public void testSwaps()
{
//BOOST_MESSAGE("Testing Hull-White swap pricing against known values...");
Date today; //=Settings::instance().evaluationDate();;
Calendar calendar = new TARGET();
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
Date settlement = calendar.advance(today, 2, TimeUnit.Days);
Date[] dates = {
settlement,
calendar.advance(settlement,1,TimeUnit.Weeks),
calendar.advance(settlement,1,TimeUnit.Months),
calendar.advance(settlement,3,TimeUnit.Months),
calendar.advance(settlement,6,TimeUnit.Months),
calendar.advance(settlement,9,TimeUnit.Months),
calendar.advance(settlement,1,TimeUnit.Years),
calendar.advance(settlement,2,TimeUnit.Years),
calendar.advance(settlement,3,TimeUnit.Years),
calendar.advance(settlement,5,TimeUnit.Years),
calendar.advance(settlement,10,TimeUnit.Years),
calendar.advance(settlement,15,TimeUnit.Years)
};
double[] discounts = {
1.0,
0.999258,
0.996704,
0.990809,
0.981798,
0.972570,
0.963430,
0.929532,
0.889267,
0.803693,
0.596903,
0.433022
};
//for (int i = 0; i < dates.Length; i++)
// dates[i] + dates.Length;
LogLinear Interpolator = new LogLinear();
Handle<YieldTermStructure> termStructure =
new Handle<YieldTermStructure>(
new InterpolatedDiscountCurve<LogLinear>(
dates.ToList<Date>(),
discounts.ToList<double>(),
new Actual365Fixed(),new Calendar(), null, null , Interpolator)
);
HullWhite model = new HullWhite(termStructure);
int[] start = { -3, 0, 3 };
int[] length = { 2, 5, 10 };
double[] rates = { 0.02, 0.04, 0.06 };
IborIndex euribor = new Euribor6M(termStructure);
IPricingEngine engine = new TreeVanillaSwapEngine(model, 120, termStructure);
#if QL_USE_INDEXED_COUPON
double tolerance = 4.0e-3;
#else
double tolerance = 1.0e-8;
#endif
for (int i=0; i<start.Length; i++) {
Date startDate = calendar.advance(settlement,start[i],TimeUnit.Months);
if (startDate < today) {
Date fixingDate = calendar.advance(startDate,-2,TimeUnit.Days);
//TimeSeries<double> pastFixings;
ObservableValue<TimeSeries<double>> pastFixings = new ObservableValue<TimeSeries<double>>();
pastFixings.value()[fixingDate] = 0.03;
IndexManager.instance().setHistory(euribor.name(),
pastFixings);
}
for (int j=0; j<length.Length; j++) {
Date maturity = calendar.advance(startDate, length[i], TimeUnit.Years);
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(Frequency.Annual),
calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, maturity, new Period(Frequency.Semiannual),
calendar, BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
for (int k=0; k<rates.Length; k++) {
VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000000.0,
fixedSchedule, rates[k], new Thirty360(),
floatSchedule, euribor, 0.0, new Actual360());
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double expected = swap.NPV();
swap.setPricingEngine(engine);
double calculated = swap.NPV();
double error = Math.Abs((expected-calculated)/expected);
if (error > tolerance) {
Assert.Fail("Failed to reproduce swap NPV:"
//+ QL_FIXED << std::setprecision(9)
+ "\n calculated: " + calculated
+ "\n expected: " + expected
//+ QL_SCIENTIFIC
+ "\n rel. error: " + error);
}
}
}
}
}
public DiscountCurve(DateVector dates, DoubleVector discounts, DayCounter dayCounter, Calendar calendar, LogLinear i) : this(NQuantLibcPINVOKE.new_DiscountCurve__SWIG_0(DateVector.getCPtr(dates), DoubleVector.getCPtr(discounts), DayCounter.getCPtr(dayCounter), Calendar.getCPtr(calendar), LogLinear.getCPtr(i)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public LogLinearZeroCurve(DateVector dates, DoubleVector yields, DayCounter dayCounter, Calendar calendar, LogLinear i, Compounding compounding, Frequency frequency) : this(NQuantLibcPINVOKE.new_LogLinearZeroCurve__SWIG_0(DateVector.getCPtr(dates), DoubleVector.getCPtr(yields), DayCounter.getCPtr(dayCounter), Calendar.getCPtr(calendar), LogLinear.getCPtr(i), (int)compounding, (int)frequency), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(LogLinear obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void testSwaps()
