: " + floatingBondAssetSwapPrice2 +
"\n error: " + error5 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Schedule cmsBondSchedule1 = new Schedule( new Date(22,Month.August,2005),
new Date(22,Month.August,2020),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond1 = new CmsRateBond(settlementDays, vars.faceAmount,
cmsBondSchedule1,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){1.0},
new List<double>(){0.0},
new List<double>(){0.055},
new List<double>(){0.025},
inArrears,
100.0, new Date(22,Month.August,2005));
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing( new Date(18,Month.August,2006), 0.04158);
double cmsBondPrice1 = cmsBond1.cleanPrice();
AssetSwap cmsBondAssetSwap1 = new AssetSwap(payFixedRate, cmsBond1, cmsBondPrice1, vars.iborIndex, vars.spread,
null,vars.iborIndex.dayCounter(), parAssetSwap);
cmsBondAssetSwap1.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice1 = cmsBondAssetSwap1.fairCleanPrice();
double error6 = Math.Abs(cmsBondAssetSwapPrice1-cmsBondPrice1);
if (error6>tolerance) {
Assert.Fail("wrong zero spread asset swap price for cms bond:" +
"\n bond's clean price: " + cmsBondPrice1 +
"\n asset swap fair price: " + cmsBondAssetSwapPrice1 +
"\n error: " + error6 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Schedule cmsBondSchedule2 = new Schedule( new Date(06,Month.May,2005),
new Date(06,Month.May,2015),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){0.84}, new List<double>(){0.0},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(06,Month.May,2005));
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing( new Date(04,Month.May,2006), 0.04217);
double cmsBondPrice2 = cmsBond2.cleanPrice();
AssetSwap cmsBondAssetSwap2 = new AssetSwap(payFixedRate,cmsBond2, cmsBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
cmsBondAssetSwap2.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice2 = cmsBondAssetSwap2.fairCleanPrice();
double error7 = Math.Abs(cmsBondAssetSwapPrice2-cmsBondPrice2);
if (error7>tolerance) {
Assert.Fail("wrong zero spread asset swap price for cms bond:" +
"\n bond's clean price: " + cmsBondPrice2 +
"\n asset swap fair price: " + cmsBondAssetSwapPrice2 +
"\n error: " + error7 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Bond zeroCpnBond1 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(20,Month.December,2015),
BusinessDayConvention.Following,
100.0, new Date(19,Month.December,1985));
zeroCpnBond1.setPricingEngine(bondEngine);
double zeroCpnBondPrice1 = zeroCpnBond1.cleanPrice();
AssetSwap zeroCpnAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1, zeroCpnBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
zeroCpnAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice1 = zeroCpnAssetSwap1.fairCleanPrice();
double error8 = Math.Abs(cmsBondAssetSwapPrice1-cmsBondPrice1);
if (error8>tolerance) {
Assert.Fail("wrong zero spread asset swap price for zero cpn bond:" +
"\n bond's clean price: " + zeroCpnBondPrice1 +
"\n asset swap fair price: " + zeroCpnBondAssetSwapPrice1 +
"\n error: " + error8 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Bond zeroCpnBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(17,Month.February,2028),
BusinessDayConvention.Following,
100.0, new Date(17,Month.February,1998));
zeroCpnBond2.setPricingEngine(bondEngine);
double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
AssetSwap zeroCpnAssetSwap2 = new AssetSwap(payFixedRate, zeroCpnBond2, zeroCpnBondPrice2, vars.iborIndex, vars.spread,
null,vars.iborIndex.dayCounter(), parAssetSwap);
zeroCpnAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice2 = zeroCpnAssetSwap2.fairCleanPrice();
double error9 = Math.Abs(cmsBondAssetSwapPrice2-cmsBondPrice2);
if (error9>tolerance) {
Assert.Fail("wrong zero spread asset swap price for zero cpn bond:" +
"\n bond's clean price: " + zeroCpnBondPrice2 +
"\n asset swap fair price: " + zeroCpnBondAssetSwapPrice2 +
"\n error: " + error9 +
"\n tolerance: " + tolerance);
}
}
public void testCachedValue()
{
// Testing credit-default swap against cached values...
SavedSettings backup = new SavedSettings();
// Initialize curves
Settings.setEvaluationDate(new Date(9,Month.June,2006));
Date today = Settings.evaluationDate();
Calendar calendar = new TARGET();
Handle<Quote> hazardRate = new Handle<Quote>(new SimpleQuote(0.01234));
RelinkableHandle<DefaultProbabilityTermStructure> probabilityCurve = new RelinkableHandle<DefaultProbabilityTermStructure>();
probabilityCurve.linkTo(new FlatHazardRate(0, calendar, hazardRate, new Actual360()));
RelinkableHandle<YieldTermStructure> discountCurve = new RelinkableHandle<YieldTermStructure>();
discountCurve.linkTo(new FlatForward(today,0.06,new Actual360()));
// Build the schedule
Date issueDate = calendar.advance(today, -1, TimeUnit.Years);
Date maturity = calendar.advance(issueDate, 10, TimeUnit.Years);
Frequency frequency = Frequency.Semiannual;
BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
Schedule schedule = new Schedule(issueDate, maturity, new Period(frequency), calendar,
convention, convention, DateGeneration.Rule.Forward, false);
// Build the CDS
double fixedRate = 0.0120;
DayCounter dayCount = new Actual360();
double notional = 10000.0;
double recoveryRate = 0.4;
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, notional, fixedRate,
schedule, convention, dayCount, true, true);
cds.setPricingEngine(new MidPointCdsEngine(probabilityCurve,recoveryRate,discountCurve));
double npv = 295.0153398;
double fairRate = 0.007517539081;
double calculatedNpv = cds.NPV();
double calculatedFairRate = cds.fairSpread();
double tolerance = 1.0e-7;
if (Math.Abs(calculatedNpv - npv) > tolerance)
Assert.Fail(
"Failed to reproduce NPV with mid-point engine\n"
+ " calculated NPV: " + calculatedNpv + "\n"
+ " expected NPV: " + npv);
if (Math.Abs(calculatedFairRate - fairRate) > tolerance)
Assert.Fail(
"Failed to reproduce fair rate with mid-point engine\n"
+ " calculated fair rate: " + calculatedFairRate + "\n"
+ " expected fair rate: " + fairRate);
cds.setPricingEngine(new IntegralCdsEngine(new Period(1,TimeUnit.Days),probabilityCurve,
recoveryRate,discountCurve));
calculatedNpv = cds.NPV();
calculatedFairRate = cds.fairSpread();
tolerance = 1.0e-5;
if (Math.Abs(calculatedNpv - npv) > notional*tolerance*10)
Assert.Fail(
"Failed to reproduce NPV with integral engine "
+ "(step = 1 day)\n"
+ " calculated NPV: " + calculatedNpv + "\n"
+ " expected NPV: " + npv);
if (Math.Abs(calculatedFairRate - fairRate) > tolerance)
Assert.Fail(
"Failed to reproduce fair rate with integral engine "
+ "(step = 1 day)\n"
+ " calculated fair rate: " + calculatedFairRate + "\n"
+ " expected fair rate: " + fairRate);
cds.setPricingEngine(new IntegralCdsEngine(new Period(1,TimeUnit.Weeks),probabilityCurve,recoveryRate,discountCurve));
calculatedNpv = cds.NPV();
calculatedFairRate = cds.fairSpread();
tolerance = 1.0e-5;
if (Math.Abs(calculatedNpv - npv) > notional*tolerance*10)
Assert.Fail(
"Failed to reproduce NPV with integral engine "
+"(step = 1 week)\n"
+ " calculated NPV: " + calculatedNpv + "\n"
+ " expected NPV: " + npv);
if (Math.Abs(calculatedFairRate - fairRate) > tolerance)
Assert.Fail(
"Failed to reproduce fair rate with integral engine "
+"(step = 1 week)\n"
+ " calculated fair rate: " + calculatedFairRate + "\n"
+ " expected fair rate: " + fairRate);
}
//static void Main(string[] args)
//{
// List<double> xGrid = Enumerable.Range(0, 100).Select(x => x / 10.0).ToList();
// List<double> yGrid = Enumerable.Range(0, 100).Select(x => x / 10.0).ToList();
// //List<double> xGrid = Enumerable.Range(0, 100);
// CubicInterpolation cubic = new CubicInterpolation(xGrid, xGrid.Count, yGrid,
// CubicInterpolation.DerivativeApprox.Kruger, true,
// CubicInterpolation.BoundaryCondition.SecondDerivative , 0.0,
// CubicInterpolation.BoundaryCondition.SecondDerivative , 0.0);
//}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
// set up dates
Calendar calendar = new TARGET();
Date todaysDate = new Date(15, Month.May, 1998);
Date settlementDate = new Date(17, Month.May, 1998);
Settings.setEvaluationDate(todaysDate);
// our options
Option.Type type = Option.Type.Put;
double underlying = 36;
double strike = 40;
double dividendYield = 0.00;
double riskFreeRate = 0.06;
double volatility = 0.20;
Date maturity = new Date(17, Month.May, 1999);
DayCounter dayCounter = new Actual365Fixed();
Console.WriteLine("Option type = " + type);
Console.WriteLine("Maturity = " + maturity);
Console.WriteLine("Underlying price = " + underlying);
Console.WriteLine("Strike = " + strike);
Console.WriteLine("Risk-free interest rate = {0:0.000000%}", riskFreeRate);
Console.WriteLine("Dividend yield = {0:0.000000%}", dividendYield);
Console.WriteLine("Volatility = {0:0.000000%}", volatility);
Console.Write("\n");
string method;
Console.Write("\n");
// write column headings
int[] widths = new int[] { 35, 14, 14, 14 };
Console.Write("{0,-" + widths[0] + "}", "Method");
Console.Write("{0,-" + widths[1] + "}", "European");
Console.Write("{0,-" + widths[2] + "}", "Bermudan");
Console.WriteLine("{0,-" + widths[3] + "}", "American");
List<Date> exerciseDates = new List<Date>(); ;
for (int i = 1; i <= 4; i++)
exerciseDates.Add(settlementDate + new Period(3 * i, TimeUnit.Months));
Exercise europeanExercise = new EuropeanExercise(maturity);
Exercise bermudanExercise = new BermudanExercise(exerciseDates);
Exercise americanExercise = new AmericanExercise(settlementDate, maturity);
Handle<Quote> underlyingH = new Handle<Quote>(new SimpleQuote(underlying));
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
