// setup
public CommonVars()
{
// option variables
nominals = new List <double>()
{
1000000
};
frequency = Frequency.Annual;
// usual setup
volatility = 0.01;
length = 7;
calendar = new UnitedKingdom();
convention = BusinessDayConvention.ModifiedFollowing;
Date today = new Date(13, Month.August, 2007);
evaluationDate = calendar.adjust(today);
Settings.setEvaluationDate(evaluationDate);
settlementDays = 0;
fixingDays = 0;
settlement = calendar.advance(today, settlementDays, TimeUnit.Days);
startDate = settlement;
dc = new Thirty360();
// yoy index
// 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, -999.0, -999 };
// link from yoy index to yoy TS
bool interp = false;
iir = new YYUKRPIr(interp, hy);
for (int i = 0; i < rpiSchedule.Count; i++)
{
iir.addFixing(rpiSchedule[i], fixData[i]);
}
YieldTermStructure nominalFF = new FlatForward(evaluationDate, 0.05, new ActualActual());
nominalTS.linkTo(nominalFF);
// now build the YoY inflation curve
Period observationLag = new Period(2, TimeUnit.Months);
Datum[] yyData =
{
new Datum(new Date(13, Month.August, 2008), 2.95),
new Datum(new Date(13, Month.August, 2009), 2.95),
new Datum(new Date(13, Month.August, 2010), 2.93),
new Datum(new Date(15, Month.August, 2011), 2.955),
new Datum(new Date(13, Month.August, 2012), 2.945),
new Datum(new Date(13, Month.August, 2013), 2.985),
new Datum(new Date(13, Month.August, 2014), 3.01),
new Datum(new Date(13, Month.August, 2015), 3.035),
new Datum(new Date(13, Month.August, 2016), 3.055), // note that
new Datum(new Date(13, Month.August, 2017), 3.075), // some dates will be on
new Datum(new Date(13, Month.August, 2019), 3.105), // holidays but the payment
new Datum(new Date(15, Month.August, 2022), 3.135), // calendar will roll them
new Datum(new Date(13, Month.August, 2027), 3.155),
new Datum(new Date(13, Month.August, 2032), 3.145),
new Datum(new Date(13, Month.August, 2037), 3.145)
};
// now build the helpers ...
List <BootstrapHelper <YoYInflationTermStructure> > helpers =
makeHelpers(yyData, yyData.Length, iir,
observationLag,
calendar, convention, dc);
double baseYYRate = yyData[0].rate / 100.0;
PiecewiseYoYInflationCurve <Linear> pYYTS = new PiecewiseYoYInflationCurve <Linear>(
evaluationDate, calendar, dc, observationLag,
iir.frequency(), iir.interpolated(), baseYYRate,
new Handle <YieldTermStructure>(nominalTS), helpers);
pYYTS.recalculate();
yoyTS = pYYTS as YoYInflationTermStructure;
// make sure that the index has the latest yoy term structure
hy.linkTo(pYYTS);
}
public void testPutCallParity()
{
// Testing put-call parity for deltas
// Test for put call parity between put and call deltas.
