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 testUKSettlement()
{
//BOOST_MESSAGE("Testing UK settlement holiday list...");
List<Date> expectedHol = new List<Date>();
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(3,Month.May,2004));
expectedHol.Add(new Date(31,Month.May,2004));
expectedHol.Add(new Date(30,Month.August,2004));
expectedHol.Add(new Date(27,Month.December,2004));
expectedHol.Add(new Date(28,Month.December,2004));
expectedHol.Add(new Date(3,Month.January,2005));
expectedHol.Add(new Date(25,Month.March,2005));
expectedHol.Add(new Date(28,Month.March,2005));
expectedHol.Add(new Date(2,Month.May,2005));
expectedHol.Add(new Date(30,Month.May,2005));
expectedHol.Add(new Date(29,Month.August,2005));
expectedHol.Add(new Date(26,Month.December,2005));
expectedHol.Add(new Date(27,Month.December,2005));
expectedHol.Add(new Date(2,Month.January,2006));
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(29,Month.May,2006));
expectedHol.Add(new Date(28,Month.August,2006));
expectedHol.Add(new Date(25,Month.December,2006));
expectedHol.Add(new Date(26,Month.December,2006));
expectedHol.Add(new Date(1,Month.January,2007));
expectedHol.Add(new Date(6,Month.April,2007));
expectedHol.Add(new Date(9,Month.April,2007));
expectedHol.Add(new Date(7,Month.May,2007));
expectedHol.Add(new Date(28,Month.May,2007));
expectedHol.Add(new Date(27,Month.August,2007));
expectedHol.Add(new Date(25,Month.December,2007));
expectedHol.Add(new Date(26,Month.December,2007));
Calendar c = new UnitedKingdom(UnitedKingdom.Market.Settlement);
List<Date> hol = Calendar.holidayList(c, new Date(1,Month.January,2004), new Date(31,Month.December,2007));
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");
}
public void testZeroIndex()
{
// Testing zero inflation indices...
EUHICP euhicp = new EUHICP(true);
if (euhicp.name() != "EU HICP"
|| euhicp.frequency() != Frequency.Monthly
|| euhicp.revised()
|| !euhicp.interpolated()
|| euhicp.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong EU HICP data ("
+ euhicp.name() + ", "
+ euhicp.frequency() + ", "
+ euhicp.revised() + ", "
+ euhicp.interpolated() + ", "
+ euhicp.availabilityLag() + ")");
}
UKRPI ukrpi = new UKRPI(false);
if (ukrpi.name() != "UK RPI"
|| ukrpi.frequency() != Frequency.Monthly
|| ukrpi.revised()
|| ukrpi.interpolated()
|| ukrpi.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong UK RPI data ("
+ ukrpi.name() + ", "
+ ukrpi.frequency() + ", "
+ ukrpi.revised() + ", "
+ ukrpi.interpolated() + ", "
+ ukrpi.availabilityLag() + ")");
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = new UnitedKingdom().adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// fixing data
Date from = new Date(1, Month.January, 2005);
Date to = new Date(13, Month.August, 2007);
Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing)
.value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, 206.1, -999.0 };
bool interp = false;
UKRPI iir = new UKRPI(interp);
for (int i = 0; i < rpiSchedule.Count - 1; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
}
Date todayMinusLag = evaluationDate - iir.availabilityLag();
KeyValuePair<Date, Date> lim1 = Utils.inflationPeriod(todayMinusLag, iir.frequency());
todayMinusLag = lim1.Key;
double eps = 1.0e-8;
// -1 because last value not yet available,
// (no TS so can't forecast).
