public void zciisconsistency()
{
CommonVars common = new CommonVars();
ZeroCouponInflationSwap.Type ztype = ZeroCouponInflationSwap.Type.Payer;
double nominal = 1000000.0;
Date startDate = new Date(common.evaluationDate);
Date endDate = new Date(25, Month.November, 2059);
Calendar cal = new UnitedKingdom();
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter dummyDC = null, dc = new ActualActual();
Period observationLag = new Period(2, TimeUnit.Months);
double quote = 0.03714;
ZeroCouponInflationSwap zciis = new ZeroCouponInflationSwap(ztype, nominal, startDate, endDate, cal,
paymentConvention, dc, quote, common.ii, observationLag);
// simple structure so simple pricing engine - most work done by index
DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
zciis.setPricingEngine(dse);
QAssert.IsTrue(Math.Abs(zciis.NPV()) < 1e-3, "zciis does not reprice to zero");
List <Date> oneDate = new List <Date>();
oneDate.Add(endDate);
Schedule schOneDate = new Schedule(oneDate, cal, paymentConvention);
CPISwap.Type stype = CPISwap.Type.Payer;
double inflationNominal = nominal;
double floatNominal = inflationNominal * Math.Pow(1.0 + quote, 50);
bool subtractInflationNominal = true;
double dummySpread = 0.0, dummyFixedRate = 0.0;
int fixingDays = 0;
Date baseDate = startDate - observationLag;
double baseCPI = common.ii.fixing(baseDate);
IborIndex dummyFloatIndex = new IborIndex();
CPISwap cS = new CPISwap(stype, floatNominal, subtractInflationNominal, dummySpread, dummyDC, schOneDate,
paymentConvention, fixingDays, dummyFloatIndex,
dummyFixedRate, baseCPI, dummyDC, schOneDate, paymentConvention, observationLag,
common.ii, InterpolationType.AsIndex, inflationNominal);
cS.setPricingEngine(dse);
QAssert.IsTrue(Math.Abs(cS.NPV()) < 1e-3, "CPISwap as ZCIIS does not reprice to zero");
for (int i = 0; i < 2; i++)
{
double cs = cS.legNPV(i).GetValueOrDefault();
double z = zciis.legNPV(i).GetValueOrDefault();
QAssert.IsTrue(Math.Abs(cs - z) < 1e-3, "zciis leg does not equal CPISwap leg");
}
// remove circular refernce
common.hcpi.linkTo(null);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ZeroCouponInflationSwap 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(ZeroCouponInflationSwap obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public void testZeroTermStructure()
{
// Testing zero inflation term structure...
SavedSettings backup = new SavedSettings();
// try the Zero UK
Calendar calendar = new UnitedKingdom();
BusinessDayConvention bdc = BusinessDayConvention.ModifiedFollowing;
Date evaluationDate = new Date( 13, Month.August, 2007 );
evaluationDate = calendar.adjust( evaluationDate );
Settings.setEvaluationDate( evaluationDate );
// 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, 206.1, -999.0 };
RelinkableHandle<ZeroInflationTermStructure> hz = new RelinkableHandle<ZeroInflationTermStructure>();
bool interp = false;
UKRPI iiUKRPI = new UKRPI( interp, hz );
for ( int i = 0; i < rpiSchedule.Count; i++ )
{
iiUKRPI.addFixing( rpiSchedule[i], fixData[i] );
}
ZeroInflationIndex ii = iiUKRPI as ZeroInflationIndex;
YieldTermStructure nominalTS = nominalTermStructure();
// now build the zero inflation curve
Datum[] zcData = {
new Datum( new Date(13, Month.August, 2008), 2.93 ),
new Datum( new Date(13, Month.August, 2009), 2.95 ),
new Datum( new Date(13, Month.August, 2010), 2.965 ),
new Datum( new Date(15, Month.August, 2011), 2.98 ),
new Datum( new Date(13, Month.August, 2012), 3.0 ),
new Datum( new Date(13, Month.August, 2014), 3.06 ),
new Datum( new Date(13, Month.August, 2017), 3.175 ),
new Datum( new Date(13, Month.August, 2019), 3.243 ),
new Datum( new Date(15, Month.August, 2022), 3.293 ),
new Datum( new Date(14, Month.August, 2027), 3.338 ),
new Datum( new Date(13, Month.August, 2032), 3.348 ),
new Datum( new Date(15, Month.August, 2037), 3.348 ),
new Datum( new Date(13, Month.August, 2047), 3.308 ),
new Datum( new Date(13, Month.August, 2057), 3.228 )};
Period observationLag = new Period( 2, TimeUnit.Months );
DayCounter dc = new Thirty360();
Frequency frequency = Frequency.Monthly;
List<BootstrapHelper<ZeroInflationTermStructure>> helpers =
makeHelpers( zcData, zcData.Length, ii,
observationLag,
calendar, bdc, dc );
double baseZeroRate = zcData[0].rate / 100.0;
PiecewiseZeroInflationCurve<Linear> pZITS = new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dc, observationLag,
frequency, ii.interpolated(), baseZeroRate,
new Handle<YieldTermStructure>( nominalTS ), helpers );
pZITS.recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
const double eps = 0.00000001;
bool forceLinearInterpolation = false;
for ( int i = 0; i < zcData.Length; i++ )
{
Assert.IsTrue( Math.Abs( zcData[i].rate / 100.0
- pZITS.zeroRate( zcData[i].date, observationLag, forceLinearInterpolation ) ) < eps,
"ZITS zeroRate != instrument "
+ pZITS.zeroRate( zcData[i].date, observationLag, forceLinearInterpolation )
+ " vs " + zcData[i].rate / 100.0
+ " interpolation: " + ii.interpolated()
+ " forceLinearInterpolation " + forceLinearInterpolation );
Assert.IsTrue( Math.Abs( helpers[i].impliedQuote()
- zcData[i].rate / 100.0 ) < eps,
"ZITS implied quote != instrument "
+ helpers[i].impliedQuote()
+ " vs " + zcData[i].rate / 100.0 );
}
// now test the forecasting capability of the index.
