예제 #1
0
        public void testMarketASWSpread()
        {
            // Testing relationship between market asset swap and par asset swap...
             CommonVars vars = new CommonVars();

             Calendar bondCalendar = new TARGET();
             int settlementDays = 3;
             int fixingDays = 2;
             bool payFixedRate = true;
             bool parAssetSwap = true;
             bool mktAssetSwap = false;
             bool inArrears = false;

             // Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
             // maturity doesn't occur on a business day

             Schedule fixedBondSchedule1 = new Schedule(new Date(4,Month.January,2005),
                                    new Date(4,Month.January,2037),
                                    new Period(Frequency.Annual), bondCalendar,
                                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                    DateGeneration.Rule.Backward, false);
             Bond fixedBond1 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule1,
                           new List<double>{0.04},
                           new ActualActual(ActualActual.Convention.ISDA),BusinessDayConvention.Following,
                           100.0, new Date(4,Month.January,2005));

             IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
             IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
             fixedBond1.setPricingEngine(bondEngine);

             double fixedBondMktPrice1 = 89.22 ; // market price observed on 7th June 2007
             double fixedBondMktFullPrice1=fixedBondMktPrice1+fixedBond1.accruedAmount();
             AssetSwap fixedBondParAssetSwap1 = new AssetSwap(payFixedRate,
                                          fixedBond1, fixedBondMktPrice1,
                                          vars.iborIndex, vars.spread,
                                          null,
                                          vars.iborIndex.dayCounter(),
                                          parAssetSwap);
             fixedBondParAssetSwap1.setPricingEngine(swapEngine);
             double fixedBondParAssetSwapSpread1 = fixedBondParAssetSwap1.fairSpread();
             AssetSwap fixedBondMktAssetSwap1 = new AssetSwap(payFixedRate,
                                          fixedBond1, fixedBondMktPrice1,
                                          vars.iborIndex, vars.spread,
                                          null,
                                          vars.iborIndex.dayCounter(),
                                          mktAssetSwap);
             fixedBondMktAssetSwap1.setPricingEngine(swapEngine);
             double fixedBondMktAssetSwapSpread1 = fixedBondMktAssetSwap1.fairSpread();

             double tolerance = 1.0e-13;
             double error1 = Math.Abs(fixedBondMktAssetSwapSpread1- 100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);

             if (error1>tolerance) {
            Assert.Fail("wrong asset swap spreads for fixed bond:" +
                        "\n  market ASW spread: " + fixedBondMktAssetSwapSpread1 +
                        "\n  par ASW spread:    " + fixedBondParAssetSwapSpread1 +
                        "\n  error:             " + error1 +
                        "\n  tolerance:         " + tolerance);
             }

             // Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
             // maturity occurs on a business day

             Schedule fixedBondSchedule2 = new Schedule(new Date(5,Month.February,2005),
                                    new Date(5,Month.February,2019),
                                    new Period(Frequency.Annual), bondCalendar,
                                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                    DateGeneration.Rule.Backward, false);
             Bond fixedBond2 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule2,
                           new List<double>{ 0.05},
                           new Thirty360(Thirty360.Thirty360Convention.BondBasis), BusinessDayConvention.Following,
                           100.0, new Date(5,Month.February,2005));

             fixedBond2.setPricingEngine(bondEngine);

             double fixedBondMktPrice2 = 99.98 ; // market price observed on 7th June 2007
             double fixedBondMktFullPrice2=fixedBondMktPrice2+fixedBond2.accruedAmount();
             AssetSwap fixedBondParAssetSwap2 = new AssetSwap(payFixedRate,
                                          fixedBond2, fixedBondMktPrice2,
                                          vars.iborIndex, vars.spread,
                                          null,
                                          vars.iborIndex.dayCounter(),
                                          parAssetSwap);
             fixedBondParAssetSwap2.setPricingEngine(swapEngine);
             double fixedBondParAssetSwapSpread2 = fixedBondParAssetSwap2.fairSpread();
             AssetSwap fixedBondMktAssetSwap2 = new AssetSwap(payFixedRate,
                                          fixedBond2, fixedBondMktPrice2,
                                          vars.iborIndex, vars.spread,
                                          null,
                                          vars.iborIndex.dayCounter(),
                                          mktAssetSwap);
             fixedBondMktAssetSwap2.setPricingEngine(swapEngine);
             double fixedBondMktAssetSwapSpread2 = fixedBondMktAssetSwap2.fairSpread();
             double error2 = Math.Abs(fixedBondMktAssetSwapSpread2-
                     100*fixedBondParAssetSwapSpread2/fixedBondMktFullPrice2);

             if (error2>tolerance) {
            Assert.Fail("wrong asset swap spreads for fixed bond:" +
                        "\n  market ASW spread: " + fixedBondMktAssetSwapSpread2 +
                        "\n  par ASW spread:    " + fixedBondParAssetSwapSpread2 +
                        "\n  error:             " + error2 +
                        "\n  tolerance:         " + tolerance);
             }

             // FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
             // maturity doesn't occur on a business day

             Schedule floatingBondSchedule1 = new Schedule( new Date(29,Month.September,2003),
                                       new Date(29,Month.September,2013),
                                       new Period(Frequency.Semiannual), bondCalendar,
                                       BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                       DateGeneration.Rule.Backward, false);

             Bond floatingBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
                              floatingBondSchedule1,
                              vars.iborIndex, new Actual360(),
                              BusinessDayConvention.Following, fixingDays,
                              new List<double>{1}, new List<double>{0.0056},
                              new List<double>(), new List<double>(),
                              inArrears,
                              100.0, new Date(29,Month.September,2003));

             floatingBond1.setPricingEngine(bondEngine);

             Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
             vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
             // market price observed on 7th June 2007
             double floatingBondMktPrice1 = 101.64 ;
             double floatingBondMktFullPrice1 = floatingBondMktPrice1+floatingBond1.accruedAmount();
             AssetSwap floatingBondParAssetSwap1 = new AssetSwap(payFixedRate,
                                             floatingBond1, floatingBondMktPrice1,
                                             vars.iborIndex, vars.spread,
                                             null,
                                             vars.iborIndex.dayCounter(),
                                             parAssetSwap);
             floatingBondParAssetSwap1.setPricingEngine(swapEngine);
             double floatingBondParAssetSwapSpread1 = floatingBondParAssetSwap1.fairSpread();
             AssetSwap floatingBondMktAssetSwap1= new AssetSwap(payFixedRate,
                                             floatingBond1, floatingBondMktPrice1,
                                             vars.iborIndex, vars.spread,
                                             null,
                                             vars.iborIndex.dayCounter(),
                                             mktAssetSwap);
             floatingBondMktAssetSwap1.setPricingEngine(swapEngine);
             double floatingBondMktAssetSwapSpread1 = floatingBondMktAssetSwap1.fairSpread();
             double error3 = Math.Abs(floatingBondMktAssetSwapSpread1-
                     100*floatingBondParAssetSwapSpread1/floatingBondMktFullPrice1);

             if (error3>tolerance) {
            Assert.Fail("wrong asset swap spreads for floating bond:" +
                        "\n  market ASW spread: " + floatingBondMktAssetSwapSpread1 +
                        "\n  par ASW spread:    " + floatingBondParAssetSwapSpread1 +
                        "\n  error:             " + error3 +
                        "\n  tolerance:         " + tolerance);
             }

             // FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
             // maturity occurs on a business day

             Schedule floatingBondSchedule2 = new Schedule( new Date(24,Month.September,2004),
                                       new Date(24,Month.September,2018),
                                       new Period(Frequency.Semiannual), bondCalendar,
                                       BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
                                       DateGeneration.Rule.Backward, false);
             Bond floatingBond2 = new FloatingRateBond(settlementDays, vars.faceAmount,
                              floatingBondSchedule2,
                              vars.iborIndex, new Actual360(),
                              BusinessDayConvention.ModifiedFollowing, fixingDays,
                              new List<double>{1}, new List<double>{0.0025},
                              new List<double>(), new List<double>(),
                              inArrears,
                              100.0, new Date(24,Month.September,2004));

             floatingBond2.setPricingEngine(bondEngine);

             Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
             vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
             // market price observed on 7th June 2007
             double floatingBondMktPrice2 = 101.248 ;
             double floatingBondMktFullPrice2 = floatingBondMktPrice2+floatingBond2.accruedAmount();
             AssetSwap floatingBondParAssetSwap2= new AssetSwap(payFixedRate,
                                             floatingBond2, floatingBondMktPrice2,
                                             vars.iborIndex, vars.spread,
                                             null,
                                             vars.iborIndex.dayCounter(),
                                             parAssetSwap);
             floatingBondParAssetSwap2.setPricingEngine(swapEngine);
             double floatingBondParAssetSwapSpread2 = floatingBondParAssetSwap2.fairSpread();
             AssetSwap floatingBondMktAssetSwap2 = new AssetSwap(payFixedRate,
                                             floatingBond2, floatingBondMktPrice2,
                                             vars.iborIndex, vars.spread,
                                             null,
                                             vars.iborIndex.dayCounter(),
                                             mktAssetSwap);
             floatingBondMktAssetSwap2.setPricingEngine(swapEngine);
             double floatingBondMktAssetSwapSpread2 = floatingBondMktAssetSwap2.fairSpread();
             double error4 = Math.Abs(floatingBondMktAssetSwapSpread2-
                     100*floatingBondParAssetSwapSpread2/floatingBondMktFullPrice2);

             if (error4>tolerance) {
            Assert.Fail("wrong asset swap spreads for floating bond:" +
                        "\n  market ASW spread: " + floatingBondMktAssetSwapSpread2 +
                        "\n  par ASW spread:    " + floatingBondParAssetSwapSpread2 +
                        "\n  error:             " + error4 +
                        "\n  tolerance:         " + tolerance);
             }

             // CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
             // maturity doesn't occur on a business day

             Schedule cmsBondSchedule1 = new Schedule( new Date(22,Month.August,2005),
                                 new Date(22,Month.August,2020),
                                 new Period(Frequency.Annual), bondCalendar,
                                 BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                 DateGeneration.Rule.Backward, false);
             Bond cmsBond1 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule1,
                        vars.swapIndex, new Thirty360(),
                        BusinessDayConvention.Following, fixingDays,
                        new List<double>{1.0}, new List<double>{0.0},
                        new List<double>{0.055}, new List<double>{0.025},
                        inArrears,
                        100.0, new Date(22,Month.August,2005));

             cmsBond1.setPricingEngine(bondEngine);

             Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
             vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
             double cmsBondMktPrice1 = 88.45 ; // market price observed on 7th June 2007
             double cmsBondMktFullPrice1 = cmsBondMktPrice1+cmsBond1.accruedAmount();
             AssetSwap cmsBondParAssetSwap1 = new AssetSwap(payFixedRate,
                                       cmsBond1, cmsBondMktPrice1,
                                       vars.iborIndex, vars.spread,
                                       null,
                                       vars.iborIndex.dayCounter(),
                                       parAssetSwap);
             cmsBondParAssetSwap1.setPricingEngine(swapEngine);
             double cmsBondParAssetSwapSpread1 = cmsBondParAssetSwap1.fairSpread();
             AssetSwap cmsBondMktAssetSwap1 = new AssetSwap(payFixedRate,
                                       cmsBond1, cmsBondMktPrice1,
                                       vars.iborIndex, vars.spread,
                                       null,
                                       vars.iborIndex.dayCounter(),
                                       mktAssetSwap);
             cmsBondMktAssetSwap1.setPricingEngine(swapEngine);
             double cmsBondMktAssetSwapSpread1 = cmsBondMktAssetSwap1.fairSpread();
             double error5 = Math.Abs(cmsBondMktAssetSwapSpread1-
                     100*cmsBondParAssetSwapSpread1/cmsBondMktFullPrice1);

             if (error5>tolerance) {
            Assert.Fail("wrong asset swap spreads for cms bond:" +
                        "\n  market ASW spread: " + cmsBondMktAssetSwapSpread1 +
                        "\n  par ASW spread:    " + cmsBondParAssetSwapSpread1 +
                        "\n  error:             " + error5 +
                        "\n  tolerance:         " + tolerance);
             }

             // CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
             // maturity occurs on a business day

             Schedule cmsBondSchedule2 = new Schedule(new Date(06,Month.May,2005),
                                 new Date(06,Month.May,2015),
                                 new Period(Frequency.Annual), bondCalendar,
                                 BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                 DateGeneration.Rule.Backward, false);
             Bond cmsBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
                        vars.swapIndex, new Thirty360(),
                        BusinessDayConvention.Following, fixingDays,
                        new List<double>{0.84}, new List<double>{0.0},
                        new List<double>(), new List<double>(),
                        inArrears,
                        100.0, new Date(06,Month.May,2005));

             cmsBond2.setPricingEngine(bondEngine);

             Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
             vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
             double cmsBondMktPrice2 = 94.08 ; // market price observed on 7th June 2007
             double cmsBondMktFullPrice2 = cmsBondMktPrice2+cmsBond2.accruedAmount();
             AssetSwap cmsBondParAssetSwap2 = new AssetSwap(payFixedRate,
                                       cmsBond2, cmsBondMktPrice2,
                                       vars.iborIndex, vars.spread,
                                       null,
                                       vars.iborIndex.dayCounter(),
                                       parAssetSwap);
             cmsBondParAssetSwap2.setPricingEngine(swapEngine);
             double cmsBondParAssetSwapSpread2 = cmsBondParAssetSwap2.fairSpread();
             AssetSwap cmsBondMktAssetSwap2 = new AssetSwap(payFixedRate,
                                       cmsBond2, cmsBondMktPrice2,
                                       vars.iborIndex, vars.spread,
                                       null,
                                       vars.iborIndex.dayCounter(),
                                       mktAssetSwap);
             cmsBondMktAssetSwap2.setPricingEngine(swapEngine);
             double cmsBondMktAssetSwapSpread2 = cmsBondMktAssetSwap2.fairSpread();
             double error6 = Math.Abs(cmsBondMktAssetSwapSpread2-
                     100*cmsBondParAssetSwapSpread2/cmsBondMktFullPrice2);

             if (error6>tolerance) {
            Assert.Fail("wrong asset swap spreads for cms bond:" +
                        "\n  market ASW spread: " + cmsBondMktAssetSwapSpread2 +
                        "\n  par ASW spread:    " + cmsBondParAssetSwapSpread2 +
                        "\n  error:             " + error6 +
                        "\n  tolerance:         " + tolerance);
             }

             // Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
             // maturity doesn't occur on a business day

             Bond zeroCpnBond1 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
                          new  Date(20,Month.December,2015), BusinessDayConvention.Following,
                           100.0, new Date(19,Month.December,1985));

             zeroCpnBond1.setPricingEngine(bondEngine);

             // market price observed on 12th June 2007
             double zeroCpnBondMktPrice1 = 70.436 ;
             double zeroCpnBondMktFullPrice1 = zeroCpnBondMktPrice1+zeroCpnBond1.accruedAmount();
             AssetSwap zeroCpnBondParAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
                                          zeroCpnBondMktPrice1,
                                          vars.iborIndex, vars.spread,
                                          null,
                                          vars.iborIndex.dayCounter(),
                                          parAssetSwap);
             zeroCpnBondParAssetSwap1.setPricingEngine(swapEngine);
             double zeroCpnBondParAssetSwapSpread1 = zeroCpnBondParAssetSwap1.fairSpread();
             AssetSwap zeroCpnBondMktAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
                                          zeroCpnBondMktPrice1,
                                          vars.iborIndex, vars.spread,
                                          null,
                                          vars.iborIndex.dayCounter(),
                                          mktAssetSwap);
             zeroCpnBondMktAssetSwap1.setPricingEngine(swapEngine);
             double zeroCpnBondMktAssetSwapSpread1 = zeroCpnBondMktAssetSwap1.fairSpread();
             double error7 = Math.Abs(zeroCpnBondMktAssetSwapSpread1-
                     100*zeroCpnBondParAssetSwapSpread1/zeroCpnBondMktFullPrice1);

             if (error7>tolerance) {
            Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
                        "\n  market ASW spread: " + zeroCpnBondMktAssetSwapSpread1 +
                        "\n  par ASW spread:    " + zeroCpnBondParAssetSwapSpread1 +
                        "\n  error:             " + error7 +
                        "\n  tolerance:         " + tolerance);
             }

             // Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
             // maturity occurs on a business day

             Bond zeroCpnBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
                           new Date(17,Month.February,2028),
                           BusinessDayConvention.Following,
                           100.0, new Date(17,Month.February,1998));

             zeroCpnBond2.setPricingEngine(bondEngine);

             // Real zeroCpnBondPrice2 = zeroCpnBond2->cleanPrice();

             // market price observed on 12th June 2007
             double zeroCpnBondMktPrice2 = 35.160 ;
             double zeroCpnBondMktFullPrice2 = zeroCpnBondMktPrice2+zeroCpnBond2.accruedAmount();
             AssetSwap zeroCpnBondParAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
                                          zeroCpnBondMktPrice2,
                                          vars.iborIndex, vars.spread,
                                          null,
                                          vars.iborIndex.dayCounter(),
                                          parAssetSwap);
             zeroCpnBondParAssetSwap2.setPricingEngine(swapEngine);
             double zeroCpnBondParAssetSwapSpread2 = zeroCpnBondParAssetSwap2.fairSpread();
             AssetSwap zeroCpnBondMktAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
                                          zeroCpnBondMktPrice2,
                                          vars.iborIndex, vars.spread,
                                          null,
                                          vars.iborIndex.dayCounter(),
                                          mktAssetSwap);
             zeroCpnBondMktAssetSwap2.setPricingEngine(swapEngine);
             double zeroCpnBondMktAssetSwapSpread2 = zeroCpnBondMktAssetSwap2.fairSpread();
             double error8 = Math.Abs(zeroCpnBondMktAssetSwapSpread2-
                     100*zeroCpnBondParAssetSwapSpread2/zeroCpnBondMktFullPrice2);

             if (error8>tolerance) {
            Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
                        "\n  market ASW spread: " + zeroCpnBondMktAssetSwapSpread2 +
                        "\n  par ASW spread:    " + zeroCpnBondParAssetSwapSpread2 +
                        "\n  error:             " + error8 +
                        "\n  tolerance:         " + tolerance);
             }
        }
        static void Main(string[] args) {

            DateTime timer = DateTime.Now;

            /*********************
             ***  MARKET DATA  ***
             *********************/

            Calendar calendar = new TARGET();

            Date settlementDate = new Date(18, Month.September, 2008);
            // must be a business day
            settlementDate = calendar.adjust(settlementDate);

            int fixingDays = 3;
            int settlementDays = 3;

            Date todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
            // nothing to do with Date::todaysDate
            Settings.setEvaluationDate(todaysDate);

            Console.WriteLine("Today: {0}, {1}", todaysDate.DayOfWeek, todaysDate);
            Console.WriteLine("Settlement date: {0}, {1}", settlementDate.DayOfWeek, settlementDate);


            // Building of the bonds discounting yield curve

            /*********************
             ***  RATE HELPERS ***
             *********************/

            // RateHelpers are built from the above quotes together with
            // other instrument dependant infos.  Quotes are passed in
            // relinkable handles which could be relinked to some other
            // data source later.

            // Common data

            // ZC rates for the short end
             double zc3mQuote=0.0096;
             double zc6mQuote=0.0145;
             double zc1yQuote=0.0194;

             Quote zc3mRate = new SimpleQuote(zc3mQuote);
             Quote zc6mRate = new SimpleQuote(zc6mQuote);
             Quote zc1yRate = new SimpleQuote(zc1yQuote);

             DayCounter zcBondsDayCounter = new Actual365Fixed();

             RateHelper zc3m = new DepositRateHelper(new Handle<Quote>(zc3mRate),
                                                          new Period(3, TimeUnit.Months), fixingDays,
                                                          calendar, BusinessDayConvention.ModifiedFollowing,
                                                          true, zcBondsDayCounter);
             RateHelper zc6m = new DepositRateHelper(new Handle<Quote>(zc6mRate),
                                                          new Period(6, TimeUnit.Months), fixingDays,
                                                          calendar, BusinessDayConvention.ModifiedFollowing,
                                                          true, zcBondsDayCounter);
             RateHelper zc1y = new DepositRateHelper(new Handle<Quote>(zc1yRate),
                                                          new Period(1, TimeUnit.Years), fixingDays,
                                                          calendar, BusinessDayConvention.ModifiedFollowing,
                                                          true, zcBondsDayCounter);

            // setup bonds
            double redemption = 100.0;

            const int numberOfBonds = 5;

            Date[] issueDates = {
                    new Date (15, Month.March, 2005),
                    new Date (15, Month.June, 2005),
                    new Date (30, Month.June, 2006),
                    new Date (15, Month.November, 2002),
                    new Date (15, Month.May, 1987)
            };

            Date[] maturities = {
                    new Date (31, Month.August, 2010),
                    new Date (31, Month.August, 2011),
                    new Date (31, Month.August, 2013),
                    new Date (15, Month.August, 2018),
                    new Date (15, Month.May, 2038)
            };

            double[] couponRates = {
                    0.02375,
                    0.04625,
                    0.03125,
                    0.04000,
                    0.04500
            };

            double[] marketQuotes = {
                    100.390625,
                    106.21875,
                    100.59375,
                    101.6875,
                    102.140625
            };

            List<SimpleQuote> quote = new List<SimpleQuote>();
            for (int i=0; i<numberOfBonds; i++) {
                SimpleQuote cp = new SimpleQuote(marketQuotes[i]);
                quote.Add(cp);
            }

