public void zciisconsistency()
{
CommonVars common = new CommonVars();
ZeroCouponInflationSwap.Type ztype = ZeroCouponInflationSwap.Type.Payer;
double nominal = 1000000.0;
Date startDate = new Date(common.evaluationDate);
Date endDate = new Date(25, Month.November, 2059);
Calendar cal = new UnitedKingdom();
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter dummyDC = null, dc = new ActualActual();
Period observationLag = new Period(2, TimeUnit.Months);
double quote = 0.03714;
ZeroCouponInflationSwap zciis = new ZeroCouponInflationSwap(ztype, nominal, startDate, endDate, cal,
paymentConvention, dc, quote, common.ii, observationLag);
// simple structure so simple pricing engine - most work done by index
DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
zciis.setPricingEngine(dse);
QAssert.IsTrue(Math.Abs(zciis.NPV()) < 1e-3, "zciis does not reprice to zero");
List <Date> oneDate = new List <Date>();
oneDate.Add(endDate);
Schedule schOneDate = new Schedule(oneDate, cal, paymentConvention);
CPISwap.Type stype = CPISwap.Type.Payer;
double inflationNominal = nominal;
double floatNominal = inflationNominal * Math.Pow(1.0 + quote, 50);
bool subtractInflationNominal = true;
double dummySpread = 0.0, dummyFixedRate = 0.0;
int fixingDays = 0;
Date baseDate = startDate - observationLag;
double baseCPI = common.ii.fixing(baseDate);
IborIndex dummyFloatIndex = new IborIndex();
CPISwap cS = new CPISwap(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
paymentConvention, fixingDays, dummyFloatIndex,
dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
common.ii, InterpolationType.AsIndex, inflationNominal);
cS.setPricingEngine(dse);
QAssert.IsTrue(Math.Abs(cS.NPV()) < 1e-3, "CPISwap as ZCIIS does not reprice to zero");
for (int i = 0; i < 2; i++)
{
double cs = cS.legNPV(i).GetValueOrDefault();
double z = zciis.legNPV(i).GetValueOrDefault();
QAssert.IsTrue(Math.Abs(cs - z) < 1e-3, "zciis leg does not equal CPISwap leg");
}
// remove circular refernce
common.hcpi.linkTo(null);
}
public void testFixing()
{
Date tradeDate = new Date(17, Month.April, 2015);
Calendar calendar = new UnitedKingdom();
Date settlementDate = calendar.advance(tradeDate, 2, TimeUnit.Days, BusinessDayConvention.Following);
Date maturityDate = calendar.advance(settlementDate, 5, TimeUnit.Years, BusinessDayConvention.Following);
Date valueDate = new Date(20, Month.April, 2015);
Settings.setEvaluationDate(valueDate);
List <Date> dates = new List <Date>();
dates.Add(valueDate);
dates.Add(valueDate + new Period(1, TimeUnit.Years));
dates.Add(valueDate + new Period(2, TimeUnit.Years));
dates.Add(valueDate + new Period(5, TimeUnit.Years));
dates.Add(valueDate + new Period(10, TimeUnit.Years));
dates.Add(valueDate + new Period(20, TimeUnit.Years));
List <double> rates = new List <double>();
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
rates.Add(0.01);
var discountCurveHandle = new RelinkableHandle <YieldTermStructure>();
var forecastCurveHandle = new RelinkableHandle <YieldTermStructure>();
GBPLibor index = new GBPLibor(new Period(6, TimeUnit.Months), forecastCurveHandle);
InterpolatedZeroCurve <Linear> zeroCurve = new InterpolatedZeroCurve <Linear>(dates, rates, new Actual360(), new Linear());
var fixedSchedule = new Schedule(settlementDate, maturityDate, new Period(1, TimeUnit.Years), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false);
var floatSchedule = new Schedule(settlementDate, maturityDate, index.tenor(), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000000, fixedSchedule, 0.01, new Actual360(), floatSchedule, index, 0, new Actual360());
discountCurveHandle.linkTo(zeroCurve);
forecastCurveHandle.linkTo(zeroCurve);
var swapEngine = new DiscountingSwapEngine(discountCurveHandle, false, null);
swap.setPricingEngine(swapEngine);
try
{
double npv = swap.NPV();
}
catch (Exception ex)
{
Assert.Fail(ex.Message);
Console.WriteLine(ex);
}
}
static void testStaticField()
{
var uk = new UnitedKingdom();
//uk.Capitol //--ERROR
System.Console.WriteLine(UnitedKingdom.Capitol);
System.Console.WriteLine(UnitedKingdom.Population);
UnitedKingdom.Population = 60000000;
System.Console.WriteLine(UnitedKingdom.Population);
//NB. mutable static fields are essentially global variables
}
static void Main(string[] args)
{
ICountry france = new France();
Console.WriteLine(france.getHelloMessage());
ICountry unitedKingdom = new UnitedKingdom();
Console.WriteLine(unitedKingdom.getHelloMessage());
ICountry unitedStatesOfAmerica = new UnitedStatesOfAmerica();
Console.WriteLine(unitedStatesOfAmerica.getHelloMessage());
ICountry indonesia = new Indonesia();
Console.WriteLine(indonesia.getHelloMessage());
Console.ReadLine();
}
public void cpicapfloorpricer()
{
CommonVars common = new CommonVars();
double nominal = 1.0;
CPICapFloorTermPriceSurface cpiCFpriceSurf = new InterpolatedCPICapFloorTermPriceSurface
<Bilinear>(nominal,
common.baseZeroRate,
common.observationLag,
common.calendar,
common.convention,
common.dcZCIIS,
common.hii,
common.nominalUK,
common.cStrikesUK,
common.fStrikesUK,
common.cfMaturitiesUK,
common.cPriceUK,
common.fPriceUK);
common.cpiCFsurfUK = cpiCFpriceSurf;
// interpolation pricer first
// N.B. no new instrument required but we do need a new pricer
Date startDate = Settings.evaluationDate();
Date maturity = (startDate + new Period(3, TimeUnit.Years));
Calendar fixCalendar = new UnitedKingdom(), payCalendar = new UnitedKingdom();
BusinessDayConvention fixConvention = BusinessDayConvention.Unadjusted,
payConvention = BusinessDayConvention.ModifiedFollowing;
double strike = 0.03;
double baseCPI = common.hii.link.fixing(fixCalendar.adjust(startDate - common.observationLag, fixConvention));
InterpolationType observationInterpolation = InterpolationType.AsIndex;
CPICapFloor aCap = new CPICapFloor(Option.Type.Call,
nominal,
startDate, // start date of contract (only)
baseCPI,
maturity, // this is pre-adjustment!
