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/*!
Copyright (C) 2000, 2001, 2002 RiskMap 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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
//! $Id: swapvaluation.cpp,v 1.20 2002/03/07 14:06:17 lballabio Exp $
/* This example shows how to set up a Term Structure and then price a simple
swap.
*/
// the only header you need to use QuantLib
#include <ql/quantlib.hpp>
using namespace QuantLib;
using Calendars::TARGET;
using DayCounters::ActualActual;
using DayCounters::Actual360;
using DayCounters::Thirty360;
using Indexes::Xibor;
using Indexes::Euribor;
using Instruments::SimpleSwap;
using TermStructures::PiecewiseFlatForward;
using TermStructures::FlatForward;
using TermStructures::RateHelper;
using TermStructures::DepositRateHelper;
using TermStructures::FraRateHelper;
using TermStructures::FuturesRateHelper;
using TermStructures::SwapRateHelper;
int main(int argc, char* argv[])
{
try {
Calendar calendar = TARGET();
Currency currency = EUR;
int settlementDays = 2;
int fixingDays = 2;
/*********************
*** MARKET DATA ***
*********************/
Date todaysDate(6, November, 2001);
// deposits
double d1wQuote=0.0382;
double d1mQuote=0.0372;
double d3mQuote=0.0363;
double d6mQuote=0.0353;
double d9mQuote=0.0348;
double d1yQuote=0.0345;
// FRAs
double fra3x6Quote=0.037125;
double fra6x9Quote=0.037125;
double fra6x12Quote=0.037125;
// futures
double fut1Quote=96.2875;
double fut2Quote=96.7875;
double fut3Quote=96.9875;
double fut4Quote=96.6875;
double fut5Quote=96.4875;
double fut6Quote=96.3875;
double fut7Quote=96.2875;
double fut8Quote=96.0875;
// swaps
double s2yQuote=0.037125;
double s3yQuote=0.0398;
double s5yQuote=0.0443;
double s10yQuote=0.05165;
double s15yQuote=0.055175;
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with other
// instrument dependant infos.
// setup deposits
DayCounter depositDayCounter = Actual360();
Handle<RateHelper> d1w(new DepositRateHelper(
d1wQuote, settlementDays,
1, Weeks, calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d1m(new DepositRateHelper(
d1mQuote, settlementDays,
1, Months, calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d3m(new DepositRateHelper(
d3mQuote, settlementDays,
3, Months, calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d6m(new DepositRateHelper(
d6mQuote, settlementDays,
6, Months, calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d9m(new DepositRateHelper(
d9mQuote, settlementDays,
9, Months, calendar, ModifiedFollowing, depositDayCounter));
Handle<RateHelper> d1y(new DepositRateHelper(
d1yQuote, settlementDays,
1, Years, calendar, ModifiedFollowing, depositDayCounter));
// setup swaps
int swFixedLegFrequency = 1;
bool swFixedLegIsAdjusted = false;
DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);
int swFloatingLegFrequency = 2;
Handle<RateHelper> s2y(new SwapRateHelper(
s2yQuote, settlementDays,
2, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
Handle<RateHelper> s3y(new SwapRateHelper(
s3yQuote, settlementDays,
3, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
Handle<RateHelper> s5y(new SwapRateHelper(
s5yQuote, settlementDays,
5, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
Handle<RateHelper> s10y(new SwapRateHelper(
s10yQuote, settlementDays,
10, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
Handle<RateHelper> s15y(new SwapRateHelper(
s15yQuote, settlementDays,
15, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
/*********************
** CURVE BUILDING **
*********************/
// Any DayCounter would be fine.
