public static List <CashFlow> OvernightLeg(List <double> nominals,
Schedule schedule,
BusinessDayConvention paymentAdjustment,
OvernightIndex overnightIndex,
List <double> gearings,
List <double> spreads,
DayCounter paymentDayCounter
)
{
if (nominals.Count == 0)
{
throw new ArgumentException("no nominal given");
}
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
int n = schedule.Count;
for (int i = 0; i < n - 1; ++i)
{
refStart = start = schedule.date(i);
refEnd = end = schedule.date(i + 1);
paymentDate = calendar.adjust(end, paymentAdjustment);
if (i == 0 && !schedule.isRegular(i + 1))
{
refStart = calendar.adjust(end - schedule.tenor(),
paymentAdjustment);
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
refEnd = calendar.adjust(start + schedule.tenor(),
paymentAdjustment);
}
leg.Add(new OvernightIndexedCoupon(paymentDate,
Utils.Get(nominals, i),
start, end,
overnightIndex,
Utils.Get(gearings, i, 1.0),
Utils.Get(spreads, i, 0.0),
refStart, refEnd,
paymentDayCounter));
}
return(leg);
}
public static List <CashFlow> FloatingLeg <InterestRateIndexType, FloatingCouponType, CappedFlooredCouponType>(
List <double> nominals,
Schedule schedule,
InterestRateIndexType index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentAdj,
List <int> fixingDays,
List <double> gearings,
List <double> spreads,
List <double> caps,
List <double> floors,
bool isInArrears,
bool isZero)
where InterestRateIndexType : InterestRateIndex, new()
where FloatingCouponType : FloatingRateCoupon, new()
where CappedFlooredCouponType : CappedFlooredCoupon, new()
{
int n = schedule.Count;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (caps != null)
{
Utils.QL_REQUIRE(caps.Count <= n, () => "too many caps (" + caps.Count + "), only " + n + " required");
}
if (floors != null)
{
Utils.QL_REQUIRE(floors.Count <= n, () => "too many floors (" + floors.Count + "), only " + n + " required");
}
Utils.QL_REQUIRE(!isZero || !isInArrears, () => "in-arrears and zero features are not compatible");
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date lastPaymentDate = calendar.adjust(schedule[n - 1], paymentAdj);
for (int i = 0; i < n - 1; ++i)
{
Date refStart, start, refEnd, end;
refStart = start = schedule[i];
refEnd = end = schedule[i + 1];
Date paymentDate = isZero ? lastPaymentDate : calendar.adjust(end, paymentAdj);
if (i == 0 && !schedule.isRegular(i + 1))
{
refStart = calendar.adjust(end - schedule.tenor(), schedule.businessDayConvention());
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
refEnd = calendar.adjust(start + schedule.tenor(), schedule.businessDayConvention());
}
if (Utils.Get(gearings, i, 1).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i),
Utils.effectiveFixedRate(spreads, caps, floors, i),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
if (Utils.noOption(caps, floors, i))
{
leg.Add(FastActivator <FloatingCouponType> .Create().factory(
Utils.Get(nominals, i),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1),
Utils.Get(spreads, i),
refStart, refEnd, paymentDayCounter,
isInArrears));
}
else
{
leg.Add(FastActivator <CappedFlooredCouponType> .Create().factory(
Utils.Get(nominals, i),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1),
Utils.Get(spreads, i),
Utils.toNullable(Utils.Get(caps, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors, i, Double.MinValue)),
refStart, refEnd, paymentDayCounter,
isInArrears));
}
}
}
return(leg);
}
public static List <CashFlow> yoyInflationLeg(List <double> notionals_,
Schedule schedule_,
BusinessDayConvention paymentAdjustment_,
