protected CallableBond(int settlementDays,
Schedule schedule,
DayCounter paymentDayCounter,
Date issueDate = null,
CallabilitySchedule putCallSchedule = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
if (putCallSchedule == null)
{
putCallSchedule = new CallabilitySchedule();
}
paymentDayCounter_ = paymentDayCounter;
putCallSchedule_ = putCallSchedule;
maturityDate_ = schedule.dates().Last();
if (!putCallSchedule_.empty())
{
Date finalOptionDate = Date.minDate();
for (int i = 0; i < putCallSchedule_.Count; ++i)
{
finalOptionDate = Date.Max(finalOptionDate,
putCallSchedule_[i].date());
}
Utils.QL_REQUIRE(finalOptionDate <= maturityDate_, () => "Bond cannot mature before last call/put date");
}
// derived classes must set cashflows_ and frequency_
}
public ConvertibleFixedCouponBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
Date issueDate,
int settlementDays,
List <double> coupons,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(
exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule,
redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_,
dayCounter, schedule,
issueDate, settlementDays, redemption);
}
public CallabilitySchedule(CallabilitySchedule other) : this(NQuantLibcPINVOKE.new_CallabilitySchedule__SWIG_1(CallabilitySchedule.getCPtr(other)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public CallabilityScheduleEnumerator(CallabilitySchedule collection)
{
collectionRef = collection;
currentIndex = -1;
currentObject = null;
currentSize = collectionRef.Count;
}
public option(ConvertibleBond bond,
Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
List <CashFlow> cashflows,
DayCounter dayCounter,
Schedule schedule,
Date issueDate,
int settlementDays,
double redemption)
: base(new PlainVanillaPayoff(Option.Type.Call, (bond.notionals()[0]) / 100.0 * redemption / conversionRatio),
exercise)
{
bond_ = bond;
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
cashflows_ = cashflows;
dayCounter_ = dayCounter;
issueDate_ = issueDate;
schedule_ = schedule;
settlementDays_ = settlementDays;
redemption_ = redemption;
}
protected ConvertibleBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
Date issueDate,
int settlementDays,
Schedule schedule,
double redemption)
: base(settlementDays, schedule.calendar(), issueDate)
{
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
maturityDate_ = schedule.endDate();
if (!callability.empty())
{
Utils.QL_REQUIRE(callability.Last().date() <= maturityDate_, () =>
"last callability date ("
+ callability.Last().date()
+ ") later than maturity ("
+ maturityDate_.ToShortDateString() + ")");
}
creditSpread.registerWith(update);
}
public ConvertibleFloatingRateBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
Date issueDate,
int settlementDays,
IborIndex index,
int fixingDays,
List <double> spreads,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule, redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withSpreads(spreads)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List <double> {
redemption
});
Utils.QL_REQUIRE(redemptions_.Count == 1, "multiple redemptions created");
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
protected ConvertibleBond( Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
Schedule schedule,
double redemption)
: base(settlementDays, schedule.calendar(), issueDate)
{
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
maturityDate_ = schedule.endDate();
if (!callability.empty())
{
Utils.QL_REQUIRE( callability.Last().date() <= maturityDate_, () =>
"last callability date ("
+ callability.Last().date()
+ ") later than maturity ("
+ maturityDate_.ToShortDateString() + ")");
}
creditSpread.registerWith(update);
}
public void SetRange(int index, CallabilitySchedule values)
{
NQuantLibcPINVOKE.CallabilitySchedule_SetRange(swigCPtr, index, CallabilitySchedule.getCPtr(values));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public CallabilitySchedule GetRange(int index, int count)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.CallabilitySchedule_GetRange(swigCPtr, index, count);
CallabilitySchedule ret = (cPtr == global::System.IntPtr.Zero) ? null : new CallabilitySchedule(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public static CallabilitySchedule Repeat(Callability value, int count)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.CallabilitySchedule_Repeat(Callability.getCPtr(value), count);
CallabilitySchedule ret = (cPtr == global::System.IntPtr.Zero) ? null : new CallabilitySchedule(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public CallableFixedRateBond(int settlementDays,
double faceAmount,
Schedule schedule,
List <double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100.0,
Date issueDate = null,
CallabilitySchedule putCallSchedule = null)
: base(settlementDays, schedule, accrualDayCounter, issueDate, putCallSchedule)
{
if (putCallSchedule == null)
{
putCallSchedule = new CallabilitySchedule();
}
frequency_ = schedule.tenor().frequency();