hz.linkTo( pZITS );
from = hz.link.baseDate();
to = hz.link.maxDate() - new Period( 1, TimeUnit.Months ); // a bit of margin for adjustments
Schedule testIndex = new MakeSchedule().from( from ).to( to )
.withTenor( new Period( 1, TimeUnit.Months ) )
.withCalendar( new UnitedKingdom() )
.withConvention( BusinessDayConvention.ModifiedFollowing ).value();
// we are testing UKRPI which is not interpolated
Date bd = hz.link.baseDate();
double bf = ii.fixing( bd );
for ( int i = 0; i < testIndex.Count; i++ )
{
Date d = testIndex[i];
double z = hz.link.zeroRate( d, new Period( 0, TimeUnit.Days ) );
double t = hz.link.dayCounter().yearFraction( bd, d );
if ( !ii.interpolated() ) // because fixing constant over period
t = hz.link.dayCounter().yearFraction( bd,
Utils.inflationPeriod( d, ii.frequency() ).Key );
double calc = bf * Math.Pow( 1 + z, t );
if ( t <= 0 )
calc = ii.fixing( d, false ); // still historical
if ( Math.Abs( calc - ii.fixing( d, true ) ) / 10000.0 > eps )
Assert.Fail( "ZC index does not forecast correctly for date " + d
+ " from base date " + bd
+ " with fixing " + bf
+ ", correct: " + calc
+ ", fix: " + ii.fixing( d, true )
+ ", t " + t );
}
//===========================================================================================
// Test zero-inflation-indexed (i.e. cpi ratio) cashflow
// just ordinary indexed cashflow with a zero inflation index
Date baseDate = new Date( 1, Month.January, 2006 );
Date fixDate = new Date( 1, Month.August, 2014 );
Date payDate = new UnitedKingdom().adjust( fixDate + new Period( 3, TimeUnit.Months ), BusinessDayConvention.ModifiedFollowing );
Index ind = ii as Index;
Utils.QL_REQUIRE( ind != null, () => "dynamic_pointer_cast to Index from InflationIndex failed" );
double notional = 1000000.0;//1m
IndexedCashFlow iicf = new IndexedCashFlow( notional, ind, baseDate, fixDate, payDate );
double correctIndexed = ii.fixing( iicf.fixingDate() ) / ii.fixing( iicf.baseDate() );
double calculatedIndexed = iicf.amount() / iicf.notional();
Assert.IsTrue( Math.Abs( correctIndexed - calculatedIndexed ) < eps,
"IndexedCashFlow indexing wrong: " + calculatedIndexed + " vs correct = "
+ correctIndexed );
//===========================================================================================
// Test zero coupon swap
// first make one ...
ZeroInflationIndex zii = ii as ZeroInflationIndex;
Utils.QL_REQUIRE( zii != null, () => "dynamic_pointer_cast to ZeroInflationIndex from UKRPI failed" );
ZeroCouponInflationSwap nzcis =
new ZeroCouponInflationSwap( ZeroCouponInflationSwap.Type.Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate / 100.0, // fixed rate
zii, observationLag );
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
Handle<YieldTermStructure> hTS = new Handle<YieldTermStructure>( nominalTS );
IPricingEngine sppe = new DiscountingSwapEngine( hTS );
nzcis.setPricingEngine( sppe );
// ... and price it, should be zero
Assert.IsTrue( Math.Abs( nzcis.NPV() ) < 0.00001, "ZCIS does not reprice to zero "
+ nzcis.NPV()
+ evaluationDate + " to " + zcData[6].date + " becoming " + nzcis.maturityDate()
+ " rate " + zcData[6].rate
+ " fixed leg " + nzcis.legNPV( 0 )
+ " indexed-predicted inflated leg " + nzcis.legNPV( 1 )
+ " discount " + nominalTS.discount( nzcis.maturityDate() ) );
//===========================================================================================
// Test multiplicative seasonality in price
//
//Seasonality factors NOT normalized
//and UKRPI is not interpolated
Date trueBaseDate = Utils.inflationPeriod( hz.link.baseDate(), ii.frequency() ).Value;
Date seasonallityBaseDate = new Date( 31, Month.January, trueBaseDate.year() );
List<double> seasonalityFactors = new List<double>( 12 );
seasonalityFactors.Add( 1.003245 );
