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<h1>swapvaluation.cpp</h1>This is an example of using the QuantLib Term Structure for pricing a simple swap.<p>
<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<a name="l00002"></a>00002
<a name="l00022"></a>00022 <span class="comment">/* This example shows how to set up a Term Structure and then price a simple</span>
<a name="l00023"></a>00023 <span class="comment"> swap.</span>
<a name="l00024"></a>00024 <span class="comment">*/</span>
<a name="l00025"></a>00025
<a name="l00026"></a>00026 <span class="comment">// the only header you need to use QuantLib</span>
<a name="l00027"></a>00027 <span class="preprocessor">#define BOOST_LIB_DIAGNOSTIC</span>
<a name="l00028"></a>00028 <span class="preprocessor"></span><span class="preprocessor"># include <ql/quantlib.hpp></span>
<a name="l00029"></a>00029 <span class="preprocessor">#undef BOOST_LIB_DIAGNOSTIC</span>
<a name="l00030"></a>00030 <span class="preprocessor"></span>
<a name="l00031"></a>00031 <span class="preprocessor">#ifdef BOOST_MSVC</span>
<a name="l00032"></a>00032 <span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<a name="l00033"></a>00033 <span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<a name="l00034"></a>00034 <span class="comment"></span>
<a name="l00035"></a>00035 <span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<a name="l00036"></a>00036 <span class="comment"> Is there anyone with a definitive word about this?</span>
<a name="l00037"></a>00037 <span class="comment">*/</span>
<a name="l00038"></a>00038 <span class="comment">// #include <float.h></span>
<a name="l00039"></a>00039 <span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<a name="l00040"></a>00040 <span class="preprocessor">#endif</span>
<a name="l00041"></a>00041 <span class="preprocessor"></span>
<a name="l00042"></a>00042 <span class="preprocessor">#include <boost/timer.hpp></span>
<a name="l00043"></a>00043 <span class="preprocessor">#include <iostream></span>
<a name="l00044"></a>00044 <span class="preprocessor">#include <iomanip></span>
<a name="l00045"></a>00045
<a name="l00046"></a>00046 <span class="keyword">using namespace </span>QuantLib;
<a name="l00047"></a>00047
<a name="l00048"></a>00048 <span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<a name="l00049"></a>00049 <span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="l00050"></a>00050
<a name="l00051"></a>00051 <a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
<a name="l00052"></a>00052
<a name="l00053"></a>00053 }
<a name="l00054"></a>00054 <span class="preprocessor">#endif</span>
<a name="l00055"></a>00055 <span class="preprocessor"></span>
<a name="l00056"></a>00056
<a name="l00057"></a>00057 <span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* [])
<a name="l00058"></a>00058 {
<a name="l00059"></a>00059 <span class="keywordflow">try</span> {
<a name="l00060"></a>00060 <a name="a1"></a><a class="code" href="group__misc_macros.html#g11d8e34f54505b0bf6f550508278673d">QL_IO_INIT</a>
<a name="l00061"></a>00061
<a name="l00062"></a>00062 boost::timer timer;
<a name="l00063"></a>00063 std::cout << std::endl;
<a name="l00064"></a>00064
<a name="l00065"></a>00065 <span class="comment">/*********************</span>
<a name="l00066"></a>00066 <span class="comment"> *** MARKET DATA ***</span>
<a name="l00067"></a>00067 <span class="comment"> *********************/</span>
<a name="l00068"></a>00068
<a name="l00069"></a>00069 <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_calendar.html">Calendar</a> calendar = <a name="_a3"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html">TARGET</a>();
<a name="l00070"></a>00070 <span class="comment">// uncommenting the following line generates an error</span>
<a name="l00071"></a>00071 <span class="comment">// calendar = Tokyo();</span>
<a name="l00072"></a>00072 <a name="_a4"></a><a class="code" href="class_quant_lib_1_1_date.html">Date</a> settlementDate(22, September, 2004);
<a name="l00073"></a>00073 <span class="comment">// must be a business day</span>
<a name="l00074"></a>00074 settlementDate = calendar.<a name="a5"></a><a class="code" href="class_quant_lib_1_1_calendar.html#8ae8c4c962667ddf0c19c99142c667b6">adjust</a>(settlementDate);
<a name="l00075"></a>00075
<a name="l00076"></a>00076 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> fixingDays = 2;
<a name="l00077"></a>00077 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> todaysDate = calendar.<a name="a6"></a><a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate, -fixingDays, Days);
<a name="l00078"></a>00078 <span class="comment">// nothing to do with Date::todaysDate</span>
<a name="l00079"></a>00079 Settings::instance().evaluationDate() = todaysDate;
<a name="l00080"></a>00080
<a name="l00081"></a>00081
<a name="l00082"></a>00082 todaysDate = Settings::instance().evaluationDate();
<a name="l00083"></a>00083 std::cout << <span class="stringliteral">"Today: "</span> << todaysDate.<a name="a7"></a><a class="code" href="class_quant_lib_1_1_date.html#8beb14a6b168772900b48e3161b4c0e6">weekday</a>()
<a name="l00084"></a>00084 << <span class="stringliteral">", "</span> << todaysDate << std::endl;
<a name="l00085"></a>00085
<a name="l00086"></a>00086 std::cout << <span class="stringliteral">"Settlement date: "</span> << settlementDate.<a class="code" href="class_quant_lib_1_1_date.html#8beb14a6b168772900b48e3161b4c0e6">weekday</a>()
<a name="l00087"></a>00087 << <span class="stringliteral">", "</span> << settlementDate << std::endl;
<a name="l00088"></a>00088
<a name="l00089"></a>00089 <span class="comment">// deposits</span>
<a name="l00090"></a>00090 <a name="a8"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> d1wQuote=0.0382;
<a name="l00091"></a>00091 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> d1mQuote=0.0372;
<a name="l00092"></a>00092 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> d3mQuote=0.0363;
<a name="l00093"></a>00093 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> d6mQuote=0.0353;
<a name="l00094"></a>00094 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> d9mQuote=0.0348;
<a name="l00095"></a>00095 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> d1yQuote=0.0345;
<a name="l00096"></a>00096 <span class="comment">// FRAs</span>
<a name="l00097"></a>00097 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fra3x6Quote=0.037125;
<a name="l00098"></a>00098 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fra6x9Quote=0.037125;
<a name="l00099"></a>00099 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fra6x12Quote=0.037125;
<a name="l00100"></a>00100 <span class="comment">// futures</span>
<a name="l00101"></a>00101 <a name="a9"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fut1Quote=96.2875;
<a name="l00102"></a>00102 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fut2Quote=96.7875;
<a name="l00103"></a>00103 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fut3Quote=96.9875;
<a name="l00104"></a>00104 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fut4Quote=96.6875;
<a name="l00105"></a>00105 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fut5Quote=96.4875;
<a name="l00106"></a>00106 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fut6Quote=96.3875;
