public void testZeroIndex() { // Testing zero inflation indices... EUHICP euhicp = new EUHICP(true); if (euhicp.name() != "EU HICP" || euhicp.frequency() != Frequency.Monthly || euhicp.revised() || !euhicp.interpolated() || euhicp.availabilityLag() != new Period(1, TimeUnit.Months)) { Assert.Fail("wrong EU HICP data (" + euhicp.name() + ", " + euhicp.frequency() + ", " + euhicp.revised() + ", " + euhicp.interpolated() + ", " + euhicp.availabilityLag() + ")"); } UKRPI ukrpi = new UKRPI(false); if (ukrpi.name() != "UK RPI" || ukrpi.frequency() != Frequency.Monthly || ukrpi.revised() || ukrpi.interpolated() || ukrpi.availabilityLag() != new Period(1, TimeUnit.Months)) { Assert.Fail("wrong UK RPI data (" + ukrpi.name() + ", " + ukrpi.frequency() + ", " + ukrpi.revised() + ", " + ukrpi.interpolated() + ", " + ukrpi.availabilityLag() + ")"); } // Retrieval test. //---------------- // make sure of the evaluation date Date evaluationDate = new Date(13, Month.August, 2007); evaluationDate = new UnitedKingdom().adjust(evaluationDate); Settings.setEvaluationDate(evaluationDate); // fixing data Date from = new Date(1, Month.January, 2005); Date to = new Date(13, Month.August, 2007); Schedule rpiSchedule = new MakeSchedule().from(from).to(to) .withTenor(new Period(1, TimeUnit.Months)) .withCalendar(new UnitedKingdom()) .withConvention(BusinessDayConvention.ModifiedFollowing) .value(); double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0, 192.2, 192.2, 192.6, 193.1, 193.3, 193.6, 194.1, 193.4, 194.2, 195.0, 196.5, 197.7, 198.5, 198.5, 199.2, 200.1, 200.4, 201.1, 202.7, 201.6, 203.1, 204.4, 205.4, 206.2, 207.3, 206.1, -999.0 }; bool interp = false; UKRPI iir = new UKRPI(interp); for (int i = 0; i < rpiSchedule.Count - 1; i++) { iir.addFixing(rpiSchedule[i], fixData[i]); } Date todayMinusLag = evaluationDate - iir.availabilityLag(); KeyValuePair <Date, Date> lim1 = Utils.inflationPeriod(todayMinusLag, iir.frequency()); todayMinusLag = lim1.Key; double eps = 1.0e-8; // -1 because last value not yet available, // (no TS so can't forecast). for (int i = 0; i < rpiSchedule.Count - 1; i++) { KeyValuePair <Date, Date> lim = Utils.inflationPeriod(rpiSchedule[i], iir.frequency()); for (Date d = lim.Key; d <= lim.Value; d++) { if (d < Utils.inflationPeriod(todayMinusLag, iir.frequency()).Key) { if (Math.Abs(iir.fixing(d) - fixData[i]) > eps) { Assert.Fail("Fixings not constant within a period: " + iir.fixing(d) + ", should be " + fixData[i]); } } } } }
// setup public CommonVars() { backup = new SavedSettings(); nominalUK = new RelinkableHandle <YieldTermStructure>(); cpiUK = new RelinkableHandle <ZeroInflationTermStructure>(); hcpi = new RelinkableHandle <ZeroInflationTermStructure>(); zciisD = new List <Date>(); zciisR = new List <double>(); hii = new RelinkableHandle <ZeroInflationIndex>(); nominals = new InitializedList <double>(1, 1000000); // option variables frequency = Frequency.Annual; // usual setup volatility = 0.01; length = 7; calendar = new UnitedKingdom(); convention = BusinessDayConvention.ModifiedFollowing; Date today = new Date(1, Month.June, 2010); evaluationDate = calendar.adjust(today); Settings.setEvaluationDate(evaluationDate); settlementDays = 