seasonalityFactors.Add( 1.000000 );
seasonalityFactors.Add( 0.999715 );
seasonalityFactors.Add( 1.000495 );
seasonalityFactors.Add( 1.000929 );
seasonalityFactors.Add( 0.998687 );
seasonalityFactors.Add( 0.995949 );
seasonalityFactors.Add( 0.994682 );
seasonalityFactors.Add( 0.995949 );
seasonalityFactors.Add( 1.000519 );
seasonalityFactors.Add( 1.003705 );
seasonalityFactors.Add( 1.004186 );
//Creating two different seasonality objects
//
MultiplicativePriceSeasonality seasonality_1 = new MultiplicativePriceSeasonality();
InitializedList<double> seasonalityFactors_1 = new InitializedList<double>( 12, 1.0 );
seasonality_1.set( seasonallityBaseDate, Frequency.Monthly, seasonalityFactors_1 );
MultiplicativePriceSeasonality seasonality_real =
new MultiplicativePriceSeasonality( seasonallityBaseDate, Frequency.Monthly, seasonalityFactors );
//Testing seasonality correction when seasonality factors are = 1
//
double[] fixing = {
ii.fixing(new Date(14,Month.January ,2013),true),
ii.fixing(new Date(14,Month.February ,2013),true),
ii.fixing(new Date(14,Month.March ,2013),true),
ii.fixing(new Date(14,Month.April ,2013),true),
ii.fixing(new Date(14,Month.May ,2013),true),
ii.fixing(new Date(14,Month.June ,2013),true),
ii.fixing(new Date(14,Month.July ,2013),true),
ii.fixing(new Date(14,Month.August ,2013),true),
ii.fixing(new Date(14,Month.September,2013),true),
ii.fixing(new Date(14,Month.October ,2013),true),
ii.fixing(new Date(14,Month.November ,2013),true),
ii.fixing(new Date(14,Month.December ,2013),true)
};
hz.link.setSeasonality( seasonality_1 );
Utils.QL_REQUIRE( hz.link.hasSeasonality(), () => "[44] incorrectly believes NO seasonality correction" );
double[] seasonalityFixing_1 = {
ii.fixing(new Date(14,Month.January ,2013),true),
ii.fixing(new Date(14,Month.February ,2013),true),
ii.fixing(new Date(14,Month.March ,2013),true),
ii.fixing(new Date(14,Month.April ,2013),true),
ii.fixing(new Date(14,Month.May ,2013),true),
ii.fixing(new Date(14,Month.June ,2013),true),
ii.fixing(new Date(14,Month.July ,2013),true),
ii.fixing(new Date(14,Month.August ,2013),true),
ii.fixing(new Date(14,Month.September,2013),true),
ii.fixing(new Date(14,Month.October ,2013),true),
ii.fixing(new Date(14,Month.November ,2013),true),
ii.fixing(new Date(14,Month.December ,2013),true)
};
for ( int i = 0; i < 12; i++ )
{
if ( Math.Abs( fixing[i] - seasonalityFixing_1[i] ) > eps )
{
Assert.Fail( "Seasonality doesn't work correctly when seasonality factors are set = 1" );
}
}
//Testing seasonality correction when seasonality factors are different from 1
//
//0.998687 is the seasonality factor corresponding to June (the base CPI curve month)
//
double[] expectedFixing = {
ii.fixing(new Date(14,Month.January ,2013),true) * 1.003245/0.998687,
ii.fixing(new Date(14,Month.February ,2013),true) * 1.000000/0.998687,
ii.fixing(new Date(14,Month.March ,2013),true) * 0.999715/0.998687,
ii.fixing(new Date(14,Month.April ,2013),true) * 1.000495/0.998687,
ii.fixing(new Date(14,Month.May ,2013),true) * 1.000929/0.998687,
ii.fixing(new Date(14,Month.June ,2013),true) * 0.998687/0.998687,
ii.fixing(new Date(14,Month.July ,2013),true) * 0.995949/0.998687,
ii.fixing(new Date(14,Month.August ,2013),true) * 0.994682/0.998687,
ii.fixing(new Date(14,Month.September,2013),true) * 0.995949/0.998687,
ii.fixing(new Date(14,Month.October ,2013),true) * 1.000519/0.998687,
ii.fixing(new Date(14,Month.November ,2013),true) * 1.003705/0.998687,
ii.fixing(new Date(14,Month.December ,2013),true) * 1.004186/0.998687
};
hz.link.setSeasonality( seasonality_real );
double[] seasonalityFixing_real = {
ii.fixing(new Date(14,Month.January ,2013),true),
ii.fixing(new Date(14,Month.February ,2013),true),
ii.fixing(new Date(14,Month.March ,2013),true),
ii.fixing(new Date(14,Month.April ,2013),true),
