public void testFairSpread()
{
// Testing Eonia-swap calculation of fair floating spread...
CommonVars vars = new CommonVars();
Period[] lengths = { new Period(1, TimeUnit.Years),
new Period(2, TimeUnit.Years),
new Period(5, TimeUnit.Years),
new Period(10, TimeUnit.Years),
new Period(20, TimeUnit.Years) };
double[] rates = { 0.04, 0.05, 0.06, 0.07 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < rates.Length; j++)
{
OvernightIndexedSwap swap = vars.makeSwap(lengths[i], rates[j], 0.0);
double?fairSpread = swap.fairSpread();
swap = vars.makeSwap(lengths[i], rates[j], fairSpread.Value);
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
QAssert.Fail("Recalculating with implied spread:" +
"\n length: " + lengths[i] +
"\n fixed rate: " + rates[j] +
"\nfair spread: " + fairSpread +
"\n swap value: " + swap.NPV());
}
}
}
}
public void testFairRate()
{
// Testing Eonia-swap calculation of fair fixed rate...
CommonVars vars = new CommonVars();
Period[] lengths = new Period[] { new Period(1, TimeUnit.Years), new Period(2, TimeUnit.Years), new Period(5, TimeUnit.Years), new Period(10, TimeUnit.Years), new Period(20, TimeUnit.Years) };
double[] spreads = { -0.001, -0.01, 0.0, 0.01, 0.001 };
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < spreads.Length; j++)
{
OvernightIndexedSwap swap = vars.makeSwap(lengths[i], 0.0, spreads[j]);
swap = vars.makeSwap(lengths[i], swap.fairRate().Value, spreads[j]);
if (Math.Abs(swap.NPV()) > 1.0e-10)
{
QAssert.Fail("recalculating with implied rate:\n"
+ " length: " + lengths[i] + " \n"
+ " floating spread: "
+ (spreads[j]) + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
public void testCachedValue()
{
// Testing Eonia-swap calculation against cached value...
CommonVars vars = new CommonVars();
Settings.setEvaluationDate(vars.today);
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
double flat = 0.05;
vars.eoniaTermStructure.linkTo(Utilities.flatRate(vars.settlement, flat, new Actual360()));
double fixedRate = Math.Exp(flat) - 1;
OvernightIndexedSwap swap = vars.makeSwap(new Period(1, TimeUnit.Years), fixedRate, 0.0);
double cachedNPV = 0.001730450147;
double tolerance = 1.0e-11;
if (Math.Abs(swap.NPV() - cachedNPV) > tolerance)
{
QAssert.Fail("\nfailed to reproduce cached swap value:" +
"\ncalculated: " + swap.NPV() +
"\n expected: " + cachedNPV +
"\n tolerance:" + tolerance);
}
}