public void testCachedValue()
{
//"Testing swaption value against cached value...");
CommonVars vars = new CommonVars();
vars.today = new Date(13, 3, 2002);
vars.settlement = new Date(15, 3, 2002);
Settings.setEvaluationDate( vars.today);
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement, 0.05, new Actual365Fixed()));
Date exerciseDate = vars.calendar.advance(vars.settlement, new Period(5,TimeUnit.Years));
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays,TimeUnit.Days);
VanillaSwap swap =
new MakeVanillaSwap(new Period(10,TimeUnit.Years), vars.index, 0.06)
.withEffectiveDate(startDate);
Swaption swaption =
vars.makeSwaption(swap, exerciseDate, 0.20);
//#if QL_USE_INDEXED_COUPON
double cachedNPV = 0.036418158579;
//#else
// double cachedNPV = 0.036421429684;
//#endif
// FLOATING_POINT_EXCEPTION
if (Math.Abs(swaption.NPV()-cachedNPV) > 1.0e-12)
Assert.Fail ("failed to reproduce cached swaption value:\n" +
//QL_FIXED + std::setprecision(12) +
"\ncalculated: " + swaption.NPV() +
"\nexpected: " + cachedNPV);
}
public void testFlatInterpolationLeft()
{
// Testing flat interpolation before the first spreaded date...
CommonVars vars = new CommonVars();
List<Handle<Quote>> spreads = new List<Handle<Quote>>();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle<Quote>(spread1));
spreads.Add(new Handle<Quote>(spread2));
List<Date> spreadDates = new List<Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 8, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 15, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 6, TimeUnit.Months);
ZeroYieldStructure spreadedTermStructure =
new PiecewiseZeroSpreadedTermStructure(
new Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() + spread1.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
Assert.Fail("unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
public void testFairRate()
{
//("Testing vanilla-swap calculation of fair fixed rate...");
CommonVars vars = new CommonVars();
int[] lengths = new int[] { 1, 2, 5, 10, 20 };
double[] spreads = new double[] { -0.001, -0.01, 0.0, 0.01, 0.001 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < spreads.Length; j++)
{
VanillaSwap swap = vars.makeSwap(lengths[i], 0.0, spreads[j]);
swap = vars.makeSwap(lengths[i], swap.fairRate(), spreads[j]);
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
Assert.Fail("recalculating with implied rate:\n"
+ " length: " + lengths[i] + " years\n"
+ " floating spread: "
+ spreads[j] + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
public void testCachedValue()
{
// Testing Black yoy inflation cap/floor price against cached values...
CommonVars vars = new CommonVars();
int whichPricer = 0; // black
double K = 0.0295; // one centi-point is fair rate error i.e. < 1 cp
int j = 2;
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,j);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVblack = 219.452;
double cachedFloorNPVblack = 314.641;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVblack)<0.02,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVblack+" Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVblack)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVblack)<0.02,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVblack+" Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVblack)));
whichPricer = 1; // dd
cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVdd = 9114.61;
double cachedFloorNPVdd = 9209.8;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVdd)<0.22,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVdd+" dd Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVdd)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVdd)<0.22,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVdd+" dd Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVdd)));
whichPricer = 2; // bachelier
cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVbac = 8852.4;
double cachedFloorNPVbac = 8947.59;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVbac)<0.22,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVbac+" bac Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVbac)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVbac)<0.22,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVbac+" bac Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVbac)));
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public void testATMRate()
{
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] strikes = { 0.0, 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.05, 0.10, 0.15, 0.20 };
Date startDate = vars.termStructure.link.referenceDate();
for (int i = 0; i < lengths.Length; i++) {
List<CashFlow> leg = vars.makeLeg(startDate, lengths[i]);
Date maturity = vars.calendar.advance(startDate, lengths[i], TimeUnit.Years, vars.convention);
Schedule schedule = new Schedule(startDate, maturity,
new Period(vars.frequency), vars.calendar,
vars.convention, vars.convention,
DateGeneration.Rule.Forward, false);
for (int j = 0; j < strikes.Length; j++) {
for (int k = 0; k < vols.Length; k++) {
CapFloor cap = vars.makeCapFloor(CapFloorType.Cap, leg, strikes[j], vols[k]);
CapFloor floor = vars.makeCapFloor(CapFloorType.Floor, leg, strikes[j], vols[k]);
double capATMRate = cap.atmRate(vars.termStructure);
double floorATMRate = floor.atmRate(vars.termStructure);
if (!checkAbsError(floorATMRate, capATMRate, 1.0e-10))
Assert.Fail(
"Cap ATM Rate and floor ATM Rate should be equal :\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " strike: " + strikes[j] + "\n"
+ " cap ATM rate: " + capATMRate + "\n"
+ " floor ATM rate:" + floorATMRate + "\n"
+ " relative Error:"
+ Utilities.relativeError(capATMRate, floorATMRate, capATMRate) * 100 + "%");
VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, vars.nominals[0],
schedule, floorATMRate,
vars.index.dayCounter(),
schedule, vars.index, 0.0,
vars.index.dayCounter());
swap.setPricingEngine((IPricingEngine)(
new DiscountingSwapEngine(vars.termStructure)));
double swapNPV = swap.NPV();
if (!checkAbsError(swapNPV, 0, 1.0e-10))
Assert.Fail(
"the NPV of a Swap struck at ATM rate "
+ "should be equal to 0:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " ATM rate: " + floorATMRate + "\n"
+ " swap NPV: " + swapNPV);
}
}
}
}
public void testLinearZeroConsistency()
{
// "Testing consistency of piecewise-linear zero-yield curve...");
CommonVars vars = new CommonVars();
testCurveConsistency <ZeroYield, Linear, IterativeBootstrapForYield>(vars);
testBMACurveConsistency <ZeroYield, Linear, IterativeBootstrapForYield>(vars);
}
public void testLinearDiscountConsistency()
{
// "Testing consistency of piecewise-linear discount curve..."
CommonVars vars = new CommonVars();
testCurveConsistency <Discount, Linear, IterativeBootstrapForYield>(vars);
testBMACurveConsistency <Discount, Linear, IterativeBootstrapForYield>(vars);
}
public void testLocalBootstrapConsistency()
{
//"Testing consistency of local-bootstrap algorithm...");
CommonVars vars = new CommonVars();
testCurveConsistency <ForwardRate, ConvexMonotone, LocalBootstrapForYield>(vars, new ConvexMonotone(), 1.0e-7);
testBMACurveConsistency <ForwardRate, ConvexMonotone, LocalBootstrapForYield>(vars, new ConvexMonotone(), 1.0e-9);
}
public void testConvexMonotoneForwardConsistency()
{
//"Testing consistency of convex monotone forward-rate curve...");
CommonVars vars = new CommonVars();
testCurveConsistency <ForwardRate, ConvexMonotone, IterativeBootstrapForYield>(vars);
testBMACurveConsistency <ForwardRate, ConvexMonotone, IterativeBootstrapForYield>(vars);
}
public void testFlatForwardConsistency()
{
//"Testing consistency of piecewise-flat forward-rate curve...");
CommonVars vars = new CommonVars();
testCurveConsistency <ForwardRate, BackwardFlat, IterativeBootstrapForYield>(vars);
testBMACurveConsistency <ForwardRate, BackwardFlat, IterativeBootstrapForYield>(vars);
}
public void testSwaptionVolMatrixCoherence()
{
// Set evaluation date
Settings.Instance.setEvaluationDate(Date.Today);
// Testing swaption volatility matrix
CommonVars vars = new CommonVars();
SwaptionVolatilityMatrix vol;
string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = new SwaptionVolatilityMatrix(Settings.Instance.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(Settings.Instance.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
}
public void testLinearForwardConsistency()
{
// "Testing consistency of piecewise-linear forward-rate curve...");
CommonVars vars = new CommonVars();
testCurveConsistency <ForwardRate, Linear, IterativeBootstrapForYield>(vars);
testBMACurveConsistency <ForwardRate, Linear, IterativeBootstrapForYield>(vars);
}
public void zciisconsistency()
{
CommonVars common = new CommonVars();
ZeroCouponInflationSwap.Type ztype = ZeroCouponInflationSwap.Type.Payer;
double nominal = 1000000.0;
Date startDate = new Date(common.evaluationDate);
Date endDate = new Date(25, Month.November, 2059);
Calendar cal = new UnitedKingdom();
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter dummyDC = null, dc = new ActualActual();
Period observationLag = new Period(2, TimeUnit.Months);
double quote = 0.03714;
ZeroCouponInflationSwap zciis = new ZeroCouponInflationSwap(ztype, nominal, startDate, endDate, cal,
paymentConvention, dc, quote, common.ii, observationLag);
// simple structure so simple pricing engine - most work done by index
DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
zciis.setPricingEngine(dse);
QAssert.IsTrue(Math.Abs(zciis.NPV()) < 1e-3, "zciis does not reprice to zero");
List <Date> oneDate = new List <Date>();
oneDate.Add(endDate);
Schedule schOneDate = new Schedule(oneDate, cal, paymentConvention);
CPISwap.Type stype = CPISwap.Type.Payer;
double inflationNominal = nominal;
double floatNominal = inflationNominal * Math.Pow(1.0 + quote, 50);
bool subtractInflationNominal = true;
double dummySpread = 0.0, dummyFixedRate = 0.0;
int fixingDays = 0;
Date baseDate = startDate - observationLag;
double baseCPI = common.ii.fixing(baseDate);
IborIndex dummyFloatIndex = new IborIndex();
CPISwap cS = new CPISwap(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
paymentConvention, fixingDays, dummyFloatIndex,
dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
common.ii, InterpolationType.AsIndex, inflationNominal);
cS.setPricingEngine(dse);
QAssert.IsTrue(Math.Abs(cS.NPV()) < 1e-3, "CPISwap as ZCIIS does not reprice to zero");
for (int i = 0; i < 2; i++)
{
double cs = cS.legNPV(i).GetValueOrDefault();
double z = zciis.legNPV(i).GetValueOrDefault();
QAssert.IsTrue(Math.Abs(cs - z) < 1e-3, "zciis leg does not equal CPISwap leg");
}
// remove circular refernce
common.hcpi.linkTo(null);
}
public void testFlatTermVolatilityStripping1()
{
// Testing forward/forward vol stripping from flat term vol
// surface using OptionletStripper1 class...
CommonVars vars = new CommonVars();
Settings.setEvaluationDate(new Date(28, Month.October, 2013));
vars.setFlatTermVolSurface();
IborIndex iborIndex = new Euribor6M(vars.yieldTermStructure);
OptionletStripper optionletStripper1 = new OptionletStripper1(vars.flatTermVolSurface,
iborIndex, null, vars.accuracy);
StrippedOptionletAdapter strippedOptionletAdapter = new StrippedOptionletAdapter(optionletStripper1);
Handle <OptionletVolatilityStructure> vol = new Handle <OptionletVolatilityStructure>(strippedOptionletAdapter);
vol.link.enableExtrapolation();
BlackCapFloorEngine strippedVolEngine = new BlackCapFloorEngine(vars.yieldTermStructure, vol);
CapFloor cap;
for (int tenorIndex = 0; tenorIndex < vars.optionTenors.Count; ++tenorIndex)
{
for (int strikeIndex = 0; strikeIndex < vars.strikes.Count; ++strikeIndex)
{
cap = new MakeCapFloor(CapFloorType.Cap, vars.optionTenors[tenorIndex], iborIndex,
vars.strikes[strikeIndex], new Period(0, TimeUnit.Days))
.withPricingEngine(strippedVolEngine);
double priceFromStrippedVolatility = cap.NPV();
IPricingEngine blackCapFloorEngineConstantVolatility = new BlackCapFloorEngine(vars.yieldTermStructure,
vars.termV[tenorIndex, strikeIndex]);
cap.setPricingEngine(blackCapFloorEngineConstantVolatility);
double priceFromConstantVolatility = cap.NPV();
double error = Math.Abs(priceFromStrippedVolatility - priceFromConstantVolatility);
if (error > vars.tolerance)
{
QAssert.Fail("\noption tenor: " + vars.optionTenors[tenorIndex] +
"\nstrike: " + vars.strikes[strikeIndex] +
"\nstripped vol price: " + priceFromStrippedVolatility +
"\nconstant vol price: " + priceFromConstantVolatility +
"\nerror: " + error +
"\ntolerance: " + vars.tolerance);
}
}
}
}
public void testVega()
{
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 4, 5, 6, 7, 10, 15, 20, 30 };
double[] vols = { 0.01, 0.05, 0.10, 0.15, 0.20 };
double[] strikes = { 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09 };
CapFloorType[] types = { CapFloorType.Cap, CapFloorType.Floor };
Date startDate = vars.termStructure.link.referenceDate();
double shift = 1e-8;
double tolerance = 0.005;
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < vols.Length; j++)
{
for (int k = 0; k < strikes.Length; k++)
{
for (int h = 0; h < types.Length; h++)
{
List <CashFlow> leg = vars.makeLeg(startDate, lengths[i]);
CapFloor capFloor = vars.makeCapFloor(types[h], leg, strikes[k], vols[j]);
CapFloor shiftedCapFloor2 = vars.makeCapFloor(types[h], leg, strikes[k], vols[j] + shift);
CapFloor shiftedCapFloor1 = vars.makeCapFloor(types[h], leg, strikes[k], vols[j] - shift);
double value1 = shiftedCapFloor1.NPV();
double value2 = shiftedCapFloor2.NPV();
double numericalVega = (value2 - value1) / (2 * shift);
if (numericalVega > 1.0e-4)
{
double analyticalVega = (double)capFloor.result("vega");
double discrepancy = Math.Abs(numericalVega - analyticalVega);
discrepancy /= numericalVega;
if (discrepancy > tolerance)
{
QAssert.Fail(
"failed to compute cap/floor vega:" +
"\n lengths: " + new Period(lengths[j], TimeUnit.Years) +
"\n strike: " + strikes[k] +
"\n types: " + types[h] +
"\n calculated: " + analyticalVega +
"\n expected: " + numericalVega +
"\n discrepancy: " + discrepancy +
"\n tolerance: " + tolerance);
}
}
}
}
}
}
}
public void testSwaptionVolMatrixCoherence()
{
//"Testing swaption volatility matrix...");
CommonVars vars = new CommonVars();
SwaptionVolatilityMatrix vol;
string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = new SwaptionVolatilityMatrix(Settings.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(Settings.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
}
public void cpicapfloorpricesurface()
{
// check inflation leg vs calculation directly from inflation TS
CommonVars common = new CommonVars();
double nominal = 1.0;
InterpolatedCPICapFloorTermPriceSurface <Bilinear> cpiSurf = new InterpolatedCPICapFloorTermPriceSurface <Bilinear>(
nominal,
common.baseZeroRate,
common.observationLag,
common.calendar,
common.convention,
common.dcZCIIS,
common.hii,
common.nominalUK,
common.cStrikesUK,
common.fStrikesUK,
common.cfMaturitiesUK,
common.cPriceUK,
common.fPriceUK);
// test code - note order of indices
for (int i = 0; i < common.fStrikesUK.Count; i++)
{
double qK = common.fStrikesUK[i];
int nMat = common.cfMaturitiesUK.Count;
for (int j = 0; j < nMat; j++)
{
Period t = common.cfMaturitiesUK[j];
double a = common.fPriceUK[i, j];
double b = cpiSurf.floorPrice(t, qK);
Utils.QL_REQUIRE(Math.Abs(a - b) < 1e-7, () => "cannot reproduce cpi floor data from surface: "
+ a + " vs constructed = " + b);
}
}
for (int i = 0; i < common.cStrikesUK.Count; i++)
{
double qK = common.cStrikesUK[i];
int nMat = common.cfMaturitiesUK.Count;
for (int j = 0; j < nMat; j++)
{
Period t = common.cfMaturitiesUK[j];
double a = common.cPriceUK[i, j];
double b = cpiSurf.capPrice(t, qK);
QAssert.IsTrue(Math.Abs(a - b) < 1e-7, "cannot reproduce cpi cap data from surface: "
+ a + " vs constructed = " + b);
}
}
// remove circular refernce
common.hcpi.linkTo(null);
}
private static bool pReadQuiltCSVFile(ref CommonVars commonVars, string fileName)
{
bool reading = false;
try
{
using (StreamReader sr = new(fileName))
{
reading = true;
char[] csvSeparators = { ',' };
// Read in non-CSV data first
// Pattern line
string check = sr.ReadLine();
// ReSharper disable once PossibleNullReferenceException
if (!check.StartsWith("Quilt"))
{
return(false);
}
// Now we have the meat of the data we need.
string tempString = sr.ReadLine();
string[] parsedString = tempString.Split(csvSeparators);
if (parsedString.Length >= 6)
{
// We have 6 values to extract from this line.