<a name="l00107"></a>00107 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fut7Quote=96.2875;
<a name="l00108"></a>00108 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fut8Quote=96.0875;
<a name="l00109"></a>00109 <span class="comment">// swaps</span>
<a name="l00110"></a>00110 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> s2yQuote=0.037125;
<a name="l00111"></a>00111 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> s3yQuote=0.0398;
<a name="l00112"></a>00112 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> s5yQuote=0.0443;
<a name="l00113"></a>00113 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> s10yQuote=0.05165;
<a name="l00114"></a>00114 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> s15yQuote=0.055175;
<a name="l00115"></a>00115
<a name="l00116"></a>00116
<a name="l00117"></a>00117 <span class="comment">/********************</span>
<a name="l00118"></a>00118 <span class="comment"> *** QUOTES ***</span>
<a name="l00119"></a>00119 <span class="comment"> ********************/</span>
<a name="l00120"></a>00120
<a name="l00121"></a>00121 <span class="comment">// SimpleQuote stores a value which can be manually changed;</span>
<a name="l00122"></a>00122 <span class="comment">// other Quote subclasses could read the value from a database</span>
<a name="l00123"></a>00123 <span class="comment">// or some kind of data feed.</span>
<a name="l00124"></a>00124
<a name="l00125"></a>00125 <span class="comment">// deposits</span>
<a name="l00126"></a>00126 boost::shared_ptr<Quote> d1wRate(<span class="keyword">new</span> <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(d1wQuote));
<a name="l00127"></a>00127 boost::shared_ptr<Quote> d1mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(d1mQuote));
<a name="l00128"></a>00128 boost::shared_ptr<Quote> d3mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(d3mQuote));
<a name="l00129"></a>00129 boost::shared_ptr<Quote> d6mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(d6mQuote));
<a name="l00130"></a>00130 boost::shared_ptr<Quote> d9mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(d9mQuote));
<a name="l00131"></a>00131 boost::shared_ptr<Quote> d1yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(d1yQuote));
<a name="l00132"></a>00132 <span class="comment">// FRAs</span>
<a name="l00133"></a>00133 boost::shared_ptr<Quote> fra3x6Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fra3x6Quote));
<a name="l00134"></a>00134 boost::shared_ptr<Quote> fra6x9Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fra6x9Quote));
<a name="l00135"></a>00135 boost::shared_ptr<Quote> fra6x12Rate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fra6x12Quote));
<a name="l00136"></a>00136 <span class="comment">// futures</span>
<a name="l00137"></a>00137 boost::shared_ptr<Quote> fut1Price(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fut1Quote));
<a name="l00138"></a>00138 boost::shared_ptr<Quote> fut2Price(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fut2Quote));
<a name="l00139"></a>00139 boost::shared_ptr<Quote> fut3Price(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fut3Quote));
<a name="l00140"></a>00140 boost::shared_ptr<Quote> fut4Price(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fut4Quote));
<a name="l00141"></a>00141 boost::shared_ptr<Quote> fut5Price(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fut5Quote));
<a name="l00142"></a>00142 boost::shared_ptr<Quote> fut6Price(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fut6Quote));
<a name="l00143"></a>00143 boost::shared_ptr<Quote> fut7Price(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fut7Quote));
<a name="l00144"></a>00144 boost::shared_ptr<Quote> fut8Price(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(fut8Quote));
<a name="l00145"></a>00145 <span class="comment">// swaps</span>
<a name="l00146"></a>00146 boost::shared_ptr<Quote> s2yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(s2yQuote));
<a name="l00147"></a>00147 boost::shared_ptr<Quote> s3yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(s3yQuote));
<a name="l00148"></a>00148 boost::shared_ptr<Quote> s5yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(s5yQuote));
<a name="l00149"></a>00149 boost::shared_ptr<Quote> s10yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(s10yQuote));
<a name="l00150"></a>00150 boost::shared_ptr<Quote> s15yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(s15yQuote));
<a name="l00151"></a>00151
<a name="l00152"></a>00152
<a name="l00153"></a>00153 <span class="comment">/*********************</span>
<a name="l00154"></a>00154 <span class="comment"> *** RATE HELPERS ***</span>
<a name="l00155"></a>00155 <span class="comment"> *********************/</span>
<a name="l00156"></a>00156
<a name="l00157"></a>00157 <span class="comment">// RateHelpers are built from the above quotes together with</span>
<a name="l00158"></a>00158 <span class="comment">// other instrument dependant infos. Quotes are passed in</span>
<a name="l00159"></a>00159 <span class="comment">// relinkable handles which could be relinked to some other</span>
<a name="l00160"></a>00160 <span class="comment">// data source later.</span>
<a name="l00161"></a>00161
<a name="l00162"></a>00162 <span class="comment">// deposits</span>
<a name="l00163"></a>00163 <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> depositDayCounter = <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_actual360.html">Actual360</a>();
<a name="l00164"></a>00164
<a name="l00165"></a>00165 boost::shared_ptr<RateHelper> d1w(<span class="keyword">new</span> <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html">DepositRateHelper</a>(
<a name="l00166"></a>00166 <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d1wRate),
<a name="l00167"></a>00167 1*Weeks, fixingDays,
<a name="l00168"></a>00168 calendar, <a name="a15"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, depositDayCounter));
<a name="l00169"></a>00169 boost::shared_ptr<RateHelper> d1m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html">DepositRateHelper</a>(
<a name="l00170"></a>00170 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d1mRate),
<a name="l00171"></a>00171 1*Months, fixingDays,
<a name="l00172"></a>00172 calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, depositDayCounter));
<a name="l00173"></a>00173 boost::shared_ptr<RateHelper> d3m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html">DepositRateHelper</a>(
<a name="l00174"></a>00174 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d3mRate),
<a name="l00175"></a>00175 3*Months, fixingDays,
<a name="l00176"></a>00176 calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, depositDayCounter));
<a name="l00177"></a>00177 boost::shared_ptr<RateHelper> d6m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html">DepositRateHelper</a>(
<a name="l00178"></a>00178 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d6mRate),
<a name="l00179"></a>00179 6*Months, fixingDays,
<a name="l00180"></a>00180 calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, depositDayCounter));
<a name="l00181"></a>00181 boost::shared_ptr<RateHelper> d9m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html">DepositRateHelper</a>(
