public void testSwaps() { //BOOST_MESSAGE("Testing Hull-White swap pricing against known values..."); Date today; //=Settings::instance().evaluationDate();; Calendar calendar = new TARGET(); today = calendar.adjust(Date.Today); Settings.setEvaluationDate(today); Date settlement = calendar.advance(today, 2, TimeUnit.Days); Date[] dates = { settlement, calendar.advance(settlement,1,TimeUnit.Weeks), calendar.advance(settlement,1,TimeUnit.Months), calendar.advance(settlement,3,TimeUnit.Months), calendar.advance(settlement,6,TimeUnit.Months), calendar.advance(settlement,9,TimeUnit.Months), calendar.advance(settlement,1,TimeUnit.Years), calendar.advance(settlement,2,TimeUnit.Years), calendar.advance(settlement,3,TimeUnit.Years), calendar.advance(settlement,5,TimeUnit.Years), calendar.advance(settlement,10,TimeUnit.Years), calendar.advance(settlement,15,TimeUnit.Years) }; double[] discounts = { 1.0, 0.999258, 0.996704, 0.990809, 0.981798, 0.972570, 0.963430, 0.929532, 0.889267, 0.803693, 0.596903, 0.433022 }; //for (int i = 0; i < dates.Length; i++) // dates[i] + dates.Length; LogLinear Interpolator = new LogLinear(); Handle<YieldTermStructure> termStructure = new Handle<YieldTermStructure>( new InterpolatedDiscountCurve<LogLinear>( dates.ToList<Date>(), discounts.ToList<double>(), new Actual365Fixed(),new Calendar(), null, null , Interpolator) ); HullWhite model = new HullWhite(termStructure); int[] start = { -3, 0, 3 }; int[] length = { 2, 5, 10 }; double[] rates = { 0.02, 0.04, 0.06 }; IborIndex euribor = new Euribor6M(termStructure); IPricingEngine engine = new TreeVanillaSwapEngine(model, 120, termStructure); #if QL_USE_INDEXED_COUPON double tolerance = 4.0e-3; #else double tolerance = 1.0e-8; #endif for (int i=0; i<start.Length; i++) { Date startDate = calendar.advance(settlement,start[i],TimeUnit.Months); if (startDate < today) { Date fixingDate = calendar.advance(startDate,-2,TimeUnit.Days); //TimeSeries<double> pastFixings; ObservableValue<TimeSeries<double>> pastFixings = new ObservableValue<TimeSeries<double>>(); pastFixings.value()[fixingDate] = 0.03; IndexManager.instance().setHistory(euribor.name(), pastFixings); } for (int j=0; j<length.Length; j++) { Date maturity = calendar.advance(startDate, length[i], TimeUnit.Years); Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(Frequency.Annual), calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Forward, false); Schedule floatSchedule = new Schedule(startDate, maturity, new Period(Frequency.Semiannual), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false); for (int k=0; k<rates.Length; k++) { VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000000.0, fixedSchedule, rates[k], new Thirty360(), floatSchedule, euribor, 0.0, new Actual360()); swap.setPricingEngine(new DiscountingSwapEngine(termStructure)); double expected = swap.NPV(); swap.setPricingEngine(engine); double calculated = swap.NPV(); double error = Math.Abs((expected-calculated)/expected); if (error > tolerance) { Assert.Fail("Failed to reproduce swap NPV:" //+ QL_FIXED << std::setprecision(9) + "\n calculated: " + calculated + "\n expected: " + expected //+ QL_SCIENTIFIC + "\n rel. error: " + error); } } } } }
public DiscountCurve(DateVector dates, DoubleVector discounts, DayCounter dayCounter, Calendar calendar, LogLinear i) : this(NQuantLibcPINVOKE.new_DiscountCurve__SWIG_0(DateVector.getCPtr(dates), DoubleVector.getCPtr(discounts), DayCounter.getCPtr(dayCounter), Calendar.getCPtr(calendar), LogLinear.getCPtr(i)), true) { if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve(); }
public LogLinearZeroCurve(DateVector dates, DoubleVector yields, DayCounter dayCounter, Calendar calendar, LogLinear i, Compounding compounding, Frequency frequency) : this(NQuantLibcPINVOKE.new_LogLinearZeroCurve__SWIG_0(DateVector.getCPtr(dates), DoubleVector.getCPtr(yields), DayCounter.getCPtr(dayCounter), Calendar.getCPtr(calendar), LogLinear.getCPtr(i), (int)compounding, (int)frequency), true) { if (NQuantLibcPINVOKE.SWIGPendingException.Pending) { throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve(); } }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(LogLinear obj) { return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr); }
