public void testSimple()
{
Period[] p = { new Period(3, TimeUnit.Months), new Period(6, TimeUnit.Months), new Period(1, TimeUnit.Years) };
double[] expected = { 0.25, 0.5, 1.0 };
int n = p.Length;
// 4 years should be enough
Date first = new Date(1, Month.January, 2002), last = new Date(31, Month.December, 2005);
DayCounter dayCounter = new SimpleDayCounter();
for (Date start = first; start <= last; start++)
{
for (int i = 0; i < n; i++)
{
Date end = start + p[i];
double calculated = dayCounter.yearFraction(start, end, null, null);
if (Math.Abs(calculated - expected[i]) > 1.0e-12)
{
Assert.Fail("from " + start + " to " + end +
"Calculated: " + calculated +
"Expected: " + expected[i]);
}
}
}
}
public ScenarioCube(double r, double[] spots, double[] q, double[] vols, double[,] correlations, int nSteps, double dt)
{
nAssets = spots.Length;
this.nSteps = nSteps;
this.dt = dt;
Processes = new List <StochasticProcess1D>(nAssets);
Correlations = new Matrix(nAssets, nAssets);
Date now = new Date(DateTime.Now.Date);
DayCounter dc = new SimpleDayCounter();
yc = new Handle <YieldTermStructure>(new FlatForward(now, r, dc));
for (int i = 0; i < nAssets; ++i)
{
Handle <Quote> x0 = new Handle <Quote>(new SimpleQuote(spots[i]));
Handle <YieldTermStructure> dyc = new Handle <YieldTermStructure>(new FlatForward(now, q[i], dc));
Handle <BlackVolTermStructure> bv = new Handle <BlackVolTermStructure>(new BlackConstantVol(now, new Calendar(), vols[i], dc));
Processes.Add(new GeneralizedBlackScholesProcess(x0, dyc, yc, bv));
for (int j = 0; j < nAssets; ++j)
{
if (i == j)
{
Correlations[i, j] = 1;
}
else
{
Correlations[i, j] = Correlations[j, i] = correlations[i, j];
}
}
}
spa = new StochasticProcessArray(Processes, Correlations);
rsg = new RandomSequenceGenerator <MersenneTwisterUniformRng>(nSteps * Processes.Count, new MersenneTwisterUniformRng());
tg = new TimeGrid(nSteps * dt, nSteps);
var rsg2 = new InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>,
InverseCumulativeNormal>(rsg, new InverseCumulativeNormal());
mpg = new MultiPathGenerator <InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>, InverseCumulativeNormal> >(spa, tg, rsg2, false);
}
public void testInArrears()
{
// Testing in-arrears swap calculation
CommonVars vars = new CommonVars();
/* See Hull, 4th ed., page 550
* Note: the calculation in the book is wrong (work out the adjustment and you'll get 0.05 + 0.000115 T1) */
Date maturity = vars.today + new Period(5, TimeUnit.Years);
Calendar calendar = new NullCalendar();
Schedule schedule = new Schedule(vars.today, maturity, new Period(Frequency.Annual), calendar,
BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
DayCounter dayCounter = new SimpleDayCounter();
List <double> nominals = new List <double>()
{
100000000.0
};
IborIndex index = new IborIndex("dummy", new Period(1, TimeUnit.Years), 0, new EURCurrency(), calendar,
BusinessDayConvention.Following, false, dayCounter, vars.termStructure);
double oneYear = 0.05;
double r = Math.Log(1.0 + oneYear);
vars.termStructure.linkTo(Utilities.flatRate(vars.today, r, dayCounter));
List <double> coupons = new List <double>()
{
oneYear
};
List <CashFlow> fixedLeg = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(nominals);
List <double> gearings = new List <double>();
List <double> spreads = new List <double>();
int fixingDays = 0;
double capletVolatility = 0.22;
var vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(vars.today, new NullCalendar(),
BusinessDayConvention.Following, capletVolatility, dayCounter));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List <CashFlow> floatingLeg = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.inArrears()
.withNotionals(nominals);
