public void testImpliedValue()
{
// Testing implied bond value against asset-swap fair price with null spread
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Schedule fixedBondSchedule1 = new Schedule( new Date(4,Month.January,2005),
new Date(4,Month.January,2037),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond1 = new FixedRateBond(settlementDays, vars.faceAmount,
fixedBondSchedule1,
new List<double>(){0.04},
new ActualActual(ActualActual.Convention.ISDA),
BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixedRate, fixedBond1, fixedBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondAssetSwapPrice1-fixedBondPrice1);
if (error1>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:" +
"\n bond's clean price: " + fixedBondPrice1 +
"\n asset swap fair price: " + fixedBondAssetSwapPrice1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Schedule fixedBondSchedule2 = new Schedule( new Date(5,Month.February,2005),
new Date(5,Month.February,2019),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond fixedBond2 = new FixedRateBond(settlementDays, vars.faceAmount,
fixedBondSchedule2,
new List<double>(){0.05},
new Thirty360(Thirty360.Thirty360Convention.BondBasis),
BusinessDayConvention.Following,
100.0, new Date(5,Month.February,2005));
fixedBond2.setPricingEngine(bondEngine);
double fixedBondPrice2 = fixedBond2.cleanPrice();
AssetSwap fixedBondAssetSwap2 = new AssetSwap(payFixedRate, fixedBond2, fixedBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
fixedBondAssetSwap2.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice2 = fixedBondAssetSwap2.fairCleanPrice();
double error2 = Math.Abs(fixedBondAssetSwapPrice2-fixedBondPrice2);
if (error2>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:" +
"\n bond's clean price: " + fixedBondPrice2 +
"\n asset swap fair price: " + fixedBondAssetSwapPrice2 +
"\n error: " + error2 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Schedule floatingBondSchedule1 = new Schedule( new Date(29,Month.September,2003),
new Date(29,Month.September,2013),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond floatingBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule1,
vars.iborIndex, new Actual360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){1},
new List<double>(){0.0056},
new List<double>(),
new List<double>(),
inArrears,
100.0, new Date(29,Month.September,2003));
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondPrice1 = floatingBond1.cleanPrice();
AssetSwap floatingBondAssetSwap1 = new AssetSwap(payFixedRate, floatingBond1, floatingBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
floatingBondAssetSwap1.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice1 = floatingBondAssetSwap1.fairCleanPrice();
double error3 = Math.Abs(floatingBondAssetSwapPrice1-floatingBondPrice1);
if (error3>tolerance) {
Assert.Fail("wrong zero spread asset swap price for floater:" +
"\n bond's clean price: " + floatingBondPrice1 +
"\n asset swap fair price: " + floatingBondAssetSwapPrice1 +
"\n error: " + error3 +
"\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Schedule floatingBondSchedule2 = new Schedule( new Date(24,Month.September,2004),
new Date(24,Month.September,2018),
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
Bond floatingBond2 = new FloatingRateBond( settlementDays, vars.faceAmount,
floatingBondSchedule2,
vars.iborIndex, new Actual360(),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List<double>(){1},
new List<double>(){0.0025},
new List<double>(),
new List<double>(),
inArrears,
100.0, new Date(24,Month.September,2004));
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing( new Date(22,Month.March,2007), 0.04013);
double currentCoupon=0.04013+0.0025;
double floatingCurrentCoupon= floatingBond2.nextCouponRate();
double error4= Math.Abs(floatingCurrentCoupon-currentCoupon);
if (error4>tolerance) {
Assert.Fail("wrong current coupon is returned for floater bond:" +
"\n bond's calculated current coupon: " +
currentCoupon +
"\n current coupon asked to the bond: " +
