QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
MulticurveBootstrapping.cpp

This example prices an interest rate swap over a term structure and calculates its fair fixed rate and floating spread.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/* This example shows how to set up a term structure with OIS discounting
and then price a simple 5 year swap.
Example based on market data in paper by F. M. Ametrano and M. Bianchetti,
Everything You Always Wanted to Know About Multiple Interest Rate Curve Boostrapping
but Were Afraid to Ask (April 2, 2013).
http://ssrn.com/abstract=2219548
Eonia curve was taken from Figure 25 and Euribor 6m from figure 31.
*/
#include <ql/qldefines.hpp>
#ifdef BOOST_MSVC
# include <ql/auto_link.hpp>
#endif
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/termstructures/yield/oisratehelper.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/indexes/ibor/eonia.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/time/imm.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <iostream>
#include <iomanip>
using namespace QuantLib;
#if defined(QL_ENABLE_SESSIONS)
namespace QuantLib {
ThreadKey sessionId() { return 0; }
}
#endif
int main(int, char* []) {
try {
std::cout << std::endl;
/*********************
*** MARKET DATA ***
*********************/
Calendar calendar = TARGET();
Date todaysDate(11, December, 2012);
Settings::instance().evaluationDate() = todaysDate;
todaysDate = Settings::instance().evaluationDate();
Integer fixingDays = 2;
Date settlementDate = calendar.advance(todaysDate, fixingDays, Days);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
std::cout << "Today: " << todaysDate.weekday()
<< ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;
/********************
*** QUOTES ***
********************/
// SimpleQuote stores a value which can be manually changed;
// other Quote subclasses could read the value from a database
// or some kind of data feed.
// deposits
ext::shared_ptr<Quote> dONRate(new SimpleQuote(0.0004));
ext::shared_ptr<Quote> dTNRate(new SimpleQuote(0.0004));
ext::shared_ptr<Quote> dSNRate(new SimpleQuote(0.0004));
// OIS
ext::shared_ptr<Quote> ois1WRate(new SimpleQuote(0.00070));
ext::shared_ptr<Quote> ois2WRate(new SimpleQuote(0.00069));
ext::shared_ptr<Quote> ois3WRate(new SimpleQuote(0.00078));
ext::shared_ptr<Quote> ois1MRate(new SimpleQuote(0.00074));
// Dated OIS
ext::shared_ptr<Quote> oisDated1Rate(new SimpleQuote( 0.000460));
ext::shared_ptr<Quote> oisDated2Rate(new SimpleQuote( 0.000160));
ext::shared_ptr<Quote> oisDated3Rate(new SimpleQuote(-0.000070));
ext::shared_ptr<Quote> oisDated4Rate(new SimpleQuote(-0.000130));
ext::shared_ptr<Quote> oisDated5Rate(new SimpleQuote(-0.000140));
// OIS
ext::shared_ptr<Quote> ois15MRate(new SimpleQuote(0.00002));
ext::shared_ptr<Quote> ois18MRate(new SimpleQuote(0.00008));
ext::shared_ptr<Quote> ois21MRate(new SimpleQuote(0.00021));
ext::shared_ptr<Quote> ois2YRate(new SimpleQuote(0.00036));
ext::shared_ptr<Quote> ois3YRate(new SimpleQuote(0.00127));
ext::shared_ptr<Quote> ois4YRate(new SimpleQuote(0.00274));
ext::shared_ptr<Quote> ois5YRate(new SimpleQuote(0.00456));
ext::shared_ptr<Quote> ois6YRate(new SimpleQuote(0.00647));
ext::shared_ptr<Quote> ois7YRate(new SimpleQuote(0.00827));
ext::shared_ptr<Quote> ois8YRate(new SimpleQuote(0.00996));
ext::shared_ptr<Quote> ois9YRate(new SimpleQuote(0.01147));
ext::shared_ptr<Quote> ois10YRate(new SimpleQuote(0.0128));
ext::shared_ptr<Quote> ois11YRate(new SimpleQuote(0.01404));
ext::shared_ptr<Quote> ois12YRate(new SimpleQuote(0.01516));
ext::shared_ptr<Quote> ois15YRate(new SimpleQuote(0.01764));
ext::shared_ptr<Quote> ois20YRate(new SimpleQuote(0.01939));
ext::shared_ptr<Quote> ois25YRate(new SimpleQuote(0.02003));
ext::shared_ptr<Quote> ois30YRate(new SimpleQuote(0.02038));
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with
// other instrument dependant infos. Quotes are passed in
// relinkable handles which could be relinked to some other
// data source later.