            List<RelinkableHandle<Quote>> quoteHandle = new InitializedList<RelinkableHandle<Quote>>(numberOfBonds);
            for (int i=0; i<numberOfBonds; i++) {
                quoteHandle[i].linkTo(quote[i]);
            }

            // Definition of the rate helpers
            List<FixedRateBondHelper> bondsHelpers = new List<FixedRateBondHelper>();
            for (int i=0; i<numberOfBonds; i++) {

                Schedule schedule = new Schedule(issueDates[i], maturities[i], new Period(Frequency.Semiannual), 
                                                 new UnitedStates(UnitedStates.Market.GovernmentBond),
                                                 BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, 
                                                 DateGeneration.Rule.Backward, false);

                FixedRateBondHelper bondHelper = new FixedRateBondHelper(quoteHandle[i],
                                                                         settlementDays,
                                                                         100.0,
                                                                         schedule,
                                                                         new List<double>() { couponRates[i] },
                                                                         new ActualActual(ActualActual.Convention.Bond),
                                                                         BusinessDayConvention.Unadjusted,
                                                                         redemption,
                                                                         issueDates[i]);

                bondsHelpers.Add(bondHelper);
            }

            /*********************
             **  CURVE BUILDING **
             *********************/

             // Any DayCounter would be fine.
             // ActualActual::ISDA ensures that 30 years is 30.0
             DayCounter termStructureDayCounter = new ActualActual(ActualActual.Convention.ISDA);

             double tolerance = 1.0e-15;

             // A depo-bond curve
             List<RateHelper> bondInstruments = new List<RateHelper>();

             // Adding the ZC bonds to the curve for the short end
             bondInstruments.Add(zc3m);
             bondInstruments.Add(zc6m);
             bondInstruments.Add(zc1y);

             // Adding the Fixed rate bonds to the curve for the long end
             for (int i=0; i<numberOfBonds; i++) {
                 bondInstruments.Add(bondsHelpers[i]);
             }

             YieldTermStructure bondDiscountingTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
                                                                     settlementDate, bondInstruments,
                                                                     termStructureDayCounter,
                                                                     new List<Handle<Quote>>(),
                                                                     new List<Date>(),
                                                                     tolerance);

             // Building of the Libor forecasting curve
             // deposits
             double d1wQuote=0.043375;
             double d1mQuote=0.031875;
             double d3mQuote=0.0320375;
             double d6mQuote=0.03385;
             double d9mQuote=0.0338125;
             double d1yQuote=0.0335125;
             // swaps
             double s2yQuote=0.0295;
             double s3yQuote=0.0323;
             double s5yQuote=0.0359;
             double s10yQuote=0.0412;
             double s15yQuote=0.0433;


             /********************
              ***    QUOTES    ***
              ********************/

             // SimpleQuote stores a value which can be manually changed;
             // other Quote subclasses could read the value from a database
             // or some kind of data feed.

             // deposits
             Quote d1wRate = new SimpleQuote(d1wQuote);
             Quote d1mRate = new SimpleQuote(d1mQuote);
             Quote d3mRate = new SimpleQuote(d3mQuote);
             Quote d6mRate = new SimpleQuote(d6mQuote);
             Quote d9mRate = new SimpleQuote(d9mQuote);
             Quote d1yRate = new SimpleQuote(d1yQuote);
             // swaps
             Quote s2yRate = new SimpleQuote(s2yQuote);
             Quote s3yRate = new SimpleQuote(s3yQuote);
             Quote s5yRate = new SimpleQuote(s5yQuote);
             Quote s10yRate = new SimpleQuote(s10yQuote);
             Quote s15yRate = new SimpleQuote(s15yQuote);

             /*********************
              ***  RATE HELPERS ***
              *********************/

             // RateHelpers are built from the above quotes together with
             // other instrument dependant infos.  Quotes are passed in
             // relinkable handles which could be relinked to some other
             // data source later.

             // deposits
             DayCounter depositDayCounter = new Actual360();

             RateHelper d1w = new DepositRateHelper(
                     new Handle<Quote>(d1wRate),
                     new Period(1, TimeUnit.Weeks), fixingDays,
                     calendar, BusinessDayConvention.ModifiedFollowing,
                     true, depositDayCounter);
             RateHelper d1m = new DepositRateHelper(
                     new Handle<Quote>(d1mRate),
                     new Period(1, TimeUnit.Months), fixingDays,
                     calendar, BusinessDayConvention.ModifiedFollowing,
                     true, depositDayCounter);
             RateHelper d3m = new DepositRateHelper(
                     new Handle<Quote>(d3mRate),
                     new Period(3, TimeUnit.Months), fixingDays,
                     calendar, BusinessDayConvention.ModifiedFollowing,
                     true, depositDayCounter);
             RateHelper d6m = new DepositRateHelper(
                     new Handle<Quote>(d6mRate),
                     new Period(6, TimeUnit.Months), fixingDays,
                     calendar, BusinessDayConvention.ModifiedFollowing,
                     true, depositDayCounter);
             RateHelper d9m = new DepositRateHelper(
                     new Handle<Quote>(d9mRate),
                     new Period(9, TimeUnit.Months), fixingDays,
                     calendar, BusinessDayConvention.ModifiedFollowing,
                     true, depositDayCounter);
             RateHelper d1y = new DepositRateHelper(
                     new Handle<Quote>(d1yRate),
                     new Period(1, TimeUnit.Years), fixingDays,
                     calendar, BusinessDayConvention.ModifiedFollowing,
                     true, depositDayCounter);

             // setup swaps
             Frequency swFixedLegFrequency =Frequency.Annual;
             BusinessDayConvention swFixedLegConvention = BusinessDayConvention.Unadjusted;
             DayCounter swFixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
             IborIndex swFloatingLegIndex = new Euribor6M();

             Period forwardStart = new Period(1, TimeUnit.Days);

             RateHelper s2y = new SwapRateHelper(
                     new Handle<Quote>(s2yRate), new Period(2, TimeUnit.Years),
                     calendar, swFixedLegFrequency,
                     swFixedLegConvention, swFixedLegDayCounter,
                     swFloatingLegIndex, new Handle<Quote>(),forwardStart);
             RateHelper s3y = new SwapRateHelper(
                     new Handle<Quote>(s3yRate), new Period(3, TimeUnit.Years),
                     calendar, swFixedLegFrequency,
                     swFixedLegConvention, swFixedLegDayCounter,
                     swFloatingLegIndex, new Handle<Quote>(),forwardStart);
             RateHelper s5y = new SwapRateHelper(
                     new Handle<Quote>(s5yRate), new Period(5, TimeUnit.Years),
                     calendar, swFixedLegFrequency,
                     swFixedLegConvention, swFixedLegDayCounter,
                     swFloatingLegIndex, new Handle<Quote>(),forwardStart);
             RateHelper s10y = new SwapRateHelper(
                     new Handle<Quote>(s10yRate), new Period(10, TimeUnit.Years),
                     calendar, swFixedLegFrequency,
                     swFixedLegConvention, swFixedLegDayCounter,
                     swFloatingLegIndex, new Handle<Quote>(),forwardStart);
             RateHelper s15y = new SwapRateHelper(
                     new Handle<Quote>(s15yRate), new Period(15, TimeUnit.Years),
                     calendar, swFixedLegFrequency,
                     swFixedLegConvention, swFixedLegDayCounter,
                     swFloatingLegIndex, new Handle<Quote>(),forwardStart);


