public void testCashedValues()
{
Date startDate = new Date(01, 03, 2007);
Period period = new Period(360, TimeUnit.Months);
Calendar calendar = new TARGET();
Date endDate = calendar.advance(startDate,period,BusinessDayConvention.Unadjusted);
Schedule schedule = new Schedule( startDate, endDate, new Period(1,TimeUnit.Months), calendar,
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
// PSA 100%
PSACurve psa100 = new PSACurve(startDate);
double[] listCPR = {0.2000,0.4000,0.6000,0.8000,1.0000,1.2000,1.4000,1.6000,1.8000,2.0000,2.2000,2.4000,2.6000,2.8000,
3.0000,3.2000,3.4000,3.6000,3.8000,4.0000,4.2000,4.4000,4.6000,4.8000,5.0000,5.2000,5.4000,5.6000,
5.8000,6.0000};
for (int i = 0; i < schedule.Count; i++)
{
if ( i <= 29 )
Assert.AreEqual(listCPR[i], psa100.getCPR(schedule[i])*100,0.001);
else
Assert.AreEqual(6.0000, psa100.getCPR(schedule[i])*100);
}
}
public static MBSFixedRateBond makeMBSFixedBond(Date startDate,
Period bondLength,
Period originalLength,
DayCounter dCounter,
Frequency payFrequency,
double amount,
double WACRate,
double PassThroughRate,
PSACurve psaCurve)
{
return(makeMBSFixedBond(startDate, bondLength, originalLength, dCounter, payFrequency, amount, WACRate, PassThroughRate, psaCurve, new TARGET()));
}
public static MBSFixedRateBond makeMBSFixedBond(Date startDate,
Period bondLength,
Period originalLength,
DayCounter dCounter,
Frequency payFrequency,
double amount,
double WACrate,
double PassThroughRate,
PSACurve psaCurve,
Calendar calendar)
{
MBSFixedRateBond bond;
Date endDate = calendar.advance(startDate, bondLength);
Schedule schedule = new Schedule(startDate, endDate, bondLength, calendar, BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
bond = new MBSFixedRateBond(0, calendar, amount, startDate, bondLength, originalLength, payFrequency, WACrate, PassThroughRate, dCounter, psaCurve);
return(bond);
}
//public MBSFixedRateBond(int settlementDays,
// List<double> notionals,
// Schedule schedule,
// List<double> coupons,
// DayCounter accrualDayCounter,
// BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
// Date issueDate = null)
// :base(settlementDays,notionals,schedule,coupons,accrualDayCounter,paymentConvention,issueDate)
//{
//}
public MBSFixedRateBond(int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Period bondTenor,
Period originalLength,
Frequency sinkingFrequency,
double WACRate,
double PassThroughRate,
DayCounter accrualDayCounter,
PSACurve psaCurve,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
: base(settlementDays, calendar, faceAmount, startDate, bondTenor, sinkingFrequency, WACRate, accrualDayCounter, paymentConvention, issueDate)
{
psaCurve_ = psaCurve;
originalLength_ = originalLength;
remainingLength_ = bondTenor;
WACRate_ = WACRate;
PassThroughRate_ = PassThroughRate;
dCounter_ = accrualDayCounter;
}
//public MBSFixedRateBond(int settlementDays,
// List<double> notionals,
// Schedule schedule,
// List<double> coupons,
// DayCounter accrualDayCounter,
// BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
// Date issueDate = null)
// :base(settlementDays,notionals,schedule,coupons,accrualDayCounter,paymentConvention,issueDate)
//{
//}
public MBSFixedRateBond(int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Period bondTenor,
Period originalLength,
Frequency sinkingFrequency,
double WACRate,
double PassThroughRate,
DayCounter accrualDayCounter,
PSACurve psaCurve,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
: base(settlementDays, calendar, faceAmount, startDate, bondTenor, sinkingFrequency, WACRate, accrualDayCounter, paymentConvention, issueDate)
{
psaCurve_ = psaCurve;
originalLength_ = originalLength;
remainingLength_ = bondTenor;
WACRate_ = WACRate;
