static void Main(string[] args)
{
DateTime startTime = DateTime.Now;
Date todaysDate = new Date(15, Month.February, 2002);
Calendar calendar = new TARGET();
Date settlementDate = new Date(19, Month.February, 2002);
Settings.instance().setEvaluationDate(todaysDate);
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
FlatForward myTermStructure = new FlatForward(
settlementDate,
new QuoteHandle(flatRate),
new Actual365Fixed());
RelinkableYieldTermStructureHandle rhTermStructure =
new RelinkableYieldTermStructureHandle();
rhTermStructure.linkTo(myTermStructure);
// Define the ATM/OTM/ITM swaps
Period fixedLegTenor = new Period(1, TimeUnit.Years);
BusinessDayConvention fixedLegConvention =
BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention =
BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter =
new Thirty360(Thirty360.Convention.European);
Period floatingLegTenor = new Period(6, TimeUnit.Months);
double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M(rhTermStructure);
Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years,
floatingLegConvention);
Date maturity = calendar.advance(startDate, 5, TimeUnit.Years,
floatingLegConvention);
Schedule fixedSchedule = new Schedule(startDate, maturity,
fixedLegTenor, calendar, fixedLegConvention, fixedLegConvention,
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, maturity,
floatingLegTenor, calendar, floatingLegConvention,
floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
DiscountingSwapEngine swapEngine =
new DiscountingSwapEngine(rhTermStructure);
swap.setPricingEngine(swapEngine);
double fixedATMRate = swap.fairRate();
double fixedOTMRate = fixedATMRate * 1.2;
double fixedITMRate = fixedATMRate * 0.8;
VanillaSwap atmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedATMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap otmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedOTMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap itmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedITMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
atmSwap.setPricingEngine(swapEngine);
otmSwap.setPricingEngine(swapEngine);
itmSwap.setPricingEngine(swapEngine);
// defining the swaptions to be used in model calibration
PeriodVector swaptionMaturities = new PeriodVector();
swaptionMaturities.Add(new Period(1, TimeUnit.Years));
swaptionMaturities.Add(new Period(2, TimeUnit.Years));
swaptionMaturities.Add(new Period(3, TimeUnit.Years));
swaptionMaturities.Add(new Period(4, TimeUnit.Years));
swaptionMaturities.Add(new Period(5, TimeUnit.Years));
CalibrationHelperVector swaptions = new CalibrationHelperVector();
// List of times that have to be included in the timegrid
DoubleVector times = new DoubleVector();
for (int i = 0; i < numRows; i++)
{
int j = numCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * numCols + j;
Quote vol = new SimpleQuote(swaptionVols[k]);
SwaptionHelper helper = new SwaptionHelper(
swaptionMaturities[i],
new Period(swapLengths[j], TimeUnit.Years),
new QuoteHandle(vol),
indexSixMonths,
indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure);
swaptions.Add(helper);
times.AddRange(helper.times());
}
// Building time-grid
TimeGrid grid = new TimeGrid(times, 30);
// defining the models
// G2 modelG2 = new G2(rhTermStructure));
HullWhite modelHW = new HullWhite(rhTermStructure);
HullWhite modelHW2 = new HullWhite(rhTermStructure);
BlackKarasinski modelBK = new BlackKarasinski(rhTermStructure);
// model calibrations
// Console.WriteLine( "G2 (analytic formulae) calibration" );
// for (int i=0; i<swaptions.Count; i++)
// NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
// new G2SwaptionEngine( modelG2, 6.0, 16 ) );
//
// calibrateModel( modelG2, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelG2.parameters()[0] );
// Console.WriteLine( "sigma = " + modelG2.parameters()[1] );
// Console.WriteLine( "b = " + modelG2.parameters()[2] );
// Console.WriteLine( "eta = " + modelG2.parameters()[3] );
// Console.WriteLine( "rho = " + modelG2.parameters()[4] );
