static void Main(string[] args)
{
DateTime timer = DateTime.Now;
Date repoSettlementDate = new Date(14, Month.February, 2000);;
Date repoDeliveryDate = new Date(15, Month.August, 2000);
double repoRate = 0.05;
DayCounter repoDayCountConvention = new Actual360();
int repoSettlementDays = 0;
Compounding repoCompounding = Compounding.Simple;
Frequency repoCompoundFreq = Frequency.Annual;
// assume a ten year bond- this is irrelevant
Date bondIssueDate = new Date(15, Month.September, 1995);
Date bondDatedDate = new Date(15, Month.September, 1995);
Date bondMaturityDate = new Date(15, Month.September, 2005);
double bondCoupon = 0.08;
Frequency bondCouponFrequency = Frequency.Semiannual;
// unknown what calendar fincad is using
Calendar bondCalendar = new NullCalendar();
DayCounter bondDayCountConvention = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
// unknown what fincad is using. this may affect accrued calculation
int bondSettlementDays = 0;
BusinessDayConvention bondBusinessDayConvention = BusinessDayConvention.Unadjusted;
double bondCleanPrice = 89.97693786;
double bondRedemption = 100.0;
double faceAmount = 100.0;
Settings.setEvaluationDate(repoSettlementDate);
RelinkableHandle <YieldTermStructure> bondCurve = new RelinkableHandle <YieldTermStructure>();
bondCurve.linkTo(new FlatForward(repoSettlementDate,
.01, // dummy rate
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency));
/*
* boost::shared_ptr<FixedRateBond> bond(
* new FixedRateBond(faceAmount,
* bondIssueDate,
* bondDatedDate,
* bondMaturityDate,
* bondSettlementDays,
* std::vector<Rate>(1,bondCoupon),
* bondCouponFrequency,
* bondCalendar,
* bondDayCountConvention,
* bondBusinessDayConvention,
* bondBusinessDayConvention,
* bondRedemption,
* bondCurve));
*/
Schedule bondSchedule = new Schedule(bondDatedDate, bondMaturityDate,
new Period(bondCouponFrequency),
bondCalendar, bondBusinessDayConvention,
bondBusinessDayConvention,
DateGeneration.Rule.Backward, false);
FixedRateBond bond = new FixedRateBond(bondSettlementDays,
faceAmount,
bondSchedule,
new List <double>()
{
bondCoupon
},
bondDayCountConvention,
bondBusinessDayConvention,
bondRedemption,
bondIssueDate);
bond.setPricingEngine(new DiscountingBondEngine(bondCurve));
bondCurve.linkTo(new FlatForward(repoSettlementDate,
bond.yield(bondCleanPrice,
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency),
bondDayCountConvention,
Compounding.Compounded,
bondCouponFrequency));
Position.Type fwdType = Position.Type.Long;
double dummyStrike = 91.5745;
RelinkableHandle <YieldTermStructure> repoCurve = new RelinkableHandle <YieldTermStructure>();
repoCurve.linkTo(new FlatForward(repoSettlementDate,
repoRate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
FixedRateBondForward bondFwd = new FixedRateBondForward(repoSettlementDate,
repoDeliveryDate,
fwdType,
dummyStrike,
repoSettlementDays,
repoDayCountConvention,
bondCalendar,
bondBusinessDayConvention,
bond,
repoCurve,
repoCurve);
Console.WriteLine("Underlying bond clean price: " + bond.cleanPrice());
Console.WriteLine("Underlying bond dirty price: " + bond.dirtyPrice());
Console.WriteLine("Underlying bond accrued at settlement: "
+ bond.accruedAmount(repoSettlementDate));
Console.WriteLine("Underlying bond accrued at delivery: "
+ bond.accruedAmount(repoDeliveryDate));
Console.WriteLine("Underlying bond spot income: "
+ bondFwd.spotIncome(repoCurve));
Console.WriteLine("Underlying bond fwd income: "
+ bondFwd.spotIncome(repoCurve) /
repoCurve.link.discount(repoDeliveryDate));
Console.WriteLine("Repo strike: " + dummyStrike);
Console.WriteLine("Repo NPV: " + bondFwd.NPV());