             /*********************
              **  CURVE BUILDING **
              *********************/

             // Any DayCounter would be fine.
             // ActualActual::ISDA ensures that 30 years is 30.0

             // A depo-swap curve
             List<RateHelper> depoSwapInstruments = new List<RateHelper>();
             depoSwapInstruments.Add(d1w);
             depoSwapInstruments.Add(d1m);
             depoSwapInstruments.Add(d3m);
             depoSwapInstruments.Add(d6m);
             depoSwapInstruments.Add(d9m);
             depoSwapInstruments.Add(d1y);
             depoSwapInstruments.Add(s2y);
             depoSwapInstruments.Add(s3y);
             depoSwapInstruments.Add(s5y);
             depoSwapInstruments.Add(s10y);
             depoSwapInstruments.Add(s15y);
             YieldTermStructure depoSwapTermStructure = new PiecewiseYieldCurve<Discount,LogLinear>(
                             settlementDate, depoSwapInstruments,
                             termStructureDayCounter,
                             new List<Handle<Quote> >(),
                             new List<Date>(),
                             tolerance);

             // Term structures that will be used for pricing:
             // the one used for discounting cash flows
             RelinkableHandle<YieldTermStructure> discountingTermStructure = new RelinkableHandle<YieldTermStructure>();
             // the one used for forward rate forecasting
             RelinkableHandle<YieldTermStructure> forecastingTermStructure = new RelinkableHandle<YieldTermStructure>();

             /*********************
              * BONDS TO BE PRICED *
              **********************/

             // Common data
             double faceAmount = 100;

             // Pricing engine
             IPricingEngine bondEngine = new DiscountingBondEngine(discountingTermStructure);

             // Zero coupon bond
             ZeroCouponBond zeroCouponBond = new ZeroCouponBond(
                     settlementDays,
                     new UnitedStates(UnitedStates.Market.GovernmentBond),
                     faceAmount,
                     new Date(15, Month.August,2013),
                     BusinessDayConvention.Following,
                     116.92,
                     new Date(15, Month.August,2003));

             zeroCouponBond.setPricingEngine(bondEngine);

             // Fixed 4.5% US Treasury Note
             Schedule fixedBondSchedule = new Schedule(new Date(15, Month.May, 2007),
                     new Date(15,Month.May,2017), new Period(Frequency.Semiannual),
                     new UnitedStates(UnitedStates.Market.GovernmentBond),
                     BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);

             FixedRateBond fixedRateBond = new FixedRateBond(
                     settlementDays,
                     faceAmount,
                     fixedBondSchedule,
                     new List<double>() { 0.045 },
                     new ActualActual(ActualActual.Convention.Bond),
                     BusinessDayConvention.ModifiedFollowing,
                     100.0, new Date(15, Month.May, 2007));

             fixedRateBond.setPricingEngine(bondEngine);

             // Floating rate bond (3M USD Libor + 0.1%)
             // Should and will be priced on another curve later...

             RelinkableHandle<YieldTermStructure> liborTermStructure = new RelinkableHandle<YieldTermStructure>();
             IborIndex libor3m = new USDLibor(new Period(3, TimeUnit.Months), liborTermStructure);
             libor3m.addFixing(new Date(17, Month.July, 2008),0.0278625);

             Schedule floatingBondSchedule = new Schedule(new Date(21, Month.October, 2005),
                     new Date(21, Month.October, 2010), new Period(Frequency.Quarterly),
                     new UnitedStates(UnitedStates.Market.NYSE),
                     BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, true);

             FloatingRateBond floatingRateBond = new FloatingRateBond(
                     settlementDays,
                     faceAmount,
                     floatingBondSchedule,
                     libor3m,
                     new Actual360(),
                     BusinessDayConvention.ModifiedFollowing,
                     2,
                     // Gearings
                     new List<double>() { 1.0 },
                     // Spreads
                     new List<double>() { 0.001 },
                     // Caps
                     new List<double>(),
                     // Floors
                     new List<double>(),
                     // Fixing in arrears
                     true,
                     100.0,
                     new Date(21, Month.October, 2005));

             floatingRateBond.setPricingEngine(bondEngine);

             // Coupon pricers
             IborCouponPricer pricer = new BlackIborCouponPricer();

             // optionLet volatilities
             double volatility = 0.0;
             Handle<OptionletVolatilityStructure> vol;
             vol = new Handle<OptionletVolatilityStructure>(
                                new ConstantOptionletVolatility(
                                     settlementDays,
                                     calendar,
                                     BusinessDayConvention.ModifiedFollowing,
                                     volatility,
                                     new Actual365Fixed()));

             pricer.setCapletVolatility(vol);
             Utils.setCouponPricer(floatingRateBond.cashflows(),pricer);

             // Yield curve bootstrapping
             forecastingTermStructure.linkTo(depoSwapTermStructure);
             discountingTermStructure.linkTo(bondDiscountingTermStructure);

             // We are using the depo & swap curve to estimate the future Libor rates
             liborTermStructure.linkTo(depoSwapTermStructure);

             /***************
              * BOND PRICING *
              ****************/

             // write column headings
             int[] widths = { 18, 10, 10, 10 };

            Console.WriteLine("{0,18}{1,10}{2,10}{3,10}", "", "ZC", "Fixed", "Floating");

            string separator = " | ";
            int width = widths[0]
                                 + widths[1]
                                          + widths[2]
                                                   + widths[3];
            string rule = "".PadLeft(width, '-'), dblrule = "".PadLeft(width, '=');
            string tab = "".PadLeft(8, ' ');

            Console.WriteLine(rule);

            Console.WriteLine("Net present value".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}", 
                                zeroCouponBond.NPV(),
                                fixedRateBond.NPV(),
                                floatingRateBond.NPV());

            Console.WriteLine("Clean price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
                                zeroCouponBond.cleanPrice(),
                                fixedRateBond.cleanPrice(),
                                floatingRateBond.cleanPrice());

            Console.WriteLine("Dirty price".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
                                zeroCouponBond.dirtyPrice(),
                                fixedRateBond.dirtyPrice(),
                                floatingRateBond.dirtyPrice());

            Console.WriteLine("Accrued coupon".PadLeft(widths[0]) + "{0,10:n2}{1,10:n2}{2,10:n2}",
                                zeroCouponBond.accruedAmount(),
                                fixedRateBond.accruedAmount(),
                                floatingRateBond.accruedAmount());

            Console.WriteLine("Previous coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
                                "N/A",
                                fixedRateBond.previousCoupon(),
                                floatingRateBond.previousCoupon());

            Console.WriteLine("Next coupon".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
                              "N/A",
                              fixedRateBond.nextCoupon(),
                              floatingRateBond.nextCoupon());

            Console.WriteLine("Yield".PadLeft(widths[0]) + "{0,10:0.00%}{1,10:0.00%}{2,10:0.00%}",
                              zeroCouponBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
                              fixedRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
                              floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual));

            Console.WriteLine();

            // Other computations
            Console.WriteLine("Sample indirect computations (for the floating rate bond): ");
            Console.WriteLine(rule);

            Console.WriteLine("Yield to Clean Price: {0:n2}",
                floatingRateBond.cleanPrice(floatingRateBond.yield(new Actual360(), Compounding.Compounded, Frequency.Annual),
                                                                   new Actual360(), Compounding.Compounded, Frequency.Annual,
                                                                   settlementDate));

