public void testParity()
{
// Testing put-call parity for capped-floored CMS coupons
CommonVars vars = new CommonVars();
List <Handle <SwaptionVolatilityStructure> > swaptionVols = new List <Handle <SwaptionVolatilityStructure> >();
swaptionVols.Add(vars.atmVol);
swaptionVols.Add(vars.SabrVolCube1);
swaptionVols.Add(vars.SabrVolCube2);
SwapIndex swapIndex = new EuriborSwapIsdaFixA(new Period(10, TimeUnit.Years),
vars.iborIndex.forwardingTermStructure());
Date startDate = vars.termStructure.link.referenceDate() + new Period(20, TimeUnit.Years);
Date paymentDate = startDate + new Period(1, TimeUnit.Years);
Date endDate = paymentDate;
double nominal = 1.0;
double?infiniteCap = null;
double?infiniteFloor = null;
double gearing = 1.0;
double spread = 0.0;
double discount = vars.termStructure.link.discount(paymentDate);
CappedFlooredCmsCoupon swaplet = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, infiniteCap, infiniteFloor,
startDate, endDate, vars.iborIndex.dayCounter());
for (double strike = .02; strike < .12; strike += 0.05)
{
CappedFlooredCmsCoupon caplet = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, strike, infiniteFloor,
startDate, endDate, vars.iborIndex.dayCounter());
CappedFlooredCmsCoupon floorlet = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, infiniteCap, strike,
startDate, endDate, vars.iborIndex.dayCounter());
for (int i = 0; i < swaptionVols.Count; ++i)
{
for (int j = 0; j < vars.yieldCurveModels.Count; ++j)
{
vars.numericalPricers[j].setSwaptionVolatility(swaptionVols[i]);
vars.analyticPricers[j].setSwaptionVolatility(swaptionVols[i]);
List <CmsCouponPricer> pricers = new List <CmsCouponPricer>(2);
pricers.Add(vars.numericalPricers[j]);
pricers.Add(vars.analyticPricers[j]);
for (int k = 0; k < pricers.Count; ++k)
{
swaplet.setPricer(pricers[k]);
caplet.setPricer(pricers[k]);
floorlet.setPricer(pricers[k]);
double swapletPrice = swaplet.price(vars.termStructure) +
nominal * swaplet.accrualPeriod() * strike * discount;
double capletPrice = caplet.price(vars.termStructure);
double floorletPrice = floorlet.price(vars.termStructure);
double difference = Math.Abs(capletPrice + floorletPrice - swapletPrice);
double tol = 2.0e-5;
bool linearTsr = k == 0 && j == vars.yieldCurveModels.Count - 1;
if (linearTsr)
{
tol = 1.0e-7;
}
if (difference > tol)
{
QAssert.Fail("\nCoupon payment date: " + paymentDate +
"\nCoupon start date: " + startDate +
"\nCoupon gearing: " + (gearing) +
"\nCoupon swap index: " + swapIndex.name() +
"\nCoupon spread: " + (spread) +
"\nstrike: " + (strike) +
"\nCoupon DayCounter: " + vars.iborIndex.dayCounter() +
"\nYieldCurve Model: " + vars.yieldCurveModels[j] +
(k == 0 ? "\nNumerical Pricer" : "\nAnalytic Pricer") +
(linearTsr ? " (Linear TSR Model)" : "") +
"\nSwaplet price: " + (swapletPrice) +
"\nCaplet price: " + (capletPrice) +
"\nFloorlet price: " + (floorletPrice) +
"\ndifference: " + difference +
"\ntolerance: " + (tol));
}
}
}
}
}
}
public void testCouponPricing()
{
TestData d = new TestData();
double tol = 1E-6; // abs tolerance coupon rate
SwapIndex cms10y = new EuriborSwapIsdaFixA(new Period(10, TimeUnit.Years), d.yts2, d.yts2);
SwapIndex cms2y = new EuriborSwapIsdaFixA(new Period(2, TimeUnit.Years), d.yts2, d.yts2);
SwapSpreadIndex cms10y2y = new SwapSpreadIndex("cms10y2y", cms10y, cms2y);
Date valueDate = cms10y2y.valueDate(d.refDate);
Date payDate = valueDate + new Period(1, TimeUnit.Years);
CmsCoupon cpn1a = new CmsCoupon(10000.0, payDate, valueDate, payDate, cms10y.fixingDays(), cms10y,
1.0, 0.0, null, null, new Actual360(), false);
CmsCoupon cpn1b = new CmsCoupon(10000.0, payDate, valueDate, payDate, cms2y.fixingDays(),
cms2y, 1.0, 0.0, null, null, new Actual360(), false);
CmsSpreadCoupon cpn1 = new CmsSpreadCoupon(
10000.0, payDate, valueDate, payDate, cms10y2y.fixingDays(),
cms10y2y, 1.0, 0.0, null, null, new Actual360(), false);
QAssert.IsTrue(cpn1.fixingDate() == d.refDate);
cpn1a.setPricer(d.cmsPricerLn);
cpn1b.setPricer(d.cmsPricerLn);
cpn1.setPricer(d.cmsspPricerLn);
QAssert.IsTrue(cpn1.rate() == cpn1a.rate() - cpn1b.rate());
cms10y.addFixing(d.refDate, 0.05);
