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<h1>FRA.cpp</h1>This example evaluates a forward-rate agreement.<p>
<div class="fragment"><pre class="fragment"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<span class="comment">/* This example shows how to set up a term structure and price a simple</span>
<span class="comment"> forward-rate agreement.</span>
<span class="comment">*/</span>
<span class="comment">// the only header you need to use QuantLib</span>
<span class="preprocessor">#include <ql/quantlib.hpp></span>
<span class="preprocessor">#ifdef BOOST_MSVC</span>
<span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<span class="comment"></span>
<span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<span class="comment"> Is there anyone with a definitive word about this?</span>
<span class="comment">*/</span>
<span class="comment">// #include <float.h></span>
<span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="preprocessor">#include <boost/timer.hpp></span>
<span class="preprocessor">#include <iostream></span>
<span class="preprocessor">#define LENGTH(a) (sizeof(a)/sizeof(a[0]))</span>
<span class="preprocessor"></span>
<span class="keyword">using namespace </span>std;
<span class="keyword">using namespace </span>QuantLib;
<span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
}
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {
<span class="keywordflow">try</span> {
boost::timer timer;
std::cout << std::endl;
<span class="comment">/*********************</span>
<span class="comment"> *** MARKET DATA ***</span>
<span class="comment"> *********************/</span>
<a name="_a1"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> euriborTermStructure;
boost::shared_ptr<IborIndex> euribor3m(
<span class="keyword">new</span> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_euribor3_m.html" title="3-months Euribor index">Euribor3M</a>(euriborTermStructure));
<a name="_a3"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate = <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(23, May, 2006);
Settings::instance().evaluationDate() = todaysDate;
<a name="_a4"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = euribor3m->fixingCalendar();
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> fixingDays = euribor3m->fixingDays();
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate = calendar.<a name="a5"></a><a class="code" href="class_quant_lib_1_1_calendar.html#c47bb82bf7b147cfacf373991c2905ea">advance</a>(todaysDate, fixingDays, Days);
std::cout << <span class="stringliteral">"Today: "</span> << todaysDate.<a name="a6"></a><a class="code" href="class_quant_lib_1_1_date.html#baa5325a9945802025849f2ce19f216a">weekday</a>()
<< <span class="stringliteral">", "</span> << todaysDate << std::endl;
std::cout << <span class="stringliteral">"Settlement date: "</span> << settlementDate.<a class="code" href="class_quant_lib_1_1_date.html#baa5325a9945802025849f2ce19f216a">weekday</a>()
<< <span class="stringliteral">", "</span> << settlementDate << std::endl;
<span class="comment">// 3 month term FRA quotes (index refers to monthsToStart)</span>
<a name="a7"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> threeMonthFraQuote[10];
threeMonthFraQuote[1]=0.030;
threeMonthFraQuote[2]=0.031;
threeMonthFraQuote[3]=0.032;
threeMonthFraQuote[6]=0.033;
threeMonthFraQuote[9]=0.034;
<span class="comment">/********************</span>
<span class="comment"> *** QUOTES ***</span>
<span class="comment"> ********************/</span>
<span class="comment">// SimpleQuote stores a value which can be manually changed;</span>
<span class="comment">// other Quote subclasses could read the value from a database</span>
<span class="comment">// or some kind of data feed.</span>
<span class="comment">// FRAs</span>
boost::shared_ptr<SimpleQuote> fra1x4Rate(
<span class="keyword">new</span> <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[1]));
boost::shared_ptr<SimpleQuote> fra2x5Rate(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[2]));
boost::shared_ptr<SimpleQuote> fra3x6Rate(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[3]));
boost::shared_ptr<SimpleQuote> fra6x9Rate(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[6]));
boost::shared_ptr<SimpleQuote> fra9x12Rate(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(threeMonthFraQuote[9]));
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h1x4; h1x4.<a name="a9"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra1x4Rate);
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h2x5; h2x5.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra2x5Rate);
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h3x6; h3x6.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra3x6Rate);
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h6x9; h6x9.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra6x9Rate);