Utils.setCouponPricer(floatingLeg, pricer);
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(vars.termStructure));
double storedValue = -144813.0;
double tolerance = 1.0;
if (Math.Abs(swap.NPV() - storedValue) > tolerance)
{
QAssert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SimpleDayCounter obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SimpleDayCounter obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
static void Main(string[] args)
{
try
{
DateTime timer = DateTime.Now;
int numberOfBonds = 15;
double[] cleanPrice = new double[numberOfBonds];
for (int i = 0; i < numberOfBonds; i++)
{
cleanPrice[i] = 100.0;
}
List <SimpleQuote> quote = new List <SimpleQuote>();
for (int i = 0; i < numberOfBonds; i++)
{
SimpleQuote cp = new SimpleQuote(cleanPrice[i]);
quote.Add(cp);
}
RelinkableHandle <Quote>[] quoteHandle = new RelinkableHandle <Quote> [numberOfBonds];
for (int i = 0; i < numberOfBonds; i++)
{
quoteHandle[i] = new RelinkableHandle <Quote>();
quoteHandle[i].linkTo(quote[i]);
}
int[] lengths = { 2, 4, 6, 8, 10, 12, 14, 16,
18, 20, 22, 24, 26, 28, 30 };
double[] coupons = { 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
0.0450, 0.0475, 0.0500, 0.0525, 0.0550 };
Frequency frequency = Frequency.Annual;
DayCounter dc = new SimpleDayCounter();
BusinessDayConvention accrualConvention = BusinessDayConvention.ModifiedFollowing;
BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
double redemption = 100.0;
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Date origToday = today;
Settings.setEvaluationDate(today);
// changing bondSettlementDays=3 increases calculation
// time of exponentialsplines fitting method
int bondSettlementDays = 0;
int curveSettlementDays = 0;
Date bondSettlementDate = calendar.advance(today, new Period(bondSettlementDays, TimeUnit.Days));
Console.WriteLine();
Console.WriteLine("Today's date: " + today);
Console.WriteLine("Bonds' settlement date: " + bondSettlementDate);
Console.WriteLine("Calculating fit for 15 bonds.....\n");
List <BondHelper> instrumentsA = new List <BondHelper>();
List <RateHelper> instrumentsB = new List <RateHelper>();
for (int j = 0; j < lengths.Length; j++)
{
Date maturity = calendar.advance(bondSettlementDate, new Period(lengths[j], TimeUnit.Years));
Schedule schedule = new Schedule(bondSettlementDate, maturity, new Period(frequency),
calendar, accrualConvention, accrualConvention,
DateGeneration.Rule.Backward, false);
BondHelper helperA = new FixedRateBondHelper(quoteHandle[j],
bondSettlementDays,
100.0,
schedule,
new InitializedList <double>(1, coupons[j]),
dc,
convention,
redemption);
RateHelper helperB = new FixedRateBondHelper(quoteHandle[j],
bondSettlementDays,
100.0,
schedule,
new InitializedList <double>(1, coupons[j]),
dc,
convention,
redemption);
instrumentsA.Add(helperA);
instrumentsB.Add(helperB);
}
bool constrainAtZero = true;
double tolerance = 1.0e-10;
int max = 5000;
YieldTermStructure ts0 = new PiecewiseYieldCurve <Discount, LogLinear>(curveSettlementDays,
calendar,
instrumentsB,
dc);
ExponentialSplinesFitting exponentialSplines = new ExponentialSplinesFitting(constrainAtZero);
FittedBondDiscountCurve ts1 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
exponentialSplines,
tolerance,
max);
printOutput("(a) exponential splines", ts1);
SimplePolynomialFitting simplePolynomial = new SimplePolynomialFitting(3, constrainAtZero);
FittedBondDiscountCurve ts2 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
simplePolynomial,
tolerance,
max);
printOutput("(b) simple polynomial", ts2);
NelsonSiegelFitting nelsonSiegel = new NelsonSiegelFitting();
FittedBondDiscountCurve ts3 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegel,
tolerance,
max);
printOutput("(c) Nelson-Siegel", ts3);
