//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, List <double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention,
double redemption, Date issueDate, Calendar paymentCalendar)
: base(settlementDays, paymentCalendar == new Calendar() ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
if (cashflows().Count == 0)
{
throw new ApplicationException("bond with no cashflows!");
}
if (redemptions_.Count != 1)
{
throw new ApplicationException("multiple redemptions created");
}
}
public AmortizingFixedRateBond(
int settlementDays,
List<double> notionals,
Schedule schedule,
List<double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
:base(settlementDays, schedule.calendar(), issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
schedule_ = schedule;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withNotionals(notionals)
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
if ( cashflows().empty())
throw new ApplicationException("bond with no cashflows!");
}
public AmortizingFixedRateBond(
int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Period bondTenor,
Frequency sinkingFrequency,
double coupon,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
: base(settlementDays, calendar, issueDate)
{
frequency_ = sinkingFrequency;
dayCounter_ = accrualDayCounter;
maturityDate_ = startDate + bondTenor;
schedule_ = sinkingSchedule(startDate, bondTenor, sinkingFrequency, calendar);
cashflows_ = new FixedRateLeg(schedule_)
.withCouponRates(coupon, accrualDayCounter)
.withNotionals(sinkingNotionals(bondTenor, sinkingFrequency, coupon, faceAmount))
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
}
//! \name ructors
//@{
//! CDS quoted as running-spread only
/*! @param side Whether the protection is bought or sold.
* @param notional Notional value
* @param spread Running spread in fractional units.
* @param schedule Coupon schedule.
* @param paymentConvention Business-day convention for
* payment-date adjustment.
* @param dayCounter Day-count convention for accrual.
* @param settlesAccrual Whether or not the accrued coupon is
* due in the event of a default.
* @param paysAtDefaultTime If set to true, any payments
* triggered by a default event are
* due at default time. If set to
* false, they are due at the end of
* the accrual period.
* @param protectionStart The first date where a default
* event will trigger the contract.
*/
public CreditDefaultSwap(Protection.Side side,
double notional,
double spread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Claim claim = null)
{
side_ = side;
notional_ = notional;
upfront_ = null;
runningSpread_ = spread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0], () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withCouponRates(spread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
upfrontPayment_ = new SimpleCashFlow(0.0, schedule[0]);
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
}
public void testDefaultSettlementDate()
{
// Testing default evaluation date in cashflows methods...
Date today = Settings.evaluationDate();
Schedule schedule = new
MakeSchedule()
.from(today-new Period(2,TimeUnit.Months)).to(today+new Period(4,TimeUnit.Months))
.withFrequency(Frequency.Semiannual)
.withCalendar(new TARGET())
.withConvention(BusinessDayConvention.Unadjusted)
.backwards().value();
List<CashFlow> leg = new FixedRateLeg(schedule)
.withCouponRates(0.03, new Actual360())
.withPaymentCalendar(new TARGET())
.withNotionals(100.0)
.withPaymentAdjustment(BusinessDayConvention.Following);
double accruedPeriod = CashFlows.accruedPeriod(leg, false);
if (accruedPeriod == 0.0)
Assert.Fail("null accrued period with default settlement date");
int accruedDays = CashFlows.accruedDays(leg, false);
if (accruedDays == 0)
Assert.Fail("no accrued days with default settlement date");
double accruedAmount = CashFlows.accruedAmount(leg, false);
if (accruedAmount == 0.0)
Assert.Fail("null accrued amount with default settlement date");
}
//! fixed-rate bond
/*! \ingroup instruments
*
* \test calculations are tested by checking results against
* cached values.
*/
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, List <double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100, Date issueDate = null, Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar ?? schedule.calendar(),
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(cashflows().Count != 0, () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
}
private double calculateYield()
{
// We create a bond cashflow from issue to maturity just
// to calculate effective rate ( the rate that discount _marketValue )
Schedule schedule = new Schedule(_issueDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List <CashFlow> cashflows = new FixedRateLeg(schedule)
.withCouponRates(_couponRate, _dCounter)
.withPaymentCalendar(_calendar)
.withNotionals(_faceValue)
.withPaymentAdjustment(BusinessDayConvention.Unadjusted);
// Add single redemption for yield calculation
Redemption r = new Redemption(_faceValue, _maturityDate);
cashflows.Add(r);
// Calculate Amortizing Yield ( Effective Rate )
Date testDate = CashFlows.previousCashFlowDate(cashflows, false, _tradeDate);
return(CashFlows.yield(cashflows, _marketValue, _dCounter, Compounding.Simple, _payFrequency,
false, testDate));
}
//! fixed-rate bond
/*! \ingroup instruments
\test calculations are tested by checking results against
cached values.
*/
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule,List<double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100, Date issueDate = null,Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List<double>() { redemption });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
}
public ConvertibleFixedCouponBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
Date issueDate,
int settlementDays,
List <double> coupons,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(
exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule,
redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_,
dayCounter, schedule,
issueDate, settlementDays, redemption);
}
public AmortizingFixedRateBond(
int settlementDays,
List <double> notionals,
Schedule schedule,
List <double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
schedule_ = schedule;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withNotionals(notionals)
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
if (cashflows().empty())
{
throw new ApplicationException("bond with no cashflows!");
}
}
// constructor
public VanillaSwap(Type type, double nominal,
Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount,
Schedule floatSchedule, IborIndex iborIndex, double spread, DayCounter floatingDayCount,
BusinessDayConvention?paymentConvention = null) :
base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
floatingSchedule_ = floatSchedule;
iborIndex_ = iborIndex;
spread_ = spread;
floatingDayCount_ = floatingDayCount;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = floatingSchedule_.businessDayConvention();
}
legs_[0] = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(nominal);
legs_[1] = new IborLeg(floatSchedule, iborIndex)
.withPaymentDayCounter(floatingDayCount)
//.withFixingDays(iborIndex.fixingDays())
.withSpreads(spread)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_);
foreach (var cf in legs_[1])
{
cf.registerWith(update);
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
Utils.QL_FAIL("Unknown vanilla-swap type");
break;
}
}
public OvernightIndexedSwap(Type type,
double fixedNominal,
Schedule fixedSchedule,
double fixedRate,
DayCounter fixedDC,
double overnightNominal,
Schedule overnightSchedule,
OvernightIndex overnightIndex,
double spread) :
base(2)
{
type_ = type;
fixedNominal_ = fixedNominal;
overnightNominal_ = overnightNominal;
fixedPaymentFrequency_ = fixedSchedule.tenor().frequency();
overnightPaymentFrequency_ = overnightSchedule.tenor().frequency();
fixedRate_ = fixedRate;
fixedDC_ = fixedDC;
overnightIndex_ = overnightIndex;
spread_ = spread;
if (fixedDC_ == null)
{
fixedDC_ = overnightIndex_.dayCounter();
}
legs_[0] = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate_, fixedDC_)
.withNotionals(fixedNominal_);
legs_[1] = new OvernightLeg(overnightSchedule, overnightIndex_)
.withNotionals(overnightNominal_)
.withSpreads(spread_);
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
{
legs_[j][i].registerWith(update);
}
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
Utils.QL_FAIL("Unknown overnight-swap type");
break;
}
}
public YearOnYearInflationSwap(
Type type,
double nominal,
Schedule fixedSchedule,
double fixedRate,
DayCounter fixedDayCount,
Schedule yoySchedule,
YoYInflationIndex yoyIndex,
Period observationLag,
double spread,
DayCounter yoyDayCount,
Calendar paymentCalendar, // inflation index does not have a calendar
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
yoySchedule_ = yoySchedule;
yoyIndex_ = yoyIndex;
observationLag_ = observationLag;
spread_ = spread;
yoyDayCount_ = yoyDayCount;
paymentCalendar_ = paymentCalendar;
paymentConvention_ = paymentConvention;
// N.B. fixed leg gets its calendar from the schedule!