for (int i = 0; i < rpiSchedule.Count - 1; i++)
{
KeyValuePair<Date, Date> lim = Utils.inflationPeriod(rpiSchedule[i],
iir.frequency());
for (Date d = lim.Key; d <= lim.Value; d++)
{
if (d < Utils.inflationPeriod(todayMinusLag, iir.frequency()).Key)
{
if (Math.Abs(iir.fixing(d) - fixData[i]) > eps)
Assert.Fail("Fixings not constant within a period: "
+ iir.fixing(d)
+ ", should be " + fixData[i]);
}
}
}
}
public void testYYIndex()
{
// Testing year-on-year inflation indices
SavedSettings backup = new SavedSettings();
//IndexHistoryCleaner cleaner = new IndexHistoryCleaner();
YYEUHICP yyeuhicp = new YYEUHICP( true );
if ( yyeuhicp.name() != "EU YY_HICP"
|| yyeuhicp.frequency() != Frequency.Monthly
|| yyeuhicp.revised()
|| !yyeuhicp.interpolated()
|| yyeuhicp.ratio()
|| yyeuhicp.availabilityLag() != new Period( 1, TimeUnit.Months ) )
{
Assert.Fail( "wrong year-on-year EU HICP data ("
+ yyeuhicp.name() + ", "
+ yyeuhicp.frequency() + ", "
+ yyeuhicp.revised() + ", "
+ yyeuhicp.interpolated() + ", "
+ yyeuhicp.ratio() + ", "
+ yyeuhicp.availabilityLag() + ")" );
}
YYEUHICPr yyeuhicpr = new YYEUHICPr( true );
if ( yyeuhicpr.name() != "EU YYR_HICP"
|| yyeuhicpr.frequency() != Frequency.Monthly
|| yyeuhicpr.revised()
|| !yyeuhicpr.interpolated()
|| !yyeuhicpr.ratio()
|| yyeuhicpr.availabilityLag() != new Period( 1, TimeUnit.Months ) )
{
Assert.Fail( "wrong year-on-year EU HICPr data ("
+ yyeuhicpr.name() + ", "
+ yyeuhicpr.frequency() + ", "
+ yyeuhicpr.revised() + ", "
+ yyeuhicpr.interpolated() + ", "
+ yyeuhicpr.ratio() + ", "
+ yyeuhicpr.availabilityLag() + ")" );
}
YYUKRPI yyukrpi = new YYUKRPI( false );
if ( yyukrpi.name() != "UK YY_RPI"
|| yyukrpi.frequency() != Frequency.Monthly
|| yyukrpi.revised()
|| yyukrpi.interpolated()
|| yyukrpi.ratio()
|| yyukrpi.availabilityLag() != new Period( 1, TimeUnit.Months ) )
{
Assert.Fail( "wrong year-on-year UK RPI data ("
+ yyukrpi.name() + ", "
+ yyukrpi.frequency() + ", "
+ yyukrpi.revised() + ", "
+ yyukrpi.interpolated() + ", "
+ yyukrpi.ratio() + ", "
+ yyukrpi.availabilityLag() + ")" );
}
YYUKRPIr yyukrpir = new YYUKRPIr( false );
if ( yyukrpir.name() != "UK YYR_RPI"
|| yyukrpir.frequency() != Frequency.Monthly
|| yyukrpir.revised()
|| yyukrpir.interpolated()
|| !yyukrpir.ratio()
|| yyukrpir.availabilityLag() != new Period( 1, TimeUnit.Months ) )
{
Assert.Fail( "wrong year-on-year UK RPIr data ("
+ yyukrpir.name() + ", "
+ yyukrpir.frequency() + ", "
+ yyukrpir.revised() + ", "
+ yyukrpir.interpolated() + ", "
+ yyukrpir.ratio() + ", "
+ yyukrpir.availabilityLag() + ")" );
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate = new Date( 13, Month.August, 2007 );
evaluationDate = new UnitedKingdom().adjust( evaluationDate );
Settings.setEvaluationDate( evaluationDate );
// fixing data
Date from = new Date( 1, Month.January, 2005 );
Date to = new Date( 13, Month.August, 2007 );
Schedule rpiSchedule = new MakeSchedule().from( from ).to( to )
.withTenor( new Period( 1, TimeUnit.Months ) )
.withCalendar( new UnitedKingdom() )
.withConvention( BusinessDayConvention.ModifiedFollowing ).value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3 };
bool interp = false;
YYUKRPIr iir = new YYUKRPIr( interp );
YYUKRPIr iirYES = new YYUKRPIr( true );
for ( int i = 0; i < fixData.Length; i++ )
{
iir.addFixing( rpiSchedule[i], fixData[i] );
iirYES.addFixing( rpiSchedule[i], fixData[i] );
}
Date todayMinusLag = evaluationDate - iir.availabilityLag();
KeyValuePair<Date, Date> lim0 = Utils.inflationPeriod( todayMinusLag, iir.frequency() );
todayMinusLag = lim0.Value + 1 - 2 * new Period( iir.frequency() );
double eps = 1.0e-8;
// Interpolation tests
//--------------------
// (no TS so can't forecast).
