예제 #1
0
        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);
        }
예제 #2
0
        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());
        }
예제 #3
0
        public void testYYTermStructure()
        {
            // Testing year-on-year inflation term structure...

            SavedSettings backup = new SavedSettings();
            //IndexHistoryCleaner cleaner;

            // try the YY UK
            Calendar calendar = new UnitedKingdom();
            BusinessDayConvention bdc = BusinessDayConvention.ModifiedFollowing;
            Date evaluationDate = new Date(13, Month.August, 2007);
            evaluationDate = calendar.adjust(evaluationDate);
            Settings.setEvaluationDate(evaluationDate);

            // fixing data
            Date from = new Date(1, Month.January, 2005);
            Date to = new Date(13, Month.August, 2007);
            Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
            .withTenor(new Period(1,TimeUnit.Months))
            .withCalendar(new UnitedKingdom())
            .withConvention(BusinessDayConvention.ModifiedFollowing).value();
            double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
                192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
                194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
                198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
                202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
                207.3 };

            RelinkableHandle<YoYInflationTermStructure> hy = new RelinkableHandle<YoYInflationTermStructure>();
            bool interp = false;
            YYUKRPIr iir = new YYUKRPIr(interp, hy);
            for (int i=0; i<fixData.Length; i++)
            {
                iir.addFixing(rpiSchedule[i], fixData[i]);
            }

            YieldTermStructure nominalTS = nominalTermStructure();

            // now build the YoY inflation curve
            Datum[] yyData = {
                new Datum( new Date(13, Month.August, 2008), 2.95 ),
                new Datum( new Date(13, Month.August, 2009), 2.95 ),
                new Datum( new Date(13, Month.August, 2010), 2.93 ),
                new Datum( new Date(15, Month.August, 2011), 2.955 ),
                new Datum( new Date(13, Month.August, 2012), 2.945 ),
                new Datum( new Date(13, Month.August, 2013), 2.985 ),
                new Datum( new Date(13, Month.August, 2014), 3.01 ),
                new Datum( new Date(13, Month.August, 2015), 3.035 ),
                new Datum( new Date(13, Month.August, 2016), 3.055 ),  // note that
                new Datum( new Date(13, Month.August, 2017), 3.075 ),  // some dates will be on
                new Datum( new Date(13, Month.August, 2019), 3.105 ),  // holidays but the payment
                new Datum( new Date(15, Month.August, 2022), 3.135 ),  // calendar will roll them
                new Datum( new Date(13, Month.August, 2027), 3.155 ),
                new Datum( new Date(13, Month.August, 2032), 3.145 ),
                new Datum( new Date(13, Month.August, 2037), 3.145 )
            };

            Period observationLag = new Period(2,TimeUnit.Months);
            DayCounter dc = new Thirty360();

            // now build the helpers ...
            List<BootstrapHelper<YoYInflationTermStructure>> helpers =
            makeHelpers (yyData, yyData.Length, iir,observationLag, calendar, bdc, dc);

            double baseYYRate = yyData[0].rate/100.0;
            PiecewiseYoYInflationCurve<Linear> pYYTS = new PiecewiseYoYInflationCurve<Linear>(
                            evaluationDate, calendar, dc, observationLag,
                            iir.frequency(),iir.interpolated(), baseYYRate,
                            new Handle<YieldTermStructure>(nominalTS), helpers);
            pYYTS.recalculate();

            // validation
            // yoy swaps should reprice to zero
            // yy rates should not equal yySwap rates
            double eps = 0.000001;
            // usual swap engine
            Handle<YieldTermStructure> hTS = new Handle<YieldTermStructure>(nominalTS);
            IPricingEngine sppe = new DiscountingSwapEngine(hTS);

            // make sure that the index has the latest yoy term structure
            hy.linkTo(pYYTS);

            for (int j = 1; j < yyData.Length; j++)
            {

                from = nominalTS.referenceDate();
                to = yyData[j].date;
                Schedule yoySchedule = new MakeSchedule().from(from).to(to)
                .withConvention(BusinessDayConvention.Unadjusted) // fixed leg gets calendar from
                .withCalendar(calendar)     // schedule
                .withTenor(new Period(1,TimeUnit.Years)).value(); // .back

                YearOnYearInflationSwap yyS2 = new YearOnYearInflationSwap(
                    YearOnYearInflationSwap.Type.Payer,
                    1000000.0,
                    yoySchedule,//fixed schedule, but same as yoy
                    yyData[j].rate/100.0,
                    dc,
                    yoySchedule,
                    iir,
                    observationLag,
                    0.0,        //spread on index
                    dc,
                    new UnitedKingdom());

                yyS2.setPricingEngine(sppe);

