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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"><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 then price a simple</span>
<span class="comment"> swap.</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">#include <iomanip></span>
<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_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();
<span class="comment">// uncommenting the following line generates an error</span>
<span class="comment">// calendar = Tokyo();</span>
<a name="_a3"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate(22, September, 2004);
<span class="comment">// must be a business day</span>
settlementDate = calendar.<a name="a4"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ee7c18511c7ee1bcda6124f43a37aa28">adjust</a>(settlementDate);
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> fixingDays = 2;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate = calendar.<a name="a5"></a><a class="code" href="class_quant_lib_1_1_calendar.html#c47bb82bf7b147cfacf373991c2905ea">advance</a>(settlementDate, -fixingDays, Days);
<span class="comment">// nothing to do with Date::todaysDate</span>
Settings::instance().evaluationDate() = todaysDate;
todaysDate = Settings::instance().evaluationDate();
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">// deposits</span>
<a name="a7"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1wQuote=0.0382;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1mQuote=0.0372;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d3mQuote=0.0363;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d6mQuote=0.0353;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d9mQuote=0.0348;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1yQuote=0.0345;
<span class="comment">// FRAs</span>
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fra3x6Quote=0.037125;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fra6x9Quote=0.037125;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fra6x12Quote=0.037125;
<span class="comment">// futures</span>
<a name="a8"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fut1Quote=96.2875;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fut2Quote=96.7875;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fut3Quote=96.9875;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fut4Quote=96.6875;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fut5Quote=96.4875;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fut6Quote=96.3875;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fut7Quote=96.2875;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> fut8Quote=96.0875;
<span class="comment">// swaps</span>
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s2yQuote=0.037125;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s3yQuote=0.0398;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s5yQuote=0.0443;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s10yQuote=0.05165;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s15yQuote=0.055175;
<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">// deposits</span>
boost::shared_ptr<Quote> d1wRate(<span class="keyword">new</span> <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(d1wQuote));
boost::shared_ptr<Quote> d1mRate(<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>(d1mQuote));
boost::shared_ptr<Quote> d3mRate(<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>(d3mQuote));
boost::shared_ptr<Quote> d6mRate(<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>(d6mQuote));
boost::shared_ptr<Quote> d9mRate(<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>(d9mQuote));
boost::shared_ptr<Quote> d1yRate(<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>(d1yQuote));
<span class="comment">// FRAs</span>
boost::shared_ptr<Quote> 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>(fra3x6Quote));
boost::shared_ptr<Quote> 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>(fra6x9Quote));
boost::shared_ptr<Quote> fra6x12Rate(<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>(fra6x12Quote));
<span class="comment">// futures</span>
boost::shared_ptr<Quote> fut1Price(<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>(fut1Quote));
boost::shared_ptr<Quote> fut2Price(<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>(fut2Quote));
boost::shared_ptr<Quote> fut3Price(<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>(fut3Quote));
boost::shared_ptr<Quote> fut4Price(<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>(fut4Quote));
boost::shared_ptr<Quote> fut5Price(<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>(fut5Quote));
boost::shared_ptr<Quote> fut6Price(<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>(fut6Quote));
boost::shared_ptr<Quote> fut7Price(<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>(fut7Quote));
boost::shared_ptr<Quote> fut8Price(<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>(fut8Quote));
<span class="comment">// swaps</span>
boost::shared_ptr<Quote> s2yRate(<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>(s2yQuote));
boost::shared_ptr<Quote> s3yRate(<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>(s3yQuote));
boost::shared_ptr<Quote> s5yRate(<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>(s5yQuote));
boost::shared_ptr<Quote> s10yRate(<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>(s10yQuote));
boost::shared_ptr<Quote> s15yRate(<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>(s15yQuote));
<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>
<span class="comment">// deposits</span>
<a name="_a10"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> depositDayCounter = <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>();
boost::shared_ptr<RateHelper> d1w(<span class="keyword">new</span> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a name="_a13"></a><a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d1wRate),
1*Weeks, fixingDays,
calendar, <a name="a14"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
boost::shared_ptr<RateHelper> d1m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d1mRate),
1*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
boost::shared_ptr<RateHelper> d3m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d3mRate),
3*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
boost::shared_ptr<RateHelper> d6m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d6mRate),