for ( int i = 13; i < rpiSchedule.Count; i++ )
{
KeyValuePair<Date, Date> lim = Utils.inflationPeriod( rpiSchedule[i], iir.frequency() );
KeyValuePair<Date, Date> limBef = Utils.inflationPeriod( rpiSchedule[i - 12], iir.frequency() );
for ( Date d = lim.Key; d <= lim.Value; d++ )
{
if ( d < todayMinusLag )
{
double expected = fixData[i] / fixData[i - 12] - 1.0;
double calculated = iir.fixing( d );
Assert.IsTrue( Math.Abs( calculated - expected ) < eps,
"Non-interpolated fixings not constant within a period: "
+ calculated
+ ", should be "
+ expected );
double dp = lim.Value + 1 - lim.Key;
double dpBef = limBef.Value + 1 - limBef.Key;
double dl = d - lim.Key;
// potentially does not work on 29th Feb
double dlBef = new NullCalendar().advance( d, -new Period( 1, TimeUnit.Years ),
BusinessDayConvention.ModifiedFollowing ) - limBef.Key;
double linearNow = fixData[i] + ( fixData[i + 1] - fixData[i] ) * dl / dp;
double linearBef = fixData[i - 12] + ( fixData[i + 1 - 12] - fixData[i - 12] ) * dlBef / dpBef;
double expectedYES = linearNow / linearBef - 1.0;
double calculatedYES = iirYES.fixing( d );
Assert.IsTrue( Math.Abs( expectedYES - calculatedYES ) < eps,
"Error in interpolated fixings: expect " + expectedYES
+ " see " + calculatedYES
+ " flat " + calculated
+ ", data: " + fixData[i - 12] + ", " + fixData[i + 1 - 12]
+ ", " + fixData[i] + ", " + fixData[i + 1]
+ ", fac: " + dp + ", " + dl
+ ", " + dpBef + ", " + dlBef
+ ", to: " + linearNow + ", " + linearBef
);
}
}
}
}
public void testZeroTermStructure()
{
// Testing zero inflation term structure...
SavedSettings backup = new SavedSettings();
// try the Zero UK
Calendar calendar = new UnitedKingdom();
BusinessDayConvention bdc = BusinessDayConvention.ModifiedFollowing;
Date evaluationDate = new Date( 13, Month.August, 2007 );
evaluationDate = calendar.adjust( evaluationDate );
Settings.setEvaluationDate( evaluationDate );
// fixing data
Date from = new Date( 1, Month.January, 2005 );
Date to = new Date( 13, Month.August, 2007 );
Schedule rpiSchedule = new MakeSchedule().from( from ).to( to )
.withTenor( new Period( 1, TimeUnit.Months ) )
.withCalendar( new UnitedKingdom() )
.withConvention( BusinessDayConvention.ModifiedFollowing )
.value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, 206.1, -999.0 };
RelinkableHandle<ZeroInflationTermStructure> hz = new RelinkableHandle<ZeroInflationTermStructure>();
bool interp = false;
UKRPI iiUKRPI = new UKRPI( interp, hz );
for ( int i = 0; i < rpiSchedule.Count; i++ )
{
iiUKRPI.addFixing( rpiSchedule[i], fixData[i] );
}
ZeroInflationIndex ii = iiUKRPI as ZeroInflationIndex;
YieldTermStructure nominalTS = nominalTermStructure();
// now build the zero inflation curve
Datum[] zcData = {
new Datum( new Date(13, Month.August, 2008), 2.93 ),
new Datum( new Date(13, Month.August, 2009), 2.95 ),
new Datum( new Date(13, Month.August, 2010), 2.965 ),
new Datum( new Date(15, Month.August, 2011), 2.98 ),
new Datum( new Date(13, Month.August, 2012), 3.0 ),
new Datum( new Date(13, Month.August, 2014), 3.06 ),
new Datum( new Date(13, Month.August, 2017), 3.175 ),
new Datum( new Date(13, Month.August, 2019), 3.243 ),
new Datum( new Date(15, Month.August, 2022), 3.293 ),
new Datum( new Date(14, Month.August, 2027), 3.338 ),
new Datum( new Date(13, Month.August, 2032), 3.348 ),
new Datum( new Date(15, Month.August, 2037), 3.348 ),
new Datum( new Date(13, Month.August, 2047), 3.308 ),
new Datum( new Date(13, Month.August, 2057), 3.228 )};
Period observationLag = new Period( 2, TimeUnit.Months );
DayCounter dc = new Thirty360();
Frequency frequency = Frequency.Monthly;
List<BootstrapHelper<ZeroInflationTermStructure>> helpers =
makeHelpers( zcData, zcData.Length, ii,
observationLag,
calendar, bdc, dc );
double baseZeroRate = zcData[0].rate / 100.0;
PiecewiseZeroInflationCurve<Linear> pZITS = new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dc, observationLag,
frequency, ii.interpolated(), baseZeroRate,
new Handle<YieldTermStructure>( nominalTS ), helpers );
pZITS.recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
const double eps = 0.00000001;
bool forceLinearInterpolation = false;
for ( int i = 0; i < zcData.Length; i++ )
{
Assert.IsTrue( Math.Abs( zcData[i].rate / 100.0
- pZITS.zeroRate( zcData[i].date, observationLag, forceLinearInterpolation ) ) < eps,
"ZITS zeroRate != instrument "
+ pZITS.zeroRate( zcData[i].date, observationLag, forceLinearInterpolation )
+ " vs " + zcData[i].rate / 100.0
+ " interpolation: " + ii.interpolated()
+ " forceLinearInterpolation " + forceLinearInterpolation );
Assert.IsTrue( Math.Abs( helpers[i].impliedQuote()
- zcData[i].rate / 100.0 ) < eps,
"ZITS implied quote != instrument "
+ helpers[i].impliedQuote()
+ " vs " + zcData[i].rate / 100.0 );
}
// now test the forecasting capability of the index.
