# Copyright (C) 2004, 2005, 2006, 2007 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 # . The license is also available online at # . # # 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,November,2001); Settings.instance.evaluationDate = todaysDate settlementDate = Date.new(8,November,2001); # market quotes deposits = [ [1, Weeks, SimpleQuote.new(0.0382)], [1, Months, SimpleQuote.new(0.0372)], [3, Months, SimpleQuote.new(0.0363)], [6, Months, SimpleQuote.new(0.0353)], [9, Months, SimpleQuote.new(0.0348)], [1, Years, 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), Period.new(n,unit), settlementDays, calendar, ModifiedFollowing, false, dayCounter) } dayCounter = Actual360.new settlementDays = 2 fraHelpers = fras.map { |(n,m),v| FraRateHelper.new(QuoteHandle.new(v), n, m, settlementDays, calendar, ModifiedFollowing, false, dayCounter) } dayCounter = Actual360.new months = 3 futuresHelpers = futures.map { |d,v| FuturesRateHelper.new(QuoteHandle.new(v), d, months, calendar, ModifiedFollowing, true, dayCounter, QuoteHandle.new(SimpleQuote.new(0.0))) } settlementDays = 2 fixedLegFrequency = Annual fixedLegAdjustment = Unadjusted fixedLegDayCounter = Thirty360.new floatingLegFrequency = Semiannual floatingLegAdjustment = ModifiedFollowing swapHelpers = swaps.map {|(n,unit),v| SwapRateHelper.new(QuoteHandle.new(v), Period.new(n,unit), calendar, fixedLegFrequency, fixedLegAdjustment, fixedLegDayCounter, Euribor6M.new) } # term structure handles discountTermStructure = RelinkableYieldTermStructureHandle.new forecastTermStructure = RelinkableYieldTermStructureHandle.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 swapEngine = DiscountingSwapEngine.new(discountTermStructure) nominal = 1000000 length = 5 maturity = calendar.advance(settlementDate,length,Years) payFixed = VanillaSwap::Payer fixedLegFrequency = Annual fixedLegTenor = Period.new(1,Years) fixedLegAdjustment = Unadjusted fixedLegDayCounter = Thirty360.new fixedRate = 0.04 floatingLegFrequency = Semiannual floatingLegTenor = Period.new(6,Months) spread = 0.0 fixingDays = 2 index = Euribor6M.new(forecastTermStructure) floatingLegAdjustment = ModifiedFollowing floatingLegDayCounter = index.dayCounter fixedSchedule = Schedule.new(settlementDate, maturity, fixedLegTenor, calendar, fixedLegAdjustment, fixedLegAdjustment, DateGeneration::Forward, false) floatingSchedule = Schedule.new(settlementDate, maturity, floatingLegTenor, calendar, floatingLegAdjustment, floatingLegAdjustment, DateGeneration::Forward, false) spot = VanillaSwap.new(payFixed, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatingSchedule, index, spread, floatingLegDayCounter) spot.pricingEngine = swapEngine forwardStart = calendar.advance(settlementDate,1,Years) forwardEnd = calendar.advance(forwardStart,length,Years) fixedSchedule = Schedule.new(forwardStart, forwardEnd, fixedLegTenor, calendar, fixedLegAdjustment, fixedLegAdjustment, DateGeneration::Forward, false) floatingSchedule = Schedule.new(forwardStart, forwardEnd, floatingLegTenor, calendar, floatingLegAdjustment, floatingLegAdjustment, DateGeneration::Forward, false) forward = VanillaSwap.new(payFixed, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatingSchedule, index, spread, floatingLegDayCounter) forward.pricingEngine = swapEngine # 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')