6*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
boost::shared_ptr<RateHelper> d9m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d9mRate),
9*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
boost::shared_ptr<RateHelper> d1y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d1yRate),
1*Years, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
<span class="comment">// setup FRAs</span>
boost::shared_ptr<RateHelper> fra3x6(<span class="keyword">new</span> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_fra_rate_helper.html" title="Rate helper for bootstrapping over FRA rates.">FraRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra3x6Rate),
3, 6, fixingDays, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
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>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra6x9Rate),
6, 9, fixingDays, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
boost::shared_ptr<RateHelper> fra6x12(<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>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fra6x12Rate),
6, 12, fixingDays, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, fixingDays, depositDayCounter));
<span class="comment">// setup futures</span>
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> convexityAdjustment = 0.0;
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> futMonths = 3;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> imm = IMM::nextDate(settlementDate);
boost::shared_ptr<RateHelper> fut1(<span class="keyword">new</span> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over interest-rate futures prices.">FuturesRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fut1Price),
imm,
futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
depositDayCounter, convexityAdjustment));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut2(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over interest-rate futures prices.">FuturesRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fut1Price),
imm,
futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
depositDayCounter, convexityAdjustment));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut3(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over interest-rate futures prices.">FuturesRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fut1Price),
imm,
futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
depositDayCounter, convexityAdjustment));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut4(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over interest-rate futures prices.">FuturesRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fut1Price),
imm,
futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
depositDayCounter, convexityAdjustment));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut5(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over interest-rate futures prices.">FuturesRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fut1Price),
imm,
futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
depositDayCounter, convexityAdjustment));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut6(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over interest-rate futures prices.">FuturesRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fut1Price),
imm,
futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
depositDayCounter, convexityAdjustment));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut7(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over interest-rate futures prices.">FuturesRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fut1Price),
imm,
futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
depositDayCounter, convexityAdjustment));
imm = IMM::nextDate(imm+1);
boost::shared_ptr<RateHelper> fut8(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over interest-rate futures prices.">FuturesRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(fut1Price),
imm,
futMonths, calendar, <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
depositDayCounter, convexityAdjustment));
<span class="comment">// setup swaps</span>
<a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> swFixedLegFrequency = <a name="a17"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452ada508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;
<a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> swFixedLegConvention = <a name="a18"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd3685fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> swFixedLegDayCounter = <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);
boost::shared_ptr<IborIndex> swFloatingLegIndex(<span class="keyword">new</span> <a name="_a20"></a><a class="code" href="class_quant_lib_1_1_euribor6_m.html" title="6-months Euribor index">Euribor6M</a>);
boost::shared_ptr<RateHelper> s2y(<span class="keyword">new</span> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s2yRate), 2*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s3y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s3yRate), 3*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s5y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s5yRate), 5*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s10y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s10yRate), 10*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
boost::shared_ptr<RateHelper> s15y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s15yRate), 15*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
<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="_a22"></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 depo-swap curve</span>
std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments;
depoSwapInstruments.push_back(d1w);
depoSwapInstruments.push_back(d1m);
depoSwapInstruments.push_back(d3m);
depoSwapInstruments.push_back(d6m);
depoSwapInstruments.push_back(d9m);
depoSwapInstruments.push_back(d1y);
depoSwapInstruments.push_back(s2y);
depoSwapInstruments.push_back(s3y);
depoSwapInstruments.push_back(s5y);
depoSwapInstruments.push_back(s10y);
depoSwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(
<span class="keyword">new</span> <a name="_a23"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(
settlementDate, depoSwapInstruments,
termStructureDayCounter, tolerance));
<span class="comment">// A depo-futures-swap curve</span>