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule_)
.withCouponRates(fixedRate_, fixedDayCount_) // Simple compounding by default
.withNotionals(nominal_)
.withPaymentAdjustment(paymentConvention_);
List<CashFlow> yoyLeg = new yoyInflationLeg(yoySchedule_, paymentCalendar_, yoyIndex_, observationLag_)
.withSpreads(spread_)
.withPaymentDayCounter(yoyDayCount_)
.withNotionals(nominal_)
.withPaymentAdjustment(paymentConvention_);
yoyLeg.ForEach((i, x) => x.registerWith(update));
legs_[0] = fixedLeg;
legs_[1] = yoyLeg;
if (type_ == Type.Payer)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
protected override void performCalculations()
{
Period indexTenor = index_.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet_)
{
startDate = termStructure_.link.referenceDate();
maturity = termStructure_.link.referenceDate() + length_;
}
else
{
startDate = termStructure_.link.referenceDate() + indexTenor;
maturity = termStructure_.link.referenceDate() + length_;
}
IborIndex dummyIndex = new IborIndex("dummy",
indexTenor,
index_.fixingDays(),
index_.currency(),
index_.fixingCalendar(),
index_.businessDayConvention(),
index_.endOfMonth(),
termStructure_.link.dayCounter(),
termStructure_);
InitializedList <double> nominals = new InitializedList <double>(1, 1.0);
Schedule floatSchedule = new Schedule(startDate, maturity,
index_.tenor(), index_.fixingCalendar(),
index_.businessDayConvention(),
index_.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List <CashFlow> floatingLeg = new IborLeg(floatSchedule, index_)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index_.businessDayConvention());
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(fixedLegFrequency_),
index_.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter_)
.withNotionals(nominals)
.withPaymentAdjustment(index_.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure_, false));
double fairRate = fixedRate - (double)(swap.NPV() / (swap.legBPS(1) / 1.0e-4));
cap_ = new Cap(floatingLeg, new InitializedList <double>(1, fairRate));
base.performCalculations();
}
/// <summary>
/// CDS quoted as running-spread only
/// </summary>
/// <param name="side">Whether the protection is bought or sold.</param>
/// <param name="notional">Notional value</param>
/// <param name="spread">Running spread in fractional units.</param>
/// <param name="schedule">Coupon schedule.</param>
/// <param name="convention">Business-day convention for payment-date adjustment.</param>
/// <param name="dayCounter">Day-count convention for accrual.</param>
/// <param name="settlesAccrual">Whether or not the accrued coupon is due in the event of a default.</param>
/// <param name="paysAtDefaultTime">If set to true, any payments triggered by a default event are
/// due at default time. If set to false, they are due at the end of the accrual period.</param>
/// <param name="protectionStart">The first date where a default event will trigger the contract.</param>
/// <param name="claim"></param>
/// <param name="lastPeriodDayCounter">Day-count convention for accrual in last period</param>
/// <param name="rebatesAccrual">The protection seller pays the accrued scheduled current coupon at the start
/// of the contract. The rebate date is not provided but computed to be two days after protection start.</param>
public CreditDefaultSwap(Protection.Side side,
double notional,
double spread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Claim claim = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true)
{
side_ = side;
notional_ = notional;
upfront_ = null;
runningSpread_ = spread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0] ||
schedule.rule() == DateGeneration.Rule.CDS ||
schedule.rule() == DateGeneration.Rule.CDS2015
, () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withLastPeriodDayCounter(lastPeriodDayCounter)
.withCouponRates(spread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
Date effectiveUpfrontDate = schedule.calendar().advance(protectionStart_, 2, TimeUnit.Days, convention);
// '2' is used above since the protection start is assumed to be on trade_date + 1
if (rebatesAccrual)
{
FixedRateCoupon firstCoupon = leg_[0] as FixedRateCoupon;
Date rebateDate = effectiveUpfrontDate;
accrualRebate_ = new SimpleCashFlow(firstCoupon.accruedAmount(protectionStart_), rebateDate);
}
upfrontPayment_ = new SimpleCashFlow(0.0, effectiveUpfrontDate);
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
maturity_ = schedule.dates().Last();
}
public FixedLoan(Type type, double nominal,
Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount,
Schedule principalSchedule, BusinessDayConvention?paymentConvention) :
base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = fixedSchedule_.businessDayConvention();
}
List <CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
legs_[0] = fixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
public OvernightIndexedSwap(Type type,
double nominal,
Schedule schedule,
double fixedRate,
DayCounter fixedDC,
OvernightIndex overnightIndex,
double spread) :
base(2)
{
type_= type;
nominal_ = nominal;
paymentFrequency_ = schedule.tenor().frequency();
fixedRate_ = fixedRate;
fixedDC_ = fixedDC;
overnightIndex_ = overnightIndex;
spread_ = spread;
if (fixedDC_== null)
fixedDC_ = overnightIndex_.dayCounter();
legs_[0] = new FixedRateLeg(schedule)
.withCouponRates(fixedRate_, fixedDC_)
.withNotionals(nominal_);
legs_[1] = new OvernightLeg(schedule, overnightIndex_)
.withNotionals(nominal_)
.withSpreads(spread_);
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
legs_[j][i].registerWith(update);
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
throw new ApplicationException("Unknown overnight-swap type");
}
}
public FixedRateBond(int settlementDays,
double faceAmount,
Schedule schedule,
List <InterestRate> coupons,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100,
Date issueDate = null,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar == null ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = coupons[0].dayCounter();
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
if (cashflows().Count == 0)
{
throw new ApplicationException("bond with no cashflows!");
}
if (redemptions_.Count != 1)
{
throw new ApplicationException("multiple redemptions created");
}
}
public FixedLoan(Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount, Schedule principalSchedule, BusinessDayConvention? paymentConvention)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
paymentConvention_ = paymentConvention.Value;
else
paymentConvention_ = fixedSchedule_.businessDayConvention();
List<CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
legs_[0] = fixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
public CallableFixedRateBond(int settlementDays,
double faceAmount,
Schedule schedule,
List <double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100.0,
Date issueDate = null,
CallabilitySchedule putCallSchedule = null)
: base(settlementDays, schedule, accrualDayCounter, issueDate, putCallSchedule)
{
if (putCallSchedule == null)
{
putCallSchedule = new CallabilitySchedule();
}
frequency_ = schedule.tenor().frequency();
bool isZeroCouponBond = (coupons.Count == 1 && Utils.close(coupons[0], 0.0));
if (!isZeroCouponBond)
{
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
}
else
{
Date redemptionDate = calendar_.adjust(maturityDate_, paymentConvention);
setSingleRedemption(faceAmount, redemption, redemptionDate);
}
// used for impliedVolatility() calculation
SimpleQuote dummyVolQuote = new SimpleQuote(0.0);
blackVolQuote_.linkTo(dummyVolQuote);
blackEngine_ = new BlackCallableFixedRateBondEngine(blackVolQuote_, blackDiscountCurve_);
}
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule,List<double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention,
double redemption, Date issueDate,Calendar paymentCalendar)
: base(settlementDays, paymentCalendar == new Calendar() ? schedule.calendar() : paymentCalendar,
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List<double>() { redemption });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
}
public CapHelper(Period length,
Handle <Quote> volatility,
IborIndex index,
// data for ATM swap-rate calculation
Frequency fixedLegFrequency,
DayCounter fixedLegDayCounter,
bool includeFirstSwaplet,
Handle <YieldTermStructure> termStructure,
bool calibrateVolatility /*= false*/)
: base(volatility, termStructure, calibrateVolatility)
{
Period indexTenor = index.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet)
{
startDate = termStructure.link.referenceDate();
maturity = termStructure.link.referenceDate() + length;
}
else
{
startDate = termStructure.link.referenceDate() + indexTenor;
maturity = termStructure.link.referenceDate() + length;
}
IborIndex dummyIndex = new
IborIndex("dummy",
indexTenor,
index.fixingDays(),
index.currency(),
index.fixingCalendar(),
index.businessDayConvention(),
index.endOfMonth(),
termStructure.link.dayCounter(),
termStructure);
List <double> nominals = new InitializedList <double>(1, 1.0);
Schedule floatSchedule = new Schedule(startDate, maturity,
index.tenor(), index.fixingCalendar(),
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List <CashFlow> floatingLeg;
IborLeg iborLeg = (IborLeg) new IborLeg(floatSchedule, index)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
floatingLeg = iborLeg.value();
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(fixedLegFrequency),
index.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double bp = 1.0e-4;
double fairRate = fixedRate - (double)(swap.NPV() / (swap.legBPS(1) / bp));
List <double> exerciceRate = new InitializedList <double>(1, fairRate);
cap_ = new Cap(floatingLeg, exerciceRate);
marketValue_ = blackPrice(volatility_.link.value());
}
protected override void performCalculations()
{
Period indexTenor = index_.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if ( includeFirstSwaplet_ )
{
startDate = termStructure_.link.referenceDate();
maturity = termStructure_.link.referenceDate() + length_;
}
else
{
startDate = termStructure_.link.referenceDate() + indexTenor;
maturity = termStructure_.link.referenceDate() + length_;
}
IborIndex dummyIndex = new IborIndex( "dummy",
indexTenor,
index_.fixingDays(),
index_.currency(),
index_.fixingCalendar(),
index_.businessDayConvention(),
index_.endOfMonth(),
termStructure_.link.dayCounter(),
termStructure_ );
InitializedList<double> nominals = new InitializedList<double>( 1, 1.0 );
Schedule floatSchedule = new Schedule( startDate, maturity,
index_.tenor(), index_.fixingCalendar(),
index_.businessDayConvention(),
index_.businessDayConvention(),
DateGeneration.Rule.Forward, false );
List<CashFlow> floatingLeg = new IborLeg( floatSchedule, index_ )
.withFixingDays( 0 )
.withNotionals( nominals )
.withPaymentAdjustment( index_.businessDayConvention() );
Schedule fixedSchedule = new Schedule( startDate, maturity, new Period( fixedLegFrequency_ ),
index_.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false );
List<CashFlow> fixedLeg = new FixedRateLeg( fixedSchedule )
