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# Copyright (C) 2004, 2005, 2006, 2007 StatPro Italia srl
#
# This file is part of QuantLib, a free-software/open-source library
# for financial quantitative analysts and developers - http://quantlib.org/
#
# QuantLib is free software: you can redistribute it and/or modify it under the
# terms of the QuantLib license. You should have received a copy of the
# license along with this program; if not, please email
# <quantlib-dev@lists.sf.net>. The license is also available online at
# <http://quantlib.org/license.shtml>.
#
# This program is distributed in the hope that it will be useful, but WITHOUT
# ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
# FOR A PARTICULAR PURPOSE. See the license for more details.
require 'QuantLib'
include QuantLib
# global data
calendar = TARGET.new
todaysDate = Date.new(6,November,2001);
Settings.instance.evaluationDate = todaysDate
settlementDate = Date.new(8,November,2001);
# market quotes
deposits = [ [1, Weeks, SimpleQuote.new(0.0382)],
[1, Months, SimpleQuote.new(0.0372)],
[3, Months, SimpleQuote.new(0.0363)],
[6, Months, SimpleQuote.new(0.0353)],
[9, Months, SimpleQuote.new(0.0348)],
[1, Years, SimpleQuote.new(0.0345)] ]
fras = { [3,6] => SimpleQuote.new(0.037125),
[6,9] => SimpleQuote.new(0.037125),
[9,12] => SimpleQuote.new(0.037125) }
futures = { Date.new(19,12,2001) => SimpleQuote.new(96.2875),
Date.new(20,3,2002) => SimpleQuote.new(96.7875),
Date.new(19,6,2002) => SimpleQuote.new(96.9875),
Date.new(18,9,2002) => SimpleQuote.new(96.6875),
Date.new(18,12,2002) => SimpleQuote.new(96.4875),
Date.new(19,3,2003) => SimpleQuote.new(96.3875),
Date.new(18,6,2003) => SimpleQuote.new(96.2875),
Date.new(17,9,2003) => SimpleQuote.new(96.0875) }
swaps = { [ 2,Years] => SimpleQuote.new(0.037125),
[ 3,Years] => SimpleQuote.new(0.0398),
[ 5,Years] => SimpleQuote.new(0.0443),
[10,Years] => SimpleQuote.new(0.05165),
[15,Years] => SimpleQuote.new(0.055175) }
# build rate helpers
dayCounter = Actual360.new
settlementDays = 2
depositHelpers = deposits.map { |n,unit,v|
DepositRateHelper.new(QuoteHandle.new(v),
Period.new(n,unit), settlementDays,
calendar, ModifiedFollowing,
false, settlementDays, dayCounter)
}
dayCounter = Actual360.new
settlementDays = 2
fraHelpers = fras.map { |(n,m),v|
FraRateHelper.new(QuoteHandle.new(v),
n, m, settlementDays,
calendar, ModifiedFollowing,
false, settlementDays, dayCounter)
}
dayCounter = Actual360.new
months = 3
futuresHelpers = futures.map { |d,v|
FuturesRateHelper.new(QuoteHandle.new(v),
d, months,
calendar, ModifiedFollowing, dayCounter)
}
settlementDays = 2
fixedLegFrequency = Annual
fixedLegAdjustment = Unadjusted
fixedLegDayCounter = Thirty360.new
floatingLegFrequency = Semiannual
floatingLegAdjustment = ModifiedFollowing
swapHelpers = swaps.map {|(n,unit),v|
SwapRateHelper.new(QuoteHandle.new(v),
Period.new(n,unit),
calendar, fixedLegFrequency, fixedLegAdjustment,
fixedLegDayCounter, Euribor6M.new)
}
# term structure handles
discountTermStructure = RelinkableYieldTermStructureHandle.new
forecastTermStructure = RelinkableYieldTermStructureHandle.new
# term-structure construction
helpers = depositHelpers[0..1] + futuresHelpers + swapHelpers[1..-1]
depoFuturesSwapCurve = PiecewiseFlatForward.new(settlementDate,
helpers, Actual360.new)
helpers = depositHelpers[0..2] + fraHelpers + swapHelpers
depoFraSwapCurve = PiecewiseFlatForward.new(settlementDate,
helpers, Actual360.new)
# swaps to be priced
swapEngine = DiscountingSwapEngine.new(discountTermStructure)
nominal = 1000000
length = 5
maturity = calendar.advance(settlementDate,length,Years)
payFixed = VanillaSwap::Payer
fixedLegFrequency = Annual
fixedLegTenor = Period.new(1,Years)
fixedLegAdjustment = Unadjusted
