public List <CashFlow> makeCapFlooredLeg(Date sDate, int len, List <double?> caps, List <double?> floors,
double volatility, double gearing = 1.0, double spread = 0.0)
{
Date endDate = calendar.advance(sDate, len, TimeUnit.Years, convention);
Schedule schedule = new Schedule(sDate, endDate, new Period(frequency), calendar,
convention, convention, DateGeneration.Rule.Forward, false);
Handle <OptionletVolatilityStructure> vol = new Handle <OptionletVolatilityStructure>(new
ConstantOptionletVolatility(0, calendar, BusinessDayConvention.Following, volatility, new Actual365Fixed()));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List <double> gearingVector = new InitializedList <double>(len, gearing);
List <double> spreadVector = new InitializedList <double>(len, spread);
List <CashFlow> iborLeg = new IborLeg(schedule, index)
.withFloors(floors)
.withPaymentDayCounter(index.dayCounter())
.withFixingDays(fixingDays)
.withGearings(gearingVector)
.withSpreads(spreadVector)
.withCaps(caps)
.withNotionals(nominals)
.withPaymentAdjustment(convention);
Utils.setCouponPricer(iborLeg, pricer);
return(iborLeg);
}
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)
{
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");
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.previousCouponRate(),
floatingRateBond.previousCouponRate());
Console.WriteLine("Next coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.nextCouponRate(),
floatingRateBond.nextCouponRate());
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 testInArrears()
{
// Testing in-arrears swap calculation
CommonVars vars = new CommonVars();
/* See Hull, 4th ed., page 550
* Note: the calculation in the book is wrong (work out the adjustment and you'll get 0.05 + 0.000115 T1) */
Date maturity = vars.today + new Period(5, TimeUnit.Years);
Calendar calendar = new NullCalendar();
Schedule schedule = new Schedule(vars.today, maturity, new Period(Frequency.Annual), calendar,
BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
DayCounter dayCounter = new SimpleDayCounter();
List <double> nominals = new List <double>()
{
100000000.0
};
IborIndex index = new IborIndex("dummy", new Period(1, TimeUnit.Years), 0, new EURCurrency(), calendar,
BusinessDayConvention.Following, false, dayCounter, vars.termStructure);
double oneYear = 0.05;
double r = Math.Log(1.0 + oneYear);
vars.termStructure.linkTo(Utilities.flatRate(vars.today, r, dayCounter));
List <double> coupons = new List <double>()
{
oneYear
};
List <CashFlow> fixedLeg = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(nominals);
List <double> gearings = new List <double>();
List <double> spreads = new List <double>();
int fixingDays = 0;
double capletVolatility = 0.22;
var vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(vars.today, new NullCalendar(),
BusinessDayConvention.Following, capletVolatility, dayCounter));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List <CashFlow> floatingLeg = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.inArrears()
.withNotionals(nominals);
Utils.setCouponPricer(floatingLeg, pricer);
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(vars.termStructure));
double storedValue = -144813.0;
double tolerance = 1.0;
if (Math.Abs(swap.NPV() - storedValue) > tolerance)
{
QAssert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
}
public void testBond()
{
/* when deeply out-of-the-money, the value of the convertible bond
* should equal that of the underlying plain-vanilla bond. */
// Testing out-of-the-money convertible bonds against vanilla bonds
CommonVars vars = new CommonVars();
vars.conversionRatio = 1.0e-16;
Exercise euExercise = new EuropeanExercise(vars.maturityDate);
Exercise amExercise = new AmericanExercise(vars.issueDate, vars.maturityDate);
int timeSteps = 1001;
IPricingEngine engine = new BinomialConvertibleEngine <CoxRossRubinstein>(vars.process, timeSteps);