PassThroughRate_ = PassThroughRate;
dCounter_ = accrualDayCounter;
}
public void testMBSFixedBondCached()
{
// Test MBS Bond against cached values
// from Fabozzi MBS Products Structuring and Analytical Techniques
// Second Edition - WILEY ISBN 978-1-118-00469-2
// pag 58,61,63
#region Cached Values
double[] OutstandingBalance = {400000000,399396651,398724866,397984841,397176808,396301034,395357823,394347512,393270474,
392127117,390917882,389643247,388303720,386899847,385432204,383901402,382308084,380652925,
378936631,377159941,375323622,373428474,371475324,369465030,367398478,365276580,363100276,
360870534,358588346,356317966,354059336,351812393,349577078,347353331,345141093,342940305,
340750907,338572840,336406048,334250471,332106052,329972733,327850458,325739170,323638812,
321549327,319470661,317402757,315345560,313299014,311263066,309237660,307222743,305218260,
303224158,301240383,299266882,297303602,295350492,293407497,291474567,289551650,287638694,
285735647,283842460,281959081,280085459,278221545,276367288,274522640,272687550,270861969,
269045848,267239140,265441794,263653764,261875001,260105457,258345086,256593839,254851671,
253118533,251394381,249679167,247972846,246275371,244586698,242906782,241235576,239573036,
237919118,236273777,234636970,233008651,231388779,229777308,228174197,226579401,224992878,
223414586,221844483,220282525,218728672,217182881,215645111,214115321,212593469,211079516,
209573419,208075140,206584637,205101871,203626802,202159389,200699595,199247379,197802703,
196365528,194935815,193513525,192098622,190691066,189290820,187897846,186512107,185133566,
183762186,182397929,181040759,179690640,178347535,177011409,175682225,174359947,173044541,
171735971,170434201,169139197,167850924,166569347,165294431,164026143,162764449,161509314,
160260704,159018587,157782929,156553696,155330855,154114374,152904220,151700360,150502762,
149311394,148126224,146947219,145774348,144607580,143446882,142292225,141143576,140000905,
138864182,137733374,136608453,135489388,134376148,133268704,132167026,131071083,129980848,
128896290,127817380,126744089,125676388,124614249,123557642,122506539,121460913,120420734,
119385975,118356608,117332605,116313939,115300582,114292506,113289685,112292092,111299699,
110312480,109330408,108353458,107381601,106414813,105453067,104496337,103544598,102597823,
101655987,100719066,99787032 ,98859862 ,97937530 ,97020012 ,96107282 ,95199317 ,94296091 ,
93397579 ,92503759 ,91614606 ,90730095 ,89850202 ,88974905 ,88104180 ,87238002 ,86376348 ,
85519196 ,84666522 ,83818303 ,82974516 ,82135138 ,81300146 ,80469519 ,79643233 ,78821266 ,
78003597 ,77190202 ,76381060 ,75576149 ,74775447 ,73978932 ,73186584 ,72398380 ,71614300 ,
70834321 ,70058424 ,69286586 ,68518787 ,67755007 ,66995224 ,66239418 ,65487568 ,64739655 ,
63995657 ,63255556 ,62519330 ,61786959 ,61058425 ,60333707 ,59612785 ,58895641 ,58182253 ,
57472605 ,56766675 ,56064445 ,55365895 ,54671008 ,53979764 ,53292143 ,52608129 ,51927702 ,
51250843 ,50577534 ,49907758 ,49241495 ,48578728 ,47919438 ,47263609 ,46611221 ,45962258 ,
45316701 ,44674534 ,44035738 ,43400297 ,42768192 ,42139408 ,41513926 ,40891731 ,40272804 ,
39657129 ,39044690 ,38435469 ,37829450 ,37226618 ,36626954 ,36030443 ,35437069 ,34846816 ,
34259667 ,33675607 ,33094619 ,32516689 ,31941799 ,31369935 ,30801080 ,30235220 ,29672339 ,
29112422 ,28555453 ,28001417 ,27450300 ,26902085 ,26356759 ,25814305 ,25274711 ,24737960 ,
24204038 ,23672931 ,23144624 ,22619103 ,22096353 ,21576360 ,21059110 ,20544589 ,20032782 ,
19523677 ,19017258 ,18513512 ,18012425 ,17513984 ,17018175 ,16524985 ,16034399 ,15546405 ,
15060989 ,14578138 ,14097838 ,13620077 ,13144842 ,12672119 ,12201896 ,11734160 ,11268897 ,
