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);
}
public void cpicapfloorpricer()
{
CommonVars common = new CommonVars();
double nominal = 1.0;
CPICapFloorTermPriceSurface cpiCFpriceSurf = 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);
common.cpiCFsurfUK = cpiCFpriceSurf;
// interpolation pricer first
// N.B. no new instrument required but we do need a new pricer
Date startDate = Settings.evaluationDate();
Date maturity = (startDate + new Period(3, TimeUnit.Years));
Calendar fixCalendar = new UnitedKingdom(), payCalendar = new UnitedKingdom();
BusinessDayConvention fixConvention = BusinessDayConvention.Unadjusted,
payConvention = BusinessDayConvention.ModifiedFollowing;
double strike = 0.03;
double baseCPI = common.hii.link.fixing(fixCalendar.adjust(startDate - common.observationLag, fixConvention));
InterpolationType observationInterpolation = InterpolationType.AsIndex;
CPICapFloor aCap = new CPICapFloor(Option.Type.Call,
nominal,
startDate, // start date of contract (only)
baseCPI,
maturity, // this is pre-adjustment!
fixCalendar,
fixConvention,
payCalendar,
payConvention,
strike,
common.hii,
common.observationLag,
observationInterpolation);
Handle <CPICapFloorTermPriceSurface> cpiCFsurfUKh = new Handle <CPICapFloorTermPriceSurface>(common.cpiCFsurfUK);
IPricingEngine engine = new InterpolatingCPICapFloorEngine(cpiCFsurfUKh);
aCap.setPricingEngine(engine);
Date d = common.cpiCFsurfUK.cpiOptionDateFromTenor(new Period(3, TimeUnit.Years));
double cached = cpiCFsurfUKh.link.capPrice(d, strike);
QAssert.IsTrue(Math.Abs(cached - aCap.NPV()) < 1e-10, "InterpolatingCPICapFloorEngine does not reproduce cached price: "
+ cached + " vs " + aCap.NPV());
// remove circular refernce
common.hcpi.linkTo(null);
}