public void testLinearInterpolationMultipleSpreads()
{
// Testing linear interpolation with more than two spreaded dates...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.02);
SimpleQuote spread3 = new SimpleQuote(0.035);
SimpleQuote spread4 = new SimpleQuote(0.04);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
spreads.Add(new Handle <Quote>(spread3));
spreads.Add(new Handle <Quote>(spread4));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 90, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 150, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 30, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 40, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 120, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new PiecewiseZeroSpreadedTermStructure(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread1.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testFlatInterpolationRight()
{
// Testing flat interpolation after the last spreaded date...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.03);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 8, TimeUnit.Months));
spreadDates.Add(vars.calendar.advance(vars.today, 15, TimeUnit.Months));
Date interpolationDate = vars.calendar.advance(vars.today, 20, TimeUnit.Months);
ZeroYieldStructure spreadedTermStructure =
new PiecewiseZeroSpreadedTermStructure(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
spreadedTermStructure.enableExtrapolation();
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() + spread2.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
QAssert.Fail("unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testDefaultInterpolation()
{
// Testing default interpolation between two dates...
CommonVars vars = new CommonVars();
List <Handle <Quote> > spreads = new List <Handle <Quote> >();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.02);
spreads.Add(new Handle <Quote>(spread1));
spreads.Add(new Handle <Quote>(spread2));
List <Date> spreadDates = new List <Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 75, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 160, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 100, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new PiecewiseZeroSpreadedTermStructure(
new Handle <YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread1.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
{
Assert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}
}
public void testDefaultInterpolation()
{
// Testing default interpolation between two dates...
CommonVars vars = new CommonVars();
List<Handle<Quote>> spreads = new List<Handle<Quote>>();
SimpleQuote spread1 = new SimpleQuote(0.02);
SimpleQuote spread2 = new SimpleQuote(0.02);
spreads.Add(new Handle<Quote>(spread1));
spreads.Add(new Handle<Quote>(spread2));
List<Date> spreadDates = new List<Date>();
spreadDates.Add(vars.calendar.advance(vars.today, 75, TimeUnit.Days));
spreadDates.Add(vars.calendar.advance(vars.today, 160, TimeUnit.Days));
Date interpolationDate = vars.calendar.advance(vars.today, 100, TimeUnit.Days);
ZeroYieldStructure spreadedTermStructure =
new PiecewiseZeroSpreadedTermStructure(
new Handle<YieldTermStructure>(vars.termStructure),
spreads, spreadDates);
double t = vars.dayCount.yearFraction(vars.today, interpolationDate);
double interpolatedZeroRate = spreadedTermStructure.zeroRate(t, vars.compounding).value();
double tolerance = 1e-9;
double expectedRate = vars.termStructure.zeroRate(t, vars.compounding).value() +
spread1.value();
if (Math.Abs(interpolatedZeroRate - expectedRate) > tolerance)
Assert.Fail(
"unable to reproduce interpolated rate\n"
+ " calculated: " + interpolatedZeroRate + "\n"
+ " expected: " + expectedRate);
}