10806096 ,10345743 ,9887826 ,9432332 ,8979249 ,8528565 ,8080267 ,7634342 ,7190780 ,
6749566 ,6310691 ,5874140 ,5439903 ,5007967 ,4578321 ,4150953 ,3725851 ,3303003 ,
2882398 ,2464024 ,2047870 ,1633925 ,1222176 ,812614 ,405225 };
double[] Prepayments = { 200350,266975,333463,399780,465892,531764,597362,662652,727600,792172,856336,920057,983303,
1046041,1108239,1169864,1230887,1291274,1350996,1410023,1468325,1525872,1582637,1638590,1693706,1747956,
1801315,1853758,1842021,1830345,1818729,1807174,1795678,1784241,1772864,1761546,1750286,1739085,1727941,
1716855,1705827,1694856,1683941,1673083,1662281,1651536,1640845,1630210,1619631,1609106,1598635,1588219,
1577856,1567548,1557292,1547090,1536941,1526844,1516799,1506807,1496866,1486977,1477139,1467352,1457616,
1447930,1438294,1428708,1419172,1409686,1400248,1390859,1381519,1372228,1362985,1353789,1344641,1335541,
1326488,1317481,1308522,1299608,1290741,1281920,1273145,1264415,1255731,1247091,1238497,1229947,1221441,
1212979,1204562,1196187,1187857,1179569,1171325,1163123,1154964,1146847,1138773,1130740,1122749,1114799,
1106891,1099023,1091197,1083411,1075665,1067960,1060295,1052669,1045083,1037537,1030029,1022561,1015131,
1007740,1000388,993073,985797,978558,971357,964193,957067,949977,942924,935908,928929,921985,915078,
908207,901371,894571,887806,881077,874382,867722,861097,854506,847950,841427,834939,828484,822063,
815675,809320,802998,796710,790454,784230,778039,771880,765753,759658,753595,747563,741563,735594,
729656,723749,717872,712026,706211,700426,694671,688946,683251,677585,671949,666342,660765,655216,
649697,644206,638744,633310,627904,622527,617178,611856,606563,601297,596058,590847,585662,580505,
575375,570271,565194,560144,555120,550122,545150,540204,535284,530390,525521,520677,515859,511066,
506298,501555,496836,492142,487473,482828,478207,473611,469038,464490,459965,455463,450986,446531,
442100,437692,433307,428945,424606,420289,415995,411724,407474,403247,399042,394860,390698,386559,
382442,378345,374271,370217,366185,362174,358184,354215,350266,346339,342431,338545,334678,330832,
327006,323200,319414,315648,311901,308174,304467,300779,297110,293461,289831,286220,282627,279054,
275499,271963,268445,264946,261466,258003,254559,251133,247724,244334,240961,237606,234269,230949,
227647,224362,221094,217844,214610,211394,208194,205012,201845,198696,195563,192447,189347,186263,
183195,180144,177109,174089,171086,168098,165126,162170,159229,156304,153394,150500,147620,144756,
141907,139073,136254,133450,130660,127885,125125,122380,119648,116932,114229,111541,108867,106207,
103561,100930,98312,95707,93117,90540,87977,85428,82891,80369,77859,75363,72880,70410,67954,65510,
63079,60661,58256,55863,53483,51116,48761,46419,44089,41772,39466,37173,34893,32624,30367,28122,
25889,23668,21459,19261,17075,14901,12738,10587,8447,6318,4201,2095,0};
double[] NetInterest = { 1833333,1830568,1827489,1824097,1820394,1816380,1812057,1807426,1802490,1797249,1791707,1785865,
1779725,1773291,1766564,1759548,1752245,1744659,1736793,1728650,1720233,1711547,1702595,1693381,
1683910,1674184,1664210,1653990,1643530,1633124,1622772,1612473,1602228,1592036,1581897,1571810,
1561775,1551792,1541861,1531981,1522153,1512375,1502648,1492971,1483345,1473768,1464241,1454763,
1445334,1435954,1426622,1417339,1408104,1398917,1389777,1380685,1371640,1362642,1353690,1344784,
1335925,1327112,1318344,1309622,1300945,1292312,1283725,1275182,1266683,1258229,1249818,1241451,
1233127,1224846,1216608,1208413,1200260,1192150,1184082,1176055,1168070,1160127,1152224,1144363,
1136542,1128762,1121022,1113323,1105663,1098043,1090463,1082921,1075419,1067956,1060532,1053146,
1045798,1038489,1031217,1023984,1016787,1009628,1002506,995422,988373,981362,974387,967448,960545,
