public void testFlatHazardRate()
{
// Testing flat hazard rate...
double hazardRate = 0.0100;
Handle <Quote> hazardRateQuote = new Handle <Quote>(new SimpleQuote(hazardRate));
DayCounter dayCounter = new Actual360();
Calendar calendar = new TARGET();
int n = 20;
double tolerance = 1.0e-10;
Date today = Settings.evaluationDate();
Date startDate = today;
Date endDate = startDate;
FlatHazardRate flatHazardRate = new FlatHazardRate(today, hazardRateQuote, dayCounter);
for (int i = 0; i < n; i++)
{
endDate = calendar.advance(endDate, 1, TimeUnit.Years);
double t = dayCounter.yearFraction(startDate, endDate);
double probability = 1.0 - Math.Exp(-hazardRate * t);
double computedProbability = flatHazardRate.defaultProbability(t);
if (Math.Abs(probability - computedProbability) > tolerance)
{
QAssert.Fail("Failed to reproduce probability for flat hazard rate\n"
+ " calculated probability: " + computedProbability + "\n"
+ " expected probability: " + probability);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FlatHazardRate obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void testDefaultProbability()
{
// Testing default-probability structure...
double hazardRate = 0.0100;
Handle <Quote> hazardRateQuote = new Handle <Quote>(new SimpleQuote(hazardRate));
DayCounter dayCounter = new Actual360();
Calendar calendar = new TARGET();
int n = 20;
double tolerance = 1.0e-10;
Date today = Settings.evaluationDate();
Date startDate = today;
Date endDate = startDate;
FlatHazardRate flatHazardRate = new FlatHazardRate(startDate, hazardRateQuote, dayCounter);
for (int i = 0; i < n; i++)
{
startDate = endDate;
endDate = calendar.advance(endDate, 1, TimeUnit.Years);
double pStart = flatHazardRate.defaultProbability(startDate);
double pEnd = flatHazardRate.defaultProbability(endDate);
double pBetweenComputed =
flatHazardRate.defaultProbability(startDate, endDate);
double pBetween = pEnd - pStart;
if (Math.Abs(pBetween - pBetweenComputed) > tolerance)
{
QAssert.Fail("Failed to reproduce probability(d1, d2) "
+ "for default probability structure\n"
+ " calculated probability: " + pBetweenComputed + "\n"
+ " expected probability: " + pBetween);
}
double t2 = dayCounter.yearFraction(today, endDate);
double timeProbability = flatHazardRate.defaultProbability(t2);
double dateProbability =
flatHazardRate.defaultProbability(endDate);
if (Math.Abs(timeProbability - dateProbability) > tolerance)
{
QAssert.Fail("single-time probability and single-date probability do not match\n"
+ " time probability: " + timeProbability + "\n"
+ " date probability: " + dateProbability);
}
double t1 = dayCounter.yearFraction(today, startDate);
timeProbability = flatHazardRate.defaultProbability(t1, t2);
dateProbability = flatHazardRate.defaultProbability(startDate, endDate);
if (Math.Abs(timeProbability - dateProbability) > tolerance)
{
QAssert.Fail("double-time probability and double-date probability do not match\n"
+ " time probability: " + timeProbability + "\n"
+ " date probability: " + dateProbability);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FlatHazardRate obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