<a name="l00182"></a>00182 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d9mRate),
<a name="l00183"></a>00183 9*Months, fixingDays,
<a name="l00184"></a>00184 calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, depositDayCounter));
<a name="l00185"></a>00185 boost::shared_ptr<RateHelper> d1y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html">DepositRateHelper</a>(
<a name="l00186"></a>00186 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d1yRate),
<a name="l00187"></a>00187 1*Years, fixingDays,
<a name="l00188"></a>00188 calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, depositDayCounter));
<a name="l00189"></a>00189
<a name="l00190"></a>00190
<a name="l00191"></a>00191 <span class="comment">// setup FRAs</span>
<a name="l00192"></a>00192 boost::shared_ptr<RateHelper> fra3x6(<span class="keyword">new</span> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a>(
<a name="l00193"></a>00193 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fra3x6Rate),
<a name="l00194"></a>00194 3, 6, fixingDays, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00195"></a>00195 depositDayCounter));
<a name="l00196"></a>00196 boost::shared_ptr<RateHelper> fra6x9(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a>(
<a name="l00197"></a>00197 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fra6x9Rate),
<a name="l00198"></a>00198 6, 9, fixingDays, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00199"></a>00199 depositDayCounter));
<a name="l00200"></a>00200 boost::shared_ptr<RateHelper> fra6x12(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a>(
<a name="l00201"></a>00201 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fra6x12Rate),
<a name="l00202"></a>00202 6, 12, fixingDays, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00203"></a>00203 depositDayCounter));
<a name="l00204"></a>00204
<a name="l00205"></a>00205
<a name="l00206"></a>00206 <span class="comment">// setup futures</span>
<a name="l00207"></a>00207 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> convexityAdjustment = 0.0;
<a name="l00208"></a>00208 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> futMonths = 3;
<a name="l00209"></a>00209 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> imm = Date::nextIMMdate(settlementDate);
<a name="l00210"></a>00210 boost::shared_ptr<RateHelper> fut1(<span class="keyword">new</span> <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a>(
<a name="l00211"></a>00211 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fut1Price),
<a name="l00212"></a>00212 imm,
<a name="l00213"></a>00213 futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00214"></a>00214 depositDayCounter, convexityAdjustment));
<a name="l00215"></a>00215 imm = Date::nextIMMdate(imm+1);
<a name="l00216"></a>00216 boost::shared_ptr<RateHelper> fut2(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a>(
<a name="l00217"></a>00217 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fut1Price),
<a name="l00218"></a>00218 imm,
<a name="l00219"></a>00219 futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00220"></a>00220 depositDayCounter, convexityAdjustment));
<a name="l00221"></a>00221 imm = Date::nextIMMdate(imm+1);
<a name="l00222"></a>00222 boost::shared_ptr<RateHelper> fut3(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a>(
<a name="l00223"></a>00223 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fut1Price),
<a name="l00224"></a>00224 imm,
<a name="l00225"></a>00225 futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00226"></a>00226 depositDayCounter, convexityAdjustment));
<a name="l00227"></a>00227 imm = Date::nextIMMdate(imm+1);
<a name="l00228"></a>00228 boost::shared_ptr<RateHelper> fut4(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a>(
<a name="l00229"></a>00229 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fut1Price),
<a name="l00230"></a>00230 imm,
<a name="l00231"></a>00231 futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00232"></a>00232 depositDayCounter, convexityAdjustment));
<a name="l00233"></a>00233 imm = Date::nextIMMdate(imm+1);
<a name="l00234"></a>00234 boost::shared_ptr<RateHelper> fut5(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a>(
<a name="l00235"></a>00235 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fut1Price),
<a name="l00236"></a>00236 imm,
<a name="l00237"></a>00237 futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00238"></a>00238 depositDayCounter, convexityAdjustment));
<a name="l00239"></a>00239 imm = Date::nextIMMdate(imm+1);
<a name="l00240"></a>00240 boost::shared_ptr<RateHelper> fut6(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a>(
<a name="l00241"></a>00241 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fut1Price),
<a name="l00242"></a>00242 imm,
<a name="l00243"></a>00243 futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00244"></a>00244 depositDayCounter, convexityAdjustment));
<a name="l00245"></a>00245 imm = Date::nextIMMdate(imm+1);
<a name="l00246"></a>00246 boost::shared_ptr<RateHelper> fut7(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a>(
<a name="l00247"></a>00247 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fut1Price),
<a name="l00248"></a>00248 imm,
<a name="l00249"></a>00249 futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00250"></a>00250 depositDayCounter, convexityAdjustment));
<a name="l00251"></a>00251 imm = Date::nextIMMdate(imm+1);
<a name="l00252"></a>00252 boost::shared_ptr<RateHelper> fut8(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a>(
<a name="l00253"></a>00253 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(fut1Price),
<a name="l00254"></a>00254 imm,
<a name="l00255"></a>00255 futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a name="l00256"></a>00256 depositDayCounter, convexityAdjustment));
<a name="l00257"></a>00257
<a name="l00258"></a>00258
<a name="l00259"></a>00259 <span class="comment">// setup swaps</span>
<a name="l00260"></a>00260 <a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> swFixedLegFrequency = <a name="a18"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452ada508b18014c96e2d466c12b39d7f4e426">Annual</a>;
<a name="l00261"></a>00261 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> swFixedLegConvention = <a name="a19"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd3685fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a name="l00262"></a>00262 <a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> swFixedLegDayCounter = <a name="_a20"></a><a class="code" href="class_quant_lib_1_1_thirty360.html">Thirty360</a>(Thirty360::European);
<a name="l00263"></a>00263 boost::shared_ptr<Xibor> swFloatingLegIndex(<span class="keyword">new</span> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_euribor6_m.html">Euribor6M</a>);
<a name="l00264"></a>00264
<a name="l00265"></a>00265 boost::shared_ptr<RateHelper> s2y(<span class="keyword">new</span> <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_swap_rate_helper.html">SwapRateHelper</a>(
<a name="l00266"></a>00266 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s2yRate),
<a name="l00267"></a>00267 2*Years, fixingDays,
<a name="l00268"></a>00268 calendar, swFixedLegFrequency,
<a name="l00269"></a>00269 swFixedLegConvention, swFixedLegDayCounter,
