public void testCachedValue()
{
//"Testing swaption value against cached value...");
CommonVars vars = new CommonVars();
vars.today = new Date(13, 3, 2002);
vars.settlement = new Date(15, 3, 2002);
Settings.setEvaluationDate( vars.today);
vars.termStructure.linkTo(Utilities.flatRate(vars.settlement, 0.05, new Actual365Fixed()));
Date exerciseDate = vars.calendar.advance(vars.settlement, new Period(5,TimeUnit.Years));
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays,TimeUnit.Days);
VanillaSwap swap =
new MakeVanillaSwap(new Period(10,TimeUnit.Years), vars.index, 0.06)
.withEffectiveDate(startDate);
Swaption swaption =
vars.makeSwaption(swap, exerciseDate, 0.20);
//#if QL_USE_INDEXED_COUPON
double cachedNPV = 0.036418158579;
//#else
// double cachedNPV = 0.036421429684;
//#endif
// FLOATING_POINT_EXCEPTION
if (Math.Abs(swaption.NPV()-cachedNPV) > 1.0e-12)
Assert.Fail ("failed to reproduce cached swaption value:\n" +
//QL_FIXED + std::setprecision(12) +
"\ncalculated: " + swaption.NPV() +
"\nexpected: " + cachedNPV);
}
public RendistatoCalculator(RendistatoBasket basket, Euribor euriborIndex, Handle <YieldTermStructure> discountCurve)
{
basket_ = basket;
euriborIndex_ = euriborIndex;
discountCurve_ = discountCurve;
yields_ = new InitializedList <double>(basket_.size(), 0.05);
durations_ = new List <double>(basket_.size());
nSwaps_ = 15; // TODO: generalize number of swaps and their lenghts
swaps_ = new List <VanillaSwap>(nSwaps_);
swapLenghts_ = new List <double>(nSwaps_);
swapBondDurations_ = new InitializedList <double?>(nSwaps_, null);
swapBondYields_ = new InitializedList <double?>(nSwaps_, 0.05);
swapRates_ = new InitializedList <double?>(nSwaps_, null);
basket_.registerWith(update);
euriborIndex_.registerWith(update);
discountCurve_.registerWith(update);
double dummyRate = 0.05;
for (int i = 0; i < nSwaps_; ++i)
{
swapLenghts_[i] = (i + 1);
swaps_[i] = new MakeVanillaSwap(new Period((int)swapLenghts_[i], TimeUnit.Years),
euriborIndex_, dummyRate, new Period(1, TimeUnit.Days))
.withDiscountingTermStructure(discountCurve_);
}
}
public MakeCapFloor(CapFloorType capFloorType, Period tenor, IborIndex iborIndex, double?strike = null,
Period forwardStart = null)
{
capFloorType_ = capFloorType;
strike_ = strike;
firstCapletExcluded_ = (forwardStart == new Period(0, TimeUnit.Days));
asOptionlet_ = false;
makeVanillaSwap_ = new MakeVanillaSwap(tenor, iborIndex, 0.0, forwardStart);
}
public Swaption value()
{
Date evaluationDate = Settings.evaluationDate();
Calendar fixingCalendar = swapIndex_.fixingCalendar();
fixingDate_ = fixingCalendar.advance(evaluationDate, optionTenor_, optionConvention_);
if (exerciseDate_ == null)
{
exercise_ = new EuropeanExercise(fixingDate_);
}
else
{
Utils.QL_REQUIRE(exerciseDate_ <= fixingDate_, () =>
"exercise date (" + exerciseDate_ + ") must be less " + "than or equal to fixing date (" + fixingDate_ + ")");
exercise_ = new EuropeanExercise(exerciseDate_);
}
double usedStrike;
if (strike_ == null)
{
// ATM on the forecasting curve
Utils.QL_REQUIRE(!swapIndex_.forwardingTermStructure().empty(), () =>
"no forecasting term structure set to " + swapIndex_.name());
VanillaSwap temp = swapIndex_.underlyingSwap(fixingDate_);
temp.setPricingEngine(new DiscountingSwapEngine(swapIndex_.forwardingTermStructure()));
usedStrike = temp.fairRate();
}
else
{
usedStrike = strike_.Value;