Handle <YieldTermStructure> discountCurve = new Handle <YieldTermStructure>(new ForwardSpreadedTermStructure(vars.riskFreeRate, vars.creditSpread));
// zero-coupon
Schedule schedule = new MakeSchedule().from(vars.issueDate)
.to(vars.maturityDate)
.withFrequency(Frequency.Once)
.withCalendar(vars.calendar)
.backwards().value();
ConvertibleZeroCouponBond euZero = new ConvertibleZeroCouponBond(euExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
vars.dayCounter, schedule,
vars.redemption);
euZero.setPricingEngine(engine);
ConvertibleZeroCouponBond amZero = new ConvertibleZeroCouponBond(amExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
vars.dayCounter, schedule,
vars.redemption);
amZero.setPricingEngine(engine);
ZeroCouponBond zero = new ZeroCouponBond(vars.settlementDays, vars.calendar,
100.0, vars.maturityDate,
BusinessDayConvention.Following, vars.redemption, vars.issueDate);
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
zero.setPricingEngine(bondEngine);
double tolerance = 1.0e-2 * (vars.faceAmount / 100.0);
double error = Math.Abs(euZero.NPV() - zero.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce zero-coupon bond price:"
+ "\n calculated: " + euZero.NPV()
+ "\n expected: " + zero.settlementValue()
+ "\n error: " + error);
}
error = Math.Abs(amZero.NPV() - zero.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce zero-coupon bond price:"
+ "\n calculated: " + amZero.NPV()
+ "\n expected: " + zero.settlementValue()
+ "\n error: " + error);
}
// coupon
List <double> coupons = new InitializedList <double>(1, 0.05);
schedule = new MakeSchedule().from(vars.issueDate)
.to(vars.maturityDate)
.withFrequency(vars.frequency)
.withCalendar(vars.calendar)
.backwards().value();
ConvertibleFixedCouponBond euFixed = new ConvertibleFixedCouponBond(euExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
coupons, vars.dayCounter,
schedule, vars.redemption);
euFixed.setPricingEngine(engine);
ConvertibleFixedCouponBond amFixed = new ConvertibleFixedCouponBond(amExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
coupons, vars.dayCounter,
schedule, vars.redemption);
amFixed.setPricingEngine(engine);
FixedRateBond fixedBond = new FixedRateBond(vars.settlementDays, vars.faceAmount, schedule,
coupons, vars.dayCounter, BusinessDayConvention.Following,
vars.redemption, vars.issueDate);
fixedBond.setPricingEngine(bondEngine);
tolerance = 2.0e-2 * (vars.faceAmount / 100.0);
error = Math.Abs(euFixed.NPV() - fixedBond.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce fixed-coupon bond price:"
+ "\n calculated: " + euFixed.NPV()
+ "\n expected: " + fixedBond.settlementValue()
+ "\n error: " + error);
}
error = Math.Abs(amFixed.NPV() - fixedBond.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce fixed-coupon bond price:"
+ "\n calculated: " + amFixed.NPV()
+ "\n expected: " + fixedBond.settlementValue()
+ "\n error: " + error);
}
// floating-rate
IborIndex index = new Euribor1Y(discountCurve);
int fixingDays = 2;
List <double> gearings = new InitializedList <double>(1, 1.0);
List <double> spreads = new List <double>();
ConvertibleFloatingRateBond euFloating = new ConvertibleFloatingRateBond(euExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
index, fixingDays, spreads,
vars.dayCounter, schedule,
vars.redemption);
euFloating.setPricingEngine(engine);
ConvertibleFloatingRateBond amFloating = new ConvertibleFloatingRateBond(amExercise, vars.conversionRatio,
vars.no_dividends, vars.no_callability,
vars.creditSpread,
vars.issueDate, vars.settlementDays,
index, fixingDays, spreads,
vars.dayCounter, schedule,
vars.redemption);
amFloating.setPricingEngine(engine);
IborCouponPricer pricer = new BlackIborCouponPricer(new Handle <OptionletVolatilityStructure>());
Schedule floatSchedule = new Schedule(vars.issueDate, vars.maturityDate,