0; fixingDays = 0; settlement = calendar.advance(today, settlementDays, TimeUnit.Days); startDate = settlement; dcZCIIS = new ActualActual(); dcNominal = new ActualActual(); // uk rpi index // fixing data Date from = new Date(1, Month.July, 2007); Date to = new Date(1, Month.June, 2010); Schedule rpiSchedule = new MakeSchedule().from(from).to(to) .withTenor(new Period(1, TimeUnit.Months)) .withCalendar(new UnitedKingdom()) .withConvention(BusinessDayConvention.ModifiedFollowing).value(); double[] fixData = { 206.1, 207.3, 208.0, 208.9, 209.7, 210.9, 209.8, 211.4, 212.1, 214.0, 215.1, 216.8, // 2008 216.5, 217.2, 218.4, 217.7, 216.0, 212.9, 210.1, 211.4, 211.3, 211.5, 212.8, 213.4, // 2009 213.4, 214.4, 215.3, 216.0, 216.6, 218.0, 217.9, 219.2, 220.7, 222.8, -999, -999, // 2010 -999 }; // link from cpi index to cpi TS bool interp = false;// this MUST be false because the observation lag is only 2 months // for ZCIIS; but not for contract if the contract uses a bigger lag. ii = new UKRPI(interp, hcpi); for (int i = 0; i < rpiSchedule.Count; i++) { ii.addFixing(rpiSchedule[i], fixData[i], true);// force overwrite in case multiple use } Datum[] nominalData = { new Datum(new Date(2, Month.June, 2010), 0.499997), new Datum(new Date(3, Month.June, 2010), 0.524992), new Datum(new Date(8, Month.June, 2010), 0.524974), new Datum(new Date(15, Month.June, 2010), 0.549942), new Datum(new Date(22, Month.June, 2010), 0.549913), new Datum(new Date(1, Month.July, 2010), 0.574864), new Datum(new Date(2, Month.August, 2010), 0.624668), new Datum(new Date(1, Month.September, 2010), 0.724338), new Datum(new Date(16, Month.September, 2010), 0.769461), new Datum(new Date(1, Month.December, 2010), 0.997501), //{ Date( 16, December, 2010), 0.838164 ), new Datum(new Date(17, Month.March, 2011), 0.916996), new Datum(new Date(16, Month.June, 2011), 0.984339), new Datum(new Date(22, Month.September, 2011), 1.06085), new Datum(new Date(22, Month.December, 2011), 1.141788), new Datum(new Date(1, Month.June, 2012), 1.504426), new Datum(new Date(3, Month.June, 2013), 1.92064), new Datum(new Date(2, Month.June, 2014), 2.290824), new Datum(new Date(1, Month.June, 2015), 2.614394), new Datum(new Date(1, Month.June, 2016), 2.887445), new Datum(new Date(1, Month.June, 2017), 3.122128), new Datum(new Date(1, Month.June, 2018), 3.322511), new Datum(new Date(3, Month.June, 2019), 3.483997), new Datum(new Date(1, Month.June, 2020), 3.616896), new Datum(new Date(1, Month.June, 2022), 3.8281), new Datum(new Date(2, Month.June, 2025), 4.0341), new Datum(new Date(3, Month.June, 2030), 4.070854), new Datum(new Date(1, Month.June, 2035), 4.023202), new Datum(new Date(1, Month.June, 2040), 3.954748), new Datum(new Date(1, Month.June, 2050), 3.870953), new Datum(new Date(1, Month.June, 2060), 3.85298), new Datum(new Date(2, Month.June, 2070), 3.757542), new Datum(new Date(3, Month.June, 2080), 3.651379) }; int nominalDataLength = 33 - 1; List <Date> nomD = new List <Date>(); List <double> nomR = new List <double>(); for (int i = 0; i < nominalDataLength; i++) { nomD.Add(nominalData[i].date); nomR.Add(nominalData[i].rate / 100.0); } YieldTermStructure nominalTS = new InterpolatedZeroCurve <Linear>(nomD, nomR, dcNominal); nominalUK.linkTo(nominalTS); // now build the zero inflation curve observationLag = new Period(2, TimeUnit.Months); contractObservationLag = new Period(3, TimeUnit.Months); contractObservationInterpolation = InterpolationType.Flat; Datum[] zciisData = { new Datum(new Date(1, Month.June, 2011), 3.087), new Datum(new Date(1, Month.June, 2012), 3.12), new Datum(new Date(1, Month.June, 2013), 3.059), new Datum(new Date(1, Month.June, 2014), 3.11), new Datum(new Date(1, Month.June, 2015), 3.15), new Datum(new Date(1, Month.June, 2016), 3.207), new Datum(new Date(1, Month.June, 2017), 3.253), new Datum(new Date(1, Month.June, 2018), 3.288), new Datum(new Date(1, Month.June, 2019), 3.314), new Datum(new Date(1, Month.June, 2020), 3.401), new Datum(new Date(1, Month.June, 2022), 3.458), new Datum(new Date(1, Month.June, 2025), 3.52), new Datum(new Date(1, Month.June, 2030), 3.655), new Datum(new Date(1, Month.June, 2035), 3.668), new Datum(new Date(1, Month.June, 2040), 3.695), new Datum(new Date(1, Month.June, 2050), 3.634), new Datum(new Date(1, Month.June, 2060), 3.629), }; zciisDataLength = 17; for (int i = 0; i < zciisDataLength; i++) { zciisD.Add(zciisData[i].date); zciisR.Add(zciisData[i].rate); } // now build the helpers ... List <BootstrapHelper <ZeroInflationTermStructure> > helpers = makeHelpers(zciisData, zciisDataLength, ii, observationLag, calendar, convention, dcZCIIS); // we can use historical or first ZCIIS for this // we know historical is WAY off market-implied, so use market implied flat. baseZeroRate = zciisData[0].rate / 100.0; PiecewiseZeroInflationCurve <Linear> pCPIts = new PiecewiseZeroInflationCurve <Linear>( evaluationDate, calendar, dcZCIIS, observationLag, ii.frequency(), ii.interpolated(), baseZeroRate, new Handle <YieldTermStructure>(nominalTS), helpers); pCPIts.recalculate(); cpiUK.linkTo(pCPIts); hii.linkTo(ii); // make sure that the index has the latest zero inflation term structure hcpi.linkTo(pCPIts); // cpi CF price surf data Period[] cfMat = { new Period(3, TimeUnit.Years), new Period(5, TimeUnit.Years), new Period(7, TimeUnit.Years), new Period(10, TimeUnit.Years), new Period(15, TimeUnit.Years), new Period(20, TimeUnit.Years), new Period(30, TimeUnit.Years) }; double[] cStrike = { 3, 4, 5, 6 }; double[] fStrike = { -1, 0, 1, 2 }; int ncStrikes = 4, nfStrikes = 4, ncfMaturities = 7; double[][] cPrice = { new double[4] { 227.6, 100.27, 38.8, 14.94 }, new double[4] { 345.32, 127.9, 40.59, 14.11 }, new double[4] { 477.95, 170.19, 50.62, 16.88 }, new double[4] { 757.81, 303.95, 107.62, 43.61 }, new double[4] { 1140.73, 481.89, 168.4, 63.65 }, new double[4] { 1537.6, 607.72, 172.27, 54.87 }, new double[4] { 2211.67, 839.24, 184.75, 45.03 } }; double[][] fPrice = { new double[4] { 15.62, 28.38, 53.61, 104.6 }, new double[4] { 21.45, 36.73, 66.66, 129.6 }, new double[4] { 24.45, 42.08, 77.04, 152.24 }, new double[4] { 39.25, 63.52, 109.2, 203.44 }, new double[4] { 36.82, 63.62, 116.97, 232.73 }, new double[4] { 39.7, 67.47, 121.79, 238.56 }, new double[4] { 41.48, 73.9, 139.75, 286.75 } }; // now load the data into vector and Matrix classes cStrikesUK = new List <double>(); fStrikesUK = new List <double>(); cfMaturitiesUK = new List <Period>(); for (int i = 0; i < ncStrikes; i++) { cStrikesUK.Add(cStrike[i]); } for (int i = 0; i < nfStrikes; i++) { fStrikesUK.Add(fStrike[i]); } for (int i = 0; i < ncfMaturities; i++) { cfMaturitiesUK.Add(cfMat[i]); } cPriceUK = new Matrix(ncStrikes, ncfMaturities); fPriceUK = new Matrix(nfStrikes, ncfMaturities); for (int i = 0; i < ncStrikes; i++) { for (int j = 0; j < ncfMaturities; j++) { (cPriceUK)[i, j] = cPrice[j][i] / 10000.0; } } for (int i = 0; i < nfStrikes; i++) { for (int j = 0; j < ncfMaturities; j++) { (fPriceUK)[i, j] = fPrice[j][i] / 10000.0; } } }
// setup public CommonVars() { backup = new SavedSettings(); cleaner = new IndexHistoryCleaner(); nominalUK = new RelinkableHandle <YieldTermStructure>(); cpiUK = new RelinkableHandle <ZeroInflationTermStructure>(); hcpi = new RelinkableHandle <ZeroInflationTermStructure>(); zciisD = new List <Date>(); zciisR = new List <double>(); hii = new RelinkableHandle <ZeroInflationIndex>(); nominals = new InitializedList <double>(1, 1000000); // option variables frequency = Frequency.Annual; // usual setup volatility = 0.01; length = 7; calendar = new UnitedKingdom(); convention = BusinessDayConvention.ModifiedFollowing; Date today = new Date(25, Month.November, 2009); evaluationDate = calendar.adjust(today); Settings.setEvaluationDate(evaluationDate); settlementDays = 0; fixingDays = 0; settlement = calendar.advance(today, settlementDays, TimeUnit.Days); startDate = settlement; dcZCIIS = new ActualActual(); dcNominal = new ActualActual(); // uk rpi index // fixing data Date from = new Date(20, Month.July, 2007); Date to = new Date(20, Month.November, 2009); Schedule rpiSchedule = new MakeSchedule().from(from).to(to) .withTenor(new Period(1, TimeUnit.Months)) .withCalendar(new UnitedKingdom()) .withConvention(BusinessDayConvention.ModifiedFollowing).value(); double[] fixData = { 206.1, 207.3, 208.0, 208.9, 209.7, 210.9, 209.8, 211.4, 212.1, 214.0, 215.1, 216.8, 216.5, 217.2, 218.4, 217.7, 216, 212.9, 210.1, 211.4, 211.3, 211.5, 212.8, 213.4, 213.4, 213.4, 214.4, -999.0, -999.0 }; // link from cpi index to cpi TS bool interp = false;// this MUST be false because the observation lag is only 2 months // for ZCIIS; but not for contract if the contract uses a bigger lag. ii = new UKRPI(interp, hcpi); for (int i = 0; i < rpiSchedule.Count; i++) { ii.addFixing(rpiSchedule[i], fixData[i], true);// force overwrite in case multiple use } Datum[] nominalData = { new Datum(new Date(26, Month.November, 2009), 0.475), new Datum(new Date(2, Month.December, 2009), 0.47498), new Datum(new Date(29, Month.December, 2009), 0.49988), new Datum(new Date(25, Month.February, 2010), 0.59955), new Datum(new Date(18, Month.March, 2010), 0.65361), new Datum(new Date(25, Month.May, 2010), 0.82830), new Datum(new Date(17, Month.June, 2010), 0.7), new Datum(new Date(16, Month.September, 2010), 0.78960), new Datum(new Date(16, Month.December, 2010), 0.93762), new Datum(new Date(17, Month.March, 2011), 1.12037), new Datum(new Date(22, Month.September, 2011), 1.52011), new Datum(new Date(25, Month.November, 2011), 1.78399), new Datum(new Date(26, Month.November, 2012), 2.41170), new Datum(new Date(25, Month.November, 2013), 