bool isZeroCouponBond = (coupons.Count == 1 && Utils.close(coupons[0], 0.0));
if (!isZeroCouponBond)
{
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
}
else
{
Date redemptionDate = calendar_.adjust(maturityDate_, paymentConvention);
setSingleRedemption(faceAmount, redemption, redemptionDate);
}
// used for impliedVolatility() calculation
SimpleQuote dummyVolQuote = new SimpleQuote(0.0);
blackVolQuote_.linkTo(dummyVolQuote);
blackEngine_ = new BlackCallableFixedRateBondEngine(blackVolQuote_, blackDiscountCurve_);
}
public CallableZeroCouponBond(int settlementDays,
double faceAmount,
Calendar calendar,
Date maturityDate,
DayCounter dayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100.0,
Date issueDate = null,
CallabilitySchedule putCallSchedule = null)
: base(settlementDays, faceAmount, new Schedule(issueDate, maturityDate,
new Period(Frequency.Once),
calendar,
paymentConvention,
paymentConvention,
DateGeneration.Rule.Backward,
false),
new List <double>() { 0.0 }, dayCounter, paymentConvention, redemption, issueDate, putCallSchedule)
{
}
public ConvertibleZeroCouponBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
Date issueDate,
int settlementDays,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule, redemption)
{
cashflows_ = new List <CashFlow>();
// !!! notional forcibly set to 100
setSingleRedemption(100.0, redemption, maturityDate_);
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
public ConvertibleFixedCouponBond( Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
List<double> coupons,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule, redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List<double>(){redemption});
Utils.QL_REQUIRE(redemptions_.Count == 1, "multiple redemptions created");
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
public ConvertibleZeroCouponBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays,schedule, redemption)
{
cashflows_ = new List<CashFlow>();
// !!! notional forcibly set to 100
setSingleRedemption(100.0, redemption, maturityDate_);
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
public ConvertibleFloatingRateBond( Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
IborIndex index,
int fixingDays,
List<double> spreads,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule, redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withSpreads(spreads)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List<double>{redemption});
Utils.QL_REQUIRE( redemptions_.Count == 1, () => "multiple redemptions created" );
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
//public class engine;
public option( ConvertibleBond bond,
Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
List<CashFlow> cashflows,
DayCounter dayCounter,
Schedule schedule,
Date issueDate,
int settlementDays,
double redemption)
:base(new PlainVanillaPayoff(Option.Type.Call, (bond.notionals()[0])/100.0 *redemption/conversionRatio), exercise)
{
bond_ = bond;
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
cashflows_ = cashflows;
dayCounter_ = dayCounter;
issueDate_ = issueDate;
schedule_ = schedule;
settlementDays_ = settlementDays;
redemption_ = redemption;
}
static void Main(string[] args)
{
try
{
Option.Type type = Option.Type.Put;
double underlying = 36.0;
double spreadRate = 0.005;
double dividendYield = 0.02;
double riskFreeRate = 0.06;
double volatility = 0.2;
int settlementDays = 3;
int length = 5;
double redemption = 100.0;
double conversionRatio = redemption / underlying; // at the money
// set up dates/schedules
Calendar calendar = new TARGET();
Date today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
Date settlementDate = calendar.advance(today, settlementDays, TimeUnit.Days);
Date exerciseDate = calendar.advance(settlementDate, length, TimeUnit.Years);
Date issueDate = calendar.advance(exerciseDate, -length, TimeUnit.Years);
BusinessDayConvention convention = BusinessDayConvention.ModifiedFollowing;
Frequency frequency = Frequency.Annual;
Schedule schedule = new Schedule(issueDate, exerciseDate,
new Period(frequency), calendar, convention, convention,
DateGeneration.Rule.Backward, false);
DividendSchedule dividends = new DividendSchedule();
CallabilitySchedule callability = new CallabilitySchedule();
List <double> coupons = new InitializedList <double>(1, 0.05);
DayCounter bondDayCount = new Thirty360();
int[] callLength = { 2, 4 }; // Call dates, years 2,4.
int[] putLength = { 3 }; // Put dates year 3.
double[] callPrices = { 101.5, 100.85 };
double[] putPrices = { 105.0 };
// Load call schedules
for (int i = 0; i < callLength.Length; i++)
{
SoftCallability s = new SoftCallability(
new Callability.Price(callPrices[i], Callability.Price.Type.Clean), schedule.date(callLength[i]),
1.20);
callability.Add(s);
}
for (int j = 0; j < putLength.Length; j++)
{
Callability s = new Callability(new Callability.Price(putPrices[j], Callability.Price.Type.Clean),
Callability.Type.Put, schedule.date(putLength[j]));
callability.Add(s);
}
// Assume dividends are paid every 6 months .