<a name="l00270"></a>00270 swFloatingLegIndex));
<a name="l00271"></a>00271 boost::shared_ptr<RateHelper> s3y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html">SwapRateHelper</a>(
<a name="l00272"></a>00272 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s3yRate),
<a name="l00273"></a>00273 3*Years, fixingDays,
<a name="l00274"></a>00274 calendar, swFixedLegFrequency,
<a name="l00275"></a>00275 swFixedLegConvention, swFixedLegDayCounter,
<a name="l00276"></a>00276 swFloatingLegIndex));
<a name="l00277"></a>00277 boost::shared_ptr<RateHelper> s5y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html">SwapRateHelper</a>(
<a name="l00278"></a>00278 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s5yRate),
<a name="l00279"></a>00279 5*Years, fixingDays,
<a name="l00280"></a>00280 calendar, swFixedLegFrequency,
<a name="l00281"></a>00281 swFixedLegConvention, swFixedLegDayCounter,
<a name="l00282"></a>00282 swFloatingLegIndex));
<a name="l00283"></a>00283 boost::shared_ptr<RateHelper> s10y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html">SwapRateHelper</a>(
<a name="l00284"></a>00284 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s10yRate),
<a name="l00285"></a>00285 10*Years, fixingDays,
<a name="l00286"></a>00286 calendar, swFixedLegFrequency,
<a name="l00287"></a>00287 swFixedLegConvention, swFixedLegDayCounter,
<a name="l00288"></a>00288 swFloatingLegIndex));
<a name="l00289"></a>00289 boost::shared_ptr<RateHelper> s15y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html">SwapRateHelper</a>(
<a name="l00290"></a>00290 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s15yRate),
<a name="l00291"></a>00291 15*Years, fixingDays,
<a name="l00292"></a>00292 calendar, swFixedLegFrequency,
<a name="l00293"></a>00293 swFixedLegConvention, swFixedLegDayCounter,
<a name="l00294"></a>00294 swFloatingLegIndex));
<a name="l00295"></a>00295
<a name="l00296"></a>00296
<a name="l00297"></a>00297 <span class="comment">/*********************</span>
<a name="l00298"></a>00298 <span class="comment"> ** CURVE BUILDING **</span>
<a name="l00299"></a>00299 <span class="comment"> *********************/</span>
<a name="l00300"></a>00300
<a name="l00301"></a>00301 <span class="comment">// Any DayCounter would be fine.</span>
<a name="l00302"></a>00302 <span class="comment">// ActualActual::ISDA ensures that 30 years is 30.0</span>
<a name="l00303"></a>00303 <a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> termStructureDayCounter =
<a name="l00304"></a>00304 <a name="_a23"></a><a class="code" href="class_quant_lib_1_1_actual_actual.html">ActualActual</a>(ActualActual::ISDA);
<a name="l00305"></a>00305
<a name="l00306"></a>00306
<a name="l00307"></a>00307 <span class="keywordtype">double</span> tolerance = 1.0e-15;
<a name="l00308"></a>00308
<a name="l00309"></a>00309 <span class="comment">// A depo-swap curve</span>
<a name="l00310"></a>00310 std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments;
<a name="l00311"></a>00311 depoSwapInstruments.push_back(d1w);
<a name="l00312"></a>00312 depoSwapInstruments.push_back(d1m);
<a name="l00313"></a>00313 depoSwapInstruments.push_back(d3m);
<a name="l00314"></a>00314 depoSwapInstruments.push_back(d6m);
<a name="l00315"></a>00315 depoSwapInstruments.push_back(d9m);
<a name="l00316"></a>00316 depoSwapInstruments.push_back(d1y);
<a name="l00317"></a>00317 depoSwapInstruments.push_back(s2y);
<a name="l00318"></a>00318 depoSwapInstruments.push_back(s3y);
<a name="l00319"></a>00319 depoSwapInstruments.push_back(s5y);
<a name="l00320"></a>00320 depoSwapInstruments.push_back(s10y);
<a name="l00321"></a>00321 depoSwapInstruments.push_back(s15y);
<a name="l00322"></a>00322 boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(<span class="keyword">new</span>
<a name="l00323"></a>00323 <a name="a24"></a><a class="code" href="group__yieldtermstructures.html#g28315d9869896575fe9dde6a150f7c3b">PiecewiseFlatForward</a>(settlementDate, depoSwapInstruments,
<a name="l00324"></a>00324 termStructureDayCounter, tolerance));
<a name="l00325"></a>00325
<a name="l00326"></a>00326
<a name="l00327"></a>00327 <span class="comment">// A depo-futures-swap curve</span>
<a name="l00328"></a>00328 std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments;
<a name="l00329"></a>00329 depoFutSwapInstruments.push_back(d1w);
<a name="l00330"></a>00330 depoFutSwapInstruments.push_back(d1m);
<a name="l00331"></a>00331 depoFutSwapInstruments.push_back(fut1);
<a name="l00332"></a>00332 depoFutSwapInstruments.push_back(fut2);
<a name="l00333"></a>00333 depoFutSwapInstruments.push_back(fut3);
<a name="l00334"></a>00334 depoFutSwapInstruments.push_back(fut4);
<a name="l00335"></a>00335 depoFutSwapInstruments.push_back(fut5);
<a name="l00336"></a>00336 depoFutSwapInstruments.push_back(fut6);
<a name="l00337"></a>00337 depoFutSwapInstruments.push_back(fut7);
<a name="l00338"></a>00338 depoFutSwapInstruments.push_back(fut8);
<a name="l00339"></a>00339 depoFutSwapInstruments.push_back(s3y);
<a name="l00340"></a>00340 depoFutSwapInstruments.push_back(s5y);
<a name="l00341"></a>00341 depoFutSwapInstruments.push_back(s10y);
<a name="l00342"></a>00342 depoFutSwapInstruments.push_back(s15y);
<a name="l00343"></a>00343 boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(<span class="keyword">new</span>
<a name="l00344"></a>00344 <a class="code" href="group__yieldtermstructures.html#g28315d9869896575fe9dde6a150f7c3b">PiecewiseFlatForward</a>(settlementDate, depoFutSwapInstruments,
<a name="l00345"></a>00345 termStructureDayCounter, tolerance));
<a name="l00346"></a>00346
<a name="l00347"></a>00347
<a name="l00348"></a>00348 <span class="comment">// A depo-FRA-swap curve</span>
<a name="l00349"></a>00349 std::vector<boost::shared_ptr<RateHelper> > depoFRASwapInstruments;
<a name="l00350"></a>00350 depoFRASwapInstruments.push_back(d1w);
<a name="l00351"></a>00351 depoFRASwapInstruments.push_back(d1m);
<a name="l00352"></a>00352 depoFRASwapInstruments.push_back(d3m);
<a name="l00353"></a>00353 depoFRASwapInstruments.push_back(fra3x6);
<a name="l00354"></a>00354 depoFRASwapInstruments.push_back(fra6x9);
<a name="l00355"></a>00355 depoFRASwapInstruments.push_back(fra6x12);
<a name="l00356"></a>00356 depoFRASwapInstruments.push_back(s2y);
<a name="l00357"></a>00357 depoFRASwapInstruments.push_back(s3y);
<a name="l00358"></a>00358 depoFRASwapInstruments.push_back(s5y);
<a name="l00359"></a>00359 depoFRASwapInstruments.push_back(s10y);
<a name="l00360"></a>00360 depoFRASwapInstruments.push_back(s15y);
<a name="l00361"></a>00361 boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure(<span class="keyword">new</span>
<a name="l00362"></a>00362 <a class="code" href="group__yieldtermstructures.html#g28315d9869896575fe9dde6a150f7c3b">PiecewiseFlatForward</a>(settlementDate, depoFRASwapInstruments,
<a name="l00363"></a>00363 termStructureDayCounter, tolerance));
<a name="l00364"></a>00364
<a name="l00365"></a>00365
<a name="l00366"></a>00366 <span class="comment">// Term structures that will be used for pricing:</span>
<a name="l00367"></a>00367 <span class="comment">// the one used for discounting cash flows</span>
<a name="l00368"></a>00368 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> discountingTermStructure;