YoYInflationIndex index_,
List <double> gearings_,
List <double> spreads_,
DayCounter paymentDayCounter_,
List <double> caps_,
List <double> floors_,
Calendar paymentCalendar_,
List <int> fixingDays_,
Period observationLag_)
{
int n = schedule_.Count - 1;
Utils.QL_REQUIRE(!notionals_.empty(), () => "no notional given");
Utils.QL_REQUIRE(notionals_.Count <= n, () => "too many nominals (" + notionals_.Count + "), only " + n + " required");
if (gearings_ != null)
{
Utils.QL_REQUIRE(gearings_.Count <= n, () => "too many gearings (" + gearings_.Count + "), only " + n + " required");
}
if (spreads_ != null)
{
Utils.QL_REQUIRE(spreads_.Count <= n, () => "too many spreads (" + spreads_.Count + "), only " + n + " required");
}
if (caps_ != null)
{
Utils.QL_REQUIRE(caps_.Count <= n, () => "too many caps (" + caps_.Count + "), only " + n + " required");
}
if (floors_ != null)
{
Utils.QL_REQUIRE(floors_.Count <= n, () => "too many floors (" + floors_.Count + "), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>(n);
Calendar calendar = paymentCalendar_;
Date refStart, start, refEnd, end;
for (int i = 0; i < n; ++i)
{
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i + 1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
if (i == 0 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refStart = schedule_.calendar().adjust(end - schedule_.tenor(), bdc);
}
if (i == n - 1 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
refEnd = schedule_.calendar().adjust(start + schedule_.tenor(), bdc);
}
if (Utils.Get(gearings_, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(notionals_, i, 1.0),
Utils.effectiveFixedRate(spreads_, caps_, floors_, i),
paymentDayCounter_,
start, end, refStart, refEnd));
}
else
{
// yoy inflation coupon
if (Utils.noOption(caps_, floors_, i))
{
// just swaplet
YoYInflationCoupon coup = new YoYInflationCoupon(paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
refStart, refEnd);
// in this case you can set a pricer
// straight away because it only provides computation - not data
YoYInflationCouponPricer pricer = new YoYInflationCouponPricer();
coup.setPricer(pricer);
leg.Add(coup);
}
else
{
// cap/floorlet
leg.Add(new CappedFlooredYoYInflationCoupon(
paymentDate,
Utils.Get(notionals_, i, 1.0),
start, end,
Utils.Get(fixingDays_, i, 0),
index_,
observationLag_,
paymentDayCounter_,
Utils.Get(gearings_, i, 1.0),
Utils.Get(spreads_, i, 0.0),
Utils.toNullable(Utils.Get(caps_, i, Double.MinValue)),
Utils.toNullable(Utils.Get(floors_, i, Double.MinValue)),
refStart, refEnd));
}
}
}
return(leg);
}
public static List <CashFlow> FloatingDigitalLeg <InterestRateIndexType, FloatingCouponType, DigitalCouponType>(
List <double> nominals,
Schedule schedule,
InterestRateIndexType index,
DayCounter paymentDayCounter,
BusinessDayConvention paymentAdj,
List <int> fixingDays,
List <double> gearings,
List <double> spreads,
bool isInArrears,
List <double> callStrikes,
Position.Type callPosition,
bool isCallATMIncluded,
List <double> callDigitalPayoffs,
List <double> putStrikes,
Position.Type putPosition,
bool isPutATMIncluded,
List <double> putDigitalPayoffs,
DigitalReplication replication)
where InterestRateIndexType : InterestRateIndex, new()
where FloatingCouponType : FloatingRateCoupon, new()
where DigitalCouponType : DigitalCoupon, new()
{
int n = schedule.Count;
Utils.QL_REQUIRE(!nominals.empty(), () => "no notional given");
Utils.QL_REQUIRE(nominals.Count <= n, () => "too many nominals (" + nominals.Count + "), only " + n + " required");
if (gearings != null)
{