SavedSettings backup = new SavedSettings();
/* The data below are from
* "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
* pag 11-16
*/
EuropeanOptionData[] values =
{
// pag 2-8
// type, strike, spot, q, r, t, vol, value, tol
new EuropeanOptionData(Option.Type.Call, 65.00, 60.00, 0.00, 0.08, 0.25, 0.30, 2.1334, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 95.00, 100.00, 0.05, 0.10, 0.50, 0.20, 2.4648, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 19.00, 19.00, 0.10, 0.10, 0.75, 0.28, 1.7011, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 19.00, 19.00, 0.10, 0.10, 0.75, 0.28, 1.7011, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 1.60, 1.56, 0.08, 0.06, 0.50, 0.12, 0.0291, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 70.00, 75.00, 0.05, 0.10, 0.50, 0.35, 4.0870, 1.0e-4),
// pag 24
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.15, 0.0205, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.15, 1.8734, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.15, 9.9413, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.25, 0.3150, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.25, 3.1217, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.25, 10.3556, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.10, 0.35, 0.9474, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.10, 0.35, 4.3693, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.10, 0.35, 11.1381, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.15, 0.8069, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.15, 4.0232, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.15, 10.5769, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.25, 2.7026, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.25, 6.6997, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.25, 12.7857, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 90.00, 0.10, 0.10, 0.50, 0.35, 4.9329, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 100.00, 0.10, 0.10, 0.50, 0.35, 9.3679, 1.0e-4),
new EuropeanOptionData(Option.Type.Call, 100.00, 110.00, 0.10, 0.10, 0.50, 0.35, 15.3086, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.15, 9.9210, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.15, 1.8734, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.15, 0.0408, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.25, 10.2155, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.25, 3.1217, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.25, 0.4551, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.10, 0.35, 10.8479, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.10, 0.35, 4.3693, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.10, 0.35, 1.2376, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.15, 10.3192, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.15, 4.0232, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.15, 1.0646, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.25, 12.2149, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.25, 6.6997, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.25, 3.2734, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 90.00, 0.10, 0.10, 0.50, 0.35, 14.4452, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 100.00, 0.10, 0.10, 0.50, 0.35, 9.3679, 1.0e-4),
new EuropeanOptionData(Option.Type.Put, 100.00, 110.00, 0.10, 0.10, 0.50, 0.35, 5.7963, 1.0e-4),
// pag 27
new EuropeanOptionData(Option.Type.Call, 40.00, 42.00, 0.08, 0.04, 0.75, 0.35, 5.0975, 1.0e-4)
};
DayCounter dc = new Actual360();
Calendar calendar = new TARGET();
Date today = Date.Today;
double discFor = 0.0;
double discDom = 0.0;
double implVol = 0.0;
double deltaCall = 0.0;
double deltaPut = 0.0;
double expectedDiff = 0.0;
double calculatedDiff = 0.0;
double error = 0.0;
double forward = 0.0;
SimpleQuote spotQuote = new SimpleQuote(0.0);
SimpleQuote qQuote = new SimpleQuote(0.0);
Handle <Quote> qHandle = new Handle <Quote>(qQuote);
YieldTermStructure qTS = new FlatForward(today, qHandle, dc);
SimpleQuote rQuote = new SimpleQuote(0.0);