            Console.WriteLine("Clean Price to Yield: {0:0.00%}",
                floatingRateBond.yield(floatingRateBond.cleanPrice(),new Actual360(), Compounding.Compounded, Frequency.Annual,
                                       settlementDate));

            /* "Yield to Price"
               "Price to Yield" */

            Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
            Console.WriteLine();

            Console.Write("Press any key to continue ...");
            Console.ReadKey();
        }
예제 #3
0
        public void testSpecializedBondVsGenericBond()
        {
            // Testing clean and dirty prices for specialized bond against equivalent generic bond...
             CommonVars vars = new CommonVars();

             Calendar bondCalendar = new TARGET();
             int settlementDays = 3;
             int fixingDays = 2;
             bool inArrears = false;

             // Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
             // maturity doesn't occur on a business day
             Date fixedBondStartDate1 = new Date(4,Month.January,2005);
             Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
             Schedule fixedBondSchedule1= new Schedule(fixedBondStartDate1,
                                    fixedBondMaturityDate1,
                                    new Period(Frequency.Annual), bondCalendar,
                                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                    DateGeneration.Rule.Backward, false);
             List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
            .withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
            .withNotionals(vars.faceAmount);
             Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1,
                                                         BusinessDayConvention.Following);
             fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
             // generic bond
             Bond fixedBond1 = new  Bond(settlementDays, bondCalendar, vars.faceAmount,
                  fixedBondMaturityDate1, fixedBondStartDate1, fixedBondLeg1);
             IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
             fixedBond1.setPricingEngine(bondEngine);

             // equivalent specialized fixed rate bond
             Bond fixedSpecializedBond1 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule1,
                           new List<double>{0.04},
                           new ActualActual(ActualActual.Convention.ISDA), BusinessDayConvention.Following,
                           100.0, new Date(4,Month.January,2005) );
             fixedSpecializedBond1.setPricingEngine(bondEngine);

             double fixedBondTheoValue1 = fixedBond1.cleanPrice();
             double fixedSpecializedBondTheoValue1 = fixedSpecializedBond1.cleanPrice();
             double tolerance = 1.0e-13;
             double error1 = Math.Abs(fixedBondTheoValue1-fixedSpecializedBondTheoValue1);
             if (error1>tolerance) {
            Assert.Fail("wrong clean price for fixed bond:"
                        + "\n  specialized fixed rate bond's theo clean price: "
                        + fixedBondTheoValue1
                        + "\n  generic equivalent bond's theo clean price: "
                        + fixedSpecializedBondTheoValue1
                        + "\n  error:                 " + error1
                        + "\n  tolerance:             " + tolerance);
             }
             double fixedBondTheoDirty1 = fixedBondTheoValue1+fixedBond1.accruedAmount();
             double fixedSpecializedTheoDirty1 = fixedSpecializedBondTheoValue1+
                                       fixedSpecializedBond1.accruedAmount();
             double error2 = Math.Abs(fixedBondTheoDirty1-fixedSpecializedTheoDirty1);
             if (error2>tolerance) {
            Assert.Fail("wrong dirty price for fixed bond:"
                        + "\n  specialized fixed rate bond's theo dirty price: "
                        + fixedBondTheoDirty1
                        + "\n  generic equivalent bond's theo dirty price: "
                        + fixedSpecializedTheoDirty1
                        + "\n  error:                 " + error2
                        + "\n  tolerance:             " + tolerance);
             }

             // Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
             // maturity occurs on a business day
             Date fixedBondStartDate2 = new Date(5,Month.February,2005);
             Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
             Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
                                    fixedBondMaturityDate2,
                                    new Period(Frequency.Annual), bondCalendar,
                                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                    DateGeneration.Rule.Backward, false);
             List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
            .withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
            .withNotionals(vars.faceAmount);
             Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2,  BusinessDayConvention.Following);
             fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));

             // generic bond
             Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
                  fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
             fixedBond2.setPricingEngine(bondEngine);

             // equivalent specialized fixed rate bond
             Bond fixedSpecializedBond2 = new  FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule2,
                           new List<double>{0.05},
                           new Thirty360(Thirty360.Thirty360Convention.BondBasis), BusinessDayConvention.Following,
                           100.0, new Date(5,Month.February,2005));
             fixedSpecializedBond2.setPricingEngine(bondEngine);

             double fixedBondTheoValue2 = fixedBond2.cleanPrice();
             double fixedSpecializedBondTheoValue2 = fixedSpecializedBond2.cleanPrice();

             double error3 = Math.Abs(fixedBondTheoValue2-fixedSpecializedBondTheoValue2);
             if (error3>tolerance) {
            Assert.Fail("wrong clean price for fixed bond:"
                        + "\n  specialized fixed rate bond's theo clean price: "
                        + fixedBondTheoValue2
                        + "\n  generic equivalent bond's theo clean price: "
                        + fixedSpecializedBondTheoValue2
                        + "\n  error:                 " + error3
                        + "\n  tolerance:             " + tolerance);
             }
             double fixedBondTheoDirty2 = fixedBondTheoValue2+
                                    fixedBond2.accruedAmount();
             double fixedSpecializedBondTheoDirty2 = fixedSpecializedBondTheoValue2+
                                          fixedSpecializedBond2.accruedAmount();

             double error4 = Math.Abs(fixedBondTheoDirty2-fixedSpecializedBondTheoDirty2);
             if (error4>tolerance) {
            Assert.Fail("wrong dirty price for fixed bond:"
                        + "\n  specialized fixed rate bond's dirty clean price: "
                        + fixedBondTheoDirty2
                        + "\n  generic equivalent bond's theo dirty price: "
                        + fixedSpecializedBondTheoDirty2
                        + "\n  error:                 " + error4
                        + "\n  tolerance:             " + tolerance);
             }

             // FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
             // maturity doesn't occur on a business day
             Date floatingBondStartDate1 = new Date(29,Month.September,2003);
             Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
             Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
                                       floatingBondMaturityDate1,
                                       new Period(Frequency.Semiannual), bondCalendar,
                                       BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                       DateGeneration.Rule.Backward, false);
             List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
            .withPaymentDayCounter(new Actual360())
            .withFixingDays(fixingDays)
            .withSpreads(0.0056)
            .inArrears(inArrears)
            .withNotionals(vars.faceAmount);
             Date floatingbondRedemption1 = bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
             floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
             // generic bond
             Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
                  floatingBondMaturityDate1, floatingBondStartDate1, floatingBondLeg1);
             floatingBond1.setPricingEngine(bondEngine);

             // equivalent specialized floater
             Bond floatingSpecializedBond1= new FloatingRateBond(settlementDays, vars.faceAmount,
                                 floatingBondSchedule1,
                                 vars.iborIndex, new Actual360(),
                                 BusinessDayConvention.Following, fixingDays,
                                 new List<double>{1},
                                 new List<double>{0.0056},
                                 new List<double>(), new List<double>(),
                                 inArrears,
                                 100.0, new Date(29,Month.September,2003));
             floatingSpecializedBond1.setPricingEngine(bondEngine);

             Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
             Utils.setCouponPricer(floatingSpecializedBond1.cashflows(), vars.pricer);
             vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
             double floatingBondTheoValue1 = floatingBond1.cleanPrice();
             double floatingSpecializedBondTheoValue1 =
            floatingSpecializedBond1.cleanPrice();

             double error5 = Math.Abs(floatingBondTheoValue1-
                                 floatingSpecializedBondTheoValue1);
             if (error5>tolerance) {
            Assert.Fail("wrong clean price for fixed bond:"
                        + "\n  generic fixed rate bond's theo clean price: "
                        + floatingBondTheoValue1
                        + "\n  equivalent specialized bond's theo clean price: "
                        + floatingSpecializedBondTheoValue1
                        + "\n  error:                 " + error5
                        + "\n  tolerance:             " + tolerance);
             }
             double floatingBondTheoDirty1 = floatingBondTheoValue1+
                                       floatingBond1.accruedAmount();
             double floatingSpecializedBondTheoDirty1 =
            floatingSpecializedBondTheoValue1+
            floatingSpecializedBond1.accruedAmount();
             double error6 = Math.Abs(floatingBondTheoDirty1-
                                 floatingSpecializedBondTheoDirty1);
             if (error6>tolerance) {
            Assert.Fail("wrong dirty price for frn bond:"
                        + "\n  generic frn bond's dirty clean price: "
                        + floatingBondTheoDirty1
                        + "\n  equivalent specialized bond's theo dirty price: "
                        + floatingSpecializedBondTheoDirty1
                        + "\n  error:                 " + error6
                        + "\n  tolerance:             " + tolerance);
             }

             // FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
             // maturity occurs on a business day
             Date floatingBondStartDate2 = new Date(24,Month.September,2004);
             Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
             Schedule floatingBondSchedule2 = new Schedule(floatingBondStartDate2,
                                       floatingBondMaturityDate2,
                                       new Period(Frequency.Semiannual), bondCalendar,
                                       BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
                                       DateGeneration.Rule.Backward, false);
             List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
            .withPaymentDayCounter(new Actual360())
            .withFixingDays(fixingDays)
            .withSpreads(0.0025)
            .inArrears(inArrears)
            .withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
            .withNotionals(vars.faceAmount);
             Date floatingbondRedemption2 =
            bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
             floatingBondLeg2.Add(new  SimpleCashFlow(100.0, floatingbondRedemption2));
             // generic bond
             Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
                  floatingBondMaturityDate2, floatingBondStartDate2, floatingBondLeg2);
             floatingBond2.setPricingEngine(bondEngine);

             // equivalent specialized floater
             Bond floatingSpecializedBond2 = new FloatingRateBond(settlementDays, vars.faceAmount,
                              floatingBondSchedule2,
                              vars.iborIndex, new Actual360(),
                              BusinessDayConvention.ModifiedFollowing, fixingDays,
                              new List<double>{1},
                              new List<double>{0.0025},
                              new List<double>(), new List<double>(),
                              inArrears,
                              100.0, new Date(24,Month.September,2004));
             floatingSpecializedBond2.setPricingEngine(bondEngine);

             Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
             Utils.setCouponPricer(floatingSpecializedBond2.cashflows(), vars.pricer);

             vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);

             double floatingBondTheoValue2 = floatingBond2.cleanPrice();
             double floatingSpecializedBondTheoValue2 =
            floatingSpecializedBond2.cleanPrice();

             double error7 =
            Math.Abs(floatingBondTheoValue2-floatingSpecializedBondTheoValue2);
             if (error7>tolerance) {
            Assert.Fail("wrong clean price for floater bond:"
                        + "\n  generic floater bond's theo clean price: "
                        + floatingBondTheoValue2
                        + "\n  equivalent specialized bond's theo clean price: "
                        + floatingSpecializedBondTheoValue2
                        + "\n  error:                 " + error7
                        + "\n  tolerance:             " + tolerance);
             }
             double floatingBondTheoDirty2 = floatingBondTheoValue2+
                                       floatingBond2.accruedAmount();
             double floatingSpecializedTheoDirty2 = floatingSpecializedBondTheoValue2+
                                          floatingSpecializedBond2.accruedAmount();

             double error8 =
            Math.Abs(floatingBondTheoDirty2-floatingSpecializedTheoDirty2);
             if (error8>tolerance) {
            Assert.Fail("wrong dirty price for floater bond:"
                        + "\n  generic floater bond's theo dirty price: "
                        + floatingBondTheoDirty2
                        + "\n  equivalent specialized  bond's theo dirty price: "
                        + floatingSpecializedTheoDirty2
                        + "\n  error:                 " + error8
                        + "\n  tolerance:             " + tolerance);
             }

             // CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
             // maturity doesn't occur on a business day
             Date cmsBondStartDate1 = new Date(22,Month.August,2005);
             Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
             Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
                                 cmsBondMaturityDate1,
                                 new Period(Frequency.Annual), bondCalendar,
                                 BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                 DateGeneration.Rule.Backward, false);
             List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
            .withPaymentDayCounter(new Thirty360())
            .withFixingDays(fixingDays)
            .withCaps(0.055)
            .withFloors(0.025)
            .inArrears(inArrears)
            .withNotionals(vars.faceAmount);
             Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1,  BusinessDayConvention.Following);
             cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
             // generic cms bond
             Bond cmsBond1 = new  Bond(settlementDays, bondCalendar, vars.faceAmount,
                  cmsBondMaturityDate1, cmsBondStartDate1, cmsBondLeg1);
             cmsBond1.setPricingEngine(bondEngine);

             // equivalent specialized cms bond
             Bond cmsSpecializedBond1  = new  CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule1,
                     vars.swapIndex, new Thirty360(),
                     BusinessDayConvention.Following, fixingDays,
                     new List<double>{1.0}, new List<double>{0.0},
                     new List<double>{0.055}, new List<double>{0.025},
                     inArrears,
                     100.0, new Date(22,Month.August,2005));
             cmsSpecializedBond1.setPricingEngine(bondEngine);

             Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
             Utils.setCouponPricer(cmsSpecializedBond1.cashflows(), vars.cmspricer);
             vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
             double cmsBondTheoValue1 = cmsBond1.cleanPrice();
             double cmsSpecializedBondTheoValue1 = cmsSpecializedBond1.cleanPrice();
             double error9 = Math.Abs(cmsBondTheoValue1-cmsSpecializedBondTheoValue1);
             if (error9>tolerance) {
            Assert.Fail("wrong clean price for cms bond:"
                        + "\n  generic cms bond's theo clean price: "
                        + cmsBondTheoValue1
                        +  "\n  equivalent specialized bond's theo clean price: "
                        + cmsSpecializedBondTheoValue1
                        + "\n  error:                 " + error9
                        + "\n  tolerance:             " + tolerance);
             }
             double cmsBondTheoDirty1 = cmsBondTheoValue1+cmsBond1.accruedAmount();
             double cmsSpecializedBondTheoDirty1 = cmsSpecializedBondTheoValue1+
                                       cmsSpecializedBond1.accruedAmount();
             double error10 = Math.Abs(cmsBondTheoDirty1-cmsSpecializedBondTheoDirty1);
             if (error10>tolerance) {
            Assert.Fail("wrong dirty price for cms bond:"
                        + "\n generic cms bond's theo dirty price: "
                        + cmsBondTheoDirty1
                        + "\n  specialized cms bond's theo dirty price: "
                        + cmsSpecializedBondTheoDirty1
                        + "\n  error:                 " + error10
                        + "\n  tolerance:             " + tolerance);
             }

             // CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
             // maturity occurs on a business day
             Date cmsBondStartDate2 = new Date(06,Month.May,2005);
             Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
             Schedule cmsBondSchedule2 = new Schedule(cmsBondStartDate2,
                                 cmsBondMaturityDate2,
                                 new Period(Frequency.Annual), bondCalendar,
                                 BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                                 DateGeneration.Rule.Backward, false);
             List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
            .withPaymentDayCounter(new Thirty360())
            .withFixingDays(fixingDays)
            .withGearings(0.84)
            .inArrears(inArrears)
            .withNotionals(vars.faceAmount);
             Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2, BusinessDayConvention.Following);
             cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
             // generic bond
             Bond cmsBond2 = new  Bond(settlementDays, bondCalendar, vars.faceAmount,
                  cmsBondMaturityDate2, cmsBondStartDate2, cmsBondLeg2);
             cmsBond2.setPricingEngine(bondEngine);

             // equivalent specialized cms bond
             Bond cmsSpecializedBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
                     vars.swapIndex, new Thirty360(),
                     BusinessDayConvention.Following, fixingDays,
                     new List<double>{0.84}, new List<double>{0.0},
                     new List<double>(), new List<double>(),
                     inArrears, 100.0, new Date(06,Month.May,2005));
             cmsSpecializedBond2.setPricingEngine(bondEngine);

             Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
             Utils.setCouponPricer(cmsSpecializedBond2.cashflows(), vars.cmspricer);
             vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
             double cmsBondTheoValue2 = cmsBond2.cleanPrice();
             double cmsSpecializedBondTheoValue2 = cmsSpecializedBond2.cleanPrice();

             double error11 = Math.Abs(cmsBondTheoValue2-cmsSpecializedBondTheoValue2);
             if (error11>tolerance) {
            Assert.Fail("wrong clean price for cms bond:"
                        + "\n  generic cms bond's theo clean price: "
                        + cmsBondTheoValue2
                        + "\n  cms bond's theo clean price: "
                        + cmsSpecializedBondTheoValue2
                        + "\n  error:                 " + error11
                        + "\n  tolerance:             " + tolerance);
             }
             double cmsBondTheoDirty2 = cmsBondTheoValue2+cmsBond2.accruedAmount();
             double cmsSpecializedBondTheoDirty2 =
            cmsSpecializedBondTheoValue2+cmsSpecializedBond2.accruedAmount();
             double error12 = Math.Abs(cmsBondTheoDirty2-cmsSpecializedBondTheoDirty2);
             if (error12>tolerance) {
            Assert.Fail("wrong dirty price for cms bond:"
                        + "\n  generic cms bond's dirty price: "
                        + cmsBondTheoDirty2
                        + "\n  specialized cms bond's theo dirty price: "
                        + cmsSpecializedBondTheoDirty2
                        + "\n  error:                 " + error12
                        + "\n  tolerance:             " + tolerance);
             }

             // Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
             // maturity doesn't occur on a business day
             Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
             Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
             Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
                                                         BusinessDayConvention.Following);
             List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
             // generic bond
             Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, zeroCpnBondMaturityDate1,
            zeroCpnBondStartDate1, zeroCpnBondLeg1);
             zeroCpnBond1.setPricingEngine(bondEngine);

             // specialized zerocpn bond
             Bond zeroCpnSpecializedBond1 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
                     new Date(20,Month.December,2015),
                     BusinessDayConvention.Following,
                     100.0, new Date(19,Month.December,1985));
             zeroCpnSpecializedBond1.setPricingEngine(bondEngine);

             double zeroCpnBondTheoValue1 = zeroCpnBond1.cleanPrice();
             double zeroCpnSpecializedBondTheoValue1 =
            zeroCpnSpecializedBond1.cleanPrice();

             double error13 =
            Math.Abs(zeroCpnBondTheoValue1-zeroCpnSpecializedBondTheoValue1);
             if (error13>tolerance) {
            Assert.Fail("wrong clean price for zero coupon bond:"
                        + "\n  generic zero bond's clean price: "
                        + zeroCpnBondTheoValue1
                        + "\n  specialized zero bond's clean price: "
                        + zeroCpnSpecializedBondTheoValue1
                        + "\n  error:                 " + error13
                        + "\n  tolerance:             " + tolerance);
             }
             double zeroCpnBondTheoDirty1 = zeroCpnBondTheoValue1+
                                    zeroCpnBond1.accruedAmount();
             double zeroCpnSpecializedBondTheoDirty1 =
            zeroCpnSpecializedBondTheoValue1+
            zeroCpnSpecializedBond1.accruedAmount();
             double error14 =
            Math.Abs(zeroCpnBondTheoDirty1-zeroCpnSpecializedBondTheoDirty1);
             if (error14>tolerance) {
            Assert.Fail("wrong dirty price for zero bond:"
                        + "\n  generic zerocpn bond's dirty price: "
                        + zeroCpnBondTheoDirty1
                        + "\n  specialized zerocpn bond's clean price: "
                        + zeroCpnSpecializedBondTheoDirty1
                        + "\n  error:                 " + error14
                        + "\n  tolerance:             " + tolerance);
             }

             // Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
             // maturity occurs on a business day
             Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
             Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
             Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
                                                         BusinessDayConvention.Following);
             List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
             // generic bond
             Bond zeroCpnBond2 = new  Bond(settlementDays, bondCalendar, vars.faceAmount,
                  zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
             zeroCpnBond2.setPricingEngine(bondEngine);

             // specialized zerocpn bond
             Bond zeroCpnSpecializedBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
                        new Date(17,Month.February,2028),
                        BusinessDayConvention.Following,
                        100.0, new Date(17,Month.February,1998));
             zeroCpnSpecializedBond2.setPricingEngine(bondEngine);

             double zeroCpnBondTheoValue2 = zeroCpnBond2.cleanPrice();
             double zeroCpnSpecializedBondTheoValue2 =
            zeroCpnSpecializedBond2.cleanPrice();

             double error15 =
            Math.Abs(zeroCpnBondTheoValue2 -zeroCpnSpecializedBondTheoValue2);
             if (error15>tolerance) {
            Assert.Fail("wrong clean price for zero coupon bond:"
                        + "\n  generic zerocpn bond's clean price: "
                        + zeroCpnBondTheoValue2
                        + "\n  specialized zerocpn bond's clean price: "
                        + zeroCpnSpecializedBondTheoValue2
                        + "\n  error:                 " + error15
                        + "\n  tolerance:             " + tolerance);
             }
             double zeroCpnBondTheoDirty2 = zeroCpnBondTheoValue2+
                                    zeroCpnBond2.accruedAmount();

             double zeroCpnSpecializedBondTheoDirty2 =
            zeroCpnSpecializedBondTheoValue2+
            zeroCpnSpecializedBond2.accruedAmount();

             double error16 =
            Math.Abs(zeroCpnBondTheoDirty2-zeroCpnSpecializedBondTheoDirty2);
             if (error16>tolerance) {
            Assert.Fail("wrong dirty price for zero coupon bond:"
                        + "\n  generic zerocpn bond's dirty price: "
                        + zeroCpnBondTheoDirty2
                        + "\n  specialized zerocpn bond's dirty price: "
                        + zeroCpnSpecializedBondTheoDirty2
                        + "\n  error:                 " + error16
                        + "\n  tolerance:             " + tolerance);
             }
        }