.withCouponRates( fixedRate, fixedLegDayCounter_ )
.withNotionals( nominals )
.withPaymentAdjustment( index_.businessDayConvention() );
Swap swap = new Swap( floatingLeg, fixedLeg );
swap.setPricingEngine( new DiscountingSwapEngine( termStructure_, false ) );
double fairRate = fixedRate - (double)(swap.NPV() / ( swap.legBPS( 1 ) / 1.0e-4 ));
cap_ = new Cap( floatingLeg, new InitializedList<double>( 1, fairRate ) );
base.performCalculations();
}
/*! simple annual compounding coupon rates
* with internal schedule calculation */
public FixedRateBond(int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Date maturityDate,
Period tenor,
List <double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention accrualConvention,
BusinessDayConvention paymentConvention,
double redemption,
Date issueDate,
Date stubDate,
DateGeneration.Rule rule,
bool endOfMonth,
Calendar paymentCalendar)
: base(settlementDays, paymentCalendar == new Calendar() ? calendar : paymentCalendar,
issueDate)
{
frequency_ = tenor.frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = maturityDate;
Date firstDate, nextToLastDate;
switch (rule)
{
case DateGeneration.Rule.Backward:
firstDate = null;
nextToLastDate = stubDate;
break;
case DateGeneration.Rule.Forward:
firstDate = stubDate;
nextToLastDate = null;
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
throw new ApplicationException("stub date (" + stubDate + ") not allowed with " + rule + " DateGeneration::Rule");
default:
throw new ApplicationException("unknown DateGeneration::Rule (" + rule + ")");
}
Schedule schedule = new Schedule(startDate, maturityDate_, tenor,
calendar, accrualConvention, accrualConvention,
rule, endOfMonth,
firstDate, nextToLastDate);
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
if (cashflows().Count == 0)
{
throw new ApplicationException("bond with no cashflows!");
}
if (redemptions_.Count != 1)
{
throw new ApplicationException("multiple redemptions created");
}
}
/*! simple annual compounding coupon rates
* with internal schedule calculation */
public FixedRateBond(int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Date maturityDate,
Period tenor,
List <double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention accrualConvention = BusinessDayConvention.Following,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100,
Date issueDate = null,
Date stubDate = null,
DateGeneration.Rule rule = DateGeneration.Rule.Backward,
bool endOfMonth = false,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar ?? calendar,
issueDate)
{
frequency_ = tenor.frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = maturityDate;
Date firstDate = null, nextToLastDate = null;
switch (rule)
{
case DateGeneration.Rule.Backward:
firstDate = null;
nextToLastDate = stubDate;
break;
case DateGeneration.Rule.Forward:
firstDate = stubDate;
nextToLastDate = null;
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
Utils.QL_FAIL("stub date (" + stubDate + ") not allowed with " + rule + " DateGeneration::Rule");
break;
default:
Utils.QL_FAIL("unknown DateGeneration::Rule (" + rule + ")");
break;
}
Schedule schedule = new Schedule(startDate, maturityDate_, tenor,
calendar, accrualConvention, accrualConvention,
rule, endOfMonth,
firstDate, nextToLastDate);
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(cashflows().Count != 0, () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
}
public ConvertibleFixedCouponBond( Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
Date issueDate,
int settlementDays,
List<double> coupons,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule, redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List<double>(){redemption});
Utils.QL_REQUIRE( redemptions_.Count == 1, () => "multiple redemptions created" );
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_, dayCounter, schedule,
issueDate, settlementDays, redemption);
}
private double calculateYield()
{
// We create a bond cashflow from issue to maturity just
// to calculate effective rate ( the rate that discount _marketValue )
Schedule schedule = new Schedule(_issueDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cashflows = new FixedRateLeg(schedule)
.withCouponRates(_couponRate, _dCounter)
.withPaymentCalendar(_calendar)
.withNotionals(_faceValue)
.withPaymentAdjustment(BusinessDayConvention.Unadjusted);
// Add single redemption for yield calculation
Redemption r = new Redemption(_faceValue , _maturityDate);
cashflows.Add( r );
// Calculate Amortizing Yield ( Effective Rate )
Date testDate = CashFlows.previousCashFlowDate(cashflows, false, _tradeDate);
return CashFlows.yield(cashflows, _marketValue, _dCounter, Compounding.Simple, _payFrequency,
false, testDate);
}
/// <summary>
/// CDS quoted as upfront and running spread
/// </summary>
/// <param name="side">Whether the protection is bought or sold.</param>
/// <param name="notional"> Notional value</param>
/// <param name="upfront">Upfront in fractional units.</param>
/// <param name="runningSpread">Running spread in fractional units.</param>
/// <param name="schedule">Coupon schedule.</param>
/// <param name="convention">Business-day convention for payment-date adjustment.</param>
/// <param name="dayCounter">Day-count convention for accrual.</param>
/// <param name="settlesAccrual">Whether or not the accrued coupon is due in the event of a default.</param>
/// <param name="paysAtDefaultTime">If set to true, any payments triggered by a default event are
/// due at default time. If set to false, they are due at the end of the accrual period.</param>
/// <param name="protectionStart">The first date where a default event will trigger the contract.</param>
/// <param name="upfrontDate">Settlement date for the upfront payment.</param>
/// <param name="claim"></param>
/// <param name="lastPeriodDayCounter">Day-count convention for accrual in last period</param>
/// <param name="rebatesAccrual">The protection seller pays the accrued scheduled current coupon at the start
/// of the contract. The rebate date is not provided but computed to be two days after protection start.</param>
public CreditDefaultSwap(Protection.Side side,
double notional,
double upfront,
double runningSpread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Date upfrontDate = null,
Claim claim = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true)
{
side_ = side;
notional_ = notional;
upfront_ = upfront;
runningSpread_ = runningSpread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0] ||
schedule.rule() == DateGeneration.Rule.CDS
, () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withLastPeriodDayCounter(lastPeriodDayCounter)
.withCouponRates(runningSpread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
// If empty, adjust to T+3 standard settlement, alternatively add
// an arbitrary date to the constructor
Date effectiveUpfrontDate = upfrontDate == null?
schedule.calendar().advance(protectionStart_, 2, TimeUnit.Days, convention) : upfrontDate;
// '2' is used above since the protection start is assumed to be
// on trade_date + 1
upfrontPayment_ = new SimpleCashFlow(notional * upfront, effectiveUpfrontDate);
Utils.QL_REQUIRE(effectiveUpfrontDate >= protectionStart_, () => "upfront can not be due before contract start");
if (rebatesAccrual)
{
FixedRateCoupon firstCoupon = leg_[0] as FixedRateCoupon;
// adjust to T+3 standard settlement, alternatively add
// an arbitrary date to the constructor
Date rebateDate = effectiveUpfrontDate;
accrualRebate_ = new SimpleCashFlow(firstCoupon.accruedAmount(protectionStart_), rebateDate);
}
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
maturity_ = schedule.dates().Last();
}
public void testGenericBondImplied()
{
// Testing implied generic-bond value against asset-swap fair price with null spread...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixeddouble = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 =new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 =new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1,
BusinessDayConvention.Following);
fixedBondLeg1.Add((new SimpleCashFlow(100.0, fixedbondRedemption1)));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate1, fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine= new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixeddouble,
fixedBond1, fixedBondPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondAssetSwapPrice1-fixedBondPrice1);
if (error1>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:"
+ "\n bond's clean price: " + fixedBondPrice1
+ "\n asset swap fair price: " + fixedBondAssetSwapPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 =new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 =new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2,BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondPrice2 = fixedBond2.cleanPrice();
AssetSwap fixedBondAssetSwap2= new AssetSwap(payFixeddouble,
fixedBond2, fixedBondPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap2.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice2 = fixedBondAssetSwap2.fairCleanPrice();
double error2 = Math.Abs(fixedBondAssetSwapPrice2-fixedBondPrice2);
if (error2>tolerance) {
Assert.Fail("wrong zero spread asset swap price for fixed bond:"
+ "\n bond's clean price: " + fixedBondPrice2
+ "\n asset swap fair price: " + fixedBondAssetSwapPrice2
+ "\n error: " + error2
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 =new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 =new Date(29,Month.September,2013);
Schedule floatingBondSchedule1 = new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 =
bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate1, floatingBondStartDate1, floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondPrice1 = floatingBond1.cleanPrice();
AssetSwap floatingBondAssetSwap1= new AssetSwap(payFixeddouble,
floatingBond1, floatingBondPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondAssetSwap1.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice1 = floatingBondAssetSwap1.fairCleanPrice();
double error3 = Math.Abs(floatingBondAssetSwapPrice1-floatingBondPrice1);
if (error3>tolerance) {
Assert.Fail("wrong zero spread asset swap price for floater:"
+ "\n bond's clean price: " + floatingBondPrice1
+ "\n asset swap fair price: " +
floatingBondAssetSwapPrice1
+ "\n error: " + error3
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Date floatingBondStartDate2 =new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 =new Date(24,Month.September,2018);
Schedule floatingBondSchedule2 = new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount)
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing);
Date floatingbondRedemption2 =
bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new SimpleCashFlow(100.0, floatingbondRedemption2));
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate2, floatingBondStartDate2, floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
double currentCoupon=0.04013+0.0025;
double floatingCurrentCoupon= floatingBond2.nextCouponRate();
double error4= Math.Abs(floatingCurrentCoupon-currentCoupon);