new Period(vars.frequency),
vars.calendar, BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Backward, false);
FloatingRateBond floating = new FloatingRateBond(vars.settlementDays, vars.faceAmount, floatSchedule,
index, vars.dayCounter, BusinessDayConvention.Following, fixingDays,
gearings, spreads,
new List <double?>(), new List <double?>(),
false,
vars.redemption, vars.issueDate);
floating.setPricingEngine(bondEngine);
Utils.setCouponPricer(floating.cashflows(), pricer);
tolerance = 2.0e-2 * (vars.faceAmount / 100.0);
error = Math.Abs(euFloating.NPV() - floating.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce floating-rate bond price:"
+ "\n calculated: " + euFloating.NPV()
+ "\n expected: " + floating.settlementValue()
+ "\n error: " + error);
}
error = Math.Abs(amFloating.NPV() - floating.settlementValue());
if (error > tolerance)
{
QAssert.Fail("failed to reproduce floating-rate bond price:"
+ "\n calculated: " + amFloating.NPV()
+ "\n expected: " + floating.settlementValue()
+ "\n error: " + error);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackIborCouponPricer obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
static void Main(string[] args)
{
try
{
var timer = new System.Diagnostics.Stopwatch();
timer.Start();
#region MARKET DATA
var calendar = new TARGET();
var settlementDate = new Date(18, Month.September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 3;
uint settlementDays = 3;
var todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.instance().setEvaluationDate(todaysDate);
Console.WriteLine("Today: {0} {1} {2} {3}", todaysDate.weekday(), todaysDate.dayOfMonth(), todaysDate.month(), todaysDate.year());
Console.WriteLine("Settlement date: {0} {1} {2} {3}", settlementDate.weekday(), settlementDate.dayOfMonth(), settlementDate.month(), settlementDate.year());
// Building of the bonds discounting yield curve
#endregion
#region 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;
var zc3mRate = new SimpleQuote(zc3mQuote);
var zc6mRate = new SimpleQuote(zc6mQuote);
var zc1yRate = new SimpleQuote(zc1yQuote);
var zcBondsDayCounter = new Actual365Fixed();
var zc3m = new DepositRateHelper(new QuoteHandle(zc3mRate),
new Period(3, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
var zc6m = new DepositRateHelper(new QuoteHandle(zc6mRate),
new Period(6, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
var zc1y = new DepositRateHelper(new QuoteHandle(zc1yRate),
new Period(1, TimeUnit.Years),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
zcBondsDayCounter);
// setup bonds
double redemption = 100.0;
const uint numberOfBonds = 5;
var issueDates = new Date[] { 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) };
var maturities = new Date[] { 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) };
var couponRates = new double[] { 0.02375,
0.04625,
0.03125,
0.04000,
0.04500 };
var marketQuotes = new double[] { 100.390625,
106.21875,
100.59375,
101.6875,
102.140625 };
var quote = new QuoteVector((int)numberOfBonds);
for (uint i = 0; i < numberOfBonds; i++)
{
var cp = new SimpleQuote(marketQuotes[i]);
quote.Add(cp);
}
var quoteHandle = new RelinkableQuoteHandleVector((int)numberOfBonds);
for (int i = 0; i < (int)numberOfBonds; i++)
{
quoteHandle.Add(new RelinkableQuoteHandle());
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
var bondsHelpers = new RateHelperVector((int)numberOfBonds);
for (int i = 0; i < (int)numberOfBonds; i++)
{
var schedule = new Schedule(issueDates[i],
maturities[i],
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward,
false);
var bondHelper = new FixedRateBondHelper(quoteHandle[i],
settlementDays,
100.0,
schedule,
new DoubleVector(1)
{
couponRates[i]
},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.Add(bondHelper);
}
#endregion
#region CURVE BUILDING
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
var termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
//double tolerance = 1.0e-15;
// A depo-bond curve
var bondInstruments = new RateHelperVector();
// 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[3]);
}
var bondDiscountingTermStructure = new PiecewiseFlatForward(settlementDate,
bondInstruments,
termStructureDayCounter);
// 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;
#endregion
#region 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
var d1wRate = new SimpleQuote(d1wQuote);
var d1mRate = new SimpleQuote(d1mQuote);
var d3mRate = new SimpleQuote(d3mQuote);
var d6mRate = new SimpleQuote(d6mQuote);
var d9mRate = new SimpleQuote(d9mQuote);
var d1yRate = new SimpleQuote(d1yQuote);
// swaps
var s2yRate = new SimpleQuote(s2yQuote);
var s3yRate = new SimpleQuote(s3yQuote);
var s5yRate = new SimpleQuote(s5yQuote);
var s10yRate = new SimpleQuote(s10yQuote);
var s15yRate = new SimpleQuote(s15yQuote);
#endregion
#region 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
var depositDayCounter = new Actual360();
var d1w = new DepositRateHelper(new QuoteHandle(d1wRate),
new Period(1, TimeUnit.Weeks),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d1m = new DepositRateHelper(new QuoteHandle(d1mRate),
new Period(1, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d3m = new DepositRateHelper(new QuoteHandle(d3mRate),
new Period(3, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d6m = new DepositRateHelper(new QuoteHandle(d6mRate),
new Period(6, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d9m = new DepositRateHelper(new QuoteHandle(d9mRate),
new Period(9, TimeUnit.Months),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
var d1y = new DepositRateHelper(new QuoteHandle(d1yRate),
new Period(1, TimeUnit.Years),
(uint)fixingDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
true,
depositDayCounter);
// setup swaps
var swFixedLegFrequency = Frequency.Annual;
var swFixedLegConvention = BusinessDayConvention.Unadjusted;
var swFixedLegDayCounter = new Thirty360(Thirty360.Convention.European);
var swFloatingLegIndex = new Euribor6M();
var forwardStart = new Period(1, TimeUnit.Days);
var s2y = new SwapRateHelper(new QuoteHandle(s2yRate),
new Period(2, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s3y = new SwapRateHelper(new QuoteHandle(s3yRate),
new Period(3, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s5y = new SwapRateHelper(new QuoteHandle(s5yRate),
new Period(5, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s10y = new SwapRateHelper(new QuoteHandle(s10yRate),
new Period(10, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
var s15y = new SwapRateHelper(new QuoteHandle(s15yRate),
new Period(15, TimeUnit.Years),
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
new QuoteHandle(),
forwardStart);
#endregion
#region CURVE BUILDING
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
var depoSwapInstruments = new RateHelperVector();
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);
var depoSwapTermStructure = new PiecewiseFlatForward(settlementDate,
depoSwapInstruments,
termStructureDayCounter);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
var discountingTermStructure = new RelinkableYieldTermStructureHandle();
// the one used for forward rate forecasting
//var forecastingTermStructure = new RelinkableYieldTermStructureHandle();
#endregion
#region BONDS TO BE PRICED
// Common data
double faceAmount = 100;
// Pricing engine
var bondEngine = new DiscountingBondEngine(new YieldTermStructureHandle(bondDiscountingTermStructure));
// Zero coupon bond
var 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
var 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);
var fixedRateBond = new FixedRateBond((int)settlementDays,
faceAmount,
fixedBondSchedule,
new DoubleVector(1)
{
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...