// deposits
DayCounter depositDayCounter = Actual360();
ext::shared_ptr<RateHelper> dON(new DepositRateHelper(
Handle<Quote>(dONRate),
1 * Days, 0,
calendar, Following,
false, depositDayCounter));
ext::shared_ptr<RateHelper> dTN(new DepositRateHelper(
Handle<Quote>(dTNRate),
1 * Days, 1,
calendar, Following,
false, depositDayCounter));
ext::shared_ptr<RateHelper> dSN(new DepositRateHelper(
Handle<Quote>(dSNRate),
1 * Days, 2,
calendar, Following,
false, depositDayCounter));
// OIS
ext::shared_ptr<Eonia> eonia(new Eonia);
ext::shared_ptr<RateHelper> ois1W(new OISRateHelper(
2, 1 * Weeks,
Handle<Quote>(ois1WRate), eonia));
ext::shared_ptr<RateHelper> ois2W(new OISRateHelper(
2, 2 * Weeks,
Handle<Quote>(ois2WRate), eonia));
ext::shared_ptr<RateHelper> ois3W(new OISRateHelper(
2, 3 * Weeks,
Handle<Quote>(ois3WRate), eonia));
ext::shared_ptr<RateHelper> ois1M(new OISRateHelper(
2, 1 * Months,
Handle<Quote>(ois1MRate), eonia));
// Dated OIS
ext::shared_ptr<RateHelper> oisDated1(new DatedOISRateHelper(
Date(16, January, 2013), Date(13, February, 2013),
Handle<Quote>(oisDated1Rate), eonia));
ext::shared_ptr<RateHelper> oisDated2(new DatedOISRateHelper(
Date(13, February, 2013), Date(13, March, 2013),
Handle<Quote>(oisDated2Rate), eonia));
ext::shared_ptr<RateHelper> oisDated3(new DatedOISRateHelper(
Date(13, March, 2013), Date(10, April, 2013),
Handle<Quote>(oisDated3Rate), eonia));
ext::shared_ptr<RateHelper> oisDated4(new DatedOISRateHelper(
Date(10, April, 2013), Date(8, May, 2013),
Handle<Quote>(oisDated4Rate), eonia));
ext::shared_ptr<RateHelper> oisDated5(new DatedOISRateHelper(
Date(8, May, 2013), Date(12, June, 2013),
Handle<Quote>(oisDated5Rate), eonia));
// OIS
ext::shared_ptr<RateHelper> ois15M(new OISRateHelper(
2, 15*Months,
Handle<Quote>(ois15MRate), eonia));
ext::shared_ptr<RateHelper> ois18M(new OISRateHelper(
2, 18*Months,
Handle<Quote>(ois18MRate), eonia));
ext::shared_ptr<RateHelper> ois21M(new OISRateHelper(
2, 21*Months,
Handle<Quote>(ois21MRate), eonia));
ext::shared_ptr<RateHelper> ois2Y(new OISRateHelper(
2, 2*Years,
Handle<Quote>(ois2YRate), eonia));
ext::shared_ptr<RateHelper> ois3Y(new OISRateHelper(
2, 3*Years,
Handle<Quote>(ois3YRate), eonia));
ext::shared_ptr<RateHelper> ois4Y(new OISRateHelper(
2, 4*Years,
Handle<Quote>(ois4YRate), eonia));
ext::shared_ptr<RateHelper> ois5Y(new OISRateHelper(
2, 5*Years,
Handle<Quote>(ois5YRate), eonia));
ext::shared_ptr<RateHelper> ois6Y(new OISRateHelper(
2, 6*Years,
Handle<Quote>(ois6YRate), eonia));
ext::shared_ptr<RateHelper> ois7Y(new OISRateHelper(
2, 7*Years,
Handle<Quote>(ois7YRate), eonia));
ext::shared_ptr<RateHelper> ois8Y(new OISRateHelper(
2, 8*Years,
Handle<Quote>(ois8YRate), eonia));
ext::shared_ptr<RateHelper> ois9Y(new OISRateHelper(
2, 9*Years,
Handle<Quote>(ois9YRate), eonia));
ext::shared_ptr<RateHelper> ois10Y(new OISRateHelper(
2, 10*Years,
Handle<Quote>(ois10YRate), eonia));
ext::shared_ptr<RateHelper> ois11Y(new OISRateHelper(
2, 11*Years,
Handle<Quote>(ois11YRate), eonia));
ext::shared_ptr<RateHelper> ois12Y(new OISRateHelper(
2, 12*Years,
Handle<Quote>(ois12YRate), eonia));
ext::shared_ptr<RateHelper> ois15Y(new OISRateHelper(
2, 15*Years,
Handle<Quote>(ois15YRate), eonia));
ext::shared_ptr<RateHelper> ois20Y(new OISRateHelper(
2, 20*Years,
