static void Main(string[] args) { // boost::timer timer; Date today = new Date(16,Month.October,2007); Settings.setEvaluationDate(today); Console.WriteLine(); Console.WriteLine("Pricing a callable fixed rate bond using"); Console.WriteLine("Hull White model w/ reversion parameter = 0.03"); Console.WriteLine("BAC4.65 09/15/12 ISIN: US06060WBJ36"); Console.WriteLine("roughly five year tenor, "); Console.WriteLine("quarterly coupon and call dates"); Console.WriteLine("reference date is : " + today ); /* Bloomberg OAS1: "N" model (Hull White) varying volatility parameter The curve entered into Bloomberg OAS1 is a flat curve, at constant yield = 5.5%, semiannual compounding. Assume here OAS1 curve uses an ACT/ACT day counter, as documented in PFC1 as a "default" in the latter case. */ // set up a flat curve corresponding to Bloomberg flat curve double bbCurveRate = 0.055; DayCounter bbDayCounter = new ActualActual(ActualActual.Convention.Bond); InterestRate bbIR = new InterestRate(bbCurveRate,bbDayCounter,Compounding.Compounded ,Frequency.Semiannual); Handle<YieldTermStructure> termStructure = new Handle<YieldTermStructure>(flatRate( today, bbIR.rate(), bbIR.dayCounter(), bbIR.compounding(), bbIR.frequency())); // set up the call schedule CallabilitySchedule callSchedule = new CallabilitySchedule(); double callPrice = 100.0; int numberOfCallDates = 24; Date callDate = new Date(15,Month.September,2006); for (int i=0; i< numberOfCallDates; i++) { Calendar nullCalendar = new NullCalendar(); Callability.Price myPrice = new Callability.Price(callPrice, Callability.Price.Type.Clean); callSchedule.Add( new Callability(myPrice,Callability.Type.Call, callDate )); callDate = nullCalendar.advance(callDate, 3, TimeUnit.Months); } // set up the callable bond Date dated = new Date(16,Month.September,2004); Date issue = dated; Date maturity = new Date(15,Month.September,2012); int settlementDays = 3; // Bloomberg OAS1 settle is Oct 19, 2007 Calendar bondCalendar = new UnitedStates(UnitedStates.Market.GovernmentBond); double coupon = .0465; Frequency frequency = Frequency.Quarterly; double redemption = 100.0; double faceAmount = 100.0; /* The 30/360 day counter Bloomberg uses for this bond cannot reproduce the US Bond/ISMA (constant) cashflows used in PFC1. Therefore use ActAct(Bond) */ DayCounter bondDayCounter = new ActualActual(ActualActual.Convention.Bond); // PFC1 shows no indication dates are being adjusted // for weekends/holidays for vanilla bonds BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted; BusinessDayConvention paymentConvention = BusinessDayConvention.Unadjusted; Schedule sch = new Schedule( dated, maturity, new Period(frequency), bondCalendar, accrualConvention, accrualConvention, DateGeneration.Rule.Backward, false); int maxIterations = 1000; double accuracy = 1e-8; int gridIntervals = 40; double reversionParameter = .03; // output price/yield results for varying volatility parameter double sigma = Const.QL_Epsilon; // core dumps if zero on Cygwin ShortRateModel hw0 = new HullWhite(termStructure,reversionParameter,sigma); IPricingEngine engine0 = new TreeCallableFixedRateBondEngine(hw0, gridIntervals, termStructure); CallableFixedRateBond callableBond = new CallableFixedRateBond( settlementDays, faceAmount, sch, new InitializedList<double>(1, coupon), bondDayCounter, paymentConvention, redemption, issue, callSchedule); callableBond.setPricingEngine(engine0); Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma)); Console.WriteLine("QuantLib price/yld (%) "); Console.WriteLine( "{0:0.00} / {1:0.00} ", callableBond.cleanPrice() , 100.0 * callableBond.yield(bondDayCounter, Compounding.Compounded, frequency, accuracy, maxIterations)); Console.WriteLine("Bloomberg price/yld (%) "); Console.WriteLine("96.50 / 5.47"); // sigma = .01; Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma)); ShortRateModel hw1 = new HullWhite(termStructure,reversionParameter,sigma); IPricingEngine engine1 = new TreeCallableFixedRateBondEngine(hw1,gridIntervals,termStructure); callableBond.setPricingEngine(engine1); Console.WriteLine("QuantLib price/yld (%) "); Console.WriteLine( "{0:0.00} / {1:0.00} ", callableBond.cleanPrice() , 100.0 * callableBond.yield(bondDayCounter, Compounding.Compounded, frequency, accuracy, maxIterations)); Console.WriteLine("Bloomberg price/yld (%) "); Console.WriteLine("95.68 / 5.66"); // sigma = .03; Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma)); ShortRateModel hw2 = new HullWhite(termStructure, reversionParameter, sigma); IPricingEngine engine2 = new TreeCallableFixedRateBondEngine(hw2, gridIntervals, termStructure); callableBond.setPricingEngine(engine2); Console.WriteLine("QuantLib price/yld (%) "); Console.WriteLine("{0:0.00} / {1:0.00} ", callableBond.cleanPrice(), 100.0 * callableBond.yield(bondDayCounter, Compounding.Compounded, frequency, accuracy, maxIterations)); Console.WriteLine("Bloomberg price/yld (%) "); Console.WriteLine("92.34 / 6.49"); // sigma = .06; Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma)); ShortRateModel hw3 = new HullWhite(termStructure, reversionParameter, sigma); IPricingEngine engine3 = new TreeCallableFixedRateBondEngine(hw3, gridIntervals, termStructure); callableBond.setPricingEngine(engine3); Console.WriteLine("QuantLib price/yld (%) "); Console.WriteLine("{0:0.00} / {1:0.00} ", callableBond.cleanPrice(), 100.0 * callableBond.yield(bondDayCounter, Compounding.Compounded, frequency, accuracy, maxIterations)); Console.WriteLine("Bloomberg price/yld (%) "); Console.WriteLine("87.16 / 7.83"); // sigma = .12; Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma)); ShortRateModel hw4 = new HullWhite(termStructure, reversionParameter, sigma); IPricingEngine engine4 = new TreeCallableFixedRateBondEngine(hw4, gridIntervals, termStructure); callableBond.setPricingEngine(engine4); Console.WriteLine("QuantLib price/yld (%) "); Console.WriteLine("{0:0.00} / {1:0.00} ", callableBond.cleanPrice(), 100.0 * callableBond.yield(bondDayCounter, Compounding.Compounded, frequency, accuracy, maxIterations)); Console.WriteLine("Bloomberg price/yld (%) "); Console.WriteLine("77.31 / 10.65"); }