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter =
ActualActual(ActualActual::ISDA);
// A depo-swap curve
std::vector<Handle<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);
Handle<TermStructure> depoSwapTermStructure(new
PiecewiseFlatForward(currency, termStructureDayCounter,
todaysDate, calendar, settlementDays, depoSwapInstruments));
/*********************
* SWAPS TO BE PRICED *
**********************/
// Term structures that will be used for pricing:
// the one used for discounting cash flows
RelinkableHandle<TermStructure> discountingTermStructure;
// the one used for forward rate forecasting
RelinkableHandle<TermStructure> forecastingTermStructure;
// spot start
Date spotDate = calendar.advance(todaysDate, settlementDays, Days,
Following);
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
int fixedLegFrequency = 1; // annual
bool fixedLegIsAdjusted = false;
RollingConvention roll = ModifiedFollowing;
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
Rate fixedRate = 0.04;
// floating leg
int floatingLegFrequency = 2;
Handle<Xibor> euriborIndex(new Euribor(6, Months,
forecastingTermStructure)); // using the forecasting curve
Spread spread = 0.0;
int lenghtInYears = 5;
bool payFixedRate = true;
SimpleSwap spot5YearSwap(payFixedRate, spotDate, lenghtInYears,
Years, calendar, roll, nominal, fixedLegFrequency, fixedRate,
fixedLegIsAdjusted, fixedLegDayCounter, floatingLegFrequency,
euriborIndex, fixingDays, spread,
discountingTermStructure); // using the discounting curve
SimpleSwap oneYearForward5YearSwap(payFixedRate,
calendar.advance(spotDate, 1, Years, ModifiedFollowing),
lenghtInYears, Years,
calendar, roll, nominal, fixedLegFrequency, fixedRate,
fixedLegIsAdjusted, fixedLegDayCounter, floatingLegFrequency,
euriborIndex, fixingDays, spread,
discountingTermStructure); // using the discounting curve
/***************
* SWAP PRICING *
****************/
// let's price in term of NPV, fixed rate, and spread
double NPV;
Rate fairFixedRate;
Spread fairFloatingSpread;
// Of course, you're not forced to really use different curves
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
std::cout << "*** using Depo-Fut-Swap term structure:" << std::endl;
NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = - NPV / spot5YearSwap.floatingLegBPS();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV / spot5YearSwap.fixedLegBPS();
std::cout << "5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
// let's check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yQuote)<1e-8,
"5 years swap mispriced!");
// now let's price the 1Y forward 5Y swap
NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = -NPV / spot5YearSwap.floatingLegBPS();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV/oneYearForward5YearSwap.fixedLegBPS();
std::cout << "1Yx5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
// now, let's get serious
/*********************
*** MARKET DATA ***
*********************/
// market elements are containers for quotes.
// SimpleMarketElement stores a value which can be manually changed;
// other MarketElement subclasses could read the value from a
// database or some kind of data feed.
// deposits
Handle<MarketElement> d1wRate(new SimpleMarketElement(d1wQuote));
Handle<MarketElement> d1mRate(new SimpleMarketElement(d1mQuote));
Handle<MarketElement> d3mRate(new SimpleMarketElement(d3mQuote));
Handle<MarketElement> d6mRate(new SimpleMarketElement(d6mQuote));
Handle<MarketElement> d9mRate(new SimpleMarketElement(d9mQuote));
Handle<MarketElement> d1yRate(new SimpleMarketElement(d1yQuote));
// FRAs
Handle<MarketElement> fra3x6Rate(new SimpleMarketElement(fra3x6Quote));
Handle<MarketElement> fra6x9Rate(new SimpleMarketElement(fra6x9Quote));
Handle<MarketElement> fra6x12Rate(new SimpleMarketElement(fra6x12Quote));
// futures
Handle<MarketElement> fut1Price(new SimpleMarketElement(fut1Quote));
Handle<MarketElement> fut2Price(new SimpleMarketElement(fut2Quote));
Handle<MarketElement> fut3Price(new SimpleMarketElement(fut3Quote));
Handle<MarketElement> fut4Price(new SimpleMarketElement(fut4Quote));
Handle<MarketElement> fut5Price(new SimpleMarketElement(fut5Quote));
Handle<MarketElement> fut6Price(new SimpleMarketElement(fut6Quote));
Handle<MarketElement> fut7Price(new SimpleMarketElement(fut7Quote));
Handle<MarketElement> fut8Price(new SimpleMarketElement(fut8Quote));
// swaps
Handle<MarketElement> s2yRate(new SimpleMarketElement(s2yQuote));
Handle<MarketElement> s3yRate(new SimpleMarketElement(s3yQuote));
Handle<MarketElement> s5yRate(new SimpleMarketElement(s5yQuote));
Handle<MarketElement> s10yRate(new SimpleMarketElement(s10yQuote));
Handle<MarketElement> s15yRate(new SimpleMarketElement(s15yQuote));
/*********************
*** RATE HELPERS ***
*********************/
// RateHelpers are built from the above quotes together with other
// instrument dependant infos.