var liborTermStructure = new RelinkableYieldTermStructureHandle();
var libor3m = new USDLibor(new Period(3, TimeUnit.Months),
liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008), 0.0278625);
var 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);
var floatingRateBond = new FloatingRateBond(settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
// Gearings
new DoubleVector(1)
{
1.0
},
// Spreads
new DoubleVector(1)
{
0.001
},
// Caps
new DoubleVector(),
// Floors
new DoubleVector(),
// Fixing in arrears
true,
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
var pricer = new BlackIborCouponPricer();
// optionLet volatilities
double volatility = 0.0;
var vol = new OptionletVolatilityStructureHandle(new ConstantOptionletVolatility(settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
pricer.setCapletVolatility(vol);
NQuantLibc.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);
#endregion
#region BOND PRICING
Console.WriteLine();
// write column headings
int[] widths = new int[] { 0, 28, 38, 48 };
Console.CursorLeft = widths[0]; Console.Write(" ");
Console.CursorLeft = widths[1]; Console.Write("ZC");
Console.CursorLeft = widths[2]; Console.Write("Fixed");
Console.CursorLeft = widths[3]; Console.WriteLine("Floating");
//string separator = " | ";
int width = widths[3];
string rule = new string('-', width);
string dblrule = new string('=', width);
string tab = new string(' ', 8);
Console.WriteLine(rule);
Console.CursorLeft = widths[0]; Console.Write("Net present value");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.NPV().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Clean price");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.cleanPrice().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Dirty price");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.dirtyPrice().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Accrued coupon");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.accruedAmount().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Previous coupon");
Console.CursorLeft = widths[1]; Console.Write("N/A");
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.previousCouponRate().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.previousCouponRate().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Next coupon");
Console.CursorLeft = widths[1]; Console.Write("N/A");
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.nextCouponRate().ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.nextCouponRate().ToString("000.00"));
Console.CursorLeft = widths[0]; Console.Write("Yield");
Console.CursorLeft = widths[1]; Console.Write(zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
Console.CursorLeft = widths[2]; Console.Write(fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
Console.CursorLeft = widths[3]; Console.WriteLine(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual).ToString("000.00"));
double yield = fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual);
Console.CursorLeft = widths[2]; Console.Write(BondFunctions.duration(fixedRateBond, new InterestRate(yield, fixedRateBond.dayCounter(), Compounding.Compounded, Frequency.Annual), Duration.Type.Modified));
Console.WriteLine();
// Other computations
Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
Console.WriteLine(rule);
Console.WriteLine("Yield to Clean Price: {0}", floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual), new Actual360(), Compounding.Compounded, Frequency.Annual, settlementDate).ToString("000.00"));
Console.WriteLine("Clean Price to Yield: {0}", floatingRateBond.yield(floatingRateBond.cleanPrice(), new Actual360(), Compounding.Compounded, Frequency.Annual, settlementDate).ToString("000.00"));
/* "Yield to Price"
* "Price to Yield" */
double milliseconds = timer.ElapsedMilliseconds;
Console.WriteLine();
Console.WriteLine("Run completed in " + milliseconds + "ms");
#endregion
}
catch (Exception e)
{
Console.WriteLine(e.Message);
}
finally
{
Console.Read();
}
}
public void testCachedFloating()
{
// "Testing floating-rate bond prices against cached values...");
CommonVars vars = new CommonVars();
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
int settlementDays = 1;
var riskFreeRate = new Handle <YieldTermStructure>(Utilities.flatRate(today, 0.025, new Actual360()));