if (error4>tolerance) {
Assert.Fail("wrong current coupon is returned for floater bond:"
+ "\n bond's calculated current coupon: " +
currentCoupon
+ "\n current coupon asked to the bond: " +
floatingCurrentCoupon
+ "\n error: " + error4
+ "\n tolerance: " + tolerance);
}
double floatingBondPrice2 = floatingBond2.cleanPrice();
AssetSwap floatingBondAssetSwap2= new AssetSwap(payFixeddouble,
floatingBond2, floatingBondPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondAssetSwap2.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice2 = floatingBondAssetSwap2.fairCleanPrice();
double error5 = Math.Abs(floatingBondAssetSwapPrice2-floatingBondPrice2);
if (error5>tolerance) {
Assert.Fail("wrong zero spread asset swap price for floater:"
+ "\n bond's clean price: " + floatingBondPrice2
+ "\n asset swap fair price: " +
floatingBondAssetSwapPrice2
+ "\n error: " + error5
+ "\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 =new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 =new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withFixingDays(fixingDays)
.withPaymentDayCounter(new Thirty360())
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add( new SimpleCashFlow(100.0, cmsbondRedemption1));
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate1, cmsBondStartDate1, cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondPrice1 = cmsBond1.cleanPrice();
AssetSwap cmsBondAssetSwap1 = new AssetSwap(payFixeddouble,
cmsBond1, cmsBondPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondAssetSwap1.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice1 = cmsBondAssetSwap1.fairCleanPrice();
double error6 = Math.Abs(cmsBondAssetSwapPrice1-cmsBondPrice1);
if (error6>tolerance) {
Assert.Fail("wrong zero spread asset swap price for cms bond:"
+ "\n bond's clean price: " + cmsBondPrice1
+ "\n asset swap fair price: " + cmsBondAssetSwapPrice1
+ "\n error: " + error6
+ "\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Date cmsBondStartDate2 =new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 =new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withPaymentDayCounter(new Thirty360())
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2,BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate2, cmsBondStartDate2, cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondPrice2 = cmsBond2.cleanPrice();
AssetSwap cmsBondAssetSwap2= new AssetSwap(payFixeddouble,
cmsBond2, cmsBondPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondAssetSwap2.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice2 = cmsBondAssetSwap2.fairCleanPrice();
double error7 = Math.Abs(cmsBondAssetSwapPrice2-cmsBondPrice2);
if (error7>tolerance) {
Assert.Fail("wrong zero spread asset swap price for cms bond:"
+ "\n bond's clean price: " + cmsBondPrice2
+ "\n asset swap fair price: " + cmsBondAssetSwapPrice2
+ "\n error: " + error7
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 =new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 =new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,BusinessDayConvention.Following);
List<CashFlow>zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate1, zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
double zeroCpnBondPrice1 = zeroCpnBond1.cleanPrice();
AssetSwap zeroCpnAssetSwap1 = new AssetSwap(payFixeddouble,
zeroCpnBond1, zeroCpnBondPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice1 = zeroCpnAssetSwap1.fairCleanPrice();
double error8 = Math.Abs(zeroCpnBondAssetSwapPrice1-zeroCpnBondPrice1);
if (error8>tolerance) {
Assert.Fail("wrong zero spread asset swap price for zero cpn bond:"
+ "\n bond's clean price: " + zeroCpnBondPrice1
+ "\n asset swap fair price: " + zeroCpnBondAssetSwapPrice1
+ "\n error: " + error8
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Date zeroCpnBondStartDate2 =new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 =new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,BusinessDayConvention.Following);
List<CashFlow>zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
AssetSwap zeroCpnAssetSwap2= new AssetSwap(payFixeddouble,
zeroCpnBond2, zeroCpnBondPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice2 = zeroCpnAssetSwap2.fairCleanPrice();
double error9 = Math.Abs(cmsBondAssetSwapPrice2-cmsBondPrice2);
if (error9>tolerance) {
Assert.Fail("wrong zero spread asset swap price for zero cpn bond:"
+ "\n bond's clean price: " + zeroCpnBondPrice2
+ "\n asset swap fair price: " + zeroCpnBondAssetSwapPrice2
+ "\n error: " + error9
+ "\n tolerance: " + tolerance);
}
}
public void testZSpreadWithGenericBond()
{
// Testing clean and dirty price with null Z-spread against theoretical prices...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1= new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1,
BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate1, fixedBondStartDate1,
fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondImpliedValue1 = fixedBond1.cleanPrice();
Date fixedBondSettlementDate1= fixedBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double fixedBondCleanPrice1 = BondFunctions.cleanPrice(fixedBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual, fixedBondSettlementDate1);
double tolerance = 1.0e-13;
double error1 = Math.Abs(fixedBondImpliedValue1-fixedBondCleanPrice1);
if (error1>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: "
+ fixedBondImpliedValue1
+ "\n par asset swap spread: " + fixedBondCleanPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondImpliedValue2 = fixedBond2.cleanPrice();
Date fixedBondSettlementDate2= fixedBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double fixedBondCleanPrice2 = BondFunctions.cleanPrice(fixedBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual, fixedBondSettlementDate2);
double error3 = Math.Abs(fixedBondImpliedValue2-fixedBondCleanPrice2);
if (error3>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: "
+ fixedBondImpliedValue2
+ "\n par asset swap spread: " + fixedBondCleanPrice2
+ "\n error: " + error3
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 =
bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate1, floatingBondStartDate1,
floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondImpliedValue1 = floatingBond1.cleanPrice();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double floatingBondCleanPrice1 = BondFunctions.cleanPrice(floatingBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Semiannual, fixedBondSettlementDate1);
double error5 = Math.Abs(floatingBondImpliedValue1-floatingBondCleanPrice1);
if (error5>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " +
floatingBondImpliedValue1
+ "\n par asset swap spread: " + floatingBondCleanPrice1
+ "\n error: " + error5
+ "\n tolerance: " + tolerance);
}
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2 = new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.withPaymentDayCounter(new Actual360())
.inArrears(inArrears)
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 = bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new SimpleCashFlow(100.0, floatingbondRedemption2));
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate2,
floatingBondStartDate2, floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
double floatingBondImpliedValue2 = floatingBond2.cleanPrice();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double floatingBondCleanPrice2 = BondFunctions.cleanPrice(floatingBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Semiannual, fixedBondSettlementDate1);
double error7 = Math.Abs(floatingBondImpliedValue2-floatingBondCleanPrice2);
if (error7>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " +
floatingBondImpliedValue2
+ "\n par asset swap spread: " + floatingBondCleanPrice2
+ "\n error: " + error7
+ "\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate1, cmsBondStartDate1,
cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondImpliedValue1 = cmsBond1.cleanPrice();
Date cmsBondSettlementDate1= cmsBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double cmsBondCleanPrice1 = BondFunctions.cleanPrice(cmsBond1, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual,
cmsBondSettlementDate1);
double error9 = Math.Abs(cmsBondImpliedValue1-cmsBondCleanPrice1);
if (error9>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " + cmsBondImpliedValue1
+ "\n par asset swap spread: " + cmsBondCleanPrice1
+ "\n error: " + error9
+ "\n tolerance: " + tolerance);
}
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2, BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate2, cmsBondStartDate2, cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondImpliedValue2 = cmsBond2.cleanPrice();
Date cmsBondSettlementDate2= cmsBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double cmsBondCleanPrice2 = BondFunctions.cleanPrice(cmsBond2, vars.termStructure, vars.spread,
new Actual365Fixed(), vars.compounding, Frequency.Annual,
cmsBondSettlementDate2);
double error11 = Math.Abs(cmsBondImpliedValue2-cmsBondCleanPrice2);
if (error11>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n market asset swap spread: " + cmsBondImpliedValue2
+ "\n par asset swap spread: " + cmsBondCleanPrice2
+ "\n error: " + error11
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate1, zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
double zeroCpnBondImpliedValue1 = zeroCpnBond1.cleanPrice();
Date zeroCpnBondSettlementDate1= zeroCpnBond1.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double zeroCpnBondCleanPrice1 =
BondFunctions.cleanPrice(zeroCpnBond1,
vars.termStructure,
vars.spread,
new Actual365Fixed(),
vars.compounding, Frequency.Annual,
zeroCpnBondSettlementDate1);
double error13 = Math.Abs(zeroCpnBondImpliedValue1-zeroCpnBondCleanPrice1);
if (error13>tolerance) {
Assert.Fail("wrong clean price for zero coupon bond:"
+ "\n zero cpn implied value: " +
zeroCpnBondImpliedValue1
+ "\n zero cpn price: " + zeroCpnBondCleanPrice1
+ "\n error: " + error13
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
double zeroCpnBondImpliedValue2 = zeroCpnBond2.cleanPrice();
Date zeroCpnBondSettlementDate2= zeroCpnBond2.settlementDate();
// standard market conventions:
// bond's frequency + coumpounding and daycounter of the YieldCurve
double zeroCpnBondCleanPrice2 =
BondFunctions.cleanPrice(zeroCpnBond2,
vars.termStructure,
vars.spread,
new Actual365Fixed(),
vars.compounding, Frequency.Annual,
zeroCpnBondSettlementDate2);
double error15 = Math.Abs(zeroCpnBondImpliedValue2-zeroCpnBondCleanPrice2);
if (error15>tolerance) {
Assert.Fail("wrong clean price for zero coupon bond:"
+ "\n zero cpn implied value: " +
zeroCpnBondImpliedValue2
+ "\n zero cpn price: " + zeroCpnBondCleanPrice2
+ "\n error: " + error15
+ "\n tolerance: " + tolerance);
}
}
public void testSpecializedBondVsGenericBondUsingAsw()
{
// Testing asset-swap prices and spreads for specialized bond against equivalent generic bond...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool inArrears = false;
// Fixed bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1, BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