VanillaOption bermudanOption = new VanillaOption(payoff, bermudanExercise);
VanillaOption americanOption = new VanillaOption(payoff, americanExercise);
// Analytic formulas:
// Black-Scholes for European
method = "Black-Scholes";
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
europeanOption.theta();
// Barone-Adesi and Whaley approximation for American
method = "Barone-Adesi/Whaley";
americanOption.setPricingEngine(new BaroneAdesiWhaleyApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Bjerksund and Stensland approximation for American
method = "Bjerksund/Stensland";
americanOption.setPricingEngine(new BjerksundStenslandApproximationEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + "}", "N/A");
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Integral
method = "Integral";
europeanOption.setPricingEngine(new IntegralEngine(bsmProcess));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + "}", "N/A");
Console.WriteLine("{0,-" + widths[3] + "}", "N/A");
// Finite differences
int timeSteps = 801;
method = "Finite differences";
europeanOption.setPricingEngine(new FDEuropeanEngine(bsmProcess, timeSteps, timeSteps - 1));
bermudanOption.setPricingEngine(new FDBermudanEngine(bsmProcess, timeSteps, timeSteps - 1));
americanOption.setPricingEngine(new FDAmericanEngine(bsmProcess, timeSteps, timeSteps - 1));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Jarrow-Rudd
method = "Binomial Jarrow-Rudd";
europeanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<JarrowRudd>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
method = "Binomial Cox-Ross-Rubinstein";
europeanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<CoxRossRubinstein>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Additive equiprobabilities
method = "Additive equiprobabilities";
europeanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<AdditiveEQPBinomialTree>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Trigeorgis
method = "Binomial Trigeorgis";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Trigeorgis>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Tian
method = "Binomial Tian";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Tian>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Leisen-Reimer
method = "Binomial Leisen-Reimer";
europeanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<LeisenReimer>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Binomial method: Binomial Joshi
method = "Binomial Joshi";
europeanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
bermudanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
americanOption.setPricingEngine(new BinomialVanillaEngine<Joshi4>(bsmProcess, timeSteps));
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", bermudanOption.NPV());
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// Monte Carlo Method: MC (crude)
timeSteps = 1;
method = "MC (crude)";
ulong mcSeed = 42;
IPricingEngine mcengine1 = new MakeMCEuropeanEngine<PseudoRandom>(bsmProcess)
.withSteps(timeSteps)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
europeanOption.setPricingEngine(mcengine1);
// Real errorEstimate = europeanOption.errorEstimate();
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: QMC (Sobol)
method = "QMC (Sobol)";
int nSamples = 32768; // 2^15
IPricingEngine mcengine2 = new MakeMCEuropeanEngine<LowDiscrepancy>(bsmProcess)
.withSteps(timeSteps)
.withSamples(nSamples)
.value();
europeanOption.setPricingEngine(mcengine2);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", europeanOption.NPV());
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A");
// Monte Carlo Method: MC (Longstaff Schwartz)
method = "MC (Longstaff Schwartz)";
IPricingEngine mcengine3 = new MakeMCAmericanEngine<PseudoRandom>(bsmProcess)
.withSteps(100)
.withAntitheticVariate()
.withCalibrationSamples(4096)
.withAbsoluteTolerance(0.02)
.withSeed(mcSeed)
.value();
americanOption.setPricingEngine(mcengine3);
Console.Write("{0,-" + widths[0] + "}", method);
Console.Write("{0,-" + widths[1] + ":0.000000}", "N/A");
Console.Write("{0,-" + widths[2] + ":0.000000}", "N/A");
Console.WriteLine("{0,-" + widths[3] + ":0.000000}", americanOption.NPV());
// End test
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testZSpreadWithGenericBond()
{
// Testing clean and dirty price with null Z-spread against theoretical prices...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1= new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1,
BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate1, fixedBondStartDate1,
fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondImpliedValue1 = fixedBond1.cleanPrice();
Date fixedBondSettlementDate1= fixedBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double fixedBondCleanPrice1 = BondFunctions.cleanPrice(fixedBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual, fixedBondSettlementDate1);
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondImpliedValue1-fixedBondCleanPrice1);
if (error1>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: "
+ fixedBondImpliedValue1
+ "\n par asset swap spread: " + fixedBondCleanPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondImpliedValue2 = fixedBond2.cleanPrice();
Date fixedBondSettlementDate2= fixedBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double fixedBondCleanPrice2 = BondFunctions.cleanPrice(fixedBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual, fixedBondSettlementDate2);
double error3 = Math.Abs(fixedBondImpliedValue2-fixedBondCleanPrice2);
if (error3>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: "
+ fixedBondImpliedValue2
+ "\n par asset swap spread: " + fixedBondCleanPrice2
+ "\n error: " + error3
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 =
bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate1, floatingBondStartDate1,
floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondImpliedValue1 = floatingBond1.cleanPrice();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double floatingBondCleanPrice1 = BondFunctions.cleanPrice(floatingBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Semiannual, fixedBondSettlementDate1);
double error5 = Math.Abs(floatingBondImpliedValue1-floatingBondCleanPrice1);
if (error5>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " +
floatingBondImpliedValue1
+ "\n par asset swap spread: " + floatingBondCleanPrice1
+ "\n error: " + error5
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2 = new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.withPaymentDayCounter(new Actual360())
.inArrears(inArrears)
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 = bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new SimpleCashFlow(100.0, floatingbondRedemption2));
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate2,
floatingBondStartDate2, floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
double floatingBondImpliedValue2 = floatingBond2.cleanPrice();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double floatingBondCleanPrice2 = BondFunctions.cleanPrice(floatingBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Semiannual, fixedBondSettlementDate1);
double error7 = Math.Abs(floatingBondImpliedValue2-floatingBondCleanPrice2);
if (error7>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " +
floatingBondImpliedValue2
+ "\n par asset swap spread: " + floatingBondCleanPrice2
+ "\n error: " + error7
+ "\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate1, cmsBondStartDate1,
cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondImpliedValue1 = cmsBond1.cleanPrice();
Date cmsBondSettlementDate1= cmsBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double cmsBondCleanPrice1 = BondFunctions.cleanPrice(cmsBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual,
cmsBondSettlementDate1);
double error9 = Math.Abs(cmsBondImpliedValue1-cmsBondCleanPrice1);
if (error9>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " + cmsBondImpliedValue1
+ "\n par asset swap spread: " + cmsBondCleanPrice1
+ "\n error: " + error9
+ "\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2, BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate2, cmsBondStartDate2, cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondImpliedValue2 = cmsBond2.cleanPrice();
Date cmsBondSettlementDate2= cmsBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double cmsBondCleanPrice2 = BondFunctions.cleanPrice(cmsBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual,
cmsBondSettlementDate2);
double error11 = Math.Abs(cmsBondImpliedValue2-cmsBondCleanPrice2);
if (error11>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " + cmsBondImpliedValue2
+ "\n par asset swap spread: " + cmsBondCleanPrice2
+ "\n error: " + error11
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate1, zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
double zeroCpnBondImpliedValue1 = zeroCpnBond1.cleanPrice();
Date zeroCpnBondSettlementDate1= zeroCpnBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double zeroCpnBondCleanPrice1 =
BondFunctions.cleanPrice(zeroCpnBond1,
vars.termStructure,
vars.spread,
new Actual365Fixed(),
vars.compounding, Frequency.Annual,
zeroCpnBondSettlementDate1);
double error13 = Math.Abs(zeroCpnBondImpliedValue1-zeroCpnBondCleanPrice1);
if (error13>tolerance) {
Assert.Fail("wrong clean price for zero coupon bond:"
+ "\n zero cpn implied value: " +
zeroCpnBondImpliedValue1
+ "\n zero cpn price: " + zeroCpnBondCleanPrice1
+ "\n error: " + error13
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
double zeroCpnBondImpliedValue2 = zeroCpnBond2.cleanPrice();