// X-offset, Y-offset, X pitch, Y pitch, rows, cols
// Convert from um to nm in the process.
// Take the second result of the split which is the numeric value. Convert it to double, multiply by 1000 to convert units. Make int.
commonVars.getSimulationSettings().getDOESettings().setDouble(DOESettings.properties_d.colOffset, Convert.ToDouble(parsedString[0]));
commonVars.getSimulationSettings().getDOESettings().setDouble(DOESettings.properties_d.rowOffset, Convert.ToDouble(parsedString[1]));
commonVars.getSimulationSettings().getDOESettings().setDouble(DOESettings.properties_d.colPitch, Convert.ToDouble(parsedString[2]));
commonVars.getSimulationSettings().getDOESettings().setDouble(DOESettings.properties_d.rowPitch, Convert.ToDouble(parsedString[3]));
commonVars.getSimulationSettings().getDOESettings().setInt(DOESettings.properties_i.rows, Convert.ToInt32(parsedString[4]));
commonVars.getSimulationSettings().getDOESettings().setInt(DOESettings.properties_i.cols, Convert.ToInt32(parsedString[5]));
}
else
{
// We need to break here.
ErrorReporter.showMessage_OK("CSV file doesn't match expectations.", "Aborting.");
return(false);
}
}
reading = false;
}
catch (Exception)
{
return(reading);
}
commonVars.getSimulationSettings().getDOESettings().setBool(DOESettings.properties_b.quilt, true);
commonVars.getSimulationSettings().getDOESettings().setInt(DOESettings.properties_i.uTileList, 0);
commonVars.getSimulationSettings().getDOESettings().setInt(DOESettings.properties_i.sTile, 0);
return(reading);
}
public void testSetInterpolationFactory()
{
// Testing factory constructor with additional parameters...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
SimpleQuote spread3 = new SimpleQuote(0.01);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
spreads.Add(new Handle <Quote>(spread3));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 8, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 15, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 25, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 11, TimeUnit.Months);
ZeroYieldStructure spreadedTermStructure;
Frequency freq = Frequency.NoFrequency;
Cubic factory = new Cubic(CubicInterpolation.DerivativeApprox.Spline,
false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0);
spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure <Cubic>(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates, vars.compounding,
freq, vars.dayCount, factory);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
0.026065770863;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testTermVolatilityStripping2()
{
// Testing forward/forward vol stripping from non-flat term vol "
// surface using OptionletStripper2 class...");
CommonVars vars = new CommonVars();
Settings.setEvaluationDate(Date.Today);
vars.setCapFloorTermVolCurve();
vars.setCapFloorTermVolSurface();
IborIndex iborIndex = new Euribor6M(vars.yieldTermStructure);
// optionletstripper1
OptionletStripper1 optionletStripper1 = new OptionletStripper1(vars.capFloorVolSurface, iborIndex, null, vars.accuracy);
StrippedOptionletAdapter strippedOptionletAdapter1 = new StrippedOptionletAdapter(optionletStripper1);
Handle <OptionletVolatilityStructure> vol1 = new Handle <OptionletVolatilityStructure>(strippedOptionletAdapter1);
vol1.link.enableExtrapolation();
// optionletstripper2
OptionletStripper optionletStripper2 = new OptionletStripper2(optionletStripper1, vars.capFloorVolCurve);
StrippedOptionletAdapter strippedOptionletAdapter2 = new StrippedOptionletAdapter(optionletStripper2);
Handle <OptionletVolatilityStructure> vol2 = new Handle <OptionletVolatilityStructure>(strippedOptionletAdapter2);
vol2.link.enableExtrapolation();
// consistency check: diff(stripped vol1-stripped vol2)
for (int strikeIndex = 0; strikeIndex < vars.strikes.Count; ++strikeIndex)
{
for (int tenorIndex = 0; tenorIndex < vars.optionTenors.Count; ++tenorIndex)
{
double strippedVol1 = vol1.link.volatility(vars.optionTenors[tenorIndex], vars.strikes[strikeIndex], true);
double strippedVol2 = vol2.link.volatility(vars.optionTenors[tenorIndex], vars.strikes[strikeIndex], true);
// vol from flat vol surface (for comparison only)
double flatVol = vars.capFloorVolSurface.volatility(vars.optionTenors[tenorIndex], vars.strikes[strikeIndex], true);
double error = Math.Abs(strippedVol1 - strippedVol2);
if (error > vars.tolerance)
{
QAssert.Fail("\noption tenor: " + vars.optionTenors[tenorIndex] +
"\nstrike: " + (vars.strikes[strikeIndex]) +
"\nstripped vol1: " + (strippedVol1) +
"\nstripped vol2: " + (strippedVol2) +
"\nflat vol: " + (flatVol) +
"\nerror: " + (error) +
"\ntolerance: " + (vars.tolerance));
}
}
}
}
private void init(int number, bool previewMode, bool doPASearch, ref CommonVars commonVars)
{
dimensions = ChaosSettings.getDimensions();
_commonVars = commonVars;
if (_commonVars.getSimulationSettings().getValue(EntropySettings.properties_i.linkCDU) == 1)
{
dimensions -= 3;
}
sampleCount = number;
pMode = previewMode;
paSearch = doPASearch;
}
public void testQuoteChanging()
{
// Testing quote update...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 100, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 150, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure <BackwardFlat>(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.settlementDate, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
0.03;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
spread2.setValue(0.025);
interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
0.025;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
//[TestMethod()]
public void testLogCubicDiscountConsistency()
{
// "Testing consistency of piecewise-log-cubic discount curve...");
CommonVars vars = new CommonVars();
testCurveConsistency <Discount, LogCubic, IterativeBootstrapForYield>(vars,
new LogCubic(CubicInterpolation.DerivativeApprox.Spline, true,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
testBMACurveConsistency <Discount, LogCubic, IterativeBootstrapForYield>(vars,
new LogCubic(CubicInterpolation.DerivativeApprox.Spline, true,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
}
private void core(VarianceContext _varianceContext)
{
varianceContext = _varianceContext;
commonVars = new CommonVars(varianceContext);
varianceContext.emailPwd = varianceContext.aes.EncryptToString(varianceContext.emailPwd);
entropyControl = new Entropy(ref varianceContext, commonVars);
commonVars.getNonSimulationSettings().emailOnCompletion = varianceContext.completion;
commonVars.getNonSimulationSettings().emailPerJob = varianceContext.perJob;
commonVars.getNonSimulationSettings().emailAddress = varianceContext.emailAddress;
commonVars.getNonSimulationSettings().emailPwd = varianceContext.emailPwd;
commonVars.getNonSimulationSettings().host = varianceContext.host;
commonVars.getNonSimulationSettings().ssl = varianceContext.ssl;
commonVars.getNonSimulationSettings().port = varianceContext.port;
commonVars.storage.setLayerSettings = setLayerSettings;
}
public void testLinearInterpolationMultipleSpreads()
{
// Testing linear interpolation with more than two spreaded dates...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.02);
SimpleQuote spread3 = new SimpleQuote(0.035);
SimpleQuote spread4 = new SimpleQuote(0.04);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
spreads.Add(new Handle <Quote>(spread3));
spreads.Add(new Handle <Quote>(spread4));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 90, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 150, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 30, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 40, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new PiecewiseZeroSpreadedTermStructure(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread1.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testSplineZeroConsistency()
{
//"Testing consistency of piecewise-cubic zero-yield curve...");
CommonVars vars = new CommonVars();
testCurveConsistency <ZeroYield, Cubic, IterativeBootstrap>(
vars,
new Cubic(CubicInterpolation.DerivativeApprox.Spline, true,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
testBMACurveConsistency <ZeroYield, Cubic, IterativeBootstrap>(
vars,
new Cubic(CubicInterpolation.DerivativeApprox.Spline, true,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
}
//[TestMethod()]
public void testSplineForwardConsistency()
{
//"Testing consistency of piecewise-cubic forward-rate curve...");
CommonVars vars = new CommonVars();
testCurveConsistency <ForwardRate, Cubic, IterativeBootstrapForYield>(
vars,
new Cubic(CubicInterpolation.DerivativeApprox.Spline, true,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
testBMACurveConsistency <ForwardRate, Cubic, IterativeBootstrapForYield>(
vars,
new Cubic(CubicInterpolation.DerivativeApprox.Spline, true,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0));
}
public void testLogLinearZeroConsistency()
{
// "Testing consistency of piecewise-log-linear zero-yield curve...");
// if rates can be negative it makes no sense to interpolate loglinearly
if (Utils.is_QL_NEGATIVE_RATES())
{
return;
}
else
{
CommonVars vars = new CommonVars();
testCurveConsistency <ZeroYield, LogLinear, IterativeBootstrapForYield>(vars);
testBMACurveConsistency <ZeroYield, LogLinear, IterativeBootstrapForYield>(vars);
}
}
public void testConsistency()
{
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] cap_rates = { 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] floor_rates = { 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.05, 0.10, 0.15, 0.20 };
Date startDate = vars.termStructure.link.referenceDate();
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < cap_rates.Length; j++)
{
for (int k = 0; k < floor_rates.Length; k++)
{
for (int l = 0; l < vols.Length; l++)
{
List <CashFlow> leg = vars.makeLeg(startDate, lengths[i]);
Instrument cap = vars.makeCapFloor(CapFloorType.Cap, leg,
cap_rates[j], vols[l]);
Instrument floor = vars.makeCapFloor(CapFloorType.Floor, leg,
floor_rates[k], vols[l]);
Collar collar = new Collar(leg, new InitializedList <double>(1, cap_rates[j]),
new InitializedList <double>(1, floor_rates[k]));
collar.setPricingEngine(vars.makeEngine(vols[l]));
if (Math.Abs((cap.NPV() - floor.NPV()) - collar.NPV()) > 1e-10)
{
QAssert.Fail(
"inconsistency between cap, floor and collar:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[l] + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + cap_rates[j] + "\n"
+ " floor value: " + floor.NPV()
+ " at strike: " + floor_rates[k] + "\n"
+ " collar value: " + collar.NPV());
}
}
}
}
}
}
public void testParity()
{
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] strikes = { 0.0, 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.05, 0.10, 0.15, 0.20 };
Date startDate = vars.termStructure.link.referenceDate();
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < vols.Length; k++)
{
List <CashFlow> leg = vars.makeLeg(startDate, lengths[i]);
Instrument cap = vars.makeCapFloor(CapFloorType.Cap, leg, strikes[j], vols[k]);
Instrument floor = vars.makeCapFloor(CapFloorType.Floor, leg, strikes[j], vols[k]);
Date maturity = vars.calendar.advance(startDate, lengths[i], TimeUnit.Years, vars.convention);
Schedule schedule = new Schedule(startDate, maturity,
new Period(vars.frequency), vars.calendar,
vars.convention, vars.convention,
DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, vars.nominals[0],
schedule, strikes[j], vars.index.dayCounter(),
schedule, vars.index, 0.0,
vars.index.dayCounter());
swap.setPricingEngine((IPricingEngine) new DiscountingSwapEngine(vars.termStructure));
// FLOATING_POINT_EXCEPTION
if (Math.Abs((cap.NPV() - floor.NPV()) - swap.NPV()) > 1.0e-10)
{
QAssert.Fail(
"put/call parity violated:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " strike: " + strikes[j] + "\n"
+ " cap value: " + cap.NPV() + "\n"
+ " floor value: " + floor.NPV() + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
}
public void testLinearInterpolation()
{
// Testing linear interpolation between two dates...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 100, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 150, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure <Linear>(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
Date d0 = vars.calendar.advance(vars.today, 100, TimeUnit.Days);
Date d1 = vars.calendar.advance(vars.today, 150, TimeUnit.Days);
Date d2 = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
double m = (0.03 - 0.02) / vars.dayCount.yearFraction(d0, d1);
double expectedRate = m * vars.dayCount.yearFraction(d0, d2) + 0.054;
double t = vars.dayCount.yearFraction(vars.settlementDate, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testCurveCopy <T, I>(CommonVars vars, I interpolator)
where T : ITraits <YieldTermStructure>, new()
where I : IInterpolationFactory, new()
{
PiecewiseYieldCurve <T, I> curve = new PiecewiseYieldCurve <T, I>(vars.settlement, vars.instruments,
new Actual360(),
new List <Handle <Quote> >(),
new List <Date>(),
1.0e-12,
interpolator);
// necessary to trigger bootstrap
curve.recalculate();
PiecewiseYieldCurve copiedCurve = curve.Clone() as PiecewiseYieldCurve;
// the two curves should be the same.
double t = 2.718;
var r1 = curve.zeroRate(t, Compounding.Continuous).value();
var r2 = copiedCurve.zeroRate(t, Compounding.Continuous).value();
if (!Utils.close(r1, r2))
{
QAssert.Fail("failed to link original and copied curve");
}
for (int i = 0; i < vars.rates.Count; ++i)
{
vars.rates[i].setValue(vars.rates[i].value() + 0.001);
}
// now the original curve should have changed; the copied
// curve should not.