2.83935), new Datum(new Date(25, Month.November, 2014), 3.12888), new Datum(new Date(25, Month.November, 2015), 3.34298), new Datum(new Date(25, Month.November, 2016), 3.50632), new Datum(new Date(27, Month.November, 2017), 3.63666), new Datum(new Date(26, Month.November, 2018), 3.74723), new Datum(new Date(25, Month.November, 2019), 3.83988), new Datum(new Date(25, Month.November, 2021), 4.00508), new Datum(new Date(25, Month.November, 2024), 4.16042), new Datum(new Date(26, Month.November, 2029), 4.15577), new Datum(new Date(27, Month.November, 2034), 4.04933), new Datum(new Date(25, Month.November, 2039), 3.95217), new Datum(new Date(25, Month.November, 2049), 3.80932), new Datum(new Date(25, Month.November, 2059), 3.80849), new Datum(new Date(25, Month.November, 2069), 3.72677), new Datum(new Date(27, Month.November, 2079), 3.63082) }; int nominalDataLength = 30 - 1; List <Date> nomD = new List <Date>(); List <double> nomR = new List <double>(); for (int i = 0; i < nominalDataLength; i++) { nomD.Add(nominalData[i].date); nomR.Add(nominalData[i].rate / 100.0); } YieldTermStructure nominal = new InterpolatedZeroCurve <Linear>(nomD, nomR, dcNominal); nominalUK.linkTo(nominal); // now build the zero inflation curve observationLag = new Period(2, TimeUnit.Months); contractObservationLag = new Period(3, TimeUnit.Months); contractObservationInterpolation = InterpolationType.Flat; Datum[] zciisData = { new Datum(new Date(25, Month.November, 2010), 3.0495), new Datum(new Date(25, Month.November, 2011), 2.93), new Datum(new Date(26, Month.November, 2012), 2.9795), new Datum(new Date(25, Month.November, 2013), 3.029), new Datum(new Date(25, Month.November, 2014), 3.1425), new Datum(new Date(25, Month.November, 2015), 3.211), new Datum(new Date(25, Month.November, 2016), 3.2675), new Datum(new Date(25, Month.November, 2017), 3.3625), new Datum(new Date(25, Month.November, 2018), 3.405), new Datum(new Date(25, Month.November, 2019), 3.48), new Datum(new Date(25, Month.November, 2021), 3.576), new Datum(new Date(25, Month.November, 2024), 3.649), new Datum(new Date(26, Month.November, 2029), 3.751), new Datum(new Date(27, Month.November, 2034), 3.77225), new Datum(new Date(25, Month.November, 2039), 3.77), new Datum(new Date(25, Month.November, 2049), 3.734), new Datum(new Date(25, Month.November, 2059), 3.714) }; zciisDataLength = 17; for (int i = 0; i < zciisDataLength; i++) { zciisD.Add(zciisData[i].date); zciisR.Add(zciisData[i].rate); } // now build the helpers ... List <BootstrapHelper <ZeroInflationTermStructure> > helpers = makeHelpers(zciisData, zciisDataLength, ii, observationLag, calendar, convention, dcZCIIS); // we can use historical or first ZCIIS for this // we know historical is WAY off market-implied, so use market implied flat. double baseZeroRate = zciisData[0].rate / 100.0; PiecewiseZeroInflationCurve <Linear> pCPIts = new PiecewiseZeroInflationCurve <Linear>( evaluationDate, calendar, dcZCIIS, observationLag, ii.frequency(), ii.interpolated(), baseZeroRate, new Handle <YieldTermStructure>(nominalUK), helpers); pCPIts.recalculate(); cpiUK.linkTo(pCPIts); // make sure that the index has the latest zero inflation term structure hcpi.linkTo(pCPIts); }