// This time quotes are passed in relinkable
// handles which could be relinked to some other data source later.
// setup deposits
d1w =Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d1wRate), settlementDays,
1, Weeks, calendar, ModifiedFollowing, depositDayCounter));
d1m=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d1mRate), settlementDays,
1, Months, calendar, ModifiedFollowing, depositDayCounter));
d3m=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d3mRate), settlementDays,
3, Months, calendar, ModifiedFollowing, depositDayCounter));
d6m=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d6mRate), settlementDays,
6, Months, calendar, ModifiedFollowing, depositDayCounter));
d9m=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d9mRate), settlementDays,
9, Months, calendar, ModifiedFollowing, depositDayCounter));
d1y=Handle<RateHelper>(new DepositRateHelper(
RelinkableHandle<MarketElement>(d1yRate), settlementDays,
1, Years, calendar, ModifiedFollowing, depositDayCounter));
// setup swaps
s2y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s2yRate), settlementDays,
2, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
s3y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s3yRate), settlementDays,
3, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
s5y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s5yRate), settlementDays,
5, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
s10y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s10yRate), settlementDays,
10, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
s15y=Handle<RateHelper>(new SwapRateHelper(
RelinkableHandle<MarketElement>(s15yRate), settlementDays,
15, calendar, ModifiedFollowing, swFixedLegFrequency,
swFixedLegIsAdjusted, swFixedLegDayCounter,
swFloatingLegFrequency));
// let's add FRA and futures
// setup FRAs
Handle<RateHelper> fra3x6(new FraRateHelper(
RelinkableHandle<MarketElement>(fra3x6Rate),
settlementDays, 3, 6, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fra6x9(new FraRateHelper(
RelinkableHandle<MarketElement>(fra6x9Rate),
settlementDays, 6, 9, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fra6x12(new FraRateHelper(
RelinkableHandle<MarketElement>(fra6x12Rate),
settlementDays, 6, 12, calendar, ModifiedFollowing,
depositDayCounter));
// setup futures
int futMonths = 3;
Handle<RateHelper> fut1(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(19, December, 2001),
settlementDays, futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut2(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(20, March, 2002),
settlementDays, futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut3(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(19, June, 2002),
settlementDays, futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut4(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(18, September, 2002),
settlementDays, futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut5(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(18, December, 2002),
settlementDays, futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut6(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(19, March, 2003),
settlementDays, futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut7(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(18, June, 2003),
settlementDays, futMonths, calendar, ModifiedFollowing,
depositDayCounter));
Handle<RateHelper> fut8(new FuturesRateHelper(
RelinkableHandle<MarketElement>(fut1Price),
Date(17, September, 2003),
settlementDays, futMonths, calendar, ModifiedFollowing,
depositDayCounter));
/*********************
** CURVE BUILDING **
*********************/
// A depo-futures-swap curve
std::vector<Handle<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);
Handle<TermStructure> depoFutSwapTermStructure(new
PiecewiseFlatForward(currency, termStructureDayCounter,
todaysDate, calendar, settlementDays, depoFutSwapInstruments));
// A depo-FRA-swap curve
std::vector<Handle<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);
Handle<TermStructure> depoFRASwapTermStructure(new
PiecewiseFlatForward(currency, termStructureDayCounter,
todaysDate, calendar, settlementDays, depoFRASwapInstruments));
/***************
* SWAP PRICING *
****************/
// switch the curve used by the swaps to be priced