double r3 = curve.zeroRate(t, Compounding.Continuous).value();
double r4 = copiedCurve.zeroRate(t, Compounding.Continuous).value();
if (Utils.close(r1, r3))
{
QAssert.Fail("failed to modify original curve");
}
if (!Utils.close(r2, r4))
{
QAssert.Fail("failed to break link between original and copied curve");
}
}
public void testSmile()
{
// Testing swaption volatility cube (smile)
CommonVars vars = new CommonVars();
SwaptionVolCube2 volCube = new SwaptionVolCube2(vars.atmVolMatrix,
vars.cube.tenors.options,
vars.cube.tenors.swaps,
vars.cube.strikeSpreads,
vars.cube.volSpreadsHandle,
vars.swapIndexBase,
vars.shortSwapIndexBase,
vars.vegaWeighedSmileFit);
double tolerance = 1.0e-16;
vars.makeVolSpreadsTest(volCube, tolerance);
}
public void testForwardRateDayCounter()
{
CommonVars vars = new CommonVars();
DayCounter d = new ActualActual();
DayCounter d1 = new Actual360();
vars.termStructure = new PiecewiseYieldCurve <Discount, LogLinear>(vars.settlementDays,
vars.calendar, vars.instruments, d);
InterestRate ir = vars.termStructure.forwardRate(vars.settlement, vars.settlement + 30, d1, Compounding.Simple);
if (ir.dayCounter().name() != d1.name())
{
QAssert.Fail("PiecewiseYieldCurve forwardRate dayCounter error" +
" Actual daycounter : " + vars.termStructure.dayCounter().name() +
" Expetced DayCounter : " + d1.name());
}
}
public void testImpliedObs()
{
// Testing observability of implied term structure
CommonVars vars = new CommonVars();
Date today = Settings.evaluationDate();
Date newToday = today + new Period(3, TimeUnit.Years);
Date newSettlement = vars.calendar.advance(newToday, vars.settlementDays, TimeUnit.Days);
RelinkableHandle <YieldTermStructure> h = new RelinkableHandle <YieldTermStructure>();
YieldTermStructure implied = new ImpliedTermStructure(h, newSettlement);
Flag flag = new Flag();
implied.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
{
QAssert.Fail("Observer was not notified of term structure change");
}
}
public void testLargeRates()
{
// Testing degenerate collared coupon
CommonVars vars = new CommonVars();
/* A vanilla floating leg and a capped floating leg with strike
* equal to 100 and floor equal to 0 must have (about) the same NPV
* (depending on variance: option expiry and volatility)
*/
List <double?> caps = new InitializedList <double?>(vars.length, 100.0);
List <double?> floors = new InitializedList <double?>(vars.length, 0.0);
double tolerance = 1e-10;
// fixed leg with zero rate
List <CashFlow> fixedLeg = vars.makeFixedLeg(vars.startDate, vars.length);
List <CashFlow> floatLeg = vars.makeFloatingLeg(vars.startDate, vars.length);
List <CashFlow> collaredLeg = vars.makeCapFlooredLeg(vars.startDate, vars.length, caps, floors, vars.volatility);
IPricingEngine engine = new DiscountingSwapEngine(vars.termStructure);
Swap vanillaLeg = new Swap(fixedLeg, floatLeg);
Swap collarLeg = new Swap(fixedLeg, collaredLeg);
vanillaLeg.setPricingEngine(engine);
collarLeg.setPricingEngine(engine);
double npvVanilla = vanillaLeg.NPV();
double npvCollar = collarLeg.NPV();
if (Math.Abs(npvVanilla - npvCollar) > tolerance)
{
QAssert.Fail("Lenght: " + vars.length + " y" + "\n" +
"Volatility: " + vars.volatility * 100 + "%\n" +
"Notional: " + vars.nominal + "\n" +
"Vanilla floating leg NPV: " + vanillaLeg.NPV()
+ "\n" +
"Collared floating leg NPV (strikes 0 and 100): "
+ collarLeg.NPV()
+ "\n" +
"Diff: " + Math.Abs(vanillaLeg.NPV() - collarLeg.NPV()));
}
}
public void testFSpreadedObs()
{
// ("Testing observability of forward-spreaded term structure...");
CommonVars vars = new CommonVars();
SimpleQuote me = new SimpleQuote(0.01);
Handle<Quote> mh = new Handle<Quote>(me);
RelinkableHandle<YieldTermStructure> h = new RelinkableHandle<YieldTermStructure>(); //(vars.dummyTermStructure);
YieldTermStructure spreaded = new ForwardSpreadedTermStructure(h, mh);
Flag flag = new Flag();
spreaded.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
Console.WriteLine("Observer was not notified of term structure change");
flag.lower();
me.setValue(0.005);
if (!flag.isUp())
Console.WriteLine("Observer was not notified of spread change");
}
public void testBackwardFlatInterpolation()
{
// Testing backward flat interpolation between two dates...
CommonVars vars = new CommonVars();
List<Handle<Quote>> spreads = new List<Handle<Quote>>();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
SimpleQuote spread3 = new SimpleQuote(0.04);
spreads.Add(new Handle<Quote>(spread1));
spreads.Add(new Handle<Quote>(spread2));
spreads.Add(new Handle<Quote>(spread3));
List<Date> spreadDates = new List<Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 100, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 200, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 300, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 110, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure<BackwardFlat>(
new Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread2.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
Assert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
public void testFSpreaded()
{
//("Testing consistency of forward-spreaded term structure...");
CommonVars vars = new CommonVars();
double tolerance = 1.0e-10;
Quote me = new SimpleQuote(0.01);
Handle<Quote> mh = new Handle<Quote>(me);
YieldTermStructure spreaded = new ForwardSpreadedTermStructure(new Handle<YieldTermStructure>(vars.termStructure), mh);
Date testDate = vars.termStructure.referenceDate() + new Period(5, TimeUnit.Years);
DayCounter tsdc = vars.termStructure.dayCounter();
DayCounter sprdc = spreaded.dayCounter();
double forward = vars.termStructure.forwardRate(testDate, testDate, tsdc, Compounding.Continuous,
Frequency.NoFrequency).rate();
double spreadedForward = spreaded.forwardRate(testDate, testDate, sprdc, Compounding.Continuous,
Frequency.NoFrequency).rate();
if (Math.Abs(forward - (spreadedForward - me.value())) > tolerance)
Console.WriteLine("unable to reproduce forward from spreaded curve\n"
+ " calculated: "
+ (spreadedForward - me.value()) + "\n"
+ " expected: " + forward);
}
public void testCachedValue()
{
//("Testing vanilla-swap calculation against cached value...");
CommonVars vars = new CommonVars();
vars.today = new Date(17, Month.June, 2002);
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement, 0.05, new Actual365Fixed()));
VanillaSwap swap = vars.makeSwap(10, 0.06, 0.001);
#if QL_USE_INDEXED_COUPON
double cachedNPV = -5.872342992212;
#else
double cachedNPV = -5.872863313209;
#endif
if (Math.Abs(swap.NPV() - cachedNPV) > 1.0e-11)
Assert.Fail("failed to reproduce cached swap value:\n"
+ " calculated: " + swap.NPV() + "\n"
+ " expected: " + cachedNPV);
}
public void testMASWWithGenericBond()
{
// Testing market asset swap against par asset swap with generic bond...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool mktAssetSwap = false;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1, BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate1,
fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondMktPrice1 = 89.22 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice1=fixedBondMktPrice1+fixedBond1.accruedAmount();
AssetSwap fixedBondParAssetSwap1= new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap1.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread1 = fixedBondParAssetSwap1.fairSpread();
AssetSwap fixedBondMktAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap1.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread1 = fixedBondMktAssetSwap1.fairSpread();
double tolerance = 1.0e-13;
double error1 =
Math.Abs(fixedBondMktAssetSwapSpread1-
100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);
if (error1>tolerance)
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market asset swap spread: " + fixedBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + fixedBondParAssetSwapSpread1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2 = new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate2, fixedBondStartDate2,
fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondMktPrice2 = 99.98 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice2=fixedBondMktPrice2+fixedBond2.accruedAmount();
AssetSwap fixedBondParAssetSwap2= new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap2.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread2 = fixedBondParAssetSwap2.fairSpread();
AssetSwap fixedBondMktAssetSwap2= new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap2.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread2 = fixedBondMktAssetSwap2.fairSpread();
double error2 = Math.Abs(fixedBondMktAssetSwapSpread2-
100*fixedBondParAssetSwapSpread2/fixedBondMktFullPrice2);
if (error2>tolerance)
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market asset swap spread: " + fixedBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + fixedBondParAssetSwapSpread2 +
"\n error: " + error2 +
"\n tolerance: " + tolerance);
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 =
bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate1,
floatingBondStartDate1, floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
// market price observed on 7th June 2007
double floatingBondMktPrice1 = 101.64 ;
double floatingBondMktFullPrice1 =
floatingBondMktPrice1+floatingBond1.accruedAmount();
AssetSwap floatingBondParAssetSwap1 = new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap1.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread1 =
floatingBondParAssetSwap1.fairSpread();
AssetSwap floatingBondMktAssetSwap1 = new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap1.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread1 =
floatingBondMktAssetSwap1.fairSpread();
double error3 = Math.Abs(floatingBondMktAssetSwapSpread1-
100*floatingBondParAssetSwapSpread1/floatingBondMktFullPrice1);
if (error3>tolerance)
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market asset swap spread: " + floatingBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + floatingBondParAssetSwapSpread1 +
"\n error: " + error3 +
"\n tolerance: " + tolerance);
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2 = new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.inArrears(inArrears)
.withPaymentDayCounter(new Actual360())
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 =
bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new
SimpleCashFlow(100.0, floatingbondRedemption2));
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate2,
floatingBondStartDate2, floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
// market price observed on 7th June 2007
double floatingBondMktPrice2 = 101.248 ;
double floatingBondMktFullPrice2 =
floatingBondMktPrice2+floatingBond2.accruedAmount();
AssetSwap floatingBondParAssetSwap2 = new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap2.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread2 = floatingBondParAssetSwap2.fairSpread();
AssetSwap floatingBondMktAssetSwap2 = new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap2.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread2 =
floatingBondMktAssetSwap2.fairSpread();
double error4 = Math.Abs(floatingBondMktAssetSwapSpread2-
100*floatingBondParAssetSwapSpread2/floatingBondMktFullPrice2);
if (error4>tolerance)
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market asset swap spread: " + floatingBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + floatingBondParAssetSwapSpread2 +
"\n error: " + error4 +
"\n tolerance: " + tolerance);
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate1, cmsBondStartDate1,
cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondMktPrice1 = 88.45 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice1 = cmsBondMktPrice1+cmsBond1.accruedAmount();
AssetSwap cmsBondParAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap1.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread1 = cmsBondParAssetSwap1.fairSpread();
AssetSwap cmsBondMktAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap1.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread1 = cmsBondMktAssetSwap1.fairSpread();
double error5 =
Math.Abs(cmsBondMktAssetSwapSpread1-
100*cmsBondParAssetSwapSpread1/cmsBondMktFullPrice1);
if (error5>tolerance)
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market asset swap spread: " + cmsBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + cmsBondParAssetSwapSpread1 +
"\n error: " + error5 +
"\n tolerance: " + tolerance);
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2, BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate2, cmsBondStartDate2,
cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondMktPrice2 = 94.08 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice2 = cmsBondMktPrice2+cmsBond2.accruedAmount();
AssetSwap cmsBondParAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap2.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread2 = cmsBondParAssetSwap2.fairSpread();
AssetSwap cmsBondMktAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap2.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread2 = cmsBondMktAssetSwap2.fairSpread();
double error6 =
Math.Abs(cmsBondMktAssetSwapSpread2-
100*cmsBondParAssetSwapSpread2/cmsBondMktFullPrice2);
if (error6>tolerance)
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market asset swap spread: " + cmsBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + cmsBondParAssetSwapSpread2 +
"\n error: " + error6 +
"\n tolerance: " + tolerance);
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, zeroCpnBondMaturityDate1,
zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
// market price observed on 12th June 2007
double zeroCpnBondMktPrice1 = 70.436 ;
double zeroCpnBondMktFullPrice1 =
zeroCpnBondMktPrice1+zeroCpnBond1.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread1 = zeroCpnBondParAssetSwap1.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread1 = zeroCpnBondMktAssetSwap1.fairSpread();
double error7 =
Math.Abs(zeroCpnBondMktAssetSwapSpread1-
100*zeroCpnBondParAssetSwapSpread1/zeroCpnBondMktFullPrice1);
if (error7>tolerance)
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market asset swap spread: " + zeroCpnBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + zeroCpnBondParAssetSwapSpread1 +
"\n error: " + error7 +
"\n tolerance: " + tolerance);
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
// double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
// market price observed on 12th June 2007
double zeroCpnBondMktPrice2 = 35.160 ;
double zeroCpnBondMktFullPrice2 =
zeroCpnBondMktPrice2+zeroCpnBond2.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread2 = zeroCpnBondParAssetSwap2.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread2 = zeroCpnBondMktAssetSwap2.fairSpread();
double error8 =
Math.Abs(zeroCpnBondMktAssetSwapSpread2-
100*zeroCpnBondParAssetSwapSpread2/zeroCpnBondMktFullPrice2);
if (error8>tolerance)
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market asset swap spread: " + zeroCpnBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + zeroCpnBondParAssetSwapSpread2 +
"\n error: " + error8 +
"\n tolerance: " + tolerance);
}
public void testParity()
{
// Testing yoy inflation cap/floor parity...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
// vol is low ...