                Assert.IsTrue(Math.Abs(yyS2.NPV())<eps,"fresh yoy swap NPV!=0 from TS "
                            +"swap quote for pt " + j
                            + ", is " + yyData[j].rate/100.0
                            +" vs YoY rate "+ pYYTS.yoyRate(yyData[j].date-observationLag)
                            +" at quote date "+(yyData[j].date-observationLag)
                            +", NPV of a fresh yoy swap is " + yyS2.NPV()
                            +"\n      fair rate " + yyS2.fairRate()
                            +" payment "+yyS2.paymentConvention());
            }

            int jj=3;
            for (int k = 0; k < 14; k++)
            {
                from = nominalTS.referenceDate() - new Period(k,TimeUnit.Months);
                to = yyData[jj].date - new Period(k,TimeUnit.Months);
                Schedule yoySchedule = new MakeSchedule().from(from).to(to)
                .withConvention(BusinessDayConvention.Unadjusted) // fixed leg gets calendar from
                .withCalendar(calendar)     // schedule
                .withTenor(new Period(1,TimeUnit.Years))
                .value(); //backwards()

                YearOnYearInflationSwap yyS3 = new YearOnYearInflationSwap(
                    YearOnYearInflationSwap.Type.Payer,
                    1000000.0,
                    yoySchedule,//fixed schedule, but same as yoy
                    yyData[jj].rate/100.0,
                    dc,
                    yoySchedule,
                    iir,
                    observationLag,
                    0.0,        //spread on index
                    dc,
                    new UnitedKingdom());

                yyS3.setPricingEngine(sppe);

                Assert.IsTrue(Math.Abs(yyS3.NPV())< 20000.0,
                                            "unexpected size of aged YoY swap, aged "
                                            + k +" months: YY aged NPV = " + yyS3.NPV()
                                            +", legs "+ yyS3.legNPV(0) + " and " + yyS3.legNPV(1)
                                            );
            }
            // remove circular refernce
            hy.linkTo( new YoYInflationTermStructure());
        }
예제 #4
0
        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());
        }
예제 #5
0
        public void testYYTermStructure()
        {
            // Testing year-on-year inflation term structure...

            SavedSettings backup = new SavedSettings();
            //IndexHistoryCleaner cleaner;

            // try the YY UK
            Calendar calendar         = new UnitedKingdom();
            BusinessDayConvention bdc = BusinessDayConvention.ModifiedFollowing;
            Date evaluationDate       = new Date(13, Month.August, 2007);

            evaluationDate = calendar.adjust(evaluationDate);
            Settings.setEvaluationDate(evaluationDate);


            // fixing data
            Date     from        = new Date(1, Month.January, 2005);
            Date     to          = new Date(13, Month.August, 2007);
            Schedule rpiSchedule = new MakeSchedule().from(from).to(to)
                                   .withTenor(new Period(1, TimeUnit.Months))
                                   .withCalendar(new UnitedKingdom())
                                   .withConvention(BusinessDayConvention.ModifiedFollowing).value();

            double[] fixData = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
                                 192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
                                 194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
                                 198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
                                 202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
                                 207.3 };

            RelinkableHandle <YoYInflationTermStructure> hy = new RelinkableHandle <YoYInflationTermStructure>();
            bool     interp = false;
            YYUKRPIr iir    = new YYUKRPIr(interp, hy);

            for (int i = 0; i < fixData.Length; i++)
            {
                iir.addFixing(rpiSchedule[i], fixData[i]);
            }

            YieldTermStructure nominalTS = nominalTermStructure();

            // now build the YoY inflation curve
            Datum[] yyData =
            {
                new Datum(new Date(13, Month.August, 2008),  2.95),
                new Datum(new Date(13, Month.August, 2009),  2.95),
                new Datum(new Date(13, Month.August, 2010),  2.93),
                new Datum(new Date(15, Month.August, 2011), 2.955),
                new Datum(new Date(13, Month.August, 2012), 2.945),
                new Datum(new Date(13, Month.August, 2013), 2.985),
                new Datum(new Date(13, Month.August, 2014),  3.01),
                new Datum(new Date(13, Month.August, 2015), 3.035),
                new Datum(new Date(13, Month.August, 2016), 3.055),                    // note that
                new Datum(new Date(13, Month.August, 2017), 3.075),                    // some dates will be on
                new Datum(new Date(13, Month.August, 2019), 3.105),                    // holidays but the payment
                new Datum(new Date(15, Month.August, 2022), 3.135),                    // calendar will roll them
                new Datum(new Date(13, Month.August, 2027), 3.155),
                new Datum(new Date(13, Month.August, 2032), 3.145),
                new Datum(new Date(13, Month.August, 2037), 3.145)
            };

