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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 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
<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.
*/
#include "compoundforward.hpp"
#include "utilities.hpp"
#include <ql/legacy/termstructures/compoundforward.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/schedule.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/indexes/ibor/jibar.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <iomanip>
using namespace QuantLib;
using namespace boost::unit_test_framework;
QL_BEGIN_TEST_LOCALS(CompoundForwardTest)
struct Datum {
Integer n;
TimeUnit units;
Rate rate;
};
Datum depositData[] = {
{ 3, Months, 4.557 },
{ 6, Months, 4.496 },
{ 9, Months, 4.490 }
};
Datum swapData[] = {
{ 1, Years, 4.54 },
{ 2, Years, 4.63 },
{ 3, Years, 4.75 },
{ 4, Years, 4.86 },
{ 5, Years, 4.99 },
{ 6, Years, 5.11 },
{ 7, Years, 5.23 },
{ 8, Years, 5.33 },
{ 9, Years, 5.41 },
{ 10, Years, 5.47 },
{ 12, Years, 5.60 },
{ 15, Years, 5.75 },
{ 20, Years, 5.89 },
{ 25, Years, 5.95 },
{ 30, Years, 5.96 }
};
// test-global variables
Calendar calendar;
Natural settlementDays;
Date today, settlement;
BusinessDayConvention convention;
DayCounter dayCounter;
Frequency frequency;
Size deposits, swaps;
std::vector<Rate> rates;
std::vector<Date> dates;
boost::shared_ptr<CompoundForward> termStructure;
void setup() {
// data
calendar = SouthAfrica();
settlementDays = 0;
today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
settlement = calendar.advance(today,settlementDays,Days);
convention = ModifiedFollowing;
dayCounter = Actual365Fixed();
frequency = Semiannual;
deposits = LENGTH(depositData);
swaps = LENGTH(swapData);
// market elements
rates = std::vector<Rate>(deposits+swaps);
dates = std::vector<Date>(deposits+swaps);
Size i;
for (i=0; i<deposits; i++) {
rates[i] = depositData[i].rate/100;
dates[i] = calendar.advance(settlement,
Period(depositData[i].n,
depositData[i].units),
convention);
}
for (i=0; i<swaps; i++) {
rates[i+deposits] = swapData[i].rate/100;
dates[i+deposits] = calendar.advance(settlement,
Period(swapData[i].n,
swapData[i].units),
convention);
}
termStructure = boost::shared_ptr<CompoundForward>(
new CompoundForward(settlement,dates,rates,
calendar,convention,
frequency,dayCounter));
}
QL_END_TEST_LOCALS(CompoundForwardTest)
void CompoundForwardTest::testSuppliedRates() {
BOOST_MESSAGE("Testing consistency of compound-forward curve "
"with supplied rates...");
SavedSettings backup;
setup();
Handle<YieldTermStructure> liborHandle =
Handle<YieldTermStructure>(termStructure);
Size i;
// check swaps against original
boost::shared_ptr<IborIndex> index(new Jibar(Period(frequency),
liborHandle));
for (i=0; i<swaps; i++) {
Date maturity = calendar.advance(settlement,
swapData[i].n,swapData[i].units,
convention);
Schedule schedule(settlement, maturity, Period(frequency), calendar,
convention, convention,
DateGeneration::Forward, false);
VanillaSwap swap(VanillaSwap::Payer, 100.0,
schedule, 0.0, dayCounter,
schedule, index, 0.0, index->dayCounter());
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(liborHandle)));
Rate expectedRate = swapData[i].rate/100,
estimatedRate = swap.fairRate();
if (std::fabs(expectedRate-estimatedRate) > 1.0e-9) {
BOOST_FAIL(swapData[i].n << " year(s) swap:\n"
<< std::setprecision(8)
<< " estimated rate: "
<< io::rate(estimatedRate) << "\n"
<< " expected rate: "
<< io::rate(expectedRate));
}
}
}
void CompoundForwardTest::testConvertedRates() {
BOOST_MESSAGE("Testing consistency of compound-forward curve "
"with converted rates...");
SavedSettings backup;
setup();
Handle<YieldTermStructure> liborHandle =
Handle<YieldTermStructure>(termStructure);
Size i;
frequency = Quarterly;
// check swaps against quarterly rates
boost::shared_ptr<IborIndex> index(new Jibar(Period(frequency),
liborHandle));
for (i=0; i<swaps; i++) {
Date maturity = calendar.advance(settlement,
swapData[i].n,swapData[i].units,
convention);
Schedule schedule(settlement, maturity, Period(frequency), calendar,
convention, convention,
DateGeneration::Forward, false);
VanillaSwap swap(VanillaSwap::Payer, 100.0,
schedule, 0.0, dayCounter,
schedule, index, 0.0, index->dayCounter());
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(liborHandle)));
DayCounter tsdc = termStructure->dayCounter();
Rate expectedRate = termStructure->compoundForward(swap.maturityDate(),
frequency);
Rate estimatedRate = swap.fairRate();
if (std::fabs(expectedRate-estimatedRate) > 1.0e-9) {
BOOST_FAIL(swapData[i].n << " year(s) swap:\n"
<< std::setprecision(8)
<< " estimated rate: "
<< io::rate(estimatedRate) << "\n"
<< " compound rate: "
<< io::rate(expectedRate));
}
}
}
test_suite* CompoundForwardTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Compound forward tests");
suite->add(BOOST_TEST_CASE(&CompoundForwardTest::testSuppliedRates));
suite->add(BOOST_TEST_CASE(&CompoundForwardTest::testConvertedRates));
return suite;
}
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