hz.linkTo( pZITS );
from = hz.link.baseDate();
to = hz.link.maxDate() - new Period( 1, TimeUnit.Months ); // a bit of margin for adjustments
Schedule testIndex = new MakeSchedule().from( from ).to( to )
.withTenor( new Period( 1, TimeUnit.Months ) )
.withCalendar( new UnitedKingdom() )
.withConvention( BusinessDayConvention.ModifiedFollowing ).value();
// we are testing UKRPI which is not interpolated
Date bd = hz.link.baseDate();
double bf = ii.fixing( bd );
for ( int i = 0; i < testIndex.Count; i++ )
{
Date d = testIndex[i];
double z = hz.link.zeroRate( d, new Period( 0, TimeUnit.Days ) );
double t = hz.link.dayCounter().yearFraction( bd, d );
if ( !ii.interpolated() ) // because fixing constant over period
t = hz.link.dayCounter().yearFraction( bd,
Utils.inflationPeriod( d, ii.frequency() ).Key );
double calc = bf * Math.Pow( 1 + z, t );
if ( t <= 0 )
calc = ii.fixing( d, false ); // still historical
if ( Math.Abs( calc - ii.fixing( d, true ) ) / 10000.0 > eps )
Assert.Fail( "ZC index does not forecast correctly for date " + d
+ " from base date " + bd
+ " with fixing " + bf
+ ", correct: " + calc
+ ", fix: " + ii.fixing( d, true )
+ ", t " + t );
}
//===========================================================================================
// Test zero-inflation-indexed (i.e. cpi ratio) cashflow
// just ordinary indexed cashflow with a zero inflation index
Date baseDate = new Date( 1, Month.January, 2006 );
Date fixDate = new Date( 1, Month.August, 2014 );
Date payDate = new UnitedKingdom().adjust( fixDate + new Period( 3, TimeUnit.Months ), BusinessDayConvention.ModifiedFollowing );
Index ind = ii as Index;
Utils.QL_REQUIRE( ind != null, () => "dynamic_pointer_cast to Index from InflationIndex failed" );
double notional = 1000000.0;//1m
IndexedCashFlow iicf = new IndexedCashFlow( notional, ind, baseDate, fixDate, payDate );
double correctIndexed = ii.fixing( iicf.fixingDate() ) / ii.fixing( iicf.baseDate() );
double calculatedIndexed = iicf.amount() / iicf.notional();
Assert.IsTrue( Math.Abs( correctIndexed - calculatedIndexed ) < eps,
"IndexedCashFlow indexing wrong: " + calculatedIndexed + " vs correct = "
+ correctIndexed );
//===========================================================================================
// Test zero coupon swap
// first make one ...
ZeroInflationIndex zii = ii as ZeroInflationIndex;
Utils.QL_REQUIRE( zii != null, () => "dynamic_pointer_cast to ZeroInflationIndex from UKRPI failed" );
ZeroCouponInflationSwap nzcis =
new ZeroCouponInflationSwap( ZeroCouponInflationSwap.Type.Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate / 100.0, // fixed rate
zii, observationLag );
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
Handle<YieldTermStructure> hTS = new Handle<YieldTermStructure>( nominalTS );
IPricingEngine sppe = new DiscountingSwapEngine( hTS );
nzcis.setPricingEngine( sppe );
// ... and price it, should be zero
Assert.IsTrue( Math.Abs( nzcis.NPV() ) < 0.00001, "ZCIS does not reprice to zero "
+ nzcis.NPV()
+ evaluationDate + " to " + zcData[6].date + " becoming " + nzcis.maturityDate()
+ " rate " + zcData[6].rate
+ " fixed leg " + nzcis.legNPV( 0 )
+ " indexed-predicted inflated leg " + nzcis.legNPV( 1 )
+ " discount " + nominalTS.discount( nzcis.maturityDate() ) );
//===========================================================================================
// Test multiplicative seasonality in price
//
//Seasonality factors NOT normalized
//and UKRPI is not interpolated
Date trueBaseDate = Utils.inflationPeriod( hz.link.baseDate(), ii.frequency() ).Value;
Date seasonallityBaseDate = new Date( 31, Month.January, trueBaseDate.year() );
List<double> seasonalityFactors = new List<double>( 12 );
seasonalityFactors.Add( 1.003245 );
