# Copyright (C) 2004 StatPro Italia srl # # This file is part of QuantLib, a free-software/open-source library # for financial quantitative analysts and developers - http://quantlib.org/ # # QuantLib is free software: you can redistribute it and/or modify it under the # terms of the QuantLib license. You should have received a copy of the # license along with this program; if not, please email quantlib-dev@lists.sf.net # The license is also available online at http://quantlib.org/html/license.html # # This program is distributed in the hope that it will be useful, but WITHOUT # ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS # FOR A PARTICULAR PURPOSE. See the license for more details. require 'QuantLib' include QuantLib # global data calendar = TARGET.new todaysDate = Date.new(6,11,2001); Settings.instance.evaluationDate = todaysDate settlementDate = Date.new(8,11,2001); # market quotes deposits = [ [1,'week', SimpleQuote.new(0.0382)], [1,'month', SimpleQuote.new(0.0372)], [3,'months', SimpleQuote.new(0.0363)], [6,'months', SimpleQuote.new(0.0353)], [9,'months', SimpleQuote.new(0.0348)], [1,'year', SimpleQuote.new(0.0345)] ] fras = { [3,6] => SimpleQuote.new(0.037125), [6,9] => SimpleQuote.new(0.037125), [9,12] => SimpleQuote.new(0.037125) } futures = { Date.new(19,12,2001) => SimpleQuote.new(96.2875), Date.new(20,3,2002) => SimpleQuote.new(96.7875), Date.new(19,6,2002) => SimpleQuote.new(96.9875), Date.new(18,9,2002) => SimpleQuote.new(96.6875), Date.new(18,12,2002) => SimpleQuote.new(96.4875), Date.new(19,3,2003) => SimpleQuote.new(96.3875), Date.new(18,6,2003) => SimpleQuote.new(96.2875), Date.new(17,9,2003) => SimpleQuote.new(96.0875) } swaps = { [2,'years'] => SimpleQuote.new(0.037125), [3,'years'] => SimpleQuote.new(0.0398), [5,'years'] => SimpleQuote.new(0.0443), [10,'years'] => SimpleQuote.new(0.05165), [15,'years'] => SimpleQuote.new(0.055175) } # build rate helpers dayCounter = Actual360.new settlementDays = 2 depositHelpers = deposits.map { |n,unit,v| DepositRateHelper.new(QuoteHandle.new(v), n, unit, settlementDays, calendar, 'mf', dayCounter) } dayCounter = Actual360.new settlementDays = 2 fraHelpers = fras.map { |(n,m),v| FraRateHelper.new(QuoteHandle.new(v), n, m, settlementDays, calendar, 'mf', dayCounter) } dayCounter = Actual360.new months = 3 futuresHelpers = futures.map { |d,v| FuturesRateHelper.new(QuoteHandle.new(v), d, months, calendar, 'mf', dayCounter) } settlementDays = 2 fixedLegFrequency = 1 fixedLegAdjustment = 'unadjusted' fixedLegDayCounter = Thirty360.new floatingLegFrequency = 2 floatingLegAdjustment = 'modifiedfollowing' swapHelpers = swaps.map {|(n,unit),v| SwapRateHelper.new(QuoteHandle.new(v), n, unit, settlementDays, calendar, fixedLegFrequency, fixedLegAdjustment, fixedLegDayCounter, floatingLegFrequency, floatingLegAdjustment) } # term structure handles discountTermStructure = YieldTermStructureHandle.new forecastTermStructure = YieldTermStructureHandle.new # term-structure construction helpers = depositHelpers[0..1] + futuresHelpers + swapHelpers[1..