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");
}
}
}
}
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);
}
// setup
public CommonVars()
{
// data
calendar = new TARGET();
settlementDays = 2;
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
fixedLegConvention = BusinessDayConvention.Unadjusted;
fixedLegFrequency = Frequency.Annual;
fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
bondSettlementDays = 3;
bondDayCounter = new ActualActual();
bondConvention = BusinessDayConvention.Following;
bondRedemption = 100.0;
bmaFrequency = Frequency.Quarterly;
bmaConvention = BusinessDayConvention.Following;
bmaDayCounter = new ActualActual();
deposits = depositData.Length;
fras = fraData.Length;
swaps = swapData.Length;
bonds = bondData.Length;
bmas = bmaData.Length;
// market elements
rates = new List <SimpleQuote>(deposits + swaps);
fraRates = new List <SimpleQuote>(fras);
prices = new List <SimpleQuote>(bonds);
fractions = new List <SimpleQuote>(bmas);
for (int i = 0; i < deposits; i++)
{
rates.Add(new SimpleQuote(depositData[i].rate / 100));
}
for (int i = 0; i < swaps; i++)
{
rates.Add(new SimpleQuote(swapData[i].rate / 100));
}
for (int i = 0; i < fras; i++)
{
fraRates.Add(new SimpleQuote(fraData[i].rate / 100));
}
for (int i = 0; i < bonds; i++)
{
prices.Add(new SimpleQuote(bondData[i].price));
}
for (int i = 0; i < bmas; i++)
{
fractions.Add(new SimpleQuote(bmaData[i].rate / 100));
}
// rate helpers
instruments = new List <RateHelper>(deposits + swaps);
fraHelpers = new List <RateHelper>(fras);
bondHelpers = new List <RateHelper>(bonds);
schedules = new List <Schedule>(bonds);
bmaHelpers = new List <RateHelper>(bmas);
IborIndex euribor6m = new Euribor6M();
for (int i = 0; i < deposits; i++)
{
Handle <Quote> r = new Handle <Quote>(rates[i]);
instruments.Add(new DepositRateHelper(r, new Period(depositData[i].n, depositData[i].units),
euribor6m.fixingDays(), calendar,
euribor6m.businessDayConvention(),
euribor6m.endOfMonth(),
euribor6m.dayCounter()));
}
for (int i = 0; i < swaps; i++)
{
Handle <Quote> r = new Handle <Quote>(rates[i + deposits]);
instruments.Add(new SwapRateHelper(r, new Period(swapData[i].n, swapData[i].units), calendar,
fixedLegFrequency, fixedLegConvention, fixedLegDayCounter, euribor6m));
}
Euribor3M euribor3m = new Euribor3M();
for (int i = 0; i < fras; i++)
{
Handle <Quote> r = new Handle <Quote>(fraRates[i]);
fraHelpers.Add(new FraRateHelper(r, fraData[i].n, fraData[i].n + 3,
euribor3m.fixingDays(),
euribor3m.fixingCalendar(),
euribor3m.businessDayConvention(),
euribor3m.endOfMonth(),
euribor3m.dayCounter()));
}
for (int i = 0; i < bonds; i++)
{
Handle <Quote> p = new Handle <Quote>(prices[i]);
Date maturity = calendar.advance(today, bondData[i].n, bondData[i].units);
Date issue = calendar.advance(maturity, -bondData[i].length, TimeUnit.Years);
List <double> coupons = new List <double>()
{
bondData[i].coupon / 100.0
};
schedules.Add(new Schedule(issue, maturity, new Period(bondData[i].frequency), calendar,
bondConvention, bondConvention, DateGeneration.Rule.Backward, false));
bondHelpers.Add(new FixedRateBondHelper(p, bondSettlementDays, bondRedemption, schedules[i],
coupons, bondDayCounter, bondConvention, bondRedemption, issue));
}
}
