public void testCachedValue()
{
// Testing Black yoy inflation cap/floor price against cached values...
CommonVars vars = new CommonVars();
int whichPricer = 0; // black
double K = 0.0295; // one centi-point is fair rate error i.e. < 1 cp
int j = 2;
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,j);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVblack = 219.452;
double cachedFloorNPVblack = 314.641;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVblack)<0.02,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVblack+" Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVblack)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVblack)<0.02,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVblack+" Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVblack)));
whichPricer = 1; // dd
cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVdd = 9114.61;
double cachedFloorNPVdd = 9209.8;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVdd)<0.22,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVdd+" dd Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVdd)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVdd)<0.22,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVdd+" dd Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVdd)));
whichPricer = 2; // bachelier
cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVbac = 8852.4;
double cachedFloorNPVbac = 8947.59;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVbac)<0.22,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVbac+" bac Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVbac)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVbac)<0.22,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVbac+" bac Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVbac)));
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public void testInstrumentEquality()
{
// Testing inflation capped/floored coupon against inflation capfloor instrument...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
// vol is low ...
double[] strikes = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
// yoy inflation vol is generally very low
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
// this is model independent
// capped coupon = fwd - cap, and fwd = swap(0)
// floored coupon = fwd + floor
for (int whichPricer = 0; whichPricer < 3; whichPricer++)
{
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < vols.Length; k++)
{
List <CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate, lengths[i]);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, strikes[j], vols[k], whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, strikes[j], vols[k], whichPricer);
Date from = vars.nominalTS.link.referenceDate();
Date to = from + new Period(lengths[i], TimeUnit.Years);
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Years))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().value();
YearOnYearInflationSwap swap = new YearOnYearInflationSwap(YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule, //fixed schedule, but same as yoy
0.0, //strikes[j],
vars.dc,
yoySchedule,
vars.iir,
vars.observationLag,
0.0, //spread on index
vars.dc,
new UnitedKingdom());
Handle <YieldTermStructure> hTS = new Handle <YieldTermStructure>(vars.nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
swap.setPricingEngine(sppe);
List <CashFlow> leg2 = vars.makeYoYCapFlooredLeg(whichPricer, from,
lengths[i],
new InitializedList <double>(lengths[i], strikes[j]), //cap
new List <double>(), //floor
vols[k],
1.0, // gearing
0.0); // spread
List <CashFlow> leg3 = vars.makeYoYCapFlooredLeg(whichPricer, from,
lengths[i],
new List <double>(), // cap
new InitializedList <double>(lengths[i], strikes[j]), //floor
vols[k],
1.0, // gearing
0.0); // spread
// N.B. nominals are 10e6
double capped = CashFlows.npv(leg2, vars.nominalTS, false);
if (Math.Abs(capped - (swap.NPV() - cap.NPV())) > 1.0e-6)
{
QAssert.Fail(
"capped coupon != swap(0) - cap:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " strike: " + strikes[j] + "\n"
+ " cap value: " + cap.NPV() + "\n"
+ " swap value: " + swap.NPV() + "\n"
+ " capped coupon " + capped);
}
// N.B. nominals are 10e6
double floored = CashFlows.npv(leg3, vars.nominalTS, false);
if (Math.Abs(floored - (swap.NPV() + floor.NPV())) > 1.0e-6)
{
QAssert.Fail(
"floored coupon != swap(0) + floor :\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " strike: " + strikes[j] + "\n"
+ " floor value: " + floor.NPV() + "\n"
+ " swap value: " + swap.NPV() + "\n"
+ " floored coupon " + floored);
}
}
}
}
}
// remove circular refernce
vars.hy.linkTo(null);
}
public void testParity()
{
// Testing yoy inflation cap/floor parity...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
// vol is low ...