fixCalendar,
fixConvention,
payCalendar,
payConvention,
strike,
common.hii,
common.observationLag,
observationInterpolation);
Handle <CPICapFloorTermPriceSurface> cpiCFsurfUKh = new Handle <CPICapFloorTermPriceSurface>(common.cpiCFsurfUK);
IPricingEngine engine = new InterpolatingCPICapFloorEngine(cpiCFsurfUKh);
aCap.setPricingEngine(engine);
Date d = common.cpiCFsurfUK.cpiOptionDateFromTenor(new Period(3, TimeUnit.Years));
double cached = cpiCFsurfUKh.link.capPrice(d, strike);
QAssert.IsTrue(Math.Abs(cached - aCap.NPV()) < 1e-10, "InterpolatingCPICapFloorEngine does not reproduce cached price: "
+ cached + " vs " + aCap.NPV());
// remove circular refernce
common.hcpi.linkTo(null);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(UnitedKingdom obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void testZeroIndex()
{
// Testing zero inflation indices...
EUHICP euhicp = new EUHICP(true);
if (euhicp.name() != "EU HICP" ||
euhicp.frequency() != Frequency.Monthly ||
euhicp.revised() ||
!euhicp.interpolated() ||
euhicp.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong EU HICP data ("
+ euhicp.name() + ", "
+ euhicp.frequency() + ", "
+ euhicp.revised() + ", "
+ euhicp.interpolated() + ", "
+ euhicp.availabilityLag() + ")");
}
UKRPI ukrpi = new UKRPI(false);
if (ukrpi.name() != "UK RPI" ||
ukrpi.frequency() != Frequency.Monthly ||
ukrpi.revised() ||
ukrpi.interpolated() ||
ukrpi.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong UK RPI data ("
+ ukrpi.name() + ", "
+ ukrpi.frequency() + ", "
+ ukrpi.revised() + ", "
+ ukrpi.interpolated() + ", "
+ ukrpi.availabilityLag() + ")");
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = new UnitedKingdom().adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// fixing data
Date from = new Date(1, Month.January, 2005);
Date to = new Date(13, Month.August, 2007);
Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing)
.value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, 206.1, -999.0 };
bool interp = false;
UKRPI iir = new UKRPI(interp);
for (int i = 0; i < rpiSchedule.Count - 1; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
}
Date todayMinusLag = evaluationDate - iir.availabilityLag();
KeyValuePair <Date, Date> lim1 = Utils.inflationPeriod(todayMinusLag, iir.frequency());
todayMinusLag = lim1.Key;
double eps = 1.0e-8;
// -1 because last value not yet available,
// (no TS so can't forecast).
for (int i = 0; i < rpiSchedule.Count - 1; i++)
{
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(rpiSchedule[i],
iir.frequency());
for (Date d = lim.Key; d <= lim.Value; d++)
{
if (d < Utils.inflationPeriod(todayMinusLag, iir.frequency()).Key)
{
if (Math.Abs(iir.fixing(d) - fixData[i]) > eps)
{
Assert.Fail("Fixings not constant within a period: "
+ iir.fixing(d)
+ ", should be " + fixData[i]);
}
}
}
}
}
public void cpibondconsistency()
{
CommonVars common = new CommonVars();
// ZeroInflationSwap aka CPISwap
CPISwap.Type type = CPISwap.Type.Payer;
double nominal = 1000000.0;
bool subtractInflationNominal = true;
// float+spread leg
double spread = 0.0;
DayCounter floatDayCount = new Actual365Fixed();
BusinessDayConvention floatPaymentConvention = BusinessDayConvention.ModifiedFollowing;
int fixingDays = 0;
IborIndex floatIndex = new GBPLibor(new Period(6, TimeUnit.Months), common.nominalUK);
// fixed x inflation leg
double fixedRate = 0.1; //1% would be 0.01
double baseCPI = 206.1; // would be 206.13871 if we were interpolating
DayCounter fixedDayCount = new Actual365Fixed();
BusinessDayConvention fixedPaymentConvention = BusinessDayConvention.ModifiedFollowing;
Calendar fixedPaymentCalendar = new UnitedKingdom();
ZeroInflationIndex fixedIndex = common.ii;
Period contractObservationLag = common.contractObservationLag;
InterpolationType observationInterpolation = common.contractObservationInterpolation;
// set the schedules
Date startDate = new Date(2, Month.October, 2007);
Date endDate = new Date(2, Month.October, 2052);
Schedule floatSchedule = new MakeSchedule().from(startDate).to(endDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(floatPaymentConvention)
.backwards().value();
Schedule fixedSchedule = new MakeSchedule().from(startDate).to(endDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().value();
CPISwap zisV = new CPISwap(type, nominal, subtractInflationNominal,
spread, floatDayCount, floatSchedule,
floatPaymentConvention, fixingDays, floatIndex,
fixedRate, baseCPI, fixedDayCount, fixedSchedule,
fixedPaymentConvention, contractObservationLag,
fixedIndex, observationInterpolation);
double[] floatFix = { 0.06255, 0.05975, 0.0637, 0.018425, 0.0073438, -1, -1 };
double[] cpiFix = { 211.4, 217.2, 211.4, 213.4, -2, -2 };
for (int i = 0; i < floatSchedule.Count; i++)
{
if (floatSchedule[i] < common.evaluationDate)
{
floatIndex.addFixing(floatSchedule[i], floatFix[i], true);//true=overwrite
}
CPICoupon zic = zisV.cpiLeg()[i] as CPICoupon;
if (zic != null)
{
if (zic.fixingDate() < (common.evaluationDate - new Period(1, TimeUnit.Months)))
{
fixedIndex.addFixing(zic.fixingDate(), cpiFix[i], true);
}
}
}
// simple structure so simple pricing engine - most work done by index
DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
zisV.setPricingEngine(dse);
// now do the bond equivalent
List <double> fixedRates = new InitializedList <double>(1, fixedRate);
int settlementDays = 1;// cannot be zero!
bool growthOnly = true;
CPIBond cpiB = new CPIBond(settlementDays, nominal, growthOnly,
baseCPI, contractObservationLag, fixedIndex,
observationInterpolation, fixedSchedule,
fixedRates, fixedDayCount, fixedPaymentConvention);
DiscountingBondEngine dbe = new DiscountingBondEngine(common.nominalUK);
cpiB.setPricingEngine(dbe);
QAssert.IsTrue(Math.Abs(cpiB.NPV() - zisV.legNPV(0).GetValueOrDefault()) < 1e-5,
"cpi bond does not equal equivalent cpi swap leg");
// remove circular refernce
common.hcpi.linkTo(null);
}
public void testYYTermStructure()
{
// Testing year-on-year inflation term structure...