Handle <Quote> rHandle = new Handle <Quote>(qQuote);
YieldTermStructure rTS = new FlatForward(today, rHandle, dc);
SimpleQuote volQuote = new SimpleQuote(0.0);
Handle <Quote> volHandle = new Handle <Quote>(volQuote);
BlackVolTermStructure volTS = new BlackConstantVol(today, calendar, volHandle, dc);
StrikedTypePayoff payoff;
Date exDate;
Exercise exercise;
double tolerance = 1.0e-10;
for (int i = 0; i < values.Length; ++i)
{
payoff = new PlainVanillaPayoff(Option.Type.Call, values[i].strike);
exDate = today + timeToDays(values[i].t);
exercise = new EuropeanExercise(exDate);
spotQuote.setValue(values[i].s);
volQuote.setValue(values[i].v);
rQuote.setValue(values[i].r);
qQuote.setValue(values[i].q);
discDom = rTS.discount(exDate);
discFor = qTS.discount(exDate);
implVol = Math.Sqrt(volTS.blackVariance(exDate, 0.0));
forward = spotQuote.value() * discFor / discDom;
BlackDeltaCalculator myCalc = new BlackDeltaCalculator(Option.Type.Call, DeltaVolQuote.DeltaType.Spot,
spotQuote.value(), discDom, discFor, implVol);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = discFor;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for spot delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.Fwd);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = 1.0;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for forward delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaSpot);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = discFor * values[i].strike / forward;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for premium-adjusted spot delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaFwd);
deltaCall = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Put);
deltaPut = myCalc.deltaFromStrike(values[i].strike);
myCalc.setOptionType(Option.Type.Call);
expectedDiff = values[i].strike / forward;
calculatedDiff = deltaCall - deltaPut;
error = Math.Abs(expectedDiff - calculatedDiff);
if (error > tolerance)
{
QAssert.Fail("\n Put-call parity failed for premium-adjusted forward delta. \n"
+ "Calculated Call Delta: " + deltaCall + "\n"
+ "Calculated Put Delta: " + deltaPut + "\n"
+ "Expected Difference: " + expectedDiff + "\n"
+ "Calculated Difference: " + calculatedDiff);
}
}
}
static void Main(string[] args)
{
DateTime startTime = DateTime.Now;
Date todaysDate = new Date(15, Month.February, 2002);
Calendar calendar = new TARGET();
Date settlementDate = new Date(19, Month.February, 2002);
Settings.instance().setEvaluationDate(todaysDate);
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
FlatForward myTermStructure = new FlatForward(
settlementDate,
new QuoteHandle(flatRate),
new Actual365Fixed());
RelinkableYieldTermStructureHandle rhTermStructure =
new RelinkableYieldTermStructureHandle();
rhTermStructure.linkTo(myTermStructure);
// Define the ATM/OTM/ITM swaps
Period fixedLegTenor = new Period(1, TimeUnit.Years);
BusinessDayConvention fixedLegConvention =
BusinessDayConvention.Unadjusted;
BusinessDayConvention floatingLegConvention =
BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter =
new Thirty360(Thirty360.Convention.European);
Period floatingLegTenor = new Period(6, TimeUnit.Months);
double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M(rhTermStructure);
Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years,
floatingLegConvention);
Date maturity = calendar.advance(startDate, 5, TimeUnit.Years,
floatingLegConvention);
Schedule fixedSchedule = new Schedule(startDate, maturity,
fixedLegTenor, calendar, fixedLegConvention, fixedLegConvention,
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, maturity,
floatingLegTenor, calendar, floatingLegConvention,
floatingLegConvention, DateGeneration.Rule.Forward, false);
VanillaSwap swap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
DiscountingSwapEngine swapEngine =
new DiscountingSwapEngine(rhTermStructure);
swap.setPricingEngine(swapEngine);
double fixedATMRate = swap.fairRate();
double fixedOTMRate = fixedATMRate * 1.2;
double fixedITMRate = fixedATMRate * 0.8;