Console.WriteLine("Repo clean forward price: "
+ bondFwd.cleanForwardPrice());
Console.WriteLine("Repo dirty forward price: "
+ bondFwd.forwardPrice());
Console.WriteLine("Repo implied yield: "
+ bondFwd.impliedYield(bond.dirtyPrice(),
dummyStrike,
repoSettlementDate,
repoCompounding,
repoDayCountConvention));
Console.WriteLine("Market repo rate: "
+ repoCurve.link.zeroRate(repoDeliveryDate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
Console.WriteLine("\nCompare with example given at \n"
+ "http://www.fincad.com/support/developerFunc/mathref/BFWD.htm");
Console.WriteLine("Clean forward price = 88.2408");
Console.WriteLine("\nIn that example, it is unknown what bond calendar they are\n"
+ "using, as well as settlement Days. For that reason, I have\n"
+ "made the simplest possible assumptions here: NullCalendar\n"
+ "and 0 settlement days.\n");
Console.WriteLine("nRun completed in {0}", DateTime.Now - timer);
Console.Write("Press any key to continue ...");
Console.ReadKey();
}
public void testInArrears()
{
// Testing in-arrears swap calculation
CommonVars vars = new CommonVars();
/* See Hull, 4th ed., page 550
* Note: the calculation in the book is wrong (work out the adjustment and you'll get 0.05 + 0.000115 T1) */
Date maturity = vars.today + new Period(5, TimeUnit.Years);
Calendar calendar = new NullCalendar();
Schedule schedule = new Schedule(vars.today, maturity, new Period(Frequency.Annual), calendar,
BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
DayCounter dayCounter = new SimpleDayCounter();
List <double> nominals = new List <double>()
{
100000000.0
};
IborIndex index = new IborIndex("dummy", new Period(1, TimeUnit.Years), 0, new EURCurrency(), calendar,
BusinessDayConvention.Following, false, dayCounter, vars.termStructure);
double oneYear = 0.05;
double r = Math.Log(1.0 + oneYear);
vars.termStructure.linkTo(Utilities.flatRate(vars.today, r, dayCounter));
List <double> coupons = new List <double>()
{
oneYear
};
List <CashFlow> fixedLeg = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(nominals);
List <double> gearings = new List <double>();
List <double> spreads = new List <double>();
int fixingDays = 0;
double capletVolatility = 0.22;
var vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(vars.today, new NullCalendar(),
BusinessDayConvention.Following, capletVolatility, dayCounter));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List <CashFlow> floatingLeg = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.inArrears()
.withNotionals(nominals);
Utils.setCouponPricer(floatingLeg, pricer);
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(vars.termStructure));
double storedValue = -144813.0;
double tolerance = 1.0;
if (Math.Abs(swap.NPV() - storedValue) > tolerance)
{
QAssert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
}
static void Main(string[] args)
{
// boost::timer timer;
Date today = new Date(16, Month.October, 2007);
Settings.setEvaluationDate(today);
Console.WriteLine();
Console.WriteLine("Pricing a callable fixed rate bond using");
Console.WriteLine("Hull White model w/ reversion parameter = 0.03");
Console.WriteLine("BAC4.65 09/15/12 ISIN: US06060WBJ36");
Console.WriteLine("roughly five year tenor, quarterly coupon and call dates");
Console.WriteLine("reference date is : " + today.ToLongDateString());
Console.WriteLine("");
/* Bloomberg OAS1: "N" model (Hull White)
* varying volatility parameter
*
* The curve entered into Bloomberg OAS1 is a flat curve,
* at constant yield = 5.5%, semiannual compounding.
* Assume here OAS1 curve uses an ACT/ACT day counter,
* as documented in PFC1 as a "default" in the latter case.