Console.WriteLine("Hull-White (analytic formulae) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new JamshidianSwaptionEngine(modelHW));
}
calibrateModel(modelHW, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelHW.parameters()[0] );
// Console.WriteLine( "sigma = " + modelHW.parameters()[1] );
Console.WriteLine("Hull-White (numerical) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new TreeSwaptionEngine(modelHW2, grid));
}
calibrateModel(modelHW2, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelHW2->params()[0] << ", "
// << "sigma = " << modelHW2->params()[1]
// << std::endl << std::endl;
Console.WriteLine("Black-Karasinski (numerical) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new TreeSwaptionEngine(modelBK, grid));
}
calibrateModel(modelBK, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelBK->params()[0] << ", "
// << "sigma = " << modelBK->params()[1]
// << std::endl << std::endl;
// ATM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption struck at {0} (ATM)",
fixedATMRate);
DateVector bermudanDates = new DateVector();
Schedule schedule = new Schedule(startDate, maturity,
new Period(3, TimeUnit.Months), calendar,
BusinessDayConvention.Following,
BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
for (uint i = 0; i < schedule.size(); i++)
{
bermudanDates.Add(schedule.date(i));
}
Exercise bermudaExercise = new BermudanExercise(bermudanDates);
Swaption bermudanSwaption =
new Swaption(atmSwap, bermudaExercise);
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW, 50));
Console.WriteLine("HW: " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW2, 50));
Console.WriteLine("HW (num): " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelBK, 50));
Console.WriteLine("BK (num): " + bermudanSwaption.NPV());
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
static void Main(string[] args)
{
DateTime startTime = DateTime.Now;
Date todaysDate = new Date(15, Month.February, 2002);
Calendar calendar = new TARGET();
Date settlementDate = new Date(19, Month.February, 2002);
Settings.instance().setEvaluationDate( todaysDate );
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
FlatForward myTermStructure = new FlatForward(
settlementDate,
new QuoteHandle( flatRate ),
new Actual365Fixed() );
RelinkableYieldTermStructureHandle rhTermStructure =
new RelinkableYieldTermStructureHandle();
rhTermStructure.linkTo( myTermStructure );
// Define the ATM/OTM/ITM swaps
Period fixedLegTenor = new Period(1,TimeUnit.Years);
BusinessDayConvention fixedLegConvention =
BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention =
BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter =
new Thirty360( Thirty360.Convention.European );
Period floatingLegTenor = new Period(6,TimeUnit.Months);
double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M( rhTermStructure );
Date startDate = calendar.advance(settlementDate,1,TimeUnit.Years,
floatingLegConvention);
Date maturity = calendar.advance(startDate,5,TimeUnit.Years,
floatingLegConvention);
Schedule fixedSchedule = new Schedule(startDate,maturity,
fixedLegTenor,calendar,fixedLegConvention,fixedLegConvention,
DateGeneration.Rule.Forward,false);
Schedule floatSchedule = new Schedule(startDate,maturity,
floatingLegTenor,calendar,floatingLegConvention,
floatingLegConvention,DateGeneration.Rule.Forward,false);
VanillaSwap swap = new VanillaSwap(
VanillaSwap.Payer, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
DiscountingSwapEngine swapEngine =
new DiscountingSwapEngine(rhTermStructure);
swap.setPricingEngine(swapEngine);
double fixedATMRate = swap.fairRate();
double fixedOTMRate = fixedATMRate * 1.2;
double fixedITMRate = fixedATMRate * 0.8;
VanillaSwap atmSwap = new VanillaSwap(
VanillaSwap.Payer, 1000.0,
fixedSchedule, fixedATMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter() );
VanillaSwap otmSwap = new VanillaSwap(
VanillaSwap.Payer, 1000.0,
fixedSchedule, fixedOTMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap itmSwap = new VanillaSwap(
VanillaSwap.Payer, 1000.0,