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> h9x12; h9x12.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra9x12Rate);
<span class="comment">/*********************</span>
<span class="comment"> *** RATE HELPERS ***</span>
<span class="comment"> *********************/</span>
<span class="comment">// RateHelpers are built from the above quotes together with</span>
<span class="comment">// other instrument dependant infos. Quotes are passed in</span>
<span class="comment">// relinkable handles which could be relinked to some other</span>
<span class="comment">// data source later.</span>
<a name="_a10"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fraDayCounter = euribor3m->dayCounter();
<a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> convention = euribor3m->businessDayConvention();
<span class="keywordtype">bool</span> endOfMonth = euribor3m->endOfMonth();
boost::shared_ptr<RateHelper> fra1x4(
<span class="keyword">new</span> <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h1x4, 1, 4,
fixingDays, calendar, convention,
endOfMonth, fixingDays,
fraDayCounter));
boost::shared_ptr<RateHelper> fra2x5(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h2x5, 2, 5,
fixingDays, calendar, convention,
endOfMonth, fixingDays,
fraDayCounter));
boost::shared_ptr<RateHelper> fra3x6(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h3x6, 3, 6,
fixingDays, calendar, convention,
endOfMonth, fixingDays,
fraDayCounter));
boost::shared_ptr<RateHelper> fra6x9(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h6x9, 6, 9,
fixingDays, calendar, convention,
endOfMonth, fixingDays,
fraDayCounter));
boost::shared_ptr<RateHelper> fra9x12(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(h9x12, 9, 12,
fixingDays, calendar, convention,
endOfMonth, fixingDays,
fraDayCounter));
<span class="comment">/*********************</span>
<span class="comment"> ** CURVE BUILDING **</span>
<span class="comment"> *********************/</span>
<span class="comment">// Any DayCounter would be fine.</span>
<span class="comment">// ActualActual::ISDA ensures that 30 years is 30.0</span>
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> termStructureDayCounter =
<a name="_a12"></a><a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);
<span class="keywordtype">double</span> tolerance = 1.0e-15;
<span class="comment">// A FRA curve</span>
std::vector<boost::shared_ptr<RateHelper> > fraInstruments;
fraInstruments.push_back(fra1x4);
fraInstruments.push_back(fra2x5);
fraInstruments.push_back(fra3x6);
fraInstruments.push_back(fra6x9);
fraInstruments.push_back(fra9x12);
boost::shared_ptr<YieldTermStructure> fraTermStructure(
<span class="keyword">new</span> <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(
settlementDate, fraInstruments,
termStructureDayCounter, tolerance));
<span class="comment">// Term structures used for pricing/discounting</span>
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> discountingTermStructure;
discountingTermStructure.<a name="a14"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fraTermStructure);
<span class="comment">/***********************</span>
<span class="comment"> *** construct FRA's ***</span>
<span class="comment"> ***********************/</span>
<a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> fraCalendar = euribor3m->fixingCalendar();
<a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> fraBusinessDayConvention =
euribor3m->businessDayConvention();
Position::Type fraFwdType = Position::Long;
<a name="a15"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fraNotional = 100.0;
<span class="keyword">const</span> <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> FraTermMonths = 3;
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> monthsToStart[] = { 1, 2, 3, 6, 9 };
euriborTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fraTermStructure);
cout << endl;
cout << <span class="stringliteral">"Test FRA construction, NPV calculation, and FRA purchase"</span>
<< endl
<< endl;
<a name="a16"></a><a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i;
<span class="keywordflow">for</span> (i=0; i<LENGTH(monthsToStart); i++) {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fraValueDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#c47bb82bf7b147cfacf373991c2905ea">advance</a>(
settlementDate,monthsToStart[i],Months,
fraBusinessDayConvention);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fraMaturityDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#c47bb82bf7b147cfacf373991c2905ea">advance</a>(
fraValueDate,FraTermMonths,Months,
fraBusinessDayConvention);
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fraStrikeRate = threeMonthFraQuote[monthsToStart[i]];
ForwardRateAgreement myFRA(fraValueDate, fraMaturityDate,
fraFwdType,fraStrikeRate,
fraNotional, euribor3m,
discountingTermStructure);
cout << <span class="stringliteral">"3m Term FRA, Months to Start: "</span>