Handle<Quote>(ois20YRate), eonia));
ext::shared_ptr<RateHelper> ois25Y(new OISRateHelper(
2, 25*Years,
Handle<Quote>(ois25YRate), eonia));
ext::shared_ptr<RateHelper> ois30Y(new OISRateHelper(
2, 30*Years,
Handle<Quote>(ois30YRate), eonia));
/*********************
** CURVE BUILDING **
*********************/
/*********************
** EONIA CURVE **
*********************/
DayCounter termStructureDayCounter = Actual365Fixed();
// Eonia curve
std::vector<ext::shared_ptr<RateHelper> > eoniaInstruments;
eoniaInstruments.push_back(dON);
eoniaInstruments.push_back(dTN);
eoniaInstruments.push_back(dSN);
eoniaInstruments.push_back(ois1W);
eoniaInstruments.push_back(ois2W);
eoniaInstruments.push_back(ois3W);
eoniaInstruments.push_back(ois1M);
eoniaInstruments.push_back(oisDated1);
eoniaInstruments.push_back(oisDated2);
eoniaInstruments.push_back(oisDated3);
eoniaInstruments.push_back(oisDated4);
eoniaInstruments.push_back(oisDated5);
eoniaInstruments.push_back(ois15M);
eoniaInstruments.push_back(ois18M);
eoniaInstruments.push_back(ois21M);
eoniaInstruments.push_back(ois2Y);
eoniaInstruments.push_back(ois3Y);
eoniaInstruments.push_back(ois4Y);
eoniaInstruments.push_back(ois5Y);
eoniaInstruments.push_back(ois6Y);
eoniaInstruments.push_back(ois7Y);
eoniaInstruments.push_back(ois8Y);
eoniaInstruments.push_back(ois9Y);
eoniaInstruments.push_back(ois10Y);
eoniaInstruments.push_back(ois11Y);
eoniaInstruments.push_back(ois12Y);
eoniaInstruments.push_back(ois15Y);
eoniaInstruments.push_back(ois20Y);
eoniaInstruments.push_back(ois25Y);
eoniaInstruments.push_back(ois30Y);
ext::shared_ptr<YieldTermStructure> eoniaTermStructure(
new PiecewiseYieldCurve<Discount, Cubic>(
todaysDate, eoniaInstruments,
termStructureDayCounter) );
eoniaTermStructure->enableExtrapolation();
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle<YieldTermStructure> discountingTermStructure;
// the one used for forward rate forecasting
RelinkableHandle<YieldTermStructure> forecastingTermStructure;
discountingTermStructure.linkTo(eoniaTermStructure);
/*********************
** EURIBOR 6M **
*********************/
ext::shared_ptr<IborIndex> euribor6M(new Euribor6M);
// deposits
ext::shared_ptr<Quote> d6MRate(new SimpleQuote(0.00312));
// FRAs
ext::shared_ptr<Quote> fra1Rate(new SimpleQuote(0.002930));
ext::shared_ptr<Quote> fra2Rate(new SimpleQuote(0.002720));
ext::shared_ptr<Quote> fra3Rate(new SimpleQuote(0.002600));
ext::shared_ptr<Quote> fra4Rate(new SimpleQuote(0.002560));
ext::shared_ptr<Quote> fra5Rate(new SimpleQuote(0.002520));
ext::shared_ptr<Quote> fra6Rate(new SimpleQuote(0.002480));
ext::shared_ptr<Quote> fra7Rate(new SimpleQuote(0.002540));
ext::shared_ptr<Quote> fra8Rate(new SimpleQuote(0.002610));
ext::shared_ptr<Quote> fra9Rate(new SimpleQuote(0.002670));
ext::shared_ptr<Quote> fra10Rate(new SimpleQuote(0.002790));
ext::shared_ptr<Quote> fra11Rate(new SimpleQuote(0.002910));
ext::shared_ptr<Quote> fra12Rate(new SimpleQuote(0.003030));
ext::shared_ptr<Quote> fra13Rate(new SimpleQuote(0.003180));
ext::shared_ptr<Quote> fra14Rate(new SimpleQuote(0.003350));
ext::shared_ptr<Quote> fra15Rate(new SimpleQuote(0.003520));
ext::shared_ptr<Quote> fra16Rate(new SimpleQuote(0.003710));
ext::shared_ptr<Quote> fra17Rate(new SimpleQuote(0.003890));
ext::shared_ptr<Quote> fra18Rate(new SimpleQuote(0.004090));