for (Date d = today + new Period(6, TimeUnit.Months); d < exerciseDate; d += new Period(6, TimeUnit.Months))
{
Dividend div = new FixedDividend(1.0, d);
dividends.Add(div);
}
DayCounter dayCounter = new Actual365Fixed();
double maturity = dayCounter.yearFraction(settlementDate, exerciseDate);
Console.WriteLine("option type = " + type);
Console.WriteLine("Time to maturity = " + maturity);
Console.WriteLine("Underlying price = " + underlying);
Console.WriteLine("Risk-free interest rate = {0:0.0%}", riskFreeRate);
Console.WriteLine("Dividend yield = {0:0.0%}%", dividendYield);
Console.WriteLine("Volatility = {0:0.0%}%", volatility);
Console.WriteLine("");
// write column headings
int[] widths = { 35, 14, 14 };
int totalWidth = widths[0] + widths[1] + widths[2];
string rule = new string('-', totalWidth);
string dblrule = new string('=', totalWidth);
Console.WriteLine(dblrule);
Console.WriteLine("Tsiveriotis-Fernandes method");
Console.WriteLine(dblrule);
Console.WriteLine("Tree Type European American ");
Console.WriteLine(rule);
Exercise exercise = new EuropeanExercise(exerciseDate);
Exercise amexercise = new AmericanExercise(settlementDate, exerciseDate);
Handle <Quote> underlyingH = new Handle <Quote>(new SimpleQuote(underlying));
Handle <YieldTermStructure> flatTermStructure =
new Handle <YieldTermStructure>(new FlatForward(settlementDate, riskFreeRate, dayCounter));
Handle <YieldTermStructure> flatDividendTS =
new Handle <YieldTermStructure>(new FlatForward(settlementDate, dividendYield, dayCounter));
Handle <BlackVolTermStructure> flatVolTS =
new Handle <BlackVolTermStructure>(new BlackConstantVol(settlementDate, calendar, volatility,
dayCounter));
BlackScholesMertonProcess stochasticProcess =
new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);
int timeSteps = 801;
Handle <Quote> creditSpread = new Handle <Quote>(new SimpleQuote(spreadRate));
Quote rate = new SimpleQuote(riskFreeRate);
Handle <YieldTermStructure> discountCurve =
new Handle <YieldTermStructure>(new FlatForward(today, new Handle <Quote>(rate), dayCounter));
IPricingEngine engine = new BinomialConvertibleEngine <JarrowRudd>(stochasticProcess, timeSteps);
ConvertibleFixedCouponBond europeanBond = new ConvertibleFixedCouponBond(exercise, conversionRatio,
dividends, callability, creditSpread, issueDate, settlementDays, coupons, bondDayCount, schedule,
redemption);
europeanBond.setPricingEngine(engine);
ConvertibleFixedCouponBond americanBond = new ConvertibleFixedCouponBond(amexercise, conversionRatio,
dividends, callability, creditSpread, issueDate, settlementDays, coupons, bondDayCount, schedule,
redemption);
americanBond.setPricingEngine(engine);
Console.WriteLine("Jarrow-Rudd {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <CoxRossRubinstein>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <CoxRossRubinstein>(stochasticProcess, timeSteps));
Console.WriteLine("CoxRossRubinstein {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <AdditiveEQPBinomialTree>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <AdditiveEQPBinomialTree>(stochasticProcess, timeSteps));
Console.WriteLine("AdditiveEQPBinomialTree {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <Trigeorgis>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <Trigeorgis>(stochasticProcess, timeSteps));
Console.WriteLine("Trigeorgis {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <Tian>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <Tian>(stochasticProcess, timeSteps));
Console.WriteLine("Tian {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <LeisenReimer>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <LeisenReimer>(stochasticProcess, timeSteps));
Console.WriteLine("LeisenReimer {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
americanBond.setPricingEngine(new BinomialConvertibleEngine <Joshi4>(stochasticProcess, timeSteps));
europeanBond.setPricingEngine(new BinomialConvertibleEngine <Joshi4>(stochasticProcess, timeSteps));
Console.WriteLine("Joshi4 {0:0.000000} {1:0.000000}", europeanBond.NPV(), americanBond.NPV());
Console.WriteLine("===========================================================================");
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
Console.ReadKey();
}
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");
}