var discountCurve = new Handle <YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));
IborIndex index = new USDLibor(new Period(6, TimeUnit.Months), riskFreeRate);
int fixingDays = 1;
double tolerance = 1.0e-6;
IborCouponPricer pricer = new BlackIborCouponPricer(new Handle <OptionletVolatilityStructure>());
// plain
Schedule sch = new Schedule(new Date(30, Month.November, 2004), new Date(30, Month.November, 2008),
new Period(Frequency.Semiannual), new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
FloatingRateBond bond1 = new FloatingRateBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), new List <double>(),
new List <double>(), new List <double>(),
false,
100.0, new Date(30, Month.November, 2004));
IPricingEngine bondEngine = new DiscountingBondEngine(riskFreeRate);
bond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(bond1.cashflows(), pricer);
#if QL_USE_INDEXED_COUPON
double cachedPrice1 = 99.874645;
#else
double cachedPrice1 = 99.874646;
#endif
double price = bond1.cleanPrice();
if (Math.Abs(price - cachedPrice1) > tolerance)
{
Assert.Fail("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice1 + "\n"
+ " error: " + (price - cachedPrice1));
}
// different risk-free and discount curve
FloatingRateBond bond2 = new FloatingRateBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), new List <double>(),
new List <double>(), new List <double>(),
false,
100.0, new Date(30, Month.November, 2004));
IPricingEngine bondEngine2 = new DiscountingBondEngine(discountCurve);
bond2.setPricingEngine(bondEngine2);
Utils.setCouponPricer(bond2.cashflows(), pricer);
#if QL_USE_INDEXED_COUPON
double cachedPrice2 = 97.955904;
#else
double cachedPrice2 = 97.955904;
#endif
price = bond2.cleanPrice();
if (Math.Abs(price - cachedPrice2) > tolerance)
{
Assert.Fail("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice2 + "\n"
+ " error: " + (price - cachedPrice2));
}
// varying spread
InitializedList <double> spreads = new InitializedList <double>(4);
spreads[0] = 0.001;
spreads[1] = 0.0012;
spreads[2] = 0.0014;
spreads[3] = 0.0016;
FloatingRateBond bond3 = new FloatingRateBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), spreads,
new List <double>(), new List <double>(),
false,
100.0, new Date(30, Month.November, 2004));
bond3.setPricingEngine(bondEngine2);
Utils.setCouponPricer(bond3.cashflows(), pricer);
#if QL_USE_INDEXED_COUPON
double cachedPrice3 = 98.495458;
#else
double cachedPrice3 = 98.495459;
#endif
price = bond3.cleanPrice();
if (Math.Abs(price - cachedPrice3) > tolerance)
{
Assert.Fail("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice3 + "\n"
+ " error: " + (price - cachedPrice3));
}
}
public void testCatBondWithDoomOnceInTenYearsProportional()
{
// Testing floating-rate cat bond in a doom once in 10 years scenario with proportional notional reduction
CommonVars vars = new CommonVars();
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
int settlementDays = 1;
Handle <YieldTermStructure> riskFreeRate = new Handle <YieldTermStructure>(Utilities.flatRate(today, 0.025, new Actual360()));
Handle <YieldTermStructure> discountCurve = new Handle <YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));
IborIndex index = new USDLibor(new Period(6, TimeUnit.Months), riskFreeRate);
int fixingDays = 1;
double tolerance = 1.0e-6;
IborCouponPricer pricer = new BlackIborCouponPricer(new Handle <OptionletVolatilityStructure>());
Schedule sch =
new Schedule(new Date(30, Month.November, 2004),
new Date(30, Month.November, 2008),
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List <KeyValuePair <Date, double> > events = new List <KeyValuePair <Date, double> >();
events.Add(new KeyValuePair <Date, double>(new Date(30, Month.November, 2008), 1000));
CatRisk doomCatRisk = new EventSet(events, new Date(30, Month.November, 2004), new Date(30, Month.November, 2044));
CatRisk noCatRisk = new EventSet(new List <KeyValuePair <Date, double> > (),
new Date(1, Month.Jan, 2000), new Date(31, Month.Dec, 2010));
EventPaymentOffset paymentOffset = new NoOffset();
NotionalRisk notionalRisk = new ProportionalNotionalRisk(paymentOffset, 500, 1500);
FloatingCatBond catBond =
new FloatingCatBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
notionalRisk,
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), new List <double>(),
new List <double?>(), new List <double?>(),
false,