ii.fixing(new Date(14,Month.May ,2013),true),
ii.fixing(new Date(14,Month.June ,2013),true),
ii.fixing(new Date(14,Month.July ,2013),true),
ii.fixing(new Date(14,Month.August ,2013),true),
ii.fixing(new Date(14,Month.September,2013),true),
ii.fixing(new Date(14,Month.October ,2013),true),
ii.fixing(new Date(14,Month.November ,2013),true),
ii.fixing(new Date(14,Month.December ,2013),true)
};
for ( int i = 0; i < 12; i++ )
{
if ( Math.Abs( expectedFixing[i] - seasonalityFixing_real[i] ) > 0.01 )
{
Assert.Fail( "Seasonality doesn't work correctly when considering seasonality factors != 1 "
+ expectedFixing[i] + " vs " + seasonalityFixing_real[i] );
}
}
//Testing Unset function
//
Utils.QL_REQUIRE( hz.link.hasSeasonality(), () => "[4] incorrectly believes NO seasonality correction" );
hz.link.setSeasonality();
Utils.QL_REQUIRE( !hz.link.hasSeasonality(), () => "[5] incorrectly believes HAS seasonality correction" );
double[] seasonalityFixing_unset = {
ii.fixing(new Date(14,Month.January ,2013),true),
ii.fixing(new Date(14,Month.February ,2013),true),
ii.fixing(new Date(14,Month.March ,2013),true),
ii.fixing(new Date(14,Month.April ,2013),true),
ii.fixing(new Date(14,Month.May ,2013),true),
ii.fixing(new Date(14,Month.June ,2013),true),
ii.fixing(new Date(14,Month.July ,2013),true),
ii.fixing(new Date(14,Month.August ,2013),true),
ii.fixing(new Date(14,Month.September,2013),true),
ii.fixing(new Date(14,Month.October ,2013),true),
ii.fixing(new Date(14,Month.November ,2013),true),
ii.fixing(new Date(14,Month.December ,2013),true)
};
for ( int i = 0; i < 12; i++ )
{
if ( Math.Abs( seasonalityFixing_unset[i] - seasonalityFixing_1[i] ) > eps )
{
Assert.Fail( "UnsetSeasonality doesn't work correctly "
+ seasonalityFixing_unset[i] + " vs " + seasonalityFixing_1[i] );
}
}
//==============================================================================
// now do an INTERPOLATED index, i.e. repeat everything on a fake version of
// UKRPI (to save making another term structure)
bool interpYES = true;
UKRPI iiUKRPIyes = new UKRPI( interpYES, hz );
for ( int i = 0; i < fixData.Length; i++ )
{
iiUKRPIyes.addFixing( rpiSchedule[i], fixData[i] );
}
ZeroInflationIndex iiyes = iiUKRPIyes as ZeroInflationIndex;
// now build the zero inflation curve
// same data, bigger lag or it will be a self-contradiction
Period observationLagyes = new Period( 3, TimeUnit.Months );
List<BootstrapHelper<ZeroInflationTermStructure>> helpersyes =
makeHelpers( zcData, zcData.Length,
iiyes, observationLagyes, calendar, bdc, dc );
PiecewiseZeroInflationCurve<Linear> pZITSyes =
new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dc, observationLagyes,
frequency, iiyes.interpolated(), baseZeroRate,
new Handle<YieldTermStructure>( nominalTS ), helpersyes );
pZITSyes.recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
forceLinearInterpolation = false; // still
for ( int i = 0; i < zcData.Length; i++ )
{
Assert.IsTrue( Math.Abs( zcData[i].rate / 100.0
- pZITSyes.zeroRate( zcData[i].date, observationLagyes, forceLinearInterpolation ) ) < eps,
"ZITS INTERPOLATED zeroRate != instrument "
+ pZITSyes.zeroRate( zcData[i].date, observationLagyes, forceLinearInterpolation )
+ " date " + zcData[i].date + " observationLagyes " + observationLagyes
+ " vs " + zcData[i].rate / 100.0
+ " interpolation: " + iiyes.interpolated()
+ " forceLinearInterpolation " + forceLinearInterpolation );
Assert.IsTrue( Math.Abs( helpersyes[i].impliedQuote()
- zcData[i].rate / 100.0 ) < eps,
"ZITS INTERPOLATED implied quote != instrument "
+ helpersyes[i].impliedQuote()
+ " vs " + zcData[i].rate / 100.0 );
}
//======================================================================================
// now test the forecasting capability of the index.