953678,946846,940050,933290,926564,919873,913217,906596,900009,893456,886937,880452,874001,867583,
861198,854847,848529,842243,835991,829770,823582,817426,811302,805210,799150,793121,787123,781157,
775221,769317,763443,757599,751786,746004,740251,734528,728835,723172,717538,711933,706358,700811,
695293,689804,684344,678912,673508,668132,662785,657465,652173,646908,641671,636461,631278,626122,
620993,615891,610815,605766,600742,595746,590775,585830,580910,576017,571149,566306,561488,556696,
551928,547186,542468,537774,533106,528461,523841,519244,514672,510124,505599,501098,496620,492166,
487735,483327,478942,474579,470240,465923,461629,457357,453108,448880,444675,440492,436330,432190,
428072,423976,419900,415846,411813,407802,403811,399841,395892,391963,388055,384167,380300,376453,
372626,368819,365031,361264,357516,353788,350080,346391,342721,339070,335439,331826,328232,324657,
321101,317564,314044,310544,307061,303597,300151,296723,293313,289921,286547,283190,279851,276529,
273225,269938,266669,263416,260181,256962,253760,250575,247407,244256,241121,238002,234900,231814,
228744,225690,222653,219631,216625,213635,210660,207702,204758,201830,198918,196021,193139,190272,
187420,184584,181762,178955,176163,173385,170622,167874,165140,162420,159715,157023,154347,151684,
149035,146400,143779,141172,138578,135998,133432,130879,128340,125814,123301,120802,118316,115842,
113382,110935,108501,106080,103671,101275,98892,96521,94163,91817,89484,87162,84854,82557,80272,
78000,75740,73491,71254,69030,66816,64615,62425,60247,58081,55925,53782,51649,49528,47418,45319,
43232,41155,39089,37035,34991,32958,30936,28924,26923,24933,22953,20984,19025,17077,15139,13211,
11293,9386,7489,5602,3724,1857};
double[] ScheduledPrincipal = { 402998,404810,406562,408253,409882,411447,412949,414386,415758,417063,418300,419470,420571,
421602,422563,423454,424273,425020,425694,426296,426824,427278,427657,427962,428192,428347,
428427,428430,428358,428286,428213,428141,428069,427997,427924,427852,427780,427708,427636,
427564,427491,427419,427347,427275,427203,427131,427059,426987,426915,426843,426771,426699,
426627,426555,426483,426411,426339,426267,426195,426123,426051,425979,425907,425835,425764,
425692,425620,425548,425476,425405,425333,425261,425189,425118,425046,424974,424902,424831,
424759,424687,424616,424544,424472,424401,424329,424258,424186,424114,424043,423971,423900,
423828,423757,423685,423614,423542,423471,423399,423328,423256,423185,423114,423042,422971,
422900,422828,422757,422685,422614,422543,422472,422400,422329,422258,422187,422115,422044,
421973,421902,421830,421759,421688,421617,421546,421475,421404,421332,421261,421190,421119,
421048,420977,420906,420835,420764,420693,420622,420551,420480,420409,420338,420267,420196,
420126,420055,419984,419913,419842,419771,419700,419630,419559,419488,419417,419346,419276,
419205,419134,419064,418993,418922,418851,418781,418710,418639,418569,418498,418428,418357,
418286,418216,418145,418075,418004,417934,417863,417793,417722,417652,417581,417511,417440,
417370,417299,417229,417159,417088,417018,416947,416877,416807,416736,416666,416596,416526,
416455,416385,416315,416245,416174,416104,416034,415964,415893,415823,415753,415683,415613,
415543,415473,415403,415332,415262,415192,415122,415052,414982,414912,414842,414772,414702,
414632,414562,414492,414422,414352,414282,414213,414143,414073,414003,413933,413863,413793,
413724,413654,413584,413514,413444,413375,413305,413235,413165,413096,413026,412956,412887,
412817,412747,412678,412608,412538,412469,412399,412330,412260,412191,412121,412051,411982,
411912,411843,411773,411704,411635,411565,411496,411426,411357,411287,411218,411149,411079,