SavedSettings backup = new SavedSettings();
//IndexHistoryCleaner cleaner;
// try the YY UK
Calendar calendar = new UnitedKingdom();
BusinessDayConvention bdc = BusinessDayConvention.ModifiedFollowing;
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = calendar.adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// fixing data
Date from = new Date(1, Month.January, 2005);
Date to = new Date(13, Month.August, 2007);
Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing).value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3 };
RelinkableHandle <YoYInflationTermStructure> hy = new RelinkableHandle <YoYInflationTermStructure>();
bool interp = false;
YYUKRPIr iir = new YYUKRPIr(interp, hy);
for (int i = 0; i < fixData.Length; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
}
YieldTermStructure nominalTS = nominalTermStructure();
// now build the YoY inflation curve
Datum[] yyData =
{
new Datum(new Date(13, Month.August, 2008), 2.95),
new Datum(new Date(13, Month.August, 2009), 2.95),
new Datum(new Date(13, Month.August, 2010), 2.93),
new Datum(new Date(15, Month.August, 2011), 2.955),
new Datum(new Date(13, Month.August, 2012), 2.945),
new Datum(new Date(13, Month.August, 2013), 2.985),
new Datum(new Date(13, Month.August, 2014), 3.01),
new Datum(new Date(13, Month.August, 2015), 3.035),
new Datum(new Date(13, Month.August, 2016), 3.055), // note that
new Datum(new Date(13, Month.August, 2017), 3.075), // some dates will be on
new Datum(new Date(13, Month.August, 2019), 3.105), // holidays but the payment
new Datum(new Date(15, Month.August, 2022), 3.135), // calendar will roll them
new Datum(new Date(13, Month.August, 2027), 3.155),
new Datum(new Date(13, Month.August, 2032), 3.145),
new Datum(new Date(13, Month.August, 2037), 3.145)
};
Period observationLag = new Period(2, TimeUnit.Months);
DayCounter dc = new Thirty360();
// now build the helpers ...
List <BootstrapHelper <YoYInflationTermStructure> > helpers =
makeHelpers(yyData, yyData.Length, iir, observationLag, calendar, bdc, dc);
double baseYYRate = yyData[0].rate / 100.0;
PiecewiseYoYInflationCurve <Linear> pYYTS = new PiecewiseYoYInflationCurve <Linear>(
evaluationDate, calendar, dc, observationLag,
iir.frequency(), iir.interpolated(), baseYYRate,
new Handle <YieldTermStructure>(nominalTS), helpers);
pYYTS.recalculate();
// validation
// yoy swaps should reprice to zero
// yy rates should not equal yySwap rates
double eps = 0.000001;
// usual swap engine
Handle <YieldTermStructure> hTS = new Handle <YieldTermStructure>(nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
// make sure that the index has the latest yoy term structure
hy.linkTo(pYYTS);
for (int j = 1; j < yyData.Length; j++)
{
from = nominalTS.referenceDate();
to = yyData[j].date;
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withConvention(BusinessDayConvention.Unadjusted) // fixed leg gets calendar from
.withCalendar(calendar) // schedule
.withTenor(new Period(1, TimeUnit.Years)).value(); // .back
YearOnYearInflationSwap yyS2 = new YearOnYearInflationSwap(
YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule, //fixed schedule, but same as yoy
yyData[j].rate / 100.0,
dc,
yoySchedule,
iir,
observationLag,
0.0, //spread on index
dc,
new UnitedKingdom());
yyS2.setPricingEngine(sppe);
Assert.IsTrue(Math.Abs(yyS2.NPV()) < eps, "fresh yoy swap NPV!=0 from TS "
+ "swap quote for pt " + j
+ ", is " + yyData[j].rate / 100.0
+ " vs YoY rate " + pYYTS.yoyRate(yyData[j].date - observationLag)
+ " at quote date " + (yyData[j].date - observationLag)
+ ", NPV of a fresh yoy swap is " + yyS2.NPV()
+ "\n fair rate " + yyS2.fairRate()
+ " payment " + yyS2.paymentConvention());
}
int jj = 3;
for (int k = 0; k < 14; k++)
{
from = nominalTS.referenceDate() - new Period(k, TimeUnit.Months);
to = yyData[jj].date - new Period(k, TimeUnit.Months);
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withConvention(BusinessDayConvention.Unadjusted) // fixed leg gets calendar from
.withCalendar(calendar) // schedule
.withTenor(new Period(1, TimeUnit.Years))
.value(); //backwards()
YearOnYearInflationSwap yyS3 = new YearOnYearInflationSwap(
YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule, //fixed schedule, but same as yoy
yyData[jj].rate / 100.0,
dc,
yoySchedule,
iir,
observationLag,
0.0, //spread on index
dc,
new UnitedKingdom());
yyS3.setPricingEngine(sppe);
Assert.IsTrue(Math.Abs(yyS3.NPV()) < 20000.0,
"unexpected size of aged YoY swap, aged "
+ k + " months: YY aged NPV = " + yyS3.NPV()
+ ", legs " + yyS3.legNPV(0) + " and " + yyS3.legNPV(1)
);
}
// remove circular refernce
hy.linkTo(new YoYInflationTermStructure());
}
public void consistency()
{
// check inflation leg vs calculation directly from inflation TS
CommonVars common = new CommonVars();
// ZeroInflationSwap aka CPISwap
CPISwap.Type type = CPISwap.Type.Payer;
double nominal = 1000000.0;
bool subtractInflationNominal = true;
// float+spread leg
double spread = 0.0;
DayCounter floatDayCount = new Actual365Fixed();
BusinessDayConvention floatPaymentConvention = BusinessDayConvention.ModifiedFollowing;
int fixingDays = 0;
IborIndex floatIndex = new GBPLibor(new Period(6, TimeUnit.Months), common.nominalUK);
// fixed x inflation leg
double fixedRate = 0.1; //1% would be 0.01
double baseCPI = 206.1; // would be 206.13871 if we were interpolating
DayCounter fixedDayCount = new Actual365Fixed();
BusinessDayConvention fixedPaymentConvention = BusinessDayConvention.ModifiedFollowing;
Calendar fixedPaymentCalendar = new UnitedKingdom();
ZeroInflationIndex fixedIndex = common.ii;