Utils.QL_REQUIRE(gearings.Count <= n, () => "too many gearings (" + gearings.Count + "), only " + n + " required");
}
if (spreads != null)
{
Utils.QL_REQUIRE(spreads.Count <= n, () => "too many spreads (" + spreads.Count + "), only " + n + " required");
}
if (callStrikes != null)
{
Utils.QL_REQUIRE(callStrikes.Count <= n, () => "too many nominals (" + callStrikes.Count + "), only " + n + " required");
}
if (putStrikes != null)
{
Utils.QL_REQUIRE(putStrikes.Count <= n, () => "too many nominals (" + putStrikes.Count + "), only " + n + " required");
}
List <CashFlow> leg = new List <CashFlow>();
// the following is not always correct
Calendar calendar = schedule.calendar();
Date refStart, start, refEnd, end;
Date paymentDate;
for (int i = 0; i < n; ++i)
{
refStart = start = schedule.date(i);
refEnd = end = schedule.date(i + 1);
paymentDate = calendar.adjust(end, paymentAdj);
if (i == 0 && !schedule.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule.businessDayConvention();
refStart = calendar.adjust(end - schedule.tenor(), bdc);
}
if (i == n - 1 && !schedule.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule.businessDayConvention();
refEnd = calendar.adjust(start + schedule.tenor(), bdc);
}
if (Utils.Get(gearings, i, 1.0).IsEqual(0.0))
{
// fixed coupon
leg.Add(new FixedRateCoupon(paymentDate, Utils.Get(nominals, i, 1.0),
Utils.Get(spreads, i, 1.0),
paymentDayCounter,
start, end, refStart, refEnd));
}
else
{
// floating digital coupon
FloatingCouponType underlying = FastActivator <FloatingCouponType> .Create().factory(
Utils.Get(nominals, i, 1.0),
paymentDate, start, end,
Utils.Get(fixingDays, i, index.fixingDays()),
index,
Utils.Get(gearings, i, 1.0),
Utils.Get(spreads, i, 0.0),
refStart, refEnd,
paymentDayCounter, isInArrears) as FloatingCouponType;
DigitalCouponType digitalCoupon = FastActivator <DigitalCouponType> .Create().factory(
underlying,
Utils.toNullable(Utils.Get(callStrikes, i, Double.MinValue)),
callPosition,
isCallATMIncluded,
Utils.toNullable(Utils.Get(callDigitalPayoffs, i, Double.MinValue)),
Utils.toNullable(Utils.Get(putStrikes, i, Double.MinValue)),
putPosition,
isPutATMIncluded,
Utils.toNullable(Utils.Get(putDigitalPayoffs, i, Double.MinValue)),
replication) as DigitalCouponType;
leg.Add(digitalCoupon);
}
}
return(leg);
}
public void testBondFromScheduleWithDateVector()
{
// Testing South African R2048 bond price using Schedule constructor with Date vector
SavedSettings backup = new SavedSettings();
//When pricing bond from Yield To Maturity, use NullCalendar()
Calendar calendar = new NullCalendar();
int settlementDays = 3;
Date issueDate = new Date(29, Month.June, 2012);
Date today = new Date(7, Month.September, 2015);
Date evaluationDate = calendar.adjust(today);
Date settlementDate = calendar.advance(evaluationDate, new Period(settlementDays, TimeUnit.Days));
Settings.setEvaluationDate(evaluationDate);
// For the schedule to generate correctly for Feb-28's, make maturity date on Feb 29
Date maturityDate = new Date(29, Month.February, 2048);
double coupon = 0.0875;
Compounding comp = Compounding.Compounded;
Frequency freq = Frequency.Semiannual;
DayCounter dc = new ActualActual(ActualActual.Convention.Bond);
// Yield as quoted in market
InterestRate yield = new InterestRate(0.09185, dc, comp, freq);
Period tenor = new Period(6, TimeUnit.Months);
Period exCouponPeriod = new Period(10, TimeUnit.Days);
// Generate coupon dates for 31 Aug and end of Feb each year
// For leap years, this will generate 29 Feb, but the bond
// actually pays coupons on 28 Feb, regardsless of whether
// it is a leap year or not.