}
BusinessDayConvention bdc = swapIndex_.fixedLegConvention();
underlyingSwap_ = new MakeVanillaSwap(swapIndex_.tenor(),
swapIndex_.iborIndex(),
usedStrike)
.withEffectiveDate(swapIndex_.valueDate(fixingDate_))
.withFixedLegCalendar(swapIndex_.fixingCalendar())
.withFixedLegDayCount(swapIndex_.dayCounter())
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc);
Swaption swaption = new Swaption(underlyingSwap_, exercise_, delivery_);
swaption.setPricingEngine(engine_);
return(swaption);
}
public void testImpliedVolatility()
{
//"Testing implied volatility for swaptions...";
CommonVars vars=new CommonVars();
int maxEvaluations = 100;
double tolerance = 1.0e-08;
Settlement.Type[] types = { Settlement.Type.Physical, Settlement.Type.Cash };
// test data
double[] strikes = { 0.02, 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.05, 0.10, 0.20, 0.30, 0.70, 0.90 };
for (int i = 0; i < exercises.Length; i++)
{
for (int j = 0; j < lengths.Length; j++)
{
Date exerciseDate = vars.calendar.advance(vars.today, exercises[i]);
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays, TimeUnit.Days);
Date maturity = vars.calendar.advance(startDate, lengths[j],
vars.floatingConvention);
for (int t = 0; t < strikes.Length; t++)
{
for (int k = 0; k < type.Length; k++)
{
VanillaSwap swap = new MakeVanillaSwap(lengths[j], vars.index, strikes[t])
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[k]);
for (int h = 0; h < types.Length; h++)
{
for (int u = 0; u < vols.Length; u++)
{
Swaption swaption = vars.makeSwaption(swap, exerciseDate,
vols[u], types[h]);
// Black price
double value = swaption.NPV();
double implVol = 0.0;
try
{
implVol =
swaption.impliedVolatility(value,
vars.termStructure,
0.10,
tolerance,
maxEvaluations);
}
catch (System.Exception e)
{
// couldn't bracket?
swaption.setPricingEngine(vars.makeEngine(0.0));
double value2 = swaption.NPV();
if (Math.Abs(value - value2) < tolerance)
{
// ok, just skip:
continue;
}
// otherwise, report error
Assert.Fail("implied vol failure: " +
exercises[i] + "x" + lengths[j] + " " + type[k] +
"\nsettlement: " + types[h] +
"\nstrike " + strikes[t] +
"\natm level: " + swap.fairRate() +
"\nvol: " + vols[u] +
"\nprice: " + value +
"\n" + e.Message.ToString());
}
if (Math.Abs(implVol - vols[u]) > tolerance)
{
// the difference might not matter
swaption.setPricingEngine(vars.makeEngine(implVol));
double value2 = swaption.NPV();
if (Math.Abs(value - value2) > tolerance)
{
Assert.Fail("implied vol failure: " +
exercises[i] + "x" + lengths[j] + " " + type[k] +
"\nsettlement: " + types[h] +
"\nstrike " + strikes[t] +
"\natm level: " + swap.fairRate() +
"\nvol: " + vols[u] +
"\nprice: " + value +
"\nimplied vol: " + implVol +
"\nimplied price: " + value2);
}
}
}
}
}
}
}
}
}
public void testVega()
{
//"Testing swaption vega...";
CommonVars vars = new CommonVars();
Settlement.Type[] types = { Settlement.Type.Physical, Settlement.Type.Cash };
double[] strikes = { 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.20, 0.30, 0.70, 0.90 };
double shift = 1e-8;
for (int i=0; i<exercises.Length ; i++) {
Date exerciseDate = vars.calendar.advance(vars.today, exercises[i]);
// A VERIFIER§§§§
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays, TimeUnit.Days);
for (int j=0; j<lengths.Length ; j++) {
for (int t=0; t<strikes.Length ; t++) {
for (int h=0; h<type.Length ; h++) {