std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments;
depoFutSwapInstruments.push_back(d1w);
depoFutSwapInstruments.push_back(d1m);
depoFutSwapInstruments.push_back(fut1);
depoFutSwapInstruments.push_back(fut2);
depoFutSwapInstruments.push_back(fut3);
depoFutSwapInstruments.push_back(fut4);
depoFutSwapInstruments.push_back(fut5);
depoFutSwapInstruments.push_back(fut6);
depoFutSwapInstruments.push_back(fut7);
depoFutSwapInstruments.push_back(fut8);
depoFutSwapInstruments.push_back(s3y);
depoFutSwapInstruments.push_back(s5y);
depoFutSwapInstruments.push_back(s10y);
depoFutSwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(
settlementDate, depoFutSwapInstruments,
termStructureDayCounter, tolerance));
<span class="comment">// A depo-FRA-swap curve</span>
std::vector<boost::shared_ptr<RateHelper> > depoFRASwapInstruments;
depoFRASwapInstruments.push_back(d1w);
depoFRASwapInstruments.push_back(d1m);
depoFRASwapInstruments.push_back(d3m);
depoFRASwapInstruments.push_back(fra3x6);
depoFRASwapInstruments.push_back(fra6x9);
depoFRASwapInstruments.push_back(fra6x12);
depoFRASwapInstruments.push_back(s2y);
depoFRASwapInstruments.push_back(s3y);
depoFRASwapInstruments.push_back(s5y);
depoFRASwapInstruments.push_back(s10y);
depoFRASwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(
settlementDate, depoFRASwapInstruments,
termStructureDayCounter, tolerance));
<span class="comment">// Term structures that will be used for pricing:</span>
<span class="comment">// the one used for discounting cash flows</span>
<a name="_a24"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> discountingTermStructure;
<span class="comment">// the one used for forward rate forecasting</span>
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> forecastingTermStructure;
<span class="comment">/*********************</span>
<span class="comment"> * SWAPS TO BE PRICED *</span>
<span class="comment"> **********************/</span>
<span class="comment">// constant nominal 1,000,000 Euro</span>
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> nominal = 1000000.0;
<span class="comment">// fixed leg</span>
<a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> fixedLegFrequency = <a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452ada508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;
<a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> fixedLegConvention = <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd3685fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> floatingLegConvention = <a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fixedLegDayCounter = <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fixedRate = 0.04;
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> floatingLegDayCounter = <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>();
<span class="comment">// floating leg</span>
<a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> floatingLegFrequency = <a name="a25"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452adad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>;
boost::shared_ptr<IborIndex> euriborIndex(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_euribor6_m.html" title="6-months Euribor index">Euribor6M</a>(forecastingTermStructure));
<a name="a26"></a><a class="code" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d" title="spreads on interest rates">Spread</a> spread = 0.0;
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> lenghtInYears = 5;
VanillaSwap::Type swapType = VanillaSwap::Payer;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturity = settlementDate + lenghtInYears*Years;
<a name="_a27"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fixedSchedule(settlementDate, maturity,
<a name="_a28"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),
calendar, fixedLegConvention,
fixedLegConvention,
DateGeneration::Forward, <span class="keyword">false</span>);
<a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> floatSchedule(settlementDate, maturity,
<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),
calendar, floatingLegConvention,
floatingLegConvention,
DateGeneration::Forward, <span class="keyword">false</span>);
<a name="_a29"></a><a class="code" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap.">VanillaSwap</a> spot5YearSwap(swapType, nominal,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread,
floatingLegDayCounter);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fwdStart = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#c47bb82bf7b147cfacf373991c2905ea">advance</a>(settlementDate, 1, Years);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> fwdMaturity = fwdStart + lenghtInYears*Years;
<a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fwdFixedSchedule(fwdStart, fwdMaturity,
<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),
calendar, fixedLegConvention,
fixedLegConvention,
DateGeneration::Forward, <span class="keyword">false</span>);
<a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fwdFloatSchedule(fwdStart, fwdMaturity,
<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),
calendar, floatingLegConvention,
floatingLegConvention,
DateGeneration::Forward, <span class="keyword">false</span>);
<a class="code" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap.">VanillaSwap</a> oneYearForward5YearSwap(swapType, nominal,
fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread,
floatingLegDayCounter);
<span class="comment">/***************</span>
<span class="comment"> * SWAP PRICING *</span>
<span class="comment"> ****************/</span>
<span class="comment">// utilities for reporting</span>
std::vector<std::string> headers(4);
headers[0] = <span class="stringliteral">"term structure"</span>;
headers[1] = <span class="stringliteral">"net present value"</span>;
headers[2] = <span class="stringliteral">"fair spread"</span>;
headers[3] = <span class="stringliteral">"fair fixed rate"</span>;
std::string separator = <span class="stringliteral">" | "</span>;
<a name="a30"></a><a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> width = headers[0].size() + separator.size()
+ headers[1].size() + separator.size()
+ headers[2].size() + separator.size()
+ headers[3].size() + separator.size() - 1;
std::string rule(width, <span class="charliteral">'-'</span>), dblrule(width, <span class="charliteral">'='</span>);
std::string tab(8, <span class="charliteral">' '</span>);