hz.linkTo( pZITSyes );
from = hz.link.baseDate() + new Period( 1, TimeUnit.Months ); // to avoid historical linear bit for rest of base month
to = hz.link.maxDate() - new Period( 1, TimeUnit.Months ); // a bit of margin for adjustments
testIndex = new MakeSchedule().from( from ).to( to )
.withTenor( new Period( 1, TimeUnit.Months ) )
.withCalendar( new UnitedKingdom() )
.withConvention( BusinessDayConvention.ModifiedFollowing ).value();
// we are testing UKRPI which is FAKE interpolated for testing here
bd = hz.link.baseDate();
bf = iiyes.fixing( bd );
for ( int i = 0; i < testIndex.Count; i++ )
{
Date d = testIndex[i];
double z = hz.link.zeroRate( d, new Period( 0, TimeUnit.Days ) );
double t = hz.link.dayCounter().yearFraction( bd, d );
double calc = bf * Math.Pow( 1 + z, t );
if ( t <= 0 ) calc = iiyes.fixing( d ); // still historical
if ( Math.Abs( calc - iiyes.fixing( d ) ) > eps )
Assert.Fail( "ZC INTERPOLATED index does not forecast correctly for date " + d
+ " from base date " + bd
+ " with fixing " + bf
+ ", correct: " + calc
+ ", fix: " + iiyes.fixing( d )
+ ", t " + t
+ ", zero " + z );
}
//===========================================================================================
// Test zero coupon swap
ZeroInflationIndex ziiyes = iiyes as ZeroInflationIndex;
Utils.QL_REQUIRE( ziiyes != null, () => "dynamic_pointer_cast to ZeroInflationIndex from UKRPI-I failed" );
ZeroCouponInflationSwap nzcisyes = new ZeroCouponInflationSwap( ZeroCouponInflationSwap.Type.Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate / 100.0, // fixed rate
ziiyes, observationLagyes );
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
nzcisyes.setPricingEngine( sppe );
// ... and price it, should be zero
Assert.IsTrue( Math.Abs( nzcisyes.NPV() ) < 0.00001, "ZCIS-I does not reprice to zero "
+ nzcisyes.NPV()
+ evaluationDate + " to " + zcData[6].date + " becoming " + nzcisyes.maturityDate()
+ " rate " + zcData[6].rate
+ " fixed leg " + nzcisyes.legNPV( 0 )
+ " indexed-predicted inflated leg " + nzcisyes.legNPV( 1 )
+ " discount " + nominalTS.discount( nzcisyes.maturityDate() )
);
// remove circular refernce
hz.linkTo( new ZeroInflationTermStructure() );
}
public void testZeroTermStructure()
{
// Testing zero inflation term structure...
SavedSettings backup = new SavedSettings();
// try the Zero UK
Calendar calendar = new UnitedKingdom();
BusinessDayConvention bdc = BusinessDayConvention.ModifiedFollowing;
Date evaluationDate = new Date(13, Month.August, 2007);
evaluationDate = calendar.adjust(evaluationDate);
Settings.setEvaluationDate(evaluationDate);
// 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, 206.1, -999.0 };
RelinkableHandle <ZeroInflationTermStructure> hz = new RelinkableHandle <ZeroInflationTermStructure>();
bool interp = false;
UKRPI iiUKRPI = new UKRPI(interp, hz);
for (int i = 0; i < rpiSchedule.Count; i++)
{
iiUKRPI.addFixing(rpiSchedule[i], fixData[i]);
}
ZeroInflationIndex ii = iiUKRPI as ZeroInflationIndex;
YieldTermStructure nominalTS = nominalTermStructure();
// now build the zero inflation curve
Datum[] zcData =
{
new Datum(new Date(13, Month.August, 2008), 2.93),
new Datum(new Date(13, Month.August, 2009), 2.95),
new Datum(new Date(13, Month.August, 2010), 2.965),
new Datum(new Date(15, Month.August, 2011), 2.98),
new Datum(new Date(13, Month.August, 2012), 3.0),
new Datum(new Date(13, Month.August, 2014), 3.06),
new Datum(new Date(13, Month.August, 2017), 3.175),
new Datum(new Date(13, Month.August, 2019), 3.243),
new Datum(new Date(15, Month.August, 2022), 3.293),
new Datum(new Date(14, Month.August, 2027), 3.338),
new Datum(new Date(13, Month.August, 2032), 3.348),
new Datum(new Date(15, Month.August, 2037), 3.348),
new Datum(new Date(13, Month.August, 2047), 3.308),
new Datum(new Date(13, Month.August, 2057), 3.228)
};
Period observationLag = new Period(2, TimeUnit.Months);
DayCounter dc = new Thirty360();
Frequency frequency = Frequency.Monthly;
List <BootstrapHelper <ZeroInflationTermStructure> > helpers =
makeHelpers(zcData, zcData.Length, ii,
observationLag,
calendar, bdc, dc);
double baseZeroRate = zcData[0].rate / 100.0;
PiecewiseZeroInflationCurve <Linear> pZITS = new PiecewiseZeroInflationCurve <Linear>(
evaluationDate, calendar, dc, observationLag,
frequency, ii.interpolated(), baseZeroRate,
new Handle <YieldTermStructure>(nominalTS), helpers);
pZITS.recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
const double eps = 0.00000001;
bool forceLinearInterpolation = false;
for (int i = 0; i < zcData.Length; i++)
{
Assert.IsTrue(Math.Abs(zcData[i].rate / 100.0
- pZITS.zeroRate(zcData[i].date, observationLag, forceLinearInterpolation)) < eps,
"ZITS zeroRate != instrument "
+ pZITS.zeroRate(zcData[i].date, observationLag, forceLinearInterpolation)
+ " vs " + zcData[i].rate / 100.0
+ " interpolation: " + ii.interpolated()
+ " forceLinearInterpolation " + forceLinearInterpolation);
Assert.IsTrue(Math.Abs(helpers[i].impliedQuote()
- zcData[i].rate / 100.0) < eps,
"ZITS implied quote != instrument "
+ helpers[i].impliedQuote()
+ " vs " + zcData[i].rate / 100.0);
}
// now test the forecasting capability of the index.