Period contractObservationLag = common.contractObservationLag;
InterpolationType observationInterpolation = common.contractObservationInterpolation;
// set the schedules
Date startDate = new Date(2, Month.October, 2007);
Date endDate = new Date(2, Month.October, 2052);
Schedule floatSchedule = new MakeSchedule().from(startDate).to(endDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(floatPaymentConvention)
.backwards().value();
Schedule fixedSchedule = new MakeSchedule().from(startDate).to(endDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().value();
CPISwap zisV = new CPISwap(type, nominal, subtractInflationNominal,
spread, floatDayCount, floatSchedule,
floatPaymentConvention, fixingDays, floatIndex,
fixedRate, baseCPI, fixedDayCount, fixedSchedule,
fixedPaymentConvention, contractObservationLag,
fixedIndex, observationInterpolation);
Date asofDate = Settings.evaluationDate();
double[] floatFix = { 0.06255, 0.05975, 0.0637, 0.018425, 0.0073438, -1, -1 };
double[] cpiFix = { 211.4, 217.2, 211.4, 213.4, -2, -2 };
for (int i = 0; i < floatSchedule.Count; i++)
{
if (floatSchedule[i] < common.evaluationDate)
{
floatIndex.addFixing(floatSchedule[i], floatFix[i], true);//true=overwrite
}
CPICoupon zic = zisV.cpiLeg()[i] as CPICoupon;
if (zic != null)
{
if (zic.fixingDate() < (common.evaluationDate - new Period(1, TimeUnit.Months)))
{
fixedIndex.addFixing(zic.fixingDate(), cpiFix[i], true);
}
}
}
// simple structure so simple pricing engine - most work done by index
DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
zisV.setPricingEngine(dse);
// get float+spread & fixed*inflation leg prices separately
double testInfLegNPV = 0.0;
double diff;
for (int i = 0; i < zisV.leg(0).Count; i++)
{
Date zicPayDate = (zisV.leg(0))[i].date();
if (zicPayDate > asofDate)
{
testInfLegNPV += (zisV.leg(0))[i].amount() * common.nominalUK.link.discount(zicPayDate);
}
CPICoupon zicV = zisV.cpiLeg()[i] as CPICoupon;
if (zicV != null)
{
diff = Math.Abs(zicV.rate() - (fixedRate * (zicV.indexFixing() / baseCPI)));
QAssert.IsTrue(diff < 1e-8, "failed " + i + "th coupon reconstruction as "
+ (fixedRate * (zicV.indexFixing() / baseCPI)) + " vs rate = "
+ zicV.rate() + ", with difference: " + diff);
}
}
double error = Math.Abs(testInfLegNPV - zisV.legNPV(0).Value);
QAssert.IsTrue(error < 1e-5, "failed manual inf leg NPV calc vs pricing engine: " + testInfLegNPV + " vs " +
zisV.legNPV(0));
diff = Math.Abs(1 - zisV.NPV() / 4191660.0);
#if QL_USE_INDEXED_COUPON
double max_diff = 1e-5;
#else
double max_diff = 3e-5;
#endif
QAssert.IsTrue(diff < max_diff, "failed stored consistency value test, ratio = " + diff);
// remove circular refernce
common.hcpi.linkTo(null);
}
public void testYYIndex()
{
// Testing year-on-year inflation indices
SavedSettings backup = new SavedSettings();
//IndexHistoryCleaner cleaner = new IndexHistoryCleaner();
YYEUHICP yyeuhicp = new YYEUHICP(true);
if (yyeuhicp.name() != "EU YY_HICP" ||
yyeuhicp.frequency() != Frequency.Monthly ||
yyeuhicp.revised() ||
!yyeuhicp.interpolated() ||
yyeuhicp.ratio() ||
yyeuhicp.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year EU HICP data ("
+ yyeuhicp.name() + ", "
+ yyeuhicp.frequency() + ", "
+ yyeuhicp.revised() + ", "
+ yyeuhicp.interpolated() + ", "
+ yyeuhicp.ratio() + ", "
+ yyeuhicp.availabilityLag() + ")");
}
YYEUHICPr yyeuhicpr = new YYEUHICPr(true);
if (yyeuhicpr.name() != "EU YYR_HICP" ||
yyeuhicpr.frequency() != Frequency.Monthly ||
yyeuhicpr.revised() ||
!yyeuhicpr.interpolated() ||
!yyeuhicpr.ratio() ||
yyeuhicpr.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year EU HICPr data ("
+ yyeuhicpr.name() + ", "
+ yyeuhicpr.frequency() + ", "
+ yyeuhicpr.revised() + ", "
+ yyeuhicpr.interpolated() + ", "
+ yyeuhicpr.ratio() + ", "
+ yyeuhicpr.availabilityLag() + ")");
}
YYUKRPI yyukrpi = new YYUKRPI(false);
if (yyukrpi.name() != "UK YY_RPI" ||
yyukrpi.frequency() != Frequency.Monthly ||
yyukrpi.revised() ||
yyukrpi.interpolated() ||
yyukrpi.ratio() ||
yyukrpi.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year UK RPI data ("
+ yyukrpi.name() + ", "
+ yyukrpi.frequency() + ", "
+ yyukrpi.revised() + ", "
+ yyukrpi.interpolated() + ", "
+ yyukrpi.ratio() + ", "
+ yyukrpi.availabilityLag() + ")");
}
YYUKRPIr yyukrpir = new YYUKRPIr(false);
if (yyukrpir.name() != "UK YYR_RPI" ||
yyukrpir.frequency() != Frequency.Monthly ||
yyukrpir.revised() ||
yyukrpir.interpolated() ||
!yyukrpir.ratio() ||
yyukrpir.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year UK RPIr data ("
+ yyukrpir.name() + ", "
+ yyukrpir.frequency() + ", "
+ yyukrpir.revised() + ", "
+ yyukrpir.interpolated() + ", "
+ yyukrpir.ratio() + ", "
+ yyukrpir.availabilityLag() + ")");
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = new UnitedKingdom().adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// fixing data
Date from = new Date(1, Month.January, 2005);
Date to = new Date(13, Month.August, 2007);
Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing).value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3 };
bool interp = false;
YYUKRPIr iir = new YYUKRPIr(interp);
YYUKRPIr iirYES = new YYUKRPIr(true);
for (int i = 0; i < fixData.Length; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
iirYES.addFixing(rpiSchedule[i], fixData[i]);
}
Date todayMinusLag = evaluationDate - iir.availabilityLag();
KeyValuePair <Date, Date> lim0 = Utils.inflationPeriod(todayMinusLag, iir.frequency());
todayMinusLag = lim0.Value + 1 - 2 * new Period(iir.frequency());
double eps = 1.0e-8;
// Interpolation tests
//--------------------
// (no TS so can't forecast).