double[] strikes = { 0.0, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
// yoy inflation vol is generally very low
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
// cap-floor-swap parity is model-independent
for (int whichPricer = 0; whichPricer < 3; whichPricer++) {
for (int i=0; i<lengths.Length; i++) {
for (int j=0; j<strikes.Length; j++) {
for (int k=0; k<vols.Length; k++) {
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,lengths[i]);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, strikes[j], vols[k], whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, strikes[j], vols[k], whichPricer);
Date from = vars.nominalTS.link.referenceDate();
Date to = from+new Period(lengths[i],TimeUnit.Years);
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1,TimeUnit.Years))
.withConvention(BusinessDayConvention.Unadjusted)
.withCalendar(new UnitedKingdom()).backwards().value();
YearOnYearInflationSwap swap = new YearOnYearInflationSwap
(YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule,//fixed schedule, but same as yoy
strikes[j],
vars.dc,
yoySchedule,
vars.iir,
vars.observationLag,
0.0, //spread on index
vars.dc,
new UnitedKingdom());
Handle<YieldTermStructure> hTS = new Handle<YieldTermStructure>(vars.nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
swap.setPricingEngine(sppe);
// N.B. nominals are 10e6
if (Math.Abs((cap.NPV()-floor.NPV()) - swap.NPV()) > 1.0e-6) {
Assert.Fail(
"put/call parity violated:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " strike: " + strikes[j] + "\n"
+ " cap value: " + cap.NPV() + "\n"
+ " floor value: " + floor.NPV() + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
}
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public void testConsistency()
{
// Testing consistency between yoy inflation cap,floor and collar...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] cap_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] floor_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
for (int whichPricer = 0; whichPricer < 3; whichPricer++)
{
for (int i=0; i<lengths.Length; i++)
{
for (int j=0; j<cap_rates.Length; j++)
{
for (int k=0; k<floor_rates.Length; k++)
{
for (int l=0; l<vols.Length; l++)
{
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,lengths[i]);
YoYInflationCapFloor cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, cap_rates[j], vols[l], whichPricer);
YoYInflationCapFloor floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, floor_rates[k], vols[l], whichPricer);
YoYInflationCollar collar = new YoYInflationCollar(leg,new List<double>(){cap_rates[j]},
new List<double>(){floor_rates[k]});
collar.setPricingEngine(vars.makeEngine(vols[l], whichPricer));
if (Math.Abs((cap.NPV()-floor.NPV())-collar.NPV()) > 1e-6)
{
Assert.Fail(
"inconsistency between cap, floor and collar:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " floor value: " + floor.NPV()
+ " at strike: " + "\n"
+ " collar value: " + collar.NPV());
}
// test re-composition by optionlets, N.B. ONE per year
double capletsNPV = 0.0;
List<YoYInflationCapFloor> caplets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
caplets.Add(cap.optionlet(m));
caplets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
capletsNPV += caplets[m].NPV();
}
if (Math.Abs(cap.NPV() - capletsNPV) > 1e-6)
{
Assert.Fail(
"sum of caplet NPVs does not equal cap NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " sum of caplets value: " + capletsNPV
+ " at strike (first): " + caplets[0].capRates()[0] + "\n"
);
}
double floorletsNPV = 0.0;
List<YoYInflationCapFloor> floorlets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
floorlets.Add(floor.optionlet(m));
floorlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
floorletsNPV += floorlets[m].NPV();
}
if (Math.Abs(floor.NPV() - floorletsNPV) > 1e-6)
{
Assert.Fail(
"sum of floorlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + floor.NPV()
+ " at strike: " + floor_rates[j] + "\n"
+ " sum of floorlets value: " + floorletsNPV
+ " at strike (first): " + floorlets[0].floorRates()[0] + "\n"
);
}
double collarletsNPV = 0.0;
List<YoYInflationCapFloor> collarlets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
collarlets.Add(collar.optionlet(m));
collarlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
collarletsNPV += collarlets[m].NPV();
}
if (Math.Abs(collar.NPV() - collarletsNPV) > 1e-6)
{
Assert.Fail(
"sum of collarlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[l] + "\n"
+ " cap value: " + collar.NPV()
+ " at strike floor: " + floor_rates[j]
+ " at strike cap: " + cap_rates[j] + "\n"
+ " sum of collarlets value: " + collarletsNPV
+ " at strike floor (first): " + collarlets[0].floorRates()[0]
+ " at strike cap (first): " + collarlets[0].capRates()[0] + "\n"
);
}
}
}
}
}
} // pricer loop
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public void testCachedValue()
{
// Testing Black yoy inflation cap/floor price against cached values...