*/
// set up a flat curve corresponding to Bloomberg flat curve
double bbCurveRate = 0.055;
DayCounter bbDayCounter = new ActualActual(ActualActual.Convention.Bond);
InterestRate bbIR = new InterestRate(bbCurveRate, bbDayCounter, Compounding.Compounded, Frequency.Semiannual);
Handle <YieldTermStructure> termStructure = new Handle <YieldTermStructure>(flatRate(today,
bbIR.rate(),
bbIR.dayCounter(),
bbIR.compounding(),
bbIR.frequency()));
// set up the call schedule
CallabilitySchedule callSchedule = new CallabilitySchedule();
double callPrice = 100.0;
int numberOfCallDates = 24;
Date callDate = new Date(15, Month.September, 2006);
for (int i = 0; i < numberOfCallDates; i++)
{
Calendar nullCalendar = new NullCalendar();
Callability.Price myPrice = new Callability.Price(callPrice, Callability.Price.Type.Clean);
callSchedule.Add(new Callability(myPrice, Callability.Type.Call, callDate));
callDate = nullCalendar.advance(callDate, 3, TimeUnit.Months);
}
// set up the callable bond
Date dated = new Date(16, Month.September, 2004);
Date issue = dated;
Date maturity = new Date(15, Month.September, 2012);
int settlementDays = 3; // Bloomberg OAS1 settle is Oct 19, 2007
Calendar bondCalendar = new UnitedStates(UnitedStates.Market.GovernmentBond);
double coupon = .0465;
Frequency frequency = Frequency.Quarterly;
double redemption = 100.0;
double faceAmount = 100.0;
/* The 30/360 day counter Bloomberg uses for this bond cannot
* reproduce the US Bond/ISMA (constant) cashflows used in PFC1.
* Therefore use ActAct(Bond)
*/
DayCounter bondDayCounter = new ActualActual(ActualActual.Convention.Bond);
// PFC1 shows no indication dates are being adjusted
// for weekends/holidays for vanilla bonds
BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention paymentConvention = BusinessDayConvention.Unadjusted;
Schedule sch = new Schedule(dated, maturity, new Period(frequency), bondCalendar,
accrualConvention, accrualConvention,
DateGeneration.Rule.Backward, false);
int maxIterations = 1000;
double accuracy = 1e-8;
int gridIntervals = 40;
double reversionParameter = .03;
// output price/yield results for varying volatility parameter
double sigma = Const.QL_EPSILON; // core dumps if zero on Cygwin
ShortRateModel hw0 = new HullWhite(termStructure, reversionParameter, sigma);
IPricingEngine engine0 = new TreeCallableFixedRateBondEngine(hw0, gridIntervals, termStructure);
CallableFixedRateBond callableBond = new CallableFixedRateBond(settlementDays, faceAmount, sch,
new InitializedList <double>(1, coupon),
bondDayCounter, paymentConvention,
redemption, issue, callSchedule);
callableBond.setPricingEngine(engine0);
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
Console.WriteLine("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 96,50 / 5,47");
Console.WriteLine("");
//
sigma = .01;
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
ShortRateModel hw1 = new HullWhite(termStructure, reversionParameter, sigma);
IPricingEngine engine1 = new TreeCallableFixedRateBondEngine(hw1, gridIntervals, termStructure);
callableBond.setPricingEngine(engine1);
Console.WriteLine("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 95,68 / 5,66");
Console.WriteLine("");
//
sigma = .03;
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
ShortRateModel hw2 = new HullWhite(termStructure, reversionParameter, sigma);
IPricingEngine engine2 = new TreeCallableFixedRateBondEngine(hw2, gridIntervals, termStructure);
callableBond.setPricingEngine(engine2);
Console.WriteLine("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 92,34 / 6,49");
Console.WriteLine("");
//
sigma = .06;
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