Date zeroCpnBondSettlementDate2= zeroCpnBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double zeroCpnBondCleanPrice2 =
BondFunctions.cleanPrice(zeroCpnBond2,
vars.termStructure,
vars.spread,
new Actual365Fixed(),
vars.compounding, Frequency.Annual,
zeroCpnBondSettlementDate2);
double error15 = Math.Abs(zeroCpnBondImpliedValue2-zeroCpnBondCleanPrice2);
if (error15>tolerance) {
Assert.Fail("wrong clean price for zero coupon bond:"
+ "\n zero cpn implied value: " +
zeroCpnBondImpliedValue2
+ "\n zero cpn price: " + zeroCpnBondCleanPrice2
+ "\n error: " + error15
+ "\n tolerance: " + tolerance);
}
}
public void testConsistency()
{
// Testing consistency between fair price and fair spread...");
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Schedule bondSchedule = new Schedule(new Date(4, Month.January, 2005),
new Date(4, Month.January, 2037),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond bond = new FixedRateBond(settlementDays, vars.faceAmount,
bondSchedule, new List<double>() { 0.04 },
new ActualActual(ActualActual.Convention.ISDA),
BusinessDayConvention.Following,
100.0, new Date(4, Month.January, 2005));
bool payFixedRate = true;
double bondPrice = 95.0;
bool isPar = true;
AssetSwap parAssetSwap = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure, true, bond.settlementDate(),
Settings.evaluationDate());
parAssetSwap.setPricingEngine(swapEngine);
double fairCleanPrice = parAssetSwap.fairCleanPrice();
double fairSpread = parAssetSwap.fairSpread();
double tolerance = 1.0e-13;
AssetSwap assetSwap2 = new AssetSwap(payFixedRate, bond, fairCleanPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap2.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap2.NPV()) > tolerance)
{
Assert.Fail("npar asset swap fair clean price doesn't zero the NPV: " +
"\n clean price: " + bondPrice +
"\n fair clean price: " + fairCleanPrice +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap2.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + fairCleanPrice +
"\n fair clean price: " + assetSwap2.fairCleanPrice() +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap2.fairSpread() - vars.spread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + vars.spread +
"\n fair spread: " + assetSwap2.fairSpread() +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
AssetSwap assetSwap3 = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, fairSpread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap3.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap3.NPV()) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't zero the NPV: " +
"\n spread: " + vars.spread +
"\n fair spread: " + fairSpread +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap3.fairCleanPrice() - bondPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + bondPrice +
"\n fair clean price: " + assetSwap3.fairCleanPrice() +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap3.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + fairSpread +
"\n fair spread: " + assetSwap3.fairSpread() +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
// let's change the npv date
swapEngine = new DiscountingSwapEngine(vars.termStructure, true, bond.settlementDate(), bond.settlementDate());
parAssetSwap.setPricingEngine(swapEngine);
// fair clean price and fair spread should not change
if (Math.Abs(parAssetSwap.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price changed with NpvDate:" +
"\n expected clean price: " + fairCleanPrice +
"\n fair clean price: " + parAssetSwap.fairCleanPrice() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(parAssetSwap.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread changed with NpvDate:" +
"\n expected spread: " + fairSpread +
"\n fair spread: " + parAssetSwap.fairSpread() +
"\n tolerance: " + tolerance);
}
assetSwap2 = new AssetSwap(payFixedRate, bond, fairCleanPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap2.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap2.NPV()) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't zero the NPV: " +
"\n clean price: " + bondPrice +
"\n fair clean price: " + fairCleanPrice +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap2.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + fairCleanPrice +
"\n fair clean price: " + assetSwap2.fairCleanPrice() +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap2.fairSpread() - vars.spread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + vars.spread +
"\n fair spread: " + assetSwap2.fairSpread() +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
assetSwap3 = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, fairSpread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap3.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap3.NPV()) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't zero the NPV: " +
"\n spread: " + vars.spread +
"\n fair spread: " + fairSpread +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap3.fairCleanPrice() - bondPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + bondPrice +
"\n fair clean price: " + assetSwap3.fairCleanPrice() +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap3.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + fairSpread +
"\n fair spread: " + assetSwap3.fairSpread() +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
// now market asset swap
isPar = false;
AssetSwap mktAssetSwap = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
swapEngine = new DiscountingSwapEngine(vars.termStructure, true, bond.settlementDate(),
Settings.evaluationDate());
mktAssetSwap.setPricingEngine(swapEngine);
fairCleanPrice = mktAssetSwap.fairCleanPrice();
fairSpread = mktAssetSwap.fairSpread();
AssetSwap assetSwap4 = new AssetSwap(payFixedRate, bond, fairCleanPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap4.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap4.NPV()) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't zero the NPV: " +
"\n clean price: " + bondPrice +
"\n fair clean price: " + fairCleanPrice +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap4.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + fairCleanPrice +
"\n fair clean price: " + assetSwap4.fairCleanPrice() +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap4.fairSpread() - vars.spread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + vars.spread +
"\n fair spread: " + assetSwap4.fairSpread() +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
AssetSwap assetSwap5 = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, fairSpread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap5.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap5.NPV()) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't zero the NPV: " +
"\n spread: " + vars.spread +
"\n fair spread: " + fairSpread +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap5.fairCleanPrice() - bondPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + bondPrice +
"\n fair clean price: " + assetSwap5.fairCleanPrice() +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap5.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + fairSpread +
"\n fair spread: " + assetSwap5.fairSpread() +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
// let's change the npv date
swapEngine = new DiscountingSwapEngine(vars.termStructure, true, bond.settlementDate(), bond.settlementDate());
mktAssetSwap.setPricingEngine(swapEngine);
// fair clean price and fair spread should not change
if (Math.Abs(mktAssetSwap.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price changed with NpvDate:" +
"\n expected clean price: " + fairCleanPrice +
"\n fair clean price: " + mktAssetSwap.fairCleanPrice() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(mktAssetSwap.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread changed with NpvDate:" +
"\n expected spread: " + fairSpread +
"\n fair spread: " + mktAssetSwap.fairSpread() +
"\n tolerance: " + tolerance);
}
assetSwap4 = new AssetSwap(payFixedRate, bond, fairCleanPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap4.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap4.NPV()) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't zero the NPV: " +
"\n clean price: " + bondPrice +
"\n fair clean price: " + fairCleanPrice +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap4.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + fairCleanPrice +
"\n fair clean price: " + assetSwap4.fairCleanPrice() +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap4.fairSpread() - vars.spread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + vars.spread +
"\n fair spread: " + assetSwap4.fairSpread() +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
assetSwap5 = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, fairSpread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap5.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap5.NPV()) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't zero the NPV: " +
"\n spread: " + vars.spread +
"\n fair spread: " + fairSpread +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap5.fairCleanPrice() - bondPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + bondPrice +
"\n fair clean price: " + assetSwap5.fairCleanPrice() +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap5.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + fairSpread +
"\n fair spread: " + assetSwap5.fairSpread() +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
}
public void testFairUpfront()
{
// Testing fair-upfront calculation for credit-default swaps...