// a cubic bspline curve with 11 knot points, implies
// n=6 (constrained problem) basis functions
double[] knots = { -30.0, -20.0, 0.0, 5.0, 10.0, 15.0,
20.0, 25.0, 30.0, 40.0, 50.0 };
List <double> knotVector = new List <double>();
for (int i = 0; i < knots.Length; i++)
{
knotVector.Add(knots[i]);
}
CubicBSplinesFitting cubicBSplines = new CubicBSplinesFitting(knotVector, constrainAtZero);
FittedBondDiscountCurve ts4 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
cubicBSplines,
tolerance,
max);
printOutput("(d) cubic B-splines", ts4);
SvenssonFitting svensson = new SvenssonFitting();
FittedBondDiscountCurve ts5 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
svensson,
tolerance,
max);
printOutput("(e) Svensson", ts5);
Handle <YieldTermStructure> discountCurve = new Handle <YieldTermStructure>(
new FlatForward(curveSettlementDays, calendar, 0.01, dc));
SpreadFittingMethod nelsonSiegelSpread = new SpreadFittingMethod(new NelsonSiegelFitting(), discountCurve);
FittedBondDiscountCurve ts6 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegelSpread,
tolerance,
max);
printOutput("(f) Nelson-Siegel spreaded", ts6);
Console.WriteLine("Output par rates for each curve. In this case, ");
Console.WriteLine("par rates should equal coupons for these par bonds.\n");
Console.WriteLine(" tenor" + " | "
+ "coupon" + " | "
+ "bstrap" + " | "
+ " (a)" + " | "
+ " (b)" + " | "
+ " (c)" + " | "
+ " (d)" + " | "
+ " (e)" + " | "
+ " (f)");
for (int i = 0; i < instrumentsA.Count; i++)
{
List <CashFlow> cfs = instrumentsA[i].bond().cashflows();
int cfSize = instrumentsA[i].bond().cashflows().Count;
List <Date> keyDates = new List <Date>();
keyDates.Add(bondSettlementDate);
for (int j = 0; j < cfSize - 1; j++)
{
if (!cfs[j].hasOccurred(bondSettlementDate, false))
{
Date myDate = cfs[j].date();
keyDates.Add(myDate);
}
}
double tenor = dc.yearFraction(today, cfs[cfSize - 1].date());
double test = parRate(ts0, keyDates, dc);
Console.WriteLine(tenor.ToString("##.000").PadLeft(6) + " | "
+ (100.0 * coupons[i]).ToString("##.000").PadLeft(6) + " | "
// piecewise bootstrap
+ (100.0 * parRate(ts0, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// exponential splines
+ (100.0 * parRate(ts1, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// simple polynomial
+ (100.0 * parRate(ts2, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel
+ (100.0 * parRate(ts3, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// cubic bsplines
+ (100.0 * parRate(ts4, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Svensson
+ (100.0 * parRate(ts5, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel Spreaded
+ (100.0 * parRate(ts6, keyDates, dc)).ToString("##.000").PadLeft(6));
}
Console.WriteLine("\n\n");
Console.WriteLine("Now add 23 months to today. Par rates should be ");
Console.WriteLine("automatically recalculated because today's date ");
Console.WriteLine("changes. Par rates will NOT equal coupons (YTM ");
Console.WriteLine("will, with the correct compounding), but the ");
Console.WriteLine("piecewise yield curve par rates can be used as ");
Console.WriteLine("a benchmark for correct par rates.");
Console.WriteLine();
today = calendar.advance(origToday, 23, TimeUnit.Months, convention);
Settings.setEvaluationDate(today);
bondSettlementDate = calendar.advance(today, new Period(bondSettlementDays, TimeUnit.Days));
printOutput("(a) exponential splines", ts1);
printOutput("(b) simple polynomial", ts2);
printOutput("(c) Nelson-Siegel", ts3);
printOutput("(d) cubic B-splines", ts4);
printOutput("(e) Svensson", ts5);
printOutput("(f) Nelson-Siegel spreaded", ts6);
Console.WriteLine("\n");
Console.WriteLine(" tenor" + " | "
+ "coupon" + " | "
+ "bstrap" + " | "
+ " (a)" + " | "