for (int i = 13; i < rpiSchedule.Count; i++)
{
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(rpiSchedule[i], iir.frequency());
KeyValuePair <Date, Date> limBef = Utils.inflationPeriod(rpiSchedule[i - 12], iir.frequency());
for (Date d = lim.Key; d <= lim.Value; d++)
{
if (d < todayMinusLag)
{
double expected = fixData[i] / fixData[i - 12] - 1.0;
double calculated = iir.fixing(d);
Assert.IsTrue(Math.Abs(calculated - expected) < eps,
"Non-interpolated fixings not constant within a period: "
+ calculated
+ ", should be "
+ expected);
double dp = lim.Value + 1 - lim.Key;
double dpBef = limBef.Value + 1 - limBef.Key;
double dl = d - lim.Key;
// potentially does not work on 29th Feb
double dlBef = new NullCalendar().advance(d, -new Period(1, TimeUnit.Years),
BusinessDayConvention.ModifiedFollowing) - limBef.Key;
double linearNow = fixData[i] + (fixData[i + 1] - fixData[i]) * dl / dp;
double linearBef = fixData[i - 12] + (fixData[i + 1 - 12] - fixData[i - 12]) * dlBef / dpBef;
double expectedYES = linearNow / linearBef - 1.0;
double calculatedYES = iirYES.fixing(d);
Assert.IsTrue(Math.Abs(expectedYES - calculatedYES) < eps,
"Error in interpolated fixings: expect " + expectedYES
+ " see " + calculatedYES
+ " flat " + calculated
+ ", data: " + fixData[i - 12] + ", " + fixData[i + 1 - 12]
+ ", " + fixData[i] + ", " + fixData[i + 1]
+ ", fac: " + dp + ", " + dl
+ ", " + dpBef + ", " + dlBef
+ ", to: " + linearNow + ", " + linearBef
);
}
}
}
}
public void testZeroTermStructure()
{
// Testing zero inflation term structure...
SavedSettings backup = new SavedSettings();
// try the Zero UK
Calendar calendar = new UnitedKingdom();
BusinessDayConvention bdc = BusinessDayConvention.ModifiedFollowing;
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = calendar.adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// fixing data
Date from = new Date(1, Month.January, 2005);
Date to = new Date(13, Month.August, 2007);
Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing)
.value();
double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, 206.1, -999.0 };
RelinkableHandle <ZeroInflationTermStructure> hz = new RelinkableHandle <ZeroInflationTermStructure>();
bool interp = false;
UKRPI iiUKRPI = new UKRPI(interp, hz);
for (int i = 0; i < rpiSchedule.Count; i++)
{
iiUKRPI.addFixing(rpiSchedule[i], fixData[i]);
}
ZeroInflationIndex ii = iiUKRPI as ZeroInflationIndex;
YieldTermStructure nominalTS = nominalTermStructure();
// now build the zero inflation curve
Datum[] zcData =
{
new Datum(new Date(13, Month.August, 2008), 2.93),
new Datum(new Date(13, Month.August, 2009), 2.95),
new Datum(new Date(13, Month.August, 2010), 2.965),
new Datum(new Date(15, Month.August, 2011), 2.98),
new Datum(new Date(13, Month.August, 2012), 3.0),
new Datum(new Date(13, Month.August, 2014), 3.06),
new Datum(new Date(13, Month.August, 2017), 3.175),
new Datum(new Date(13, Month.August, 2019), 3.243),
new Datum(new Date(15, Month.August, 2022), 3.293),
new Datum(new Date(14, Month.August, 2027), 3.338),
new Datum(new Date(13, Month.August, 2032), 3.348),
new Datum(new Date(15, Month.August, 2037), 3.348),
new Datum(new Date(13, Month.August, 2047), 3.308),
new Datum(new Date(13, Month.August, 2057), 3.228)
};
Period observationLag = new Period(2, TimeUnit.Months);
DayCounter dc = new Thirty360();
Frequency frequency = Frequency.Monthly;
List <BootstrapHelper <ZeroInflationTermStructure> > helpers =
makeHelpers(zcData, zcData.Length, ii,
observationLag,
calendar, bdc, dc);
double baseZeroRate = zcData[0].rate / 100.0;
PiecewiseZeroInflationCurve <Linear> pZITS = new PiecewiseZeroInflationCurve <Linear>(
evaluationDate, calendar, dc, observationLag,
frequency, ii.interpolated(), baseZeroRate,
new Handle <YieldTermStructure>(nominalTS), helpers);
pZITS.recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
const double eps = 0.00000001;
bool forceLinearInterpolation = false;
for (int i = 0; i < zcData.Length; i++)
{
Assert.IsTrue(Math.Abs(zcData[i].rate / 100.0
- pZITS.zeroRate(zcData[i].date, observationLag, forceLinearInterpolation)) < eps,
"ZITS zeroRate != instrument "
+ pZITS.zeroRate(zcData[i].date, observationLag, forceLinearInterpolation)
+ " vs " + zcData[i].rate / 100.0
+ " interpolation: " + ii.interpolated()
+ " forceLinearInterpolation " + forceLinearInterpolation);
Assert.IsTrue(Math.Abs(helpers[i].impliedQuote()
- zcData[i].rate / 100.0) < eps,
"ZITS implied quote != instrument "
+ helpers[i].impliedQuote()
+ " vs " + zcData[i].rate / 100.0);
}
// now test the forecasting capability of the index.