100.0, new Date(30, Month.November, 2004));
IPricingEngine catBondEngine = new MonteCarloCatBondEngine(doomCatRisk, discountCurve);
catBond.setPricingEngine(catBondEngine);
Utils.setCouponPricer(catBond.cashflows(), pricer);
double price = catBond.cleanPrice();
double yield = catBond.yield(new ActualActual(ActualActual.Convention.ISMA), Compounding.Simple, Frequency.Annual);
double lossProbability = catBond.lossProbability();
double exhaustionProbability = catBond.exhaustionProbability();
double expectedLoss = catBond.expectedLoss();
QAssert.AreEqual(0.1, lossProbability, tolerance);
QAssert.AreEqual(0.0, exhaustionProbability, tolerance);
QAssert.AreEqual(0.05, expectedLoss, tolerance);
IPricingEngine catBondEngineRF = new MonteCarloCatBondEngine(noCatRisk, discountCurve);
catBond.setPricingEngine(catBondEngineRF);
double riskFreePrice = catBond.cleanPrice();
double riskFreeYield = catBond.yield(new ActualActual(ActualActual.Convention.ISMA), Compounding.Simple, Frequency.Annual);
double riskFreeLossProbability = catBond.lossProbability();
double riskFreeExpectedLoss = catBond.expectedLoss();
QAssert.AreEqual(0.0, riskFreeLossProbability, tolerance);
QAssert.IsTrue(Math.Abs(riskFreeExpectedLoss) < tolerance);
QAssert.AreEqual(riskFreePrice * 0.95, price, tolerance);
QAssert.IsTrue(riskFreeYield < yield);
}
public void testCatBondInDoomScenario()
{
// Testing floating-rate cat bond in a doom scenario (certain default)
CommonVars vars = new CommonVars();
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
int settlementDays = 1;
Handle <YieldTermStructure> riskFreeRate = new Handle <YieldTermStructure>(Utilities.flatRate(today, 0.025, new Actual360()));
Handle <YieldTermStructure> discountCurve = new Handle <YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));
IborIndex index = new USDLibor(new Period(6, TimeUnit.Months), riskFreeRate);
int fixingDays = 1;
double tolerance = 1.0e-6;
IborCouponPricer pricer = new BlackIborCouponPricer(new Handle <OptionletVolatilityStructure>());
Schedule sch = new Schedule(new Date(30, Month.November, 2004),
new Date(30, Month.November, 2008),
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List <KeyValuePair <Date, double> > events = new List <KeyValuePair <Date, double> >();
events.Add(new KeyValuePair <Date, double>(new Date(30, Month.November, 2004), 1000));
CatRisk doomCatRisk = new EventSet(events,
new Date(30, Month.November, 2004), new Date(30, Month.November, 2008));
EventPaymentOffset paymentOffset = new NoOffset();
NotionalRisk notionalRisk = new DigitalNotionalRisk(paymentOffset, 100);
FloatingCatBond catBond = new FloatingCatBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
notionalRisk,
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), new List <double>(),
new List <double?>(), new List <double?>(),
false,
100.0, new Date(30, Month.November, 2004));
IPricingEngine catBondEngine = new MonteCarloCatBondEngine(doomCatRisk, discountCurve);
catBond.setPricingEngine(catBondEngine);
Utils.setCouponPricer(catBond.cashflows(), pricer);
double price = catBond.cleanPrice();
QAssert.AreEqual(0, price);
double lossProbability = catBond.lossProbability();
double exhaustionProbability = catBond.exhaustionProbability();
double expectedLoss = catBond.expectedLoss();
QAssert.AreEqual(1.0, lossProbability, tolerance);
QAssert.AreEqual(1.0, exhaustionProbability, tolerance);
QAssert.AreEqual(1.0, expectedLoss, tolerance);
}
public void testRiskFreeAgainstFloatingRateBond()
{
// Testing floating-rate cat bond against risk-free floating-rate bond
CommonVars vars = new CommonVars();
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
int settlementDays = 1;
Handle <YieldTermStructure> riskFreeRate = new Handle <YieldTermStructure>(Utilities.flatRate(today, 0.025, new Actual360()));
Handle <YieldTermStructure> discountCurve = new Handle <YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));
IborIndex index = new USDLibor(new Period(6, TimeUnit.Months), riskFreeRate);
int fixingDays = 1;
double tolerance = 1.0e-6;
IborCouponPricer pricer = new BlackIborCouponPricer(new Handle <OptionletVolatilityStructure>());
// plain
Schedule sch = new Schedule(new Date(30, Month.November, 2004),
new Date(30, Month.November, 2008),
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