            Period     observationLag = new Period(2, TimeUnit.Months);
            DayCounter dc             = new Thirty360();

            // now build the helpers ...
            List <BootstrapHelper <YoYInflationTermStructure> > helpers =
                makeHelpers(yyData, yyData.Length, iir, observationLag, calendar, bdc, dc);

            double baseYYRate = yyData[0].rate / 100.0;
            PiecewiseYoYInflationCurve <Linear> pYYTS = new PiecewiseYoYInflationCurve <Linear>(
                evaluationDate, calendar, dc, observationLag,
                iir.frequency(), iir.interpolated(), baseYYRate,
                new Handle <YieldTermStructure>(nominalTS), helpers);

            pYYTS.recalculate();

            // validation
            // yoy swaps should reprice to zero
            // yy rates should not equal yySwap rates
            double eps = 0.000001;
            // usual swap engine
            Handle <YieldTermStructure> hTS = new Handle <YieldTermStructure>(nominalTS);
            IPricingEngine sppe             = new DiscountingSwapEngine(hTS);

            // make sure that the index has the latest yoy term structure
            hy.linkTo(pYYTS);

            for (int j = 1; j < yyData.Length; j++)
            {
                from = nominalTS.referenceDate();
                to   = yyData[j].date;
                Schedule yoySchedule = new MakeSchedule().from(from).to(to)
                                       .withConvention(BusinessDayConvention.Unadjusted)  // fixed leg gets calendar from
                                       .withCalendar(calendar)                            // schedule
                                       .withTenor(new Period(1, TimeUnit.Years)).value(); // .back

                YearOnYearInflationSwap yyS2 = new YearOnYearInflationSwap(
                    YearOnYearInflationSwap.Type.Payer,
                    1000000.0,
                    yoySchedule,                    //fixed schedule, but same as yoy
                    yyData[j].rate / 100.0,
                    dc,
                    yoySchedule,
                    iir,
                    observationLag,
                    0.0,                            //spread on index
                    dc,
                    new UnitedKingdom());

                yyS2.setPricingEngine(sppe);



                Assert.IsTrue(Math.Abs(yyS2.NPV()) < eps, "fresh yoy swap NPV!=0 from TS "
                              + "swap quote for pt " + j
                              + ", is " + yyData[j].rate / 100.0
                              + " vs YoY rate " + pYYTS.yoyRate(yyData[j].date - observationLag)
                              + " at quote date " + (yyData[j].date - observationLag)
                              + ", NPV of a fresh yoy swap is " + yyS2.NPV()
                              + "\n      fair rate " + yyS2.fairRate()
                              + " payment " + yyS2.paymentConvention());
            }

            int jj = 3;

            for (int k = 0; k < 14; k++)
            {
                from = nominalTS.referenceDate() - new Period(k, TimeUnit.Months);
                to   = yyData[jj].date - new Period(k, TimeUnit.Months);
                Schedule yoySchedule = new MakeSchedule().from(from).to(to)
                                       .withConvention(BusinessDayConvention.Unadjusted) // fixed leg gets calendar from
                                       .withCalendar(calendar)                           // schedule
                                       .withTenor(new Period(1, TimeUnit.Years))
                                       .value();                                         //backwards()

                YearOnYearInflationSwap yyS3 = new YearOnYearInflationSwap(
                    YearOnYearInflationSwap.Type.Payer,
                    1000000.0,
                    yoySchedule,                    //fixed schedule, but same as yoy
                    yyData[jj].rate / 100.0,
                    dc,
                    yoySchedule,
                    iir,
                    observationLag,
                    0.0,                            //spread on index
                    dc,
                    new UnitedKingdom());

                yyS3.setPricingEngine(sppe);

                Assert.IsTrue(Math.Abs(yyS3.NPV()) < 20000.0,
                              "unexpected size of aged YoY swap, aged "
                              + k + " months: YY aged NPV = " + yyS3.NPV()
                              + ", legs " + yyS3.legNPV(0) + " and " + yyS3.legNPV(1)
                              );
            }
            // remove circular refernce
            hy.linkTo(new YoYInflationTermStructure());
        }