public void testSetInterpolationFactory()
{
// Testing factory constructor with additional parameters...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
SimpleQuote spread3 = new SimpleQuote(0.01);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
spreads.Add(new Handle <Quote>(spread3));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 8, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 15, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 25, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 11, TimeUnit.Months);
ZeroYieldStructure spreadedTermStructure;
Frequency freq = Frequency.NoFrequency;
Cubic factory = new Cubic(CubicInterpolation.DerivativeApprox.Spline,
false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0);
spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure <Cubic>(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates, vars.compounding,
freq, vars.dayCount, factory);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
0.026065770863;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testQuoteChanging()
{
// Testing quote update...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 100, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 150, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure <BackwardFlat>(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.settlementDate, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
0.03;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
spread2.setValue(0.025);
interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
0.025;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testLinearInterpolation()
{
// Testing linear interpolation between two dates...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 100, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 150, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure <Linear>(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
Date d0 = vars.calendar.advance(vars.today, 100, TimeUnit.Days);
Date d1 = vars.calendar.advance(vars.today, 150, TimeUnit.Days);
Date d2 = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
double m = (0.03 - 0.02) / vars.dayCount.yearFraction(d0, d1);
double expectedRate = m * vars.dayCount.yearFraction(d0, d2) + 0.054;
double t = vars.dayCount.yearFraction(vars.settlementDate, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testForwardFlatInterpolation()
{
// Testing forward flat interpolation between two dates...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 75, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 260, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 100, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure <ForwardFlat>(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread1.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
Assert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testBackwardFlatInterpolation()
{
// Testing backward flat interpolation between two dates...
CommonVars vars = new CommonVars();
List<Handle<Quote>> spreads = new List<Handle<Quote>>();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
SimpleQuote spread3 = new SimpleQuote(0.04);
spreads.Add(new Handle<Quote>(spread1));
spreads.Add(new Handle<Quote>(spread2));
spreads.Add(new Handle<Quote>(spread3));
List<Date> spreadDates = new List<Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 100, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 200, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 300, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 110, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure<BackwardFlat>(
new Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread2.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
Assert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
public void testSetInterpolationFactory()
{
// Testing factory constructor with additional parameters...
CommonVars vars = new CommonVars();
List<Handle<Quote>> spreads = new List<Handle<Quote>>();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
SimpleQuote spread3 = new SimpleQuote(0.01);
spreads.Add(new Handle<Quote>(spread1));
spreads.Add(new Handle<Quote>(spread2));
spreads.Add(new Handle<Quote>(spread3));
List<Date> spreadDates = new List<Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 8, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 15, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 25, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 11, TimeUnit.Months);
ZeroYieldStructure spreadedTermStructure;
Frequency freq = Frequency.NoFrequency;
Cubic factory = new Cubic(CubicInterpolation.DerivativeApprox.Spline,
false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0);
spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure<Cubic>(
new Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates, vars.compounding,
freq, vars.dayCount, factory);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
0.026065770863;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
Assert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
public void testLinearInterpolation()
{
// Testing linear interpolation between two dates...
CommonVars vars = new CommonVars();
List<Handle<Quote>> spreads = new List<Handle<Quote>>();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle<Quote>(spread1));
spreads.Add(new Handle<Quote>(spread2));
List<Date> spreadDates = new List<Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 100, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 150, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new InterpolatedPiecewiseZeroSpreadedTermStructure<Linear>(
new Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
Date d0 = vars.calendar.advance(vars.today, 100, TimeUnit.Days);
Date d1 = vars.calendar.advance(vars.today, 150, TimeUnit.Days);
Date d2 = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
double m = (0.03 - 0.02) / vars.dayCount.yearFraction(d0, d1);
double expectedRate = m * vars.dayCount.yearFraction(d0, d2) + 0.054;
double t = vars.dayCount.yearFraction(vars.settlementDate, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
Assert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