VanillaSwap swap =
new MakeVanillaSwap(lengths[j], vars.index, strikes[t])
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[h]);
for (int u=0; u<vols.Length ; u++) {
Swaption swaption =
vars.makeSwaption(swap, exerciseDate,
vols[u], types[h]);
// FLOATING_POINT_EXCEPTION
Swaption swaption1 =
vars.makeSwaption(swap, exerciseDate,
vols[u]-shift, types[h]);
Swaption swaption2 =
vars.makeSwaption(swap, exerciseDate,
vols[u]+shift, types[h]);
double swaptionNPV = swaption.NPV();
double numericalVegaPerPoint =
(swaption2.NPV()-swaption1.NPV())/(200.0*shift);
// check only relevant vega
if (numericalVegaPerPoint/swaptionNPV>1.0e-7) {
double analyticalVegaPerPoint =
(double)swaption.result("vega")/100.0;
double discrepancy = Math.Abs(analyticalVegaPerPoint
- numericalVegaPerPoint);
discrepancy /= numericalVegaPerPoint;
double tolerance = 0.015;
if (discrepancy > tolerance)
Assert.Fail ("failed to compute swaption vega:" +
"\n option tenor: " + exercises[i] +
"\n volatility: " + vols[u] +
"\n option type: " + swaption.type() +
"\n swap tenor: " + lengths[j] +
"\n strike: " + strikes[t] +
"\n settlement: " + types[h] +
"\n nominal: " + swaption.underlyingSwap().nominal +
"\n npv: " + swaptionNPV +
"\n calculated vega: " + analyticalVegaPerPoint +
"\n expected vega: " + numericalVegaPerPoint +
"\n discrepancy: " + discrepancy +
"\n tolerance: " + tolerance);
}
}
}
}
}
}
}
public void testStrikeDependency()
{
//("Testing swaption dependency on strike......");
CommonVars vars = new CommonVars();
double[] strikes = new double[] { 0.03, 0.04, 0.05, 0.06, 0.07 };
for (int i = 0; i < exercises.Length; i++) {
for (int j = 0; j < lengths.Length; j++) {
for (int k=0; k < type.Length ; k++) {
Date exerciseDate = vars.calendar.advance(vars.today,
exercises[i]);
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays, TimeUnit.Days);
// store the results for different rates...
List<double> values = new InitializedList<double>(strikes.Length);
List<double> values_cash = new InitializedList<double>(strikes.Length);
double vol = 0.20;
for (int l=0; l< strikes.Length ; l++) {
VanillaSwap swap = new MakeVanillaSwap(lengths[j], vars.index, strikes[l])
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[k]);
Swaption swaption = vars.makeSwaption(swap,exerciseDate,vol);
// FLOATING_POINT_EXCEPTION
values[l]=swaption.NPV();
Swaption swaption_cash = vars.makeSwaption( swap,exerciseDate,vol,
Settlement.Type.Cash);
values_cash[l]=swaption_cash.NPV();
}
// and check that they go the right way
if (type[k]==VanillaSwap.Type.Payer) {
for (int z = 0; z < values.Count - 1; z++)
{
if( values[z]<values[z+1]){
Assert.Fail("NPV of Payer swaption with delivery settlement"+
"is increasing with the strike:" +
"\noption tenor: " + exercises[i] +
"\noption date: " + exerciseDate +
"\nvolatility: " + vol +
"\nswap tenor: " + lengths[j] +
"\nvalue: " + values[z ] +" at strike: " + strikes[z ] +
"\nvalue: " + values[z+1] + " at strike: " + strikes[z+1]);
}
}
for (int z = 0; z < values_cash.Count - 1; z++)
{
if (values_cash[z] < values_cash[z + 1])
{
Assert.Fail("NPV of Payer swaption with cash settlement" +
"is increasing with the strike:" +
"\noption tenor: " + exercises[i] +
"\noption date: " + exerciseDate +
"\nvolatility: " + vol +
"\nswap tenor: " + lengths[j] +
"\nvalue: " + values_cash[z] + " at strike: " + strikes[z] +
