public void testDefaultSettlementDate()
{
// Testing default evaluation date in cashflows methods...
Date today = Settings.Instance.evaluationDate();
Schedule schedule = new
MakeSchedule()
.from(today - new Period(2, TimeUnit.Months)).to(today + new Period(4, TimeUnit.Months))
.withFrequency(Frequency.Semiannual)
.withCalendar(new TARGET())
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().value();
List <CashFlow> leg = new FixedRateLeg(schedule)
.withCouponRates(0.03, new Actual360())
.withPaymentCalendar(new TARGET())
.withNotionals(100.0)
.withPaymentAdjustment(BusinessDayConvention.Following);
double accruedPeriod = CashFlows.accruedPeriod(leg, false);
if (accruedPeriod == 0.0)
{
QAssert.Fail("null accrued period with default settlement date");
}
int accruedDays = CashFlows.accruedDays(leg, false);
if (accruedDays == 0)
{
QAssert.Fail("no accrued days with default settlement date");
}
double accruedAmount = CashFlows.accruedAmount(leg, false);
if (accruedAmount == 0.0)
{
QAssert.Fail("null accrued amount with default settlement date");
}
}
public void testInArrears()
{
// Testing in-arrears swap calculation
CommonVars vars = new CommonVars();
/* See Hull, 4th ed., page 550
* Note: the calculation in the book is wrong (work out the adjustment and you'll get 0.05 + 0.000115 T1) */
Date maturity = vars.today + new Period(5, TimeUnit.Years);
Calendar calendar = new NullCalendar();
Schedule schedule = new Schedule(vars.today, maturity, new Period(Frequency.Annual), calendar,
BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
DayCounter dayCounter = new SimpleDayCounter();
List <double> nominals = new List <double>()
{
100000000.0
};
IborIndex index = new IborIndex("dummy", new Period(1, TimeUnit.Years), 0, new EURCurrency(), calendar,
BusinessDayConvention.Following, false, dayCounter, vars.termStructure);
double oneYear = 0.05;
double r = Math.Log(1.0 + oneYear);
vars.termStructure.linkTo(Utilities.flatRate(vars.today, r, dayCounter));
List <double> coupons = new List <double>()
{
oneYear
};
List <CashFlow> fixedLeg = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(nominals);
List <double> gearings = new List <double>();
List <double> spreads = new List <double>();
int fixingDays = 0;
double capletVolatility = 0.22;
var vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(vars.today, new NullCalendar(),
BusinessDayConvention.Following, capletVolatility, dayCounter));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List <CashFlow> floatingLeg = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.inArrears()
.withNotionals(nominals);
Utils.setCouponPricer(floatingLeg, pricer);
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(vars.termStructure));
double storedValue = -144813.0;
double tolerance = 1.0;
if (Math.Abs(swap.NPV() - storedValue) > tolerance)
{
QAssert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
}
