IborIndex makeIndex(List <Date> dates,
List <double> rates)
{
DayCounter dayCounter = new Actual360();
RelinkableHandle <YieldTermStructure> termStructure = new RelinkableHandle <YieldTermStructure>();
IborIndex index = new Euribor6M(termStructure);
Date todaysDate =
index.fixingCalendar().adjust(new Date(4, 9, 2005));
Settings.setEvaluationDate(todaysDate);
dates[0] = index.fixingCalendar().advance(todaysDate,
index.fixingDays(), TimeUnit.Days);
Linear Interpolator = new Linear();
termStructure.linkTo(new InterpolatedZeroCurve <Linear>(dates, rates, dayCounter, Interpolator));
return(index);
}
public void testInitialisation()
{
//"Testing caplet LMM process initialisation..."
//SavedSettings backup;
DayCounter dayCounter = new Actual360();
RelinkableHandle <YieldTermStructure> termStructure = new RelinkableHandle <YieldTermStructure>();;
termStructure.linkTo(Utilities.flatRate(Date.Today, 0.04, dayCounter));
IborIndex index = new Euribor6M(termStructure);
OptionletVolatilityStructure capletVol = new ConstantOptionletVolatility(
termStructure.currentLink().referenceDate(),
termStructure.currentLink().calendar(),
BusinessDayConvention.Following,
0.2,
termStructure.currentLink().dayCounter());
Calendar calendar = index.fixingCalendar();
for (int daysOffset = 0; daysOffset < 1825 /* 5 year*/; daysOffset += 8)
{
Date todaysDate = calendar.adjust(Date.Today + daysOffset);
Settings.setEvaluationDate(todaysDate);
Date settlementDate =
calendar.advance(todaysDate, index.fixingDays(), TimeUnit.Days);
termStructure.linkTo(Utilities.flatRate(settlementDate, 0.04, dayCounter));
LiborForwardModelProcess process = new LiborForwardModelProcess(60, index);
List <double> fixings = process.fixingTimes();
for (int i = 1; i < fixings.Count - 1; ++i)
{
int ileft = process.nextIndexReset(fixings[i] - 0.000001);
int iright = process.nextIndexReset(fixings[i] + 0.000001);
int ii = process.nextIndexReset(fixings[i]);
if ((ileft != i) || (iright != i + 1) || (ii != i + 1))
{
Assert.Fail("Failed to next index resets");
}
}
}
}