ShortRateModel hw3 = new HullWhite(termStructure, reversionParameter, sigma);
IPricingEngine engine3 = new TreeCallableFixedRateBondEngine(hw3, gridIntervals, termStructure);
callableBond.setPricingEngine(engine3);
Console.WriteLine("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 87,16 / 7,83");
Console.WriteLine("");
//
sigma = .12;
Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
ShortRateModel hw4 = new HullWhite(termStructure, reversionParameter, sigma);
IPricingEngine engine4 = new TreeCallableFixedRateBondEngine(hw4, gridIntervals, termStructure);
callableBond.setPricingEngine(engine4);
Console.WriteLine("QLNet price/yld (%) {0:0.00} / {1:0.00} ",
callableBond.cleanPrice(),
100.0 * callableBond.yield(bondDayCounter,
Compounding.Compounded,
frequency,
accuracy,
maxIterations));
Console.WriteLine("Bloomberg price/yld (%) 77,31 / 10,65");
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(NullCalendar obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void testCached()
{
// ("Testing bond price/yield calculation against cached values...");
CommonVars vars = new CommonVars();
// with implicit settlement calculation:
Date today = new Date(22, Month.November, 2004);
Settings.setEvaluationDate(today);
Calendar bondCalendar = new NullCalendar();
DayCounter bondDayCount = new ActualActual(ActualActual.Convention.ISMA);
int settlementDays = 1;
var discountCurve = new Handle <YieldTermStructure>(Utilities.flatRate(today, new SimpleQuote(0.03), new Actual360()));
// actual market values from the evaluation date
Frequency freq = Frequency.Semiannual;
Schedule sch1 = new Schedule(new Date(31, Month.October, 2004), new Date(31, Month.October, 2006), new Period(freq),
bondCalendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBond bond1 = new FixedRateBond(settlementDays, vars.faceAmount, sch1, new List <double>()
{
0.025
},
bondDayCount, BusinessDayConvention.ModifiedFollowing, 100.0, new Date(1, Month.November, 2004));
IPricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
bond1.setPricingEngine(bondEngine);
double marketPrice1 = 99.203125;
double marketYield1 = 0.02925;
Schedule sch2 = new Schedule(new Date(15, Month.November, 2004), new Date(15, Month.November, 2009), new Period(freq),
bondCalendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
FixedRateBond bond2 = new FixedRateBond(settlementDays, vars.faceAmount, sch2, new List <double>()
{
0.035
},
bondDayCount, BusinessDayConvention.ModifiedFollowing,
100.0, new Date(15, Month.November, 2004));
bond2.setPricingEngine(bondEngine);
double marketPrice2 = 99.6875;
double marketYield2 = 0.03569;
// calculated values
double cachedPrice1a = 99.204505, cachedPrice2a = 99.687192;
double cachedPrice1b = 98.943393, cachedPrice2b = 101.986794;
double cachedYield1a = 0.029257, cachedYield2a = 0.035689;
double cachedYield1b = 0.029045, cachedYield2b = 0.035375;
double cachedYield1c = 0.030423, cachedYield2c = 0.030432;
// check
double tolerance = 1.0e-6;
double price, yield;
price = bond1.cleanPrice(marketYield1, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(price - cachedPrice1a) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice1a
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice1a));
}
price = bond1.cleanPrice();
if (Math.Abs(price - cachedPrice1b) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice1b
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice1b));
}
yield = bond1.yield(marketPrice1, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(yield - cachedYield1a) > tolerance)
{
Assert.Fail("failed to reproduce cached compounded yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1a
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1a));
}