seasonalityFactors.Add( 1.000000 );
seasonalityFactors.Add( 0.999715 );
seasonalityFactors.Add( 1.000495 );
seasonalityFactors.Add( 1.000929 );
seasonalityFactors.Add( 0.998687 );
seasonalityFactors.Add( 0.995949 );
seasonalityFactors.Add( 0.994682 );
seasonalityFactors.Add( 0.995949 );
seasonalityFactors.Add( 1.000519 );
seasonalityFactors.Add( 1.003705 );
seasonalityFactors.Add( 1.004186 );
//Creating two different seasonality objects
//
MultiplicativePriceSeasonality seasonality_1 = new MultiplicativePriceSeasonality();
InitializedList<double> seasonalityFactors_1 = new InitializedList<double>( 12, 1.0 );
seasonality_1.set( seasonallityBaseDate, Frequency.Monthly, seasonalityFactors_1 );
MultiplicativePriceSeasonality seasonality_real =
new MultiplicativePriceSeasonality( seasonallityBaseDate, Frequency.Monthly, seasonalityFactors );
//Testing seasonality correction when seasonality factors are = 1
//
double[] fixing = {
ii.fixing(new Date(14,Month.January ,2013),true),
ii.fixing(new Date(14,Month.February ,2013),true),
ii.fixing(new Date(14,Month.March ,2013),true),
ii.fixing(new Date(14,Month.April ,2013),true),
ii.fixing(new Date(14,Month.May ,2013),true),
ii.fixing(new Date(14,Month.June ,2013),true),
ii.fixing(new Date(14,Month.July ,2013),true),
ii.fixing(new Date(14,Month.August ,2013),true),
ii.fixing(new Date(14,Month.September,2013),true),
ii.fixing(new Date(14,Month.October ,2013),true),
ii.fixing(new Date(14,Month.November ,2013),true),
ii.fixing(new Date(14,Month.December ,2013),true)
};
hz.link.setSeasonality( seasonality_1 );
Utils.QL_REQUIRE( hz.link.hasSeasonality(), () => "[44] incorrectly believes NO seasonality correction" );
double[] seasonalityFixing_1 = {
ii.fixing(new Date(14,Month.January ,2013),true),
ii.fixing(new Date(14,Month.February ,2013),true),
ii.fixing(new Date(14,Month.March ,2013),true),
ii.fixing(new Date(14,Month.April ,2013),true),
ii.fixing(new Date(14,Month.May ,2013),true),
ii.fixing(new Date(14,Month.June ,2013),true),
ii.fixing(new Date(14,Month.July ,2013),true),
ii.fixing(new Date(14,Month.August ,2013),true),
ii.fixing(new Date(14,Month.September,2013),true),
ii.fixing(new Date(14,Month.October ,2013),true),
ii.fixing(new Date(14,Month.November ,2013),true),
ii.fixing(new Date(14,Month.December ,2013),true)
};
for ( int i = 0; i < 12; i++ )
{
if ( Math.Abs( fixing[i] - seasonalityFixing_1[i] ) > eps )
{
Assert.Fail( "Seasonality doesn't work correctly when seasonality factors are set = 1" );
}
}
//Testing seasonality correction when seasonality factors are different from 1
//
//0.998687 is the seasonality factor corresponding to June (the base CPI curve month)
//
double[] expectedFixing = {
ii.fixing(new Date(14,Month.January ,2013),true) * 1.003245/0.998687,
ii.fixing(new Date(14,Month.February ,2013),true) * 1.000000/0.998687,
ii.fixing(new Date(14,Month.March ,2013),true) * 0.999715/0.998687,
ii.fixing(new Date(14,Month.April ,2013),true) * 1.000495/0.998687,
ii.fixing(new Date(14,Month.May ,2013),true) * 1.000929/0.998687,
ii.fixing(new Date(14,Month.June ,2013),true) * 0.998687/0.998687,
ii.fixing(new Date(14,Month.July ,2013),true) * 0.995949/0.998687,
ii.fixing(new Date(14,Month.August ,2013),true) * 0.994682/0.998687,
ii.fixing(new Date(14,Month.September,2013),true) * 0.995949/0.998687,
ii.fixing(new Date(14,Month.October ,2013),true) * 1.000519/0.998687,
ii.fixing(new Date(14,Month.November ,2013),true) * 1.003705/0.998687,
ii.fixing(new Date(14,Month.December ,2013),true) * 1.004186/0.998687
};
hz.link.setSeasonality( seasonality_real );
double[] seasonalityFixing_real = {
ii.fixing(new Date(14,Month.January ,2013),true),
ii.fixing(new Date(14,Month.February ,2013),true),
ii.fixing(new Date(14,Month.March ,2013),true),
ii.fixing(new Date(14,Month.April ,2013),true),