fixedLegDayCounter = Thirty360.new
fixedRate = 0.04
floatingLegFrequency = Semiannual
floatingLegTenor = Period.new(6,Months)
spread = 0.0
fixingDays = 2
index = Euribor6M.new(forecastTermStructure)
floatingLegAdjustment = ModifiedFollowing
floatingLegDayCounter = index.dayCounter
fixedSchedule = Schedule.new(settlementDate, maturity,
fixedLegTenor, calendar,
fixedLegAdjustment, fixedLegAdjustment,
DateGeneration::Forward, false)
floatingSchedule = Schedule.new(settlementDate, maturity,
floatingLegTenor, calendar,
floatingLegAdjustment, floatingLegAdjustment,
DateGeneration::Forward, false)
spot = VanillaSwap.new(payFixed, nominal,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatingSchedule, index, spread,
floatingLegDayCounter)
spot.pricingEngine = swapEngine
forwardStart = calendar.advance(settlementDate,1,Years)
forwardEnd = calendar.advance(forwardStart,length,Years)
fixedSchedule = Schedule.new(forwardStart, forwardEnd,
fixedLegTenor, calendar,
fixedLegAdjustment, fixedLegAdjustment,
DateGeneration::Forward, false)
floatingSchedule = Schedule.new(forwardStart, forwardEnd,
floatingLegTenor, calendar,
floatingLegAdjustment, floatingLegAdjustment,
DateGeneration::Forward, false)
forward = VanillaSwap.new(payFixed, nominal,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatingSchedule, index, spread,
floatingLegDayCounter)
forward.pricingEngine = swapEngine
# price on the bootstrapped curves
def formatPrice(p,digits=2)
format = "%.#{digits}f"
return sprintf(format, p)
end
def formatRate(r,digits=2)
format = "%.#{digits}f %%"
return sprintf(format,r*100)
end
Format = '%17s |%17s |%17s |%17s'
header = sprintf(Format,"term structure", "net present value",
"fair spread", "fair fixed rate")
width = header.length
rule = "-" * width
dblrule = "=" * width
tab = " " * 8
def report(swap, name)
puts sprintf(Format, name, formatPrice(swap.NPV,2),
formatRate(swap.fairSpread,4),
formatRate(swap.fairRate,4))
end
puts dblrule
puts "5-year market swap-rate = #{formatRate(swaps[[5,Years]].value)}"
puts dblrule
# price on two different term structures
puts "#{tab}5-years swap paying #{formatRate(fixedRate)}"
puts header
puts rule
discountTermStructure.linkTo!(depoFuturesSwapCurve)
forecastTermStructure.linkTo!(depoFuturesSwapCurve)
report(spot,'depo-fut-swap')
discountTermStructure.linkTo!(depoFraSwapCurve)
forecastTermStructure.linkTo!(depoFraSwapCurve)
report(spot,'depo-FRA-swap')
puts rule
# price the 1-year forward swap
puts "#{tab}5-years, 1-year forward swap paying #{formatRate(fixedRate)}"
puts rule
discountTermStructure.linkTo!(depoFuturesSwapCurve)
forecastTermStructure.linkTo!(depoFuturesSwapCurve)
report(forward,'depo-fut-swap')
discountTermStructure.linkTo!(depoFraSwapCurve)
forecastTermStructure.linkTo!(depoFraSwapCurve)
report(forward,'depo-FRA-swap')
# modify the 5-years swap rate and reprice
swaps[[5,Years]].value = 0.046
puts dblrule
puts "5-year market swap-rate = #{formatRate(swaps[[5,Years]].value)}"
puts dblrule
puts "#{tab}5-years swap paying #{formatRate(fixedRate)}"
puts header
puts rule
discountTermStructure.linkTo!(depoFuturesSwapCurve)
forecastTermStructure.linkTo!(depoFuturesSwapCurve)
report(spot,'depo-fut-swap')
discountTermStructure.linkTo!(depoFraSwapCurve)
forecastTermStructure.linkTo!(depoFraSwapCurve)
report(spot,'depo-FRA-swap')
puts rule
puts "#{tab}5-years, 1-year forward swap paying #{formatRate(fixedRate)}"
puts rule
discountTermStructure.linkTo!(depoFuturesSwapCurve)
forecastTermStructure.linkTo!(depoFuturesSwapCurve)
report(forward,'depo-fut-swap')
discountTermStructure.linkTo!(depoFraSwapCurve)
forecastTermStructure.linkTo!(depoFraSwapCurve)
report(forward,'depo-FRA-swap')
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