CatRisk noCatRisk = new EventSet(new List <KeyValuePair <Date, double> >(), new Date(1, Month.Jan, 2000), new Date(31, Month.Dec, 2010));
EventPaymentOffset paymentOffset = new NoOffset();
NotionalRisk notionalRisk = new DigitalNotionalRisk(paymentOffset, 100);
FloatingRateBond bond1 = new FloatingRateBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), new List <double>(),
new List <double?>(), new List <double?>(),
false,
100.0, new Date(30, Month.November, 2004));
FloatingCatBond catBond1 = new FloatingCatBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
notionalRisk,
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), new List <double>(),
new List <double?>(), new List <double?>(),
false,
100.0, new Date(30, Month.November, 2004));
IPricingEngine bondEngine = new DiscountingBondEngine(riskFreeRate);
bond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(bond1.cashflows(), pricer);
IPricingEngine catBondEngine = new MonteCarloCatBondEngine(noCatRisk, riskFreeRate);
catBond1.setPricingEngine(catBondEngine);
Utils.setCouponPricer(catBond1.cashflows(), pricer);
#if QL_USE_INDEXED_COUPON
double cachedPrice1 = 99.874645;
#else
double cachedPrice1 = 99.874646;
#endif
double price = bond1.cleanPrice();
double catPrice = catBond1.cleanPrice();
if (Math.Abs(price - cachedPrice1) > tolerance || Math.Abs(catPrice - price) > tolerance)
{
QAssert.Fail("failed to reproduce floating rate bond price:\n"
+ " floating bond: " + price + "\n"
+ " catBond bond: " + catPrice + "\n"
+ " expected: " + cachedPrice1 + "\n"
+ " error: " + (catPrice - price));
}
// different risk-free and discount curve
FloatingRateBond bond2 = new FloatingRateBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), new List <double>(),
new List <double?>(), new List <double?>(),
false,
100.0, new Date(30, Month.November, 2004));
FloatingCatBond catBond2 = new FloatingCatBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
notionalRisk,
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), new List <double>(),
new List <double?>(), new List <double?>(),
false,
100.0, new Date(30, Month.November, 2004));
IPricingEngine bondEngine2 = new DiscountingBondEngine(discountCurve);
bond2.setPricingEngine(bondEngine2);
Utils.setCouponPricer(bond2.cashflows(), pricer);
IPricingEngine catBondEngine2 = new MonteCarloCatBondEngine(noCatRisk, discountCurve);
catBond2.setPricingEngine(catBondEngine2);
Utils.setCouponPricer(catBond2.cashflows(), pricer);
#if QL_USE_INDEXED_COUPON
double cachedPrice2 = 97.955904;
#else
double cachedPrice2 = 97.955904;
#endif
price = bond2.cleanPrice();
catPrice = catBond2.cleanPrice();
if (Math.Abs(price - cachedPrice2) > tolerance || Math.Abs(catPrice - price) > tolerance)
{
QAssert.Fail("failed to reproduce floating rate bond price:\n"
+ " floating bond: " + price + "\n"
+ " catBond bond: " + catPrice + "\n"
+ " expected: " + cachedPrice2 + "\n"
+ " error: " + (catPrice - price));
}
// varying spread
List <double> spreads = new InitializedList <double>(4);
spreads[0] = 0.001;
spreads[1] = 0.0012;
spreads[2] = 0.0014;
spreads[3] = 0.0016;
FloatingRateBond bond3 = new FloatingRateBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), spreads,
new List <double?>(), new List <double?>(),
false,
100.0, new Date(30, Month.November, 2004));
FloatingCatBond catBond3 = new FloatingCatBond(settlementDays, vars.faceAmount, sch,
index, new ActualActual(ActualActual.Convention.ISMA),
notionalRisk,
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List <double>(), spreads,
new List <double?>(), new List <double?>(),
false,
100.0, new Date(30, Month.November, 2004));
bond3.setPricingEngine(bondEngine2);
Utils.setCouponPricer(bond3.cashflows(), pricer);
catBond3.setPricingEngine(catBondEngine2);
Utils.setCouponPricer(catBond3.cashflows(), pricer);
#if QL_USE_INDEXED_COUPON
double cachedPrice3 = 98.495458;
#else
double cachedPrice3 = 98.495459;
#endif
price = bond3.cleanPrice();
catPrice = catBond3.cleanPrice();
if (Math.Abs(price - cachedPrice3) > tolerance || Math.Abs(catPrice - price) > tolerance)
{
QAssert.Fail("failed to reproduce floating rate bond price:\n"
+ " floating bond: " + price + "\n"
+ " catBond bond: " + catPrice + "\n"
+ " expected: " + cachedPrice2 + "\n"
+ " error: " + (catPrice - price));
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackIborCouponPricer obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