//swaps
ext::shared_ptr<Quote> s3yRate(new SimpleQuote(0.004240));
ext::shared_ptr<Quote> s4yRate(new SimpleQuote(0.005760));
ext::shared_ptr<Quote> s5yRate(new SimpleQuote(0.007620));
ext::shared_ptr<Quote> s6yRate(new SimpleQuote(0.009540));
ext::shared_ptr<Quote> s7yRate(new SimpleQuote(0.011350));
ext::shared_ptr<Quote> s8yRate(new SimpleQuote(0.013030));
ext::shared_ptr<Quote> s9yRate(new SimpleQuote(0.014520));
ext::shared_ptr<Quote> s10yRate(new SimpleQuote(0.015840));
ext::shared_ptr<Quote> s12yRate(new SimpleQuote(0.018090));
ext::shared_ptr<Quote> s15yRate(new SimpleQuote(0.020370));
ext::shared_ptr<Quote> s20yRate(new SimpleQuote(0.021870));
ext::shared_ptr<Quote> s25yRate(new SimpleQuote(0.022340));
ext::shared_ptr<Quote> s30yRate(new SimpleQuote(0.022560));
ext::shared_ptr<Quote> s35yRate(new SimpleQuote(0.022950));
ext::shared_ptr<Quote> s40yRate(new SimpleQuote(0.023480));
ext::shared_ptr<Quote> s50yRate(new SimpleQuote(0.024210));
ext::shared_ptr<Quote> s60yRate(new SimpleQuote(0.024630));
ext::shared_ptr<RateHelper> d6M(new DepositRateHelper(
Handle<Quote>(d6MRate),
6 * Months, 3,
calendar, Following,
false, depositDayCounter));
ext::shared_ptr<RateHelper> fra1(new FraRateHelper(
Handle<Quote>(fra1Rate),
1, euribor6M));
ext::shared_ptr<RateHelper> fra2(new FraRateHelper(
Handle<Quote>(fra2Rate),
2, euribor6M));
ext::shared_ptr<RateHelper> fra3(new FraRateHelper(
Handle<Quote>(fra3Rate),
3, euribor6M));
ext::shared_ptr<RateHelper> fra4(new FraRateHelper(
Handle<Quote>(fra4Rate),
4, euribor6M));
ext::shared_ptr<RateHelper> fra5(new FraRateHelper(
Handle<Quote>(fra5Rate),
5, euribor6M));
ext::shared_ptr<RateHelper> fra6(new FraRateHelper(
Handle<Quote>(fra6Rate),
6, euribor6M));
ext::shared_ptr<RateHelper> fra7(new FraRateHelper(
Handle<Quote>(fra7Rate),
7, euribor6M));
ext::shared_ptr<RateHelper> fra8(new FraRateHelper(
Handle<Quote>(fra8Rate),
8, euribor6M));
ext::shared_ptr<RateHelper> fra9(new FraRateHelper(
Handle<Quote>(fra9Rate),
9, euribor6M));
ext::shared_ptr<RateHelper> fra10(new FraRateHelper(
Handle<Quote>(fra10Rate),
10, euribor6M));
ext::shared_ptr<RateHelper> fra11(new FraRateHelper(
Handle<Quote>(fra11Rate),
11, euribor6M));
ext::shared_ptr<RateHelper> fra12(new FraRateHelper(
Handle<Quote>(fra12Rate),
12, euribor6M));
ext::shared_ptr<RateHelper> fra13(new FraRateHelper(
Handle<Quote>(fra13Rate),
13, euribor6M));
ext::shared_ptr<RateHelper> fra14(new FraRateHelper(
Handle<Quote>(fra14Rate),
14, euribor6M));
ext::shared_ptr<RateHelper> fra15(new FraRateHelper(
Handle<Quote>(fra15Rate),
15, euribor6M));
ext::shared_ptr<RateHelper> fra16(new FraRateHelper(
Handle<Quote>(fra16Rate),
16, euribor6M));
ext::shared_ptr<RateHelper> fra17(new FraRateHelper(
Handle<Quote>(fra17Rate),
17, euribor6M));
ext::shared_ptr<RateHelper> fra18(new FraRateHelper(
Handle<Quote>(fra18Rate),
18, euribor6M));
// setup swaps
Frequency swFixedLegFrequency = Annual;
BusinessDayConvention swFixedLegConvention = Unadjusted;
DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);
ext::shared_ptr<IborIndex> swFloatingLegIndex(new Euribor6M);
ext::shared_ptr<RateHelper> s3y(new SwapRateHelper(
Handle<Quote>(s3yRate), 3 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s4y(new SwapRateHelper(
