public void testConsistency()
{
//("Testing dates...");
int minDate = Date.minDate().serialNumber() + 1,
maxDate = Date.maxDate().serialNumber();
int dyold = new Date(minDate - 1).DayOfYear,
dold = new Date(minDate - 1).Day,
mold = new Date(minDate - 1).Month,
yold = new Date(minDate - 1).Year,
wdold = new Date(minDate - 1).weekday();
for (int i = minDate; i <= maxDate; i++)
{
Date t = new Date(i);
int serial = t.serialNumber();
// check serial number consistency
if (serial != i)
Assert.Fail("inconsistent serial number:\n"
+ " original: " + i + "\n"
+ " date: " + t + "\n"
+ " serial number: " + serial);
int dy = t.DayOfYear,
d = t.Day,
m = t.Month,
y = t.Year,
wd = t.weekday();
// check if skipping any date
if (!((dy == dyold + 1) ||
(dy == 1 && dyold == 365 && !Date.IsLeapYear(yold)) ||
(dy == 1 && dyold == 366 && Date.IsLeapYear(yold))))
Assert.Fail("wrong day of year increment: \n"
+ " date: " + t + "\n"
+ " day of year: " + dy + "\n"
+ " previous: " + dyold);
dyold = dy;
if (!((d == dold + 1 && m == mold && y == yold) ||
(d == 1 && m == mold + 1 && y == yold) ||
(d == 1 && m == 1 && y == yold + 1)))
Assert.Fail("wrong day,month,year increment: \n"
+ " date: " + t + "\n"
+ " day,month,year: "
+ d + "," + m + "," + y + "\n"
+ " previous: "
+ dold + "," + mold + "," + yold);
dold = d; mold = m; yold = y;
// check month definition
if (m < 1 || m > 12)
Assert.Fail("invalid month: \n"
+ " date: " + t + "\n"
+ " month: " + m);
// check day definition
if (d < 1)
Assert.Fail("invalid day of month: \n"
+ " date: " + t + "\n"
+ " day: " + d);
if (!((m == 1 && d <= 31) ||
(m == 2 && d <= 28) ||
(m == 2 && d == 29 && Date.IsLeapYear(y)) ||
(m == 3 && d <= 31) ||
(m == 4 && d <= 30) ||
(m == 5 && d <= 31) ||
(m == 6 && d <= 30) ||
(m == 7 && d <= 31) ||
(m == 8 && d <= 31) ||
(m == 9 && d <= 30) ||
(m == 10 && d <= 31) ||
(m == 11 && d <= 30) ||
(m == 12 && d <= 31)))
Assert.Fail("invalid day of month: \n"
+ " date: " + t + "\n"
+ " day: " + d);
// check weekday definition
if (!((wd == wdold + 1) ||
(wd == 1 && wdold == 7)))
Assert.Fail("invalid weekday: \n"
+ " date: " + t + "\n"
+ " weekday: " + wd + "\n"
+ " previous: " + wdold);
wdold = wd;
// create the same date with a different constructor
Date s = new Date(d, m, y);
// check serial number consistency
serial = s.serialNumber();
if (serial != i)
Assert.Fail("inconsistent serial number:\n"
+ " date: " + t + "\n"
+ " serial number: " + i + "\n"
+ " cloned date: " + s + "\n"
+ " serial number: " + serial);
}
}
public override void calculate()
{
/* both DTS, YTS ref dates and pricing date consistency
* checks? settlement... */
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discount term structure set");
Utils.QL_REQUIRE(!defaultTS_.empty(), () => "no ctpty default term structure set");
Utils.QL_REQUIRE(!swaptionletEngine_.empty(), () => "no swap option engine set");
Date priceDate = defaultTS_.link.referenceDate();
double cumOptVal = 0.0, cumPutVal = 0.0;
// Vanilla swap so 0 leg is floater
int index = 0;
Date nextFD = arguments_.fixedPayDates[index];
Date swapletStart = priceDate;
while (nextFD < priceDate)
{
index++;
nextFD = arguments_.fixedPayDates[index];
}
// Compute fair spread for strike value:
// copy args into the non risky engine
Swap.Arguments noCVAArgs = baseSwapEngine_.link.getArguments() as Swap.Arguments;
noCVAArgs.legs = this.arguments_.legs;
noCVAArgs.payer = this.arguments_.payer;
baseSwapEngine_.link.calculate();
double baseSwapRate = ((FixedRateCoupon)arguments_.legs[0][0]).rate();
Swap.Results vSResults = baseSwapEngine_.link.getResults() as Swap.Results;
double?baseSwapFairRate = -baseSwapRate * vSResults.legNPV[1] / vSResults.legNPV[0];
double?baseSwapNPV = vSResults.value;
VanillaSwap.Type reversedType = arguments_.type == VanillaSwap.Type.Payer
? VanillaSwap.Type.Receiver
: VanillaSwap.Type.Payer;
// Swaplet options summatory:
while (nextFD != arguments_.fixedPayDates.Last())
{
// iFD coupon not fixed, create swaptionlet:
IborIndex swapIndex = ((FloatingRateCoupon)arguments_.legs[1][0]).index() as IborIndex;
// Alternatively one could cap this period to, say, 1M
Period baseSwapsTenor = new Period(arguments_.fixedPayDates.Last().serialNumber()
- swapletStart.serialNumber(), TimeUnit.Days);
VanillaSwap swaplet = new MakeVanillaSwap(baseSwapsTenor, swapIndex, baseSwapFairRate)
.withType(arguments_.type)
.withNominal(arguments_.nominal)
.withEffectiveDate(swapletStart)
.withTerminationDate(arguments_.fixedPayDates.Last()).value();
VanillaSwap revSwaplet = new MakeVanillaSwap(baseSwapsTenor, swapIndex, baseSwapFairRate)
.withType(reversedType)
.withNominal(arguments_.nominal)
.withEffectiveDate(swapletStart)
.withTerminationDate(arguments_.fixedPayDates.Last()).value();
Swaption swaptionlet = new Swaption(swaplet, new EuropeanExercise(swapletStart));
Swaption putSwaplet = new Swaption(revSwaplet, new EuropeanExercise(swapletStart));
swaptionlet.setPricingEngine(swaptionletEngine_.currentLink());
putSwaplet.setPricingEngine(swaptionletEngine_.currentLink());
// atm underlying swap means that the value of put = value
// call so this double pricing is not needed
cumOptVal += swaptionlet.NPV() * defaultTS_.link.defaultProbability(
swapletStart, nextFD);
cumPutVal += putSwaplet.NPV() * invstDTS_.link.defaultProbability(swapletStart, nextFD);
swapletStart = nextFD;
index++;
nextFD = arguments_.fixedPayDates[index];
}
results_.value = baseSwapNPV - (1.0 - ctptyRecoveryRate_) * cumOptVal + (1.0 - invstRecoveryRate_) * cumPutVal;
results_.fairRate = -baseSwapRate * (vSResults.legNPV[1] - (1.0 - ctptyRecoveryRate_) * cumOptVal +
(1.0 - invstRecoveryRate_) * cumPutVal) / vSResults.legNPV[0];
}