double[] strikes = { 0.0, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
// yoy inflation vol is generally very low
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
// cap-floor-swap parity is model-independent
for (int whichPricer = 0; whichPricer < 3; whichPricer++) {
for (int i=0; i<lengths.Length; i++) {
for (int j=0; j<strikes.Length; j++) {
for (int k=0; k<vols.Length; k++) {
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,lengths[i]);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, strikes[j], vols[k], whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, strikes[j], vols[k], whichPricer);
Date from = vars.nominalTS.link.referenceDate();
Date to = from+new Period(lengths[i],TimeUnit.Years);
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1,TimeUnit.Years))
.withConvention(BusinessDayConvention.Unadjusted)
.withCalendar(new UnitedKingdom()).backwards().value();
YearOnYearInflationSwap swap = new YearOnYearInflationSwap
(YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule,//fixed schedule, but same as yoy
strikes[j],
vars.dc,
yoySchedule,
vars.iir,
vars.observationLag,
0.0, //spread on index
vars.dc,
new UnitedKingdom());
Handle<YieldTermStructure> hTS = new Handle<YieldTermStructure>(vars.nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
swap.setPricingEngine(sppe);
// N.B. nominals are 10e6
if (Math.Abs((cap.NPV()-floor.NPV()) - swap.NPV()) > 1.0e-6) {
Assert.Fail(
"put/call parity violated:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " strike: " + strikes[j] + "\n"
+ " cap value: " + cap.NPV() + "\n"
+ " floor value: " + floor.NPV() + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
}
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public void testConsistency()
{
// Testing consistency between yoy inflation cap,floor and collar...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] cap_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] floor_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
for (int whichPricer = 0; whichPricer < 3; whichPricer++)
{
for (int i=0; i<lengths.Length; i++)
{
for (int j=0; j<cap_rates.Length; j++)
{
for (int k=0; k<floor_rates.Length; k++)
{
for (int l=0; l<vols.Length; l++)
{
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,lengths[i]);
YoYInflationCapFloor cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, cap_rates[j], vols[l], whichPricer);
YoYInflationCapFloor floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, floor_rates[k], vols[l], whichPricer);
YoYInflationCollar collar = new YoYInflationCollar(leg,new List<double>(){cap_rates[j]},
new List<double>(){floor_rates[k]});
collar.setPricingEngine(vars.makeEngine(vols[l], whichPricer));
if (Math.Abs((cap.NPV()-floor.NPV())-collar.NPV()) > 1e-6)
{
Assert.Fail(
"inconsistency between cap, floor and collar:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " floor value: " + floor.NPV()
+ " at strike: " + "\n"
+ " collar value: " + collar.NPV());
}
// test re-composition by optionlets, N.B. ONE per year
double capletsNPV = 0.0;
List<YoYInflationCapFloor> caplets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
caplets.Add(cap.optionlet(m));
caplets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
capletsNPV += caplets[m].NPV();
}
if (Math.Abs(cap.NPV() - capletsNPV) > 1e-6)
{
Assert.Fail(
"sum of caplet NPVs does not equal cap NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " sum of caplets value: " + capletsNPV
+ " at strike (first): " + caplets[0].capRates()[0] + "\n"
);
}
double floorletsNPV = 0.0;
List<YoYInflationCapFloor> floorlets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
floorlets.Add(floor.optionlet(m));
floorlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
floorletsNPV += floorlets[m].NPV();
}
if (Math.Abs(floor.NPV() - floorletsNPV) > 1e-6)
{
Assert.Fail(
"sum of floorlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + floor.NPV()
+ " at strike: " + floor_rates[j] + "\n"
+ " sum of floorlets value: " + floorletsNPV
+ " at strike (first): " + floorlets[0].floorRates()[0] + "\n"
);
}
double collarletsNPV = 0.0;
List<YoYInflationCapFloor> collarlets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
collarlets.Add(collar.optionlet(m));
collarlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
collarletsNPV += collarlets[m].NPV();
}
if (Math.Abs(collar.NPV() - collarletsNPV) > 1e-6)
{
Assert.Fail(
"sum of collarlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[l] + "\n"
+ " cap value: " + collar.NPV()
+ " at strike floor: " + floor_rates[j]
+ " at strike cap: " + cap_rates[j] + "\n"
+ " sum of collarlets value: " + collarletsNPV
+ " at strike floor (first): " + collarlets[0].floorRates()[0]
+ " at strike cap (first): " + collarlets[0].capRates()[0] + "\n"
);
}
}
}
}
}
} // pricer loop
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public void testSpreadTreatment()
{
//"Testing swaption treatment of spread...";
CommonVars vars = new CommonVars();
double[] spreads = { -0.002, -0.001, 0.0, 0.001, 0.002 };
for (int i=0; i<exercises.Length; i++) {
for (int j=0; j<lengths.Length ; j++) {
for (int k=0; k<type.Length ; k++) {
Date exerciseDate = vars.calendar.advance(vars.today,
exercises[i]);
Date startDate =
vars.calendar.advance(exerciseDate,
vars.settlementDays,TimeUnit.Days);
for (int l=0; l<spreads.Length ; l++) {
VanillaSwap swap =
new MakeVanillaSwap(lengths[j], vars.index, 0.06)
.withEffectiveDate(startDate)
.withFloatingLegSpread(spreads[l])
.withType(type[k]);
// FLOATING_POINT_EXCEPTION
double correction = spreads[l] *
swap.floatingLegBPS() /
swap.fixedLegBPS();
VanillaSwap equivalentSwap =
new MakeVanillaSwap(lengths[j], vars.index, 0.06+correction)
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[k]);
Swaption swaption1 =
vars.makeSwaption(swap,exerciseDate,0.20);
Swaption swaption2 =
vars.makeSwaption(equivalentSwap,exerciseDate,0.20);
Swaption swaption1_cash =
vars.makeSwaption(swap,exerciseDate,0.20,
Settlement.Type.Cash);
Swaption swaption2_cash =
vars.makeSwaption(equivalentSwap,exerciseDate,0.20,
Settlement.Type.Cash);
if (Math.Abs(swaption1.NPV()-swaption2.NPV()) > 1.0e-6)
Assert.Fail("wrong spread treatment:" +
"\nexercise: " + exerciseDate +
"\nlength: " + lengths[j] +
"\ntype " + type[k] +
"\nspread: " + spreads[l] +
"\noriginal swaption value: " + swaption1.NPV() +
"\nequivalent swaption value: " + swaption2.NPV());
if (Math.Abs(swaption1_cash.NPV()-swaption2_cash.NPV()) > 1.0e-6)
Assert.Fail("wrong spread treatment:" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
//"\npay " + (type[k] ? "fixed" : "floating") +
"\nspread: " + spreads[l] +
"\nvalue of original swaption: " + swaption1_cash.NPV() +
"\nvalue of equivalent swaption: " + swaption2_cash.NPV());
}
}
}
}
}
public void testMarketASWSpread()
{
// Testing relationship between market asset swap and par asset swap...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool mktAssetSwap = false;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Schedule fixedBondSchedule1 = new Schedule(new Date(4,Month.January,2005),
new Date(4,Month.January,2037),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond1 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule1,
new List<double>{0.04},
new ActualActual(ActualActual.Convention.ISDA),BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondMktPrice1 = 89.22 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice1=fixedBondMktPrice1+fixedBond1.accruedAmount();
AssetSwap fixedBondParAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap1.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread1 = fixedBondParAssetSwap1.fairSpread();
AssetSwap fixedBondMktAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap1.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread1 = fixedBondMktAssetSwap1.fairSpread();
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondMktAssetSwapSpread1- 100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);
if (error1>tolerance) {
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market ASW spread: " + fixedBondMktAssetSwapSpread1 +
"\n par ASW spread: " + fixedBondParAssetSwapSpread1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Schedule fixedBondSchedule2 = new Schedule(new Date(5,Month.February,2005),
new Date(5,Month.February,2019),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond2 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule2,
new List<double>{ 0.05},
new Thirty360(Thirty360.Thirty360Convention.BondBasis), BusinessDayConvention.Following,
100.0, new Date(5,Month.February,2005));
fixedBond2.setPricingEngine(bondEngine);
double fixedBondMktPrice2 = 99.98 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice2=fixedBondMktPrice2+fixedBond2.accruedAmount();
AssetSwap fixedBondParAssetSwap2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap2.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread2 = fixedBondParAssetSwap2.fairSpread();
AssetSwap fixedBondMktAssetSwap2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap2.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread2 = fixedBondMktAssetSwap2.fairSpread();
double error2 = Math.Abs(fixedBondMktAssetSwapSpread2-
100*fixedBondParAssetSwapSpread2/fixedBondMktFullPrice2);
if (error2>tolerance) {
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market ASW spread: " + fixedBondMktAssetSwapSpread2 +
"\n par ASW spread: " + fixedBondParAssetSwapSpread2 +
"\n error: " + error2 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Schedule floatingBondSchedule1 = new Schedule( new Date(29,Month.September,2003),
new Date(29,Month.September,2013),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond floatingBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule1,
vars.iborIndex, new Actual360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1}, new List<double>{0.0056},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(29,Month.September,2003));
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
// market price observed on 7th June 2007
double floatingBondMktPrice1 = 101.64 ;
double floatingBondMktFullPrice1 = floatingBondMktPrice1+floatingBond1.accruedAmount();
AssetSwap floatingBondParAssetSwap1 = new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap1.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread1 = floatingBondParAssetSwap1.fairSpread();
AssetSwap floatingBondMktAssetSwap1= new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap1.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread1 = floatingBondMktAssetSwap1.fairSpread();
double error3 = Math.Abs(floatingBondMktAssetSwapSpread1-
100*floatingBondParAssetSwapSpread1/floatingBondMktFullPrice1);
if (error3>tolerance) {
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market ASW spread: " + floatingBondMktAssetSwapSpread1 +
"\n par ASW spread: " + floatingBondParAssetSwapSpread1 +
"\n error: " + error3 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Schedule floatingBondSchedule2 = new Schedule( new Date(24,Month.September,2004),
new Date(24,Month.September,2018),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
Bond floatingBond2 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule2,
vars.iborIndex, new Actual360(),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List<double>{1}, new List<double>{0.0025},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(24,Month.September,2004));
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
// market price observed on 7th June 2007
double floatingBondMktPrice2 = 101.248 ;
double floatingBondMktFullPrice2 = floatingBondMktPrice2+floatingBond2.accruedAmount();
AssetSwap floatingBondParAssetSwap2= new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap2.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread2 = floatingBondParAssetSwap2.fairSpread();
AssetSwap floatingBondMktAssetSwap2 = new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap2.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread2 = floatingBondMktAssetSwap2.fairSpread();
double error4 = Math.Abs(floatingBondMktAssetSwapSpread2-
100*floatingBondParAssetSwapSpread2/floatingBondMktFullPrice2);
if (error4>tolerance) {
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market ASW spread: " + floatingBondMktAssetSwapSpread2 +
"\n par ASW spread: " + floatingBondParAssetSwapSpread2 +
"\n error: " + error4 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Schedule cmsBondSchedule1 = new Schedule( new Date(22,Month.August,2005),
new Date(22,Month.August,2020),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond1 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule1,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1.0}, new List<double>{0.0},
new List<double>{0.055}, new List<double>{0.025},
inArrears,
100.0, new Date(22,Month.August,2005));
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondMktPrice1 = 88.45 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice1 = cmsBondMktPrice1+cmsBond1.accruedAmount();
AssetSwap cmsBondParAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap1.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread1 = cmsBondParAssetSwap1.fairSpread();
AssetSwap cmsBondMktAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap1.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread1 = cmsBondMktAssetSwap1.fairSpread();
double error5 = Math.Abs(cmsBondMktAssetSwapSpread1-
100*cmsBondParAssetSwapSpread1/cmsBondMktFullPrice1);
if (error5>tolerance) {
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market ASW spread: " + cmsBondMktAssetSwapSpread1 +
"\n par ASW spread: " + cmsBondParAssetSwapSpread1 +
"\n error: " + error5 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Schedule cmsBondSchedule2 = new Schedule(new Date(06,Month.May,2005),
new Date(06,Month.May,2015),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{0.84}, new List<double>{0.0},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(06,Month.May,2005));
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondMktPrice2 = 94.08 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice2 = cmsBondMktPrice2+cmsBond2.accruedAmount();
AssetSwap cmsBondParAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap2.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread2 = cmsBondParAssetSwap2.fairSpread();
AssetSwap cmsBondMktAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap2.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread2 = cmsBondMktAssetSwap2.fairSpread();
double error6 = Math.Abs(cmsBondMktAssetSwapSpread2-
100*cmsBondParAssetSwapSpread2/cmsBondMktFullPrice2);
if (error6>tolerance) {
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market ASW spread: " + cmsBondMktAssetSwapSpread2 +
"\n par ASW spread: " + cmsBondParAssetSwapSpread2 +
"\n error: " + error6 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Bond zeroCpnBond1 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(20,Month.December,2015), BusinessDayConvention.Following,
100.0, new Date(19,Month.December,1985));
zeroCpnBond1.setPricingEngine(bondEngine);
// market price observed on 12th June 2007
double zeroCpnBondMktPrice1 = 70.436 ;
double zeroCpnBondMktFullPrice1 = zeroCpnBondMktPrice1+zeroCpnBond1.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread1 = zeroCpnBondParAssetSwap1.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread1 = zeroCpnBondMktAssetSwap1.fairSpread();
double error7 = Math.Abs(zeroCpnBondMktAssetSwapSpread1-
100*zeroCpnBondParAssetSwapSpread1/zeroCpnBondMktFullPrice1);
if (error7>tolerance) {
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market ASW spread: " + zeroCpnBondMktAssetSwapSpread1 +
"\n par ASW spread: " + zeroCpnBondParAssetSwapSpread1 +
"\n error: " + error7 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Bond zeroCpnBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(17,Month.February,2028),
BusinessDayConvention.Following,
100.0, new Date(17,Month.February,1998));
zeroCpnBond2.setPricingEngine(bondEngine);
// Real zeroCpnBondPrice2 = zeroCpnBond2->cleanPrice();
// market price observed on 12th June 2007
double zeroCpnBondMktPrice2 = 35.160 ;
double zeroCpnBondMktFullPrice2 = zeroCpnBondMktPrice2+zeroCpnBond2.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread2 = zeroCpnBondParAssetSwap2.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread2 = zeroCpnBondMktAssetSwap2.fairSpread();
double error8 = Math.Abs(zeroCpnBondMktAssetSwapSpread2-
100*zeroCpnBondParAssetSwapSpread2/zeroCpnBondMktFullPrice2);
if (error8>tolerance) {
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market ASW spread: " + zeroCpnBondMktAssetSwapSpread2 +
"\n par ASW spread: " + zeroCpnBondParAssetSwapSpread2 +
"\n error: " + error8 +
"\n tolerance: " + tolerance);
}
}
public void testConsistency()
{
// Testing consistency between fair price and fair spread...");
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Schedule bondSchedule = new Schedule(new Date(4, Month.January, 2005),
new Date(4, Month.January, 2037),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond bond = new FixedRateBond(settlementDays, vars.faceAmount,
bondSchedule, new List<double>() { 0.04 },
new ActualActual(ActualActual.Convention.ISDA),
BusinessDayConvention.Following,
100.0, new Date(4, Month.January, 2005));
bool payFixedRate = true;
double bondPrice = 95.0;
bool isPar = true;
AssetSwap parAssetSwap = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure, true, bond.settlementDate(),
Settings.evaluationDate());
parAssetSwap.setPricingEngine(swapEngine);
double fairCleanPrice = parAssetSwap.fairCleanPrice();
double fairSpread = parAssetSwap.fairSpread();
double tolerance = 1.0e-13;
AssetSwap assetSwap2 = new AssetSwap(payFixedRate, bond, fairCleanPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap2.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap2.NPV()) > tolerance)
{
Assert.Fail("npar asset swap fair clean price doesn't zero the NPV: " +
"\n clean price: " + bondPrice +
