public void testCurveConsistency <T, I, B>(CommonVars vars, I interpolator, double tolerance)
where T : ITraits <YieldTermStructure>, new()
where I : IInterpolationFactory, new()
where B : IBootStrap <PiecewiseYieldCurve>, new()
{
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.instruments,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
RelinkableHandle <YieldTermStructure> curveHandle = new RelinkableHandle <YieldTermStructure>();
curveHandle.linkTo(vars.termStructure);
// check deposits
for (int i = 0; i < vars.deposits; i++)
{
Euribor index = new Euribor(new Period(vars.depositData[i].n, vars.depositData[i].units), curveHandle);
double expectedRate = vars.depositData[i].rate / 100,
estimatedRate = index.fixing(vars.today);
QAssert.IsTrue(Math.Abs(expectedRate - estimatedRate) < tolerance,
vars.depositData[i].n + " "
+ (vars.depositData[i].units == TimeUnit.Weeks ? "week(s)" : "month(s)")
+ " deposit:"
+ "\n estimated rate: " + estimatedRate
+ "\n expected rate: " + expectedRate);
}
// check swaps
IborIndex euribor6m = new Euribor6M(curveHandle);
for (int i = 0; i < vars.swaps; i++)
{
Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
VanillaSwap swap = new MakeVanillaSwap(tenor, euribor6m, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(new Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention);
double expectedRate = vars.swapData[i].rate / 100,
estimatedRate = swap.fairRate();
double error = Math.Abs(expectedRate - estimatedRate);
QAssert.IsTrue(error < tolerance,
vars.swapData[i].n + " year(s) swap:\n"
+ "\n estimated rate: " + estimatedRate
+ "\n expected rate: " + expectedRate
+ "\n error: " + error
+ "\n tolerance: " + tolerance);
}
// check bonds
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.bondHelpers,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
curveHandle.linkTo(vars.termStructure);
for (int i = 0; i < vars.bonds; i++)
{
Date maturity = vars.calendar.advance(vars.today, vars.bondData[i].n, vars.bondData[i].units);
Date issue = vars.calendar.advance(maturity, -vars.bondData[i].length, TimeUnit.Years);
List <double> coupons = new List <double>()
{
vars.bondData[i].coupon / 100.0
};
FixedRateBond bond = new FixedRateBond(vars.bondSettlementDays, 100.0,
vars.schedules[i], coupons,
vars.bondDayCounter, vars.bondConvention,
vars.bondRedemption, issue);
IPricingEngine bondEngine = new DiscountingBondEngine(curveHandle);
bond.setPricingEngine(bondEngine);
double expectedPrice = vars.bondData[i].price,
estimatedPrice = bond.cleanPrice();
QAssert.IsTrue(Math.Abs(expectedPrice - estimatedPrice) < tolerance,
i + 1 + " bond failure:" +
"\n estimated price: " + estimatedPrice +
"\n expected price: " + expectedPrice);
}
// check FRA
vars.termStructure = new PiecewiseYieldCurve <T, I, B>(vars.settlement, vars.fraHelpers,
new Actual360(), new List <Handle <Quote> >(), new List <Date>(), 1.0e-12, interpolator);
curveHandle.linkTo(vars.termStructure);
IborIndex euribor3m = new Euribor3M(curveHandle);
for (int i = 0; i < vars.fras; i++)
{
Date start = vars.calendar.advance(vars.settlement,
vars.fraData[i].n,
vars.fraData[i].units,
euribor3m.businessDayConvention(),
euribor3m.endOfMonth());
Date end = vars.calendar.advance(start, 3, TimeUnit.Months,
euribor3m.businessDayConvention(),
euribor3m.endOfMonth());
ForwardRateAgreement fra = new ForwardRateAgreement(start, end, Position.Type.Long, vars.fraData[i].rate / 100,
100.0, euribor3m, curveHandle);