+ " (b)" + " | "
+ " (c)" + " | "
+ " (d)" + " | "
+ " (e)" + " | "
+ " (f)");
for (int i = 0; i < instrumentsA.Count; i++)
{
List <CashFlow> cfs = instrumentsA[i].bond().cashflows();
int cfSize = instrumentsA[i].bond().cashflows().Count;
List <Date> keyDates = new List <Date>();
keyDates.Add(bondSettlementDate);
for (int j = 0; j < cfSize - 1; j++)
{
if (!cfs[j].hasOccurred(bondSettlementDate, false))
{
Date myDate = cfs[j].date();
keyDates.Add(myDate);
}
}
double tenor = dc.yearFraction(today, cfs[cfSize - 1].date());
double test = parRate(ts0, keyDates, dc);
Console.WriteLine(tenor.ToString("##.000").PadLeft(6) + " | "
+ (100.0 * coupons[i]).ToString("#.000").PadLeft(6) + " | "
// piecewise bootstrap
+ (100.0 * parRate(ts0, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// exponential splines
+ (100.0 * parRate(ts1, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// simple polynomial
+ (100.0 * parRate(ts2, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel
+ (100.0 * parRate(ts3, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// cubic bsplines
+ (100.0 * parRate(ts4, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Svensson
+ (100.0 * parRate(ts5, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel Spreaded
+ (100.0 * parRate(ts6, keyDates, dc)).ToString("##.000").PadLeft(6));
}
Console.WriteLine("\n\n");
Console.WriteLine("Now add one more month, for a total of two years ");
Console.WriteLine("from the original date. The first instrument is ");
Console.WriteLine("now expired and par rates should again equal ");
Console.WriteLine("coupon values, since clean prices did not change.");
Console.WriteLine("\n");
instrumentsA.RemoveRange(0, 1); // TODO
instrumentsB.RemoveRange(0, 1); // TODO
today = calendar.advance(origToday, 24, TimeUnit.Months, convention);
Settings.setEvaluationDate(today);
bondSettlementDate = calendar.advance(today, new Period(bondSettlementDays, TimeUnit.Days));
YieldTermStructure ts00 = new PiecewiseYieldCurve <Discount, LogLinear>(curveSettlementDays,
calendar,
instrumentsB,
dc);
FittedBondDiscountCurve ts11 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
exponentialSplines,
tolerance,
max);
printOutput("(a) exponential splines", ts11);
FittedBondDiscountCurve ts22 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
simplePolynomial,
tolerance,
max);
printOutput("(b) simple polynomial", ts22);
FittedBondDiscountCurve ts33 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegel,
tolerance,
max);
printOutput("(c) Nelson-Siegel", ts33);
FittedBondDiscountCurve ts44 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
cubicBSplines,
tolerance,
max);
printOutput("(d) cubic B-splines", ts44);
FittedBondDiscountCurve ts55 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
svensson,
tolerance,
max);
printOutput("(e) Svensson", ts55);
FittedBondDiscountCurve ts66 = new FittedBondDiscountCurve(curveSettlementDays,
calendar,
instrumentsA,
dc,
nelsonSiegelSpread,
tolerance,
max);
printOutput("(f) Nelson-Siegel spreaded", ts66);
Console.WriteLine(" tenor" + " | "
+ "coupon" + " | "
+ "bstrap" + " | "
+ " (a)" + " | "
+ " (b)" + " | "
+ " (c)" + " | "
+ " (d)" + " | "
+ " (e)" + " | "
+ " (f)");
for (int i = 0; i < instrumentsA.Count; i++)
{
List <CashFlow> cfs = instrumentsA[i].bond().cashflows();
int cfSize = instrumentsA[i].bond().cashflows().Count;
List <Date> keyDates = new List <Date>();
keyDates.Add(bondSettlementDate);
for (int j = 0; j < cfSize - 1; j++)
{
if (!cfs[j].hasOccurred(bondSettlementDate, false))
{
Date myDate = cfs[j].date();
keyDates.Add(myDate);
}
}
double tenor = dc.yearFraction(today, cfs[cfSize - 1].date());
Console.WriteLine(tenor.ToString("##.000").PadLeft(6) + " | "