// generic bond
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate1, fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
// equivalent specialized fixed rate bond
Bond fixedSpecializedBond1 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule1,
new List<double>{0.04},
new ActualActual(ActualActual.Convention.ISDA), BusinessDayConvention.Following,
100.0, new Date(4,Month.January,2005));
fixedSpecializedBond1.setPricingEngine(bondEngine);
double fixedBondPrice1 = fixedBond1.cleanPrice();
double fixedSpecializedBondPrice1 = fixedSpecializedBond1.cleanPrice();
AssetSwap fixedBondAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondAssetSwap1 = new AssetSwap(payFixedRate,
fixedSpecializedBond1,
fixedSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice1 = fixedBondAssetSwap1.fairCleanPrice();
double fixedSpecializedBondAssetSwapPrice1 =
fixedSpecializedBondAssetSwap1.fairCleanPrice();
double tolerance = 1.0e-13;
double error1 =
Math.Abs(fixedBondAssetSwapPrice1-fixedSpecializedBondAssetSwapPrice1);
if (error1>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n generic fixed rate bond's clean price: "
+ fixedBondAssetSwapPrice1
+ "\n equivalent specialized bond's clean price: "
+ fixedSpecializedBondAssetSwapPrice1
+ "\n error: " + error1
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double fixedBondMktPrice1= 91.832;
AssetSwap fixedBondASW1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondASW1.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondASW1 = new AssetSwap(payFixedRate,
fixedSpecializedBond1,
fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondASW1.setPricingEngine(swapEngine);
double fixedBondASWSpread1 = fixedBondASW1.fairSpread();
double fixedSpecializedBondASWSpread1 = fixedSpecializedBondASW1.fairSpread();
double error2 = Math.Abs(fixedBondASWSpread1-fixedSpecializedBondASWSpread1);
if (error2>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic fixed rate bond's asw spread: "
+ fixedBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ fixedSpecializedBondASWSpread1
+ "\n error: " + error2
+ "\n tolerance: " + tolerance);
}
//Fixed bond (Isin: IT0006527060 IBRD 5 02/05/19)
//maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2= new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
// generic bond
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
fixedBondMaturityDate2, fixedBondStartDate2, fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
// equivalent specialized fixed rate bond
Bond fixedSpecializedBond2 = new FixedRateBond(settlementDays, vars.faceAmount, fixedBondSchedule2,
new List<double>{ 0.05},
new Thirty360(Thirty360.Thirty360Convention.BondBasis), BusinessDayConvention.Following,
100.0, new Date(5,Month.February,2005));
fixedSpecializedBond2.setPricingEngine(bondEngine);
double fixedBondPrice2 = fixedBond2.cleanPrice();
double fixedSpecializedBondPrice2 = fixedSpecializedBond2.cleanPrice();
AssetSwap fixedBondAssetSwap2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondAssetSwap2 = new AssetSwap(payFixedRate,
fixedSpecializedBond2,
fixedSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double fixedBondAssetSwapPrice2 = fixedBondAssetSwap2.fairCleanPrice();
double fixedSpecializedBondAssetSwapPrice2 = fixedSpecializedBondAssetSwap2.fairCleanPrice();
double error3 = Math.Abs(fixedBondAssetSwapPrice2-fixedSpecializedBondAssetSwapPrice2);
if (error3>tolerance) {
Assert.Fail("wrong clean price for fixed bond:"
+ "\n generic fixed rate bond's clean price: "
+ fixedBondAssetSwapPrice2
+ "\n equivalent specialized bond's clean price: "
+ fixedSpecializedBondAssetSwapPrice2
+ "\n error: " + error3
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double fixedBondMktPrice2= 102.178;
AssetSwap fixedBondASW2 = new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondASW2.setPricingEngine(swapEngine);
AssetSwap fixedSpecializedBondASW2 = new AssetSwap(payFixedRate,
fixedSpecializedBond2,
fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedSpecializedBondASW2.setPricingEngine(swapEngine);
double fixedBondASWSpread2 = fixedBondASW2.fairSpread();
double fixedSpecializedBondASWSpread2 = fixedSpecializedBondASW2.fairSpread();
double error4 = Math.Abs(fixedBondASWSpread2-fixedSpecializedBondASWSpread2);
if (error4>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic fixed rate bond's asw spread: "
+ fixedBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ fixedSpecializedBondASWSpread2
+ "\n error: " + error4
+ "\n tolerance: " + tolerance);
}
//FRN bond (Isin: IT0003543847 ISPIM 0 09/29/13)
//maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 = bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
// generic bond
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate1, floatingBondStartDate1, floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
// equivalent specialized floater
Bond floatingSpecializedBond1 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule1,
vars.iborIndex, new Actual360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1},
new List<double>{0.0056},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(29,Month.September,2003));
floatingSpecializedBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
Utils.setCouponPricer(floatingSpecializedBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
double floatingBondPrice1 = floatingBond1.cleanPrice();
double floatingSpecializedBondPrice1= floatingSpecializedBond1.cleanPrice();
AssetSwap floatingBondAssetSwap1= new AssetSwap(payFixedRate,
floatingBond1, floatingBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,
floatingSpecializedBond1,
floatingSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice1 = floatingBondAssetSwap1.fairCleanPrice();
double floatingSpecializedBondAssetSwapPrice1 =
floatingSpecializedBondAssetSwap1.fairCleanPrice();
double error5 =
Math.Abs(floatingBondAssetSwapPrice1-floatingSpecializedBondAssetSwapPrice1);
if (error5>tolerance) {
Assert.Fail("wrong clean price for frnbond:"
+ "\n generic frn rate bond's clean price: "
+ floatingBondAssetSwapPrice1
+ "\n equivalent specialized bond's price: "
+ floatingSpecializedBondAssetSwapPrice1
+ "\n error: " + error5
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double floatingBondMktPrice1= 101.33;
AssetSwap floatingBondASW1= new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondASW1.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondASW1= new AssetSwap(payFixedRate,
floatingSpecializedBond1,
floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondASW1.setPricingEngine(swapEngine);
double floatingBondASWSpread1 = floatingBondASW1.fairSpread();
double floatingSpecializedBondASWSpread1 =
floatingSpecializedBondASW1.fairSpread();
double error6 =
Math.Abs(floatingBondASWSpread1-floatingSpecializedBondASWSpread1);
if (error6>tolerance) {
Assert.Fail("wrong asw spread for fixed bond:"
+ "\n generic frn rate bond's asw spread: "
+ floatingBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ floatingSpecializedBondASWSpread1
+ "\n error: " + error6
+ "\n tolerance: " + tolerance);
}
//FRN bond (Isin: XS0090566539 COE 0 09/24/18)
//maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2= new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.inArrears(inArrears)
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 = bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new SimpleCashFlow(100.0, floatingbondRedemption2));
// generic bond
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
floatingBondMaturityDate2, floatingBondStartDate2,floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
// equivalent specialized floater
Bond floatingSpecializedBond2 = new FloatingRateBond(settlementDays, vars.faceAmount,
floatingBondSchedule2,
vars.iborIndex, new Actual360(),
BusinessDayConvention.ModifiedFollowing, fixingDays,
new List<double>{1},
new List<double>{0.0025},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(24,Month.September,2004));
floatingSpecializedBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
Utils.setCouponPricer(floatingSpecializedBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
double floatingBondPrice2 = floatingBond2.cleanPrice();
double floatingSpecializedBondPrice2= floatingSpecializedBond2.cleanPrice();
AssetSwap floatingBondAssetSwap2= new AssetSwap(payFixedRate,
floatingBond2, floatingBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,
floatingSpecializedBond2,
floatingSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double floatingBondAssetSwapPrice2 = floatingBondAssetSwap2.fairCleanPrice();
double floatingSpecializedBondAssetSwapPrice2 =
floatingSpecializedBondAssetSwap2.fairCleanPrice();
double error7 =
Math.Abs(floatingBondAssetSwapPrice2-floatingSpecializedBondAssetSwapPrice2);
if (error7>tolerance) {
Assert.Fail("wrong clean price for frnbond:"
+ "\n generic frn rate bond's clean price: "
+ floatingBondAssetSwapPrice2
+ "\n equivalent specialized frn bond's price: "
+ floatingSpecializedBondAssetSwapPrice2
+ "\n error: " + error7
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double floatingBondMktPrice2 = 101.26;
AssetSwap floatingBondASW2= new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondASW2.setPricingEngine(swapEngine);
AssetSwap floatingSpecializedBondASW2= new AssetSwap(payFixedRate,
floatingSpecializedBond2,
floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingSpecializedBondASW2.setPricingEngine(swapEngine);
double floatingBondASWSpread2 = floatingBondASW2.fairSpread();
double floatingSpecializedBondASWSpread2 =
floatingSpecializedBondASW2.fairSpread();
double error8 =
Math.Abs(floatingBondASWSpread2-floatingSpecializedBondASWSpread2);
if (error8>tolerance) {
Assert.Fail("wrong asw spread for frn bond:"
+ "\n generic frn rate bond's asw spread: "
+ floatingBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ floatingSpecializedBondASWSpread2
+ "\n error: " + error8
+ "\n tolerance: " + tolerance);
}
// CMS bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
// generic cms bond
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate1, cmsBondStartDate1, cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
// equivalent specialized cms bond
Bond cmsSpecializedBond1 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule1,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{1.0}, new List<double>{0.0},
new List<double>{0.055}, new List<double>{0.025},
inArrears,
100.0, new Date(22,Month.August,2005));
cmsSpecializedBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
Utils.setCouponPricer(cmsSpecializedBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondPrice1 = cmsBond1.cleanPrice();
double cmsSpecializedBondPrice1 = cmsSpecializedBond1.cleanPrice();
AssetSwap cmsBondAssetSwap1= new AssetSwap(payFixedRate,cmsBond1, cmsBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,cmsSpecializedBond1,
cmsSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice1 = cmsBondAssetSwap1.fairCleanPrice();
double cmsSpecializedBondAssetSwapPrice1 =
cmsSpecializedBondAssetSwap1.fairCleanPrice();