double expectedRate = vars.fraData[i].rate / 100,
estimatedRate = fra.forwardRate().rate();
QAssert.IsTrue(Math.Abs(expectedRate - estimatedRate) < tolerance,
i + 1 + " FRA failure:" +
"\n estimated rate: " + estimatedRate +
"\n expected rate: " + expectedRate);
}
}
public void testLiborFixing()
{
// "Testing use of today's LIBOR fixings in swap curve...");
CommonVars vars = new CommonVars();
var swapHelpers = new InitializedList <RateHelper>();
IborIndex euribor6m = new Euribor6M();
for (int i = 0; i < vars.swaps; i++)
{
Handle <Quote> r = new Handle <Quote>(vars.rates[i + vars.deposits]);
swapHelpers.Add(new SwapRateHelper(r, new Period(vars.swapData[i].n, vars.swapData[i].units),
vars.calendar,
vars.fixedLegFrequency, vars.fixedLegConvention,
vars.fixedLegDayCounter, euribor6m));
}
vars.termStructure = new PiecewiseYieldCurve <Discount, LogLinear>(vars.settlement, swapHelpers, new Actual360());
Handle <YieldTermStructure> curveHandle = new Handle <YieldTermStructure>(vars.termStructure);
IborIndex index = new Euribor6M(curveHandle);
for (int i = 0; i < vars.swaps; i++)
{
Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
VanillaSwap swap = new MakeVanillaSwap(tenor, index, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(new Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention)
.value();
double expectedRate = vars.swapData[i].rate / 100,
estimatedRate = swap.fairRate();
double tolerance = 1.0e-9;
if (Math.Abs(expectedRate - estimatedRate) > tolerance)
{
QAssert.Fail("before LIBOR fixing:\n"
+ vars.swapData[i].n + " year(s) swap:\n"
+ " estimated rate: "
+ (estimatedRate) + "\n"
+ " expected rate: "
+ (expectedRate));
}
}
Flag f = new Flag();
vars.termStructure.registerWith(f.update);
f.lower();
index.addFixing(vars.today, 0.0425);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of rate fixing");
}
for (int i = 0; i < vars.swaps; i++)
{
Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
VanillaSwap swap = new MakeVanillaSwap(tenor, index, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(new Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention)
.value();
double expectedRate = vars.swapData[i].rate / 100,
estimatedRate = swap.fairRate();
double tolerance = 1.0e-9;
if (Math.Abs(expectedRate - estimatedRate) > tolerance)
{
QAssert.Fail("after LIBOR fixing:\n"
+ vars.swapData[i].n + " year(s) swap:\n"
+ " estimated rate: "
+ (estimatedRate) + "\n"
+ " expected rate: "
+ (expectedRate));
}
}
}
public void testJpyLibor()
{
//"Testing bootstrap over JPY LIBOR swaps...");
CommonVars vars = new CommonVars();
vars.today = new Date(4, Month.October, 2007);
Settings.setEvaluationDate(vars.today);
vars.calendar = new Japan();
vars.settlement = vars.calendar.advance(vars.today, vars.settlementDays, TimeUnit.Days);
// market elements
vars.rates = new InitializedList <SimpleQuote>(vars.swaps);
for (int i = 0; i < vars.swaps; i++)
{
vars.rates[i] = new SimpleQuote(vars.swapData[i].rate / 100);
}
// rate helpers
vars.instruments = new InitializedList <RateHelper>(vars.swaps);
IborIndex index = new JPYLibor(new Period(6, TimeUnit.Months));
for (int i = 0; i < vars.swaps; i++)
{
Handle <Quote> r = new Handle <Quote>(vars.rates[i]);
vars.instruments[i] = new SwapRateHelper(r, new Period(vars.swapData[i].n, vars.swapData[i].units),
vars.calendar,
vars.fixedLegFrequency, vars.fixedLegConvention,
vars.fixedLegDayCounter, index);
}