Handle<Quote>(s4yRate), 4 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s5y(new SwapRateHelper(
Handle<Quote>(s5yRate), 5 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s6y(new SwapRateHelper(
Handle<Quote>(s6yRate), 6 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s7y(new SwapRateHelper(
Handle<Quote>(s7yRate), 7 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s8y(new SwapRateHelper(
Handle<Quote>(s8yRate), 8 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s9y(new SwapRateHelper(
Handle<Quote>(s9yRate), 9 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s10y(new SwapRateHelper(
Handle<Quote>(s10yRate), 10 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s12y(new SwapRateHelper(
Handle<Quote>(s12yRate), 12 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s15y(new SwapRateHelper(
Handle<Quote>(s15yRate), 15 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s20y(new SwapRateHelper(
Handle<Quote>(s20yRate), 20 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s25y(new SwapRateHelper(
Handle<Quote>(s25yRate), 25 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s30y(new SwapRateHelper(
Handle<Quote>(s30yRate), 30 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s35y(new SwapRateHelper(
Handle<Quote>(s35yRate), 35 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s40y(new SwapRateHelper(
Handle<Quote>(s40yRate), 40 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s50y(new SwapRateHelper(
Handle<Quote>(s50yRate), 50 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
ext::shared_ptr<RateHelper> s60y(new SwapRateHelper(
Handle<Quote>(s60yRate), 60 * Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,
Handle<Quote>(), 0 * Days, discountingTermStructure));
// Euribor 6M curve
std::vector<ext::shared_ptr<RateHelper> > euribor6MInstruments;
euribor6MInstruments.push_back(d6M);
euribor6MInstruments.push_back(fra1);
euribor6MInstruments.push_back(fra2);
euribor6MInstruments.push_back(fra3);
euribor6MInstruments.push_back(fra4);
euribor6MInstruments.push_back(fra5);
euribor6MInstruments.push_back(fra6);
euribor6MInstruments.push_back(fra7);
euribor6MInstruments.push_back(fra8);
euribor6MInstruments.push_back(fra9);
euribor6MInstruments.push_back(fra10);
euribor6MInstruments.push_back(fra11);
euribor6MInstruments.push_back(fra12);
euribor6MInstruments.push_back(fra13);
euribor6MInstruments.push_back(fra14);
euribor6MInstruments.push_back(fra15);
euribor6MInstruments.push_back(fra16);
euribor6MInstruments.push_back(fra17);
euribor6MInstruments.push_back(fra18);
euribor6MInstruments.push_back(s3y);
euribor6MInstruments.push_back(s4y);
euribor6MInstruments.push_back(s5y);
euribor6MInstruments.push_back(s6y);
euribor6MInstruments.push_back(s7y);
euribor6MInstruments.push_back(s8y);
euribor6MInstruments.push_back(s9y);
euribor6MInstruments.push_back(s10y);
euribor6MInstruments.push_back(s12y);
euribor6MInstruments.push_back(s15y);
euribor6MInstruments.push_back(s20y);
euribor6MInstruments.push_back(s25y);
euribor6MInstruments.push_back(s30y);
euribor6MInstruments.push_back(s35y);
euribor6MInstruments.push_back(s40y);
euribor6MInstruments.push_back(s50y);
euribor6MInstruments.push_back(s60y);
// If needed, it's possible to change the tolerance; the default is 1.0e-12.
double tolerance = 1.0e-15;