CommonVars vars = new CommonVars();
int whichPricer = 0; // black
double K = 0.0295; // one centi-point is fair rate error i.e. < 1 cp
int j = 2;
List <CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate, j);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap, leg, K, 0.01, whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor, leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVblack = 219.452;
double cachedFloorNPVblack = 314.641;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV() - cachedCapNPVblack) < 0.02, "yoy cap cached NPV wrong "
+ cap.NPV() + " should be " + cachedCapNPVblack + " Black pricer"
+ " diff was " + (Math.Abs(cap.NPV() - cachedCapNPVblack)));
Assert.IsTrue(Math.Abs(floor.NPV() - cachedFloorNPVblack) < 0.02, "yoy floor cached NPV wrong "
+ floor.NPV() + " should be " + cachedFloorNPVblack + " Black pricer"
+ " diff was " + (Math.Abs(floor.NPV() - cachedFloorNPVblack)));
whichPricer = 1; // dd
cap = vars.makeYoYCapFloor(CapFloorType.Cap, leg, K, 0.01, whichPricer);
floor = vars.makeYoYCapFloor(CapFloorType.Floor, leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVdd = 9114.61;
double cachedFloorNPVdd = 9209.8;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV() - cachedCapNPVdd) < 0.22, "yoy cap cached NPV wrong "
+ cap.NPV() + " should be " + cachedCapNPVdd + " dd Black pricer"
+ " diff was " + (Math.Abs(cap.NPV() - cachedCapNPVdd)));
Assert.IsTrue(Math.Abs(floor.NPV() - cachedFloorNPVdd) < 0.22, "yoy floor cached NPV wrong "
+ floor.NPV() + " should be " + cachedFloorNPVdd + " dd Black pricer"
+ " diff was " + (Math.Abs(floor.NPV() - cachedFloorNPVdd)));
whichPricer = 2; // bachelier
cap = vars.makeYoYCapFloor(CapFloorType.Cap, leg, K, 0.01, whichPricer);
floor = vars.makeYoYCapFloor(CapFloorType.Floor, leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVbac = 8852.4;
double cachedFloorNPVbac = 8947.59;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV() - cachedCapNPVbac) < 0.22, "yoy cap cached NPV wrong "
+ cap.NPV() + " should be " + cachedCapNPVbac + " bac Black pricer"
+ " diff was " + (Math.Abs(cap.NPV() - cachedCapNPVbac)));
Assert.IsTrue(Math.Abs(floor.NPV() - cachedFloorNPVbac) < 0.22, "yoy floor cached NPV wrong "
+ floor.NPV() + " should be " + cachedFloorNPVbac + " bac Black pricer"
+ " diff was " + (Math.Abs(floor.NPV() - cachedFloorNPVbac)));
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public void testParity()
{
// Testing yoy inflation cap/floor parity...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
// vol is low ...