yield = bond1.yield(marketPrice1, bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield1b) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1b
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1b));
}
yield = bond1.yield(bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield1c) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield1c
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield1c));
}
price = bond2.cleanPrice(marketYield2, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(price - cachedPrice2a) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice2a
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice2a));
}
price = bond2.cleanPrice();
if (Math.Abs(price - cachedPrice2b) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price
+ "\n expected: " + cachedPrice2b
+ "\n tolerance: " + tolerance
+ "\n error: " + (price - cachedPrice2b));
}
yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(yield - cachedYield2a) > tolerance)
{
Assert.Fail("failed to reproduce cached compounded yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2a
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2a));
}
yield = bond2.yield(marketPrice2, bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield2b) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2b
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2b));
}
yield = bond2.yield(bondDayCount, Compounding.Continuous, freq);
if (Math.Abs(yield - cachedYield2c) > tolerance)
{
Assert.Fail("failed to reproduce cached continuous yield:"
+ "\n calculated: " + yield
+ "\n expected: " + cachedYield2c
+ "\n tolerance: " + tolerance
+ "\n error: " + (yield - cachedYield2c));
}
// with explicit settlement date:
Schedule sch3 = new Schedule(new Date(30, Month.November, 2004), new Date(30, Month.November, 2006), new Period(freq),
new UnitedStates(UnitedStates.Market.GovernmentBond), BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);
FixedRateBond bond3 = new FixedRateBond(settlementDays, vars.faceAmount, sch3, new List <double>()
{
0.02875
},
new ActualActual(ActualActual.Convention.ISMA),
BusinessDayConvention.ModifiedFollowing, 100.0, new Date(30, Month.November, 2004));
bond3.setPricingEngine(bondEngine);
double marketYield3 = 0.02997;
Date settlementDate = new Date(30, Month.November, 2004);
double cachedPrice3 = 99.764874;
price = bond3.cleanPrice(marketYield3, bondDayCount, Compounding.Compounded, freq, settlementDate);
if (Math.Abs(price - cachedPrice3) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price + ""
+ "\n expected: " + cachedPrice3 + ""
+ "\n error: " + (price - cachedPrice3));
}
// this should give the same result since the issue date is the
// earliest possible settlement date
Settings.setEvaluationDate(new Date(22, Month.November, 2004));
price = bond3.cleanPrice(marketYield3, bondDayCount, Compounding.Compounded, freq);
if (Math.Abs(price - cachedPrice3) > tolerance)
{
Assert.Fail("failed to reproduce cached price:"
+ "\n calculated: " + price + ""
+ "\n expected: " + cachedPrice3 + ""
+ "\n error: " + (price - cachedPrice3));
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(NullCalendar obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public void testYYIndex()
{
// Testing year-on-year inflation indices
SavedSettings backup = new SavedSettings();
//IndexHistoryCleaner cleaner = new IndexHistoryCleaner();
YYEUHICP yyeuhicp = new YYEUHICP(true);
if (yyeuhicp.name() != "EU YY_HICP" ||
yyeuhicp.frequency() != Frequency.Monthly ||
yyeuhicp.revised() ||
!yyeuhicp.interpolated() ||
yyeuhicp.ratio() ||
yyeuhicp.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year EU HICP data ("
+ yyeuhicp.name() + ", "