+ (100.0 * coupons[i + 1]).ToString("##.000").PadLeft(6) + " | "
// piecewise bootstrap
+ (100.0 * parRate(ts00, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// exponential splines
+ (100.0 * parRate(ts11, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// simple polynomial
+ (100.0 * parRate(ts22, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel
+ (100.0 * parRate(ts33, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// cubic bsplines
+ (100.0 * parRate(ts44, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Svensson
+ (100.0 * parRate(ts55, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel Spreaded
+ (100.0 * parRate(ts66, keyDates, dc)).ToString("##.000").PadLeft(6));
}
Console.WriteLine("\n\n");
Console.WriteLine("Now decrease prices by a small amount, corresponding");
Console.WriteLine("to a theoretical five basis point parallel + shift of");
Console.WriteLine("the yield curve. Because bond quotes change, the new ");
Console.WriteLine("par rates should be recalculated automatically.");
Console.WriteLine("\n");
for (int k = 0; k < lengths.Length - 1; k++)
{
double P = instrumentsA[k].quote().link.value();
Bond b = instrumentsA[k].bond();
double ytm = BondFunctions.yield(b, P, dc, Compounding.Compounded, frequency, today);
double dur = BondFunctions.duration(b, ytm, dc, Compounding.Compounded, frequency,
Duration.Type.Modified, today);
const double bpsChange = 5.0;
// dP = -dur * P * dY
double deltaP = -dur * P * (bpsChange / 10000.0);
quote[k + 1].setValue(P + deltaP);
}
Console.WriteLine(" tenor" + " | "
+ "coupon" + " | "
+ "bstrap" + " | "
+ " (a)" + " | "
+ " (b)" + " | "
+ " (c)" + " | "
+ " (d)" + " | "
+ " (e)" + " | "
+ " (f)");
for (int i = 0; i < instrumentsA.Count; i++)
{
List <CashFlow> cfs = instrumentsA[i].bond().cashflows();
int cfSize = instrumentsA[i].bond().cashflows().Count;
List <Date> keyDates = new List <Date>();
keyDates.Add(bondSettlementDate);
for (int j = 0; j < cfSize - 1; j++)
{
if (!cfs[j].hasOccurred(bondSettlementDate, false))
{
Date myDate = cfs[j].date();
keyDates.Add(myDate);
}
}
double tenor = dc.yearFraction(today, cfs[cfSize - 1].date());
Console.WriteLine(tenor.ToString("##.000").PadLeft(6) + " | "
+ (100.0 * coupons[i + 1]).ToString("##.000").PadLeft(6) + " | "
// piecewise bootstrap
+ (100.0 * parRate(ts00, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// exponential splines
+ (100.0 * parRate(ts11, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// simple polynomial
+ (100.0 * parRate(ts22, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel
+ (100.0 * parRate(ts33, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// cubic bsplines
+ (100.0 * parRate(ts44, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Svensson
+ (100.0 * parRate(ts55, keyDates, dc)).ToString("##.000").PadLeft(6) + " | "
// Nelson-Siegel Spreaded
+ (100.0 * parRate(ts66, keyDates, dc)).ToString("##.000").PadLeft(6));
}
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
catch (Exception e)
{
Console.WriteLine(e.Message);
return;
}
}
public void testSimple()
{
Period[] p = { new Period(3, TimeUnit.Months), new Period(6, TimeUnit.Months), new Period(1, TimeUnit.Years) };
double[] expected = { 0.25, 0.5, 1.0 };
int n = p.Length;
// 4 years should be enough
Date first= new Date(1,Month.January,2002), last = new Date(31,Month.December,2005);
DayCounter dayCounter = new SimpleDayCounter();
for (Date start = first; start <= last; start++)
{
for (int i=0; i<n; i++)
{
Date end = start + p[i];
double calculated = dayCounter.yearFraction(start, end, null, null);
if (Math.Abs(calculated-expected[i]) > 1.0e-12)
{
Assert.Fail ("from " + start + " to " + end +
"Calculated: " + calculated +
"Expected: " + expected[i]);
}
}
}
}
