public void testZSpreadedObs()
{
// Testing observability of zero-spreaded term structure
CommonVars vars = new CommonVars();
SimpleQuote me = new SimpleQuote(0.01);
Handle <Quote> mh = new Handle <Quote>(me);
RelinkableHandle <YieldTermStructure> h = new RelinkableHandle <YieldTermStructure>(vars.dummyTermStructure);
YieldTermStructure spreaded = new ZeroSpreadedTermStructure(h, mh);
Flag flag = new Flag();
spreaded.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
{
QAssert.Fail("Observer was not notified of term structure change");
}
flag.lower();
me.setValue(0.005);
if (!flag.isUp())
{
QAssert.Fail("Observer was not notified of spread change");
}
}
public void testObservableHandle()
{
// Testing observability of quote handles
SimpleQuote me1 = new SimpleQuote(0.0);
RelinkableHandle <Quote> h = new RelinkableHandle <Quote>(me1);
Flag f = new Flag();
h.registerWith(f.update);
me1.setValue(3.14);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of quote change");
}
f.lower();
SimpleQuote me2 = new SimpleQuote(0.0);
h.linkTo(me2);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of quote change");
}
}
public void testFSpreadedObs()
{
// ("Testing observability of forward-spreaded term structure...");
CommonVars vars = new CommonVars();
SimpleQuote me = new SimpleQuote(0.01);
Handle <Quote> mh = new Handle <Quote>(me);
RelinkableHandle <YieldTermStructure> h = new RelinkableHandle <YieldTermStructure>(); //(vars.dummyTermStructure);
YieldTermStructure spreaded = new ForwardSpreadedTermStructure(h, mh);
Flag flag = new Flag();
spreaded.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
{
Console.WriteLine("Observer was not notified of term structure change");
}
flag.lower();
me.setValue(0.005);
if (!flag.isUp())
{
Console.WriteLine("Observer was not notified of spread change");
}
}
public void testObservable()
{
//.("Testing observability of instruments...");
SimpleQuote me1 = new SimpleQuote(0.0);
RelinkableHandle<Quote> h = new RelinkableHandle<Quote>(me1);
Instrument s = new Stock(h);
Flag f = new Flag();
s.registerWith(f.update);
s.NPV();
me1.setValue(3.14);
if (!f.isUp())
Assert.Fail("Observer was not notified of instrument change");
s.NPV();
f.lower();
SimpleQuote me2 = new SimpleQuote(0.0);
h.linkTo(me2);
if (!f.isUp())
Assert.Fail("Observer was not notified of instrument change");
f.lower();
s.freeze();
s.NPV();
me2.setValue(2.71);
if (f.isUp())
Assert.Fail("Observer was notified of frozen instrument change");
s.NPV();
s.unfreeze();
if (!f.isUp())
Assert.Fail("Observer was not notified of instrument change");
}
public void testObservable()
{
//.("Testing observability of instruments...");
SimpleQuote me1 = new SimpleQuote(0.0);
RelinkableHandle <Quote> h = new RelinkableHandle <Quote>(me1);
Instrument s = new Stock(h);
Flag f = new Flag();
s.registerWith(f.update);
s.NPV();
me1.setValue(3.14);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of instrument change");
}
s.NPV();
f.lower();
SimpleQuote me2 = new SimpleQuote(0.0);
h.linkTo(me2);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of instrument change");
}
f.lower();
s.freeze();
s.NPV();
me2.setValue(2.71);
if (f.isUp())
{
QAssert.Fail("Observer was notified of frozen instrument change");
}
s.NPV();
s.unfreeze();
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of instrument change");
}
}
public void testObservability()
{
// "Testing observability of piecewise yield curve...");
CommonVars vars = new CommonVars();
vars.termStructure = new PiecewiseYieldCurve <Discount, LogLinear>(vars.settlementDays,
vars.calendar, vars.instruments, new Actual360());
Flag f = new Flag();
vars.termStructure.registerWith(f.update);
for (int i = 0; i < vars.deposits + vars.swaps; i++)
{
double testTime = new Actual360().yearFraction(vars.settlement, vars.instruments[i].latestDate());
double discount = vars.termStructure.discount(testTime);
f.lower();
vars.rates[i].setValue(vars.rates[i].value() * 1.01);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of underlying rate change");
}
double discount_new = vars.termStructure.discount(testTime, true);
if (discount_new == discount)
{
QAssert.Fail("rate change did not trigger recalculation");
}