public void testSwaps() { //BOOST_MESSAGE("Testing Hull-White swap pricing against known values..."); Date today; //=Settings::instance().evaluationDate();; Calendar calendar = new TARGET(); today = calendar.adjust(Date.Today); Settings.setEvaluationDate(today); Date settlement = calendar.advance(today, 2, TimeUnit.Days); Date[] dates = { settlement, calendar.advance(settlement, 1, TimeUnit.Weeks), calendar.advance(settlement, 1, TimeUnit.Months), calendar.advance(settlement, 3, TimeUnit.Months), calendar.advance(settlement, 6, TimeUnit.Months), calendar.advance(settlement, 9, TimeUnit.Months), calendar.advance(settlement, 1, TimeUnit.Years), calendar.advance(settlement, 2, TimeUnit.Years), calendar.advance(settlement, 3, TimeUnit.Years), calendar.advance(settlement, 5, TimeUnit.Years), calendar.advance(settlement, 10, TimeUnit.Years), calendar.advance(settlement, 15, TimeUnit.Years) }; double[] discounts = { 1.0, 0.999258, 0.996704, 0.990809, 0.981798, 0.972570, 0.963430, 0.929532, 0.889267, 0.803693, 0.596903, 0.433022 }; //for (int i = 0; i < dates.Length; i++) // dates[i] + dates.Length; LogLinear Interpolator = new LogLinear(); Handle <YieldTermStructure> termStructure = new Handle <YieldTermStructure>( new InterpolatedDiscountCurve <LogLinear>( dates.ToList <Date>(), discounts.ToList <double>(), new Actual365Fixed(), new Calendar(), null, null, Interpolator) ); HullWhite model = new HullWhite(termStructure); int[] start = { -3, 0, 3 }; int[] length = { 2, 5, 10 }; double[] rates = { 0.02, 0.04, 0.06 }; IborIndex euribor = new Euribor6M(termStructure); IPricingEngine engine = new TreeVanillaSwapEngine(model, 120, termStructure); #if QL_USE_INDEXED_COUPON double tolerance = 4.0e-3; #else double tolerance = 1.0e-8; #endif for (int i = 0; i < start.Length; i++) { Date startDate = calendar.advance(settlement, start[i], TimeUnit.Months); if (startDate < today) { Date fixingDate = calendar.advance(startDate, -2, TimeUnit.Days); TimeSeries <double?> pastFixings = new TimeSeries <double?>(); pastFixings[fixingDate] = 0.03; IndexManager.instance().setHistory(euribor.name(), pastFixings); } for (int j = 0; j < length.Length; j++) { Date maturity = calendar.advance(startDate, length[i], TimeUnit.Years); Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(Frequency.Annual), calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Forward, false); Schedule floatSchedule = new Schedule(startDate, maturity, new Period(Frequency.Semiannual), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false); for (int k = 0; k < rates.Length; k++) { VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000000.0, fixedSchedule, rates[k], new Thirty360(), floatSchedule, euribor, 0.0, new Actual360()); swap.setPricingEngine(new DiscountingSwapEngine(termStructure)); double expected = swap.NPV(); swap.setPricingEngine(engine); double calculated = swap.NPV(); double error = Math.Abs((expected - calculated) / expected); if (error > tolerance) { QAssert.Fail("Failed to reproduce swap NPV:" //+ QL_FIXED << std::setprecision(9) + "\n calculated: " + calculated + "\n expected: " + expected //+ QL_SCIENTIFIC + "\n rel. error: " + error); } } } } }
public DiscountCurve(DateVector dates, DoubleVector discounts, DayCounter dayCounter, Calendar calendar, LogLinear i) : this(NQuantLibcPINVOKE.new_DiscountCurve__SWIG_0(DateVector.getCPtr(dates), DoubleVector.getCPtr(discounts), DayCounter.getCPtr(dayCounter), Calendar.getCPtr(calendar), LogLinear.getCPtr(i)), true) { if (NQuantLibcPINVOKE.SWIGPendingException.Pending) { throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve(); } }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(LogLinear obj) { return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr; }