VanillaSwap atmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedATMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap otmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedOTMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
VanillaSwap itmSwap = new VanillaSwap(
VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedITMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
atmSwap.setPricingEngine(swapEngine);
otmSwap.setPricingEngine(swapEngine);
itmSwap.setPricingEngine(swapEngine);
// defining the swaptions to be used in model calibration
PeriodVector swaptionMaturities = new PeriodVector();
swaptionMaturities.Add(new Period(1, TimeUnit.Years));
swaptionMaturities.Add(new Period(2, TimeUnit.Years));
swaptionMaturities.Add(new Period(3, TimeUnit.Years));
swaptionMaturities.Add(new Period(4, TimeUnit.Years));
swaptionMaturities.Add(new Period(5, TimeUnit.Years));
CalibrationHelperVector swaptions = new CalibrationHelperVector();
// List of times that have to be included in the timegrid
DoubleVector times = new DoubleVector();
for (int i = 0; i < numRows; i++)
{
int j = numCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * numCols + j;
Quote vol = new SimpleQuote(swaptionVols[k]);
SwaptionHelper helper = new SwaptionHelper(
swaptionMaturities[i],
new Period(swapLengths[j], TimeUnit.Years),
new QuoteHandle(vol),
indexSixMonths,
indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure);
swaptions.Add(helper);
times.AddRange(helper.times());
}
// Building time-grid
TimeGrid grid = new TimeGrid(times, 30);
// defining the models
// G2 modelG2 = new G2(rhTermStructure));
HullWhite modelHW = new HullWhite(rhTermStructure);
HullWhite modelHW2 = new HullWhite(rhTermStructure);
BlackKarasinski modelBK = new BlackKarasinski(rhTermStructure);
// model calibrations
// Console.WriteLine( "G2 (analytic formulae) calibration" );
// for (int i=0; i<swaptions.Count; i++)
// NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
// new G2SwaptionEngine( modelG2, 6.0, 16 ) );
//
// calibrateModel( modelG2, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelG2.parameters()[0] );
// Console.WriteLine( "sigma = " + modelG2.parameters()[1] );
// Console.WriteLine( "b = " + modelG2.parameters()[2] );
// Console.WriteLine( "eta = " + modelG2.parameters()[3] );
// Console.WriteLine( "rho = " + modelG2.parameters()[4] );
Console.WriteLine("Hull-White (analytic formulae) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new JamshidianSwaptionEngine(modelHW));
}
calibrateModel(modelHW, swaptions, 0.05);
// Console.WriteLine( "calibrated to:" );
// Console.WriteLine( "a = " + modelHW.parameters()[0] );
// Console.WriteLine( "sigma = " + modelHW.parameters()[1] );
Console.WriteLine("Hull-White (numerical) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new TreeSwaptionEngine(modelHW2, grid));
}
calibrateModel(modelHW2, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelHW2->params()[0] << ", "
// << "sigma = " << modelHW2->params()[1]
// << std::endl << std::endl;
Console.WriteLine("Black-Karasinski (numerical) calibration");
for (int i = 0; i < swaptions.Count; i++)
{
NQuantLibc.as_black_helper(swaptions[i]).setPricingEngine(
new TreeSwaptionEngine(modelBK, grid));
}
calibrateModel(modelBK, swaptions, 0.05);
// std::cout << "calibrated to:\n"
// << "a = " << modelBK->params()[0] << ", "
// << "sigma = " << modelBK->params()[1]
// << std::endl << std::endl;
// ATM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption struck at {0} (ATM)",
fixedATMRate);
DateVector bermudanDates = new DateVector();
Schedule schedule = new Schedule(startDate, maturity,
new Period(3, TimeUnit.Months), calendar,
BusinessDayConvention.Following,
BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
for (uint i = 0; i < schedule.size(); i++)
{
bermudanDates.Add(schedule.date(i));
}
Exercise bermudaExercise = new BermudanExercise(bermudanDates);
Swaption bermudanSwaption =
new Swaption(atmSwap, bermudaExercise);
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW, 50));
Console.WriteLine("HW: " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelHW2, 50));