double error9 =
Math.Abs(cmsBondAssetSwapPrice1-cmsSpecializedBondAssetSwapPrice1);
if (error9>tolerance) {
Assert.Fail("wrong clean price for cmsbond:"
+ "\n generic bond's clean price: "
+ cmsBondAssetSwapPrice1
+ "\n equivalent specialized cms rate bond's price: "
+ cmsSpecializedBondAssetSwapPrice1
+ "\n error: " + error9
+ "\n tolerance: " + tolerance);
}
double cmsBondMktPrice1 = 87.02;// market executable price as of 4th sept 2007
AssetSwap cmsBondASW1= new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondASW1.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondASW1= new AssetSwap(payFixedRate,
cmsSpecializedBond1,
cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondASW1.setPricingEngine(swapEngine);
double cmsBondASWSpread1 = cmsBondASW1.fairSpread();
double cmsSpecializedBondASWSpread1 = cmsSpecializedBondASW1.fairSpread();
double error10 = Math.Abs(cmsBondASWSpread1-cmsSpecializedBondASWSpread1);
if (error10>tolerance) {
Assert.Fail("wrong asw spread for cm bond:"
+ "\n generic cms rate bond's asw spread: "
+ cmsBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ cmsSpecializedBondASWSpread1
+ "\n error: " + error10
+ "\n tolerance: " + tolerance);
}
//CMS bond (Isin: XS0218766664 ISPIM 0 5/6/15)
//maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2,
BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
// generic bond
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
cmsBondMaturityDate2, cmsBondStartDate2, cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
// equivalent specialized cms bond
Bond cmsSpecializedBond2 = new CmsRateBond(settlementDays, vars.faceAmount, cmsBondSchedule2,
vars.swapIndex, new Thirty360(),
BusinessDayConvention.Following, fixingDays,
new List<double>{0.84}, new List<double>{0.0},
new List<double>(), new List<double>(),
inArrears,
100.0, new Date(06,Month.May,2005));
cmsSpecializedBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
Utils.setCouponPricer(cmsSpecializedBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondPrice2 = cmsBond2.cleanPrice();
double cmsSpecializedBondPrice2 = cmsSpecializedBond2.cleanPrice();
AssetSwap cmsBondAssetSwap2= new AssetSwap(payFixedRate,cmsBond2, cmsBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,cmsSpecializedBond2,
cmsSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double cmsBondAssetSwapPrice2 = cmsBondAssetSwap2.fairCleanPrice();
double cmsSpecializedBondAssetSwapPrice2 =
cmsSpecializedBondAssetSwap2.fairCleanPrice();
double error11 =
Math.Abs(cmsBondAssetSwapPrice2-cmsSpecializedBondAssetSwapPrice2);
if (error11>tolerance) {
Assert.Fail("wrong clean price for cmsbond:"
+ "\n generic bond's clean price: "
+ cmsBondAssetSwapPrice2
+ "\n equivalent specialized cms rate bond's price: "
+ cmsSpecializedBondAssetSwapPrice2
+ "\n error: " + error11
+ "\n tolerance: " + tolerance);
}
double cmsBondMktPrice2 = 94.35;// market executable price as of 4th sept 2007
AssetSwap cmsBondASW2= new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondASW2.setPricingEngine(swapEngine);
AssetSwap cmsSpecializedBondASW2= new AssetSwap(payFixedRate,
cmsSpecializedBond2,
cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsSpecializedBondASW2.setPricingEngine(swapEngine);
double cmsBondASWSpread2 = cmsBondASW2.fairSpread();
double cmsSpecializedBondASWSpread2 = cmsSpecializedBondASW2.fairSpread();
double error12 = Math.Abs(cmsBondASWSpread2-cmsSpecializedBondASWSpread2);
if (error12>tolerance) {
Assert.Fail("wrong asw spread for cm bond:"
+ "\n generic cms rate bond's asw spread: "
+ cmsBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ cmsSpecializedBondASWSpread2
+ "\n error: " + error12
+ "\n tolerance: " + tolerance);
}
// Zero-Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
// generic bond
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate1, zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
// specialized zerocpn bond
Bond zeroCpnSpecializedBond1= new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(20,Month.December,2015),
BusinessDayConvention.Following,
100.0, new Date(19,Month.December,1985));
zeroCpnSpecializedBond1.setPricingEngine(bondEngine);
double zeroCpnBondPrice1 = zeroCpnBond1.cleanPrice();
double zeroCpnSpecializedBondPrice1 = zeroCpnSpecializedBond1.cleanPrice();
AssetSwap zeroCpnBondAssetSwap1= new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondPrice1,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondAssetSwap1.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondAssetSwap1= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond1,
zeroCpnSpecializedBondPrice1,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice1 = zeroCpnBondAssetSwap1.fairCleanPrice();
double zeroCpnSpecializedBondAssetSwapPrice1 =
zeroCpnSpecializedBondAssetSwap1.fairCleanPrice();
double error13 =
Math.Abs(zeroCpnBondAssetSwapPrice1-zeroCpnSpecializedBondAssetSwapPrice1);
if (error13>tolerance) {
Assert.Fail("wrong clean price for zerocpn bond:"
+ "\n generic zero cpn bond's clean price: "
+ zeroCpnBondAssetSwapPrice1
+ "\n specialized equivalent bond's price: "
+ zeroCpnSpecializedBondAssetSwapPrice1
+ "\n error: " + error13
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double zeroCpnBondMktPrice1 = 72.277;
AssetSwap zeroCpnBondASW1= new AssetSwap(payFixedRate,
zeroCpnBond1,zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondASW1.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondASW1= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondASW1.setPricingEngine(swapEngine);
double zeroCpnBondASWSpread1 = zeroCpnBondASW1.fairSpread();
double zeroCpnSpecializedBondASWSpread1 =
zeroCpnSpecializedBondASW1.fairSpread();
double error14 =
Math.Abs(zeroCpnBondASWSpread1-zeroCpnSpecializedBondASWSpread1);
if (error14>tolerance) {
Assert.Fail("wrong asw spread for zeroCpn bond:"
+ "\n generic zeroCpn bond's asw spread: "
+ zeroCpnBondASWSpread1
+ "\n equivalent specialized bond's asw spread: "
+ zeroCpnSpecializedBondASWSpread1
+ "\n error: " + error14
+ "\n tolerance: " + tolerance);
}
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
// generic bond
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
// specialized zerocpn bond
Bond zeroCpnSpecializedBond2 = new ZeroCouponBond(settlementDays, bondCalendar, vars.faceAmount,
new Date(17,Month.February,2028),
BusinessDayConvention.Following,
100.0, new Date(17,Month.February,1998));
zeroCpnSpecializedBond2.setPricingEngine(bondEngine);
double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
double zeroCpnSpecializedBondPrice2 = zeroCpnSpecializedBond2.cleanPrice();
AssetSwap zeroCpnBondAssetSwap2= new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondPrice2,
vars.iborIndex, vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondAssetSwap2.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondAssetSwap2= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond2,
zeroCpnSpecializedBondPrice2,
vars.iborIndex,
vars.nonnullspread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondAssetSwapPrice2 = zeroCpnBondAssetSwap2.fairCleanPrice();
double zeroCpnSpecializedBondAssetSwapPrice2 =
zeroCpnSpecializedBondAssetSwap2.fairCleanPrice();
double error15 = Math.Abs(zeroCpnBondAssetSwapPrice2
-zeroCpnSpecializedBondAssetSwapPrice2);
if (error15>tolerance) {
Assert.Fail("wrong clean price for zerocpn bond:"
+ "\n generic zero cpn bond's clean price: "
+ zeroCpnBondAssetSwapPrice2
+ "\n equivalent specialized bond's price: "
+ zeroCpnSpecializedBondAssetSwapPrice2
+ "\n error: " + error15
+ "\n tolerance: " + tolerance);
}
// market executable price as of 4th sept 2007
double zeroCpnBondMktPrice2 = 72.277;
AssetSwap zeroCpnBondASW2= new AssetSwap(payFixedRate,
zeroCpnBond2,zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondASW2.setPricingEngine(swapEngine);
AssetSwap zeroCpnSpecializedBondASW2= new AssetSwap(payFixedRate,
zeroCpnSpecializedBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnSpecializedBondASW2.setPricingEngine(swapEngine);
double zeroCpnBondASWSpread2 = zeroCpnBondASW2.fairSpread();
double zeroCpnSpecializedBondASWSpread2 =
zeroCpnSpecializedBondASW2.fairSpread();
double error16 =
Math.Abs(zeroCpnBondASWSpread2-zeroCpnSpecializedBondASWSpread2);
if (error16>tolerance) {
Assert.Fail("wrong asw spread for zeroCpn bond:"
+ "\n generic zeroCpn bond's asw spread: "
+ zeroCpnBondASWSpread2
+ "\n equivalent specialized bond's asw spread: "
+ zeroCpnSpecializedBondASWSpread2
+ "\n error: " + error16
+ "\n tolerance: " + tolerance);
}
}
public void testMASWWithGenericBond()
{
// Testing market asset swap against par asset swap with generic bond...
CommonVars vars = new CommonVars();
Calendar bondCalendar = new TARGET();
int settlementDays = 3;
int fixingDays = 2;
bool payFixedRate = true;
bool parAssetSwap = true;
bool mktAssetSwap = false;
bool inArrears = false;
// Fixed Underlying bond (Isin: DE0001135275 DBR 4 01/04/37)
// maturity doesn't occur on a business day
Date fixedBondStartDate1 = new Date(4,Month.January,2005);
Date fixedBondMaturityDate1 = new Date(4,Month.January,2037);
Schedule fixedBondSchedule1 = new Schedule(fixedBondStartDate1,
fixedBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg1 = new FixedRateLeg(fixedBondSchedule1)
.withCouponRates(0.04, new ActualActual(ActualActual.Convention.ISDA))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption1 = bondCalendar.adjust(fixedBondMaturityDate1, BusinessDayConvention.Following);
fixedBondLeg1.Add(new SimpleCashFlow(100.0, fixedbondRedemption1));
Bond fixedBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate1,
fixedBondStartDate1, fixedBondLeg1);
IPricingEngine bondEngine = new DiscountingBondEngine(vars.termStructure);
IPricingEngine swapEngine = new DiscountingSwapEngine(vars.termStructure);
fixedBond1.setPricingEngine(bondEngine);
double fixedBondMktPrice1 = 89.22 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice1=fixedBondMktPrice1+fixedBond1.accruedAmount();
AssetSwap fixedBondParAssetSwap1= new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap1.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread1 = fixedBondParAssetSwap1.fairSpread();
AssetSwap fixedBondMktAssetSwap1 = new AssetSwap(payFixedRate,
fixedBond1, fixedBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap1.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread1 = fixedBondMktAssetSwap1.fairSpread();
double tolerance = 1.0e-13;
double error1 =
Math.Abs(fixedBondMktAssetSwapSpread1-
100*fixedBondParAssetSwapSpread1/fixedBondMktFullPrice1);
if (error1>tolerance)
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market asset swap spread: " + fixedBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + fixedBondParAssetSwapSpread1 +
"\n error: " + error1 +
"\n tolerance: " + tolerance);
// Fixed Underlying bond (Isin: IT0006527060 IBRD 5 02/05/19)
// maturity occurs on a business day
Date fixedBondStartDate2 = new Date(5,Month.February,2005);
Date fixedBondMaturityDate2 = new Date(5,Month.February,2019);
Schedule fixedBondSchedule2 = new Schedule(fixedBondStartDate2,
fixedBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> fixedBondLeg2 = new FixedRateLeg(fixedBondSchedule2)
.withCouponRates(0.05, new Thirty360(Thirty360.Thirty360Convention.BondBasis))
.withNotionals(vars.faceAmount);
Date fixedbondRedemption2 = bondCalendar.adjust(fixedBondMaturityDate2, BusinessDayConvention.Following);
fixedBondLeg2.Add(new SimpleCashFlow(100.0, fixedbondRedemption2));
Bond fixedBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, fixedBondMaturityDate2, fixedBondStartDate2,
fixedBondLeg2);
fixedBond2.setPricingEngine(bondEngine);
double fixedBondMktPrice2 = 99.98 ; // market price observed on 7th June 2007
double fixedBondMktFullPrice2=fixedBondMktPrice2+fixedBond2.accruedAmount();
AssetSwap fixedBondParAssetSwap2= new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
fixedBondParAssetSwap2.setPricingEngine(swapEngine);
double fixedBondParAssetSwapSpread2 = fixedBondParAssetSwap2.fairSpread();
AssetSwap fixedBondMktAssetSwap2= new AssetSwap(payFixedRate,
fixedBond2, fixedBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
fixedBondMktAssetSwap2.setPricingEngine(swapEngine);
double fixedBondMktAssetSwapSpread2 = fixedBondMktAssetSwap2.fairSpread();
double error2 = Math.Abs(fixedBondMktAssetSwapSpread2-
100*fixedBondParAssetSwapSpread2/fixedBondMktFullPrice2);
if (error2>tolerance)
Assert.Fail("wrong asset swap spreads for fixed bond:" +
"\n market asset swap spread: " + fixedBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + fixedBondParAssetSwapSpread2 +
"\n error: " + error2 +
"\n tolerance: " + tolerance);
// FRN Underlying bond (Isin: IT0003543847 ISPIM 0 09/29/13)
// maturity doesn't occur on a business day
Date floatingBondStartDate1 = new Date(29,Month.September,2003);
Date floatingBondMaturityDate1 = new Date(29,Month.September,2013);
Schedule floatingBondSchedule1= new Schedule(floatingBondStartDate1,
floatingBondMaturityDate1,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg1 = new IborLeg(floatingBondSchedule1, vars.iborIndex)
.withPaymentDayCounter(new Actual360())
.withFixingDays(fixingDays)
.withSpreads(0.0056)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption1 =
bondCalendar.adjust(floatingBondMaturityDate1, BusinessDayConvention.Following);
floatingBondLeg1.Add(new SimpleCashFlow(100.0, floatingbondRedemption1));
Bond floatingBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate1,
floatingBondStartDate1, floatingBondLeg1);
floatingBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond1.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(27,Month.March,2007), 0.0402);
// market price observed on 7th June 2007
double floatingBondMktPrice1 = 101.64 ;
double floatingBondMktFullPrice1 =
floatingBondMktPrice1+floatingBond1.accruedAmount();
AssetSwap floatingBondParAssetSwap1 = new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap1.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread1 =
floatingBondParAssetSwap1.fairSpread();
AssetSwap floatingBondMktAssetSwap1 = new AssetSwap(payFixedRate,
floatingBond1, floatingBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap1.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread1 =
floatingBondMktAssetSwap1.fairSpread();
double error3 = Math.Abs(floatingBondMktAssetSwapSpread1-
100*floatingBondParAssetSwapSpread1/floatingBondMktFullPrice1);
if (error3>tolerance)
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market asset swap spread: " + floatingBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + floatingBondParAssetSwapSpread1 +
"\n error: " + error3 +
"\n tolerance: " + tolerance);
// FRN Underlying bond (Isin: XS0090566539 COE 0 09/24/18)
// maturity occurs on a business day
Date floatingBondStartDate2 = new Date(24,Month.September,2004);
Date floatingBondMaturityDate2 = new Date(24,Month.September,2018);
Schedule floatingBondSchedule2 = new Schedule(floatingBondStartDate2,
floatingBondMaturityDate2,
new Period(Frequency.Semiannual), bondCalendar,
BusinessDayConvention.ModifiedFollowing, BusinessDayConvention.ModifiedFollowing,
DateGeneration.Rule.Backward, false);
List<CashFlow> floatingBondLeg2 = new IborLeg(floatingBondSchedule2, vars.iborIndex)
.withFixingDays(fixingDays)
.withSpreads(0.0025)
.inArrears(inArrears)
.withPaymentDayCounter(new Actual360())
.withPaymentAdjustment(BusinessDayConvention.ModifiedFollowing)
.withNotionals(vars.faceAmount);
Date floatingbondRedemption2 =
bondCalendar.adjust(floatingBondMaturityDate2, BusinessDayConvention.ModifiedFollowing);
floatingBondLeg2.Add(new
SimpleCashFlow(100.0, floatingbondRedemption2));
Bond floatingBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, floatingBondMaturityDate2,
floatingBondStartDate2, floatingBondLeg2);
floatingBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(floatingBond2.cashflows(), vars.pricer);
vars.iborIndex.addFixing(new Date(22,Month.March,2007), 0.04013);
// market price observed on 7th June 2007
double floatingBondMktPrice2 = 101.248 ;
double floatingBondMktFullPrice2 =
floatingBondMktPrice2+floatingBond2.accruedAmount();
AssetSwap floatingBondParAssetSwap2 = new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
floatingBondParAssetSwap2.setPricingEngine(swapEngine);
double floatingBondParAssetSwapSpread2 = floatingBondParAssetSwap2.fairSpread();
AssetSwap floatingBondMktAssetSwap2 = new AssetSwap(payFixedRate,
floatingBond2, floatingBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
floatingBondMktAssetSwap2.setPricingEngine(swapEngine);
double floatingBondMktAssetSwapSpread2 =
floatingBondMktAssetSwap2.fairSpread();
double error4 = Math.Abs(floatingBondMktAssetSwapSpread2-
100*floatingBondParAssetSwapSpread2/floatingBondMktFullPrice2);
if (error4>tolerance)
Assert.Fail("wrong asset swap spreads for floating bond:" +
"\n market asset swap spread: " + floatingBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + floatingBondParAssetSwapSpread2 +
"\n error: " + error4 +
"\n tolerance: " + tolerance);
// CMS Underlying bond (Isin: XS0228052402 CRDIT 0 8/22/20)
// maturity doesn't occur on a business day
Date cmsBondStartDate1 = new Date(22,Month.August,2005);
Date cmsBondMaturityDate1 = new Date(22,Month.August,2020);
Schedule cmsBondSchedule1= new Schedule(cmsBondStartDate1,
cmsBondMaturityDate1,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg1 = new CmsLeg(cmsBondSchedule1, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withCaps(0.055)
.withFloors(0.025)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption1 = bondCalendar.adjust(cmsBondMaturityDate1, BusinessDayConvention.Following);
cmsBondLeg1.Add(new SimpleCashFlow(100.0, cmsbondRedemption1));
Bond cmsBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate1, cmsBondStartDate1,
cmsBondLeg1);
cmsBond1.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond1.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(18,Month.August,2006), 0.04158);
double cmsBondMktPrice1 = 88.45 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice1 = cmsBondMktPrice1+cmsBond1.accruedAmount();
AssetSwap cmsBondParAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap1.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread1 = cmsBondParAssetSwap1.fairSpread();
AssetSwap cmsBondMktAssetSwap1 = new AssetSwap(payFixedRate,
cmsBond1, cmsBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap1.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread1 = cmsBondMktAssetSwap1.fairSpread();
double error5 =
Math.Abs(cmsBondMktAssetSwapSpread1-
100*cmsBondParAssetSwapSpread1/cmsBondMktFullPrice1);
if (error5>tolerance)
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market asset swap spread: " + cmsBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + cmsBondParAssetSwapSpread1 +
"\n error: " + error5 +
"\n tolerance: " + tolerance);
// CMS Underlying bond (Isin: XS0218766664 ISPIM 0 5/6/15)
// maturity occurs on a business day
Date cmsBondStartDate2 = new Date(06,Month.May,2005);
Date cmsBondMaturityDate2 = new Date(06,Month.May,2015);
Schedule cmsBondSchedule2= new Schedule(cmsBondStartDate2,
cmsBondMaturityDate2,
new Period(Frequency.Annual), bondCalendar,
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List<CashFlow> cmsBondLeg2 = new CmsLeg(cmsBondSchedule2, vars.swapIndex)
.withPaymentDayCounter(new Thirty360())
.withFixingDays(fixingDays)
.withGearings(0.84)
.inArrears(inArrears)
.withNotionals(vars.faceAmount);
Date cmsbondRedemption2 = bondCalendar.adjust(cmsBondMaturityDate2, BusinessDayConvention.Following);
cmsBondLeg2.Add(new SimpleCashFlow(100.0, cmsbondRedemption2));
Bond cmsBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount, cmsBondMaturityDate2, cmsBondStartDate2,
cmsBondLeg2);
cmsBond2.setPricingEngine(bondEngine);
Utils.setCouponPricer(cmsBond2.cashflows(), vars.cmspricer);
vars.swapIndex.addFixing(new Date(04,Month.May,2006), 0.04217);
double cmsBondMktPrice2 = 94.08 ; // market price observed on 7th June 2007
double cmsBondMktFullPrice2 = cmsBondMktPrice2+cmsBond2.accruedAmount();
AssetSwap cmsBondParAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
cmsBondParAssetSwap2.setPricingEngine(swapEngine);
double cmsBondParAssetSwapSpread2 = cmsBondParAssetSwap2.fairSpread();
AssetSwap cmsBondMktAssetSwap2 = new AssetSwap(payFixedRate,
cmsBond2, cmsBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
cmsBondMktAssetSwap2.setPricingEngine(swapEngine);
double cmsBondMktAssetSwapSpread2 = cmsBondMktAssetSwap2.fairSpread();
double error6 =
Math.Abs(cmsBondMktAssetSwapSpread2-
100*cmsBondParAssetSwapSpread2/cmsBondMktFullPrice2);
if (error6>tolerance)
Assert.Fail("wrong asset swap spreads for cms bond:" +
"\n market asset swap spread: " + cmsBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + cmsBondParAssetSwapSpread2 +
"\n error: " + error6 +
"\n tolerance: " + tolerance);
// Zero Coupon bond (Isin: DE0004771662 IBRD 0 12/20/15)
// maturity doesn't occur on a business day
Date zeroCpnBondStartDate1 = new Date(19,Month.December,1985);
Date zeroCpnBondMaturityDate1 = new Date(20,Month.December,2015);
Date zeroCpnBondRedemption1 = bondCalendar.adjust(zeroCpnBondMaturityDate1,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg1 = new List<CashFlow>{new SimpleCashFlow(100.0, zeroCpnBondRedemption1)};
Bond zeroCpnBond1 = new Bond(settlementDays, bondCalendar, vars.faceAmount, zeroCpnBondMaturityDate1,
zeroCpnBondStartDate1, zeroCpnBondLeg1);
zeroCpnBond1.setPricingEngine(bondEngine);
// market price observed on 12th June 2007
double zeroCpnBondMktPrice1 = 70.436 ;
double zeroCpnBondMktFullPrice1 =
zeroCpnBondMktPrice1+zeroCpnBond1.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread1 = zeroCpnBondParAssetSwap1.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap1 = new AssetSwap(payFixedRate,zeroCpnBond1,
zeroCpnBondMktPrice1,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap1.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread1 = zeroCpnBondMktAssetSwap1.fairSpread();
double error7 =
Math.Abs(zeroCpnBondMktAssetSwapSpread1-
100*zeroCpnBondParAssetSwapSpread1/zeroCpnBondMktFullPrice1);
if (error7>tolerance)