vars.termStructure = new PiecewiseYieldCurve <Discount, LogLinear>(
vars.settlement, vars.instruments,
new Actual360(),
new List <Handle <Quote> >(),
new List <Date>(),
1.0e-12);
RelinkableHandle <YieldTermStructure> curveHandle = new RelinkableHandle <YieldTermStructure>();
curveHandle.linkTo(vars.termStructure);
// check swaps
IborIndex jpylibor6m = new JPYLibor(new Period(6, TimeUnit.Months), curveHandle);
for (int i = 0; i < vars.swaps; i++)
{
Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
VanillaSwap swap = new MakeVanillaSwap(tenor, jpylibor6m, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(new Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention)
.withFixedLegCalendar(vars.calendar)
.withFloatingLegCalendar(vars.calendar)
.value();
double expectedRate = vars.swapData[i].rate / 100,
estimatedRate = swap.fairRate();
double error = Math.Abs(expectedRate - estimatedRate);
double tolerance = 1.0e-9;
if (error > tolerance)
{
QAssert.Fail(vars.swapData[i].n + " year(s) swap:\n"
+ "\n estimated rate: " + (estimatedRate)
+ "\n expected rate: " + (expectedRate)
+ "\n error: " + (error)
+ "\n tolerance: " + (tolerance));
}
}
}
public void testImpliedVolatility()
{
//"Testing implied volatility for swaptions...";
CommonVars vars = new CommonVars();
int maxEvaluations = 100;
double tolerance = 1.0e-08;
Settlement.Type[] types = { Settlement.Type.Physical, Settlement.Type.Cash };
// test data
double[] strikes = { 0.02, 0.03, 0.04, 0.05, 0.06, 0.07 };
double[] vols = { 0.01, 0.05, 0.10, 0.20, 0.30, 0.70, 0.90 };
for (int i = 0; i < exercises.Length; i++)
{
for (int j = 0; j < lengths.Length; j++)
{
Date exerciseDate = vars.calendar.advance(vars.today, exercises[i]);
Date startDate = vars.calendar.advance(exerciseDate,
vars.settlementDays, TimeUnit.Days);
Date maturity = vars.calendar.advance(startDate, lengths[j],
vars.floatingConvention);
for (int t = 0; t < strikes.Length; t++)
{
for (int k = 0; k < type.Length; k++)
{
VanillaSwap swap = new MakeVanillaSwap(lengths[j], vars.index, strikes[t])
.withEffectiveDate(startDate)
.withFloatingLegSpread(0.0)
.withType(type[k]);
for (int h = 0; h < types.Length; h++)
{
for (int u = 0; u < vols.Length; u++)
{
Swaption swaption = vars.makeSwaption(swap, exerciseDate,
vols[u], types[h]);
// Black price
double value = swaption.NPV();
double implVol = 0.0;
try
{
implVol =
swaption.impliedVolatility(value,
vars.termStructure,
0.10,
tolerance,
maxEvaluations);
}
catch (System.Exception e)
{
// couldn't bracket?
swaption.setPricingEngine(vars.makeEngine(0.0));
double value2 = swaption.NPV();
if (Math.Abs(value - value2) < tolerance)
{
// ok, just skip:
continue;
}
// otherwise, report error
Assert.Fail("implied vol failure: " +
exercises[i] + "x" + lengths[j] + " " + type[k] +
"\nsettlement: " + types[h] +
"\nstrike " + strikes[t] +
"\natm level: " + swap.fairRate() +
"\nvol: " + vols[u] +
"\nprice: " + value +
"\n" + e.Message.ToString());
}
if (Math.Abs(implVol - vols[u]) > tolerance)
{
// the difference might not matter
swaption.setPricingEngine(vars.makeEngine(implVol));
double value2 = swaption.NPV();
if (Math.Abs(value - value2) > tolerance)
{
Assert.Fail("implied vol failure: " +
exercises[i] + "x" + lengths[j] + " " + type[k] +
"\nsettlement: " + types[h] +
"\nstrike " + strikes[t] +
"\natm level: " + swap.fairRate() +
"\nvol: " + vols[u] +
"\nprice: " + value +
"\nimplied vol: " + implVol +
"\nimplied price: " + value2);
}
}
}
}
}
}
}
}
}