SavedSettings backup = new SavedSettings();
// Initialize curves
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
Handle<Quote> hazardRate = new Handle<Quote>(new SimpleQuote(0.01234));
RelinkableHandle<DefaultProbabilityTermStructure> probabilityCurve =
new RelinkableHandle<DefaultProbabilityTermStructure>();
probabilityCurve.linkTo(new FlatHazardRate(0, calendar, hazardRate, new Actual360()));
RelinkableHandle<YieldTermStructure> discountCurve =
new RelinkableHandle<YieldTermStructure>();
discountCurve.linkTo(new FlatForward(today,0.06,new Actual360()));
// Build the schedule
Date issueDate = today;
Date maturity = calendar.advance(issueDate, 10, TimeUnit.Years);
BusinessDayConvention convention = BusinessDayConvention.Following;
Schedule schedule =
new MakeSchedule().from(issueDate)
.to(maturity)
.withFrequency(Frequency.Quarterly)
.withCalendar(calendar)
.withTerminationDateConvention(convention)
.withRule(DateGeneration.Rule.TwentiethIMM).value();
// Build the CDS
double fixedRate = 0.05;
double upfront = 0.001;
DayCounter dayCount = new Actual360();
double notional = 10000.0;
double recoveryRate = 0.4;
IPricingEngine engine = new MidPointCdsEngine(probabilityCurve, recoveryRate, discountCurve, true);
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, notional, upfront, fixedRate,
schedule, convention, dayCount, true, true);
cds.setPricingEngine(engine);
double fairUpfront = cds.fairUpfront();
CreditDefaultSwap fairCds = new CreditDefaultSwap(Protection.Side.Seller, notional,
fairUpfront, fixedRate, schedule, convention, dayCount, true, true);
fairCds.setPricingEngine(engine);
double fairNPV = fairCds.NPV();
double tolerance = 1e-10;
if (Math.Abs(fairNPV) > tolerance)
Assert.Fail(
"Failed to reproduce null NPV with calculated fair upfront\n"
+ " calculated upfront: " + fairUpfront + "\n"
+ " calculated NPV: " + fairNPV);
// same with null upfront to begin with
upfront = 0.0;
CreditDefaultSwap cds2 = new CreditDefaultSwap(Protection.Side.Seller, notional, upfront, fixedRate,
schedule, convention, dayCount, true, true);
cds2.setPricingEngine(engine);
fairUpfront = cds2.fairUpfront();
CreditDefaultSwap fairCds2 = new CreditDefaultSwap(Protection.Side.Seller, notional,
fairUpfront, fixedRate, schedule, convention, dayCount, true, true);
fairCds2.setPricingEngine(engine);
fairNPV = fairCds2.NPV();
if (Math.Abs(fairNPV) > tolerance)
Assert.Fail(
"Failed to reproduce null NPV with calculated fair upfront\n"
+ " calculated upfront: " + fairUpfront + "\n"
+ " calculated NPV: " + fairNPV);
}
public void testMarketASWSpread()
{
// Testing relationship between market asset swap and par asset swap...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool mktAssetSwap = false;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Schedule fixedBondSchedule1 = new Schedule(new Date(4,Month.January,2005),
new Date(4,Month.January,2037),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond1 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule1,
new List<double>{0.04},
new ActualActual(ActualActual.Convention.ISDA),BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondMktPrice1 = 89.22 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice1=fixedBondMktPrice1+fixedBond1.accruedAmount();
AssetSwap fixedBondParAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap1.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread1 = fixedBondParAssetSwap1.fairSpread();
AssetSwap fixedBondMktAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap1.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread1 = fixedBondMktAssetSwap1.fairSpread();
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondMktAssetSwapSpread1- 100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);
if (error1>tolerance) {
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market ASW spread: " + fixedBondMktAssetSwapSpread1 +
"\n par ASW spread: " + fixedBondParAssetSwapSpread1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Schedule fixedBondSchedule2 = new Schedule(new Date(5,Month.February,2005),
new Date(5,Month.February,2019),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond2 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule2,
new List<double>{ 0.05},
new Thirty360(Thirty360.Thirty360Convention.BondBasis), BusinessDayConvention.Following,
100.0, new Date(5,Month.February,2005));
fixedBond2.setPricingEngine(bondEngine);
double fixedBondMktPrice2 = 99.98 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice2=fixedBondMktPrice2+fixedBond2.accruedAmount();
AssetSwap fixedBondParAssetSwap2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap2.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread2 = fixedBondParAssetSwap2.fairSpread();
AssetSwap fixedBondMktAssetSwap2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap2.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread2 = fixedBondMktAssetSwap2.fairSpread();
double error2 = Math.Abs(fixedBondMktAssetSwapSpread2-
100*fixedBondParAssetSwapSpread2/fixedBondMktFullPrice2);
if (error2>tolerance) {
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market ASW spread: " + fixedBondMktAssetSwapSpread2 +
"\n par ASW spread: " + fixedBondParAssetSwapSpread2 +
"\n error: " + error2 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Schedule floatingBondSchedule1 = new Schedule( new Date(29,Month.September,2003),
new Date(29,Month.September,2013),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond floatingBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule1,
vars.iborIndex, new Actual360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1}, new List<double>{0.0056},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(29,Month.September,2003));
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
// market price observed on 7th June 2007
double floatingBondMktPrice1 = 101.64 ;
double floatingBondMktFullPrice1 = floatingBondMktPrice1+floatingBond1.accruedAmount();
AssetSwap floatingBondParAssetSwap1 = new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap1.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread1 = floatingBondParAssetSwap1.fairSpread();
AssetSwap floatingBondMktAssetSwap1= new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap1.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread1 = floatingBondMktAssetSwap1.fairSpread();
double error3 = Math.Abs(floatingBondMktAssetSwapSpread1-
100*floatingBondParAssetSwapSpread1/floatingBondMktFullPrice1);
if (error3>tolerance) {
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market ASW spread: " + floatingBondMktAssetSwapSpread1 +
"\n par ASW spread: " + floatingBondParAssetSwapSpread1 +
"\n error: " + error3 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Schedule floatingBondSchedule2 = new Schedule( new Date(24,Month.September,2004),
new Date(24,Month.September,2018),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
Bond floatingBond2 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule2,
vars.iborIndex, new Actual360(),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List<double>{1}, new List<double>{0.0025},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(24,Month.September,2004));
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
// market price observed on 7th June 2007
double floatingBondMktPrice2 = 101.248 ;
double floatingBondMktFullPrice2 = floatingBondMktPrice2+floatingBond2.accruedAmount();
AssetSwap floatingBondParAssetSwap2= new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap2.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread2 = floatingBondParAssetSwap2.fairSpread();
AssetSwap floatingBondMktAssetSwap2 = new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap2.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread2 = floatingBondMktAssetSwap2.fairSpread();
double error4 = Math.Abs(floatingBondMktAssetSwapSpread2-
100*floatingBondParAssetSwapSpread2/floatingBondMktFullPrice2);
if (error4>tolerance) {
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market ASW spread: " + floatingBondMktAssetSwapSpread2 +
"\n par ASW spread: " + floatingBondParAssetSwapSpread2 +
"\n error: " + error4 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Schedule cmsBondSchedule1 = new Schedule( new Date(22,Month.August,2005),
new Date(22,Month.August,2020),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond1 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule1,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1.0}, new List<double>{0.0},
new List<double>{0.055}, new List<double>{0.025},
inArrears,
100.0, new Date(22,Month.August,2005));
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondMktPrice1 = 88.45 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice1 = cmsBondMktPrice1+cmsBond1.accruedAmount();
AssetSwap cmsBondParAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap1.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread1 = cmsBondParAssetSwap1.fairSpread();
AssetSwap cmsBondMktAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap1.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread1 = cmsBondMktAssetSwap1.fairSpread();
double error5 = Math.Abs(cmsBondMktAssetSwapSpread1-
100*cmsBondParAssetSwapSpread1/cmsBondMktFullPrice1);
if (error5>tolerance) {
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market ASW spread: " + cmsBondMktAssetSwapSpread1 +
"\n par ASW spread: " + cmsBondParAssetSwapSpread1 +
"\n error: " + error5 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Schedule cmsBondSchedule2 = new Schedule(new Date(06,Month.May,2005),
new Date(06,Month.May,2015),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{0.84}, new List<double>{0.0},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(06,Month.May,2005));
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondMktPrice2 = 94.08 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice2 = cmsBondMktPrice2+cmsBond2.accruedAmount();
AssetSwap cmsBondParAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap2.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread2 = cmsBondParAssetSwap2.fairSpread();
AssetSwap cmsBondMktAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap2.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread2 = cmsBondMktAssetSwap2.fairSpread();
double error6 = Math.Abs(cmsBondMktAssetSwapSpread2-
100*cmsBondParAssetSwapSpread2/cmsBondMktFullPrice2);
if (error6>tolerance) {
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market ASW spread: " + cmsBondMktAssetSwapSpread2 +
"\n par ASW spread: " + cmsBondParAssetSwapSpread2 +
"\n error: " + error6 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Bond zeroCpnBond1 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(20,Month.December,2015), BusinessDayConvention.Following,
100.0, new Date(19,Month.December,1985));
zeroCpnBond1.setPricingEngine(bondEngine);
// market price observed on 12th June 2007
double zeroCpnBondMktPrice1 = 70.436 ;
double zeroCpnBondMktFullPrice1 = zeroCpnBondMktPrice1+zeroCpnBond1.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread1 = zeroCpnBondParAssetSwap1.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread1 = zeroCpnBondMktAssetSwap1.fairSpread();
double error7 = Math.Abs(zeroCpnBondMktAssetSwapSpread1-
100*zeroCpnBondParAssetSwapSpread1/zeroCpnBondMktFullPrice1);
if (error7>tolerance) {
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market ASW spread: " + zeroCpnBondMktAssetSwapSpread1 +
"\n par ASW spread: " + zeroCpnBondParAssetSwapSpread1 +
"\n error: " + error7 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Bond zeroCpnBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(17,Month.February,2028),
BusinessDayConvention.Following,
100.0, new Date(17,Month.February,1998));
zeroCpnBond2.setPricingEngine(bondEngine);
// Real zeroCpnBondPrice2 = zeroCpnBond2->cleanPrice();
// market price observed on 12th June 2007
double zeroCpnBondMktPrice2 = 35.160 ;
double zeroCpnBondMktFullPrice2 = zeroCpnBondMktPrice2+zeroCpnBond2.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread2 = zeroCpnBondParAssetSwap2.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread2 = zeroCpnBondMktAssetSwap2.fairSpread();
double error8 = Math.Abs(zeroCpnBondMktAssetSwapSpread2-
100*zeroCpnBondParAssetSwapSpread2/zeroCpnBondMktFullPrice2);
if (error8>tolerance) {
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market ASW spread: " + zeroCpnBondMktAssetSwapSpread2 +
"\n par ASW spread: " + zeroCpnBondParAssetSwapSpread2 +
"\n error: " + error8 +
"\n tolerance: " + tolerance);
}
}
public void testImpliedHazardRate()
{
// Testing implied hazard-rate for credit-default swaps...