411010,410941,410871,410802,410733,410663,410594,410525,410455,410386,410317,410248,410178,
410109,410040,409971,409902,409833,409763,409694,409625,409556,409487,409418,409349,409280,
409211,409142,409073,409003,408934,408865,408796,408728,408659,408590,408521,408452,408383,
408314,408245,408176,408107,408038,407970,407901,407832,407763,407694,407625,407557,407488,
407419,407350,407282,407213,407144,407076,407007,406938,406870,406801,406732,406664,406595,
406526,406458,406389,406321,406252,406184,406115,406047,405978,405910,405841,405773,405704,
405636,405567,405499,405430,405362,405294,405225};
#endregion
Date startDate = new Date(1, 2, 2007);
Settings.setEvaluationDate(startDate);
Period bondLength = new Period(358, TimeUnit.Months);
Period originalLenght = new Period(360, TimeUnit.Months);
DayCounter dCounter = new Thirty360();
Frequency payFrequency = Frequency.Monthly;
double amount = 400000000;
double WACrate = 0.06;
double PassThroughRate = 0.055;
PSACurve psa100 = new PSACurve(startDate);
var discountCurve = new Handle<YieldTermStructure>(Utilities.flatRate(startDate, new SimpleQuote(WACrate), new Thirty360()));
// 400 Million Pass-Through with a 5.5% Pass-through Rate, a WAC of 6.0%, and a WAM of 358 Months,
// Assuming 100% PSA
MBSFixedRateBond bond = BondFactory.makeMBSFixedBond(startDate,
bondLength,
originalLenght,
dCounter,
payFrequency,
amount,
WACrate,
PassThroughRate,
psa100);
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
bond.setPricingEngine(bondEngine);
// Calculate Monthly Expecting Cashflow
List<CashFlow> cf = bond.expectedCashflows();
// Outstanding Balance
int i = 0;
foreach (CashFlow c in cf)
{
if (c is QLNet.FixedRateCoupon)
{
FixedRateCoupon frc = c as FixedRateCoupon;
Assert.AreEqual(OutstandingBalance[i], frc.nominal(), 1, "Outstanding Balance " + i++ + "is different");
}
}
// Prepayments
i = 0;
foreach (CashFlow c in cf)
{
if (c is QLNet.VoluntaryPrepay)
{
Assert.AreEqual(Prepayments[i], c.amount(), 1, "Prepayments " + i++ + "is different");
}
}
// Net Interest
i = 0;
foreach (CashFlow c in cf)
{
if (c is QLNet.FixedRateCoupon)
{
FixedRateCoupon frc = c as FixedRateCoupon;
Assert.AreEqual(NetInterest[i], frc.amount(), 1, "Net Interest " + i++ + "is different");
}
}
// Scheduled Principal
i = 0;
foreach (CashFlow c in cf)
{
if (c is QLNet.AmortizingPayment)
{
Assert.AreEqual(ScheduledPrincipal[i], c.amount(), 1, "Scheduled Principal " + i++ + "is different");
}
}
// Monthly Yield
Assert.AreEqual(0.00458333333333381, bond.MonthlyYield(), 0.000000001, "MonthlyYield is different");
// Bond Equivalent Yield
Assert.AreEqual(0.0556, bond.BondEquivalentYield(), 0.0001, " Bond Equivalent Yield is different");
}
public static MBSFixedRateBond makeMBSFixedBond(Date startDate,
Period bondLength,
Period originalLength,
DayCounter dCounter,
Frequency payFrequency,
double amount,
double WACrate,
double PassThroughRate,
PSACurve psaCurve,
Calendar calendar)
{
MBSFixedRateBond bond;
Date endDate = calendar.advance(startDate, bondLength);
Schedule schedule = new Schedule(startDate, endDate, bondLength, calendar, BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
bond = new MBSFixedRateBond(0, calendar, amount, startDate, bondLength, originalLength , payFrequency, WACrate, PassThroughRate, dCounter, psaCurve);
return bond;
}
public static MBSFixedRateBond makeMBSFixedBond(Date startDate,
Period bondLength,
Period originalLength,
DayCounter dCounter,
Frequency payFrequency,
double amount,
double WACRate,
double PassThroughRate,
PSACurve psaCurve)
{
return makeMBSFixedBond(startDate, bondLength, originalLength , dCounter, payFrequency, amount, WACRate, PassThroughRate, psaCurve, new TARGET());
}