Console.WriteLine("HW (num): " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(
new TreeSwaptionEngine(modelBK, 50));
Console.WriteLine("BK (num): " + bermudanSwaption.NPV());
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
public void testDeltaPriceConsistency()
{
// Testing premium-adjusted delta price consistency
// This function tests for price consistencies with the standard
// Black Scholes calculator, since premium adjusted deltas can be calculated
// from spot deltas by adding/subtracting the premium.
SavedSettings backup = new SavedSettings();
// actually, value and tol won't be needed for testing
EuropeanOptionData[] values =
{
// type, strike, spot, rd, rf, t, vol, value, tol
new EuropeanOptionData(Option.Type.Call, 0.9123, 1.2212, 0.0231, 0.0000, 0.25, 0.301, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 0.9234, 1.2212, 0.0231, 0.0000, 0.35, 0.111, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 0.9783, 1.2212, 0.0231, 0.0000, 0.45, 0.071, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.0000, 1.2212, 0.0231, 0.0000, 0.55, 0.082, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.1230, 1.2212, 0.0231, 0.0000, 0.65, 0.012, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.2212, 1.2212, 0.0231, 0.0000, 0.75, 0.129, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3212, 1.2212, 0.0231, 0.0000, 0.85, 0.034, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3923, 1.2212, 0.0131, 0.2344, 0.95, 0.001, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Call, 1.3455, 1.2212, 0.0000, 0.0000, 1.00, 0.127, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9123, 1.2212, 0.0231, 0.0000, 0.25, 0.301, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9234, 1.2212, 0.0231, 0.0000, 0.35, 0.111, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 0.9783, 1.2212, 0.0231, 0.0000, 0.45, 0.071, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.0000, 1.2212, 0.0231, 0.0000, 0.55, 0.082, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.1230, 1.2212, 0.0231, 0.0000, 0.65, 0.012, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.2212, 1.2212, 0.0231, 0.0000, 0.75, 0.129, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3212, 1.2212, 0.0231, 0.0000, 0.85, 0.034, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3923, 1.2212, 0.0131, 0.2344, 0.95, 0.001, 0.0, 0.0),
new EuropeanOptionData(Option.Type.Put, 1.3455, 1.2212, 0.0000, 0.0000, 1.00, 0.127, 0.0, 0.0),
// extreme case: zero vol
new EuropeanOptionData(Option.Type.Put, 1.3455, 1.2212, 0.0000, 0.0000, 0.50, 0.000, 0.0, 0.0),
// extreme case: zero strike
new EuropeanOptionData(Option.Type.Put, 0.0000, 1.2212, 0.0000, 0.0000, 1.50, 0.133, 0.0, 0.0),
// extreme case: zero strike+zero vol
new EuropeanOptionData(Option.Type.Put, 0.0000, 1.2212, 0.0000, 0.0000, 1.00, 0.133, 0.0, 0.0),
};
DayCounter dc = new Actual360();
Calendar calendar = new TARGET();
Date today = Date.Today;
// Start setup of market data
double discFor = 0.0;
double discDom = 0.0;
double implVol = 0.0;
double expectedVal = 0.0;
double calculatedVal = 0.0;
double error = 0.0;
SimpleQuote spotQuote = new SimpleQuote(0.0);
Handle <Quote> spotHandle = new Handle <Quote>(spotQuote);
SimpleQuote qQuote = new SimpleQuote(0.0);
Handle <Quote> qHandle = new Handle <Quote>(qQuote);
YieldTermStructure qTS = new FlatForward(today, qHandle, dc);
SimpleQuote rQuote = new SimpleQuote(0.0);
Handle <Quote> rHandle = new Handle <Quote>(qQuote);
YieldTermStructure rTS = new FlatForward(today, rHandle, dc);
SimpleQuote volQuote = new SimpleQuote(0.0);
Handle <Quote> volHandle = new Handle <Quote>(volQuote);
BlackVolTermStructure volTS = new BlackConstantVol(today, calendar, volHandle, dc);
BlackScholesMertonProcess stochProcess;
IPricingEngine engine;
StrikedTypePayoff payoff;
Date exDate;
Exercise exercise;
// Setup of market data finished
double tolerance = 1.0e-10;
for (int i = 0; i < values.Length; ++i)
{
payoff = new PlainVanillaPayoff(values[i].type, values[i].strike);
exDate = today + timeToDays(values[i].t);
exercise = new EuropeanExercise(exDate);