"\n fair clean price: " + fairCleanPrice +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap2.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + fairCleanPrice +
"\n fair clean price: " + assetSwap2.fairCleanPrice() +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap2.fairSpread() - vars.spread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + vars.spread +
"\n fair spread: " + assetSwap2.fairSpread() +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
AssetSwap assetSwap3 = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, fairSpread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap3.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap3.NPV()) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't zero the NPV: " +
"\n spread: " + vars.spread +
"\n fair spread: " + fairSpread +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap3.fairCleanPrice() - bondPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + bondPrice +
"\n fair clean price: " + assetSwap3.fairCleanPrice() +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap3.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + fairSpread +
"\n fair spread: " + assetSwap3.fairSpread() +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
// let's change the npv date
swapEngine = new DiscountingSwapEngine(vars.termStructure, true, bond.settlementDate(), bond.settlementDate());
parAssetSwap.setPricingEngine(swapEngine);
// fair clean price and fair spread should not change
if (Math.Abs(parAssetSwap.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price changed with NpvDate:" +
"\n expected clean price: " + fairCleanPrice +
"\n fair clean price: " + parAssetSwap.fairCleanPrice() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(parAssetSwap.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread changed with NpvDate:" +
"\n expected spread: " + fairSpread +
"\n fair spread: " + parAssetSwap.fairSpread() +
"\n tolerance: " + tolerance);
}
assetSwap2 = new AssetSwap(payFixedRate, bond, fairCleanPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap2.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap2.NPV()) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't zero the NPV: " +
"\n clean price: " + bondPrice +
"\n fair clean price: " + fairCleanPrice +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap2.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + fairCleanPrice +
"\n fair clean price: " + assetSwap2.fairCleanPrice() +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap2.fairSpread() - vars.spread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + vars.spread +
"\n fair spread: " + assetSwap2.fairSpread() +
"\n NPV: " + assetSwap2.NPV() +
"\n tolerance: " + tolerance);
}
assetSwap3 = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, fairSpread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap3.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap3.NPV()) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't zero the NPV: " +
"\n spread: " + vars.spread +
"\n fair spread: " + fairSpread +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap3.fairCleanPrice() - bondPrice) > tolerance)
{
Assert.Fail("\npar asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + bondPrice +
"\n fair clean price: " + assetSwap3.fairCleanPrice() +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap3.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\npar asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + fairSpread +
"\n fair spread: " + assetSwap3.fairSpread() +
"\n NPV: " + assetSwap3.NPV() +
"\n tolerance: " + tolerance);
}
// now market asset swap
isPar = false;
AssetSwap mktAssetSwap = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
swapEngine = new DiscountingSwapEngine(vars.termStructure, true, bond.settlementDate(),
Settings.evaluationDate());
mktAssetSwap.setPricingEngine(swapEngine);
fairCleanPrice = mktAssetSwap.fairCleanPrice();
fairSpread = mktAssetSwap.fairSpread();
AssetSwap assetSwap4 = new AssetSwap(payFixedRate, bond, fairCleanPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap4.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap4.NPV()) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't zero the NPV: " +
"\n clean price: " + bondPrice +
"\n fair clean price: " + fairCleanPrice +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap4.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + fairCleanPrice +
"\n fair clean price: " + assetSwap4.fairCleanPrice() +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap4.fairSpread() - vars.spread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + vars.spread +
"\n fair spread: " + assetSwap4.fairSpread() +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
AssetSwap assetSwap5 = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, fairSpread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap5.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap5.NPV()) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't zero the NPV: " +
"\n spread: " + vars.spread +
"\n fair spread: " + fairSpread +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap5.fairCleanPrice() - bondPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + bondPrice +
"\n fair clean price: " + assetSwap5.fairCleanPrice() +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap5.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + fairSpread +
"\n fair spread: " + assetSwap5.fairSpread() +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
// let's change the npv date
swapEngine = new DiscountingSwapEngine(vars.termStructure, true, bond.settlementDate(), bond.settlementDate());
mktAssetSwap.setPricingEngine(swapEngine);
// fair clean price and fair spread should not change
if (Math.Abs(mktAssetSwap.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price changed with NpvDate:" +
"\n expected clean price: " + fairCleanPrice +
"\n fair clean price: " + mktAssetSwap.fairCleanPrice() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(mktAssetSwap.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread changed with NpvDate:" +
"\n expected spread: " + fairSpread +
"\n fair spread: " + mktAssetSwap.fairSpread() +
"\n tolerance: " + tolerance);
}
assetSwap4 = new AssetSwap(payFixedRate, bond, fairCleanPrice, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap4.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap4.NPV()) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't zero the NPV: " +
"\n clean price: " + bondPrice +
"\n fair clean price: " + fairCleanPrice +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap4.fairCleanPrice() - fairCleanPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + fairCleanPrice +
"\n fair clean price: " + assetSwap4.fairCleanPrice() +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap4.fairSpread() - vars.spread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + vars.spread +
"\n fair spread: " + assetSwap4.fairSpread() +
"\n NPV: " + assetSwap4.NPV() +
"\n tolerance: " + tolerance);
}
assetSwap5 = new AssetSwap(payFixedRate, bond, bondPrice, vars.iborIndex, fairSpread,
null, vars.iborIndex.dayCounter(), isPar);
assetSwap5.setPricingEngine(swapEngine);
if (Math.Abs(assetSwap5.NPV()) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't zero the NPV: " +
"\n spread: " + vars.spread +
"\n fair spread: " + fairSpread +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap5.fairCleanPrice() - bondPrice) > tolerance)
{
Assert.Fail("\nmarket asset swap fair clean price doesn't equal input clean price at zero NPV: " +
"\n input clean price: " + bondPrice +
"\n fair clean price: " + assetSwap5.fairCleanPrice() +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
if (Math.Abs(assetSwap5.fairSpread() - fairSpread) > tolerance)
{
Assert.Fail("\nmarket asset swap fair spread doesn't equal input spread at zero NPV: " +
"\n input spread: " + fairSpread +
"\n fair spread: " + assetSwap5.fairSpread() +
"\n NPV: " + assetSwap5.NPV() +
"\n tolerance: " + tolerance);
}
}
public void testSpecializedBondVsGenericBondUsingAsw()
{
// Testing asset-swap prices and spreads for specialized bond against equivalent generic bond...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1, BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
// generic bond
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate1, fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
// equivalent specialized fixed rate bond
Bond fixedSpecializedBond1 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule1,
new List<double>{0.04},
new ActualActual(ActualActual.Convention.ISDA), BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
fixedSpecializedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
double fixedSpecializedBondPrice1 = fixedSpecializedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondAssetSwap1 = new AssetSwap(payFixedRate,
fixedSpecializedBond1,
fixedSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double fixedSpecializedBondAssetSwapPrice1 =
fixedSpecializedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 =
Math.Abs(fixedBondAssetSwapPrice1-fixedSpecializedBondAssetSwapPrice1);
if (error1>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n generic fixed rate bond's clean price: "
+ fixedBondAssetSwapPrice1
+ "\n equivalent specialized bond's clean price: "
+ fixedSpecializedBondAssetSwapPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double fixedBondMktPrice1= 91.832;
AssetSwap fixedBondASW1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondASW1.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondASW1 = new AssetSwap(payFixedRate,
fixedSpecializedBond1,
fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondASW1.setPricingEngine(swapEngine);
double fixedBondASWSpread1 = fixedBondASW1.fairSpread();
double fixedSpecializedBondASWSpread1 = fixedSpecializedBondASW1.fairSpread();
double error2 = Math.Abs(fixedBondASWSpread1-fixedSpecializedBondASWSpread1);
if (error2>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic fixed rate bond's asw spread: "
+ fixedBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ fixedSpecializedBondASWSpread1
+ "\n error: " + error2
+ "\n tolerance: " + tolerance);
}
//Fixed bond (Isin: IT0006527060 IBRD 5 02/05/19)
//maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
// generic bond
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
// equivalent specialized fixed rate bond
Bond fixedSpecializedBond2 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule2,
new List<double>{ 0.05},
new Thirty360(Thirty360.Thirty360Convention.BondBasis), BusinessDayConvention.Following,
100.0, new Date(5,Month.February,2005));
fixedSpecializedBond2.setPricingEngine(bondEngine);
double fixedBondPrice2 = fixedBond2.cleanPrice();
double fixedSpecializedBondPrice2 = fixedSpecializedBond2.cleanPrice();
AssetSwap fixedBondAssetSwap2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondAssetSwap2 = new AssetSwap(payFixedRate,
fixedSpecializedBond2,
fixedSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice2 = fixedBondAssetSwap2.fairCleanPrice();
double fixedSpecializedBondAssetSwapPrice2 = fixedSpecializedBondAssetSwap2.fairCleanPrice();
double error3 = Math.Abs(fixedBondAssetSwapPrice2-fixedSpecializedBondAssetSwapPrice2);
if (error3>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n generic fixed rate bond's clean price: "
+ fixedBondAssetSwapPrice2
+ "\n equivalent specialized bond's clean price: "
+ fixedSpecializedBondAssetSwapPrice2
+ "\n error: " + error3
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double fixedBondMktPrice2= 102.178;
AssetSwap fixedBondASW2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondASW2.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondASW2 = new AssetSwap(payFixedRate,
fixedSpecializedBond2,
fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondASW2.setPricingEngine(swapEngine);
double fixedBondASWSpread2 = fixedBondASW2.fairSpread();
double fixedSpecializedBondASWSpread2 = fixedSpecializedBondASW2.fairSpread();
double error4 = Math.Abs(fixedBondASWSpread2-fixedSpecializedBondASWSpread2);
if (error4>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic fixed rate bond's asw spread: "
+ fixedBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ fixedSpecializedBondASWSpread2
+ "\n error: " + error4
+ "\n tolerance: " + tolerance);
}
//FRN bond (Isin: IT0003543847 ISPIM 0 09/29/13)
//maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 = bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
// generic bond
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate1, floatingBondStartDate1, floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
// equivalent specialized floater
Bond floatingSpecializedBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule1,
vars.iborIndex, new Actual360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1},
new List<double>{0.0056},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(29,Month.September,2003));
floatingSpecializedBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
Utils.setCouponPricer(floatingSpecializedBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondPrice1 = floatingBond1.cleanPrice();
double floatingSpecializedBondPrice1= floatingSpecializedBond1.cleanPrice();
AssetSwap floatingBondAssetSwap1= new AssetSwap(payFixedRate,
floatingBond1, floatingBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,
floatingSpecializedBond1,
floatingSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice1 = floatingBondAssetSwap1.fairCleanPrice();
double floatingSpecializedBondAssetSwapPrice1 =
floatingSpecializedBondAssetSwap1.fairCleanPrice();
double error5 =
Math.Abs(floatingBondAssetSwapPrice1-floatingSpecializedBondAssetSwapPrice1);
if (error5>tolerance) {
Assert.Fail("wrong clean price for frnbond:"
+ "\n generic frn rate bond's clean price: "
+ floatingBondAssetSwapPrice1
+ "\n equivalent specialized bond's price: "
+ floatingSpecializedBondAssetSwapPrice1
+ "\n error: " + error5
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double floatingBondMktPrice1= 101.33;
AssetSwap floatingBondASW1= new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondASW1.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondASW1= new AssetSwap(payFixedRate,
floatingSpecializedBond1,
floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondASW1.setPricingEngine(swapEngine);
double floatingBondASWSpread1 = floatingBondASW1.fairSpread();
double floatingSpecializedBondASWSpread1 =
floatingSpecializedBondASW1.fairSpread();
double error6 =
Math.Abs(floatingBondASWSpread1-floatingSpecializedBondASWSpread1);
if (error6>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic frn rate bond's asw spread: "
+ floatingBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ floatingSpecializedBondASWSpread1
+ "\n error: " + error6
+ "\n tolerance: " + tolerance);
}
//FRN bond (Isin: XS0090566539 COE 0 09/24/18)
//maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2= new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.inArrears(inArrears)
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 = bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new SimpleCashFlow(100.0, floatingbondRedemption2));
// generic bond
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate2, floatingBondStartDate2,floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
// equivalent specialized floater
Bond floatingSpecializedBond2 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule2,
vars.iborIndex, new Actual360(),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List<double>{1},
new List<double>{0.0025},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(24,Month.September,2004));
floatingSpecializedBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
Utils.setCouponPricer(floatingSpecializedBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
double floatingBondPrice2 = floatingBond2.cleanPrice();
double floatingSpecializedBondPrice2= floatingSpecializedBond2.cleanPrice();
AssetSwap floatingBondAssetSwap2= new AssetSwap(payFixedRate,
floatingBond2, floatingBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,
floatingSpecializedBond2,
floatingSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice2 = floatingBondAssetSwap2.fairCleanPrice();
double floatingSpecializedBondAssetSwapPrice2 =
floatingSpecializedBondAssetSwap2.fairCleanPrice();
double error7 =
Math.Abs(floatingBondAssetSwapPrice2-floatingSpecializedBondAssetSwapPrice2);
if (error7>tolerance) {
Assert.Fail("wrong clean price for frnbond:"
+ "\n generic frn rate bond's clean price: "
+ floatingBondAssetSwapPrice2
+ "\n equivalent specialized frn bond's price: "
+ floatingSpecializedBondAssetSwapPrice2
+ "\n error: " + error7
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double floatingBondMktPrice2 = 101.26;
AssetSwap floatingBondASW2= new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondASW2.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondASW2= new AssetSwap(payFixedRate,
floatingSpecializedBond2,
floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondASW2.setPricingEngine(swapEngine);
double floatingBondASWSpread2 = floatingBondASW2.fairSpread();
double floatingSpecializedBondASWSpread2 =
floatingSpecializedBondASW2.fairSpread();
double error8 =
Math.Abs(floatingBondASWSpread2-floatingSpecializedBondASWSpread2);
if (error8>tolerance) {
Assert.Fail("wrong asw spread for frn bond:"
+ "\n generic frn rate bond's asw spread: "
+ floatingBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ floatingSpecializedBondASWSpread2
+ "\n error: " + error8
+ "\n tolerance: " + tolerance);
}
// CMS bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
// generic cms bond
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate1, cmsBondStartDate1, cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
// equivalent specialized cms bond