SavedSettings backup = new SavedSettings();
// Initialize curves
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
double h1 = 0.30, h2 = 0.40;
DayCounter dayCounter = new Actual365Fixed();
List<Date> dates = new List<Date>(3);
List<double> hazardRates = new List<double>(3);
dates.Add(today);
hazardRates.Add(h1);
dates.Add(today + new Period(5,TimeUnit.Years));
hazardRates.Add(h1);
dates.Add(today + new Period(10,TimeUnit.Years));
hazardRates.Add(h2);
RelinkableHandle<DefaultProbabilityTermStructure> probabilityCurve =
new RelinkableHandle<DefaultProbabilityTermStructure>();
probabilityCurve.linkTo(new InterpolatedHazardRateCurve<BackwardFlat>(dates,
hazardRates,
dayCounter));
RelinkableHandle<YieldTermStructure> discountCurve = new RelinkableHandle<YieldTermStructure>();
discountCurve.linkTo(new FlatForward(today,0.03,new Actual360()));
Frequency frequency = Frequency.Semiannual;
BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
Date issueDate = calendar.advance(today, -6, TimeUnit.Months);
double fixedRate = 0.0120;
DayCounter cdsDayCount = new Actual360();
double notional = 10000.0;
double recoveryRate = 0.4;
double? latestRate = null;
for (int n=6; n<=10; ++n)
{
Date maturity = calendar.advance(issueDate, n, TimeUnit.Years);
Schedule schedule = new Schedule(issueDate, maturity, new Period(frequency), calendar,
convention, convention,
DateGeneration.Rule.Forward, false);
CreditDefaultSwap cds = new CreditDefaultSwap(Protection.Side.Seller, notional, fixedRate,
schedule, convention, cdsDayCount,true, true);
cds.setPricingEngine(new MidPointCdsEngine(probabilityCurve, recoveryRate, discountCurve));
double NPV = cds.NPV();
double flatRate = cds.impliedHazardRate(NPV, discountCurve,
dayCounter,
recoveryRate);
if (flatRate < h1 || flatRate > h2) {
Assert.Fail("implied hazard rate outside expected range\n"
+ " maturity: " + n + " years\n"
+ " expected minimum: " + h1 + "\n"
+ " expected maximum: " + h2 + "\n"
+ " implied rate: " + flatRate);
}
if (n > 6 && flatRate < latestRate) {
Assert.Fail("implied hazard rate decreasing with swap maturity\n"
+ " maturity: " + n + " years\n"
+ " previous rate: " + latestRate + "\n"
+ " implied rate: " + flatRate);
}
latestRate = flatRate;
RelinkableHandle<DefaultProbabilityTermStructure> probability = new RelinkableHandle<DefaultProbabilityTermStructure>();
probability.linkTo(new FlatHazardRate( today,new Handle<Quote>(new SimpleQuote(flatRate)),dayCounter));
CreditDefaultSwap cds2 = new CreditDefaultSwap(Protection.Side.Seller, notional, fixedRate,
schedule, convention, cdsDayCount,true, true);
cds2.setPricingEngine(new MidPointCdsEngine(probability,recoveryRate,discountCurve));
double NPV2 = cds2.NPV();
double tolerance = 1.0;
if (Math.Abs(NPV-NPV2) > tolerance) {
Assert.Fail("failed to reproduce NPV with implied rate\n"
+ " expected: " + NPV + "\n"
+ " calculated: " + NPV2);
}
}
}
public void testJointCalendars()
{
Calendar c1 = new TARGET(),
c2 = new UnitedKingdom(),
c3 = new UnitedStates(UnitedStates.Market.NYSE),
c4 = new Japan();
Calendar c12h = new JointCalendar(c1, c2, JointCalendar.JointCalendarRule.JoinHolidays),
c12b = new JointCalendar(c1,c2,JointCalendar.JointCalendarRule.JoinBusinessDays),
c123h = new JointCalendar(c1,c2,c3,JointCalendar.JointCalendarRule.JoinHolidays),
c123b = new JointCalendar(c1,c2,c3,JointCalendar.JointCalendarRule.JoinBusinessDays),
c1234h = new JointCalendar(c1,c2,c3,c4,JointCalendar.JointCalendarRule.JoinHolidays),
c1234b = new JointCalendar(c1,c2,c3,c4,JointCalendar.JointCalendarRule.JoinBusinessDays);
// test one year, starting today
Date firstDate = Date.Today,
endDate = firstDate + new Period(1, TimeUnit.Years);
for (Date d = firstDate; d < endDate; d++) {
bool b1 = c1.isBusinessDay(d),
b2 = c2.isBusinessDay(d),
b3 = c3.isBusinessDay(d),
b4 = c4.isBusinessDay(d);
if ((b1 && b2) != c12h.isBusinessDay(d))
Assert.Fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c12h.name() + " (joining holidays)\n"
+ " and its components");
if ((b1 || b2) != c12b.isBusinessDay(d))
Assert.Fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c12b.name() + " (joining business days)\n"
+ " and its components");
if ((b1 && b2 && b3) != c123h.isBusinessDay(d))
Assert.Fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c123h.name() + " (joining holidays)\n"
+ " and its components");
if ((b1 || b2 || b3) != c123b.isBusinessDay(d))
Assert.Fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c123b.name() + " (joining business days)\n"
+ " and its components");
if ((b1 && b2 && b3 && b4) != c1234h.isBusinessDay(d))
Assert.Fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c1234h.name() + " (joining holidays)\n"
+ " and its components");
if ((b1 || b2 || b3 || b4) != c1234b.isBusinessDay(d))
Assert.Fail("At date " + d + ":\n"
+ " inconsistency between joint calendar "
+ c1234b.name() + " (joining business days)\n"
+ " and its components");
}
}
public void testSwaps()
{
//BOOST_MESSAGE("Testing Hull-White swap pricing against known values...");
Date today; //=Settings::instance().evaluationDate();;
Calendar calendar = new TARGET();
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
Date settlement = calendar.advance(today, 2, TimeUnit.Days);
Date[] dates = {
settlement,
calendar.advance(settlement,1,TimeUnit.Weeks),
calendar.advance(settlement,1,TimeUnit.Months),
calendar.advance(settlement,3,TimeUnit.Months),
calendar.advance(settlement,6,TimeUnit.Months),
calendar.advance(settlement,9,TimeUnit.Months),
calendar.advance(settlement,1,TimeUnit.Years),
calendar.advance(settlement,2,TimeUnit.Years),
calendar.advance(settlement,3,TimeUnit.Years),
calendar.advance(settlement,5,TimeUnit.Years),
calendar.advance(settlement,10,TimeUnit.Years),
calendar.advance(settlement,15,TimeUnit.Years)
};
double[] discounts = {
1.0,
0.999258,
0.996704,
0.990809,
0.981798,
0.972570,
0.963430,
0.929532,
0.889267,
0.803693,
0.596903,
0.433022
};
//for (int i = 0; i < dates.Length; i++)
// dates[i] + dates.Length;
LogLinear Interpolator = new LogLinear();
Handle<YieldTermStructure> termStructure =
new Handle<YieldTermStructure>(
new InterpolatedDiscountCurve<LogLinear>(
dates.ToList<Date>(),
discounts.ToList<double>(),
new Actual365Fixed(),new Calendar(), null, null , Interpolator)
);
HullWhite model = new HullWhite(termStructure);
int[] start = { -3, 0, 3 };
int[] length = { 2, 5, 10 };
double[] rates = { 0.02, 0.04, 0.06 };
IborIndex euribor = new Euribor6M(termStructure);
IPricingEngine engine = new TreeVanillaSwapEngine(model, 120, termStructure);
#if QL_USE_INDEXED_COUPON
double tolerance = 4.0e-3;
#else
double tolerance = 1.0e-8;
#endif
for (int i=0; i<start.Length; i++) {
Date startDate = calendar.advance(settlement,start[i],TimeUnit.Months);
if (startDate < today) {
Date fixingDate = calendar.advance(startDate,-2,TimeUnit.Days);
//TimeSeries<double> pastFixings;
ObservableValue<TimeSeries<double>> pastFixings = new ObservableValue<TimeSeries<double>>();
pastFixings.value()[fixingDate] = 0.03;
IndexManager.instance().setHistory(euribor.name(),
pastFixings);
}
for (int j=0; j<length.Length; j++) {
Date maturity = calendar.advance(startDate, length[i], TimeUnit.Years);
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(Frequency.Annual),
calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, maturity, new Period(Frequency.Semiannual),
calendar, BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
for (int k=0; k<rates.Length; k++) {
VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000000.0,
fixedSchedule, rates[k], new Thirty360(),
floatSchedule, euribor, 0.0, new Actual360());
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double expected = swap.NPV();
swap.setPricingEngine(engine);
double calculated = swap.NPV();
double error = Math.Abs((expected-calculated)/expected);
if (error > tolerance) {
Assert.Fail("Failed to reproduce swap NPV:"
//+ QL_FIXED << std::setprecision(9)
+ "\n calculated: " + calculated
+ "\n expected: " + expected
//+ QL_SCIENTIFIC
+ "\n rel. error: " + error);
}
}
}
}
}
public void testTARGET()
{
List<Date> expectedHol = new List<Date>();
expectedHol.Add(new Date(1,Month.January,1999));
expectedHol.Add(new Date(31, Month.December, 1999));
expectedHol.Add(new Date(21, Month.April, 2000));
expectedHol.Add(new Date(24, Month.April, 2000));
expectedHol.Add(new Date(1, Month.May, 2000));
expectedHol.Add(new Date(25, Month.December, 2000));
expectedHol.Add(new Date(26, Month.December, 2000));
expectedHol.Add(new Date(1, Month.January, 2001));
expectedHol.Add(new Date(13, Month.April, 2001));
expectedHol.Add(new Date(16, Month.April, 2001));
expectedHol.Add(new Date(1, Month.May, 2001));
expectedHol.Add(new Date(25, Month.December, 2001));
expectedHol.Add(new Date(26, Month.December, 2001));
expectedHol.Add(new Date(31, Month.December, 2001));
expectedHol.Add(new Date(1, Month.January, 2002));
