public YoYInflationCapFloor makeYoYCapFloor(CapFloorType type,
List <CashFlow> leg,
double strike,
double volatility,
int which)
{
YoYInflationCapFloor result = null;
switch (type)
{
case CapFloorType.Cap:
result = new YoYInflationCap(leg, new List <double>()
{
strike
});
break;
case CapFloorType.Floor:
result = new YoYInflationFloor(leg, new List <double>()
{
strike
});
break;
default:
Utils.QL_FAIL("unknown YoYInflation cap/floor type");
break;
}
result.setPricingEngine(makeEngine(volatility, which));
return(result);
}
public void testConsistency()
{
// Testing consistency between yoy inflation cap,floor and collar...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] cap_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] floor_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
for (int whichPricer = 0; whichPricer < 3; whichPricer++)
{
for (int i = 0; i < lengths.Length; i++)
{
for (int j = 0; j < cap_rates.Length; j++)
{
for (int k = 0; k < floor_rates.Length; k++)
{
for (int l = 0; l < vols.Length; l++)
{
List <CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate, lengths[i]);
YoYInflationCapFloor cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, cap_rates[j], vols[l], whichPricer);
YoYInflationCapFloor floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, floor_rates[k], vols[l], whichPricer);
YoYInflationCollar collar = new YoYInflationCollar(leg, new List <double>()
{
cap_rates[j]
},
new List <double>()
{
floor_rates[k]
});
collar.setPricingEngine(vars.makeEngine(vols[l], whichPricer));
if (Math.Abs((cap.NPV() - floor.NPV()) - collar.NPV()) > 1e-6)
{
Assert.Fail(
"inconsistency between cap, floor and collar:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " floor value: " + floor.NPV()
+ " at strike: " + "\n"
+ " collar value: " + collar.NPV());
}
// test re-composition by optionlets, N.B. ONE per year
double capletsNPV = 0.0;
List <YoYInflationCapFloor> caplets = new List <YoYInflationCapFloor>();
for (int m = 0; m < lengths[i] * 1; m++)
{
caplets.Add(cap.optionlet(m));
caplets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
capletsNPV += caplets[m].NPV();
}
if (Math.Abs(cap.NPV() - capletsNPV) > 1e-6)
{
Assert.Fail(
"sum of caplet NPVs does not equal cap NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " sum of caplets value: " + capletsNPV
+ " at strike (first): " + caplets[0].capRates()[0] + "\n"
);
}
double floorletsNPV = 0.0;
List <YoYInflationCapFloor> floorlets = new List <YoYInflationCapFloor>();
for (int m = 0; m < lengths[i] * 1; m++)
{
floorlets.Add(floor.optionlet(m));
floorlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
floorletsNPV += floorlets[m].NPV();
}
if (Math.Abs(floor.NPV() - floorletsNPV) > 1e-6)
{
Assert.Fail(
"sum of floorlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + floor.NPV()
+ " at strike: " + floor_rates[j] + "\n"
+ " sum of floorlets value: " + floorletsNPV
+ " at strike (first): " + floorlets[0].floorRates()[0] + "\n"
);
}
double collarletsNPV = 0.0;
List <YoYInflationCapFloor> collarlets = new List <YoYInflationCapFloor>();
for (int m = 0; m < lengths[i] * 1; m++)
{
collarlets.Add(collar.optionlet(m));
collarlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
collarletsNPV += collarlets[m].NPV();
}
if (Math.Abs(collar.NPV() - collarletsNPV) > 1e-6)
{
Assert.Fail(
"sum of collarlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[l] + "\n"
+ " cap value: " + collar.NPV()
+ " at strike floor: " + floor_rates[j]
+ " at strike cap: " + cap_rates[j] + "\n"
+ " sum of collarlets value: " + collarletsNPV
+ " at strike floor (first): " + collarlets[0].floorRates()[0]
+ " at strike cap (first): " + collarlets[0].capRates()[0] + "\n"
);
}
}
}
}
}
} // pricer loop
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(YoYInflationCapFloor obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(YoYInflationCapFloor obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