<span class="comment">// calculations</span>
std::cout << dblrule << std::endl;
std::cout << <span class="stringliteral">"5-year market swap-rate = "</span>
<< std::setprecision(2) << <a name="a31"></a><a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(s5yRate->value())
<< std::endl;
std::cout << dblrule << std::endl;
std::cout << tab << <span class="stringliteral">"5-years swap paying "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> NPV;
<a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fairRate;
<a class="code" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d" title="spreads on interest rates">Spread</a> fairSpread;
boost::shared_ptr<PricingEngine> swapEngine(
<span class="keyword">new</span> DiscountingSwapEngine(discountingTermStructure));
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
<span class="comment">// Of course, you're not forced to really use different curves</span>
forecastingTermStructure.<a name="a32"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
<span class="comment">// let's check that the 5 years swap has been correctly re-priced</span>
<a name="a33"></a><a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6" title="throw an error if the given pre-condition is not verified">QL_REQUIRE</a>(std::fabs(fairRate-s5yQuote)<1e-8,
<span class="stringliteral">"5-years swap mispriced by "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(std::fabs(fairRate-s5yQuote)));
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-fut-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
<a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6" title="throw an error if the given pre-condition is not verified">QL_REQUIRE</a>(std::fabs(fairRate-s5yQuote)<1e-8,
<span class="stringliteral">"5-years swap mispriced!"</span>);
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-FRA-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
<a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6" title="throw an error if the given pre-condition is not verified">QL_REQUIRE</a>(std::fabs(fairRate-s5yQuote)<1e-8,
<span class="stringliteral">"5-years swap mispriced!"</span>);
std::cout << rule << std::endl;
<span class="comment">// now let's price the 1Y forward 5Y swap</span>
std::cout << tab << <span class="stringliteral">"5-years, 1-year forward swap paying "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-fut-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-FRA-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
<span class="comment">// now let's say that the 5-years swap rate goes up to 4.60%.</span>
<span class="comment">// A smarter market element--say, connected to a data source-- would</span>
<span class="comment">// notice the change itself. Since we're using SimpleQuotes,</span>
<span class="comment">// we'll have to change the value manually--which forces us to</span>
<span class="comment">// downcast the handle and use the SimpleQuote</span>
<span class="comment">// interface. In any case, the point here is that a change in the</span>
<span class="comment">// value contained in the Quote triggers a new bootstrapping</span>
<span class="comment">// of the curve and a repricing of the swap.</span>
boost::shared_ptr<SimpleQuote> fiveYearsRate =
boost::dynamic_pointer_cast<<a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>>(s5yRate);
fiveYearsRate->setValue(0.0460);
std::cout << dblrule << std::endl;
std::cout << <span class="stringliteral">"5-year market swap-rate = "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(s5yRate->value()) << std::endl;
std::cout << dblrule << std::endl;
std::cout << tab << <span class="stringliteral">"5-years swap paying "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
<span class="comment">// now get the updated results</span>
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
<a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6" title="throw an error if the given pre-condition is not verified">QL_REQUIRE</a>(std::fabs(fairRate-s5yRate->value())<1e-8,
<span class="stringliteral">"5-years swap mispriced!"</span>);
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-fut-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
<a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6" title="throw an error if the given pre-condition is not verified">QL_REQUIRE</a>(std::fabs(fairRate-s5yRate->value())<1e-8,
<span class="stringliteral">"5-years swap mispriced!"</span>);
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-FRA-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
<a class="code" href="errors_8hpp.html#7a9bcab8006882bc7d5302a0861ab1a6" title="throw an error if the given pre-condition is not verified">QL_REQUIRE</a>(std::fabs(fairRate-s5yRate->value())<1e-8,
<span class="stringliteral">"5-years swap mispriced!"</span>);
std::cout << rule << std::endl;
<span class="comment">// the 1Y forward 5Y swap changes as well</span>
std::cout << tab << <span class="stringliteral">"5-years, 1-year forward swap paying "</span>
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRate) << std::endl;
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-fut-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::endl;
forecastingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
discountingTermStructure.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< <span class="stringliteral">"depo-FRA-swap"</span> << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairSpread) << separator;
std::cout << std::setw(headers[3].size())
<< <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fairRate) << separator;
std::cout << std::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;
std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<span class="keywordflow">if</span> (hours > 0)
std::cout << hours << <span class="stringliteral">" h "</span>;
<span class="keywordflow">if</span> (hours > 0 || minutes > 0)
std::cout << minutes << <span class="stringliteral">" m "</span>;
std::cout << std::fixed << std::setprecision(0)
<< seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<span class="keywordflow">return</span> 0;
} <span class="keywordflow">catch</span> (std::exception& e) {
std::cout << e.what() << std::endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
std::cout << <span class="stringliteral">"unknown error"</span> << std::endl;
<span class="keywordflow">return</span> 1;
}
}
</pre></div>
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