spotQuote.setValue(values[i].s);
volQuote.setValue(values[i].v);
rQuote.setValue(values[i].r);
qQuote.setValue(values[i].q);
discDom = rTS.discount(exDate);
discFor = qTS.discount(exDate);
implVol = Math.Sqrt(volTS.blackVariance(exDate, 0.0));
BlackDeltaCalculator myCalc = new BlackDeltaCalculator(values[i].type, DeltaVolQuote.DeltaType.PaSpot,
spotQuote.value(), discDom, discFor, implVol);
stochProcess = new BlackScholesMertonProcess(spotHandle,
new Handle <YieldTermStructure>(qTS),
new Handle <YieldTermStructure>(rTS),
new Handle <BlackVolTermStructure>(volTS));
engine = new AnalyticEuropeanEngine(stochProcess);
EuropeanOption option = new EuropeanOption(payoff, exercise);
option.setPricingEngine(engine);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = option.delta() - option.NPV() / spotQuote.value();
error = Math.Abs(expectedVal - calculatedVal);
if (error > tolerance)
{
QAssert.Fail("\n Premium-adjusted spot delta test failed. \n"
+ "Calculated Delta: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
myCalc.setDeltaType(DeltaVolQuote.DeltaType.PaFwd);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = expectedVal / discFor; // Premium adjusted Fwd Delta is PA spot without discount
error = Math.Abs(expectedVal - calculatedVal);
if (error > tolerance)
{
QAssert.Fail("\n Premium-adjusted forward delta test failed. \n"
+ "Calculated Delta: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
// Test consistency with BlackScholes Calculator for Spot Delta
myCalc.setDeltaType(DeltaVolQuote.DeltaType.Spot);
calculatedVal = myCalc.deltaFromStrike(values[i].strike);
expectedVal = option.delta();
error = Math.Abs(calculatedVal - expectedVal);
if (error > tolerance)
{
QAssert.Fail("\n spot delta in BlackDeltaCalculator differs from delta in BlackScholesCalculator. \n"
+ "Calculated Value: " + calculatedVal + "\n"
+ "Expected Value: " + expectedVal + "\n"
+ "Error: " + error);
}
}
}
private static void Main()
{
DateTime startTime = DateTime.Now;
var todaysDate = new DateTime(2002, 2, 15);
Settings.instance().setEvaluationDate(todaysDate);
Calendar calendar = new TARGET();
var settlementDate = new Date(19, Month.February, 2002);
// flat yield term structure impling 1x5 swap at 5%
Quote flatRate = new SimpleQuote(0.04875825);
var myTermStructure = new FlatForward(settlementDate, new QuoteHandle(flatRate), new Actual365Fixed());
var rhTermStructure = new RelinkableYieldTermStructureHandle();
rhTermStructure.linkTo(myTermStructure);
// Define the ATM/OTM/ITM swaps
var fixedLegTenor = new Period(1, TimeUnit.Years);
const BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
const BusinessDayConvention floatingLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Convention.European);
var floatingLegTenor = new Period(6, TimeUnit.Months);
const double dummyFixedRate = 0.03;
IborIndex indexSixMonths = new Euribor6M(rhTermStructure);
Date startDate = calendar.advance(settlementDate, 1, TimeUnit.Years, floatingLegConvention);
Date maturity = calendar.advance(startDate, 5, TimeUnit.Years, floatingLegConvention);
var fixedSchedule = new Schedule(startDate, maturity, fixedLegTenor, calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
var floatSchedule = new Schedule(startDate, maturity, floatingLegTenor, calendar, floatingLegConvention, floatingLegConvention, DateGeneration.Rule.Forward, false);
var swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0, indexSixMonths.dayCounter());
var swapEngine = new DiscountingSwapEngine(rhTermStructure);
swap.setPricingEngine(swapEngine);
double fixedAtmRate = swap.fairRate();
double fixedOtmRate = fixedAtmRate * 1.2;
double fixedItmRate = fixedAtmRate * 0.8;
var atmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedAtmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
var otmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedOtmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
var itmSwap = new VanillaSwap(VanillaSwap.Type.Payer, 1000.0,
fixedSchedule, fixedItmRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths.dayCounter());