ii.fixing(new Date(14,Month.May ,2013),true),
ii.fixing(new Date(14,Month.June ,2013),true),
ii.fixing(new Date(14,Month.July ,2013),true),
ii.fixing(new Date(14,Month.August ,2013),true),
ii.fixing(new Date(14,Month.September,2013),true),
ii.fixing(new Date(14,Month.October ,2013),true),
ii.fixing(new Date(14,Month.November ,2013),true),
ii.fixing(new Date(14,Month.December ,2013),true)
};
for ( int i = 0; i < 12; i++ )
{
if ( Math.Abs( expectedFixing[i] - seasonalityFixing_real[i] ) > 0.01 )
{
Assert.Fail( "Seasonality doesn't work correctly when considering seasonality factors != 1 "
+ expectedFixing[i] + " vs " + seasonalityFixing_real[i] );
}
}
//Testing Unset function
//
Utils.QL_REQUIRE( hz.link.hasSeasonality(), () => "[4] incorrectly believes NO seasonality correction" );
hz.link.setSeasonality();
Utils.QL_REQUIRE( !hz.link.hasSeasonality(), () => "[5] incorrectly believes HAS seasonality correction" );
double[] seasonalityFixing_unset = {
ii.fixing(new Date(14,Month.January ,2013),true),
ii.fixing(new Date(14,Month.February ,2013),true),
ii.fixing(new Date(14,Month.March ,2013),true),
ii.fixing(new Date(14,Month.April ,2013),true),
ii.fixing(new Date(14,Month.May ,2013),true),
ii.fixing(new Date(14,Month.June ,2013),true),
ii.fixing(new Date(14,Month.July ,2013),true),
ii.fixing(new Date(14,Month.August ,2013),true),
ii.fixing(new Date(14,Month.September,2013),true),
ii.fixing(new Date(14,Month.October ,2013),true),
ii.fixing(new Date(14,Month.November ,2013),true),
ii.fixing(new Date(14,Month.December ,2013),true)
};
for ( int i = 0; i < 12; i++ )
{
if ( Math.Abs( seasonalityFixing_unset[i] - seasonalityFixing_1[i] ) > eps )
{
Assert.Fail( "UnsetSeasonality doesn't work correctly "
+ seasonalityFixing_unset[i] + " vs " + seasonalityFixing_1[i] );
}
}
//==============================================================================
// now do an INTERPOLATED index, i.e. repeat everything on a fake version of
// UKRPI (to save making another term structure)
bool interpYES = true;
UKRPI iiUKRPIyes = new UKRPI( interpYES, hz );
for ( int i = 0; i < fixData.Length; i++ )
{
iiUKRPIyes.addFixing( rpiSchedule[i], fixData[i] );
}
ZeroInflationIndex iiyes = iiUKRPIyes as ZeroInflationIndex;
// now build the zero inflation curve
// same data, bigger lag or it will be a self-contradiction
Period observationLagyes = new Period( 3, TimeUnit.Months );
List<BootstrapHelper<ZeroInflationTermStructure>> helpersyes =
makeHelpers( zcData, zcData.Length,
iiyes, observationLagyes, calendar, bdc, dc );
PiecewiseZeroInflationCurve<Linear> pZITSyes =
new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dc, observationLagyes,
frequency, iiyes.interpolated(), baseZeroRate,
new Handle<YieldTermStructure>( nominalTS ), helpersyes );
pZITSyes.recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
forceLinearInterpolation = false; // still
for ( int i = 0; i < zcData.Length; i++ )
{
Assert.IsTrue( Math.Abs( zcData[i].rate / 100.0
- pZITSyes.zeroRate( zcData[i].date, observationLagyes, forceLinearInterpolation ) ) < eps,
"ZITS INTERPOLATED zeroRate != instrument "
+ pZITSyes.zeroRate( zcData[i].date, observationLagyes, forceLinearInterpolation )
+ " date " + zcData[i].date + " observationLagyes " + observationLagyes
+ " vs " + zcData[i].rate / 100.0
+ " interpolation: " + iiyes.interpolated()
+ " forceLinearInterpolation " + forceLinearInterpolation );
Assert.IsTrue( Math.Abs( helpersyes[i].impliedQuote()
- zcData[i].rate / 100.0 ) < eps,
"ZITS INTERPOLATED implied quote != instrument "
+ helpersyes[i].impliedQuote()
+ " vs " + zcData[i].rate / 100.0 );
}
//======================================================================================
// now test the forecasting capability of the index.