double[] strikes = { 0.0, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
// yoy inflation vol is generally very low
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
// cap-floor-swap parity is model-independent
for (int whichPricer = 0; whichPricer < 3; whichPricer++)
{
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < strikes.Length; j++)
{
for (int k = 0; k < vols.Length; k++)
{
List <CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate, lengths[i]);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, strikes[j], vols[k], whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, strikes[j], vols[k], whichPricer);
Date from = vars.nominalTS.link.referenceDate();
Date to = from + new Period(lengths[i], TimeUnit.Years);
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Years))
.withConvention(BusinessDayConvention.Unadjusted)
.withCalendar(new UnitedKingdom()).backwards().value();
YearOnYearInflationSwap swap = new YearOnYearInflationSwap
(YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule, //fixed schedule, but same as yoy
strikes[j],
vars.dc,
yoySchedule,
vars.iir,
vars.observationLag,
0.0, //spread on index
vars.dc,
new UnitedKingdom());
Handle <YieldTermStructure> hTS = new Handle <YieldTermStructure>(vars.nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
swap.setPricingEngine(sppe);
// N.B. nominals are 10e6
if (Math.Abs((cap.NPV() - floor.NPV()) - swap.NPV()) > 1.0e-6)
{
Assert.Fail(
"put/call parity violated:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " strike: " + strikes[j] + "\n"
+ " cap value: " + cap.NPV() + "\n"
+ " floor value: " + floor.NPV() + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
}
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
public void testConsistency()
{
// Testing consistency between yoy inflation cap,floor and collar...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] cap_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] floor_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
for (int whichPricer = 0; whichPricer < 3; whichPricer++)
{
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < cap_rates.Length; j++)
{
for (int k = 0; k < floor_rates.Length; k++)
{
for (int l = 0; l < vols.Length; l++)
{
List <CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate, lengths[i]);
YoYInflationCapFloor cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, cap_rates[j], vols[l], whichPricer);
YoYInflationCapFloor floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, floor_rates[k], vols[l], whichPricer);
YoYInflationCollar collar = new YoYInflationCollar(leg, new List <double>()
{
cap_rates[j]
},
new List <double>()
{
floor_rates[k]
});
collar.setPricingEngine(vars.makeEngine(vols[l], whichPricer));
if (Math.Abs((cap.NPV() - floor.NPV()) - collar.NPV()) > 1e-6)
{
Assert.Fail(
"inconsistency between cap, floor and collar:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " floor value: " + floor.NPV()
+ " at strike: " + "\n"
+ " collar value: " + collar.NPV());
}
// test re-composition by optionlets, N.B. ONE per year
double capletsNPV = 0.0;
List <YoYInflationCapFloor> caplets = new List <YoYInflationCapFloor>();
for (int m = 0; m < lengths[i] * 1; m++)
{
caplets.Add(cap.optionlet(m));
caplets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
capletsNPV += caplets[m].NPV();
}
if (Math.Abs(cap.NPV() - capletsNPV) > 1e-6)
{
Assert.Fail(
"sum of caplet NPVs does not equal cap NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " sum of caplets value: " + capletsNPV
+ " at strike (first): " + caplets[0].capRates()[0] + "\n"
);
}
double floorletsNPV = 0.0;
List <YoYInflationCapFloor> floorlets = new List <YoYInflationCapFloor>();
for (int m = 0; m < lengths[i] * 1; m++)
{
floorlets.Add(floor.optionlet(m));
floorlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
floorletsNPV += floorlets[m].NPV();
}
if (Math.Abs(floor.NPV() - floorletsNPV) > 1e-6)
{
Assert.Fail(
"sum of floorlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + floor.NPV()
+ " at strike: " + floor_rates[j] + "\n"
+ " sum of floorlets value: " + floorletsNPV
+ " at strike (first): " + floorlets[0].floorRates()[0] + "\n"
);
}
double collarletsNPV = 0.0;
List <YoYInflationCapFloor> collarlets = new List <YoYInflationCapFloor>();
for (int m = 0; m < lengths[i] * 1; m++)
{
collarlets.Add(collar.optionlet(m));
collarlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
collarletsNPV += collarlets[m].NPV();
}
if (Math.Abs(collar.NPV() - collarletsNPV) > 1e-6)
{
Assert.Fail(
"sum of collarlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[l] + "\n"
+ " cap value: " + collar.NPV()
+ " at strike floor: " + floor_rates[j]
+ " at strike cap: " + cap_rates[j] + "\n"
+ " sum of collarlets value: " + collarletsNPV
+ " at strike floor (first): " + collarlets[0].floorRates()[0]
+ " at strike cap (first): " + collarlets[0].capRates()[0] + "\n"
);
}
}
}
}
}
} // pricer loop
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}