hz.linkTo(pZITS);
from = hz.link.baseDate();
to = hz.link.maxDate() - new Period(1, TimeUnit.Months); // a bit of margin for adjustments
Schedule testIndex = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing).value();
// we are testing UKRPI which is not interpolated
Date bd = hz.link.baseDate();
double bf = ii.fixing(bd);
for (int i = 0; i < testIndex.Count; i++)
{
Date d = testIndex[i];
double z = hz.link.zeroRate(d, new Period(0, TimeUnit.Days));
double t = hz.link.dayCounter().yearFraction(bd, d);
if (!ii.interpolated()) // because fixing constant over period
{
t = hz.link.dayCounter().yearFraction(bd,
Utils.inflationPeriod(d, ii.frequency()).Key);
}
double calc = bf * Math.Pow(1 + z, t);
if (t <= 0)
{
calc = ii.fixing(d, false); // still historical
}
if (Math.Abs(calc - ii.fixing(d, true)) / 10000.0 > eps)
{
Assert.Fail("ZC index does not forecast correctly for date " + d
+ " from base date " + bd
+ " with fixing " + bf
+ ", correct: " + calc
+ ", fix: " + ii.fixing(d, true)
+ ", t " + t);
}
}
//===========================================================================================
// Test zero-inflation-indexed (i.e. cpi ratio) cashflow
// just ordinary indexed cashflow with a zero inflation index
Date baseDate = new Date(1, Month.January, 2006);
Date fixDate = new Date(1, Month.August, 2014);
Date payDate = new UnitedKingdom().adjust(fixDate + new Period(3, TimeUnit.Months), BusinessDayConvention.ModifiedFollowing);
Index ind = ii as Index;
Utils.QL_REQUIRE(ind != null, () => "dynamic_pointer_cast to Index from InflationIndex failed");
double notional = 1000000.0;//1m
IndexedCashFlow iicf = new IndexedCashFlow(notional, ind, baseDate, fixDate, payDate);
double correctIndexed = ii.fixing(iicf.fixingDate()) / ii.fixing(iicf.baseDate());
double calculatedIndexed = iicf.amount() / iicf.notional();
Assert.IsTrue(Math.Abs(correctIndexed - calculatedIndexed) < eps,
"IndexedCashFlow indexing wrong: " + calculatedIndexed + " vs correct = "
+ correctIndexed);
//===========================================================================================
// Test zero coupon swap
// first make one ...
ZeroInflationIndex zii = ii as ZeroInflationIndex;
Utils.QL_REQUIRE(zii != null, () => "dynamic_pointer_cast to ZeroInflationIndex from UKRPI failed");
ZeroCouponInflationSwap nzcis =
new ZeroCouponInflationSwap(ZeroCouponInflationSwap.Type.Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate / 100.0, // fixed rate
zii, observationLag);
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
Handle <YieldTermStructure> hTS = new Handle <YieldTermStructure>(nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
nzcis.setPricingEngine(sppe);
// ... and price it, should be zero
Assert.IsTrue(Math.Abs(nzcis.NPV()) < 0.00001, "ZCIS does not reprice to zero "
+ nzcis.NPV()
+ evaluationDate + " to " + zcData[6].date + " becoming " + nzcis.maturityDate()
+ " rate " + zcData[6].rate
+ " fixed leg " + nzcis.legNPV(0)
+ " indexed-predicted inflated leg " + nzcis.legNPV(1)
+ " discount " + nominalTS.discount(nzcis.maturityDate()));
//===========================================================================================
// Test multiplicative seasonality in price
//
//Seasonality factors NOT normalized
//and UKRPI is not interpolated
Date trueBaseDate = Utils.inflationPeriod(hz.link.baseDate(), ii.frequency()).Value;
Date seasonallityBaseDate = new Date(31, Month.January, trueBaseDate.year());
List <double> seasonalityFactors = new List <double>(12);
seasonalityFactors.Add(1.003245);
seasonalityFactors.Add(1.000000);
seasonalityFactors.Add(0.999715);
seasonalityFactors.Add(1.000495);
seasonalityFactors.Add(1.000929);
seasonalityFactors.Add(0.998687);
seasonalityFactors.Add(0.995949);
seasonalityFactors.Add(0.994682);
seasonalityFactors.Add(0.995949);
seasonalityFactors.Add(1.000519);
seasonalityFactors.Add(1.003705);
seasonalityFactors.Add(1.004186);
//Creating two different seasonality objects
//
MultiplicativePriceSeasonality seasonality_1 = new MultiplicativePriceSeasonality();
InitializedList <double> seasonalityFactors_1 = new InitializedList <double>(12, 1.0);
seasonality_1.set(seasonallityBaseDate, Frequency.Monthly, seasonalityFactors_1);
MultiplicativePriceSeasonality seasonality_real =
new MultiplicativePriceSeasonality(seasonallityBaseDate, Frequency.Monthly, seasonalityFactors);
//Testing seasonality correction when seasonality factors are = 1
//
double[] fixing =
{
ii.fixing(new Date(14, Month.January, 2013), true),