hz.linkTo( pZITSyes );
from = hz.link.baseDate() + new Period( 1, TimeUnit.Months ); // to avoid historical linear bit for rest of base month
to = hz.link.maxDate() - new Period( 1, TimeUnit.Months ); // a bit of margin for adjustments
testIndex = new MakeSchedule().from( from ).to( to )
.withTenor( new Period( 1, TimeUnit.Months ) )
.withCalendar( new UnitedKingdom() )
.withConvention( BusinessDayConvention.ModifiedFollowing ).value();
// we are testing UKRPI which is FAKE interpolated for testing here
bd = hz.link.baseDate();
bf = iiyes.fixing( bd );
for ( int i = 0; i < testIndex.Count; i++ )
{
Date d = testIndex[i];
double z = hz.link.zeroRate( d, new Period( 0, TimeUnit.Days ) );
double t = hz.link.dayCounter().yearFraction( bd, d );
double calc = bf * Math.Pow( 1 + z, t );
if ( t <= 0 ) calc = iiyes.fixing( d ); // still historical
if ( Math.Abs( calc - iiyes.fixing( d ) ) > eps )
Assert.Fail( "ZC INTERPOLATED index does not forecast correctly for date " + d
+ " from base date " + bd
+ " with fixing " + bf
+ ", correct: " + calc
+ ", fix: " + iiyes.fixing( d )
+ ", t " + t
+ ", zero " + z );
}
//===========================================================================================
// Test zero coupon swap
ZeroInflationIndex ziiyes = iiyes as ZeroInflationIndex;
Utils.QL_REQUIRE( ziiyes != null, () => "dynamic_pointer_cast to ZeroInflationIndex from UKRPI-I failed" );
ZeroCouponInflationSwap nzcisyes = new ZeroCouponInflationSwap( ZeroCouponInflationSwap.Type.Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate / 100.0, // fixed rate
ziiyes, observationLagyes );
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
nzcisyes.setPricingEngine( sppe );
// ... and price it, should be zero
Assert.IsTrue( Math.Abs( nzcisyes.NPV() ) < 0.00001, "ZCIS-I does not reprice to zero "
+ nzcisyes.NPV()
+ evaluationDate + " to " + zcData[6].date + " becoming " + nzcisyes.maturityDate()
+ " rate " + zcData[6].rate
+ " fixed leg " + nzcisyes.legNPV( 0 )
+ " indexed-predicted inflated leg " + nzcisyes.legNPV( 1 )
+ " discount " + nominalTS.discount( nzcisyes.maturityDate() )
);
// remove circular refernce
hz.linkTo( new ZeroInflationTermStructure() );
}
public void testYYTermStructure()
{
// Testing year-on-year inflation term structure...
SavedSettings backup = new SavedSettings();
//IndexHistoryCleaner cleaner;
// try the YY UK
Calendar calendar = new UnitedKingdom();
BusinessDayConvention bdc = BusinessDayConvention.ModifiedFollowing;
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = calendar.adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// fixing data
Date from = new Date(1, Month.January, 2005);
Date to = new Date(13, Month.August, 2007);
Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1,TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing).value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3 };
RelinkableHandle<YoYInflationTermStructure> hy = new RelinkableHandle<YoYInflationTermStructure>();
bool interp = false;
YYUKRPIr iir = new YYUKRPIr(interp, hy);
for (int i=0; i<fixData.Length; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
}
YieldTermStructure nominalTS = nominalTermStructure();
// now build the YoY inflation curve
Datum[] yyData = {
new Datum( new Date(13, Month.August, 2008), 2.95 ),
new Datum( new Date(13, Month.August, 2009), 2.95 ),
new Datum( new Date(13, Month.August, 2010), 2.93 ),
new Datum( new Date(15, Month.August, 2011), 2.955 ),
new Datum( new Date(13, Month.August, 2012), 2.945 ),
new Datum( new Date(13, Month.August, 2013), 2.985 ),
new Datum( new Date(13, Month.August, 2014), 3.01 ),
new Datum( new Date(13, Month.August, 2015), 3.035 ),
new Datum( new Date(13, Month.August, 2016), 3.055 ), // note that
new Datum( new Date(13, Month.August, 2017), 3.075 ), // some dates will be on
new Datum( new Date(13, Month.August, 2019), 3.105 ), // holidays but the payment
new Datum( new Date(15, Month.August, 2022), 3.135 ), // calendar will roll them
new Datum( new Date(13, Month.August, 2027), 3.155 ),
new Datum( new Date(13, Month.August, 2032), 3.145 ),
new Datum( new Date(13, Month.August, 2037), 3.145 )
};
Period observationLag = new Period(2,TimeUnit.Months);
DayCounter dc = new Thirty360();
// now build the helpers ...
