public SwapRateHelper(double rate,
SwapIndex swapIndex,
Handle <Quote> spread = null,
Period fwdStart = null,
// exogenous discounting curve
Handle <YieldTermStructure> discount = null,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
settlementDays_ = swapIndex.fixingDays();
tenor_ = swapIndex.tenor();
pillarChoice_ = pillarChoice;
calendar_ = swapIndex.fixingCalendar();
fixedConvention_ = swapIndex.fixedLegConvention();
fixedFrequency_ = swapIndex.fixedLegTenor().frequency();
fixedDayCount_ = swapIndex.dayCounter();
spread_ = spread ?? new Handle <Quote>();
fwdStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
// take fixing into account
iborIndex_ = swapIndex.iborIndex().clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_.registerWith(update);
spread_.registerWith(update);
discountHandle_.registerWith(update);
pillarDate_ = customPillarDate;
initializeDates();
}
public void testFairRate()
{
// Testing Hagan-pricer flat-vol equivalence for coupons
CommonVars vars = new CommonVars();
SwapIndex swapIndex = new SwapIndex("EuriborSwapIsdaFixA",
new Period(10, TimeUnit.Years),
vars.iborIndex.fixingDays(),
vars.iborIndex.currency(),
vars.iborIndex.fixingCalendar(),
new Period(1, TimeUnit.Years),
BusinessDayConvention.Unadjusted,
vars.iborIndex.dayCounter(),//??
vars.iborIndex);
// FIXME
//shared_ptr<SwapIndex> swapIndex(new
// EuriborSwapIsdaFixA(10*Years, vars.iborIndex->termStructure()));
Date startDate = vars.termStructure.link.referenceDate() + new Period(20, TimeUnit.Years);
Date paymentDate = startDate + new Period(1, TimeUnit.Years);
Date endDate = paymentDate;
double nominal = 1.0;
double?infiniteCap = null;
double?infiniteFloor = null;
double gearing = 1.0;
double spread = 0.0;
CappedFlooredCmsCoupon coupon = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate,
swapIndex.fixingDays(), swapIndex,
gearing, spread,
infiniteCap, infiniteFloor,
startDate, endDate,
vars.iborIndex.dayCounter());
for (int j = 0; j < vars.yieldCurveModels.Count; ++j)
{
vars.numericalPricers[j].setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.numericalPricers[j]);
double rate0 = coupon.rate();
vars.analyticPricers[j].setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.analyticPricers[j]);
double rate1 = coupon.rate();
double difference = Math.Abs(rate1 - rate0);
double tol = 2.0e-4;
bool linearTsr = j == vars.yieldCurveModels.Count - 1;
if (difference > tol)
{
QAssert.Fail("\nCoupon payment date: " + paymentDate +
"\nCoupon start date: " + startDate +
"\nCoupon floor: " + (infiniteFloor) +
"\nCoupon gearing: " + (gearing) +
"\nCoupon swap index: " + swapIndex.name() +
"\nCoupon spread: " + (spread) +
"\nCoupon cap: " + (infiniteCap) +
"\nCoupon DayCounter: " + vars.iborIndex.dayCounter() +
"\nYieldCurve Model: " + vars.yieldCurveModels[j] +
"\nNumerical Pricer: " + (rate0) + (linearTsr ? " (Linear TSR Model)" : "") +
"\nAnalytic Pricer: " + (rate1) +
"\ndifference: " + (difference) +
"\ntolerance: " + (tol));
}
}
}