internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CmsSpreadCoupon obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void testCouponPricing()
{
TestData d = new TestData();
double tol = 1E-6; // abs tolerance coupon rate
SwapIndex cms10y = new EuriborSwapIsdaFixA(new Period(10, TimeUnit.Years), d.yts2, d.yts2);
SwapIndex cms2y = new EuriborSwapIsdaFixA(new Period(2, TimeUnit.Years), d.yts2, d.yts2);
SwapSpreadIndex cms10y2y = new SwapSpreadIndex("cms10y2y", cms10y, cms2y);
Date valueDate = cms10y2y.valueDate(d.refDate);
Date payDate = valueDate + new Period(1, TimeUnit.Years);
CmsCoupon cpn1a = new CmsCoupon(10000.0, payDate, valueDate, payDate, cms10y.fixingDays(), cms10y,
1.0, 0.0, null, null, new Actual360(), false);
CmsCoupon cpn1b = new CmsCoupon(10000.0, payDate, valueDate, payDate, cms2y.fixingDays(),
cms2y, 1.0, 0.0, null, null, new Actual360(), false);
CmsSpreadCoupon cpn1 = new CmsSpreadCoupon(
10000.0, payDate, valueDate, payDate, cms10y2y.fixingDays(),
cms10y2y, 1.0, 0.0, null, null, new Actual360(), false);
QAssert.IsTrue(cpn1.fixingDate() == d.refDate);
cpn1a.setPricer(d.cmsPricerLn);
cpn1b.setPricer(d.cmsPricerLn);
cpn1.setPricer(d.cmsspPricerLn);
QAssert.IsTrue(cpn1.rate() == cpn1a.rate() - cpn1b.rate());
cms10y.addFixing(d.refDate, 0.05);
QAssert.IsTrue(cpn1.rate() == cpn1a.rate() - cpn1b.rate());
cms2y.addFixing(d.refDate, 0.03);
QAssert.IsTrue(cpn1.rate() == cpn1a.rate() - cpn1b.rate());
IndexManager.Instance.clearHistories();
CmsCoupon cpn2a = new CmsCoupon(10000.0, new Date(23, Month.February, 2029),
new Date(23, Month.February, 2028), new Date(23, Month.February, 2029), 2,
cms10y, 1.0, 0.0, null, null, new Actual360(), false);
CmsCoupon cpn2b = new CmsCoupon(10000.0, new Date(23, Month.February, 2029),
new Date(23, Month.February, 2028), new Date(23, Month.February, 2029), 2,
cms2y, 1.0, 0.0, null, null, new Actual360(), false);
CappedFlooredCmsSpreadCoupon plainCpn =
new CappedFlooredCmsSpreadCoupon(
new Date(23, Month.February, 2029), 10000.0, new Date(23, Month.February, 2028),
new Date(23, Month.February, 2029), 2, cms10y2y, 1.0, 0.0, null,
null, null, null, new Actual360(), false);
CappedFlooredCmsSpreadCoupon cappedCpn =
new CappedFlooredCmsSpreadCoupon(
new Date(23, Month.February, 2029), 10000.0, new Date(23, Month.February, 2028),
new Date(23, Month.February, 2029), 2, cms10y2y, 1.0, 0.0, 0.03,
null, null, null, new Actual360(), false);
CappedFlooredCmsSpreadCoupon flooredCpn =
new CappedFlooredCmsSpreadCoupon(
new Date(23, Month.February, 2029), 10000.0, new Date(23, Month.February, 2028),
new Date(23, Month.February, 2029), 2, cms10y2y, 1.0, 0.0, null,
0.01, null, null, new Actual360(), false);
CappedFlooredCmsSpreadCoupon collaredCpn =
new CappedFlooredCmsSpreadCoupon(
new Date(23, Month.February, 2029), 10000.0, new Date(23, Month.February, 2028),
new Date(23, Month.February, 2029), 2, cms10y2y, 1.0, 0.0, 0.03, 0.01,
null, null, new Actual360(), false);
cpn2a.setPricer(d.cmsPricerLn);
cpn2b.setPricer(d.cmsPricerLn);
plainCpn.setPricer(d.cmsspPricerLn);
cappedCpn.setPricer(d.cmsspPricerLn);
flooredCpn.setPricer(d.cmsspPricerLn);
collaredCpn.setPricer(d.cmsspPricerLn);
QAssert.IsTrue(
Math.Abs(plainCpn.rate() - mcReferenceValue(cpn2a, cpn2b, Double.MaxValue,
-Double.MaxValue, d.swLn,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(cappedCpn.rate() - mcReferenceValue(cpn2a, cpn2b, 0.03,
-Double.MaxValue, d.swLn,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(flooredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, Double.MaxValue, 0.01, d.swLn,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(collaredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, 0.03, 0.01, d.swLn,
d.correlation.currentLink().value())) <
tol);
cpn2a.setPricer(d.cmsPricerSln);
cpn2b.setPricer(d.cmsPricerSln);
plainCpn.setPricer(d.cmsspPricerSln);
cappedCpn.setPricer(d.cmsspPricerSln);
flooredCpn.setPricer(d.cmsspPricerSln);
collaredCpn.setPricer(d.cmsspPricerSln);
QAssert.IsTrue(
Math.Abs(plainCpn.rate() - mcReferenceValue(cpn2a, cpn2b, Double.MaxValue,
-Double.MaxValue, d.swSln,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(cappedCpn.rate() - mcReferenceValue(cpn2a, cpn2b, 0.03,
-Double.MaxValue, d.swSln,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(flooredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, Double.MaxValue, 0.01, d.swSln,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(collaredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, 0.03, 0.01, d.swSln,
d.correlation.currentLink().value())) <
tol);
cpn2a.setPricer(d.cmsPricerN);
cpn2b.setPricer(d.cmsPricerN);
plainCpn.setPricer(d.cmsspPricerN);
cappedCpn.setPricer(d.cmsspPricerN);
flooredCpn.setPricer(d.cmsspPricerN);
collaredCpn.setPricer(d.cmsspPricerN);
QAssert.IsTrue(
Math.Abs(plainCpn.rate() - mcReferenceValue(cpn2a, cpn2b, Double.MaxValue,
-Double.MaxValue, d.swN,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(cappedCpn.rate() - mcReferenceValue(cpn2a, cpn2b, 0.03,
-Double.MaxValue, d.swN,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(Math.Abs(flooredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, Double.MaxValue, 0.01,
d.swN, d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(Math.Abs(collaredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, 0.03, 0.01, d.swN,
d.correlation.currentLink().value())) <
tol);
}