hz.linkTo(pZITS);
from = hz.link.baseDate();
to = hz.link.maxDate() - new Period(1, TimeUnit.Months); // a bit of margin for adjustments
Schedule testIndex = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing).value();
// we are testing UKRPI which is not interpolated
Date bd = hz.link.baseDate();
double bf = ii.fixing(bd);
for (int i = 0; i < testIndex.Count; i++)
{
Date d = testIndex[i];
double z = hz.link.zeroRate(d, new Period(0, TimeUnit.Days));
double t = hz.link.dayCounter().yearFraction(bd, d);
if (!ii.interpolated()) // because fixing constant over period
{
t = hz.link.dayCounter().yearFraction(bd,
Utils.inflationPeriod(d, ii.frequency()).Key);
}
double calc = bf * Math.Pow(1 + z, t);
if (t <= 0)
{
calc = ii.fixing(d, false); // still historical
}
if (Math.Abs(calc - ii.fixing(d, true)) / 10000.0 > eps)
{
Assert.Fail("ZC index does not forecast correctly for date " + d
+ " from base date " + bd
+ " with fixing " + bf
+ ", correct: " + calc
+ ", fix: " + ii.fixing(d, true)
+ ", t " + t);
}
}
//===========================================================================================
// Test zero-inflation-indexed (i.e. cpi ratio) cashflow
// just ordinary indexed cashflow with a zero inflation index
Date baseDate = new Date(1, Month.January, 2006);
Date fixDate = new Date(1, Month.August, 2014);
Date payDate = new UnitedKingdom().adjust(fixDate + new Period(3, TimeUnit.Months), BusinessDayConvention.ModifiedFollowing);
Index ind = ii as Index;
Utils.QL_REQUIRE(ind != null, () => "dynamic_pointer_cast to Index from InflationIndex failed");
double notional = 1000000.0;//1m
IndexedCashFlow iicf = new IndexedCashFlow(notional, ind, baseDate, fixDate, payDate);
double correctIndexed = ii.fixing(iicf.fixingDate()) / ii.fixing(iicf.baseDate());
double calculatedIndexed = iicf.amount() / iicf.notional();
Assert.IsTrue(Math.Abs(correctIndexed - calculatedIndexed) < eps,
"IndexedCashFlow indexing wrong: " + calculatedIndexed + " vs correct = "
+ correctIndexed);
//===========================================================================================
// Test zero coupon swap
// first make one ...
ZeroInflationIndex zii = ii as ZeroInflationIndex;
Utils.QL_REQUIRE(zii != null, () => "dynamic_pointer_cast to ZeroInflationIndex from UKRPI failed");
ZeroCouponInflationSwap nzcis =
new ZeroCouponInflationSwap(ZeroCouponInflationSwap.Type.Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate / 100.0, // fixed rate
zii, observationLag);
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
Handle <YieldTermStructure> hTS = new Handle <YieldTermStructure>(nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
nzcis.setPricingEngine(sppe);
// ... and price it, should be zero
Assert.IsTrue(Math.Abs(nzcis.NPV()) < 0.00001, "ZCIS does not reprice to zero "
+ nzcis.NPV()
+ evaluationDate + " to " + zcData[6].date + " becoming " + nzcis.maturityDate()
+ " rate " + zcData[6].rate
+ " fixed leg " + nzcis.legNPV(0)
+ " indexed-predicted inflated leg " + nzcis.legNPV(1)
+ " discount " + nominalTS.discount(nzcis.maturityDate()));
//===========================================================================================
// Test multiplicative seasonality in price
//
//Seasonality factors NOT normalized
//and UKRPI is not interpolated
Date trueBaseDate = Utils.inflationPeriod(hz.link.baseDate(), ii.frequency()).Value;
Date seasonallityBaseDate = new Date(31, Month.January, trueBaseDate.year());
List <double> seasonalityFactors = new List <double>(12);
seasonalityFactors.Add(1.003245);
seasonalityFactors.Add(1.000000);
seasonalityFactors.Add(0.999715);
seasonalityFactors.Add(1.000495);
seasonalityFactors.Add(1.000929);
seasonalityFactors.Add(0.998687);
seasonalityFactors.Add(0.995949);
seasonalityFactors.Add(0.994682);
seasonalityFactors.Add(0.995949);
seasonalityFactors.Add(1.000519);
seasonalityFactors.Add(1.003705);
seasonalityFactors.Add(1.004186);
//Creating two different seasonality objects
//
MultiplicativePriceSeasonality seasonality_1 = new MultiplicativePriceSeasonality();
InitializedList <double> seasonalityFactors_1 = new InitializedList <double>(12, 1.0);
seasonality_1.set(seasonallityBaseDate, Frequency.Monthly, seasonalityFactors_1);
MultiplicativePriceSeasonality seasonality_real =
new MultiplicativePriceSeasonality(seasonallityBaseDate, Frequency.Monthly, seasonalityFactors);
//Testing seasonality correction when seasonality factors are = 1
//
double[] fixing =
{
ii.fixing(new Date(14, Month.January, 2013), true),
ii.fixing(new Date(14, Month.February, 2013), true),
ii.fixing(new Date(14, Month.March, 2013), true),
ii.fixing(new Date(14, Month.April, 2013), true),
ii.fixing(new Date(14, Month.May, 2013), true),
ii.fixing(new Date(14, Month.June, 2013), true),
ii.fixing(new Date(14, Month.July, 2013), true),
ii.fixing(new Date(14, Month.August, 2013), true),
ii.fixing(new Date(14, Month.September, 2013), true),
ii.fixing(new Date(14, Month.October, 2013), true),
ii.fixing(new Date(14, Month.November, 2013), true),
ii.fixing(new Date(14, Month.December, 2013), true)
};
hz.link.setSeasonality(seasonality_1);
Utils.QL_REQUIRE(hz.link.hasSeasonality(), () => "[44] incorrectly believes NO seasonality correction");
double[] seasonalityFixing_1 =
{
ii.fixing(new Date(14, Month.January, 2013), true),
ii.fixing(new Date(14, Month.February, 2013), true),
ii.fixing(new Date(14, Month.March, 2013), true),
ii.fixing(new Date(14, Month.April, 2013), true),
ii.fixing(new Date(14, Month.May, 2013), true),
ii.fixing(new Date(14, Month.June, 2013), true),
ii.fixing(new Date(14, Month.July, 2013), true),