atmSwap.setPricingEngine(swapEngine);
otmSwap.setPricingEngine(swapEngine);
itmSwap.setPricingEngine(swapEngine);
// defining the swaptions to be used in model calibration
var swaptionMaturities = new PeriodVector
{
new Period(1, TimeUnit.Years),
new Period(2, TimeUnit.Years),
new Period(3, TimeUnit.Years),
new Period(4, TimeUnit.Years),
new Period(5, TimeUnit.Years)
};
var swaptions = new CalibrationHelperVector();
// List of times that have to be included in the timegrid
var times = new DoubleVector();
for (int i = 0; i < NUM_ROWS; i++)
{
int j = NUM_COLS - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * NUM_COLS + j;
Quote vol = new SimpleQuote(SWAPTION_VOLS[k]);
var helper = new SwaptionHelper(swaptionMaturities[i], new Period(SWAP_LENGHTS[j], TimeUnit.Years),
new QuoteHandle(vol),
indexSixMonths, indexSixMonths.tenor(),
indexSixMonths.dayCounter(),
indexSixMonths.dayCounter(),
rhTermStructure);
swaptions.Add(helper);
times.AddRange(helper.times());
}
// Building time-grid
var grid = new TimeGrid(times, 30);
// defining the models
// G2 modelG2 = new G2(rhTermStructure));
var modelHw = new HullWhite(rhTermStructure);
var modelHw2 = new HullWhite(rhTermStructure);
var modelBk = new BlackKarasinski(rhTermStructure);
// model calibrations
Console.WriteLine("Hull-White (analytic formulae) calibration");
foreach (CalibrationHelper calibrationHelper in swaptions)
{
NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new JamshidianSwaptionEngine(modelHw));
}
CalibrateModel(modelHw, swaptions, 0.05);
Console.WriteLine("Hull-White (numerical) calibration");
foreach (CalibrationHelper calibrationHelper in swaptions)
{
NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new TreeSwaptionEngine(modelHw2, grid));
}
CalibrateModel(modelHw2, swaptions, 0.05);
Console.WriteLine("Black-Karasinski (numerical) calibration");
foreach (CalibrationHelper calibrationHelper in swaptions)
{
NQuantLibc.as_black_helper(calibrationHelper).setPricingEngine(new TreeSwaptionEngine(modelBk, grid));
}
CalibrateModel(modelBk, swaptions, 0.05);
// ATM Bermudan swaption pricing
Console.WriteLine("Payer bermudan swaption struck at {0} (ATM)", fixedAtmRate);
var bermudanDates = new DateVector();
var schedule = new Schedule(startDate, maturity,
new Period(3, TimeUnit.Months), calendar,
BusinessDayConvention.Following,
BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
for (uint i = 0; i < schedule.size(); i++)
{
bermudanDates.Add(schedule.date(i));
}
Exercise bermudaExercise = new BermudanExercise(bermudanDates);
var bermudanSwaption = new Swaption(atmSwap, bermudaExercise);
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw, 50));
Console.WriteLine("HW: " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelHw2, 50));
Console.WriteLine("HW (num): " + bermudanSwaption.NPV());
bermudanSwaption.setPricingEngine(new TreeSwaptionEngine(modelBk, 50));
Console.WriteLine("BK (num): " + bermudanSwaption.NPV());
DateTime endTime = DateTime.Now;
TimeSpan delta = endTime - startTime;
Console.WriteLine();
Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
Console.WriteLine();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FlatForward 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(FlatForward obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
static void Main(string[] args)
{
/*
* TODO:
* FIXES
* 1. WAC vs Net Coupon (meanings are reversed, names are bad)
* 2. CashFlows needs to be replaced with Expected CashFlows to get the correct price
* NEW IMPLEMENTATION
* 1. Add delay
* 2. Add SecType enum PT, PO, IO
*/
Date referenceDate = new Date(16, 11, 2015);
Settings.setEvaluationDate(referenceDate);
int settlementDays = 0;
Calendar calendar = new TARGET();
int origTerm = 360;
Frequency sinkingFrequency = Frequency.Monthly;
DayCounter accrualDayCounter = new Thirty360();
BusinessDayConvention paymentConvention = BusinessDayConvention.Unadjusted;
double wac = 0.03875;
int wam = 357;
int wala = origTerm - wam;
Date factorDate = new Date(1, 12, 2015);
Date issueDate = calendar.advance(factorDate, -wala, TimeUnit.Months, BusinessDayConvention.Unadjusted);