public ConvertibleFloatingRateBond(Exercise exercise, double conversionRatio, DividendSchedule dividends, CallabilitySchedule callability, QuoteHandle creditSpread, Date issueDate, int settlementDays, IborIndex index, int fixingDays, DoubleVector spreads, DayCounter dayCounter, Schedule schedule) : this(NQuantLibcPINVOKE.new_ConvertibleFloatingRateBond__SWIG_1(Exercise.getCPtr(exercise), conversionRatio, DividendSchedule.getCPtr(dividends), CallabilitySchedule.getCPtr(callability), QuoteHandle.getCPtr(creditSpread), Date.getCPtr(issueDate), settlementDays, IborIndex.getCPtr(index), fixingDays, DoubleVector.getCPtr(spreads), DayCounter.getCPtr(dayCounter), Schedule.getCPtr(schedule)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CallabilitySchedule obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
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, quarterly coupon and call dates");
Console.WriteLine("reference date is : " + today.ToLongDateString());
Console.WriteLine("");
/* 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("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 96,50 / 5,47");
Console.WriteLine("");
//
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("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 95,68 / 5,66");
Console.WriteLine("");
//
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("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 92,34 / 6,49");
Console.WriteLine("");
//
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("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 87,16 / 7,83");
Console.WriteLine("");
//
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("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 77,31 / 10,65");
}
public ConvertibleFixedCouponBond(Exercise exercise, double conversionRatio, DividendSchedule dividends, CallabilitySchedule callability, QuoteHandle creditSpread, Date issueDate, int settlementDays, DoubleVector coupons, DayCounter dayCounter, Schedule schedule) : this(NQuantLibcPINVOKE.new_ConvertibleFixedCouponBond__SWIG_1(Exercise.getCPtr(exercise), conversionRatio, DividendSchedule.getCPtr(dividends), CallabilitySchedule.getCPtr(callability), QuoteHandle.getCPtr(creditSpread), Date.getCPtr(issueDate), settlementDays, DoubleVector.getCPtr(coupons), DayCounter.getCPtr(dayCounter), Schedule.getCPtr(schedule)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ConvertibleFloatingRateBond(Exercise exercise, double conversionRatio, DividendSchedule dividends, CallabilitySchedule callability, QuoteHandle creditSpread, Date issueDate, int settlementDays, IborIndex index, int fixingDays, DoubleVector spreads, DayCounter dayCounter, Schedule schedule, double redemption) : this(NQuantLibcPINVOKE.new_ConvertibleFloatingRateBond__SWIG_0(Exercise.getCPtr(exercise), conversionRatio, DividendSchedule.getCPtr(dividends), CallabilitySchedule.getCPtr(callability), QuoteHandle.getCPtr(creditSpread), Date.getCPtr(issueDate), settlementDays, IborIndex.getCPtr(index), fixingDays, DoubleVector.getCPtr(spreads), DayCounter.getCPtr(dayCounter), Schedule.getCPtr(schedule), redemption), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ConvertibleFixedCouponBond(Exercise exercise, double conversionRatio, DividendSchedule dividends, CallabilitySchedule callability, QuoteHandle creditSpread, Date issueDate, int settlementDays, DoubleVector coupons, DayCounter dayCounter, Schedule schedule, double redemption) : this(NQuantLibcPINVOKE.new_ConvertibleFixedCouponBond__SWIG_0(Exercise.getCPtr(exercise), conversionRatio, DividendSchedule.getCPtr(dividends), CallabilitySchedule.getCPtr(callability), QuoteHandle.getCPtr(creditSpread), Date.getCPtr(issueDate), settlementDays, DoubleVector.getCPtr(coupons), DayCounter.getCPtr(dayCounter), Schedule.getCPtr(schedule), redemption), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public void testRegression()
{
// Testing fixed-coupon convertible bond in known regression case
Date today = new Date(23, Month.December, 2008);
Date tomorrow = today + 1;
Settings.Instance.setEvaluationDate(tomorrow);
Handle <Quote> u = new Handle <Quote>(new SimpleQuote(2.9084382818797443));
List <Date> dates = new InitializedList <Date>(25);
List <double> forwards = new InitializedList <double>(25);
dates[0] = new Date(29, Month.December, 2008); forwards[0] = 0.0025999342800;