ii.fixing(new Date(14, Month.August, 2013), true),
ii.fixing(new Date(14, Month.September, 2013), true),
ii.fixing(new Date(14, Month.October, 2013), true),
ii.fixing(new Date(14, Month.November, 2013), true),
ii.fixing(new Date(14, Month.December, 2013), true)
};
for (int i = 0; i < 12; i++)
{
if (Math.Abs(fixing[i] - seasonalityFixing_1[i]) > eps)
{
Assert.Fail("Seasonality doesn't work correctly when seasonality factors are set = 1");
}
}
//Testing seasonality correction when seasonality factors are different from 1
//
//0.998687 is the seasonality factor corresponding to June (the base CPI curve month)
//
double[] expectedFixing =
{
ii.fixing(new Date(14, Month.January, 2013), true) * 1.003245 / 0.998687,
ii.fixing(new Date(14, Month.February, 2013), true) * 1.000000 / 0.998687,
ii.fixing(new Date(14, Month.March, 2013), true) * 0.999715 / 0.998687,
ii.fixing(new Date(14, Month.April, 2013), true) * 1.000495 / 0.998687,
ii.fixing(new Date(14, Month.May, 2013), true) * 1.000929 / 0.998687,
ii.fixing(new Date(14, Month.June, 2013), true) * 0.998687 / 0.998687,
ii.fixing(new Date(14, Month.July, 2013), true) * 0.995949 / 0.998687,
ii.fixing(new Date(14, Month.August, 2013), true) * 0.994682 / 0.998687,
ii.fixing(new Date(14, Month.September, 2013), true) * 0.995949 / 0.998687,
ii.fixing(new Date(14, Month.October, 2013), true) * 1.000519 / 0.998687,
ii.fixing(new Date(14, Month.November, 2013), true) * 1.003705 / 0.998687,
ii.fixing(new Date(14, Month.December, 2013), true) * 1.004186 / 0.998687
};
hz.link.setSeasonality(seasonality_real);
double[] seasonalityFixing_real =
{
ii.fixing(new Date(14, Month.January, 2013), true),
ii.fixing(new Date(14, Month.February, 2013), true),
ii.fixing(new Date(14, Month.March, 2013), true),
ii.fixing(new Date(14, Month.April, 2013), true),
ii.fixing(new Date(14, Month.May, 2013), true),
ii.fixing(new Date(14, Month.June, 2013), true),
ii.fixing(new Date(14, Month.July, 2013), true),
ii.fixing(new Date(14, Month.August, 2013), true),
ii.fixing(new Date(14, Month.September, 2013), true),
ii.fixing(new Date(14, Month.October, 2013), true),
ii.fixing(new Date(14, Month.November, 2013), true),
ii.fixing(new Date(14, Month.December, 2013), true)
};
for (int i = 0; i < 12; i++)
{
if (Math.Abs(expectedFixing[i] - seasonalityFixing_real[i]) > 0.01)
{
Assert.Fail("Seasonality doesn't work correctly when considering seasonality factors != 1 "
+ expectedFixing[i] + " vs " + seasonalityFixing_real[i]);
}
}
//Testing Unset function
//
Utils.QL_REQUIRE(hz.link.hasSeasonality(), () => "[4] incorrectly believes NO seasonality correction");
hz.link.setSeasonality();
Utils.QL_REQUIRE(!hz.link.hasSeasonality(), () => "[5] incorrectly believes HAS seasonality correction");
double[] seasonalityFixing_unset =
{
ii.fixing(new Date(14, Month.January, 2013), true),
ii.fixing(new Date(14, Month.February, 2013), true),
ii.fixing(new Date(14, Month.March, 2013), true),
ii.fixing(new Date(14, Month.April, 2013), true),
ii.fixing(new Date(14, Month.May, 2013), true),
ii.fixing(new Date(14, Month.June, 2013), true),
ii.fixing(new Date(14, Month.July, 2013), true),
ii.fixing(new Date(14, Month.August, 2013), true),
ii.fixing(new Date(14, Month.September, 2013), true),
ii.fixing(new Date(14, Month.October, 2013), true),
ii.fixing(new Date(14, Month.November, 2013), true),
ii.fixing(new Date(14, Month.December, 2013), true)
};
for (int i = 0; i < 12; i++)
{
if (Math.Abs(seasonalityFixing_unset[i] - seasonalityFixing_1[i]) > eps)
{
Assert.Fail("UnsetSeasonality doesn't work correctly "
+ seasonalityFixing_unset[i] + " vs " + seasonalityFixing_1[i]);
}
}
//==============================================================================
// now do an INTERPOLATED index, i.e. repeat everything on a fake version of
// UKRPI (to save making another term structure)
bool interpYES = true;
UKRPI iiUKRPIyes = new UKRPI(interpYES, hz);
for (int i = 0; i < fixData.Length; i++)
{
iiUKRPIyes.addFixing(rpiSchedule[i], fixData[i]);
}
ZeroInflationIndex iiyes = iiUKRPIyes as ZeroInflationIndex;
// now build the zero inflation curve
// same data, bigger lag or it will be a self-contradiction
Period observationLagyes = new Period(3, TimeUnit.Months);
List <BootstrapHelper <ZeroInflationTermStructure> > helpersyes =
makeHelpers(zcData, zcData.Length,
iiyes, observationLagyes, calendar, bdc, dc);
PiecewiseZeroInflationCurve <Linear> pZITSyes =
new PiecewiseZeroInflationCurve <Linear>(
evaluationDate, calendar, dc, observationLagyes,
frequency, iiyes.interpolated(), baseZeroRate,
new Handle <YieldTermStructure>(nominalTS), helpersyes);
pZITSyes.recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
forceLinearInterpolation = false; // still
for (int i = 0; i < zcData.Length; i++)
{
Assert.IsTrue(Math.Abs(zcData[i].rate / 100.0
- pZITSyes.zeroRate(zcData[i].date, observationLagyes, forceLinearInterpolation)) < eps,
"ZITS INTERPOLATED zeroRate != instrument "
+ pZITSyes.zeroRate(zcData[i].date, observationLagyes, forceLinearInterpolation)
+ " date " + zcData[i].date + " observationLagyes " + observationLagyes
+ " vs " + zcData[i].rate / 100.0
+ " interpolation: " + iiyes.interpolated()
+ " forceLinearInterpolation " + forceLinearInterpolation);
Assert.IsTrue(Math.Abs(helpersyes[i].impliedQuote()
- zcData[i].rate / 100.0) < eps,
"ZITS INTERPOLATED implied quote != instrument "
+ helpersyes[i].impliedQuote()
+ " vs " + zcData[i].rate / 100.0);
}
//======================================================================================
// now test the forecasting capability of the index.
