public void testCmsSwap()
{
// Testing Hagan-pricer flat-vol equivalence for swaps
CommonVars vars = new CommonVars();
SwapIndex swapIndex = new SwapIndex("EuriborSwapIsdaFixA",
new Period(10, TimeUnit.Years),
vars.iborIndex.fixingDays(),
vars.iborIndex.currency(),
vars.iborIndex.fixingCalendar(),
new Period(1, TimeUnit.Years),
BusinessDayConvention.Unadjusted,
vars.iborIndex.dayCounter(),//??
vars.iborIndex);
// FIXME
//shared_ptr<SwapIndex> swapIndex(new
// EuriborSwapIsdaFixA(10*Years, vars.iborIndex->termStructure()));
double spread = 0.0;
List <int> swapLengths = new List <int>();
swapLengths.Add(1);
swapLengths.Add(5);
swapLengths.Add(6);
swapLengths.Add(10);
int n = swapLengths.Count;
List <Swap> cms = new List <Swap>(n);
for (int i = 0; i < n; ++i)
{
// no cap, floor
// no gearing, spread
cms.Add(new MakeCms(new Period(swapLengths[i], TimeUnit.Years),
swapIndex,
vars.iborIndex, spread,
new Period(10, TimeUnit.Days)).value());
}
for (int j = 0; j < vars.yieldCurveModels.Count; ++j)
{
vars.numericalPricers[j].setSwaptionVolatility(vars.atmVol);
vars.analyticPricers[j].setSwaptionVolatility(vars.atmVol);
for (int sl = 0; sl < n; ++sl)
{
Utils.setCouponPricer(cms[sl].leg(0), vars.numericalPricers[j]);
double priceNum = cms[sl].NPV();
Utils.setCouponPricer(cms[sl].leg(0), vars.analyticPricers[j]);
double priceAn = cms[sl].NPV();
double difference = Math.Abs(priceNum - priceAn);
double tol = 2.0e-4;
bool linearTsr = j == vars.yieldCurveModels.Count - 1;
if (difference > tol)
{
QAssert.Fail("\nLength in Years: " + swapLengths[sl] +
"\nswap index: " + swapIndex.name() +
"\nibor index: " + vars.iborIndex.name() +
"\nspread: " + (spread) +
"\nYieldCurve Model: " + vars.yieldCurveModels[j] +
"\nNumerical Pricer: " + (priceNum) + (linearTsr ? " (Linear TSR Model)" : "") +
"\nAnalytic Pricer: " + (priceAn) +
"\ndifference: " + (difference) +
"\ntolerance: " + (tol));
}
}
}
}
public void testFairRate()
{
// Testing Hagan-pricer flat-vol equivalence for coupons
CommonVars vars = new CommonVars();
SwapIndex swapIndex = new SwapIndex("EuriborSwapIsdaFixA",
new Period(10, TimeUnit.Years),
vars.iborIndex.fixingDays(),
vars.iborIndex.currency(),
vars.iborIndex.fixingCalendar(),
new Period(1, TimeUnit.Years),
BusinessDayConvention.Unadjusted,
vars.iborIndex.dayCounter(),//??
vars.iborIndex);
// FIXME
//shared_ptr<SwapIndex> swapIndex(new
// EuriborSwapIsdaFixA(10*Years, vars.iborIndex->termStructure()));
Date startDate = vars.termStructure.link.referenceDate() + new Period(20, TimeUnit.Years);
Date paymentDate = startDate + new Period(1, TimeUnit.Years);
Date endDate = paymentDate;
double nominal = 1.0;
double?infiniteCap = null;
double?infiniteFloor = null;
double gearing = 1.0;
double spread = 0.0;
CappedFlooredCmsCoupon coupon = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate,
swapIndex.fixingDays(), swapIndex,
gearing, spread,
infiniteCap, infiniteFloor,
startDate, endDate,
vars.iborIndex.dayCounter());
for (int j = 0; j < vars.yieldCurveModels.Count; ++j)
{
vars.numericalPricers[j].setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.numericalPricers[j]);
double rate0 = coupon.rate();
vars.analyticPricers[j].setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.analyticPricers[j]);
double rate1 = coupon.rate();
double difference = Math.Abs(rate1 - rate0);
double tol = 2.0e-4;
bool linearTsr = j == vars.yieldCurveModels.Count - 1;
if (difference > tol)
{
QAssert.Fail("\nCoupon payment date: " + paymentDate +
"\nCoupon start date: " + startDate +
"\nCoupon floor: " + (infiniteFloor) +
"\nCoupon gearing: " + (gearing) +
"\nCoupon swap index: " + swapIndex.name() +
"\nCoupon spread: " + (spread) +
"\nCoupon cap: " + (infiniteCap) +
"\nCoupon DayCounter: " + vars.iborIndex.dayCounter() +
"\nYieldCurve Model: " + vars.yieldCurveModels[j] +
"\nNumerical Pricer: " + (rate0) + (linearTsr ? " (Linear TSR Model)" : "") +
"\nAnalytic Pricer: " + (rate1) +
"\ndifference: " + (difference) +
"\ntolerance: " + (tol));
}
}
}