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<div class="title">CVAIRS.cpp</div> </div>
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<div class="contents">
<p>This example shows how to calculate credit value adjustment for an interest rate swap.</p>
<div class="fragment"><div class="line"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">/*</span></div>
<div class="line"><span class="comment"> Copyright (C) 2015 Jose Aparicio</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> This file is part of QuantLib, a free-software/open-source library</span></div>
<div class="line"><span class="comment"> for financial quantitative analysts and developers - http://quantlib.org/</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> QuantLib is free software: you can redistribute it and/or modify it</span></div>
<div class="line"><span class="comment"> under the terms of the QuantLib license. You should have received a</span></div>
<div class="line"><span class="comment"> copy of the license along with this program; if not, please email</span></div>
<div class="line"><span class="comment"> <quantlib-dev@lists.sf.net>. The license is also available online at</span></div>
<div class="line"><span class="comment"> <http://quantlib.org/license.shtml>.</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> This program is distributed in the hope that it will be useful, but WITHOUT</span></div>
<div class="line"><span class="comment"> ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS</span></div>
<div class="line"><span class="comment"> FOR A PARTICULAR PURPOSE. See the license for more details.</span></div>
<div class="line"><span class="comment">*/</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/qldefines.hpp></span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor"># include <ql/auto_link.hpp></span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include <ql/instruments/vanillaswap.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/instruments/makevanillaswap.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/pricingengines/swap/discountingswapengine.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/pricingengines/swap/cvaswapengine.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/piecewiseyieldcurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/ratehelpers.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/credit/interpolatedhazardratecurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/indexes/ibor/euribor.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/target.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actualactual.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actual360.hpp></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <iostream></span></div>
<div class="line"><span class="preprocessor">#include <iomanip></span></div>
<div class="line"> </div>
<div class="line"><span class="keyword">using namespace </span>std;</div>
<div class="line"><span class="keyword">using namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a>;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span></div>
<div class="line"><span class="keyword">namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a> {</div>
<div class="line"> </div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">/*</span></div>
<div class="line"><span class="comment"> This example reproduces Table 2 on page 11 of </span></div>
<div class="line"><span class="comment"> A Formula for Interest Rate Swaps Valuation under</span></div>
<div class="line"><span class="comment"> Counterparty Risk in presence of Netting Agreements</span></div>
<div class="line"><span class="comment"> </span></div>
<div class="line"><span class="comment"> Damiano Brigo and Massimo Masetti; May 4, 2005</span></div>
<div class="line"><span class="comment"> */</span></div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">try</span> {</div>
<div class="line"> </div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> <a name="_a0"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();</div>
<div class="line"> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate(10, March, 2004);</div>
<div class="line"> <span class="comment">// must be a business day</span></div>
<div class="line"> todaysDate = calendar.<a name="a3"></a><a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(todaysDate);</div>
<div class="line"> </div>
<div class="line"> Settings::instance().evaluationDate() = todaysDate;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<IborIndex> yieldIndx(<span class="keyword">new</span> <a name="_a4"></a><a class="code" href="class_quant_lib_1_1_euribor3_m.html" title="3-months Euribor index">Euribor3M</a>());</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> tenorsSwapMkt[] = {5, 10, 15, 20, 25, 30};</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// rates ignoring counterparty risk:</span></div>
<div class="line"> <a name="a5"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> ratesSwapmkt[] = {.03249, .04074, .04463, .04675, .04775, .04811};</div>
<div class="line"> </div>
<div class="line"> vector<ext::shared_ptr<RateHelper> > swapHelpers;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<<span class="keyword">sizeof</span>(tenorsSwapMkt)/<span class="keyword">sizeof</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a>); i++)</div>
<div class="line"> swapHelpers.push_back(ext::make_shared<SwapRateHelper>(</div>
<div class="line"> <a name="_a6"></a><a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ext::shared_ptr<Quote>(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(ratesSwapmkt[i]))),</div>
<div class="line"> tenorsSwapMkt[i] * Years,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(),</div>