<< monthsToStart[i]
<< endl;
cout << <span class="stringliteral">"strike FRA rate: "</span>
<< <a name="a17"></a><a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fraStrikeRate)
<< endl;
cout << <span class="stringliteral">"FRA 3m forward rate: "</span>
<< myFRA.forwardRate()
<< endl;
cout << <span class="stringliteral">"FRA market quote: "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(threeMonthFraQuote[monthsToStart[i]])
<< endl;
cout << <span class="stringliteral">"FRA spot value: "</span>
<< myFRA.spotValue()
<< endl;
cout << <span class="stringliteral">"FRA forward value: "</span>
<< myFRA.forwardValue()
<< endl;
cout << <span class="stringliteral">"FRA implied Yield: "</span>
<< myFRA.impliedYield(myFRA.spotValue(),
myFRA.forwardValue(),
settlementDate,
<a name="a18"></a><a class="code" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf73ebfbf7dc5cde0772efb1aa49712bd76b">Simple</a>,
fraDayCounter)
<< endl;
cout << <span class="stringliteral">"market Zero Rate: "</span>
<< discountingTermStructure->zeroRate(fraMaturityDate,
fraDayCounter,
Simple)
<< endl;
cout << <span class="stringliteral">"FRA NPV [should be zero]: "</span>
<< myFRA.NPV()
<< endl
<< endl;
}
cout << endl << endl;
cout << <span class="stringliteral">"Now take a 100 basis-point upward shift in FRA quotes "</span>
<< <span class="stringliteral">"and examine NPV"</span>
<< endl
<< endl;
<span class="keyword">const</span> <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> BpsShift = 0.01;
threeMonthFraQuote[1]=0.030+BpsShift;
threeMonthFraQuote[2]=0.031+BpsShift;
threeMonthFraQuote[3]=0.032+BpsShift;
threeMonthFraQuote[6]=0.033+BpsShift;
threeMonthFraQuote[9]=0.034+BpsShift;
fra1x4Rate->setValue(threeMonthFraQuote[1]);
fra2x5Rate->setValue(threeMonthFraQuote[2]);
fra3x6Rate->setValue(threeMonthFraQuote[3]);
fra6x9Rate->setValue(threeMonthFraQuote[6]);
fra9x12Rate->setValue(threeMonthFraQuote[9]);
<span class="keywordflow">for</span> (i=0; i<LENGTH(monthsToStart); i++) {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fraValueDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#c47bb82bf7b147cfacf373991c2905ea">advance</a>(
settlementDate,monthsToStart[i],Months,
fraBusinessDayConvention);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fraMaturityDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#c47bb82bf7b147cfacf373991c2905ea">advance</a>(
fraValueDate,FraTermMonths,Months,
fraBusinessDayConvention);
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fraStrikeRate =
threeMonthFraQuote[monthsToStart[i]] - BpsShift;
ForwardRateAgreement myFRA(fraValueDate, fraMaturityDate,
fraFwdType, fraStrikeRate,
fraNotional, euribor3m,
discountingTermStructure);
cout << <span class="stringliteral">"3m Term FRA, 100 notional, Months to Start = "</span>
<< monthsToStart[i]
<< endl;
cout << <span class="stringliteral">"strike FRA rate: "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fraStrikeRate)
<< endl;
cout << <span class="stringliteral">"FRA 3m forward rate: "</span>
<< myFRA.forwardRate()
<< endl;
cout << <span class="stringliteral">"FRA market quote: "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(threeMonthFraQuote[monthsToStart[i]])
<< endl;
cout << <span class="stringliteral">"FRA spot value: "</span>
<< myFRA.spotValue()
<< endl;
cout << <span class="stringliteral">"FRA forward value: "</span>
<< myFRA.forwardValue()
<< endl;
cout << <span class="stringliteral">"FRA implied Yield: "</span>
<< myFRA.impliedYield(myFRA.spotValue(),
myFRA.forwardValue(),
settlementDate,
Simple,
fraDayCounter)
<< endl;
cout << <span class="stringliteral">"market Zero Rate: "</span>
<< discountingTermStructure->zeroRate(fraMaturityDate,
fraDayCounter,
Simple)
<< endl;
cout << <span class="stringliteral">"FRA NPV [should be positive]: "</span>
<< myFRA.NPV()
<< endl
<< endl;
}
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> seconds = timer.elapsed();
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> hours = int(seconds/3600);
seconds -= hours * 3600;
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> minutes = int(seconds/60);
seconds -= minutes * 60;
cout << <span class="stringliteral">" \nRun completed in "</span>;
<span class="keywordflow">if</span> (hours > 0)
cout << hours << <span class="stringliteral">" h "</span>;
<span class="keywordflow">if</span> (hours > 0 || minutes > 0)
cout << minutes << <span class="stringliteral">" m "</span>;
cout << fixed << setprecision(0)
<< seconds << <span class="stringliteral">" s\n"</span> << endl;
<span class="keywordflow">return</span> 0;
} <span class="keywordflow">catch</span> (exception& e) {
cout << e.what() << endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
cout << <span class="stringliteral">"unknown error"</span> << endl;
<span class="keywordflow">return</span> 1;
}
}
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