<a name="l00369"></a>00369 <span class="comment">// the one used for forward rate forecasting</span>
<a name="l00370"></a>00370 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> forecastingTermStructure;
<a name="l00371"></a>00371
<a name="l00372"></a>00372
<a name="l00373"></a>00373 <span class="comment">/*********************</span>
<a name="l00374"></a>00374 <span class="comment"> * SWAPS TO BE PRICED *</span>
<a name="l00375"></a>00375 <span class="comment"> **********************/</span>
<a name="l00376"></a>00376
<a name="l00377"></a>00377 <span class="comment">// constant nominal 1,000,000 Euro</span>
<a name="l00378"></a>00378 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> nominal = 1000000.0;
<a name="l00379"></a>00379 <span class="comment">// fixed leg</span>
<a name="l00380"></a>00380 <a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> fixedLegFrequency = <a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452ada508b18014c96e2d466c12b39d7f4e426">Annual</a>;
<a name="l00381"></a>00381 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> fixedLegConvention = <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd3685fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a name="l00382"></a>00382 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> floatingLegConvention = <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;
<a name="l00383"></a>00383 <a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> fixedLegDayCounter = <a class="code" href="class_quant_lib_1_1_thirty360.html">Thirty360</a>(Thirty360::European);
<a name="l00384"></a>00384 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fixedRate = 0.04;
<a name="l00385"></a>00385 <a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> floatingLegDayCounter = <a class="code" href="class_quant_lib_1_1_actual360.html">Actual360</a>();
<a name="l00386"></a>00386
<a name="l00387"></a>00387 <span class="comment">// floating leg</span>
<a name="l00388"></a>00388 <a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> floatingLegFrequency = <a name="a25"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452adad1a5868a1c314bb7f6ab68e2fa182b2d">Semiannual</a>;
<a name="l00389"></a>00389 boost::shared_ptr<Xibor> euriborIndex(
<a name="l00390"></a>00390 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_euribor6_m.html">Euribor6M</a>(forecastingTermStructure));
<a name="l00391"></a>00391 <a name="a26"></a><a class="code" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> spread = 0.0;
<a name="l00392"></a>00392
<a name="l00393"></a>00393 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> lenghtInYears = 5;
<a name="l00394"></a>00394 <span class="keywordtype">bool</span> payFixedRate = <span class="keyword">true</span>;
<a name="l00395"></a>00395
<a name="l00396"></a>00396 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> maturity = settlementDate + lenghtInYears*Years;
<a name="l00397"></a>00397 <a name="_a27"></a><a class="code" href="class_quant_lib_1_1_schedule.html">Schedule</a> fixedSchedule(settlementDate, maturity, <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),
<a name="l00398"></a>00398 calendar, fixedLegConvention, fixedLegConvention,
<a name="l00399"></a>00399 <span class="keyword">false</span>, <span class="keyword">false</span>);
<a name="l00400"></a>00400 <a class="code" href="class_quant_lib_1_1_schedule.html">Schedule</a> floatSchedule(settlementDate, maturity, <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),
<a name="l00401"></a>00401 calendar, floatingLegConvention, floatingLegConvention,
<a name="l00402"></a>00402 <span class="keyword">false</span>, <span class="keyword">false</span>);
<a name="l00403"></a>00403 <a name="_a29"></a><a class="code" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> spot5YearSwap(
<a name="l00404"></a>00404 payFixedRate, nominal,
<a name="l00405"></a>00405 fixedSchedule, fixedRate, fixedLegDayCounter,
<a name="l00406"></a>00406 floatSchedule, euriborIndex, spread,
<a name="l00407"></a>00407 floatingLegDayCounter, discountingTermStructure);
<a name="l00408"></a>00408
<a name="l00409"></a>00409 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> fwdStart = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate, 1, Years);
<a name="l00410"></a>00410 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> fwdMaturity = fwdStart + lenghtInYears*Years;
<a name="l00411"></a>00411 <a class="code" href="class_quant_lib_1_1_schedule.html">Schedule</a> fwdFixedSchedule(fwdStart, fwdMaturity, <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),
<a name="l00412"></a>00412 calendar, fixedLegConvention, fixedLegConvention,
<a name="l00413"></a>00413 <span class="keyword">false</span>, <span class="keyword">false</span>);
<a name="l00414"></a>00414 <a class="code" href="class_quant_lib_1_1_schedule.html">Schedule</a> fwdFloatSchedule(fwdStart, fwdMaturity, <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),
<a name="l00415"></a>00415 calendar, floatingLegConvention, floatingLegConvention,
<a name="l00416"></a>00416 <span class="keyword">false</span>, <span class="keyword">false</span>);
<a name="l00417"></a>00417 <a class="code" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> oneYearForward5YearSwap(
<a name="l00418"></a>00418 payFixedRate, nominal,
<a name="l00419"></a>00419 fwdFixedSchedule, fixedRate, fixedLegDayCounter,
<a name="l00420"></a>00420 fwdFloatSchedule, euriborIndex, spread,
<a name="l00421"></a>00421 floatingLegDayCounter, discountingTermStructure);
<a name="l00422"></a>00422
<a name="l00423"></a>00423
<a name="l00424"></a>00424 <span class="comment">/***************</span>
<a name="l00425"></a>00425 <span class="comment"> * SWAP PRICING *</span>
<a name="l00426"></a>00426 <span class="comment"> ****************/</span>
<a name="l00427"></a>00427
<a name="l00428"></a>00428 <span class="comment">// utilities for reporting</span>
<a name="l00429"></a>00429 std::vector<std::string> headers(4);
<a name="l00430"></a>00430 headers[0] = <span class="stringliteral">"term structure"</span>;
<a name="l00431"></a>00431 headers[1] = <span class="stringliteral">"net present value"</span>;
<a name="l00432"></a>00432 headers[2] = <span class="stringliteral">"fair spread"</span>;
<a name="l00433"></a>00433 headers[3] = <span class="stringliteral">"fair fixed rate"</span>;
<a name="l00434"></a>00434 std::string separator = <span class="stringliteral">" | "</span>;
<a name="l00435"></a>00435 <a name="a30"></a><a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> width = headers[0].size() + separator.size()
<a name="l00436"></a>00436 + headers[1].size() + separator.size()
<a name="l00437"></a>00437 + headers[2].size() + separator.size()
<a name="l00438"></a>00438 + headers[3].size() + separator.size() - 1;
<a name="l00439"></a>00439 std::string rule(width, <span class="charliteral">'-'</span>), dblrule(width, <span class="charliteral">'='</span>);
<a name="l00440"></a>00440 std::string tab(8, <span class="charliteral">' '</span>);
<a name="l00441"></a>00441
<a name="l00442"></a>00442 <span class="comment">// calculations</span>
<a name="l00443"></a>00443
<a name="l00444"></a>00444 std::cout << dblrule << std::endl;
<a name="l00445"></a>00445 std::cout << <span class="stringliteral">"5-year market swap-rate = "</span>