floatingCurrentCoupon +
"\n error: " + error4 +
"\n tolerance: " + tolerance);
}
double floatingBondPrice2 = floatingBond2.cleanPrice();
AssetSwap floatingBondAssetSwap2 = new AssetSwap(payFixedRate,floatingBond2, floatingBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
floatingBondAssetSwap2.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice2 = floatingBondAssetSwap2.fairCleanPrice();
double error5 = Math.Abs(floatingBondAssetSwapPrice2-floatingBondPrice2);
if (error5>tolerance) {
Assert.Fail("wrong zero spread asset swap price for floater:" +
"\n bond's clean price: " + floatingBondPrice2 +
"\n asset swap fair price: " + floatingBondAssetSwapPrice2 +
"\n error: " + error5 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Schedule cmsBondSchedule1 = new Schedule( new Date(22,Month.August,2005),
new Date(22,Month.August,2020),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond1 = new CmsRateBond(settlementDays, vars.faceAmount,
cmsBondSchedule1,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){1.0},
new List<double>(){0.0},
new List<double>(){0.055},
new List<double>(){0.025},
inArrears,
100.0, new Date(22,Month.August,2005));
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing( new Date(18,Month.August,2006), 0.04158);
double cmsBondPrice1 = cmsBond1.cleanPrice();
AssetSwap cmsBondAssetSwap1 = new AssetSwap(payFixedRate, cmsBond1, cmsBondPrice1, vars.iborIndex, vars.spread,
null,vars.iborIndex.dayCounter(), parAssetSwap);
cmsBondAssetSwap1.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice1 = cmsBondAssetSwap1.fairCleanPrice();
double error6 = Math.Abs(cmsBondAssetSwapPrice1-cmsBondPrice1);
if (error6>tolerance) {
Assert.Fail("wrong zero spread asset swap price for cms bond:" +
"\n bond's clean price: " + cmsBondPrice1 +
"\n asset swap fair price: " + cmsBondAssetSwapPrice1 +
"\n error: " + error6 +
"\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Schedule cmsBondSchedule2 = new Schedule( new Date(06,Month.May,2005),
new Date(06,Month.May,2015),
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
Bond cmsBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>(){0.84}, new List<double>(){0.0},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(06,Month.May,2005));
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing( new Date(04,Month.May,2006), 0.04217);
double cmsBondPrice2 = cmsBond2.cleanPrice();
AssetSwap cmsBondAssetSwap2 = new AssetSwap(payFixedRate,cmsBond2, cmsBondPrice2, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
cmsBondAssetSwap2.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice2 = cmsBondAssetSwap2.fairCleanPrice();
double error7 = Math.Abs(cmsBondAssetSwapPrice2-cmsBondPrice2);
if (error7>tolerance) {
Assert.Fail("wrong zero spread asset swap price for cms bond:" +
"\n bond's clean price: " + cmsBondPrice2 +
"\n asset swap fair price: " + cmsBondAssetSwapPrice2 +
"\n error: " + error7 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Bond zeroCpnBond1 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(20,Month.December,2015),
BusinessDayConvention.Following,
100.0, new Date(19,Month.December,1985));
zeroCpnBond1.setPricingEngine(bondEngine);
double zeroCpnBondPrice1 = zeroCpnBond1.cleanPrice();
AssetSwap zeroCpnAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1, zeroCpnBondPrice1, vars.iborIndex, vars.spread,
null, vars.iborIndex.dayCounter(), parAssetSwap);
zeroCpnAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice1 = zeroCpnAssetSwap1.fairCleanPrice();
double error8 = Math.Abs(cmsBondAssetSwapPrice1-cmsBondPrice1);
if (error8>tolerance) {
Assert.Fail("wrong zero spread asset swap price for zero cpn bond:" +
"\n bond's clean price: " + zeroCpnBondPrice1 +
"\n asset swap fair price: " + zeroCpnBondAssetSwapPrice1 +
"\n error: " + error8 +
"\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Bond zeroCpnBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(17,Month.February,2028),
BusinessDayConvention.Following,
100.0, new Date(17,Month.February,1998));