// The tolerance is passed in an explicit bootstrap object. Depending on
// the bootstrap algorithm, it's possible to pass other parameters.
ext::shared_ptr<YieldTermStructure> euribor6MTermStructure(
new PiecewiseYieldCurve<Discount, Cubic>(
settlementDate, euribor6MInstruments,
termStructureDayCounter,
PiecewiseYieldCurve<Discount, Cubic>::bootstrap_type(tolerance)));
/*********************
* SWAPS TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
Real nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Annual;
BusinessDayConvention fixedLegConvention = Unadjusted;
BusinessDayConvention floatingLegConvention = ModifiedFollowing;
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
Rate fixedRate = 0.007;
DayCounter floatingLegDayCounter = Actual360();
// floating leg
Frequency floatingLegFrequency = Semiannual;
ext::shared_ptr<IborIndex> euriborIndex(
new Euribor6M(forecastingTermStructure));
Spread spread = 0.0;
Integer lengthInYears = 5;
VanillaSwap::Type swapType = VanillaSwap::Payer;
Date maturity = settlementDate + lengthInYears*Years;
Schedule fixedSchedule(settlementDate, maturity,
Period(fixedLegFrequency),
calendar, fixedLegConvention,
fixedLegConvention,
DateGeneration::Forward, false);
Schedule floatSchedule(settlementDate, maturity,
Period(floatingLegFrequency),
calendar, floatingLegConvention,
floatingLegConvention,
DateGeneration::Forward, false);
VanillaSwap spot5YearSwap(swapType, nominal,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread,
floatingLegDayCounter);
Date fwdStart = calendar.advance(settlementDate, 1, Years);
Date fwdMaturity = fwdStart + lengthInYears*Years;
Schedule fwdFixedSchedule(fwdStart, fwdMaturity,
Period(fixedLegFrequency),
calendar, fixedLegConvention,
fixedLegConvention,
DateGeneration::Forward, false);
Schedule fwdFloatSchedule(fwdStart, fwdMaturity,
Period(floatingLegFrequency),
calendar, floatingLegConvention,
floatingLegConvention,
DateGeneration::Forward, false);
VanillaSwap oneYearForward5YearSwap(swapType, nominal,
fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread,
floatingLegDayCounter);
/***************
* SWAP PRICING *
****************/
// utilities for reporting
std::vector<std::string> headers(4);
headers[0] = "term structure";
headers[1] = "net present value";
headers[2] = "fair spread";
headers[3] = "fair fixed rate";
std::string separator = " | ";
Size width = headers[0].size() + separator.size()
+ headers[1].size() + separator.size()
+ headers[2].size() + separator.size()
+ headers[3].size() + separator.size() - 1;
std::string rule(width, '-'), dblrule(width, '=');
std::string tab(8, ' ');
// calculations
std::cout << dblrule << std::endl;
std::cout << "5-year market swap-rate = "
<< std::setprecision(2) << io::rate(s5yRate->value())
<< std::endl;
std::cout << dblrule << std::endl;
std::cout << tab << "5-years swap paying "
<< io::rate(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
Real NPV;
Rate fairRate;
Spread fairSpread;
ext::shared_ptr<PricingEngine> swapEngine(
new DiscountingSwapEngine(discountingTermStructure));
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
// Of course, you're not forced to really use different curves
forecastingTermStructure.linkTo(euribor6MTermStructure);