fixedSchedule, fixedITMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
atmSwap.setPricingEngine(swapEngine);
otmSwap.setPricingEngine(swapEngine);
itmSwap.setPricingEngine(swapEngine);
// defining the swaptions to be used in model calibration
PeriodVector swaptionMaturities = new PeriodVector();
swaptionMaturities.Add( new Period(1, TimeUnit.Years) );
swaptionMaturities.Add( new Period(2, TimeUnit.Years) );
swaptionMaturities.Add( new Period(3, TimeUnit.Years) );
swaptionMaturities.Add( new Period(4, TimeUnit.Years) );
swaptionMaturities.Add( new Period(5, TimeUnit.Years) );
CalibrationHelperVector swaptions = new CalibrationHelperVector();
// List of times that have to be included in the timegrid
DoubleVector times = new DoubleVector();
for ( int i=0; i<numRows; i++) {
int j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i*numCols + j;
Quote vol = new SimpleQuote( swaptionVols[k] );
SwaptionHelper helper = new SwaptionHelper(
swaptionMaturities[i],
new Period(swapLenghts[j], TimeUnit.Years),
new QuoteHandle(vol),
indexSixMonths,
indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure );
swaptions.Add( helper );
times.AddRange( helper.times() );
}
// Building time-grid
TimeGrid grid = new TimeGrid( times, 30);
// defining the models
// G2 modelG2 = new G2(rhTermStructure));
HullWhite modelHW = new HullWhite( rhTermStructure );
HullWhite modelHW2 = new HullWhite( rhTermStructure );
BlackKarasinski modelBK = new BlackKarasinski( rhTermStructure );
// model calibrations
// Console.WriteLine( "G2 (analytic formulae) calibration" );
// for (int i=0; i<swaptions.Count; i++)
// swaptions[i].setPricingEngine( new G2SwaptionEngine( modelG2, 6.0, 16 ) );
//
// calibrateModel( modelG2, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelG2.parameters()[0] );
// Console.WriteLine( "sigma = " + modelG2.parameters()[1] );
// Console.WriteLine( "b = " + modelG2.parameters()[2] );
// Console.WriteLine( "eta = " + modelG2.parameters()[3] );
// Console.WriteLine( "rho = " + modelG2.parameters()[4] );
Console.WriteLine( "Hull-White (analytic formulae) calibration" );
for (int i=0; i<swaptions.Count; i++)
swaptions[i].setPricingEngine(
new JamshidianSwaptionEngine(modelHW));
calibrateModel( modelHW, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelHW.parameters()[0] );
// Console.WriteLine( "sigma = " + modelHW.parameters()[1] );
Console.WriteLine( "Hull-White (numerical) calibration" );
for (int i=0; i<swaptions.Count; i++)
swaptions[i].setPricingEngine(
new TreeSwaptionEngine(modelHW2,grid));
calibrateModel(modelHW2, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelHW2->params()[0] << ", "
// << "sigma = " << modelHW2->params()[1]
// << std::endl << std::endl;
Console.WriteLine( "Black-Karasinski (numerical) calibration" );
for (int i=0; i<swaptions.Count; i++)
swaptions[i].setPricingEngine(
new TreeSwaptionEngine(modelBK,grid));
calibrateModel(modelBK, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelBK->params()[0] << ", "
// << "sigma = " << modelBK->params()[1]
// << std::endl << std::endl;
// ATM Bermudan swaption pricing
Console.WriteLine( "Payer bermudan swaption struck at {0} (ATM)",
fixedATMRate );
DateVector bermudanDates = new DateVector();
Schedule schedule = new Schedule(startDate,maturity,
new Period(3,TimeUnit.Months),calendar,
BusinessDayConvention.Following,
BusinessDayConvention.Following,
DateGeneration.Rule.Forward,false);
for (uint i=0; i<schedule.size(); i++)
bermudanDates.Add( schedule.date( i ) );
Exercise bermudaExercise = new BermudanExercise( bermudanDates );
Swaption bermudanSwaption =
new Swaption( atmSwap, bermudaExercise);
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW, 50));
Console.WriteLine( "HW: " + bermudanSwaption.NPV() );
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW2, 50));
Console.WriteLine( "HW (num): " + bermudanSwaption.NPV() );
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelBK, 50));
Console.WriteLine( "BK (num): " + bermudanSwaption.NPV() );
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