Bond cmsSpecializedBond1 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule1,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1.0}, new List<double>{0.0},
new List<double>{0.055}, new List<double>{0.025},
inArrears,
100.0, new Date(22,Month.August,2005));
cmsSpecializedBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
Utils.setCouponPricer(cmsSpecializedBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondPrice1 = cmsBond1.cleanPrice();
double cmsSpecializedBondPrice1 = cmsSpecializedBond1.cleanPrice();
AssetSwap cmsBondAssetSwap1= new AssetSwap(payFixedRate,cmsBond1, cmsBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,cmsSpecializedBond1,
cmsSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice1 = cmsBondAssetSwap1.fairCleanPrice();
double cmsSpecializedBondAssetSwapPrice1 =
cmsSpecializedBondAssetSwap1.fairCleanPrice();
double error9 =
Math.Abs(cmsBondAssetSwapPrice1-cmsSpecializedBondAssetSwapPrice1);
if (error9>tolerance) {
Assert.Fail("wrong clean price for cmsbond:"
+ "\n generic bond's clean price: "
+ cmsBondAssetSwapPrice1
+ "\n equivalent specialized cms rate bond's price: "
+ cmsSpecializedBondAssetSwapPrice1
+ "\n error: " + error9
+ "\n tolerance: " + tolerance);
}
double cmsBondMktPrice1 = 87.02;// market executable price as of 4th sept 2007
AssetSwap cmsBondASW1= new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondASW1.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondASW1= new AssetSwap(payFixedRate,
cmsSpecializedBond1,
cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondASW1.setPricingEngine(swapEngine);
double cmsBondASWSpread1 = cmsBondASW1.fairSpread();
double cmsSpecializedBondASWSpread1 = cmsSpecializedBondASW1.fairSpread();
double error10 = Math.Abs(cmsBondASWSpread1-cmsSpecializedBondASWSpread1);
if (error10>tolerance) {
Assert.Fail("wrong asw spread for cm bond:"
+ "\n generic cms rate bond's asw spread: "
+ cmsBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ cmsSpecializedBondASWSpread1
+ "\n error: " + error10
+ "\n tolerance: " + tolerance);
}
//CMS bond (Isin: XS0218766664 ISPIM 0 5/6/15)
//maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2,
BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
// generic bond
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate2, cmsBondStartDate2, cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
// equivalent specialized cms bond
Bond cmsSpecializedBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{0.84}, new List<double>{0.0},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(06,Month.May,2005));
cmsSpecializedBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
Utils.setCouponPricer(cmsSpecializedBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondPrice2 = cmsBond2.cleanPrice();
double cmsSpecializedBondPrice2 = cmsSpecializedBond2.cleanPrice();
AssetSwap cmsBondAssetSwap2= new AssetSwap(payFixedRate,cmsBond2, cmsBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,cmsSpecializedBond2,
cmsSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice2 = cmsBondAssetSwap2.fairCleanPrice();
double cmsSpecializedBondAssetSwapPrice2 =
cmsSpecializedBondAssetSwap2.fairCleanPrice();
double error11 =
Math.Abs(cmsBondAssetSwapPrice2-cmsSpecializedBondAssetSwapPrice2);
if (error11>tolerance) {
Assert.Fail("wrong clean price for cmsbond:"
+ "\n generic bond's clean price: "
+ cmsBondAssetSwapPrice2
+ "\n equivalent specialized cms rate bond's price: "
+ cmsSpecializedBondAssetSwapPrice2
+ "\n error: " + error11
+ "\n tolerance: " + tolerance);
}
double cmsBondMktPrice2 = 94.35;// market executable price as of 4th sept 2007
AssetSwap cmsBondASW2= new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondASW2.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondASW2= new AssetSwap(payFixedRate,
cmsSpecializedBond2,
cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondASW2.setPricingEngine(swapEngine);
double cmsBondASWSpread2 = cmsBondASW2.fairSpread();
double cmsSpecializedBondASWSpread2 = cmsSpecializedBondASW2.fairSpread();
double error12 = Math.Abs(cmsBondASWSpread2-cmsSpecializedBondASWSpread2);
if (error12>tolerance) {
Assert.Fail("wrong asw spread for cm bond:"
+ "\n generic cms rate bond's asw spread: "
+ cmsBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ cmsSpecializedBondASWSpread2
+ "\n error: " + error12
+ "\n tolerance: " + tolerance);
}
// Zero-Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
// generic bond
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate1, zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
// specialized zerocpn bond
Bond zeroCpnSpecializedBond1= new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(20,Month.December,2015),
BusinessDayConvention.Following,
100.0, new Date(19,Month.December,1985));
zeroCpnSpecializedBond1.setPricingEngine(bondEngine);
double zeroCpnBondPrice1 = zeroCpnBond1.cleanPrice();
double zeroCpnSpecializedBondPrice1 = zeroCpnSpecializedBond1.cleanPrice();
AssetSwap zeroCpnBondAssetSwap1= new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond1,
zeroCpnSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice1 = zeroCpnBondAssetSwap1.fairCleanPrice();
double zeroCpnSpecializedBondAssetSwapPrice1 =
zeroCpnSpecializedBondAssetSwap1.fairCleanPrice();
double error13 =
Math.Abs(zeroCpnBondAssetSwapPrice1-zeroCpnSpecializedBondAssetSwapPrice1);
if (error13>tolerance) {
Assert.Fail("wrong clean price for zerocpn bond:"
+ "\n generic zero cpn bond's clean price: "
+ zeroCpnBondAssetSwapPrice1
+ "\n specialized equivalent bond's price: "
+ zeroCpnSpecializedBondAssetSwapPrice1
+ "\n error: " + error13
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double zeroCpnBondMktPrice1 = 72.277;
AssetSwap zeroCpnBondASW1= new AssetSwap(payFixedRate,
zeroCpnBond1,zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondASW1.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondASW1= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondASW1.setPricingEngine(swapEngine);
double zeroCpnBondASWSpread1 = zeroCpnBondASW1.fairSpread();
double zeroCpnSpecializedBondASWSpread1 =
zeroCpnSpecializedBondASW1.fairSpread();
double error14 =
Math.Abs(zeroCpnBondASWSpread1-zeroCpnSpecializedBondASWSpread1);
if (error14>tolerance) {
Assert.Fail("wrong asw spread for zeroCpn bond:"
+ "\n generic zeroCpn bond's asw spread: "
+ zeroCpnBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ zeroCpnSpecializedBondASWSpread1
+ "\n error: " + error14
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
// generic bond
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
// specialized zerocpn bond
Bond zeroCpnSpecializedBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(17,Month.February,2028),
BusinessDayConvention.Following,
100.0, new Date(17,Month.February,1998));
zeroCpnSpecializedBond2.setPricingEngine(bondEngine);
double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
double zeroCpnSpecializedBondPrice2 = zeroCpnSpecializedBond2.cleanPrice();
AssetSwap zeroCpnBondAssetSwap2= new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond2,
zeroCpnSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice2 = zeroCpnBondAssetSwap2.fairCleanPrice();
double zeroCpnSpecializedBondAssetSwapPrice2 =
zeroCpnSpecializedBondAssetSwap2.fairCleanPrice();
double error15 = Math.Abs(zeroCpnBondAssetSwapPrice2
-zeroCpnSpecializedBondAssetSwapPrice2);
if (error15>tolerance) {
Assert.Fail("wrong clean price for zerocpn bond:"
+ "\n generic zero cpn bond's clean price: "
+ zeroCpnBondAssetSwapPrice2
+ "\n equivalent specialized bond's price: "
+ zeroCpnSpecializedBondAssetSwapPrice2
+ "\n error: " + error15
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double zeroCpnBondMktPrice2 = 72.277;
AssetSwap zeroCpnBondASW2= new AssetSwap(payFixedRate,
zeroCpnBond2,zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondASW2.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondASW2= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondASW2.setPricingEngine(swapEngine);
double zeroCpnBondASWSpread2 = zeroCpnBondASW2.fairSpread();
double zeroCpnSpecializedBondASWSpread2 =
zeroCpnSpecializedBondASW2.fairSpread();
double error16 =
Math.Abs(zeroCpnBondASWSpread2-zeroCpnSpecializedBondASWSpread2);
if (error16>tolerance) {
Assert.Fail("wrong asw spread for zeroCpn bond:"
+ "\n generic zeroCpn bond's asw spread: "
+ zeroCpnBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ zeroCpnSpecializedBondASWSpread2
+ "\n error: " + error16
+ "\n tolerance: " + tolerance);
}
}
public void testYield()
{
//"Testing consistency of bond price/yield calculation...");
CommonVars vars = new CommonVars();
double tolerance = 1.0e-7;
int maxEvaluations = 100;
int[] issueMonths = new int[] { -24, -18, -12, -6, 0, 6, 12, 18, 24 };
int[] lengths = new int[] { 3, 5, 10, 15, 20 };
int settlementDays = 3;
double[] coupons = new double[] { 0.02, 0.05, 0.08 };
Frequency[] frequencies = new Frequency[] { Frequency.Semiannual, Frequency.Annual };
DayCounter bondDayCount = new Thirty360();
BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
double redemption = 100.0;
double[] yields = new double[] { 0.03, 0.04, 0.05, 0.06, 0.07 };
Compounding[] compounding = new Compounding[] { Compounding.Compounded, Compounding.Continuous };
for (int i = 0; i < issueMonths.Length; i++)
{
for (int j = 0; j < lengths.Length; j++)
{
for (int k = 0; k < coupons.Length; k++)
{
for (int l = 0; l < frequencies.Length; l++)
{
for (int n = 0; n < compounding.Length; n++)
{
Date dated = vars.calendar.advance(vars.today, issueMonths[i], TimeUnit.Months);
Date issue = dated;
Date maturity = vars.calendar.advance(issue, lengths[j], TimeUnit.Years);
Schedule sch = new Schedule(dated, maturity, new Period(frequencies[l]), vars.calendar,
accrualConvention, accrualConvention, DateGeneration.Rule.Backward, false);
FixedRateBond bond = new FixedRateBond(settlementDays, vars.faceAmount, sch,
new List<double>() { coupons[k] },
bondDayCount, paymentConvention,
redemption, issue);
for (int m = 0; m < yields.Length; m++)
{
double price = bond.cleanPrice(yields[m], bondDayCount, compounding[n], frequencies[l]);
double calculated = bond.yield(price, bondDayCount, compounding[n], frequencies[l], null,
tolerance, maxEvaluations);
if (Math.Abs(yields[m] - calculated) > tolerance)
{
// the difference might not matter
double price2 = bond.cleanPrice(calculated, bondDayCount, compounding[n], frequencies[l]);
if (Math.Abs(price - price2) / price > tolerance)
{
Assert.Fail("yield recalculation failed:\n"
+ " issue: " + issue + "\n"
+ " maturity: " + maturity + "\n"
+ " coupon: " + coupons[k] + "\n"
+ " frequency: " + frequencies[l] + "\n\n"
+ " yield: " + yields[m] + " "
+ (compounding[n] == Compounding.Compounded ? "compounded" : "continuous") + "\n"
+ " price: " + price + "\n"
+ " yield': " + calculated + "\n"
+ " price': " + price2);
}
}
}
}
}
}
}
}
}
public void testTheoretical()
{
// "Testing theoretical bond price/yield calculation...");
CommonVars vars = new CommonVars();
double tolerance = 1.0e-7;
int maxEvaluations = 100;
int[] lengths = new int[] { 3, 5, 10, 15, 20 };
int settlementDays = 3;
double[] coupons = new double[] { 0.02, 0.05, 0.08 };
Frequency[] frequencies = new Frequency[] { Frequency.Semiannual, Frequency.Annual };
DayCounter bondDayCount = new Actual360();
BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
double redemption = 100.0;
double[] yields = new double[] { 0.03, 0.04, 0.05, 0.06, 0.07 };
for (int j = 0; j < lengths.Length; j++)
{
for (int k = 0; k < coupons.Length; k++)
{
for (int l = 0; l < frequencies.Length; l++)
{
Date dated = vars.today;
Date issue = dated;
Date maturity = vars.calendar.advance(issue, lengths[j], TimeUnit.Years);
SimpleQuote rate = new SimpleQuote(0.0);
var discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(vars.today, rate, bondDayCount));
Schedule sch = new Schedule(dated, maturity, new Period(frequencies[l]), vars.calendar,
accrualConvention, accrualConvention, DateGeneration.Rule.Backward, false);
FixedRateBond bond = new FixedRateBond(settlementDays, vars.faceAmount, sch, new List<double>() { coupons[k] },
bondDayCount, paymentConvention, redemption, issue);
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
bond.setPricingEngine(bondEngine);
for (int m = 0; m < yields.Length; m++)
{
rate.setValue(yields[m]);
double price = bond.cleanPrice(yields[m], bondDayCount, Compounding.Continuous, frequencies[l]);
double calculatedPrice = bond.cleanPrice();
if (Math.Abs(price - calculatedPrice) > tolerance)
{
Assert.Fail("price calculation failed:"
+ "\n issue: " + issue
+ "\n maturity: " + maturity
+ "\n coupon: " + coupons[k]
+ "\n frequency: " + frequencies[l] + "\n"
+ "\n yield: " + yields[m]
+ "\n expected: " + price
+ "\n calculated': " + calculatedPrice
+ "\n error': " + (price - calculatedPrice));
}
double calculatedYield = bond.yield(bondDayCount, Compounding.Continuous, frequencies[l],
tolerance, maxEvaluations);
if (Math.Abs(yields[m] - calculatedYield) > tolerance)
{
Assert.Fail("yield calculation failed:"
+ "\n issue: " + issue
+ "\n maturity: " + maturity
+ "\n coupon: " + coupons[k]
+ "\n frequency: " + frequencies[l] + "\n"
+ "\n yield: " + yields[m]
+ "\n price: " + price
+ "\n yield': " + calculatedYield);
}
}
}
}
}
}
public void testImpliedVolatility()
{
//"Testing implied volatility for swaptions...";
CommonVars vars=new CommonVars();
int maxEvaluations = 100;
double tolerance = 1.0e-08;
Settlement.Type[] types = { Settlement.Type.Physical, Settlement.Type.Cash };
// test data
double[] strikes = { 0.02, 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.05, 0.10, 0.20, 0.30, 0.70, 0.90 };
for (int i = 0; i < exercises.Length; i++)
{
for (int j = 0; j < lengths.Length; j++)
{
Date exerciseDate = vars.calendar.advance(vars.today, exercises[i]);
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays, TimeUnit.Days);
Date maturity = vars.calendar.advance(startDate, lengths[j],
vars.floatingConvention);
for (int t = 0; t < strikes.Length; t++)
{
for (int k = 0; k < type.Length; k++)
{
VanillaSwap swap = new MakeVanillaSwap(lengths[j], vars.index, strikes[t])
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[k]);
for (int h = 0; h < types.Length; h++)
{
for (int u = 0; u < vols.Length; u++)
{
Swaption swaption = vars.makeSwaption(swap, exerciseDate,
vols[u], types[h]);
// Black price
double value = swaption.NPV();
double implVol = 0.0;
try
{
implVol =
swaption.impliedVolatility(value,
vars.termStructure,
0.10,
tolerance,
maxEvaluations);
}
catch (System.Exception e)
{
// couldn't bracket?
swaption.setPricingEngine(vars.makeEngine(0.0));
double value2 = swaption.NPV();
if (Math.Abs(value - value2) < tolerance)
{
// ok, just skip:
continue;
}
// otherwise, report error
Assert.Fail("implied vol failure: " +
exercises[i] + "x" + lengths[j] + " " + type[k] +
"\nsettlement: " + types[h] +
"\nstrike " + strikes[t] +
"\natm level: " + swap.fairRate() +
"\nvol: " + vols[u] +
"\nprice: " + value +
"\n" + e.Message.ToString());
}
if (Math.Abs(implVol - vols[u]) > tolerance)
{
// the difference might not matter
swaption.setPricingEngine(vars.makeEngine(implVol));
double value2 = swaption.NPV();
if (Math.Abs(value - value2) > tolerance)
{
Assert.Fail("implied vol failure: " +
exercises[i] + "x" + lengths[j] + " " + type[k] +
"\nsettlement: " + types[h] +
"\nstrike " + strikes[t] +
"\natm level: " + swap.fairRate() +
"\nvol: " + vols[u] +
"\nprice: " + value +
"\nimplied vol: " + implVol +
"\nimplied price: " + value2);
}
}
}
}
}
}
}
}
}
public void testVega()
{
//"Testing swaption vega...";
CommonVars vars = new CommonVars();
Settlement.Type[] types = { Settlement.Type.Physical, Settlement.Type.Cash };
double[] strikes = { 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.20, 0.30, 0.70, 0.90 };
double shift = 1e-8;
for (int i=0; i<exercises.Length ; i++) {
Date exerciseDate = vars.calendar.advance(vars.today, exercises[i]);
// A VERIFIER§§§§
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays, TimeUnit.Days);
for (int j=0; j<lengths.Length ; j++) {
for (int t=0; t<strikes.Length ; t++) {
for (int h=0; h<type.Length ; h++) {
VanillaSwap swap =
new MakeVanillaSwap(lengths[j], vars.index, strikes[t])
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[h]);
for (int u=0; u<vols.Length ; u++) {
Swaption swaption =
vars.makeSwaption(swap, exerciseDate,
vols[u], types[h]);
// FLOATING_POINT_EXCEPTION
Swaption swaption1 =
vars.makeSwaption(swap, exerciseDate,
vols[u]-shift, types[h]);
Swaption swaption2 =
vars.makeSwaption(swap, exerciseDate,
vols[u]+shift, types[h]);
double swaptionNPV = swaption.NPV();
double numericalVegaPerPoint =
(swaption2.NPV()-swaption1.NPV())/(200.0*shift);
// check only relevant vega
if (numericalVegaPerPoint/swaptionNPV>1.0e-7) {
double analyticalVegaPerPoint =
(double)swaption.result("vega")/100.0;
double discrepancy = Math.Abs(analyticalVegaPerPoint
- numericalVegaPerPoint);
discrepancy /= numericalVegaPerPoint;
double tolerance = 0.015;
if (discrepancy > tolerance)
Assert.Fail ("failed to compute swaption vega:" +
"\n option tenor: " + exercises[i] +
"\n volatility: " + vols[u] +
"\n option type: " + swaption.type() +
"\n swap tenor: " + lengths[j] +
"\n strike: " + strikes[t] +
"\n settlement: " + types[h] +
"\n nominal: " + swaption.underlyingSwap().nominal +
"\n npv: " + swaptionNPV +
"\n calculated vega: " + analyticalVegaPerPoint +
"\n expected vega: " + numericalVegaPerPoint +
"\n discrepancy: " + discrepancy +
"\n tolerance: " + tolerance);
}
}
}
}
}
}
}
public void testStrikeDependency()
{
//("Testing swaption dependency on strike......");
CommonVars vars = new CommonVars();
double[] strikes = new double[] { 0.03, 0.04, 0.05, 0.06, 0.07 };
for (int i = 0; i < exercises.Length; i++) {
for (int j = 0; j < lengths.Length; j++) {
for (int k=0; k < type.Length ; k++) {
Date exerciseDate = vars.calendar.advance(vars.today,
exercises[i]);
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays, TimeUnit.Days);
// store the results for different rates...