expectedHol.Add(new Date(29, Month.March, 2002));
expectedHol.Add(new Date(1, Month.April, 2002));
expectedHol.Add(new Date(1, Month.May, 2002));
expectedHol.Add(new Date(25, Month.December, 2002));
expectedHol.Add(new Date(26, Month.December, 2002));
expectedHol.Add(new Date(1, Month.January, 2003));
expectedHol.Add(new Date(18, Month.April, 2003));
expectedHol.Add(new Date(21, Month.April, 2003));
expectedHol.Add(new Date(1, Month.May, 2003));
expectedHol.Add(new Date(25, Month.December, 2003));
expectedHol.Add(new Date(26, Month.December, 2003));
expectedHol.Add(new Date(1, Month.January, 2004));
expectedHol.Add(new Date(9, Month.April, 2004));
expectedHol.Add(new Date(12, Month.April, 2004));
expectedHol.Add(new Date(25, Month.March, 2005));
expectedHol.Add(new Date(28, Month.March, 2005));
expectedHol.Add(new Date(26, Month.December, 2005));
expectedHol.Add(new Date(14, Month.April, 2006));
expectedHol.Add(new Date(17, Month.April, 2006));
expectedHol.Add(new Date(1, Month.May, 2006));
expectedHol.Add(new Date(25, Month.December, 2006));
expectedHol.Add(new Date(26, Month.December, 2006));
Calendar c = new TARGET();
List<Date> hol = Calendar.holidayList(c, new Date(1, Month.January, 1999), new Date(31, Month.December, 2006));
for (int i=0; i<Math.Min(hol.Count, expectedHol.Count); i++) {
if (hol[i]!=expectedHol[i])
Assert.Fail("expected holiday was " + expectedHol[i]
+ " while calculated holiday is " + hol[i]);
}
if (hol.Count!=expectedHol.Count)
Assert.Fail("there were " + expectedHol.Count
+ " expected holidays, while there are " + hol.Count
+ " calculated holidays");
}
static void Main(string[] args)
{
DateTime timer = DateTime.Now;
Date todaysDate = new Date(15, 2, 2002);
Calendar calendar = new TARGET();
Date settlementDate = new Date(19, 2, 2002);
Settings.setEvaluationDate(todaysDate);
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
Handle<YieldTermStructure> rhTermStructure = new Handle<YieldTermStructure>(
new FlatForward(settlementDate, new Handle<Quote>(flatRate),
new Actual365Fixed()));
// Define the ATM/OTM/ITM swaps
Frequency fixedLegFrequency = Frequency.Annual;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
Frequency floatingLegFrequency = Frequency.Semiannual;
VanillaSwap.Type type = VanillaSwap.Type.Payer;
double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M(rhTermStructure);
Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years,
floatingLegConvention);
Date maturity = calendar.advance(startDate, 5, TimeUnit.Years,
floatingLegConvention);
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention,
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, maturity, new Period(floatingLegFrequency),
calendar, floatingLegConvention, floatingLegConvention,
DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(
type, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
swap.setPricingEngine(new DiscountingSwapEngine(rhTermStructure));
double fixedAtmRate = swap.fairRate();
double fixedOtmRate = fixedAtmRate * 1.2;
double fixedItmRate = fixedAtmRate * 0.8;
VanillaSwap atmSwap = new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedAtmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap otmSwap = new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedOtmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap itmSwap = new VanillaSwap(
type, 1000.0,
fixedSchedule, fixedItmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
// defining the swaptions to be used in model calibration
List<Period> swaptionMaturities = new List<Period>(5);
swaptionMaturities.Add(new Period(1, TimeUnit.Years));
swaptionMaturities.Add(new Period(2, TimeUnit.Years));
swaptionMaturities.Add(new Period(3, TimeUnit.Years));
swaptionMaturities.Add(new Period(4, TimeUnit.Years));
swaptionMaturities.Add(new Period(5, TimeUnit.Years));
List<CalibrationHelper> swaptions = new List<CalibrationHelper>();
// List of times that have to be included in the timegrid
List<double> times = new List<double>();
for (int i = 0; i < NumRows; i++)
{
int j = NumCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * NumCols + j;
Quote vol = new SimpleQuote(SwaptionVols[k]);
swaptions.Add(new SwaptionHelper(swaptionMaturities[i],
new Period(SwapLenghts[j], TimeUnit.Years),
new Handle<Quote>(vol),
indexSixMonths,
indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure, false));
swaptions.Last().addTimesTo(times);
}
// Building time-grid
TimeGrid grid = new TimeGrid(times, 30);
// defining the models
G2 modelG2 = new G2(rhTermStructure);
HullWhite modelHw = new HullWhite(rhTermStructure);
HullWhite modelHw2 = new HullWhite(rhTermStructure);
BlackKarasinski modelBk = new BlackKarasinski(rhTermStructure);
// model calibrations
Console.WriteLine("G2 (analytic formulae) calibration");
for (int i = 0; i < swaptions.Count; i++)
swaptions[i].setPricingEngine(new G2SwaptionEngine(modelG2, 6.0, 16));
CalibrateModel(modelG2, swaptions);
Console.WriteLine("calibrated to:\n" +
"a = {0:0.000000}, " +
"sigma = {1:0.0000000}\n" +
"b = {2:0.000000}, " +
"eta = {3:0.0000000}\n" +
"rho = {4:0.00000}\n",
modelG2.parameters()[0],
modelG2.parameters()[1],
modelG2.parameters()[2],
modelG2.parameters()[3],
modelG2.parameters()[4]);
Console.WriteLine("Hull-White (analytic formulae) calibration");
for (int i = 0; i < swaptions.Count; i++)
swaptions[i].setPricingEngine(new JamshidianSwaptionEngine(modelHw));
CalibrateModel(modelHw, swaptions);
Console.WriteLine("calibrated to:\n" +
"a = {0:0.000000}, " +
"sigma = {1:0.0000000}\n",
modelHw.parameters()[0],
modelHw.parameters()[1]);
Console.WriteLine("Hull-White (numerical) calibration");
for (int i = 0; i < swaptions.Count(); i++)
swaptions[i].setPricingEngine(new TreeSwaptionEngine(modelHw2, grid));
CalibrateModel(modelHw2, swaptions);
Console.WriteLine("calibrated to:\n" +
"a = {0:0.000000}, " +
"sigma = {1:0.0000000}\n",
modelHw2.parameters()[0],
modelHw2.parameters()[1]);
Console.WriteLine("Black-Karasinski (numerical) calibration");
for (int i = 0; i < swaptions.Count; i++)
swaptions[i].setPricingEngine(new TreeSwaptionEngine(modelBk, grid));
CalibrateModel(modelBk, swaptions);
Console.WriteLine("calibrated to:\n" +
"a = {0:0.000000}, " +
"sigma = {1:0.00000}\n",
modelBk.parameters()[0],
modelBk.parameters()[1]);
// ATM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption "
+ "struck at {0:0.00000 %} (ATM)",
fixedAtmRate);
List<Date> bermudanDates = new List<Date>();
List<CashFlow> leg = swap.fixedLeg();
for (int i = 0; i < leg.Count; i++)
{
Coupon coupon = (Coupon)leg[i];
bermudanDates.Add(coupon.accrualStartDate());
}
Exercise bermudanExercise = new BermudanExercise(bermudanDates);
Swaption bermudanSwaption = new Swaption(atmSwap, bermudanExercise);
// Do the pricing for each model
// G2 price the European swaption here, it should switch to bermudan
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelG2, 50));
Console.WriteLine("G2: {0:0.00}", bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50));
Console.WriteLine("HW: {0:0.000}", bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50));
Console.WriteLine("HW (num): {0:0.000}", bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50));
Console.WriteLine("BK: {0:0.000}", bermudanSwaption.NPV());
// OTM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption "
+ "struck at {0:0.00000 %} (OTM)",
fixedOtmRate);
Swaption otmBermudanSwaption = new Swaption(otmSwap, bermudanExercise);
// Do the pricing for each model
otmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelG2, 50));
Console.WriteLine("G2: {0:0.0000}", otmBermudanSwaption.NPV());
otmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50));
Console.WriteLine("HW: {0:0.0000}", otmBermudanSwaption.NPV());
otmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50));
Console.WriteLine("HW (num): {0:0.000}", otmBermudanSwaption.NPV());
otmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50));
Console.WriteLine("BK: {0:0.0000}", otmBermudanSwaption.NPV());
// ITM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption "
+ "struck at {0:0.00000 %} (ITM)",
fixedItmRate);
Swaption itmBermudanSwaption = new Swaption(itmSwap, bermudanExercise);
// Do the pricing for each model
itmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelG2, 50));
Console.WriteLine("G2: {0:0.000}", itmBermudanSwaption.NPV());
itmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50));
Console.WriteLine("HW: {0:0.000}", itmBermudanSwaption.NPV());
itmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50));
Console.WriteLine("HW (num): {0:0.000}", itmBermudanSwaption.NPV());
itmBermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50));
Console.WriteLine("BK: {0:0.000}", itmBermudanSwaption.NPV());
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testFlatHazardRate()
{
// Testing flat hazard rate...
