internal static global::System.Runtime.InteropServices.HandleRef getCPtr(IsdaCdsEngine obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void testIsdaEngine()
{
// Testing ISDA engine calculations for credit-default swaps
SavedSettings backup = new SavedSettings();
Date tradeDate = new Date(21, Month.May, 2009);
Settings.setEvaluationDate(tradeDate);
//build an ISDA compliant yield curve
//data comes from Markit published rates
List <RateHelper> isdaRateHelpers = new List <RateHelper>();
int[] dep_tenors = { 1, 2, 3, 6, 9, 12 };
double[] dep_quotes = { 0.003081,
0.005525,
0.007163,
0.012413,
0.014,
0.015488 };
for (int i = 0; i < dep_tenors.Length; i++)
{
isdaRateHelpers.Add(new DepositRateHelper(dep_quotes[i], new Period(dep_tenors[i], TimeUnit.Months), 2,
new WeekendsOnly(), BusinessDayConvention.ModifiedFollowing, false, new Actual360())
);
}
int[] swap_tenors = { 2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30 };
double[] swap_quotes = { 0.011907,
0.01699,
0.021198,
0.02444,
0.026937,
0.028967,
0.030504,
0.031719,
0.03279,
0.034535,
0.036217,
0.036981,
0.037246,
0.037605 };
IborIndex isda_ibor = new IborIndex("IsdaIbor", new Period(3, TimeUnit.Months), 2, new USDCurrency(),
new WeekendsOnly(), BusinessDayConvention.ModifiedFollowing, false, new Actual360());
for (int i = 0; i < swap_tenors.Length; i++)
{
isdaRateHelpers.Add(new SwapRateHelper(swap_quotes[i], new Period(swap_tenors[i], TimeUnit.Years),
new WeekendsOnly(), Frequency.Semiannual, BusinessDayConvention.ModifiedFollowing, new Thirty360(),
isda_ibor));
}
RelinkableHandle <YieldTermStructure> discountCurve = new RelinkableHandle <YieldTermStructure>();
discountCurve.linkTo(new PiecewiseYieldCurve <Discount, LogLinear>(0, new WeekendsOnly(), isdaRateHelpers,
new Actual365Fixed()));
RelinkableHandle <DefaultProbabilityTermStructure> probabilityCurve = new RelinkableHandle <DefaultProbabilityTermStructure>();
Date[] termDates = { new Date(20, Month.June, 2010),
new Date(20, Month.June, 2011),
new Date(20, Month.June, 2012),
new Date(20, Month.June, 2016),
new Date(20, Month.June, 2019) };
double[] spreads = { 0.001, 0.1 };
double[] recoveries = { 0.2, 0.4 };
double[] markitValues = { 97798.29358, //0.001
97776.11889, //0.001
-914971.5977, //0.1
-894985.6298, //0.1
186921.3594, //0.001
186839.8148, //0.001
-1646623.672, //0.1
-1579803.626, //0.1
274298.9203,
274122.4725,
-2279730.93,
-2147972.527,
592420.2297,
591571.2294,
-3993550.206,
-3545843.418,
797501.1422,
795915.9787,
-4702034.688,
-4042340.999 };
#if !QL_USE_INDEXED_COUPON
double tolerance = 1.0e-2; //TODO Check calculation , tolerance must be 1.0e-6;
#else
/* The risk-free curve is a bit off. We might skip the tests
* altogether and rely on running them with indexed coupons
* disabled, but leaving them can be useful anyway. */
double tolerance = 1.0e-3;
#endif
int l = 0;
for (int i = 0; i < termDates.Length; i++)
{
for (int j = 0; j < 2; j++)
{
for (int k = 0; k < 2; k++)
{
CreditDefaultSwap quotedTrade = new MakeCreditDefaultSwap(termDates[i], spreads[j])
.withNominal(10000000.0).value();
double h = quotedTrade.impliedHazardRate(0.0,
discountCurve,
new Actual365Fixed(),
recoveries[k],
1e-10,
PricingModel.ISDA);
probabilityCurve.linkTo(new FlatHazardRate(0, new WeekendsOnly(), h, new Actual365Fixed()));
IsdaCdsEngine engine = new IsdaCdsEngine(probabilityCurve, recoveries[k], discountCurve);
CreditDefaultSwap conventionalTrade = new MakeCreditDefaultSwap(termDates[i], 0.01)
.withNominal(10000000.0)
.withPricingEngine(engine).value();
double x = conventionalTrade.notional().Value;
double y = conventionalTrade.fairUpfront();
double calculated = Math.Abs((x * y) - markitValues[l]);
QAssert.IsTrue(calculated <= tolerance);
l++;
}
}
}
}