zeroCpnBond2.setPricingEngine(bondEngine);
double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
AssetSwap zeroCpnAssetSwap2 = new AssetSwap(payFixedRate, zeroCpnBond2, zeroCpnBondPrice2, vars.iborIndex, vars.spread,
null,vars.iborIndex.dayCounter(), parAssetSwap);
zeroCpnAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice2 = zeroCpnAssetSwap2.fairCleanPrice();
double error9 = Math.Abs(cmsBondAssetSwapPrice2-cmsBondPrice2);
if (error9>tolerance) {
Assert.Fail("wrong zero spread asset swap price for zero cpn bond:" +
"\n bond's clean price: " + zeroCpnBondPrice2 +
"\n asset swap fair price: " + zeroCpnBondAssetSwapPrice2 +
"\n error: " + error9 +
"\n tolerance: " + tolerance);
}
}
static void Main(string[] args) {
DateTime timer = DateTime.Now;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = new TARGET();
Date settlementDate = new Date(18, Month.September, 2008);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
int fixingDays = 3;
int settlementDays = 3;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
// nothing to do with Date::todaysDate
Settings.setEvaluationDate(todaysDate);
Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);
// Building of the bonds discounting yield curve
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// Common data
// ZC rates for the short end
double zc3mQuote=0.0096;
double zc6mQuote=0.0145;
double zc1yQuote=0.0194;
Quote zc3mRate = new SimpleQuote(zc3mQuote);
Quote zc6mRate = new SimpleQuote(zc6mQuote);
Quote zc1yRate = new SimpleQuote(zc1yQuote);
DayCounter zcBondsDayCounter = new Actual365Fixed();
RateHelper zc3m = new DepositRateHelper(new Handle<Quote>(zc3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc6m = new DepositRateHelper(new Handle<Quote>(zc6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
RateHelper zc1y = new DepositRateHelper(new Handle<Quote>(zc1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, zcBondsDayCounter);
// setup bonds
double redemption = 100.0;
const int numberOfBonds = 5;
Date[] issueDates = {
new Date (15, Month.March, 2005),
new Date (15, Month.June, 2005),
new Date (30, Month.June, 2006),
new Date (15, Month.November, 2002),
new Date (15, Month.May, 1987)
};
Date[] maturities = {
new Date (31, Month.August, 2010),
new Date (31, Month.August, 2011),
new Date (31, Month.August, 2013),
new Date (15, Month.August, 2018),
new Date (15, Month.May, 2038)
};
double[] couponRates = {
0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
double[] marketQuotes = {
100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
List<SimpleQuote> quote = new List<SimpleQuote>();
for (int i=0; i<numberOfBonds; i++) {
SimpleQuote cp = new SimpleQuote(marketQuotes[i]);
quote.Add(cp);
}
List<RelinkableHandle<Quote>> quoteHandle = new InitializedList<RelinkableHandle<Quote>>(numberOfBonds);
for (int i=0; i<numberOfBonds; i++) {
quoteHandle[i].linkTo(quote[i]);
}
// Definition of the rate helpers
List<FixedRateBondHelper> bondsHelpers = new List<FixedRateBondHelper>();
for (int i=0; i<numberOfBonds; i++) {
Schedule schedule = new Schedule(issueDates[i], maturities[i], new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBondHelper bondHelper = new FixedRateBondHelper(quoteHandle[i],
settlementDays,
100.0,
schedule,
new List<double>() { couponRates[i] },
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.Unadjusted,
redemption,
issueDates[i]);
bondsHelpers.Add(bondHelper);
}
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);
double tolerance = 1.0e-15;
// A depo-bond curve
List<RateHelper> bondInstruments = new List<RateHelper>();
// Adding the ZC bonds to the curve for the short end
bondInstruments.Add(zc3m);
bondInstruments.Add(zc6m);
bondInstruments.Add(zc1y);
// Adding the Fixed rate bonds to the curve for the long end
for (int i=0; i<numberOfBonds; i++) {
bondInstruments.Add(bondsHelpers[i]);
}
YieldTermStructure bondDiscountingTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, bondInstruments,
termStructureDayCounter,
new List<Handle<Quote>>(),