+ yyeuhicp.frequency() + ", "
+ yyeuhicp.revised() + ", "
+ yyeuhicp.interpolated() + ", "
+ yyeuhicp.ratio() + ", "
+ yyeuhicp.availabilityLag() + ")");
}
YYEUHICPr yyeuhicpr = new YYEUHICPr(true);
if (yyeuhicpr.name() != "EU YYR_HICP" ||
yyeuhicpr.frequency() != Frequency.Monthly ||
yyeuhicpr.revised() ||
!yyeuhicpr.interpolated() ||
!yyeuhicpr.ratio() ||
yyeuhicpr.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year EU HICPr data ("
+ yyeuhicpr.name() + ", "
+ yyeuhicpr.frequency() + ", "
+ yyeuhicpr.revised() + ", "
+ yyeuhicpr.interpolated() + ", "
+ yyeuhicpr.ratio() + ", "
+ yyeuhicpr.availabilityLag() + ")");
}
YYUKRPI yyukrpi = new YYUKRPI(false);
if (yyukrpi.name() != "UK YY_RPI" ||
yyukrpi.frequency() != Frequency.Monthly ||
yyukrpi.revised() ||
yyukrpi.interpolated() ||
yyukrpi.ratio() ||
yyukrpi.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year UK RPI data ("
+ yyukrpi.name() + ", "
+ yyukrpi.frequency() + ", "
+ yyukrpi.revised() + ", "
+ yyukrpi.interpolated() + ", "
+ yyukrpi.ratio() + ", "
+ yyukrpi.availabilityLag() + ")");
}
YYUKRPIr yyukrpir = new YYUKRPIr(false);
if (yyukrpir.name() != "UK YYR_RPI" ||
yyukrpir.frequency() != Frequency.Monthly ||
yyukrpir.revised() ||
yyukrpir.interpolated() ||
!yyukrpir.ratio() ||
yyukrpir.availabilityLag() != new Period(1, TimeUnit.Months))
{
Assert.Fail("wrong year-on-year UK RPIr data ("
+ yyukrpir.name() + ", "
+ yyukrpir.frequency() + ", "
+ yyukrpir.revised() + ", "
+ yyukrpir.interpolated() + ", "
+ yyukrpir.ratio() + ", "
+ yyukrpir.availabilityLag() + ")");
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = new UnitedKingdom().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 };
bool interp = false;
YYUKRPIr iir = new YYUKRPIr(interp);
YYUKRPIr iirYES = new YYUKRPIr(true);
for (int i = 0; i < fixData.Length; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
iirYES.addFixing(rpiSchedule[i], fixData[i]);
}
Date todayMinusLag = evaluationDate - iir.availabilityLag();
KeyValuePair <Date, Date> lim0 = Utils.inflationPeriod(todayMinusLag, iir.frequency());
todayMinusLag = lim0.Value + 1 - 2 * new Period(iir.frequency());
double eps = 1.0e-8;
// Interpolation tests
//--------------------
// (no TS so can't forecast).
for (int i = 13; i < rpiSchedule.Count; i++)
{
KeyValuePair <Date, Date> lim = Utils.inflationPeriod(rpiSchedule[i], iir.frequency());
KeyValuePair <Date, Date> limBef = Utils.inflationPeriod(rpiSchedule[i - 12], iir.frequency());
for (Date d = lim.Key; d <= lim.Value; d++)
{
if (d < todayMinusLag)
{
double expected = fixData[i] / fixData[i - 12] - 1.0;
double calculated = iir.fixing(d);
Assert.IsTrue(Math.Abs(calculated - expected) < eps,
"Non-interpolated fixings not constant within a period: "
+ calculated
+ ", should be "
+ expected);
double dp = lim.Value + 1 - lim.Key;
double dpBef = limBef.Value + 1 - limBef.Key;
double dl = d - lim.Key;
// potentially does not work on 29th Feb
double dlBef = new NullCalendar().advance(d, -new Period(1, TimeUnit.Years),
BusinessDayConvention.ModifiedFollowing) - limBef.Key;
double linearNow = fixData[i] + (fixData[i + 1] - fixData[i]) * dl / dp;
double linearBef = fixData[i - 12] + (fixData[i + 1 - 12] - fixData[i - 12]) * dlBef / dpBef;
double expectedYES = linearNow / linearBef - 1.0;
double calculatedYES = iirYES.fixing(d);
Assert.IsTrue(Math.Abs(expectedYES - calculatedYES) < eps,
"Error in interpolated fixings: expect " + expectedYES
+ " see " + calculatedYES
+ " flat " + calculated
+ ", data: " + fixData[i - 12] + ", " + fixData[i + 1 - 12]
+ ", " + fixData[i] + ", " + fixData[i + 1]
+ ", fac: " + dp + ", " + dl
+ ", " + dpBef + ", " + dlBef
+ ", to: " + linearNow + ", " + linearBef
);
}
}
}
}
