Esempio n. 1
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        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);
        }
Esempio n. 2
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        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);
        }
Esempio n. 3
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        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);
        }
Esempio n. 4
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 internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CPISwap obj)
 {
     return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
 }