double hazardRate = 0.0100;
Handle<Quote> hazardRateQuote = new Handle<Quote>(new SimpleQuote(hazardRate));
DayCounter dayCounter = new Actual360();
Calendar calendar = new TARGET();
int n = 20;
double tolerance = 1.0e-10;
Date today = Settings.evaluationDate();
Date startDate = today;
Date endDate = startDate;
FlatHazardRate flatHazardRate = new FlatHazardRate(today, hazardRateQuote, dayCounter);
for(int i=0; i<n; i++)
{
endDate = calendar.advance(endDate, 1, TimeUnit.Years);
double t = dayCounter.yearFraction(startDate, endDate);
double probability = 1.0 - Math.Exp(-hazardRate * t);
double computedProbability = flatHazardRate.defaultProbability(t);
if (Math.Abs(probability - computedProbability) > tolerance)
Assert.Fail( "Failed to reproduce probability for flat hazard rate\n"
+ " calculated probability: " + computedProbability + "\n"
+ " expected probability: " + probability);
}
}
public void testMASWWithGenericBond()
{
// Testing market asset swap against par asset swap with generic bond...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool mktAssetSwap = false;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1, BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate1,
fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondMktPrice1 = 89.22 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice1=fixedBondMktPrice1+fixedBond1.accruedAmount();
AssetSwap fixedBondParAssetSwap1= new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap1.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread1 = fixedBondParAssetSwap1.fairSpread();
AssetSwap fixedBondMktAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap1.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread1 = fixedBondMktAssetSwap1.fairSpread();
double tolerance = 1.0e-13;
double error1 =
Math.Abs(fixedBondMktAssetSwapSpread1-
100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);
if (error1>tolerance)
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market asset swap spread: " + fixedBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + fixedBondParAssetSwapSpread1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2 = new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate2, fixedBondStartDate2,
fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondMktPrice2 = 99.98 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice2=fixedBondMktPrice2+fixedBond2.accruedAmount();
AssetSwap fixedBondParAssetSwap2= new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap2.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread2 = fixedBondParAssetSwap2.fairSpread();
AssetSwap fixedBondMktAssetSwap2= new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap2.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread2 = fixedBondMktAssetSwap2.fairSpread();
double error2 = Math.Abs(fixedBondMktAssetSwapSpread2-
100*fixedBondParAssetSwapSpread2/fixedBondMktFullPrice2);
if (error2>tolerance)
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market asset swap spread: " + fixedBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + fixedBondParAssetSwapSpread2 +
"\n error: " + error2 +
"\n tolerance: " + tolerance);
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 =
bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate1,
floatingBondStartDate1, floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
// market price observed on 7th June 2007
double floatingBondMktPrice1 = 101.64 ;
double floatingBondMktFullPrice1 =
floatingBondMktPrice1+floatingBond1.accruedAmount();
AssetSwap floatingBondParAssetSwap1 = new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap1.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread1 =
floatingBondParAssetSwap1.fairSpread();
AssetSwap floatingBondMktAssetSwap1 = new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap1.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread1 =
floatingBondMktAssetSwap1.fairSpread();
double error3 = Math.Abs(floatingBondMktAssetSwapSpread1-
100*floatingBondParAssetSwapSpread1/floatingBondMktFullPrice1);
if (error3>tolerance)
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market asset swap spread: " + floatingBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + floatingBondParAssetSwapSpread1 +
"\n error: " + error3 +
"\n tolerance: " + tolerance);
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2 = new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.inArrears(inArrears)
.withPaymentDayCounter(new Actual360())
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 =
bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new
SimpleCashFlow(100.0, floatingbondRedemption2));
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate2,
floatingBondStartDate2, floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
// market price observed on 7th June 2007
double floatingBondMktPrice2 = 101.248 ;
double floatingBondMktFullPrice2 =
floatingBondMktPrice2+floatingBond2.accruedAmount();
AssetSwap floatingBondParAssetSwap2 = new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap2.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread2 = floatingBondParAssetSwap2.fairSpread();
AssetSwap floatingBondMktAssetSwap2 = new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap2.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread2 =
floatingBondMktAssetSwap2.fairSpread();
double error4 = Math.Abs(floatingBondMktAssetSwapSpread2-
100*floatingBondParAssetSwapSpread2/floatingBondMktFullPrice2);
if (error4>tolerance)
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market asset swap spread: " + floatingBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + floatingBondParAssetSwapSpread2 +
"\n error: " + error4 +
"\n tolerance: " + tolerance);
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate1, cmsBondStartDate1,
cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondMktPrice1 = 88.45 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice1 = cmsBondMktPrice1+cmsBond1.accruedAmount();
AssetSwap cmsBondParAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap1.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread1 = cmsBondParAssetSwap1.fairSpread();
AssetSwap cmsBondMktAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap1.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread1 = cmsBondMktAssetSwap1.fairSpread();
double error5 =
Math.Abs(cmsBondMktAssetSwapSpread1-
100*cmsBondParAssetSwapSpread1/cmsBondMktFullPrice1);
if (error5>tolerance)
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market asset swap spread: " + cmsBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + cmsBondParAssetSwapSpread1 +
"\n error: " + error5 +
"\n tolerance: " + tolerance);
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2, BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate2, cmsBondStartDate2,
cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondMktPrice2 = 94.08 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice2 = cmsBondMktPrice2+cmsBond2.accruedAmount();
AssetSwap cmsBondParAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap2.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread2 = cmsBondParAssetSwap2.fairSpread();
AssetSwap cmsBondMktAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap2.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread2 = cmsBondMktAssetSwap2.fairSpread();
double error6 =
Math.Abs(cmsBondMktAssetSwapSpread2-
100*cmsBondParAssetSwapSpread2/cmsBondMktFullPrice2);
if (error6>tolerance)
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market asset swap spread: " + cmsBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + cmsBondParAssetSwapSpread2 +
"\n error: " + error6 +
"\n tolerance: " + tolerance);
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, zeroCpnBondMaturityDate1,
zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
// market price observed on 12th June 2007
double zeroCpnBondMktPrice1 = 70.436 ;
double zeroCpnBondMktFullPrice1 =
zeroCpnBondMktPrice1+zeroCpnBond1.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread1 = zeroCpnBondParAssetSwap1.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread1 = zeroCpnBondMktAssetSwap1.fairSpread();
double error7 =
Math.Abs(zeroCpnBondMktAssetSwapSpread1-
100*zeroCpnBondParAssetSwapSpread1/zeroCpnBondMktFullPrice1);
if (error7>tolerance)
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market asset swap spread: " + zeroCpnBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + zeroCpnBondParAssetSwapSpread1 +
"\n error: " + error7 +
"\n tolerance: " + tolerance);
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
// double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
// market price observed on 12th June 2007
double zeroCpnBondMktPrice2 = 35.160 ;
double zeroCpnBondMktFullPrice2 =
zeroCpnBondMktPrice2+zeroCpnBond2.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread2 = zeroCpnBondParAssetSwap2.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread2 = zeroCpnBondMktAssetSwap2.fairSpread();
double error8 =
Math.Abs(zeroCpnBondMktAssetSwapSpread2-
100*zeroCpnBondParAssetSwapSpread2/zeroCpnBondMktFullPrice2);
if (error8>tolerance)
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market asset swap spread: " + zeroCpnBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + zeroCpnBondParAssetSwapSpread2 +
"\n error: " + error8 +
"\n tolerance: " + tolerance);
}
static void Main(string[] args) {
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(18, Month.September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 3;
int settlementDays = 3;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// Building of the bonds discounting yield curve
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// Common data
// ZC rates for the short end
double zc3mQuote=0.0096;
double zc6mQuote=0.0145;
double zc1yQuote=0.0194;
Quote zc3mRate = new SimpleQuote(zc3mQuote);
Quote zc6mRate = new SimpleQuote(zc6mQuote);
Quote zc1yRate = new SimpleQuote(zc1yQuote);
DayCounter zcBondsDayCounter = new Actual365Fixed();
RateHelper zc3m = new DepositRateHelper(new Handle<Quote>(zc3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc6m = new DepositRateHelper(new Handle<Quote>(zc6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc1y = new DepositRateHelper(new Handle<Quote>(zc1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
// setup bonds
double redemption = 100.0;
const int numberOfBonds = 5;
Date[] issueDates = {
new Date (15, Month.March, 2005),
new Date (15, Month.June, 2005),
new Date (30, Month.June, 2006),
new Date (15, Month.November, 2002),
new Date (15, Month.May, 1987)
};
Date[] maturities = {
new Date (31, Month.August, 2010),
new Date (31, Month.August, 2011),
new Date (31, Month.August, 2013),
new Date (15, Month.August, 2018),
new Date (15, Month.May, 2038)
};
double[] couponRates = {