{
//BOOST_MESSAGE("Testing Hull-White swap pricing against known values...");
Date today; //=Settings::instance().evaluationDate();;
Calendar calendar = new TARGET();
today = calendar.adjust(Date.Today);
Settings.setEvaluationDate(today);
Date settlement = calendar.advance(today, 2, TimeUnit.Days);
Date[] dates =
{
settlement,
calendar.advance(settlement, 1, TimeUnit.Weeks),
calendar.advance(settlement, 1, TimeUnit.Months),
calendar.advance(settlement, 3, TimeUnit.Months),
calendar.advance(settlement, 6, TimeUnit.Months),
calendar.advance(settlement, 9, TimeUnit.Months),
calendar.advance(settlement, 1, TimeUnit.Years),
calendar.advance(settlement, 2, TimeUnit.Years),
calendar.advance(settlement, 3, TimeUnit.Years),
calendar.advance(settlement, 5, TimeUnit.Years),
calendar.advance(settlement, 10, TimeUnit.Years),
calendar.advance(settlement, 15, TimeUnit.Years)
};
double[] discounts =
{
1.0,
0.999258,
0.996704,
0.990809,
0.981798,
0.972570,
0.963430,
0.929532,
0.889267,
0.803693,
0.596903,
0.433022
};
//for (int i = 0; i < dates.Length; i++)
// dates[i] + dates.Length;
LogLinear Interpolator = new LogLinear();
Handle <YieldTermStructure> termStructure =
new Handle <YieldTermStructure>(
new InterpolatedDiscountCurve <LogLinear>(
dates.ToList <Date>(),
discounts.ToList <double>(),
new Actual365Fixed(), new Calendar(), null, null, Interpolator)
);
HullWhite model = new HullWhite(termStructure);
int[] start = { -3, 0, 3 };
int[] length = { 2, 5, 10 };
double[] rates = { 0.02, 0.04, 0.06 };
IborIndex euribor = new Euribor6M(termStructure);
IPricingEngine engine = new TreeVanillaSwapEngine(model, 120, termStructure);
#if QL_USE_INDEXED_COUPON
double tolerance = 4.0e-3;
#else
double tolerance = 1.0e-8;
#endif
for (int i = 0; i < start.Length; i++)
{
Date startDate = calendar.advance(settlement, start[i], TimeUnit.Months);
if (startDate < today)
{
Date fixingDate = calendar.advance(startDate, -2, TimeUnit.Days);
TimeSeries <double?> pastFixings = new TimeSeries <double?>();
pastFixings[fixingDate] = 0.03;
IndexManager.instance().setHistory(euribor.name(), pastFixings);
}
for (int j = 0; j < length.Length; j++)
{
Date maturity = calendar.advance(startDate, length[i], TimeUnit.Years);
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(Frequency.Annual),
calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
Schedule floatSchedule = new Schedule(startDate, maturity, new Period(Frequency.Semiannual),
calendar, BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
for (int k = 0; k < rates.Length; k++)
{
VanillaSwap swap = new VanillaSwap(VanillaSwap.Type.Payer, 1000000.0,
fixedSchedule, rates[k], new Thirty360(),
floatSchedule, euribor, 0.0, new Actual360());
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double expected = swap.NPV();
swap.setPricingEngine(engine);
double calculated = swap.NPV();
double error = Math.Abs((expected - calculated) / expected);
if (error > tolerance)
{
QAssert.Fail("Failed to reproduce swap NPV:"
//+ QL_FIXED << std::setprecision(9)
+ "\n calculated: " + calculated
+ "\n expected: " + expected
//+ QL_SCIENTIFIC
+ "\n rel. error: " + error);
}
}
}
}
}
public DiscountCurve(DateVector dates, DoubleVector discounts, DayCounter dayCounter, Calendar calendar, LogLinear i) : this(NQuantLibcPINVOKE.new_DiscountCurve__SWIG_0(DateVector.getCPtr(dates), DoubleVector.getCPtr(discounts), DayCounter.getCPtr(dayCounter), Calendar.getCPtr(calendar), LogLinear.getCPtr(i)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(LogLinear obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