vars.rates[i].setValue(vars.rates[i].value() / 1.01);
}
f.lower();
Settings.setEvaluationDate(vars.calendar.advance(vars.today, 15, TimeUnit.Days));
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of date change");
}
}
public void testObservable()
{
// Testing observability of quotes
SimpleQuote me = new SimpleQuote(0.0);
Flag f = new Flag();
me.registerWith(f.update);
me.setValue(3.14);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of quote change");
}
}
public void testImpliedObs()
{
// Testing observability of implied term structure
CommonVars vars = new CommonVars();
Date today = Settings.evaluationDate();
Date newToday = today + new Period(3, TimeUnit.Years);
Date newSettlement = vars.calendar.advance(newToday, vars.settlementDays, TimeUnit.Days);
RelinkableHandle <YieldTermStructure> h = new RelinkableHandle <YieldTermStructure>();
YieldTermStructure implied = new ImpliedTermStructure(h, newSettlement);
Flag flag = new Flag();
implied.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
{
QAssert.Fail("Observer was not notified of term structure change");
}
}
public void testObservableHandle()
{
// Testing observability of quote handles
SimpleQuote me1 = new SimpleQuote(0.0);
RelinkableHandle<Quote> h = new RelinkableHandle<Quote>(me1);
Flag f = new Flag();
h.registerWith(f.update);
me1.setValue(3.14);
if (!f.isUp())
Assert.Fail("Observer was not notified of quote change");
f.lower();
SimpleQuote me2 = new SimpleQuote(0.0);
h.linkTo(me2);
if (!f.isUp())
Assert.Fail("Observer was not notified of quote change");
}
public void testObservable()
{
// Testing observability of quotes
SimpleQuote me = new SimpleQuote(0.0);
Flag f = new Flag();
me.registerWith(f.update);
me.setValue(3.14);
if (!f.isUp())
Assert.Fail("Observer was not notified of quote change");
}
public void testLiborFixing()
{
// "Testing use of today's LIBOR fixings in swap curve...");
CommonVars vars = new CommonVars();
var swapHelpers = new InitializedList <RateHelper>();
IborIndex euribor6m = new Euribor6M();
for (int i = 0; i < vars.swaps; i++)
{
Handle <Quote> r = new Handle <Quote>(vars.rates[i + vars.deposits]);
swapHelpers.Add(new SwapRateHelper(r, new Period(vars.swapData[i].n, vars.swapData[i].units),
vars.calendar,
vars.fixedLegFrequency, vars.fixedLegConvention,
vars.fixedLegDayCounter, euribor6m));
}
vars.termStructure = new PiecewiseYieldCurve <Discount, LogLinear>(vars.settlement, swapHelpers, new Actual360());
Handle <YieldTermStructure> curveHandle = new Handle <YieldTermStructure>(vars.termStructure);
IborIndex index = new Euribor6M(curveHandle);
for (int i = 0; i < vars.swaps; i++)
{
Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
VanillaSwap swap = new MakeVanillaSwap(tenor, index, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(new Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention)
.value();
double expectedRate = vars.swapData[i].rate / 100,
estimatedRate = swap.fairRate();
double tolerance = 1.0e-9;
if (Math.Abs(expectedRate - estimatedRate) > tolerance)
{
QAssert.Fail("before LIBOR fixing:\n"
+ vars.swapData[i].n + " year(s) swap:\n"
+ " estimated rate: "
+ (estimatedRate) + "\n"
+ " expected rate: "
+ (expectedRate));
}
}
Flag f = new Flag();
vars.termStructure.registerWith(f.update);
f.lower();
index.addFixing(vars.today, 0.0425);
if (!f.isUp())
{
QAssert.Fail("Observer was not notified of rate fixing");
}
for (int i = 0; i < vars.swaps; i++)
{
Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
VanillaSwap swap = new MakeVanillaSwap(tenor, index, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(new Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention)
.value();
double expectedRate = vars.swapData[i].rate / 100,
estimatedRate = swap.fairRate();
double tolerance = 1.0e-9;
if (Math.Abs(expectedRate - estimatedRate) > tolerance)
{
QAssert.Fail("after LIBOR fixing:\n"
+ vars.swapData[i].n + " year(s) swap:\n"
+ " estimated rate: "
+ (estimatedRate) + "\n"
+ " expected rate: "
+ (expectedRate));
}
}
}
public void testSpreadedCube()
{
// Testing spreaded swaption volatility cube
CommonVars vars = new CommonVars();
List <List <Handle <Quote> > > parametersGuess =