"\nvalue: " + values_cash[z + 1] + " at strike: " + strikes[z + 1]);
}
}
}
else {
for (int z = 0; z < values.Count - 1; z++){
if (values[z] > values[z+1]){
Assert.Fail("NPV of Receiver swaption with delivery settlement" +
"is increasing with the strike:" +
"\noption tenor: " + exercises[i] +
"\noption date: " + exerciseDate +
"\nvolatility: " + vol +
"\nswap tenor: " + lengths[j] +
"\nvalue: " + values[z] + " at strike: " + strikes[z] +
"\nvalue: " + values[z + 1] + " at strike: " + strikes[z + 1]);
}
}
for (int z = 0; z < values_cash.Count - 1; z++)
{
if (values[z] > values[z+1])
{
Assert.Fail("NPV of Receiver swaption with cash settlement" +
"is increasing with the strike:" +
"\noption tenor: " + exercises[i] +
"\noption date: " + exerciseDate +
"\nvolatility: " + vol +
"\nswap tenor: " + lengths[j] +
"\nvalue: " + values_cash[z] + " at strike: " + strikes[z] +
"\nvalue: " + values_cash[z + 1] + " at strike: " + strikes[z + 1]);
}
}
}
}
}
}
}
public void testSpreadTreatment()
{
//"Testing swaption treatment of spread...";
CommonVars vars = new CommonVars();
double[] spreads = { -0.002, -0.001, 0.0, 0.001, 0.002 };
for (int i=0; i<exercises.Length; i++) {
for (int j=0; j<lengths.Length ; j++) {
for (int k=0; k<type.Length ; k++) {
Date exerciseDate = vars.calendar.advance(vars.today,
exercises[i]);
Date startDate =
vars.calendar.advance(exerciseDate,
vars.settlementDays,TimeUnit.Days);
for (int l=0; l<spreads.Length ; l++) {
VanillaSwap swap =
new MakeVanillaSwap(lengths[j], vars.index, 0.06)
.withEffectiveDate(startDate)
.withFloatingLegSpread(spreads[l])
.withType(type[k]);
// FLOATING_POINT_EXCEPTION
double correction = spreads[l] *
swap.floatingLegBPS() /
swap.fixedLegBPS();
VanillaSwap equivalentSwap =
new MakeVanillaSwap(lengths[j], vars.index, 0.06+correction)
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[k]);
Swaption swaption1 =
vars.makeSwaption(swap,exerciseDate,0.20);
Swaption swaption2 =
vars.makeSwaption(equivalentSwap,exerciseDate,0.20);
Swaption swaption1_cash =
vars.makeSwaption(swap,exerciseDate,0.20,
Settlement.Type.Cash);
Swaption swaption2_cash =
vars.makeSwaption(equivalentSwap,exerciseDate,0.20,
Settlement.Type.Cash);
if (Math.Abs(swaption1.NPV()-swaption2.NPV()) > 1.0e-6)
Assert.Fail("wrong spread treatment:" +
"\nexercise: " + exerciseDate +
"\nlength: " + lengths[j] +
"\ntype " + type[k] +
"\nspread: " + spreads[l] +
"\noriginal swaption value: " + swaption1.NPV() +
"\nequivalent swaption value: " + swaption2.NPV());
if (Math.Abs(swaption1_cash.NPV()-swaption2_cash.NPV()) > 1.0e-6)
Assert.Fail("wrong spread treatment:" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
//"\npay " + (type[k] ? "fixed" : "floating") +
"\nspread: " + spreads[l] +
"\nvalue of original swaption: " + swaption1_cash.NPV() +
"\nvalue of equivalent swaption: " + swaption2_cash.NPV());
}
}
}
}
}
public void testSpreadDependency()
{
//"Testing swaption dependency on spread...";
CommonVars vars = new CommonVars();
double[] spreads = { -0.002, -0.001, 0.0, 0.001, 0.002 };
for (int i=0; i<exercises.Length ; i++) {
for (int j=0; j<lengths.Length ; j++) {
for (int k=0; k<type.Length ; k++) {
Date exerciseDate = vars.calendar.advance(vars.today,
exercises[i]);
Date startDate =
vars.calendar.advance(exerciseDate,
vars.settlementDays,TimeUnit.Days);
// store the results for different rates...