<a name="l00446"></a>00446 << std::setprecision(2) << <a name="a31"></a><a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(s5yRate->value())
<a name="l00447"></a>00447 << std::endl;
<a name="l00448"></a>00448 std::cout << dblrule << std::endl;
<a name="l00449"></a>00449
<a name="l00450"></a>00450 std::cout << tab << <span class="stringliteral">"5-years swap paying "</span>
<a name="l00451"></a>00451 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fixedRate) << std::endl;
<a name="l00452"></a>00452 std::cout << headers[0] << separator
<a name="l00453"></a>00453 << headers[1] << separator
<a name="l00454"></a>00454 << headers[2] << separator
<a name="l00455"></a>00455 << headers[3] << separator << std::endl;
<a name="l00456"></a>00456 std::cout << rule << std::endl;
<a name="l00457"></a>00457
<a name="l00458"></a>00458 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> NPV;
<a name="l00459"></a>00459 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fairRate;
<a name="l00460"></a>00460 <a class="code" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> fairSpread;
<a name="l00461"></a>00461
<a name="l00462"></a>00462 <span class="comment">// Of course, you're not forced to really use different curves</span>
<a name="l00463"></a>00463 forecastingTermStructure.<a name="a32"></a><a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
<a name="l00464"></a>00464 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
<a name="l00465"></a>00465
<a name="l00466"></a>00466 NPV = spot5YearSwap.NPV();
<a name="l00467"></a>00467 fairSpread = spot5YearSwap.fairSpread();
<a name="l00468"></a>00468 fairRate = spot5YearSwap.fairRate();
<a name="l00469"></a>00469
<a name="l00470"></a>00470 std::cout << std::setw(headers[0].size())
<a name="l00471"></a>00471 << <span class="stringliteral">"depo-swap"</span> << separator;
<a name="l00472"></a>00472 std::cout << std::setw(headers[1].size())
<a name="l00473"></a>00473 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00474"></a>00474 std::cout << std::setw(headers[2].size())
<a name="l00475"></a>00475 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00476"></a>00476 std::cout << std::setw(headers[3].size())
<a name="l00477"></a>00477 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00478"></a>00478 std::cout << std::endl;
<a name="l00479"></a>00479
<a name="l00480"></a>00480
<a name="l00481"></a>00481 <span class="comment">// let's check that the 5 years swap has been correctly re-priced</span>
<a name="l00482"></a>00482 <a name="a33"></a><a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6">QL_REQUIRE</a>(std::fabs(fairRate-s5yQuote)<1e-8,
<a name="l00483"></a>00483 <span class="stringliteral">"5-years swap mispriced by "</span>
<a name="l00484"></a>00484 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(std::fabs(fairRate-s5yQuote)));
<a name="l00485"></a>00485
<a name="l00486"></a>00486
<a name="l00487"></a>00487 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
<a name="l00488"></a>00488 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
<a name="l00489"></a>00489
<a name="l00490"></a>00490 NPV = spot5YearSwap.NPV();
<a name="l00491"></a>00491 fairSpread = spot5YearSwap.fairSpread();
<a name="l00492"></a>00492 fairRate = spot5YearSwap.fairRate();
<a name="l00493"></a>00493
<a name="l00494"></a>00494 std::cout << std::setw(headers[0].size())
<a name="l00495"></a>00495 << <span class="stringliteral">"depo-fut-swap"</span> << separator;
<a name="l00496"></a>00496 std::cout << std::setw(headers[1].size())
<a name="l00497"></a>00497 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00498"></a>00498 std::cout << std::setw(headers[2].size())
<a name="l00499"></a>00499 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00500"></a>00500 std::cout << std::setw(headers[3].size())
<a name="l00501"></a>00501 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00502"></a>00502 std::cout << std::endl;
<a name="l00503"></a>00503
<a name="l00504"></a>00504 <a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6">QL_REQUIRE</a>(std::fabs(fairRate-s5yQuote)<1e-8,
<a name="l00505"></a>00505 <span class="stringliteral">"5-years swap mispriced!"</span>);
<a name="l00506"></a>00506
<a name="l00507"></a>00507
<a name="l00508"></a>00508 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
<a name="l00509"></a>00509 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
<a name="l00510"></a>00510
<a name="l00511"></a>00511 NPV = spot5YearSwap.NPV();
<a name="l00512"></a>00512 fairSpread = spot5YearSwap.fairSpread();
<a name="l00513"></a>00513 fairRate = spot5YearSwap.fairRate();
<a name="l00514"></a>00514
<a name="l00515"></a>00515 std::cout << std::setw(headers[0].size())
<a name="l00516"></a>00516 << <span class="stringliteral">"depo-FRA-swap"</span> << separator;
<a name="l00517"></a>00517 std::cout << std::setw(headers[1].size())
<a name="l00518"></a>00518 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00519"></a>00519 std::cout << std::setw(headers[2].size())
<a name="l00520"></a>00520 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00521"></a>00521 std::cout << std::setw(headers[3].size())
<a name="l00522"></a>00522 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00523"></a>00523 std::cout << std::endl;
<a name="l00524"></a>00524
<a name="l00525"></a>00525 <a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6">QL_REQUIRE</a>(std::fabs(fairRate-s5yQuote)<1e-8,
<a name="l00526"></a>00526 <span class="stringliteral">"5-years swap mispriced!"</span>);
<a name="l00527"></a>00527
<a name="l00528"></a>00528
<a name="l00529"></a>00529 std::cout << rule << std::endl;
<a name="l00530"></a>00530
<a name="l00531"></a>00531 <span class="comment">// now let's price the 1Y forward 5Y swap</span>
<a name="l00532"></a>00532
<a name="l00533"></a>00533 std::cout << tab << <span class="stringliteral">"5-years, 1-year forward swap paying "</span>
<a name="l00534"></a>00534 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fixedRate) << std::endl;
<a name="l00535"></a>00535 std::cout << headers[0] << separator
<a name="l00536"></a>00536 << headers[1] << separator
<a name="l00537"></a>00537 << headers[2] << separator
<a name="l00538"></a>00538 << headers[3] << separator << std::endl;
<a name="l00539"></a>00539 std::cout << rule << std::endl;
<a name="l00540"></a>00540
<a name="l00541"></a>00541
<a name="l00542"></a>00542 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
<a name="l00543"></a>00543 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
<a name="l00544"></a>00544
<a name="l00545"></a>00545 NPV = oneYearForward5YearSwap.NPV();
<a name="l00546"></a>00546 fairSpread = oneYearForward5YearSwap.fairSpread();
<a name="l00547"></a>00547 fairRate = oneYearForward5YearSwap.fairRate();
<a name="l00548"></a>00548
<a name="l00549"></a>00549 std::cout << std::setw(headers[0].size())
<a name="l00550"></a>00550 << <span class="stringliteral">"depo-swap"</span> << separator;
<a name="l00551"></a>00551 std::cout << std::setw(headers[1].size())
<a name="l00552"></a>00552 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00553"></a>00553 std::cout << std::setw(headers[2].size())
<a name="l00554"></a>00554 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00555"></a>00555 std::cout << std::setw(headers[3].size())