discountingTermStructure.linkTo(eoniaTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "eonia disc" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
// let's check that the 5 years swap has been correctly re-priced
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced by "
<< io::rate(std::fabs(fairRate-s5yRate->value())));
forecastingTermStructure.linkTo(euribor6MTermStructure);
discountingTermStructure.linkTo(euribor6MTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "euribor disc" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
std::cout << rule << std::endl;
// now let's price the 1Y forward 5Y swap
std::cout << tab << "5-years, 1-year forward swap paying "
<< io::rate(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.linkTo(euribor6MTermStructure);
discountingTermStructure.linkTo(eoniaTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "eonia disc" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.linkTo(euribor6MTermStructure);
discountingTermStructure.linkTo(euribor6MTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "euribor disc" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
// now let's say that the 5-years swap rate goes up to 0.009%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we're using SimpleQuotes,
// we'll have to change the value manually--which forces us to
// downcast the handle and use the SimpleQuote
// interface. In any case, the point here is that a change in the
// value contained in the Quote triggers a new bootstrapping
// of the curve and a repricing of the swap.
ext::shared_ptr<SimpleQuote> fiveYearsRate =
ext::dynamic_pointer_cast<SimpleQuote>(s5yRate);
fiveYearsRate->setValue(0.0090);
std::cout << dblrule << std::endl;
std::cout << "5-year market swap-rate = "
<< io::rate(s5yRate->value()) << std::endl;
std::cout << dblrule << std::endl;
std::cout << tab << "5-years swap paying "
<< io::rate(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
// now get the updated results
forecastingTermStructure.linkTo(euribor6MTermStructure);
discountingTermStructure.linkTo(eoniaTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "eonia disc" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
forecastingTermStructure.linkTo(euribor6MTermStructure);
discountingTermStructure.linkTo(euribor6MTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "euribor disc" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
std::cout << rule << std::endl;
// the 1Y forward 5Y swap changes as well
std::cout << tab << "5-years, 1-year forward swap paying "
<< io::rate(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.linkTo(euribor6MTermStructure);
discountingTermStructure.linkTo(eoniaTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "eonia disc" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.linkTo(euribor6MTermStructure);
discountingTermStructure.linkTo(euribor6MTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "euribor disc" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< io::rate(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< io::rate(fairRate) << separator;
std::cout << std::endl;
return 0;
} catch (std::exception& e) {
std::cerr << e.what() << std::endl;
return 1;
} catch (...) {
std::cerr << "unknown error" << std::endl;
return 1;
}
}
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