List<BootstrapHelper<YoYInflationTermStructure>> helpers =
makeHelpers (yyData, yyData.Length, iir,observationLag, calendar, bdc, dc);
double baseYYRate = yyData[0].rate/100.0;
PiecewiseYoYInflationCurve<Linear> pYYTS = new PiecewiseYoYInflationCurve<Linear>(
evaluationDate, calendar, dc, observationLag,
iir.frequency(),iir.interpolated(), baseYYRate,
new Handle<YieldTermStructure>(nominalTS), helpers);
pYYTS.recalculate();
// validation
// yoy swaps should reprice to zero
// yy rates should not equal yySwap rates
double eps = 0.000001;
// usual swap engine
Handle<YieldTermStructure> hTS = new Handle<YieldTermStructure>(nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
// make sure that the index has the latest yoy term structure
hy.linkTo(pYYTS);
for (int j = 1; j < yyData.Length; j++)
{
from = nominalTS.referenceDate();
to = yyData[j].date;
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withConvention(BusinessDayConvention.Unadjusted) // fixed leg gets calendar from
.withCalendar(calendar) // schedule
.withTenor(new Period(1,TimeUnit.Years)).value(); // .back
YearOnYearInflationSwap yyS2 = new YearOnYearInflationSwap(
YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule,//fixed schedule, but same as yoy
yyData[j].rate/100.0,
dc,
yoySchedule,
iir,
observationLag,
0.0, //spread on index
dc,
new UnitedKingdom());
yyS2.setPricingEngine(sppe);
Assert.IsTrue(Math.Abs(yyS2.NPV())<eps,"fresh yoy swap NPV!=0 from TS "
+"swap quote for pt " + j
+ ", is " + yyData[j].rate/100.0
+" vs YoY rate "+ pYYTS.yoyRate(yyData[j].date-observationLag)
+" at quote date "+(yyData[j].date-observationLag)
+", NPV of a fresh yoy swap is " + yyS2.NPV()
+"\n fair rate " + yyS2.fairRate()
+" payment "+yyS2.paymentConvention());
}
int jj=3;
for (int k = 0; k < 14; k++)
{
from = nominalTS.referenceDate() - new Period(k,TimeUnit.Months);
to = yyData[jj].date - new Period(k,TimeUnit.Months);
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withConvention(BusinessDayConvention.Unadjusted) // fixed leg gets calendar from
.withCalendar(calendar) // schedule
.withTenor(new Period(1,TimeUnit.Years))
.value(); //backwards()
YearOnYearInflationSwap yyS3 = new YearOnYearInflationSwap(
YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule,//fixed schedule, but same as yoy
yyData[jj].rate/100.0,
dc,
yoySchedule,
iir,
observationLag,
0.0, //spread on index
dc,
new UnitedKingdom());
yyS3.setPricingEngine(sppe);
Assert.IsTrue(Math.Abs(yyS3.NPV())< 20000.0,
"unexpected size of aged YoY swap, aged "
+ k +" months: YY aged NPV = " + yyS3.NPV()
+", legs "+ yyS3.legNPV(0) + " and " + yyS3.legNPV(1)
);
}
// remove circular refernce
hy.linkTo( new YoYInflationTermStructure());
}
public void testFixing()
{
Date tradeDate = new Date( 17, Month.April, 2015 );
Calendar calendar = new UnitedKingdom();
Date settlementDate = calendar.advance( tradeDate, 2, TimeUnit.Days, BusinessDayConvention.Following );
Date maturityDate = calendar.advance( settlementDate, 5, TimeUnit.Years, BusinessDayConvention.Following );
Date valueDate = new Date( 20, Month.April, 2015 );
Settings.setEvaluationDate( valueDate );
List<Date> dates = new List<Date>();
dates.Add( valueDate );
dates.Add( valueDate + new Period( 1, TimeUnit.Years ) );
dates.Add( valueDate + new Period( 2, TimeUnit.Years ) );
dates.Add( valueDate + new Period( 5, TimeUnit.Years ) );
dates.Add( valueDate + new Period( 10, TimeUnit.Years ) );
dates.Add( valueDate + new Period( 20, TimeUnit.Years ) );
List<double> rates = new List<double>();
rates.Add( 0.01 );
rates.Add( 0.01 );
rates.Add( 0.01 );
rates.Add( 0.01 );
rates.Add( 0.01 );
rates.Add( 0.01 );
var discountCurveHandle = new RelinkableHandle<YieldTermStructure>();
var forecastCurveHandle = new RelinkableHandle<YieldTermStructure>();
GBPLibor index = new GBPLibor( new Period( 6, TimeUnit.Months ), forecastCurveHandle );
InterpolatedZeroCurve<Linear> zeroCurve = new InterpolatedZeroCurve<Linear>( dates, rates, new Actual360(), new Linear() );
var fixedSchedule = new Schedule( settlementDate, maturityDate, new Period( 1, TimeUnit.Years ), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
var floatSchedule = new Schedule( settlementDate, maturityDate, index.tenor(), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
VanillaSwap swap = new VanillaSwap( VanillaSwap.Type.Payer, 1000000, fixedSchedule, 0.01, new Actual360(), floatSchedule, index, 0, new Actual360() );
discountCurveHandle.linkTo( zeroCurve );
forecastCurveHandle.linkTo( zeroCurve );
var swapEngine = new DiscountingSwapEngine( discountCurveHandle, false, null );
swap.setPricingEngine( swapEngine );
try
{
double npv = swap.NPV();
}
catch ( Exception ex )
{
Assert.Fail( ex.Message );
Console.WriteLine( ex );
}
}