<a name="l00556"></a>00556 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00557"></a>00557 std::cout << std::endl;
<a name="l00558"></a>00558
<a name="l00559"></a>00559
<a name="l00560"></a>00560 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
<a name="l00561"></a>00561 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
<a name="l00562"></a>00562
<a name="l00563"></a>00563 NPV = oneYearForward5YearSwap.NPV();
<a name="l00564"></a>00564 fairSpread = oneYearForward5YearSwap.fairSpread();
<a name="l00565"></a>00565 fairRate = oneYearForward5YearSwap.fairRate();
<a name="l00566"></a>00566
<a name="l00567"></a>00567 std::cout << std::setw(headers[0].size())
<a name="l00568"></a>00568 << <span class="stringliteral">"depo-fut-swap"</span> << separator;
<a name="l00569"></a>00569 std::cout << std::setw(headers[1].size())
<a name="l00570"></a>00570 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00571"></a>00571 std::cout << std::setw(headers[2].size())
<a name="l00572"></a>00572 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00573"></a>00573 std::cout << std::setw(headers[3].size())
<a name="l00574"></a>00574 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00575"></a>00575 std::cout << std::endl;
<a name="l00576"></a>00576
<a name="l00577"></a>00577
<a name="l00578"></a>00578 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
<a name="l00579"></a>00579 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
<a name="l00580"></a>00580
<a name="l00581"></a>00581 NPV = oneYearForward5YearSwap.NPV();
<a name="l00582"></a>00582 fairSpread = oneYearForward5YearSwap.fairSpread();
<a name="l00583"></a>00583 fairRate = oneYearForward5YearSwap.fairRate();
<a name="l00584"></a>00584
<a name="l00585"></a>00585 std::cout << std::setw(headers[0].size())
<a name="l00586"></a>00586 << <span class="stringliteral">"depo-FRA-swap"</span> << separator;
<a name="l00587"></a>00587 std::cout << std::setw(headers[1].size())
<a name="l00588"></a>00588 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00589"></a>00589 std::cout << std::setw(headers[2].size())
<a name="l00590"></a>00590 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00591"></a>00591 std::cout << std::setw(headers[3].size())
<a name="l00592"></a>00592 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00593"></a>00593 std::cout << std::endl;
<a name="l00594"></a>00594
<a name="l00595"></a>00595
<a name="l00596"></a>00596 <span class="comment">// now let's say that the 5-years swap rate goes up to 4.60%.</span>
<a name="l00597"></a>00597 <span class="comment">// A smarter market element--say, connected to a data source-- would</span>
<a name="l00598"></a>00598 <span class="comment">// notice the change itself. Since we're using SimpleQuotes,</span>
<a name="l00599"></a>00599 <span class="comment">// we'll have to change the value manually--which forces us to</span>
<a name="l00600"></a>00600 <span class="comment">// downcast the handle and use the SimpleQuote</span>
<a name="l00601"></a>00601 <span class="comment">// interface. In any case, the point here is that a change in the</span>
<a name="l00602"></a>00602 <span class="comment">// value contained in the Quote triggers a new bootstrapping</span>
<a name="l00603"></a>00603 <span class="comment">// of the curve and a repricing of the swap.</span>
<a name="l00604"></a>00604
<a name="l00605"></a>00605 boost::shared_ptr<SimpleQuote> fiveYearsRate =
<a name="l00606"></a>00606 boost::dynamic_pointer_cast<SimpleQuote>(s5yRate);
<a name="l00607"></a>00607 fiveYearsRate->setValue(0.0460);
<a name="l00608"></a>00608
<a name="l00609"></a>00609 std::cout << dblrule << std::endl;
<a name="l00610"></a>00610 std::cout << <span class="stringliteral">"5-year market swap-rate = "</span>
<a name="l00611"></a>00611 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(s5yRate->value()) << std::endl;
<a name="l00612"></a>00612 std::cout << dblrule << std::endl;
<a name="l00613"></a>00613
<a name="l00614"></a>00614 std::cout << tab << <span class="stringliteral">"5-years swap paying "</span>
<a name="l00615"></a>00615 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fixedRate) << std::endl;
<a name="l00616"></a>00616 std::cout << headers[0] << separator
<a name="l00617"></a>00617 << headers[1] << separator
<a name="l00618"></a>00618 << headers[2] << separator
<a name="l00619"></a>00619 << headers[3] << separator << std::endl;
<a name="l00620"></a>00620 std::cout << rule << std::endl;
<a name="l00621"></a>00621
<a name="l00622"></a>00622 <span class="comment">// now get the updated results</span>
<a name="l00623"></a>00623 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
<a name="l00624"></a>00624 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
<a name="l00625"></a>00625
<a name="l00626"></a>00626 NPV = spot5YearSwap.NPV();
<a name="l00627"></a>00627 fairSpread = spot5YearSwap.fairSpread();
<a name="l00628"></a>00628 fairRate = spot5YearSwap.fairRate();
<a name="l00629"></a>00629
<a name="l00630"></a>00630 std::cout << std::setw(headers[0].size())
<a name="l00631"></a>00631 << <span class="stringliteral">"depo-swap"</span> << separator;
<a name="l00632"></a>00632 std::cout << std::setw(headers[1].size())
<a name="l00633"></a>00633 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00634"></a>00634 std::cout << std::setw(headers[2].size())
<a name="l00635"></a>00635 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00636"></a>00636 std::cout << std::setw(headers[3].size())
<a name="l00637"></a>00637 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00638"></a>00638 std::cout << std::endl;
<a name="l00639"></a>00639
<a name="l00640"></a>00640 <a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6">QL_REQUIRE</a>(std::fabs(fairRate-s5yRate->value())<1e-8,
<a name="l00641"></a>00641 <span class="stringliteral">"5-years swap mispriced!"</span>);
<a name="l00642"></a>00642
<a name="l00643"></a>00643
<a name="l00644"></a>00644 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
<a name="l00645"></a>00645 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
<a name="l00646"></a>00646
<a name="l00647"></a>00647 NPV = spot5YearSwap.NPV();
<a name="l00648"></a>00648 fairSpread = spot5YearSwap.fairSpread();
<a name="l00649"></a>00649 fairRate = spot5YearSwap.fairRate();
<a name="l00650"></a>00650
<a name="l00651"></a>00651 std::cout << std::setw(headers[0].size())
<a name="l00652"></a>00652 << <span class="stringliteral">"depo-fut-swap"</span> << separator;
<a name="l00653"></a>00653 std::cout << std::setw(headers[1].size())
<a name="l00654"></a>00654 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00655"></a>00655 std::cout << std::setw(headers[2].size())
<a name="l00656"></a>00656 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00657"></a>00657 std::cout << std::setw(headers[3].size())
<a name="l00658"></a>00658 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00659"></a>00659 std::cout << std::endl;
<a name="l00660"></a>00660
<a name="l00661"></a>00661 <a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6">QL_REQUIRE</a>(std::fabs(fairRate-s5yRate->value())<1e-8,
<a name="l00662"></a>00662 <span class="stringliteral">"5-years swap mispriced!"</span>);
<a name="l00663"></a>00663
<a name="l00664"></a>00664