<div class="line"> <a name="a8"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>,</div>
<div class="line"> <a name="a9"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA),</div>
<div class="line"> yieldIndx));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<YieldTermStructure> swapTS(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(</div>
<div class="line"> 2, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), swapHelpers, <a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA)));</div>
<div class="line"> swapTS->enableExtrapolation();</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<PricingEngine> riskFreeEngine(</div>
<div class="line"> ext::make_shared<DiscountingSwapEngine>(</div>
<div class="line"> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a>(swapTS)));</div>
<div class="line"> </div>
<div class="line"> std::vector<Handle<DefaultProbabilityTermStructure> ></div>
<div class="line"> defaultIntensityTS;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> defaultTenors[] = {0, 12, 36, 60, 84, 120, 180, 240, 300, </div>
<div class="line"> 360};<span class="comment">// months</span></div>
<div class="line"> <span class="comment">// Three risk levels:</span></div>
<div class="line"> <a name="a13"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> intensitiesLow[] = {0.0036, 0.0036, 0.0065, 0.0099, 0.0111, </div>
<div class="line"> 0.0177, 0.0177, 0.0177, 0.0177, 0.0177, </div>
<div class="line"> 0.0177};</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> intensitiesMedium[] = {0.0202, 0.0202, 0.0231, 0.0266, 0.0278, </div>
<div class="line"> 0.0349, 0.0349, 0.0349, 0.0349, 0.0349,</div>
<div class="line"> 0.0349};</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> intensitiesHigh[] = {0.0534, 0.0534, 0.0564, 0.06, 0.0614, 0.0696,</div>
<div class="line"> 0.0696, 0.0696, 0.0696, 0.0696, 0.0696};</div>
<div class="line"> <span class="comment">// Recovery rates:</span></div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> ctptyRRLow = 0.4, ctptyRRMedium = 0.35, ctptyRRHigh = 0.3;</div>
<div class="line"> </div>
<div class="line"> std::vector<Date> defaultTSDates;</div>
<div class="line"> std::vector<Real> intesitiesVLow, intesitiesVMedium, intesitiesVHigh;</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<<span class="keyword">sizeof</span>(defaultTenors)/<span class="keyword">sizeof</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a>); i++) {</div>
<div class="line"> defaultTSDates.push_back(<a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>().<a name="a14"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(todaysDate, </div>
<div class="line"> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(defaultTenors[i], Months)));</div>
<div class="line"> intesitiesVLow.push_back(intensitiesLow[i]);</div>
<div class="line"> intesitiesVMedium.push_back(intensitiesMedium[i]);</div>
<div class="line"> intesitiesVHigh.push_back(intensitiesHigh[i]);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> defaultIntensityTS.push_back(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a>(</div>
<div class="line"> ext::shared_ptr<DefaultProbabilityTermStructure>(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html" title="DefaultProbabilityTermStructure based on interpolation of hazard rates.">InterpolatedHazardRateCurve<BackwardFlat></a>(</div>
<div class="line"> defaultTSDates, </div>
<div class="line"> intesitiesVLow,</div>
<div class="line"> <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>()))));</div>
<div class="line"> defaultIntensityTS.push_back(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a>(</div>
<div class="line"> ext::shared_ptr<DefaultProbabilityTermStructure>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html" title="DefaultProbabilityTermStructure based on interpolation of hazard rates.">InterpolatedHazardRateCurve<BackwardFlat></a>(</div>
<div class="line"> defaultTSDates,</div>
<div class="line"> intesitiesVMedium,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>()))));</div>
<div class="line"> defaultIntensityTS.push_back(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a>(</div>
<div class="line"> ext::shared_ptr<DefaultProbabilityTermStructure>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_interpolated_hazard_rate_curve.html" title="DefaultProbabilityTermStructure based on interpolation of hazard rates.">InterpolatedHazardRateCurve<BackwardFlat></a>(</div>
<div class="line"> defaultTSDates, </div>
<div class="line"> intesitiesVHigh,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>()))));</div>
<div class="line"> </div>
<div class="line"> <a name="a18"></a><a class="code" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> blackVol = 0.15; </div>
<div class="line"> ext::shared_ptr<PricingEngine> ctptySwapCvaLow = </div>
<div class="line"> ext::make_shared<CounterpartyAdjSwapEngine>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a>(swapTS), </div>
<div class="line"> blackVol,</div>
<div class="line"> defaultIntensityTS[0], </div>
<div class="line"> ctptyRRLow</div>
<div class="line"> );</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<PricingEngine> ctptySwapCvaMedium = </div>
<div class="line"> ext::make_shared<CounterpartyAdjSwapEngine>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a>(swapTS), </div>
<div class="line"> blackVol, </div>
<div class="line"> defaultIntensityTS[1],</div>
<div class="line"> ctptyRRMedium);</div>
<div class="line"> ext::shared_ptr<PricingEngine> ctptySwapCvaHigh = </div>
<div class="line"> ext::make_shared<CounterpartyAdjSwapEngine>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a>(swapTS), </div>
<div class="line"> blackVol,</div>