new List<Date>(),
tolerance);
// Building of the Libor forecasting curve
// deposits
double d1wQuote=0.043375;
double d1mQuote=0.031875;
double d3mQuote=0.0320375;
double d6mQuote=0.03385;
double d9mQuote=0.0338125;
double d1yQuote=0.0335125;
// swaps
double s2yQuote=0.0295;
double s3yQuote=0.0323;
double s5yQuote=0.0359;
double s10yQuote=0.0412;
double s15yQuote=0.0433;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
Quote d1wRate = new SimpleQuote(d1wQuote);
Quote d1mRate = new SimpleQuote(d1mQuote);
Quote d3mRate = new SimpleQuote(d3mQuote);
Quote d6mRate = new SimpleQuote(d6mQuote);
Quote d9mRate = new SimpleQuote(d9mQuote);
Quote d1yRate = new SimpleQuote(d1yQuote);
// swaps
Quote s2yRate = new SimpleQuote(s2yQuote);
Quote s3yRate = new SimpleQuote(s3yQuote);
Quote s5yRate = new SimpleQuote(s5yQuote);
Quote s10yRate = new SimpleQuote(s10yQuote);
Quote s15yRate = new SimpleQuote(s15yQuote);
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = new Actual360();
RateHelper d1w = new DepositRateHelper(
new Handle<Quote>(d1wRate),
new Period(1, TimeUnit.Weeks), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1m = new DepositRateHelper(
new Handle<Quote>(d1mRate),
new Period(1, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d3m = new DepositRateHelper(
new Handle<Quote>(d3mRate),
new Period(3, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d6m = new DepositRateHelper(
new Handle<Quote>(d6mRate),
new Period(6, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d9m = new DepositRateHelper(
new Handle<Quote>(d9mRate),
new Period(9, TimeUnit.Months), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
RateHelper d1y = new DepositRateHelper(
new Handle<Quote>(d1yRate),
new Period(1, TimeUnit.Years), fixingDays,
calendar, BusinessDayConvention.ModifiedFollowing,
true, depositDayCounter);
// setup swaps
Frequency swFixedLegFrequency =Frequency.Annual;
BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
IborIndex swFloatingLegIndex = new Euribor6M();
Period forwardStart = new Period(1, TimeUnit.Days);
RateHelper s2y = new SwapRateHelper(
new Handle<Quote>(s2yRate), new Period(2, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s3y = new SwapRateHelper(
new Handle<Quote>(s3yRate), new Period(3, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s5y = new SwapRateHelper(
new Handle<Quote>(s5yRate), new Period(5, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s10y = new SwapRateHelper(
new Handle<Quote>(s10yRate), new Period(10, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
RateHelper s15y = new SwapRateHelper(
new Handle<Quote>(s15yRate), new Period(15, TimeUnit.Years),
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, new Handle<Quote>(),forwardStart);
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
// A depo-swap curve
List<RateHelper> depoSwapInstruments = new List<RateHelper>();
depoSwapInstruments.Add(d1w);
depoSwapInstruments.Add(d1m);
depoSwapInstruments.Add(d3m);
depoSwapInstruments.Add(d6m);
depoSwapInstruments.Add(d9m);
depoSwapInstruments.Add(d1y);
depoSwapInstruments.Add(s2y);
depoSwapInstruments.Add(s3y);
depoSwapInstruments.Add(s5y);
depoSwapInstruments.Add(s10y);
depoSwapInstruments.Add(s15y);
YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoSwapInstruments,
termStructureDayCounter,
new List<Handle<Quote> >(),
new List<Date>(),
tolerance);
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle<YieldTermStructure> discountingTermStructure = new RelinkableHandle<YieldTermStructure>();
// the one used for forward rate forecasting
RelinkableHandle<YieldTermStructure> forecastingTermStructure = new RelinkableHandle<YieldTermStructure>();
/*********************
* BONDS TO BE PRICED *
**********************/
// Common data
double faceAmount = 100;
// Pricing engine
IPricingEngine bondEngine = new DiscountingBondEngine(discountingTermStructure);
// Zero coupon bond
ZeroCouponBond zeroCouponBond = new ZeroCouponBond(
settlementDays,
new UnitedStates(UnitedStates.Market.GovernmentBond),
faceAmount,