dates[1] = new Date(5, Month.January, 2009); forwards[1] = 0.0025999342800;
dates[2] = new Date(29, Month.January, 2009); forwards[2] = 0.0053123275500;
dates[3] = new Date(27, Month.February, 2009); forwards[3] = 0.0197049598721;
dates[4] = new Date(30, Month.March, 2009); forwards[4] = 0.0220524845296;
dates[5] = new Date(29, Month.June, 2009); forwards[5] = 0.0217076395643;
dates[6] = new Date(29, Month.December, 2009); forwards[6] = 0.0230349627478;
dates[7] = new Date(29, Month.December, 2010); forwards[7] = 0.0087631647476;
dates[8] = new Date(29, Month.December, 2011); forwards[8] = 0.0219084299499;
dates[9] = new Date(31, Month.December, 2012); forwards[9] = 0.0244798766219;
dates[10] = new Date(30, Month.December, 2013); forwards[10] = 0.0267885498456;
dates[11] = new Date(29, Month.December, 2014); forwards[11] = 0.0266922867562;
dates[12] = new Date(29, Month.December, 2015); forwards[12] = 0.0271052126386;
dates[13] = new Date(29, Month.December, 2016); forwards[13] = 0.0268829891648;
dates[14] = new Date(29, Month.December, 2017); forwards[14] = 0.0264594744498;
dates[15] = new Date(31, Month.December, 2018); forwards[15] = 0.0273450367424;
dates[16] = new Date(30, Month.December, 2019); forwards[16] = 0.0294852614749;
dates[17] = new Date(29, Month.December, 2020); forwards[17] = 0.0285556119719;
dates[18] = new Date(29, Month.December, 2021); forwards[18] = 0.0305557764659;
dates[19] = new Date(29, Month.December, 2022); forwards[19] = 0.0292244738422;
dates[20] = new Date(29, Month.December, 2023); forwards[20] = 0.0263917004194;
dates[21] = new Date(29, Month.December, 2028); forwards[21] = 0.0239626970243;
dates[22] = new Date(29, Month.December, 2033); forwards[22] = 0.0216417108090;
dates[23] = new Date(29, Month.December, 2038); forwards[23] = 0.0228343838422;
dates[24] = new Date(31, Month.December, 2199); forwards[24] = 0.0228343838422;
Handle <YieldTermStructure> r = new Handle <YieldTermStructure>(new InterpolatedForwardCurve <BackwardFlat>(dates, forwards, new Actual360()));
Handle <BlackVolTermStructure> sigma = new Handle <BlackVolTermStructure>(new BlackConstantVol(tomorrow, new NullCalendar(), 21.685235548092248,
new Thirty360(Thirty360.Thirty360Convention.BondBasis)));
BlackProcess process = new BlackProcess(u, r, sigma);
Handle <Quote> spread = new Handle <Quote>(new SimpleQuote(0.11498700678012874));
Date issueDate = new Date(23, Month.July, 2008);
Date maturityDate = new Date(1, Month.August, 2013);
Calendar calendar = new UnitedStates();
Schedule schedule = new MakeSchedule().from(issueDate)
.to(maturityDate)
.withTenor(new Period(6, TimeUnit.Months))
.withCalendar(calendar)
.withConvention(BusinessDayConvention.Unadjusted).value();
int settlementDays = 3;
Exercise exercise = new EuropeanExercise(maturityDate);
double conversionRatio = 100.0 / 20.3175;
List <double> coupons = new InitializedList <double>(schedule.size() - 1, 0.05);
DayCounter dayCounter = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
CallabilitySchedule no_callability = new CallabilitySchedule();
DividendSchedule no_dividends = new DividendSchedule();
double redemption = 100.0;
ConvertibleFixedCouponBond bond = new ConvertibleFixedCouponBond(exercise, conversionRatio,
no_dividends, no_callability,
spread, issueDate, settlementDays,
coupons, dayCounter,
schedule, redemption);
bond.setPricingEngine(new BinomialConvertibleEngine <CoxRossRubinstein> (process, 600));
try
{
double x = bond.NPV(); // should throw; if not, an INF was not detected.
QAssert.Fail("INF result was not detected: " + x + " returned");
}
catch (Exception)
{
// as expected. Do nothing.
// Note: we're expecting an Error we threw, not just any
// exception. If something else is thrown, then there's
// another problem and the test must fail.
}
}
public CallableFixedRateBond(int settlementDays, double faceAmount, Schedule schedule, DoubleVector coupons, DayCounter accrualDayCounter, BusinessDayConvention paymentConvention, double redemption, Date issueDate, CallabilitySchedule putCallSchedule) : this(NQuantLibcPINVOKE.new_CallableFixedRateBond(settlementDays, faceAmount, Schedule.getCPtr(schedule), DoubleVector.getCPtr(coupons), DayCounter.getCPtr(accrualDayCounter), (int)paymentConvention, redemption, Date.getCPtr(issueDate), CallabilitySchedule.getCPtr(putCallSchedule)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