Schedule schedule = new Schedule(issueDate, maturityDate, tenor,
new NullCalendar(), BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, true);
// Adjust the 29 Feb's to 28 Feb
List<Date> dates = new List<Date>();
for (int i = 0; i < schedule.Count; ++i)
{
Date d = schedule.date(i);
if (d.Month == 2 && d.Day == 29)
dates.Add(new Date(28, Month.February, d.Year));
else
dates.Add(d);
}
schedule = new Schedule(dates,
schedule.calendar(),
schedule.businessDayConvention(),
schedule.terminationDateBusinessDayConvention(),
schedule.tenor(),
schedule.rule(),
schedule.endOfMonth(),
schedule.isRegular());
FixedRateBond bond = new FixedRateBond(
0,
100.0,
schedule,
new List<double>() { coupon },
dc, BusinessDayConvention.Following, 100.0,
issueDate, calendar,
exCouponPeriod, calendar, BusinessDayConvention.Unadjusted, false);
double calculatedPrice = BondFunctions.dirtyPrice(bond, yield, settlementDate);
double expectedPrice = 95.75706;
double tolerance = 1e-5;
if (Math.Abs(calculatedPrice - expectedPrice) > tolerance)
{
Assert.Fail(string.Format("failed to reproduce R2048 dirty price\nexpected: {0}\ncalculated: {1}", expectedPrice, calculatedPrice));
}
}
public void testDateConstructor()
{
// Testing the constructor taking a vector of dates and possibly additional meta information
List<Date> dates = new List<Date>();
dates.Add(new Date(16, Month.May, 2015));
dates.Add(new Date(18, Month.May, 2015));
dates.Add(new Date(18, Month.May, 2016));
dates.Add(new Date(31, Month.December, 2017));
// schedule without any additional information
Schedule schedule1 = new Schedule(dates);
if (schedule1.Count != dates.Count)
Assert.Fail("schedule1 has size {0}, expected {1}", schedule1.Count, dates.Count);
for (int i = 0; i < dates.Count; ++i)
if (schedule1[i] != dates[i])
Assert.Fail("schedule1 has {0} at position {1}, expected {2}", schedule1[i], i, dates[i]);
if (schedule1.calendar() != new NullCalendar())
Assert.Fail("schedule1 has calendar {0}, expected null calendar", schedule1.calendar().name());
if (schedule1.businessDayConvention() != BusinessDayConvention.Unadjusted)
Assert.Fail("schedule1 has convention {0}, expected unadjusted", schedule1.businessDayConvention());
// schedule with metadata
List<bool> regular = new List<bool>();
regular.Add(false);
regular.Add(true);
regular.Add(false);
Schedule schedule2 = new Schedule(dates, new TARGET(), BusinessDayConvention.Following, BusinessDayConvention.ModifiedPreceding, new Period(1, TimeUnit.Years),
DateGeneration.Rule.Backward, true, regular);
for (int i = 1; i < dates.Count; ++i)
if (schedule2.isRegular(i) != regular[i - 1])
Assert.Fail("schedule2 has a {0} period at position {1}, expected {2}", (schedule2.isRegular(i) ? "regular" : "irregular"), i, (regular[i - 1] ? "regular" : "irregular"));
if (schedule2.calendar() != new TARGET())
Assert.Fail("schedule1 has calendar {0}, expected TARGET", schedule2.calendar().name());
if (schedule2.businessDayConvention() != BusinessDayConvention.Following)
Assert.Fail("schedule2 has convention {0}, expected Following", schedule2.businessDayConvention());
if (schedule2.terminationDateBusinessDayConvention() != BusinessDayConvention.ModifiedPreceding)
Assert.Fail("schedule2 has convention {0}, expected Modified Preceding", schedule2.terminationDateBusinessDayConvention());
if (schedule2.tenor() != new Period(1, TimeUnit.Years))
Assert.Fail("schedule2 has tenor {0}, expected 1Y", schedule2.tenor());
if (schedule2.rule() != DateGeneration.Rule.Backward)
Assert.Fail("schedule2 has rule {0}, expected Backward", schedule2.rule());
if (schedule2.endOfMonth() != true)
Assert.Fail("schedule2 has end of month flag false, expected true");
}