<div class="line"> defaultIntensityTS[2],</div>
<div class="line"> ctptyRRHigh);</div>
<div class="line"> </div>
<div class="line"> defaultIntensityTS[0]->enableExtrapolation();</div>
<div class="line"> defaultIntensityTS[1]->enableExtrapolation();</div>
<div class="line"> defaultIntensityTS[2]->enableExtrapolation();</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// fixed leg</span></div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> fixedLegFrequency = <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>;</div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> fixedLegConvention = <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;</div>
<div class="line"> <a name="_a19"></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_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);</div>
<div class="line"> <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_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);</div>
<div class="line"> </div>
<div class="line"> VanillaSwap::Type swapType = </div>
<div class="line"> <span class="comment">//VanillaSwap::Receiver ;</span></div>
<div class="line"> VanillaSwap::Payer;</div>
<div class="line"> ext::shared_ptr<IborIndex> yieldIndxS(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_euribor3_m.html" title="3-months Euribor index">Euribor3M</a>(<a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a>(swapTS)));</div>
<div class="line"> std::vector<VanillaSwap> riskySwaps;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<<span class="keyword">sizeof</span>(tenorsSwapMkt)/<span class="keyword">sizeof</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a>); i++) </div>
<div class="line"> riskySwaps.push_back(<a name="_a20"></a><a class="code" href="class_quant_lib_1_1_make_vanilla_swap.html" title="helper class">MakeVanillaSwap</a>(tenorsSwapMkt[i]*Years,</div>
<div class="line"> yieldIndxS,</div>
<div class="line"> ratesSwapmkt[i], </div>
<div class="line"> 0*Days)</div>
<div class="line"> .<a name="a21"></a>withSettlementDays(2)</div>
<div class="line"> .<a name="a22"></a>withFixedLegDayCount(fixedLegDayCounter)</div>
<div class="line"> .<a name="a23"></a>withFixedLegTenor(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency))</div>
<div class="line"> .<a name="a24"></a>withFixedLegConvention(fixedLegConvention)</div>
<div class="line"> .<a name="a25"></a>withFixedLegTerminationDateConvention(fixedLegConvention)</div>
<div class="line"> .<a name="a26"></a>withFixedLegCalendar(calendar)</div>
<div class="line"> .<a name="a27"></a>withFloatingLegCalendar(calendar)</div>
<div class="line"> .<a name="a28"></a>withNominal(100.)</div>
<div class="line"> .<a name="a29"></a>withType(swapType));</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"-- Correction in the contract fix rate in bp --"</span> << endl;</div>
<div class="line"> <span class="comment">/* The paper plots correction to be substracted, here is printed</span></div>
<div class="line"><span class="comment"> with its sign </span></div>
<div class="line"><span class="comment"> */</span></div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<riskySwaps.size(); i++) {</div>
<div class="line"> cout << fixed << setprecision(3);</div>
<div class="line"> cout << setw(4);</div>
<div class="line"> riskySwaps[i].setPricingEngine(riskFreeEngine);</div>
<div class="line"> <span class="comment">// should recover the input here:</span></div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> nonRiskyFair = riskySwaps[i].fairRate();</div>
<div class="line"> cout << tenorsSwapMkt[i];</div>
<div class="line"> cout << setw(5);</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">" | "</span> << <a name="a30"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(nonRiskyFair);</div>
<div class="line"> cout << fixed << setprecision(2);</div>
<div class="line"> cout << setw(5);</div>
<div class="line"> <span class="comment">// Low Risk:</span></div>
<div class="line"> riskySwaps[i].setPricingEngine(ctptySwapCvaLow);</div>
<div class="line"> cout << <span class="stringliteral">" | "</span> << setw(6) </div>
<div class="line"> << 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);</div>
<div class="line"> <span class="comment">//cout << " | " << setw(6) << riskySwaps[i].NPV() ;</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Medium Risk:</span></div>
<div class="line"> riskySwaps[i].setPricingEngine(ctptySwapCvaMedium);</div>
<div class="line"> cout << <span class="stringliteral">" | "</span> << setw(6) </div>
<div class="line"> << 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);</div>
<div class="line"> <span class="comment">//cout << " | " << setw(6) << riskySwaps[i].NPV() ;</span></div>
<div class="line"> </div>
<div class="line"> riskySwaps[i].setPricingEngine(ctptySwapCvaHigh);</div>
<div class="line"> cout << <span class="stringliteral">" | "</span> << setw(6) </div>
<div class="line"> << 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);</div>
<div class="line"> <span class="comment">//cout << " | " << setw(6) << riskySwaps[i].NPV() ;</span></div>
<div class="line"> </div>
<div class="line"> cout << endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> cout << endl;</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</div>
<div class="line"> } <span class="keywordflow">catch</span> (exception& e) {</div>
<div class="line"> cerr << e.what() << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> } <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> cerr << <span class="stringliteral">"unknown error"</span> << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line">}</div>
<div class="line"> </div>
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