List<double> values=new InitializedList<double>(spreads.Length);
List<double> values_cash = new InitializedList<double>(spreads.Length);
for (int l=0; l<spreads.Length; l++) {
VanillaSwap swap =
new MakeVanillaSwap(lengths[j], vars.index, 0.06)
.withEffectiveDate(startDate)
.withFloatingLegSpread(spreads[l])
.withType(type[k]);
Swaption swaption =
vars.makeSwaption(swap,exerciseDate,0.20);
// FLOATING_POINT_EXCEPTION
values[l]=swaption.NPV();
Swaption swaption_cash =
vars.makeSwaption(swap,exerciseDate,0.20,
Settlement.Type.Cash);
values_cash[l]=swaption_cash.NPV();
}
// and check that they go the right way
if (type[k]==VanillaSwap.Type.Payer) {
for (int n = 0; n < spreads.Length - 1; n++)
{
if (values[n] > values[n + 1])
Assert.Fail("NPV is decreasing with the spread " +
"in a payer swaption (physical delivered):" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
"\nvalue: " + values[n] + " for spread: " + spreads[n] +
"\nvalue: " + values[n + 1] + " for spread: " + spreads[n + 1]);
if (values_cash[n] > values_cash[n + 1])
Assert.Fail("NPV is decreasing with the spread " +
"in a payer swaption (cash delivered):" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
"\nvalue: " + values_cash[n] + " for spread: " + spreads[n] +
"\nvalue: " + values_cash[n + 1] + " for spread: " + spreads[n + 1]);
}
}
else
{
for (int n = 0; n < spreads.Length - 1; n++)
{
if (values[n] < values[n + 1])
Assert.Fail("NPV is increasing with the spread " +
"in a receiver swaption (physical delivered):" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
"\nvalue: " + values[n] + " for spread: " + spreads[n] +
"\nvalue: " + values[n + 1] + " for spread: " + spreads[n + 1]);
if (values_cash[n] < values_cash[n+1])
Assert.Fail("NPV is increasing with the spread " +
"in a receiver swaption (cash delivered):" +
"\nexercise date: " + exerciseDate +
"\nlength: " + lengths[j] +
"\nvalue: " + values_cash[n ] + " for spread: " + spreads[n] +
"\nvalue: " + values_cash[n+1] + " for spread: " + spreads[n+1]);
}
}
}
}
}
}
public RendistatoCalculator(RendistatoBasket basket, Euribor euriborIndex, Handle<YieldTermStructure> discountCurve)
{
basket_ = basket;
euriborIndex_ = euriborIndex;
discountCurve_ = discountCurve;
yields_ = new InitializedList<double>(basket_.size(), 0.05);
durations_ = new List<double>(basket_.size());
nSwaps_ = 15; // TODO: generalize number of swaps and their lenghts
swaps_ = new List<VanillaSwap>(nSwaps_);
swapLenghts_ = new List<double>(nSwaps_);
swapBondDurations_ = new InitializedList<double?>(nSwaps_, null);
swapBondYields_ = new InitializedList<double?>(nSwaps_, 0.05);
swapRates_ = new InitializedList<double?>(nSwaps_, null);
basket_.registerWith(update);
euriborIndex_.registerWith(update);
discountCurve_.registerWith(update);
double dummyRate = 0.05;
for (int i=0; i<nSwaps_; ++i)
{
swapLenghts_[i] = (i+1);
swaps_[i] = new MakeVanillaSwap( new Period((int)swapLenghts_[i],TimeUnit.Years),
euriborIndex_, dummyRate, new Period(1,TimeUnit.Days))
.withDiscountingTermStructure(discountCurve_);
}
}
public override void calculate()
{