double factor = 1.0;
double currentFace = 1000000;
double originalFace = currentFace / factor;
int statedDelay = 30; //54;
double netCoupon = 0.030;
string secType = "PT";
Date settleDate = referenceDate;
double yield_be = 0.0270;
//double price;
double speed = 0.08;
IPrepayModel prepaymodel = new ConstantCPR(speed);
//IPrepayModel prepaymodel = new PSACurve(factorDate, speed);
MBSFixedRateBond mbs = new MBSFixedRateBond(
settlementDays,
calendar,
currentFace,
factorDate,
new Period(wam, TimeUnit.Months),
new Period(origTerm, TimeUnit.Months),
sinkingFrequency,
wac,
netCoupon,
accrualDayCounter,
prepaymodel,
paymentConvention,
issueDate);
YieldTermStructure discountCurve = new FlatForward(referenceDate, yield_be, new Thirty360(), Compounding.Compounded, Frequency.Semiannual);
DiscountingBondEngine discountingBondEngine = new DiscountingBondEngine(new Handle <YieldTermStructure>(discountCurve));
mbs.setPricingEngine(discountingBondEngine);
// display results
Console.WriteLine("WAC : {0:F5}", wac);
Console.WriteLine("WALA : {0}", wala);
Console.WriteLine("WAM : {0}", wam);
Console.WriteLine("Factor Date : {0}", factorDate.ToShortDateString());
Console.WriteLine("Factor : {0:F10}", factor);
Console.WriteLine("Orig Face : {0:N}", originalFace);
Console.WriteLine("Curr Face : {0:N}", currentFace);
Console.WriteLine("Stated Delay: {0}", statedDelay);
Console.WriteLine("Net Coupon : {0:F3}", netCoupon);
Console.WriteLine("Sec Type : {0}", secType);
Console.WriteLine("Settle Date : {0}", settleDate.ToShortDateString());
Console.WriteLine("Model Type : {0}", prepaymodel.GetType().ToString());
Console.WriteLine("Model Speed : {0:F3}", speed);
Console.WriteLine("Yield : {0:F5}", yield_be);
Console.WriteLine("Clean Price : {0:F6}", mbs.cleanPrice());
Console.WriteLine("Dirty Price : {0:F6}", mbs.dirtyPrice());
Console.WriteLine("Accrued : {0:F6}", mbs.accruedAmount());
// month, factor, pay date, ending prin, interest, reg principal, prepaid principal, total principal, net flow, cpr, smm, wala, wam, p&i payment, i payment, beg balance, days, discount, pv
double ebal = currentFace;
using (System.IO.StreamWriter sw = new System.IO.StreamWriter("output.csv"))
{
DayCounter dc = discountCurve.dayCounter();
Date refdate = discountCurve.referenceDate();
sw.WriteLine("month,factor date,factor,pay date,ending principal,interest,regular principal,prepaid principal,total principal,net flow,cpr,smm,wala,wam,p&i payment,interest payment,beginning balance,days,discount,pv");
for (int i = 0; i < wam; i++)
{
double upmt = 0;
double ppmt = 0;
double ipmt = 0;
double bbal = ebal;
Date paydate = null;
for (int j = 0; j <= 2; j++)
{
int k = i * 3 + j;
CashFlow cf = mbs.expectedCashflows()[k];
if (cf.GetType() == typeof(VoluntaryPrepay))
{
upmt = cf.amount();
paydate = cf.date();
}
if (cf.GetType() == typeof(AmortizingPayment))
{
ppmt = cf.amount();
}
if (cf.GetType() == typeof(FixedRateCoupon))
{
ipmt = cf.amount();
}
}
int days = dc.dayCount(refdate, paydate);
double df = discountCurve.discount(paydate);
ebal = bbal - upmt - ppmt;
double smm = upmt / (bbal - ppmt);
sw.Write("{0},", i + 1); //month
sw.Write("{0},", calendar.advance(factorDate, i, TimeUnit.Months, BusinessDayConvention.Unadjusted)); //factor date
sw.Write("{0:F10},", factor * bbal / currentFace); //factor
sw.Write("{0},", paydate.ToShortDateString()); //pay date
sw.Write("{0:F2},", ebal); //ending principal
sw.Write("{0:F2},", ipmt); //interest
sw.Write("{0:F2},", ppmt); //regular principal
sw.Write("{0:F2},", upmt); //prepaid principal
sw.Write("{0:F2},", ppmt + upmt); //total principal
sw.Write("{0:F2},", ipmt + ppmt + upmt); //net flow
sw.Write("{0:F4},", 1 - Math.Pow(1 - smm, 12)); //cpr
sw.Write("{0:F6},", smm); //smm
sw.Write("{0},", wala + i); //wala
sw.Write("{0},", wam - i); //wam
sw.Write("{0},", i); //p&i payment
sw.Write("{0},", i); //interest payment
sw.Write("{0:F2},", bbal); //beginning balance
sw.Write("{0},", days); //days
sw.Write("{0:F8},", df); //discount
sw.WriteLine("{0}", df * (ipmt + ppmt + upmt)); //pv
}
}
}