hz.linkTo(pZITSyes);
from = hz.link.baseDate() + new Period(1, TimeUnit.Months); // to avoid historical linear bit for rest of base month
to = hz.link.maxDate() - new Period(1, TimeUnit.Months); // a bit of margin for adjustments
testIndex = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing).value();
// we are testing UKRPI which is FAKE interpolated for testing here
bd = hz.link.baseDate();
bf = iiyes.fixing(bd);
for (int i = 0; i < testIndex.Count; i++)
{
Date d = testIndex[i];
double z = hz.link.zeroRate(d, new Period(0, TimeUnit.Days));
double t = hz.link.dayCounter().yearFraction(bd, d);
double calc = bf * Math.Pow(1 + z, t);
if (t <= 0)
{
calc = iiyes.fixing(d); // still historical
}
if (Math.Abs(calc - iiyes.fixing(d)) > eps)
{
Assert.Fail("ZC INTERPOLATED index does not forecast correctly for date " + d
+ " from base date " + bd
+ " with fixing " + bf
+ ", correct: " + calc
+ ", fix: " + iiyes.fixing(d)
+ ", t " + t
+ ", zero " + z);
}
}
//===========================================================================================
// Test zero coupon swap
ZeroInflationIndex ziiyes = iiyes as ZeroInflationIndex;
Utils.QL_REQUIRE(ziiyes != null, () => "dynamic_pointer_cast to ZeroInflationIndex from UKRPI-I failed");
ZeroCouponInflationSwap nzcisyes = new ZeroCouponInflationSwap(ZeroCouponInflationSwap.Type.Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate / 100.0, // fixed rate
ziiyes, observationLagyes);
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
nzcisyes.setPricingEngine(sppe);
// ... and price it, should be zero
Assert.IsTrue(Math.Abs(nzcisyes.NPV()) < 0.00001, "ZCIS-I does not reprice to zero "
+ nzcisyes.NPV()
+ evaluationDate + " to " + zcData[6].date + " becoming " + nzcisyes.maturityDate()
+ " rate " + zcData[6].rate
+ " fixed leg " + nzcisyes.legNPV(0)
+ " indexed-predicted inflated leg " + nzcisyes.legNPV(1)
+ " discount " + nominalTS.discount(nzcisyes.maturityDate())
);
// remove circular refernce
hz.linkTo(new ZeroInflationTermStructure());
}
private void reset()// reseta todos os pontos para proxima fase
{
saoPaulo = new SaoPaulo();
bahia = new Bahia();
caribe = new Caribe();
usa_leste = new USA_Leste();
usa_oeste = new USA_Oeste();
japao = new Japao();
china = new China();
tailandia = new Tailandia();
australia = new Australia();
unitedKingdom = new UnitedKingdom();
africaCentral = new AfricaCentral();
africaSul = new AfricaSul();
india = new India();
saoPaulo.getCondicao(true);
bahia.getCondicao(true);
caribe.getCondicao(true);
usa_leste.getCondicao(true);
usa_oeste.getCondicao(true);
japao.getCondicao(true);
china.getCondicao(true);
tailandia.getCondicao(true);
australia.getCondicao(true);
unitedKingdom.getCondicao(true);
africaCentral.getCondicao(true);
africaSul.getCondicao(true);
india.getCondicao(true);
europaLeste.getCondicao(true);
europaOeste.getCondicao(true);
saoPaulo.getBloquedo(false);
bahia.getBloquedo(false);
caribe.getBloquedo(false);
usa_leste.getBloquedo(false);
usa_oeste.getBloquedo(false);
japao.getBloquedo(false);
china.getBloquedo(false);
tailandia.getBloquedo(false);
australia.getBloquedo(false);
unitedKingdom.getBloquedo(false);
africaCentral.getBloquedo(false);
africaSul.getBloquedo(false);
india.getBloquedo(false);
europaLeste.getBloquedo(false);
europaOeste.getBloquedo(false);
saoPaulo.get_pct(pctSaoPaulo);
bahia.get_pct(pctBahia);
caribe.get_pct(pctCaribe);
usa_leste.get_pct(pct_USA_Leste);
usa_oeste.get_pct(pct_USA_Oeste);
japao.get_pct(pctJapao);
china.get_pct(pctChina);
tailandia.get_pct(pctTailandia);
australia.get_pct(pctAustralia);
unitedKingdom.get_pct(pct_UnitedKingdom);
africaCentral.get_pct(pctAfricaCenter);
africaSul.get_pct(pctAfricaSul);
india.get_pct(pctIndia);
europaLeste.get_pct(pctEuropaLeste);
europaOeste.get_pct(pctEuropaOeste);
saoPaulo.mudarPonto();
bahia.mudarPonto();
caribe.mudarPonto();
usa_leste.mudarPonto();
usa_oeste.mudarPonto();
japao.mudarPonto();
china.mudarPonto();
tailandia.mudarPonto();
australia.mudarPonto();
unitedKingdom.mudarPonto();
africaCentral.mudarPonto();
africaSul.mudarPonto();
india.mudarPonto();
europaOeste.mudarPonto();
europaLeste.mudarPonto();
}
public UnitedKingdom(UnitedKingdom.Market m) : this(NQuantLibcPINVOKE.new_UnitedKingdom__SWIG_0((int)m), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(UnitedKingdom obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