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
std::cout << "*** using Depo-Fut-Swap term structure:" << std::endl;
NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = - NPV / spot5YearSwap.floatingLegBPS();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV / spot5YearSwap.fixedLegBPS();
std::cout << "5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
// let's check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yQuote)<1e-8,
"5 years swap mispriced!");
// now let's price the 1Y forward 5Y swap
NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = -NPV / spot5YearSwap.floatingLegBPS();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV/oneYearForward5YearSwap.fixedLegBPS();
std::cout << "1Yx5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
// switch the curve used by the swaps to be priced
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
std::cout << "*** using Depo-FRA-Swap term structure:" << std::endl;
NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = - NPV / spot5YearSwap.floatingLegBPS();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV / spot5YearSwap.fixedLegBPS();
std::cout << "5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
// let's check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yRate->value())<1e-8,
"5 years swap mispriced!");
// now let's price the 1Y forward 5Y swap
NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = -NPV / spot5YearSwap.floatingLegBPS();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV/oneYearForward5YearSwap.fixedLegBPS();
std::cout << "1Yx5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
// now let's say that the 5-years swap rate goes up to 4.60%.
// A smarter market element--say, connected to a data source-- would
// notice the change itself. Since we're using SimpleMarketElements,
// we'll have to change the value manually--which forces us to
// downcast the handle and use the SimpleMarketElement
// interface. In any case, the point here is that a change in the
// value contained in the MarketElement triggers a new bootstrapping
// of the curve and a repricing of the swap.
Handle<SimpleMarketElement> fiveYearsRate = s5yRate;
fiveYearsRate->setValue(0.0460);
std::cout << "*** 5Y swap goes up to 4.60%" << std::endl;
// now get the updated results
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
std::cout << "*** using Depo-Fut-Swap term structure:" << std::endl;
NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = - NPV / spot5YearSwap.floatingLegBPS();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV / spot5YearSwap.fixedLegBPS();
std::cout << "5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
// let's check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yRate->value())<1e-8,
"5 years swap mispriced!");
NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = -NPV / spot5YearSwap.floatingLegBPS();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV/oneYearForward5YearSwap.fixedLegBPS();
std::cout << "1Yx5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
std::cout << "*** using Depo-FRA-Swap term structure:" << std::endl;
NPV = spot5YearSwap.NPV();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = - NPV / spot5YearSwap.floatingLegBPS();
std::cout << "5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV / spot5YearSwap.fixedLegBPS();
std::cout << "5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
// let's check that the 5 years swap has been correctly re-priced
QL_REQUIRE(QL_FABS(fairFixedRate-s5yRate->value())<1e-8,
"5 years swap mispriced!");
NPV = oneYearForward5YearSwap.NPV();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " NPV: "
<< DoubleFormatter::toString(NPV,2)
<< std::endl;
fairFloatingSpread = -NPV / spot5YearSwap.floatingLegBPS();
std::cout << "1Yx5Y "
<< RateFormatter::toString(fixedRate,2)
<< " spread: "
<< RateFormatter::toString(fairFloatingSpread,8)
<< std::endl;
fairFixedRate = fixedRate - NPV/oneYearForward5YearSwap.fixedLegBPS();
std::cout << "1Yx5Y fixed rate: "
<< RateFormatter::toString(fairFixedRate,8)
<< std::endl;
return 0;
} catch (std::exception& e) {
std::cout << e.what() << std::endl;
return 1;
} catch (...) {
std::cout << "unknown error" << std::endl;
return 1;
}
}
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