This example shows how to calculate credit value adjustment for an interest rate swap.
#include <ql/qldefines.hpp>
#ifdef BOOST_MSVC
# include <ql/auto_link.hpp>
#endif
#include <ql/instruments/vanillaswap.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/pricingengines/swap/cvaswapengine.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/termstructures/credit/interpolatedhazardratecurve.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <iostream>
#include <iomanip>
using namespace std;
#if defined(QL_ENABLE_SESSIONS)
ThreadKey sessionId() { return 0; }
}
#endif
int main(int, char* []) {
try {
std::cout << std::endl;
Date todaysDate(10, March, 2004);
todaysDate = calendar.
adjust(todaysDate);
Settings::instance().evaluationDate() = todaysDate;
ext::shared_ptr<IborIndex> yieldIndx(
new Euribor3M());
Size tenorsSwapMkt[] = {5, 10, 15, 20, 25, 30};
Rate ratesSwapmkt[] = {.03249, .04074, .04463, .04675, .04775, .04811};
vector<ext::shared_ptr<RateHelper> > swapHelpers;
for(
Size i=0; i<
sizeof(tenorsSwapMkt)/
sizeof(
Size); i++)
swapHelpers.push_back(ext::make_shared<SwapRateHelper>(
tenorsSwapMkt[i] * Years,
yieldIndx));
ext::shared_ptr<YieldTermStructure> swapTS(
swapTS->enableExtrapolation();
ext::shared_ptr<PricingEngine> riskFreeEngine(
ext::make_shared<DiscountingSwapEngine>(
std::vector<Handle<DefaultProbabilityTermStructure> >
defaultIntensityTS;
Size defaultTenors[] = {0, 12, 36, 60, 84, 120, 180, 240, 300,
360};
Real intensitiesLow[] = {0.0036, 0.0036, 0.0065, 0.0099, 0.0111,
0.0177, 0.0177, 0.0177, 0.0177, 0.0177,
0.0177};
Real intensitiesMedium[] = {0.0202, 0.0202, 0.0231, 0.0266, 0.0278,
0.0349, 0.0349, 0.0349, 0.0349, 0.0349,
0.0349};
Real intensitiesHigh[] = {0.0534, 0.0534, 0.0564, 0.06, 0.0614, 0.0696,
0.0696, 0.0696, 0.0696, 0.0696, 0.0696};
Real ctptyRRLow = 0.4, ctptyRRMedium = 0.35, ctptyRRHigh = 0.3;
std::vector<Date> defaultTSDates;
std::vector<Real> intesitiesVLow, intesitiesVMedium, intesitiesVHigh;
for(
Size i=0; i<
sizeof(defaultTenors)/
sizeof(
Size); i++) {
Period(defaultTenors[i], Months)));
intesitiesVLow.push_back(intensitiesLow[i]);
intesitiesVMedium.push_back(intensitiesMedium[i]);
intesitiesVHigh.push_back(intensitiesHigh[i]);
}
ext::shared_ptr<DefaultProbabilityTermStructure>(
defaultTSDates,
intesitiesVLow,
ext::shared_ptr<DefaultProbabilityTermStructure>(
defaultTSDates,
intesitiesVMedium,
ext::shared_ptr<DefaultProbabilityTermStructure>(
defaultTSDates,
intesitiesVHigh,
ext::shared_ptr<PricingEngine> ctptySwapCvaLow =
ext::make_shared<CounterpartyAdjSwapEngine>(
blackVol,
defaultIntensityTS[0],
ctptyRRLow
);
ext::shared_ptr<PricingEngine> ctptySwapCvaMedium =
ext::make_shared<CounterpartyAdjSwapEngine>(
blackVol,
defaultIntensityTS[1],
ctptyRRMedium);
ext::shared_ptr<PricingEngine> ctptySwapCvaHigh =
ext::make_shared<CounterpartyAdjSwapEngine>(
blackVol,
defaultIntensityTS[2],
ctptyRRHigh);
defaultIntensityTS[0]->enableExtrapolation();
defaultIntensityTS[1]->enableExtrapolation();
defaultIntensityTS[2]->enableExtrapolation();
VanillaSwap::Type swapType =
VanillaSwap::Payer;
ext::shared_ptr<IborIndex> yieldIndxS(
std::vector<VanillaSwap> riskySwaps;
for(
Size i=0; i<
sizeof(tenorsSwapMkt)/
sizeof(
Size); i++)
yieldIndxS,
ratesSwapmkt[i],
0*Days)
.
withFixedLegDayCount(fixedLegDayCounter)
.
withFixedLegTenor(
Period(fixedLegFrequency))
.
withFixedLegConvention(fixedLegConvention)
.
withFixedLegTerminationDateConvention(fixedLegConvention)
.
withFixedLegCalendar(calendar)
.
withFloatingLegCalendar(calendar)
cout << "-- Correction in the contract fix rate in bp --" << endl;
for(
Size i=0; i<riskySwaps.size(); i++) {
cout << fixed << setprecision(3);
cout << setw(4);
riskySwaps[i].setPricingEngine(riskFreeEngine);
Real nonRiskyFair = riskySwaps[i].fairRate();
cout << tenorsSwapMkt[i];
cout << setw(5);
cout <<
" | " <<
io::rate(nonRiskyFair);
cout << fixed << setprecision(2);
cout << setw(5);
riskySwaps[i].setPricingEngine(ctptySwapCvaLow);
cout << " | " << setw(6)
<< 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);
riskySwaps[i].setPricingEngine(ctptySwapCvaMedium);
cout << " | " << setw(6)
<< 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);
riskySwaps[i].setPricingEngine(ctptySwapCvaHigh);
cout << " | " << setw(6)
<< 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);
cout << endl;
}
cout << endl;
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}