new Date(15, Month.August,2013),
BusinessDayConvention.Following,
116.92,
new Date(15, Month.August,2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
Schedule fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007),
new Date(15,Month.May,2017), new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GovernmentBond),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond fixedRateBond = new FixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
new List<double>() { 0.045 },
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.ModifiedFollowing,
100.0, new Date(15, Month.May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
RelinkableHandle<YieldTermStructure> liborTermStructure = new RelinkableHandle<YieldTermStructure>();
IborIndex libor3m = new USDLibor(new Period(3, TimeUnit.Months), liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008),0.0278625);
Schedule floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005),
new Date(21, Month.October, 2010), new Period(Frequency.Quarterly),
new UnitedStates(UnitedStates.Market.NYSE),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, true);
FloatingRateBond floatingRateBond = new FloatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
// Gearings
new List<double>() { 1.0 },
// Spreads
new List<double>() { 0.001 },
// Caps
new List<double>(),
// Floors
new List<double>(),
// Fixing in arrears
true,
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// Coupon pricers
IborCouponPricer pricer = new BlackIborCouponPricer();
// optionLet volatilities
double volatility = 0.0;
Handle<OptionletVolatilityStructure> vol;
vol = new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(
settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
pricer.setCapletVolatility(vol);
Utils.setCouponPricer(floatingRateBond.cashflows(),pricer);
// Yield curve bootstrapping
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
// We are using the depo & swap curve to estimate the future Libor rates
liborTermStructure.linkTo(depoSwapTermStructure);
/***************
* BOND PRICING *
****************/
// write column headings
int[] widths = { 18, 10, 10, 10 };
Console.WriteLine("{0,18}{1,10}{2,10}{3,10}", "", "ZC", "Fixed", "Floating");
int width = widths[0]
+ widths[1]
+ widths[2]
+ widths[3];
string rule = "".PadLeft(width, '-'), dblrule = "".PadLeft(width, '=');
string tab = "".PadLeft(8, ' ');
Console.WriteLine(rule);
Console.WriteLine("Net present value".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.NPV(),
fixedRateBond.NPV(),
floatingRateBond.NPV());
Console.WriteLine("Clean price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.cleanPrice(),
fixedRateBond.cleanPrice(),
floatingRateBond.cleanPrice());
Console.WriteLine("Dirty price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.dirtyPrice(),
fixedRateBond.dirtyPrice(),
floatingRateBond.dirtyPrice());
Console.WriteLine("Accrued coupon".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
zeroCouponBond.accruedAmount(),
fixedRateBond.accruedAmount(),
floatingRateBond.accruedAmount());
Console.WriteLine("Previous coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.previousCouponRate(),
floatingRateBond.previousCouponRate());
Console.WriteLine("Next coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
"N/A",
fixedRateBond.nextCouponRate(),
floatingRateBond.nextCouponRate());
Console.WriteLine("Yield".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual));
Console.WriteLine();
// Other computations
Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
Console.WriteLine(rule);
Console.WriteLine("Yield to Clean Price: {0:n2}",
floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
Console.WriteLine("Clean Price to Yield: {0:0.00%}",
floatingRateBond.yield(floatingRateBond.cleanPrice(),new Actual360(), Compounding.Compounded, Frequency.Annual,
settlementDate));
/* "Yield to Price"
"Price to Yield" */
Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
Console.WriteLine();
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