List<double> values = new InitializedList<double>(strikes.Length);
List<double> values_cash = new InitializedList<double>(strikes.Length);
double vol = 0.20;
for (int l=0; l< strikes.Length ; l++) {
VanillaSwap swap = new MakeVanillaSwap(lengths[j], vars.index, strikes[l])
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[k]);
Swaption swaption = vars.makeSwaption(swap,exerciseDate,vol);
// FLOATING_POINT_EXCEPTION
values[l]=swaption.NPV();
Swaption swaption_cash = vars.makeSwaption( swap,exerciseDate,vol,
Settlement.Type.Cash);
values_cash[l]=swaption_cash.NPV();
}
// and check that they go the right way
if (type[k]==VanillaSwap.Type.Payer) {
for (int z = 0; z < values.Count - 1; z++)
{
if( values[z]<values[z+1]){
Assert.Fail("NPV of Payer swaption with delivery settlement"+
"is increasing with the strike:" +
"\noption tenor: " + exercises[i] +
"\noption date: " + exerciseDate +
"\nvolatility: " + vol +
"\nswap tenor: " + lengths[j] +
"\nvalue: " + values[z ] +" at strike: " + strikes[z ] +
"\nvalue: " + values[z+1] + " at strike: " + strikes[z+1]);
}
}
for (int z = 0; z < values_cash.Count - 1; z++)
{
if (values_cash[z] < values_cash[z + 1])
{
Assert.Fail("NPV of Payer swaption with cash settlement" +
"is increasing with the strike:" +
"\noption tenor: " + exercises[i] +
"\noption date: " + exerciseDate +
"\nvolatility: " + vol +
"\nswap tenor: " + lengths[j] +
"\nvalue: " + values_cash[z] + " at strike: " + strikes[z] +
"\nvalue: " + values_cash[z + 1] + " at strike: " + strikes[z + 1]);
}
}
}
else {
for (int z = 0; z < values.Count - 1; z++){
if (values[z] > values[z+1]){
Assert.Fail("NPV of Receiver swaption with delivery settlement" +
"is increasing with the strike:" +
"\noption tenor: " + exercises[i] +
"\noption date: " + exerciseDate +
"\nvolatility: " + vol +
"\nswap tenor: " + lengths[j] +
"\nvalue: " + values[z] + " at strike: " + strikes[z] +
"\nvalue: " + values[z + 1] + " at strike: " + strikes[z + 1]);
}
}
for (int z = 0; z < values_cash.Count - 1; z++)
{
if (values[z] > values[z+1])
{
Assert.Fail("NPV of Receiver swaption with cash settlement" +
"is increasing with the strike:" +
"\noption tenor: " + exercises[i] +
"\noption date: " + exerciseDate +
"\nvolatility: " + vol +
"\nswap tenor: " + lengths[j] +
"\nvalue: " + values_cash[z] + " at strike: " + strikes[z] +
"\nvalue: " + values_cash[z + 1] + " at strike: " + strikes[z + 1]);
}
}
}
}
}
}
}
public void testZSpreadWithGenericBond()
{
// Testing clean and dirty price with null Z-spread against theoretical prices...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1= new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1,
BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate1, fixedBondStartDate1,
fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondImpliedValue1 = fixedBond1.cleanPrice();
Date fixedBondSettlementDate1= fixedBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double fixedBondCleanPrice1 = BondFunctions.cleanPrice(fixedBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual, fixedBondSettlementDate1);
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondImpliedValue1-fixedBondCleanPrice1);
if (error1>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: "
+ fixedBondImpliedValue1
+ "\n par asset swap spread: " + fixedBondCleanPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondImpliedValue2 = fixedBond2.cleanPrice();
Date fixedBondSettlementDate2= fixedBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double fixedBondCleanPrice2 = BondFunctions.cleanPrice(fixedBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual, fixedBondSettlementDate2);
double error3 = Math.Abs(fixedBondImpliedValue2-fixedBondCleanPrice2);
if (error3>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: "
+ fixedBondImpliedValue2
+ "\n par asset swap spread: " + fixedBondCleanPrice2
+ "\n error: " + error3
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 =
bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate1, floatingBondStartDate1,
floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondImpliedValue1 = floatingBond1.cleanPrice();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double floatingBondCleanPrice1 = BondFunctions.cleanPrice(floatingBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Semiannual, fixedBondSettlementDate1);
double error5 = Math.Abs(floatingBondImpliedValue1-floatingBondCleanPrice1);
if (error5>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " +
floatingBondImpliedValue1
+ "\n par asset swap spread: " + floatingBondCleanPrice1
+ "\n error: " + error5
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2 = new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.withPaymentDayCounter(new Actual360())
.inArrears(inArrears)
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 = bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new SimpleCashFlow(100.0, floatingbondRedemption2));
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate2,
floatingBondStartDate2, floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
double floatingBondImpliedValue2 = floatingBond2.cleanPrice();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double floatingBondCleanPrice2 = BondFunctions.cleanPrice(floatingBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Semiannual, fixedBondSettlementDate1);
double error7 = Math.Abs(floatingBondImpliedValue2-floatingBondCleanPrice2);
if (error7>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " +
floatingBondImpliedValue2
+ "\n par asset swap spread: " + floatingBondCleanPrice2
+ "\n error: " + error7
+ "\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate1, cmsBondStartDate1,
cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondImpliedValue1 = cmsBond1.cleanPrice();
Date cmsBondSettlementDate1= cmsBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double cmsBondCleanPrice1 = BondFunctions.cleanPrice(cmsBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual,
cmsBondSettlementDate1);
double error9 = Math.Abs(cmsBondImpliedValue1-cmsBondCleanPrice1);
if (error9>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " + cmsBondImpliedValue1
+ "\n par asset swap spread: " + cmsBondCleanPrice1
+ "\n error: " + error9
+ "\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2, BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate2, cmsBondStartDate2, cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondImpliedValue2 = cmsBond2.cleanPrice();
Date cmsBondSettlementDate2= cmsBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double cmsBondCleanPrice2 = BondFunctions.cleanPrice(cmsBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual,
cmsBondSettlementDate2);
double error11 = Math.Abs(cmsBondImpliedValue2-cmsBondCleanPrice2);
if (error11>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " + cmsBondImpliedValue2
+ "\n par asset swap spread: " + cmsBondCleanPrice2
+ "\n error: " + error11
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate1, zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
double zeroCpnBondImpliedValue1 = zeroCpnBond1.cleanPrice();
Date zeroCpnBondSettlementDate1= zeroCpnBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double zeroCpnBondCleanPrice1 =
BondFunctions.cleanPrice(zeroCpnBond1,
vars.termStructure,
vars.spread,
new Actual365Fixed(),
vars.compounding, Frequency.Annual,
zeroCpnBondSettlementDate1);
double error13 = Math.Abs(zeroCpnBondImpliedValue1-zeroCpnBondCleanPrice1);
if (error13>tolerance) {
Assert.Fail("wrong clean price for zero coupon bond:"
+ "\n zero cpn implied value: " +
zeroCpnBondImpliedValue1
+ "\n zero cpn price: " + zeroCpnBondCleanPrice1
+ "\n error: " + error13
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
double zeroCpnBondImpliedValue2 = zeroCpnBond2.cleanPrice();
Date zeroCpnBondSettlementDate2= zeroCpnBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double zeroCpnBondCleanPrice2 =
BondFunctions.cleanPrice(zeroCpnBond2,
vars.termStructure,
vars.spread,
new Actual365Fixed(),
vars.compounding, Frequency.Annual,
zeroCpnBondSettlementDate2);
double error15 = Math.Abs(zeroCpnBondImpliedValue2-zeroCpnBondCleanPrice2);
if (error15>tolerance) {
Assert.Fail("wrong clean price for zero coupon bond:"
+ "\n zero cpn implied value: " +
zeroCpnBondImpliedValue2
+ "\n zero cpn price: " + zeroCpnBondCleanPrice2
+ "\n error: " + error15
+ "\n tolerance: " + tolerance);
}
}
public void testCached()
{
// ("Testing bond price/yield calculation against cached values...");
CommonVars vars = new CommonVars();
// with implicit settlement calculation:
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
Calendar bondCalendar = new NullCalendar();
DayCounter bondDayCount = new ActualActual(ActualActual.Convention.ISMA);
int settlementDays = 1;
var discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(today, new SimpleQuote(0.03), new Actual360()));
// actual market values from the evaluation date
Frequency freq = Frequency.Semiannual;
Schedule sch1 = new Schedule(new Date(31, Month.October, 2004), new Date(31, Month.October, 2006), new Period(freq),
bondCalendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBond bond1 = new FixedRateBond(settlementDays, vars.faceAmount, sch1, new List<double>() { 0.025 },
bondDayCount, BusinessDayConvention.ModifiedFollowing, 100.0, new Date(1, Month.November, 2004));
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
bond1.setPricingEngine(bondEngine);
double marketPrice1 = 99.203125;
double marketYield1 = 0.02925;
Schedule sch2 = new Schedule(new Date(15, Month.November, 2004), new Date(15, Month.November, 2009), new Period(freq),
bondCalendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBond bond2 = new FixedRateBond(settlementDays, vars.faceAmount, sch2, new List<double>() { 0.035 },
bondDayCount, BusinessDayConvention.ModifiedFollowing,
100.0, new Date(15, Month.November, 2004));
bond2.setPricingEngine(bondEngine);
double marketPrice2 = 99.6875;
double marketYield2 = 0.03569;
// calculated values
double cachedPrice1a = 99.204505, cachedPrice2a = 99.687192;
double cachedPrice1b = 98.943393, cachedPrice2b = 101.986794;
double cachedYield1a = 0.029257, cachedYield2a = 0.035689;
double cachedYield1b = 0.029045, cachedYield2b = 0.035375;
double cachedYield1c = 0.030423, cachedYield2c = 0.030432;
// check
double tolerance = 1.0e-6;
double price, yield;
price = bond1.cleanPrice(marketYield1, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(price - cachedPrice1a) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice1a
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice1a));
}
price = bond1.cleanPrice();
if (Math.Abs(price - cachedPrice1b) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice1b
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice1b));
}
yield = bond1.yield(marketPrice1, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(yield - cachedYield1a) > tolerance)
{
Assert.Fail("failed to reproduce cached compounded yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1a
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1a));
}
yield = bond1.yield(marketPrice1, bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield1b) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1b
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1b));
}
yield = bond1.yield(bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield1c) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1c
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1c));
}
price = bond2.cleanPrice(marketYield2, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(price - cachedPrice2a) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice2a
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice2a));
}
price = bond2.cleanPrice();
if (Math.Abs(price - cachedPrice2b) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice2b
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice2b));
}
yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(yield - cachedYield2a) > tolerance)
{
Assert.Fail("failed to reproduce cached compounded yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2a
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2a));
}
yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield2b) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2b
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2b));
}
yield = bond2.yield(bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield2c) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2c
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2c));
}
// with explicit settlement date:
Schedule sch3 = new Schedule(new Date(30, Month.November, 2004), new Date(30, Month.November, 2006), new Period(freq),
new UnitedStates(UnitedStates.Market.GovernmentBond), BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond bond3 = new FixedRateBond(settlementDays, vars.faceAmount, sch3, new List<double>() { 0.02875 },
new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, 100.0, new Date(30, Month.November, 2004));
bond3.setPricingEngine(bondEngine);
double marketYield3 = 0.02997;
Date settlementDate = new Date(30, Month.November, 2004);
double cachedPrice3 = 99.764759;
price = bond3.cleanPrice(marketYield3, bondDayCount, Compounding.Compounded, freq, settlementDate);
if (Math.Abs(price - cachedPrice3) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price + ""
+ "\n expected: " + cachedPrice3 + ""
+ "\n error: " + (price - cachedPrice3));
}
// this should give the same result since the issue date is the
// earliest possible settlement date
Settings.setEvaluationDate(new Date(22, Month.November, 2004));
price = bond3.cleanPrice(marketYield3, bondDayCount, Compounding.Compounded, freq);
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 testImpliedValue()
{
// Testing implied bond value against asset-swap fair price with null spread
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Schedule fixedBondSchedule1 = new Schedule( new Date(4,Month.January,2005),
new Date(4,Month.January,2037),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond1 = new FixedRateBond(settlementDays, vars.faceAmount,
fixedBondSchedule1,
new List<double>(){0.04},
new ActualActual(ActualActual.Convention.ISDA),
BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixedRate, fixedBond1, fixedBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondAssetSwapPrice1-fixedBondPrice1);
if (error1>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:" +
"\n bond's clean price: " + fixedBondPrice1 +
"\n asset swap fair price: " + fixedBondAssetSwapPrice1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Schedule fixedBondSchedule2 = new Schedule( new Date(5,Month.February,2005),
new Date(5,Month.February,2019),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond2 = new FixedRateBond(settlementDays, vars.faceAmount,
fixedBondSchedule2,
new List<double>(){0.05},
new Thirty360(Thirty360.Thirty360Convention.BondBasis),
BusinessDayConvention.Following,
100.0, new Date(5,Month.February,2005));
fixedBond2.setPricingEngine(bondEngine);
double fixedBondPrice2 = fixedBond2.cleanPrice();
AssetSwap fixedBondAssetSwap2 = new AssetSwap(payFixedRate, fixedBond2, fixedBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
fixedBondAssetSwap2.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice2 = fixedBondAssetSwap2.fairCleanPrice();
double error2 = Math.Abs(fixedBondAssetSwapPrice2-fixedBondPrice2);
if (error2>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:" +
"\n bond's clean price: " + fixedBondPrice2 +
"\n asset swap fair price: " + fixedBondAssetSwapPrice2 +
"\n error: " + error2 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Schedule floatingBondSchedule1 = new Schedule( new Date(29,Month.September,2003),