/* both DTS, YTS ref dates and pricing date consistency
* checks? settlement... */
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discount term structure set");
Utils.QL_REQUIRE(!defaultTS_.empty(), () => "no ctpty default term structure set");
Utils.QL_REQUIRE(!swaptionletEngine_.empty(), () => "no swap option engine set");
Date priceDate = defaultTS_.link.referenceDate();
double cumOptVal = 0.0, cumPutVal = 0.0;
// Vanilla swap so 0 leg is floater
int index = 0;
Date nextFD = arguments_.fixedPayDates[index];
Date swapletStart = priceDate;
while (nextFD < priceDate)
{
index++;
nextFD = arguments_.fixedPayDates[index];
}
// Compute fair spread for strike value:
// copy args into the non risky engine
Swap.Arguments noCVAArgs = baseSwapEngine_.link.getArguments() as Swap.Arguments;
noCVAArgs.legs = this.arguments_.legs;
noCVAArgs.payer = this.arguments_.payer;
baseSwapEngine_.link.calculate();
double baseSwapRate = ((FixedRateCoupon)arguments_.legs[0][0]).rate();
Swap.Results vSResults = baseSwapEngine_.link.getResults() as Swap.Results;
double?baseSwapFairRate = -baseSwapRate * vSResults.legNPV[1] / vSResults.legNPV[0];
double?baseSwapNPV = vSResults.value;
VanillaSwap.Type reversedType = arguments_.type == VanillaSwap.Type.Payer
? VanillaSwap.Type.Receiver
: VanillaSwap.Type.Payer;
// Swaplet options summatory:
while (nextFD != arguments_.fixedPayDates.Last())
{
// iFD coupon not fixed, create swaptionlet:
IborIndex swapIndex = ((FloatingRateCoupon)arguments_.legs[1][0]).index() as IborIndex;
// Alternatively one could cap this period to, say, 1M
Period baseSwapsTenor = new Period(arguments_.fixedPayDates.Last().serialNumber()
- swapletStart.serialNumber(), TimeUnit.Days);
VanillaSwap swaplet = new MakeVanillaSwap(baseSwapsTenor, swapIndex, baseSwapFairRate)
.withType(arguments_.type)
.withNominal(arguments_.nominal)
.withEffectiveDate(swapletStart)
.withTerminationDate(arguments_.fixedPayDates.Last()).value();
VanillaSwap revSwaplet = new MakeVanillaSwap(baseSwapsTenor, swapIndex, baseSwapFairRate)
.withType(reversedType)
.withNominal(arguments_.nominal)
.withEffectiveDate(swapletStart)
.withTerminationDate(arguments_.fixedPayDates.Last()).value();
Swaption swaptionlet = new Swaption(swaplet, new EuropeanExercise(swapletStart));
Swaption putSwaplet = new Swaption(revSwaplet, new EuropeanExercise(swapletStart));
swaptionlet.setPricingEngine(swaptionletEngine_.currentLink());
putSwaplet.setPricingEngine(swaptionletEngine_.currentLink());
// atm underlying swap means that the value of put = value
// call so this double pricing is not needed
cumOptVal += swaptionlet.NPV() * defaultTS_.link.defaultProbability(
swapletStart, nextFD);
cumPutVal += putSwaplet.NPV() * invstDTS_.link.defaultProbability(swapletStart, nextFD);
swapletStart = nextFD;
index++;
nextFD = arguments_.fixedPayDates[index];
}
results_.value = baseSwapNPV - (1.0 - ctptyRecoveryRate_) * cumOptVal + (1.0 - invstRecoveryRate_) * cumPutVal;
results_.fairRate = -baseSwapRate * (vSResults.legNPV[1] - (1.0 - ctptyRecoveryRate_) * cumOptVal +
(1.0 - invstRecoveryRate_) * cumPutVal) / vSResults.legNPV[0];
}