ii.fixing(new Date(14, Month.February, 2013), true),
ii.fixing(new Date(14, Month.March, 2013), true),
ii.fixing(new Date(14, Month.April, 2013), true),
ii.fixing(new Date(14, Month.May, 2013), true),
ii.fixing(new Date(14, Month.June, 2013), true),
ii.fixing(new Date(14, Month.July, 2013), true),
ii.fixing(new Date(14, Month.August, 2013), true),
ii.fixing(new Date(14, Month.September, 2013), true),
ii.fixing(new Date(14, Month.October, 2013), true),
ii.fixing(new Date(14, Month.November, 2013), true),
ii.fixing(new Date(14, Month.December, 2013), true)
};
hz.link.setSeasonality(seasonality_1);
Utils.QL_REQUIRE(hz.link.hasSeasonality(), () => "[44] incorrectly believes NO seasonality correction");
double[] seasonalityFixing_1 =
{
ii.fixing(new Date(14, Month.January, 2013), true),
ii.fixing(new Date(14, Month.February, 2013), true),
ii.fixing(new Date(14, Month.March, 2013), true),
ii.fixing(new Date(14, Month.April, 2013), true),
ii.fixing(new Date(14, Month.May, 2013), true),
ii.fixing(new Date(14, Month.June, 2013), true),
ii.fixing(new Date(14, Month.July, 2013), true),
ii.fixing(new Date(14, Month.August, 2013), true),
ii.fixing(new Date(14, Month.September, 2013), true),
ii.fixing(new Date(14, Month.October, 2013), true),
ii.fixing(new Date(14, Month.November, 2013), true),
ii.fixing(new Date(14, Month.December, 2013), true)
};
for (int i = 0; i < 12; i++)
{
if (Math.Abs(fixing[i] - seasonalityFixing_1[i]) > eps)
{
Assert.Fail("Seasonality doesn't work correctly when seasonality factors are set = 1");
}
}
//Testing seasonality correction when seasonality factors are different from 1
//
//0.998687 is the seasonality factor corresponding to June (the base CPI curve month)
//
double[] expectedFixing =
{
ii.fixing(new Date(14, Month.January, 2013), true) * 1.003245 / 0.998687,
ii.fixing(new Date(14, Month.February, 2013), true) * 1.000000 / 0.998687,
ii.fixing(new Date(14, Month.March, 2013), true) * 0.999715 / 0.998687,
ii.fixing(new Date(14, Month.April, 2013), true) * 1.000495 / 0.998687,
ii.fixing(new Date(14, Month.May, 2013), true) * 1.000929 / 0.998687,
ii.fixing(new Date(14, Month.June, 2013), true) * 0.998687 / 0.998687,
ii.fixing(new Date(14, Month.July, 2013), true) * 0.995949 / 0.998687,
ii.fixing(new Date(14, Month.August, 2013), true) * 0.994682 / 0.998687,
ii.fixing(new Date(14, Month.September, 2013), true) * 0.995949 / 0.998687,
ii.fixing(new Date(14, Month.October, 2013), true) * 1.000519 / 0.998687,
ii.fixing(new Date(14, Month.November, 2013), true) * 1.003705 / 0.998687,
ii.fixing(new Date(14, Month.December, 2013), true) * 1.004186 / 0.998687
};
hz.link.setSeasonality(seasonality_real);
double[] seasonalityFixing_real =
{
ii.fixing(new Date(14, Month.January, 2013), true),
ii.fixing(new Date(14, Month.February, 2013), true),
ii.fixing(new Date(14, Month.March, 2013), true),
ii.fixing(new Date(14, Month.April, 2013), true),
ii.fixing(new Date(14, Month.May, 2013), true),
ii.fixing(new Date(14, Month.June, 2013), true),
ii.fixing(new Date(14, Month.July, 2013), true),
ii.fixing(new Date(14, Month.August, 2013), true),
ii.fixing(new Date(14, Month.September, 2013), true),
ii.fixing(new Date(14, Month.October, 2013), true),
ii.fixing(new Date(14, Month.November, 2013), true),
ii.fixing(new Date(14, Month.December, 2013), true)
};
for (int i = 0; i < 12; i++)
{
if (Math.Abs(expectedFixing[i] - seasonalityFixing_real[i]) > 0.01)
{
Assert.Fail("Seasonality doesn't work correctly when considering seasonality factors != 1 "
+ expectedFixing[i] + " vs " + seasonalityFixing_real[i]);
}
}
//Testing Unset function
//
Utils.QL_REQUIRE(hz.link.hasSeasonality(), () => "[4] incorrectly believes NO seasonality correction");
hz.link.setSeasonality();
Utils.QL_REQUIRE(!hz.link.hasSeasonality(), () => "[5] incorrectly believes HAS seasonality correction");
double[] seasonalityFixing_unset =
{
ii.fixing(new Date(14, Month.January, 2013), true),
ii.fixing(new Date(14, Month.February, 2013), true),
ii.fixing(new Date(14, Month.March, 2013), true),
ii.fixing(new Date(14, Month.April, 2013), true),
ii.fixing(new Date(14, Month.May, 2013), true),
ii.fixing(new Date(14, Month.June, 2013), true),
ii.fixing(new Date(14, Month.July, 2013), true),
ii.fixing(new Date(14, Month.August, 2013), true),
ii.fixing(new Date(14, Month.September, 2013), true),
ii.fixing(new Date(14, Month.October, 2013), true),
ii.fixing(new Date(14, Month.November, 2013), true),
ii.fixing(new Date(14, Month.December, 2013), true)
};
