public void testFairRate() { // Testing Eonia-swap calculation of fair fixed rate... CommonVars vars = new CommonVars(); Period[] lengths = new Period[] { new Period(1, TimeUnit.Years), new Period(2, TimeUnit.Years), new Period(5, TimeUnit.Years), new Period(10, TimeUnit.Years), new Period(20, TimeUnit.Years) }; double[] spreads = { -0.001, -0.01, 0.0, 0.01, 0.001 }; for (int i = 0; i < lengths.Length; i++) { for (int j = 0; j < spreads.Length; j++) { OvernightIndexedSwap swap = vars.makeSwap(lengths[i], 0.0, spreads[j]); swap = vars.makeSwap(lengths[i], swap.fairRate().Value, spreads[j]); if (Math.Abs(swap.NPV()) > 1.0e-10) { QAssert.Fail("recalculating with implied rate:\n" + " length: " + lengths[i] + " \n" + " floating spread: " + (spreads[j]) + "\n" + " swap value: " + swap.NPV()); } } } }
public void testBootstrap() { // Testing Eonia-swap curve building... CommonVars vars = new CommonVars(); List <RateHelper> eoniaHelpers = new List <RateHelper>(); List <RateHelper> swap3mHelpers = new List <RateHelper>(); IborIndex euribor3m = new Euribor3M(); Eonia eonia = new Eonia(); for (int i = 0; i < depositData.Length; i++) { double rate = 0.01 * depositData[i].rate; SimpleQuote simple = new SimpleQuote(rate); Handle <Quote> quote = new Handle <Quote>(simple); Period term = new Period(depositData[i].n, depositData[i].unit); RateHelper helper = new DepositRateHelper(quote, term, depositData[i].settlementDays, euribor3m.fixingCalendar(), euribor3m.businessDayConvention(), euribor3m.endOfMonth(), euribor3m.dayCounter()); if (term <= new Period(2, TimeUnit.Days)) { eoniaHelpers.Add(helper); } if (term <= new Period(3, TimeUnit.Months)) { swap3mHelpers.Add(helper); } } for (int i = 0; i < fraData.Length; i++) { double rate = 0.01 * fraData[i].rate; SimpleQuote simple = new SimpleQuote(rate); Handle <Quote> quote = new Handle <Quote>(simple); RateHelper helper = new FraRateHelper(quote, fraData[i].nExpiry, fraData[i].nMaturity, fraData[i].settlementDays, euribor3m.fixingCalendar(), euribor3m.businessDayConvention(), euribor3m.endOfMonth(), euribor3m.dayCounter()); swap3mHelpers.Add(helper); } for (int i = 0; i < eoniaSwapData.Length; i++) { double rate = 0.01 * eoniaSwapData[i].rate; SimpleQuote simple = new SimpleQuote(rate); Handle <Quote> quote = new Handle <Quote>(simple); Period term = new Period(eoniaSwapData[i].n, eoniaSwapData[i].unit); RateHelper helper = new OISRateHelper(eoniaSwapData[i].settlementDays, term, quote, eonia); eoniaHelpers.Add(helper); } for (int i = 0; i < swapData.Length; i++) { double rate = 0.01 * swapData[i].rate; SimpleQuote simple = new SimpleQuote(rate); Handle <Quote> quote = new Handle <Quote>(simple); Period tenor = new Period(swapData[i].nIndexUnits, swapData[i].indexUnit); Period term = new Period(swapData[i].nTermUnits, swapData[i].termUnit); RateHelper helper = new SwapRateHelper(quote, term, vars.calendar, vars.fixedSwapFrequency, vars.fixedSwapConvention, vars.fixedSwapDayCount, euribor3m); if (tenor == new Period(3, TimeUnit.Months)) { swap3mHelpers.Add(helper); } } PiecewiseYieldCurve <Discount, LogLinear> eoniaTS = new PiecewiseYieldCurve <Discount, LogLinear>(vars.today, eoniaHelpers, new Actual365Fixed()); PiecewiseYieldCurve <Discount, LogLinear> swapTS = new PiecewiseYieldCurve <Discount, LogLinear>(vars.today, swap3mHelpers, new Actual365Fixed()); vars.eoniaTermStructure.linkTo(eoniaTS); // test curve consistency double tolerance = 1.0e-10; for (int i = 0; i < eoniaSwapData.Length; i++) { double expected = eoniaSwapData[i].rate; Period term = new Period(eoniaSwapData[i].n, eoniaSwapData[i].unit); OvernightIndexedSwap swap = vars.makeSwap(term, 0.0, 0.0); double?calculated = 100.0 * swap.fairRate(); if (Math.Abs(expected - calculated.Value) > tolerance) { QAssert.Fail("curve inconsistency:\n" + " swap length: " + term + "\n" + " quoted rate: " + expected + "\n" + " calculated rate: " + calculated); } } }