new InitializedList <List <Handle <Quote> > >(vars.cube.tenors.options.Count * vars.cube.tenors.swaps.Count);
for (int i = 0; i < vars.cube.tenors.options.Count * vars.cube.tenors.swaps.Count; i++)
{
parametersGuess[i] = new InitializedList <Handle <Quote> >(4);
parametersGuess[i][0] = new Handle <Quote>(new SimpleQuote(0.2));
parametersGuess[i][1] = new Handle <Quote>(new SimpleQuote(0.5));
parametersGuess[i][2] = new Handle <Quote>(new SimpleQuote(0.4));
parametersGuess[i][3] = new Handle <Quote>(new SimpleQuote(0.0));
}
List <bool> isParameterFixed = new InitializedList <bool>(4, false);
Handle <SwaptionVolatilityStructure> volCube = new Handle <SwaptionVolatilityStructure>(
new SwaptionVolCube1x(vars.atmVolMatrix,
vars.cube.tenors.options,
vars.cube.tenors.swaps,
vars.cube.strikeSpreads,
vars.cube.volSpreadsHandle,
vars.swapIndexBase,
vars.shortSwapIndexBase,
vars.vegaWeighedSmileFit,
parametersGuess,
isParameterFixed,
true));
SimpleQuote spread = new SimpleQuote(0.0001);
Handle <Quote> spreadHandle = new Handle <Quote>(spread);
SwaptionVolatilityStructure spreadedVolCube = new SpreadedSwaptionVolatility(volCube, spreadHandle);
List <double> strikes = new List <double>();
for (int k = 1; k < 100; k++)
{
strikes.Add(k * .01);
}
for (int i = 0; i < vars.cube.tenors.options.Count; i++)
{
for (int j = 0; j < vars.cube.tenors.swaps.Count; j++)
{
SmileSection smileSectionByCube = volCube.link.smileSection(vars.cube.tenors.options[i],
vars.cube.tenors.swaps[j]);
SmileSection smileSectionBySpreadedCube = spreadedVolCube.smileSection(vars.cube.tenors.options[i],
vars.cube.tenors.swaps[j]);
for (int k = 0; k < strikes.Count; k++)
{
double strike = strikes[k];
double diff = spreadedVolCube.volatility(vars.cube.tenors.options[i], vars.cube.tenors.swaps[j], strike)
- volCube.link.volatility(vars.cube.tenors.options[i], vars.cube.tenors.swaps[j], strike);
if (Math.Abs(diff - spread.value()) > 1e-16)
{
QAssert.Fail("\ndiff!=spread in volatility method:" +
"\nexpiry time = " + vars.cube.tenors.options[i] +
"\nswap length = " + vars.cube.tenors.swaps[j] +
"\n atm strike = " + (strike) +
"\ndiff = " + diff +
"\nspread = " + spread.value());
}
diff = smileSectionBySpreadedCube.volatility(strike) - smileSectionByCube.volatility(strike);
if (Math.Abs(diff - spread.value()) > 1e-16)
{
QAssert.Fail("\ndiff!=spread in smile section method:" +
"\nexpiry time = " + vars.cube.tenors.options[i] +
"\nswap length = " + vars.cube.tenors.swaps[j] +
"\n atm strike = " + (strike) +
"\ndiff = " + diff +
"\nspread = " + spread.value());
}
}
}
}
//testing observability
Flag f = new Flag();
spreadedVolCube.registerWith(f.update);
volCube.link.update();
if (!f.isUp())
{
QAssert.Fail("SpreadedSwaptionVolatilityStructure does not propagate notifications");
}
f.lower();
spread.setValue(.001);
if (!f.isUp())
{
QAssert.Fail("SpreadedSwaptionVolatilityStructure does not propagate notifications");
}
}
public void testFSpreadedObs()
{
// ("Testing observability of forward-spreaded term structure...");
CommonVars vars = new CommonVars();
SimpleQuote me = new SimpleQuote(0.01);
Handle<Quote> mh = new Handle<Quote>(me);
RelinkableHandle<YieldTermStructure> h = new RelinkableHandle<YieldTermStructure>(); //(vars.dummyTermStructure);
YieldTermStructure spreaded = new ForwardSpreadedTermStructure(h, mh);
Flag flag = new Flag();
spreaded.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
Console.WriteLine("Observer was not notified of term structure change");
flag.lower();
me.setValue(0.005);
if (!flag.isUp())
Console.WriteLine("Observer was not notified of spread change");
}
public void testImpliedObs()
{
// ("Testing observability of implied term structure...");
CommonVars vars = new CommonVars();
Date today = Settings.evaluationDate();
Date newToday = today + new Period(3, TimeUnit.Years);
Date newSettlement = vars.calendar.advance(newToday, vars.settlementDays, TimeUnit.Days);
RelinkableHandle<YieldTermStructure> h = new RelinkableHandle<YieldTermStructure>();
YieldTermStructure implied = new ImpliedTermStructure(h, newSettlement);
Flag flag = new Flag();
implied.registerWith(flag.update);
h.linkTo(vars.termStructure);
if (!flag.isUp())
Console.WriteLine("Observer was not notified of term structure change");
}