<a name="l00665"></a>00665 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
<a name="l00666"></a>00666 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
<a name="l00667"></a>00667
<a name="l00668"></a>00668 NPV = spot5YearSwap.NPV();
<a name="l00669"></a>00669 fairSpread = spot5YearSwap.fairSpread();
<a name="l00670"></a>00670 fairRate = spot5YearSwap.fairRate();
<a name="l00671"></a>00671
<a name="l00672"></a>00672 std::cout << std::setw(headers[0].size())
<a name="l00673"></a>00673 << <span class="stringliteral">"depo-FRA-swap"</span> << separator;
<a name="l00674"></a>00674 std::cout << std::setw(headers[1].size())
<a name="l00675"></a>00675 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00676"></a>00676 std::cout << std::setw(headers[2].size())
<a name="l00677"></a>00677 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00678"></a>00678 std::cout << std::setw(headers[3].size())
<a name="l00679"></a>00679 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00680"></a>00680 std::cout << std::endl;
<a name="l00681"></a>00681
<a name="l00682"></a>00682 <a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6">QL_REQUIRE</a>(std::fabs(fairRate-s5yRate->value())<1e-8,
<a name="l00683"></a>00683 <span class="stringliteral">"5-years swap mispriced!"</span>);
<a name="l00684"></a>00684
<a name="l00685"></a>00685 std::cout << rule << std::endl;
<a name="l00686"></a>00686
<a name="l00687"></a>00687 <span class="comment">// the 1Y forward 5Y swap changes as well</span>
<a name="l00688"></a>00688
<a name="l00689"></a>00689 std::cout << tab << <span class="stringliteral">"5-years, 1-year forward swap paying "</span>
<a name="l00690"></a>00690 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fixedRate) << std::endl;
<a name="l00691"></a>00691 std::cout << headers[0] << separator
<a name="l00692"></a>00692 << headers[1] << separator
<a name="l00693"></a>00693 << headers[2] << separator
<a name="l00694"></a>00694 << headers[3] << separator << std::endl;
<a name="l00695"></a>00695 std::cout << rule << std::endl;
<a name="l00696"></a>00696
<a name="l00697"></a>00697
<a name="l00698"></a>00698 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
<a name="l00699"></a>00699 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
<a name="l00700"></a>00700
<a name="l00701"></a>00701 NPV = oneYearForward5YearSwap.NPV();
<a name="l00702"></a>00702 fairSpread = oneYearForward5YearSwap.fairSpread();
<a name="l00703"></a>00703 fairRate = oneYearForward5YearSwap.fairRate();
<a name="l00704"></a>00704
<a name="l00705"></a>00705 std::cout << std::setw(headers[0].size())
<a name="l00706"></a>00706 << <span class="stringliteral">"depo-swap"</span> << separator;
<a name="l00707"></a>00707 std::cout << std::setw(headers[1].size())
<a name="l00708"></a>00708 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00709"></a>00709 std::cout << std::setw(headers[2].size())
<a name="l00710"></a>00710 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00711"></a>00711 std::cout << std::setw(headers[3].size())
<a name="l00712"></a>00712 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00713"></a>00713 std::cout << std::endl;
<a name="l00714"></a>00714
<a name="l00715"></a>00715
<a name="l00716"></a>00716 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
<a name="l00717"></a>00717 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
<a name="l00718"></a>00718
<a name="l00719"></a>00719 NPV = oneYearForward5YearSwap.NPV();
<a name="l00720"></a>00720 fairSpread = oneYearForward5YearSwap.fairSpread();
<a name="l00721"></a>00721 fairRate = oneYearForward5YearSwap.fairRate();
<a name="l00722"></a>00722
<a name="l00723"></a>00723 std::cout << std::setw(headers[0].size())
<a name="l00724"></a>00724 << <span class="stringliteral">"depo-fut-swap"</span> << separator;
<a name="l00725"></a>00725 std::cout << std::setw(headers[1].size())
<a name="l00726"></a>00726 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00727"></a>00727 std::cout << std::setw(headers[2].size())
<a name="l00728"></a>00728 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00729"></a>00729 std::cout << std::setw(headers[3].size())
<a name="l00730"></a>00730 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00731"></a>00731 std::cout << std::endl;
<a name="l00732"></a>00732
<a name="l00733"></a>00733
<a name="l00734"></a>00734 forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
<a name="l00735"></a>00735 discountingTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
<a name="l00736"></a>00736
<a name="l00737"></a>00737 NPV = oneYearForward5YearSwap.NPV();
<a name="l00738"></a>00738 fairSpread = oneYearForward5YearSwap.fairSpread();
<a name="l00739"></a>00739 fairRate = oneYearForward5YearSwap.fairRate();
<a name="l00740"></a>00740
<a name="l00741"></a>00741 std::cout << std::setw(headers[0].size())
<a name="l00742"></a>00742 << <span class="stringliteral">"depo-FRA-swap"</span> << separator;
<a name="l00743"></a>00743 std::cout << std::setw(headers[1].size())
<a name="l00744"></a>00744 << std::fixed << std::setprecision(2) << NPV << separator;
<a name="l00745"></a>00745 std::cout << std::setw(headers[2].size())
<a name="l00746"></a>00746 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairSpread) << separator;
<a name="l00747"></a>00747 std::cout << std::setw(headers[3].size())
<a name="l00748"></a>00748 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fairRate) << separator;
<a name="l00749"></a>00749 std::cout << std::endl;
<a name="l00750"></a>00750
<a name="l00751"></a>00751 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> seconds = timer.elapsed();
<a name="l00752"></a>00752 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> hours = int(seconds/3600);
<a name="l00753"></a>00753 seconds -= hours * 3600;
<a name="l00754"></a>00754 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> minutes = int(seconds/60);
<a name="l00755"></a>00755 seconds -= minutes * 60;
<a name="l00756"></a>00756 std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<a name="l00757"></a>00757 <span class="keywordflow">if</span> (hours > 0)
<a name="l00758"></a>00758 std::cout << hours << <span class="stringliteral">" h "</span>;
<a name="l00759"></a>00759 <span class="keywordflow">if</span> (hours > 0 || minutes > 0)
<a name="l00760"></a>00760 std::cout << minutes << <span class="stringliteral">" m "</span>;
<a name="l00761"></a>00761 std::cout << std::fixed << std::setprecision(0)
<a name="l00762"></a>00762 << seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<a name="l00763"></a>00763
<a name="l00764"></a>00764 <span class="keywordflow">return</span> 0;
<a name="l00765"></a>00765
<a name="l00766"></a>00766 } <span class="keywordflow">catch</span> (std::exception& e) {
<a name="l00767"></a>00767 std::cout << e.what() << std::endl;
<a name="l00768"></a>00768 <span class="keywordflow">return</span> 1;
<a name="l00769"></a>00769 } <span class="keywordflow">catch</span> (...) {
<a name="l00770"></a>00770 std::cout << <span class="stringliteral">"unknown error"</span> << std::endl;
<a name="l00771"></a>00771 <span class="keywordflow">return</span> 1;
<a name="l00772"></a>00772 }
<a name="l00773"></a>00773 }
<a name="l00774"></a>00774
</pre></div>
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