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)
Assert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
public void testSimple()
{
Period[] p = { new Period(3, TimeUnit.Months), new Period(6, TimeUnit.Months), new Period(1, TimeUnit.Years) };
double[] expected = { 0.25, 0.5, 1.0 };
int n = p.Length;
// 4 years should be enough
Date first= new Date(1,Month.January,2002), last = new Date(31,Month.December,2005);
DayCounter dayCounter = new SimpleDayCounter();
for (Date start = first; start <= last; start++)
{
for (int i=0; i<n; i++)
{
Date end = start + p[i];
double calculated = dayCounter.yearFraction(start,end,null ,null );
if (Math.Abs(calculated-expected[i]) > 1.0e-12)
{
Assert.Fail ("from " + start + " to " + end +
"Calculated: " + calculated +
"Expected: " + expected[i]);
}
}
}
}
public void irData(string name,
SquareRootProcess process,
double rand,
DateTime preDate,
DateTime nextDate)
{
DayCounter dc = new SimpleDayCounter();
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
clstb.INDEX_CD = name;
clstb.REF_DT = preDate.ToString("yyyyMMdd");
clstb.SelectOwn();
clstb.REF_DT = nextDate.ToString("yyyyMMdd");
double x0 = clstb.LAST;
double t0 = 0.0;
double dt = dc.yearFraction(preDate, nextDate);
double v = Math.Round(process.evolve(t0, x0, dt, rand), 8);
clstb.LAST = v;
clstb.LOW = v;
clstb.HIGH = v;
clstb.Insert();
}