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market asset swap spread: " + zeroCpnBondMktAssetSwapSpread1 +
"\n par asset swap spread: " + zeroCpnBondParAssetSwapSpread1 +
"\n error: " + error7 +
"\n tolerance: " + tolerance);
// Zero Coupon bond (Isin: IT0001200390 ISPIM 0 02/17/28)
// maturity occurs on a business day
Date zeroCpnBondStartDate2 = new Date(17,Month.February,1998);
Date zeroCpnBondMaturityDate2 = new Date(17,Month.February,2028);
Date zerocpbondRedemption2 = bondCalendar.adjust(zeroCpnBondMaturityDate2,
BusinessDayConvention.Following);
List<CashFlow> zeroCpnBondLeg2 = new List<CashFlow>{new SimpleCashFlow(100.0, zerocpbondRedemption2)};
Bond zeroCpnBond2 = new Bond(settlementDays, bondCalendar, vars.faceAmount,
zeroCpnBondMaturityDate2, zeroCpnBondStartDate2, zeroCpnBondLeg2);
zeroCpnBond2.setPricingEngine(bondEngine);
// double zeroCpnBondPrice2 = zeroCpnBond2.cleanPrice();
// market price observed on 12th June 2007
double zeroCpnBondMktPrice2 = 35.160 ;
double zeroCpnBondMktFullPrice2 =
zeroCpnBondMktPrice2+zeroCpnBond2.accruedAmount();
AssetSwap zeroCpnBondParAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
parAssetSwap);
zeroCpnBondParAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondParAssetSwapSpread2 = zeroCpnBondParAssetSwap2.fairSpread();
AssetSwap zeroCpnBondMktAssetSwap2 = new AssetSwap(payFixedRate,zeroCpnBond2,
zeroCpnBondMktPrice2,
vars.iborIndex, vars.spread,
null,
vars.iborIndex.dayCounter(),
mktAssetSwap);
zeroCpnBondMktAssetSwap2.setPricingEngine(swapEngine);
double zeroCpnBondMktAssetSwapSpread2 = zeroCpnBondMktAssetSwap2.fairSpread();
double error8 =
Math.Abs(zeroCpnBondMktAssetSwapSpread2-
100*zeroCpnBondParAssetSwapSpread2/zeroCpnBondMktFullPrice2);
if (error8>tolerance)
Assert.Fail("wrong asset swap spreads for zero cpn bond:" +
"\n market asset swap spread: " + zeroCpnBondMktAssetSwapSpread2 +
"\n par asset swap spread: " + zeroCpnBondParAssetSwapSpread2 +
"\n error: " + error8 +
"\n tolerance: " + tolerance);
}
public void testInArrears()
{
//("Testing in-arrears swap calculation...");
CommonVars vars = new CommonVars();
/* See Hull, 4th ed., page 550
Note: the calculation in the book is wrong (work out the adjustment and you'll get 0.05 + 0.000115 T1) */
Date maturity = vars.today + new Period(5, TimeUnit.Years);
Calendar calendar = new NullCalendar();
Schedule schedule = new Schedule(vars.today, maturity, new Period(Frequency.Annual), calendar,
BusinessDayConvention.Following, BusinessDayConvention.Following,
DateGeneration.Rule.Forward, false);
DayCounter dayCounter = new SimpleDayCounter();
List<double> nominals = new List<double>() { 100000000.0 };
IborIndex index = new IborIndex("dummy", new Period(1, TimeUnit.Years), 0, new EURCurrency(), calendar,
BusinessDayConvention.Following, false, dayCounter, vars.termStructure);
double oneYear = 0.05;
double r = Math.Log(1.0 + oneYear);
vars.termStructure.linkTo(Utilities.flatRate(vars.today, r, dayCounter));
List<double> coupons = new List<double>() { oneYear };
List<CashFlow> fixedLeg = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(nominals);
List<double> gearings = new List<double>();
List<double> spreads = new List<double>();
int fixingDays = 0;
double capletVolatility = 0.22;
var vol = new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(vars.today, new NullCalendar(),
BusinessDayConvention.Following, capletVolatility, dayCounter));
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
List<CashFlow> floatingLeg = new IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withFixingDays(fixingDays)
.withGearings(gearings)
.withSpreads(spreads)
.inArrears()
.withNotionals(nominals);
Utils.setCouponPricer(floatingLeg, pricer);
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(vars.termStructure));
double storedValue = -144813.0;
double tolerance = 1.0;
if (Math.Abs(swap.NPV() - storedValue) > tolerance)
Assert.Fail("Wrong NPV calculation:\n"
+ " expected: " + storedValue + "\n"
+ " calculated: " + swap.NPV());
}
public CommercialPaper(Type type, double nominal,
Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount,
Schedule principalSchedule, BusinessDayConvention?paymentConvention) :
base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = fixedSchedule_.businessDayConvention();
}
List <CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Discounting Pricipal
notionals_.Clear();
double n;
for (int i = 0; i < fixedLeg.Count; i++)
{
FixedRateCoupon c = (FixedRateCoupon)fixedLeg[i];
n = i > 0 ? notionals_.Last() : c.nominal();
notionals_.Add(n / (1 + (c.rate() * c.dayCounter().yearFraction(c.referencePeriodStart, c.referencePeriodEnd))));
}
// New Leg
List <CashFlow> discountedFixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Adjust Principal
Principal p0 = (Principal)principalLeg[0];
p0.setAmount(notionals_.Last());
legs_[0] = discountedFixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
public CapHelper(Period length,
Handle<Quote> volatility,
IborIndex index,
// data for ATM swap-rate calculation
Frequency fixedLegFrequency,
DayCounter fixedLegDayCounter,
bool includeFirstSwaplet,
Handle<YieldTermStructure> termStructure,
bool calibrateVolatility /*= false*/)
: base(volatility, termStructure, calibrateVolatility)
{
Period indexTenor = index.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet) {
startDate = termStructure.link.referenceDate();
maturity = termStructure.link.referenceDate() + length;
} else {
startDate = termStructure.link.referenceDate() + indexTenor;
maturity = termStructure.link.referenceDate() + length;
}
IborIndex dummyIndex=new
IborIndex("dummy",
indexTenor,
index.fixingDays(),
index.currency(),
index.fixingCalendar(),
index.businessDayConvention(),
index.endOfMonth(),
termStructure.link.dayCounter(),
termStructure);
List<double> nominals = new InitializedList<double>(1,1.0);
Schedule floatSchedule=new Schedule(startDate, maturity,
index.tenor(), index.fixingCalendar(),
index.businessDayConvention(),
index.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List<CashFlow> floatingLeg;
IborLeg iborLeg = (IborLeg) new IborLeg(floatSchedule, index)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
floatingLeg = iborLeg.value();
Schedule fixedSchedule=new Schedule(startDate, maturity, new Period(fixedLegFrequency),
index.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter)
.withNotionals(nominals)
.withPaymentAdjustment(index.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure));
double bp = 1.0e-4;
double fairRate = fixedRate - (double)(swap.NPV()/(swap.legBPS(1) / bp));
List<double> exerciceRate = new InitializedList<double>(1,fairRate);
cap_ = new Cap(floatingLeg, exerciceRate);
marketValue_ = blackPrice(volatility_.link.value());
}
public CommercialPaper(Loan.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount, Schedule principalSchedule, BusinessDayConvention? paymentConvention)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
paymentConvention_ = paymentConvention.Value;
else
paymentConvention_ = fixedSchedule_.businessDayConvention();
List<CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Discounting Pricipal
notionals_.Clear();
double n;
for (int i = 0; i < fixedLeg.Count; i++)
{
FixedRateCoupon c = (FixedRateCoupon)fixedLeg[i];
n = i > 0 ? notionals_.Last() : c.nominal();
notionals_.Add(n / (1 + (c.rate() * c.dayCounter().yearFraction(c.refPeriodStart, c.refPeriodEnd))));
}
// New Leg
List<CashFlow> discountedFixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Adjust Principal
Principal p0 = (Principal)principalLeg[0];
p0.setAmount(notionals_.Last());
legs_[0] = discountedFixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
public AmortizingFixedRateBond(
int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Period bondTenor,
Frequency sinkingFrequency,
double coupon,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
:base(settlementDays, calendar, issueDate)
{
frequency_ = sinkingFrequency;
dayCounter_ = accrualDayCounter;
Utils.QL_REQUIRE( bondTenor.length() > 0,() =>
"bond tenor must be positive. "
+ bondTenor + " is not allowed." );
maturityDate_ = startDate + bondTenor;
maturityDate_ = startDate + bondTenor;
schedule_ = sinkingSchedule(startDate, bondTenor, sinkingFrequency, calendar);
cashflows_ = new FixedRateLeg(schedule_)
.withCouponRates(coupon, accrualDayCounter)
.withNotionals(sinkingNotionals(bondTenor, sinkingFrequency, coupon, faceAmount))
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
}
/*! simple annual compounding coupon rates
with internal schedule calculation */
public FixedRateBond(int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Date maturityDate,
Period tenor,
List<double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention accrualConvention = BusinessDayConvention.Following,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100,
Date issueDate = null,
Date stubDate = null,
DateGeneration.Rule rule = DateGeneration.Rule.Backward,
bool endOfMonth = false,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar == null ? calendar : paymentCalendar,
issueDate)
{
frequency_ = tenor.frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = maturityDate;
Date firstDate, nextToLastDate;
switch (rule)
{
case DateGeneration.Rule.Backward:
firstDate = null;
nextToLastDate = stubDate;
break;
case DateGeneration.Rule.Forward:
firstDate = stubDate;
nextToLastDate = null;
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
throw new ApplicationException("stub date (" + stubDate + ") not allowed with " + rule + " DateGeneration::Rule");
default:
throw new ApplicationException("unknown DateGeneration::Rule (" + rule + ")");
}
Schedule schedule = new Schedule(startDate, maturityDate_, tenor,
calendar, accrualConvention, accrualConvention,
rule, endOfMonth,
firstDate, nextToLastDate);
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List<double>() { redemption });
if (cashflows().Count == 0)
throw new ApplicationException("bond with no cashflows!");
if (redemptions_.Count != 1)
throw new ApplicationException("multiple redemptions created");
}
// constructor
public VanillaSwap(Type type, double nominal,
Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount,
Schedule floatSchedule, IborIndex iborIndex, double spread, DayCounter floatingDayCount,
BusinessDayConvention? paymentConvention = null)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
floatingSchedule_ = floatSchedule;
iborIndex_ = iborIndex;
spread_ = spread;
floatingDayCount_ = floatingDayCount;
if (paymentConvention.HasValue)
paymentConvention_ = paymentConvention.Value;
else
paymentConvention_ = floatingSchedule_.businessDayConvention();
legs_[0] = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(nominal);
legs_[1] = new IborLeg(floatSchedule, iborIndex)
.withPaymentDayCounter(floatingDayCount)
//.withFixingDays(iborIndex.fixingDays())
.withSpreads(spread)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_);
foreach (var cf in legs_[1])
cf.registerWith(update);
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
throw new ApplicationException("Unknown vanilla-swap type");
}
}