-1] depoFuturesSwapCurve = PiecewiseFlatForward.new(settlementDate, helpers, Actual360.new) helpers = depositHelpers[0..2] + fraHelpers + swapHelpers depoFraSwapCurve = PiecewiseFlatForward.new(settlementDate, helpers, Actual360.new) # swaps to be priced nominal = 1000000 length = 5 maturity = calendar.advance(settlementDate,length,'years') payFixed = true fixedLegFrequency = 1 fixedLegAdjustment = 'unadjusted' fixedLegDayCounter = Thirty360.new fixedRate = 0.04 floatingLegFrequency = 2 spread = 0.0 fixingDays = 2 index = Euribor.new(6, 'months', forecastTermStructure) floatingLegAdjustment = 'modifiedfollowing' fixedSchedule = Schedule.new(calendar, settlementDate, maturity, fixedLegFrequency, fixedLegAdjustment) floatingSchedule = Schedule.new(calendar, settlementDate, maturity, floatingLegFrequency, floatingLegAdjustment) spot = SimpleSwap.new(payFixed, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatingSchedule, index, fixingDays, spread, discountTermStructure) forwardStart = calendar.advance(settlementDate,1,'year') forwardEnd = calendar.advance(forwardStart,length,'years') fixedSchedule = Schedule.new(calendar, forwardStart, forwardEnd, fixedLegFrequency, fixedLegAdjustment) floatingSchedule = Schedule.new(calendar, forwardStart, forwardEnd, floatingLegFrequency, floatingLegAdjustment) forward = SimpleSwap.new(payFixed, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatingSchedule, index, fixingDays, spread, discountTermStructure) # price on the bootstrapped curves def formatPrice(p,digits=2) format = "%.#{digits}f" return sprintf(format, p) end def formatRate(r,digits=2) format = "%.#{digits}f %%" return sprintf(format,r*100) end Format = '%17s |%17s |%17s |%17s' header = sprintf(Format,"term structure", "net present value", "fair spread", "fair fixed rate") width = header.length rule = "-" * width dblrule = "=" * width tab = " " * 8 def report(swap, name) puts sprintf(Format, name, formatPrice(swap.NPV,2), formatRate(swap.fairSpread,4), formatRate(swap.fairRate,4)) end puts dblrule puts "5-year market swap-rate = #{formatRate(swaps[[5,'years']].value)}" puts dblrule # price on two different term structures puts "#{tab}5-years swap paying #{formatRate(fixedRate)}" puts header puts rule discountTermStructure.linkTo!(depoFuturesSwapCurve) forecastTermStructure.linkTo!(depoFuturesSwapCurve) report(spot,'depo-fut-swap') discountTermStructure.linkTo!(depoFraSwapCurve) forecastTermStructure.linkTo!(depoFraSwapCurve) report(spot,'depo-FRA-swap') puts rule # price the 1-year forward swap puts "#{tab}5-years, 1-year forward swap paying #{formatRate(fixedRate)}" puts rule discountTermStructure.linkTo!(depoFuturesSwapCurve) forecastTermStructure.linkTo!(depoFuturesSwapCurve) report(forward,'depo-fut-swap') discountTermStructure.linkTo!(depoFraSwapCurve) forecastTermStructure.linkTo!(depoFraSwapCurve) report(forward,'depo-FRA-swap') # modify the 5-years swap rate and reprice swaps[[5,'years']].value = 0.046 puts dblrule puts "5-year market swap-rate = #{formatRate(swaps[[5,'years']].value)}" puts dblrule puts "#{tab}5-years swap paying #{formatRate(fixedRate)}" puts header puts rule discountTermStructure.linkTo!(depoFuturesSwapCurve) forecastTermStructure.linkTo!(depoFuturesSwapCurve) report(spot,'depo-fut-swap') discountTermStructure.linkTo!(depoFraSwapCurve) forecastTermStructure.linkTo!(depoFraSwapCurve) report(spot,'depo-FRA-swap') puts rule puts "#{tab}5-years, 1-year forward swap paying #{formatRate(fixedRate)}" puts rule discountTermStructure.linkTo!(depoFuturesSwapCurve) forecastTermStructure.linkTo!(depoFuturesSwapCurve) report(forward,'depo-fut-swap') discountTermStructure.linkTo!(depoFraSwapCurve) forecastTermStructure.linkTo!(depoFraSwapCurve) report(forward,'depo-FRA-swap')