QAssert.IsTrue(cpn1.rate() == cpn1a.rate() - cpn1b.rate());
cms2y.addFixing(d.refDate, 0.03);
QAssert.IsTrue(cpn1.rate() == cpn1a.rate() - cpn1b.rate());
IndexManager.Instance.clearHistories();
CmsCoupon cpn2a = new CmsCoupon(10000.0, new Date(23, Month.February, 2029),
new Date(23, Month.February, 2028), new Date(23, Month.February, 2029), 2,
cms10y, 1.0, 0.0, null, null, new Actual360(), false);
CmsCoupon cpn2b = new CmsCoupon(10000.0, new Date(23, Month.February, 2029),
new Date(23, Month.February, 2028), new Date(23, Month.February, 2029), 2,
cms2y, 1.0, 0.0, null, null, new Actual360(), false);
CappedFlooredCmsSpreadCoupon plainCpn =
new CappedFlooredCmsSpreadCoupon(
new Date(23, Month.February, 2029), 10000.0, new Date(23, Month.February, 2028),
new Date(23, Month.February, 2029), 2, cms10y2y, 1.0, 0.0, null,
null, null, null, new Actual360(), false);
CappedFlooredCmsSpreadCoupon cappedCpn =
new CappedFlooredCmsSpreadCoupon(
new Date(23, Month.February, 2029), 10000.0, new Date(23, Month.February, 2028),
new Date(23, Month.February, 2029), 2, cms10y2y, 1.0, 0.0, 0.03,
null, null, null, new Actual360(), false);
CappedFlooredCmsSpreadCoupon flooredCpn =
new CappedFlooredCmsSpreadCoupon(
new Date(23, Month.February, 2029), 10000.0, new Date(23, Month.February, 2028),
new Date(23, Month.February, 2029), 2, cms10y2y, 1.0, 0.0, null,
0.01, null, null, new Actual360(), false);
CappedFlooredCmsSpreadCoupon collaredCpn =
new CappedFlooredCmsSpreadCoupon(
new Date(23, Month.February, 2029), 10000.0, new Date(23, Month.February, 2028),
new Date(23, Month.February, 2029), 2, cms10y2y, 1.0, 0.0, 0.03, 0.01,
null, null, new Actual360(), false);
cpn2a.setPricer(d.cmsPricerLn);
cpn2b.setPricer(d.cmsPricerLn);
plainCpn.setPricer(d.cmsspPricerLn);
cappedCpn.setPricer(d.cmsspPricerLn);
flooredCpn.setPricer(d.cmsspPricerLn);
collaredCpn.setPricer(d.cmsspPricerLn);
QAssert.IsTrue(
Math.Abs(plainCpn.rate() - mcReferenceValue(cpn2a, cpn2b, Double.MaxValue,
-Double.MaxValue, d.swLn,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(cappedCpn.rate() - mcReferenceValue(cpn2a, cpn2b, 0.03,
-Double.MaxValue, d.swLn,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(flooredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, Double.MaxValue, 0.01, d.swLn,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(collaredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, 0.03, 0.01, d.swLn,
d.correlation.currentLink().value())) <
tol);
cpn2a.setPricer(d.cmsPricerSln);
cpn2b.setPricer(d.cmsPricerSln);
plainCpn.setPricer(d.cmsspPricerSln);
cappedCpn.setPricer(d.cmsspPricerSln);
flooredCpn.setPricer(d.cmsspPricerSln);
collaredCpn.setPricer(d.cmsspPricerSln);
QAssert.IsTrue(
Math.Abs(plainCpn.rate() - mcReferenceValue(cpn2a, cpn2b, Double.MaxValue,
-Double.MaxValue, d.swSln,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(cappedCpn.rate() - mcReferenceValue(cpn2a, cpn2b, 0.03,
-Double.MaxValue, d.swSln,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(flooredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, Double.MaxValue, 0.01, d.swSln,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(collaredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, 0.03, 0.01, d.swSln,
d.correlation.currentLink().value())) <
tol);
cpn2a.setPricer(d.cmsPricerN);
cpn2b.setPricer(d.cmsPricerN);
plainCpn.setPricer(d.cmsspPricerN);
cappedCpn.setPricer(d.cmsspPricerN);
flooredCpn.setPricer(d.cmsspPricerN);
collaredCpn.setPricer(d.cmsspPricerN);
QAssert.IsTrue(
Math.Abs(plainCpn.rate() - mcReferenceValue(cpn2a, cpn2b, Double.MaxValue,
-Double.MaxValue, d.swN,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(
Math.Abs(cappedCpn.rate() - mcReferenceValue(cpn2a, cpn2b, 0.03,
-Double.MaxValue, d.swN,
d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(Math.Abs(flooredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, Double.MaxValue, 0.01,
d.swN, d.correlation.currentLink().value())) <
tol);
QAssert.IsTrue(Math.Abs(collaredCpn.rate() -
mcReferenceValue(cpn2a, cpn2b, 0.03, 0.01, d.swN,
d.correlation.currentLink().value())) <
tol);
}