for (int i = 0; i < 12; i++)
{
if (Math.Abs(seasonalityFixing_unset[i] - seasonalityFixing_1[i]) > eps)
{
Assert.Fail("UnsetSeasonality doesn't work correctly "
+ seasonalityFixing_unset[i] + " vs " + seasonalityFixing_1[i]);
}
}
//==============================================================================
// now do an INTERPOLATED index, i.e. repeat everything on a fake version of
// UKRPI (to save making another term structure)
bool interpYES = true;
UKRPI iiUKRPIyes = new UKRPI(interpYES, hz);
for (int i = 0; i < fixData.Length; i++)
{
iiUKRPIyes.addFixing(rpiSchedule[i], fixData[i]);
}
ZeroInflationIndex iiyes = iiUKRPIyes as ZeroInflationIndex;
// now build the zero inflation curve
// same data, bigger lag or it will be a self-contradiction
Period observationLagyes = new Period(3, TimeUnit.Months);
List <BootstrapHelper <ZeroInflationTermStructure> > helpersyes =
makeHelpers(zcData, zcData.Length,
iiyes, observationLagyes, calendar, bdc, dc);
PiecewiseZeroInflationCurve <Linear> pZITSyes =
new PiecewiseZeroInflationCurve <Linear>(
evaluationDate, calendar, dc, observationLagyes,
frequency, iiyes.interpolated(), baseZeroRate,
new Handle <YieldTermStructure>(nominalTS), helpersyes);
pZITSyes.recalculate();
// first check that the zero rates on the curve match the data
// and that the helpers give the correct impled rates
forceLinearInterpolation = false; // still
for (int i = 0; i < zcData.Length; i++)
{
Assert.IsTrue(Math.Abs(zcData[i].rate / 100.0
- pZITSyes.zeroRate(zcData[i].date, observationLagyes, forceLinearInterpolation)) < eps,
"ZITS INTERPOLATED zeroRate != instrument "
+ pZITSyes.zeroRate(zcData[i].date, observationLagyes, forceLinearInterpolation)
+ " date " + zcData[i].date + " observationLagyes " + observationLagyes
+ " vs " + zcData[i].rate / 100.0
+ " interpolation: " + iiyes.interpolated()
+ " forceLinearInterpolation " + forceLinearInterpolation);
Assert.IsTrue(Math.Abs(helpersyes[i].impliedQuote()
- zcData[i].rate / 100.0) < eps,
"ZITS INTERPOLATED implied quote != instrument "
+ helpersyes[i].impliedQuote()
+ " vs " + zcData[i].rate / 100.0);
}
//======================================================================================
// now test the forecasting capability of the index.
hz.linkTo(pZITSyes);
from = hz.link.baseDate() + new Period(1, TimeUnit.Months); // to avoid historical linear bit for rest of base month
to = hz.link.maxDate() - new Period(1, TimeUnit.Months); // a bit of margin for adjustments
testIndex = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1, TimeUnit.Months))
.withCalendar(new UnitedKingdom())
.withConvention(BusinessDayConvention.ModifiedFollowing).value();
// we are testing UKRPI which is FAKE interpolated for testing here
bd = hz.link.baseDate();
bf = iiyes.fixing(bd);
for (int i = 0; i < testIndex.Count; i++)
{
Date d = testIndex[i];
double z = hz.link.zeroRate(d, new Period(0, TimeUnit.Days));
double t = hz.link.dayCounter().yearFraction(bd, d);
double calc = bf * Math.Pow(1 + z, t);
if (t <= 0)
{
calc = iiyes.fixing(d); // still historical
}
if (Math.Abs(calc - iiyes.fixing(d)) > eps)
{
Assert.Fail("ZC INTERPOLATED index does not forecast correctly for date " + d
+ " from base date " + bd
+ " with fixing " + bf
+ ", correct: " + calc
+ ", fix: " + iiyes.fixing(d)
+ ", t " + t
+ ", zero " + z);
}
}
//===========================================================================================
// Test zero coupon swap
ZeroInflationIndex ziiyes = iiyes as ZeroInflationIndex;
Utils.QL_REQUIRE(ziiyes != null, () => "dynamic_pointer_cast to ZeroInflationIndex from UKRPI-I failed");
ZeroCouponInflationSwap nzcisyes = new ZeroCouponInflationSwap(ZeroCouponInflationSwap.Type.Payer,
1000000.0,
evaluationDate,
zcData[6].date, // end date = maturity
calendar, bdc, dc, zcData[6].rate / 100.0, // fixed rate
ziiyes, observationLagyes);
// N.B. no coupon pricer because it is not a coupon, effect of inflation curve via
// inflation curve attached to the inflation index.
nzcisyes.setPricingEngine(sppe);
// ... and price it, should be zero
Assert.IsTrue(Math.Abs(nzcisyes.NPV()) < 0.00001, "ZCIS-I does not reprice to zero "
+ nzcisyes.NPV()
+ evaluationDate + " to " + zcData[6].date + " becoming " + nzcisyes.maturityDate()
+ " rate " + zcData[6].rate
+ " fixed leg " + nzcisyes.legNPV(0)
+ " indexed-predicted inflated leg " + nzcisyes.legNPV(1)
+ " discount " + nominalTS.discount(nzcisyes.maturityDate())
);
// remove circular refernce
hz.linkTo(new ZeroInflationTermStructure());
}