0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
double[] marketQuotes = {
100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
List<SimpleQuote> quote = new List<SimpleQuote>();
for (int i=0; i<numberOfBonds; i++) {
SimpleQuote cp = new SimpleQuote(marketQuotes[i]);
quote.Add(cp);
}
List<RelinkableHandle<Quote>> quoteHandle = new InitializedList<RelinkableHandle<Quote>>(numberOfBonds);
for (int i=0; i<numberOfBonds; i++) {
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
List<FixedRateBondHelper> bondsHelpers = new List<FixedRateBondHelper>();
for (int i=0; i<numberOfBonds; i++) {
Schedule schedule = new Schedule(issueDates[i], maturities[i], new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBondHelper bondHelper = new FixedRateBondHelper(quoteHandle[i],
settlementDays,
100.0,
schedule,
new List<double>() { couponRates[i] },
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.Add(bondHelper);
}
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-bond curve
List<RateHelper> bondInstruments = new List<RateHelper>();
// Adding the ZC bonds to the curve for the short end
bondInstruments.Add(zc3m);
bondInstruments.Add(zc6m);
bondInstruments.Add(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (int i=0; i<numberOfBonds; i++) {
bondInstruments.Add(bondsHelpers[i]);
}
YieldTermStructure bondDiscountingTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, bondInstruments,
termStructureDayCounter,
new List<Handle<Quote>>(),
new List<Date>(),
tolerance);
// Building of the Libor forecasting curve
// deposits
double d1wQuote=0.043375;
double d1mQuote=0.031875;
double d3mQuote=0.0320375;
double d6mQuote=0.03385;
double d9mQuote=0.0338125;
double d1yQuote=0.0335125;
// swaps
double s2yQuote=0.0295;
double s3yQuote=0.0323;
double s5yQuote=0.0359;
double s10yQuote=0.0412;
double s15yQuote=0.0433;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(
new Handle<Quote>(d1wRate),
new Period(1, TimeUnit.Weeks), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(
new Handle<Quote>(d1mRate),
new Period(1, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(
new Handle<Quote>(d3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(
new Handle<Quote>(d6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(
new Handle<Quote>(d9mRate),
new Period(9, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(
new Handle<Quote>(d1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency =Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
Period forwardStart = new Period(1, TimeUnit.Days);
RateHelper s2y = new SwapRateHelper(
new Handle<Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s3y = new SwapRateHelper(
new Handle<Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s5y = new SwapRateHelper(
new Handle<Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s10y = new SwapRateHelper(
new Handle<Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s15y = new SwapRateHelper(
new Handle<Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
List<RateHelper> depoSwapInstruments = new List<RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoSwapInstruments,
termStructureDayCounter,
new List<Handle<Quote> >(),
new List<Date>(),
tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle<YieldTermStructure> discountingTermStructure = new RelinkableHandle<YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle<YieldTermStructure> forecastingTermStructure = new RelinkableHandle<YieldTermStructure>();
/*********************
* BONDS TO BE PRICED *
**********************/
// Common data
double faceAmount = 100;
// Pricing engine
IPricingEngine bondEngine = new DiscountingBondEngine(discountingTermStructure);
// Zero coupon bond
ZeroCouponBond zeroCouponBond = new ZeroCouponBond(
settlementDays,
new UnitedStates(UnitedStates.Market.GovernmentBond),
faceAmount,
new Date(15, Month.August,2013),
BusinessDayConvention.Following,
116.92,
new Date(15, Month.August,2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
Schedule fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007),
new Date(15,Month.May,2017), new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond fixedRateBond = new FixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
new List<double>() { 0.045 },
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.ModifiedFollowing,
100.0, new Date(15, Month.May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
RelinkableHandle<YieldTermStructure> liborTermStructure = new RelinkableHandle<YieldTermStructure>();
IborIndex libor3m = new USDLibor(new Period(3, TimeUnit.Months), liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008),0.0278625);
Schedule floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005),
new Date(21, Month.October, 2010), new Period(Frequency.Quarterly),
new UnitedStates(UnitedStates.Market.NYSE),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, true);
FloatingRateBond floatingRateBond = new FloatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
// Gearings
new List<double>() { 1.0 },
// Spreads
new List<double>() { 0.001 },
// Caps
new List<double>(),
// Floors
new List<double>(),
// Fixing in arrears
true,
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
IborCouponPricer pricer = new BlackIborCouponPricer();
// optionLet volatilities
double volatility = 0.0;
Handle<OptionletVolatilityStructure> vol;
vol = new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(
settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
pricer.setCapletVolatility(vol);
Utils.setCouponPricer(floatingRateBond.cashflows(),pricer);
// Yield curve bootstrapping
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
// We are using the depo & swap curve to estimate the future Libor rates
liborTermStructure.linkTo(depoSwapTermStructure);
/***************
* BOND PRICING *
****************/
// write column headings
int[] widths = { 18, 10, 10, 10 };
Console.WriteLine("{0,18}{1,10}{2,10}{3,10}", "", "ZC", "Fixed", "Floating");
string separator = " | ";
int width = widths[0]
+ widths[1]
+ widths[2]
+ widths[3];
string rule = "".PadLeft(width, '-'), dblrule = "".PadLeft(width, '=');
string tab = "".PadLeft(8, ' ');
Console.WriteLine(rule);
Console.WriteLine("Net present value".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.NPV(),
fixedRateBond.NPV(),
floatingRateBond.NPV());
Console.WriteLine("Clean price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.cleanPrice(),
fixedRateBond.cleanPrice(),
floatingRateBond.cleanPrice());
Console.WriteLine("Dirty price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.dirtyPrice(),
fixedRateBond.dirtyPrice(),
floatingRateBond.dirtyPrice());
Console.WriteLine("Accrued coupon".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.accruedAmount(),
fixedRateBond.accruedAmount(),
floatingRateBond.accruedAmount());
Console.WriteLine("Previous coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.previousCoupon(),
floatingRateBond.previousCoupon());
Console.WriteLine("Next coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.nextCoupon(),
floatingRateBond.nextCoupon());
Console.WriteLine("Yield".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual));
Console.WriteLine();
// Other computations
Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
Console.WriteLine(rule);
Console.WriteLine("Yield to Clean Price: {0:n2}",
floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
Console.WriteLine("Clean Price to Yield: {0:0.00%}",
floatingRateBond.yield(floatingRateBond.cleanPrice(),new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
/* "Yield to Price"
"Price to Yield" */
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void calculate(double[] p, GBMParaViewModel para)
{
this.xData_ = p;
this.yData_ = new double[p.Length];
double sellBuySign = 1.0;
if (this.sellBuy_ == "매도")
{
sellBuySign = -1.0;
}
else
{
}
// set up dates
Calendar calendar = new TARGET();
//Date todaysDate = new Date(DateTime.Now);
Date settlementDate = new Date(para.ReferenceDate_);
Settings.setEvaluationDate(settlementDate);
// our options
Option.Type type = this.callPutEnum_;
double underlying = para.CurrentPrice_;
double strike = this.strike_;
double dividendYield = para.Dividend_ / 100;
double riskFreeRate = para.Drift_ / 100;
if (this.callPutEnum_ == Option.Type.Call)
{
this.imVol_ = para.Call_Interpolation_.value(this.strike_);
}
else if (this.callPutEnum_ == Option.Type.Put)
{
this.imVol_ = para.Put_Interpolation_.value(this.strike_);
}
double volatility = (this.imVol_ ) / 100;
Date maturity = new Date(this.maturiry_.AddDays(1));
if (this.callPutEnum_ == 0)
{
this.deltaCal_ = 1.0;
this.gammaCal_ = 0.0;
this.vegaCal_ = 0.0;
this.thetaCal_ = 0.0;
this.rhoCal_ = 0.0;
this.deltaPosition_ = sellBuySign * this.unit_ * 500000 * underlying;
this.deltaRisk_ = this.deltaPosition_ * 0.09;
this.gammaRisk_ = 0.0;
this.vegaRisk_ = 0.0;
this.totalRisk_ = this.deltaRisk_ + this.gammaRisk_ + this.vegaRisk_;
this.deepOTM_ = 0.0;
//this.remainDays_ = maturity - settlementDate;
this.remainDays_ = (this.maturiry_ - para.ReferenceDate_).Days + 1;
return;
}
DayCounter dayCounter = new Actual365Fixed();
Exercise europeanExercise = new EuropeanExercise(maturity);
SimpleQuote quote = new SimpleQuote(underlying);
Handle<Quote> underlyingH = new Handle<Quote>(quote);
// bootstrap the yield/dividend/vol curves
var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility, dayCounter));
StrikedTypePayoff payoff = new PlainVanillaPayoff(type, strike);
var bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
// options
VanillaOption europeanOption = new VanillaOption(payoff, europeanExercise);
// Analytic formulas:
// Black-Scholes for European
europeanOption.setPricingEngine(new AnalyticEuropeanEngine(bsmProcess));
this.npv_ = Math.Round(europeanOption.NPV(), 6);
this.deltaCal_ = sellBuySign * Math.Round(europeanOption.delta(), 6);
this.gammaCal_ = sellBuySign * Math.Round(europeanOption.gamma(), 6);
this.vegaCal_ = sellBuySign * Math.Round(europeanOption.vega() / 100, 6);
this.thetaCal_ = sellBuySign * Math.Round(europeanOption.theta() / 365, 6);
this.rhoCal_ = sellBuySign * Math.Round(europeanOption.rho() / 100, 6);
this.deltaPosition_ = Math.Round(this.deltaCal_ * this.unit_ * 500000 * underlying,0);
this.deltaRisk_ = Math.Round(this.deltaPosition_ * 0.09,0);
this.gammaRisk_ = Math.Round(0.5 * this.gammaCal_ * (underlying * underlying * 0.08 * 0.08) * this.unit_ * 500000, 0);
this.vegaRisk_ = Math.Round(this.vegaCal_ * this.imVol_ * 0.25 * this.unit_ * 500000, 0);
this.totalRisk_ = this.deltaRisk_ + this.gammaRisk_ + this.vegaRisk_;
this.deepOTM_ = 0.0;
//this.remainDays_ = maturity - settlementDate;
this.remainDays_ = (this.maturiry_ - para.ReferenceDate_).Days + 1;
for (int i = 0; i < this.xData_.Length; i++)
{
quote.setValue(this.xData_[i]);
this.yData_[i] = 500000.0 * (double)this.unit_ * europeanOption.NPV();
}
}