new Date(29,Month.September,2013),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond floatingBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule1,
vars.iborIndex, new Actual360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){1},
new List<double>(){0.0056},
new List<double>(),
new List<double>(),
inArrears,
100.0, new Date(29,Month.September,2003));
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondPrice1 = floatingBond1.cleanPrice();
AssetSwap floatingBondAssetSwap1 = new AssetSwap(payFixedRate, floatingBond1, floatingBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
floatingBondAssetSwap1.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice1 = floatingBondAssetSwap1.fairCleanPrice();
double error3 = Math.Abs(floatingBondAssetSwapPrice1-floatingBondPrice1);
if (error3>tolerance) {
Assert.Fail("wrong zero spread asset swap price for floater:" +
"\n bond's clean price: " + floatingBondPrice1 +
"\n asset swap fair price: " + floatingBondAssetSwapPrice1 +
"\n error: " + error3 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Schedule floatingBondSchedule2 = new Schedule( new Date(24,Month.September,2004),
new Date(24,Month.September,2018),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
Bond floatingBond2 = new FloatingRateBond( settlementDays, vars.faceAmount,
floatingBondSchedule2,
vars.iborIndex, new Actual360(),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List<double>(){1},
new List<double>(){0.0025},
new List<double>(),
new List<double>(),
inArrears,
100.0, new Date(24,Month.September,2004));
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing( new Date(22,Month.March,2007), 0.04013);
double currentCoupon=0.04013+0.0025;
double floatingCurrentCoupon= floatingBond2.nextCouponRate();
double error4= Math.Abs(floatingCurrentCoupon-currentCoupon);
if (error4>tolerance) {
Assert.Fail("wrong current coupon is returned for floater bond:" +
"\n bond's calculated current coupon: " +
currentCoupon +
"\n current coupon asked to the bond: " +
floatingCurrentCoupon +
"\n error: " + error4 +
"\n tolerance: " + tolerance);
}
double floatingBondPrice2 = floatingBond2.cleanPrice();
AssetSwap floatingBondAssetSwap2 = new AssetSwap(payFixedRate,floatingBond2, floatingBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
floatingBondAssetSwap2.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice2 = floatingBondAssetSwap2.fairCleanPrice();
double error5 = Math.Abs(floatingBondAssetSwapPrice2-floatingBondPrice2);
if (error5>tolerance) {
Assert.Fail("wrong zero spread asset swap price for floater:" +
"\n bond's clean price: " + floatingBondPrice2 +
"\n asset swap fair price: " + floatingBondAssetSwapPrice2 +
"\n error: " + error5 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Schedule cmsBondSchedule1 = new Schedule( new Date(22,Month.August,2005),
new Date(22,Month.August,2020),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond1 = new CmsRateBond(settlementDays, vars.faceAmount,
cmsBondSchedule1,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){1.0},
new List<double>(){0.0},
new List<double>(){0.055},
new List<double>(){0.025},
inArrears,
100.0, new Date(22,Month.August,2005));
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing( new Date(18,Month.August,2006), 0.04158);
double cmsBondPrice1 = cmsBond1.cleanPrice();
AssetSwap cmsBondAssetSwap1 = new AssetSwap(payFixedRate, cmsBond1, cmsBondPrice1, vars.iborIndex, vars.spread,
null,vars.iborIndex.dayCounter(), parAssetSwap);
cmsBondAssetSwap1.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice1 = cmsBondAssetSwap1.fairCleanPrice();
double error6 = Math.Abs(cmsBondAssetSwapPrice1-cmsBondPrice1);
if (error6>tolerance) {
Assert.Fail("wrong zero spread asset swap price for cms bond:" +
"\n bond's clean price: " + cmsBondPrice1 +
"\n asset swap fair price: " + cmsBondAssetSwapPrice1 +
"\n error: " + error6 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Schedule cmsBondSchedule2 = new Schedule( new Date(06,Month.May,2005),
new Date(06,Month.May,2015),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){0.84}, new List<double>(){0.0},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(06,Month.May,2005));
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing( new Date(04,Month.May,2006), 0.04217);
double cmsBondPrice2 = cmsBond2.cleanPrice();
AssetSwap cmsBondAssetSwap2 = new AssetSwap(payFixedRate,cmsBond2, cmsBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
cmsBondAssetSwap2.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice2 = cmsBondAssetSwap2.fairCleanPrice();
double error7 = Math.Abs(cmsBondAssetSwapPrice2-cmsBondPrice2);
if (error7>tolerance) {
Assert.Fail("wrong zero spread asset swap price for cms bond:" +
"\n bond's clean price: " + cmsBondPrice2 +
"\n asset swap fair price: " + cmsBondAssetSwapPrice2 +
"\n error: " + error7 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Bond zeroCpnBond1 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(20,Month.December,2015),
BusinessDayConvention.Following,
100.0, new Date(19,Month.December,1985));
zeroCpnBond1.setPricingEngine(bondEngine);
double zeroCpnBondPrice1 = zeroCpnBond1.cleanPrice();
AssetSwap zeroCpnAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1, zeroCpnBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
zeroCpnAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice1 = zeroCpnAssetSwap1.fairCleanPrice();
double error8 = Math.Abs(cmsBondAssetSwapPrice1-cmsBondPrice1);
if (error8>tolerance) {
Assert.Fail("wrong zero spread asset swap price for zero cpn bond:" +
"\n bond's clean price: " + zeroCpnBondPrice1 +
"\n asset swap fair price: " + zeroCpnBondAssetSwapPrice1 +
"\n error: " + error8 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Bond zeroCpnBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(17,Month.February,2028),
BusinessDayConvention.Following,
100.0, new Date(17,Month.February,1998));
zeroCpnBond2.setPricingEngine(bondEngine);
double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
AssetSwap zeroCpnAssetSwap2 = new AssetSwap(payFixedRate, zeroCpnBond2, zeroCpnBondPrice2, vars.iborIndex, vars.spread,
null,vars.iborIndex.dayCounter(), parAssetSwap);
zeroCpnAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice2 = zeroCpnAssetSwap2.fairCleanPrice();
double error9 = Math.Abs(cmsBondAssetSwapPrice2-cmsBondPrice2);
if (error9>tolerance) {
Assert.Fail("wrong zero spread asset swap price for zero cpn bond:" +
"\n bond's clean price: " + zeroCpnBondPrice2 +
"\n asset swap fair price: " + zeroCpnBondAssetSwapPrice2 +
"\n error: " + error9 +
"\n tolerance: " + tolerance);
}
}
public void testCachedFixed()
{
// "Testing fixed-coupon bond prices against cached values...");
CommonVars vars = new CommonVars();
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
int settlementDays = 1;
var discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));
double tolerance = 1.0e-6;
// 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.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond bond1 = new FixedRateBond(settlementDays, vars.faceAmount, sch, new List<double>() { 0.02875 },
new ActualActual(ActualActual.Convention.ISMA), BusinessDayConvention.ModifiedFollowing,
100.0, new Date(30, Month.November, 2004));
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
bond1.setPricingEngine(bondEngine);
double cachedPrice1 = 99.298100;
double price = bond1.cleanPrice();
if (Math.Abs(price - cachedPrice1) > tolerance)
{
Console.WriteLine("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice1 + "\n"
+ " error: " + (price - cachedPrice1));
}
// varying coupons
InitializedList<double> couponRates = new InitializedList<double>(4);
couponRates[0] = 0.02875;
couponRates[1] = 0.03;
couponRates[2] = 0.03125;
couponRates[3] = 0.0325;
FixedRateBond bond2 = new FixedRateBond(settlementDays, vars.faceAmount, sch, couponRates,
new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing,
100.0, new Date(30, Month.November, 2004));
bond2.setPricingEngine(bondEngine);
double cachedPrice2 = 100.334149;
price = bond2.cleanPrice();
if (Math.Abs(price - cachedPrice2) > tolerance)
{
Console.WriteLine("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice2 + "\n"
+ " error: " + (price - cachedPrice2));
}
// stub date
Schedule sch3 = new Schedule(new Date(30, Month.November, 2004),
new Date(30, Month.March, 2009), new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false,
null, new Date(30, Month.November, 2008));
FixedRateBond bond3 = new FixedRateBond(settlementDays, vars.faceAmount, sch3,
couponRates, new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing,
100.0, new Date(30, Month.November, 2004));
bond3.setPricingEngine(bondEngine);
double cachedPrice3 = 100.382794;
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 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 testCachedZero()
{
Console.WriteLine("Testing zero-coupon bond prices against cached values...");
CommonVars vars = new CommonVars();
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
int settlementDays = 1;
var discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(today, 0.03, new Actual360()));
double tolerance = 1.0e-6;
// plain
ZeroCouponBond bond1 = new ZeroCouponBond(settlementDays, new UnitedStates(UnitedStates.Market.GovernmentBond),
vars.faceAmount, new Date(30, Month.November, 2008), BusinessDayConvention.ModifiedFollowing,
100.0, new Date(30, Month.November, 2004));
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
bond1.setPricingEngine(bondEngine);
double cachedPrice1 = 88.551726;
double price = bond1.cleanPrice();
if (Math.Abs(price - cachedPrice1) > tolerance)
{
Console.WriteLine("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice1 + "\n"
+ " error: " + (price - cachedPrice1));
}
ZeroCouponBond bond2 = new ZeroCouponBond(settlementDays, new UnitedStates(UnitedStates.Market.GovernmentBond),
vars.faceAmount, new Date(30, Month.November, 2007), BusinessDayConvention.ModifiedFollowing,
100.0, new Date(30, Month.November, 2004));
bond2.setPricingEngine(bondEngine);
double cachedPrice2 = 91.278949;
price = bond2.cleanPrice();
if (Math.Abs(price - cachedPrice2) > tolerance)
{
Console.WriteLine("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice2 + "\n"
+ " error: " + (price - cachedPrice2));
}
ZeroCouponBond bond3 = new ZeroCouponBond(settlementDays, new UnitedStates(UnitedStates.Market.GovernmentBond),
vars.faceAmount, new Date(30, Month.November, 2006), BusinessDayConvention.ModifiedFollowing,
100.0, new Date(30, Month.November, 2004));
bond3.setPricingEngine(bondEngine);
double cachedPrice3 = 94.098006;
price = bond3.cleanPrice();
if (Math.Abs(price - cachedPrice3) > tolerance)
{
Console.WriteLine("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice3 + "\n"
+ " error: " + (price - cachedPrice3));
}
}
public void testBrazilianCached()
{
//("Testing Brazilian public bond prices against cached values...");
CommonVars vars = new CommonVars();
double faceAmount = 1000.0;
double redemption = 100.0;
Date issueDate = new Date(1, Month.January, 2007);
Date today = new Date(6, Month.June, 2007);
Settings.setEvaluationDate(today);
// NTN-F maturity dates
InitializedList<Date> maturityDates = new InitializedList<Date>(6);
maturityDates[0] = new Date(1, Month.January, 2008);
maturityDates[1] = new Date(1, Month.January, 2010);
maturityDates[2] = new Date(1, Month.July, 2010);
maturityDates[3] = new Date(1, Month.January, 2012);
maturityDates[4] = new Date(1, Month.January, 2014);
maturityDates[5] = new Date(1, Month.January, 2017);
// NTN-F yields
InitializedList<double> yields = new InitializedList<double>(6);
yields[0] = 0.114614;
yields[1] = 0.105726;
yields[2] = 0.105328;
yields[3] = 0.104283;
yields[4] = 0.103218;
yields[5] = 0.102948;
// NTN-F prices
InitializedList<double> prices = new InitializedList<double>(6);
prices[0] = 1034.63031372;
prices[1] = 1030.09919487;
prices[2] = 1029.98307160;
prices[3] = 1028.13585068;
prices[4] = 1028.33383817;
prices[5] = 1026.19716497;
int settlementDays = 1;
vars.faceAmount = 1000.0;
// The tolerance is high because Andima truncate yields
double tolerance = 1.0e-4;
InitializedList<InterestRate> couponRates = new InitializedList<InterestRate>(1);
couponRates[0] = new InterestRate(0.1, new Thirty360(), Compounding.Compounded, Frequency.Annual);
for (int bondIndex = 0; bondIndex < maturityDates.Count; bondIndex++)
{
// plain
InterestRate yield = new InterestRate(yields[bondIndex], new Business252(new Brazil()),
Compounding.Compounded, Frequency.Annual);
Schedule schedule = new Schedule(new Date(1, Month.January, 2007),
maturityDates[bondIndex], new Period(Frequency.Semiannual),
new Brazil(Brazil.Market.Settlement),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBond bond = new FixedRateBond(settlementDays,
faceAmount,
schedule,
couponRates,
BusinessDayConvention.Following,
redemption,
issueDate);
double cachedPrice = prices[bondIndex];
double price = vars.faceAmount * (bond.cleanPrice(yield.rate(),
yield.dayCounter(),
yield.compounding(),
yield.frequency(),
today) + bond.accruedAmount(today)) / 100;
if (Math.Abs(price - cachedPrice) > tolerance)
{
Assert.Fail("failed to reproduce cached price:\n"
+ " calculated: " + price + "\n"
+ " expected: " + cachedPrice + "\n"
+ " error: " + (price - cachedPrice) + "\n"
);
}
}
}
public void testSpreadDependency()
{
//"Testing swaption dependency on spread...";
CommonVars vars = new CommonVars();
double[] spreads = { -0.002, -0.001, 0.0, 0.001, 0.002 };
for (int i=0; i<exercises.Length ; i++) {
for (int j=0; j<lengths.Length ; j++) {
for (int k=0; k<type.Length ; k++) {
Date exerciseDate = vars.calendar.advance(vars.today,
exercises[i]);
Date startDate =
vars.calendar.advance(exerciseDate,
vars.settlementDays,TimeUnit.Days);
// store the results for different rates...
List<double> values=new InitializedList<double>(spreads.Length);
List<double> values_cash = new InitializedList<double>(spreads.Length);
for (int l=0; l<spreads.Length; l++) {
VanillaSwap swap =
new MakeVanillaSwap(lengths[j], vars.index, 0.06)
.withEffectiveDate(startDate)
.withFloatingLegSpread(spreads[l])
.withType(type[k]);
Swaption swaption =
vars.makeSwaption(swap,exerciseDate,0.20);
// FLOATING_POINT_EXCEPTION
values[l]=swaption.NPV();
Swaption swaption_cash =
vars.makeSwaption(swap,exerciseDate,0.20,
Settlement.Type.Cash);
values_cash[l]=swaption_cash.NPV();
}
// and check that they go the right way
if (type[k]==VanillaSwap.Type.Payer) {
for (int n = 0; n < spreads.Length - 1; n++)
{
if (values[n] > values[n + 1])
Assert.Fail("NPV is decreasing with the spread " +
"in a payer swaption (physical delivered):" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
"\nvalue: " + values[n] + " for spread: " + spreads[n] +
"\nvalue: " + values[n + 1] + " for spread: " + spreads[n + 1]);
if (values_cash[n] > values_cash[n + 1])
Assert.Fail("NPV is decreasing with the spread " +
"in a payer swaption (cash delivered):" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
"\nvalue: " + values_cash[n] + " for spread: " + spreads[n] +
"\nvalue: " + values_cash[n + 1] + " for spread: " + spreads[n + 1]);
}
}
else
{
for (int n = 0; n < spreads.Length - 1; n++)
{
if (values[n] < values[n + 1])
Assert.Fail("NPV is increasing with the spread " +
"in a receiver swaption (physical delivered):" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
"\nvalue: " + values[n] + " for spread: " + spreads[n] +
"\nvalue: " + values[n + 1] + " for spread: " + spreads[n + 1]);
if (values_cash[n] < values_cash[n+1])
Assert.Fail("NPV is increasing with the spread " +
"in a receiver swaption (cash delivered):" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
"\nvalue: " + values_cash[n ] + " for spread: " + spreads[n] +
"\nvalue: " + values_cash[n+1] + " for spread: " + spreads[n+1]);
}
}
}
}
}
}
