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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Chris Kenyon
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 "inflation.hpp"
#include "utilities.hpp"
#include <ql/indexes/inflation/ukrpi.hpp>
#include <ql/indexes/inflation/euhicp.hpp>
#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>
#include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp>
#include <ql/termstructures/inflation/inflationhelpers.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/schedule.hpp>
using boost::unit_test_framework::test_suite;
using namespace QuantLib;
namespace {
struct Datum {
Date date;
Rate rate;
};
boost::shared_ptr<YieldTermStructure> nominalTermStructure() {
Date evaluationDate(13, August, 2007);
return boost::shared_ptr<YieldTermStructure>(
new FlatForward(evaluationDate, 0.05, Actual360()));
}
template <class T, class U>
std::vector<boost::shared_ptr<BootstrapHelper<T> > > makeHelpers(
Datum iiData[], Size N, const Period &lag,
Integer settlementDays, const Calendar &calendar,
const BusinessDayConvention &bdc,
const DayCounter &dc, Frequency frequency,
const boost::shared_ptr<YieldTermStructure> &nominalTS) {
std::vector<boost::shared_ptr<BootstrapHelper<T> > > instruments;
for (Size i=0; i<N; i++) {
Date maturity = iiData[i].date;
Handle<Quote> quote(boost::shared_ptr<Quote>(
new SimpleQuote(iiData[i].rate/100.0)));
boost::shared_ptr<BootstrapHelper<T> > anInstrument(new U(
quote, lag, maturity, settlementDays,
calendar, bdc, dc, frequency));
instruments.push_back(anInstrument);
}
return instruments;
}
}
void InflationTest::testYoYTermStructure() {
BOOST_MESSAGE("Testing year-on-year inflation term structure...");
// try the YY UK
Calendar calendar = UnitedKingdom();
BusinessDayConvention bdc = ModifiedFollowing;
Date evaluationDate(13, August, 2007);
evaluationDate = calendar.adjust(evaluationDate);
Settings::instance().evaluationDate() = evaluationDate;
// fixing data
Date from(1, January, 2005);
Date to(13, August, 2007);
Schedule rpiSchedule = MakeSchedule(from,to,Period(1,Months),
UnitedKingdom(),ModifiedFollowing);
Real fixData[] = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, -999.0, -999 };
RelinkableHandle<YoYInflationTermStructure> hy;
bool interp = true;
boost::shared_ptr<YYUKRPIr> iir(new YYUKRPIr(Monthly, false, interp, hy));
for (Size i=0; i<rpiSchedule.size();i++) {
iir->addFixing(rpiSchedule[i], fixData[i]);
}
boost::shared_ptr<YieldTermStructure> nominalTS = nominalTermStructure();
// now build the YoY inflation curve
Datum yyData[] = {
{ Date(13, August, 2008), 2.95 },
{ Date(13, August, 2009), 2.95 },
{ Date(13, August, 2010), 2.93 },
{ Date(15, August, 2011), 2.955 },
{ Date(13, August, 2012), 2.945 },
{ Date(13, August, 2013), 2.985 },
{ Date(13, August, 2014), 3.01 },
{ Date(13, August, 2015), 3.035 },
{ Date(15, August, 2016), 3.055 },
{ Date(14, August, 2017), 3.075 },
{ Date(13, August, 2019), 3.105 },
{ Date(15, August, 2022), 3.135 },
{ Date(13, August, 2027), 3.155 },
{ Date(13, August, 2032), 3.145 },
{ Date(13, August, 2037), 3.145 }
};
Period lag = Period(2,Months);
Integer settlementDays = 0;
DayCounter dc = Thirty360();
Frequency frequency = Monthly;
std::vector<boost::shared_ptr<BootstrapHelper<YoYInflationTermStructure> > > helpers =
makeHelpers<YoYInflationTermStructure, YyiisInflationHelper>(
yyData, LENGTH(yyData),
lag, settlementDays,
calendar, bdc, dc,
frequency, nominalTS);
Date d = evaluationDate - lag;
Rate baseYoYRate = iir->fixing(d);
boost::shared_ptr< PiecewiseYoYInflationCurve<Linear> > pYITS(
new PiecewiseYoYInflationCurve<Linear>(
evaluationDate, calendar, dc, lag, frequency, baseYoYRate,
Handle<YieldTermStructure>(nominalTS), helpers));
pYITS->recalculate();
const Real eps = 0.00001;
for (Size i=0; i<helpers.size(); i++) {
if (std::fabs(helpers[i]->impliedQuote()-yyData[i].rate/100.0) > eps)
BOOST_ERROR("could not reprice " << io::ordinal(i+1) << " helper"
<< ", data " << yyData[i].rate/100.0
<< ", implied quote " << helpers[i]->impliedQuote());
}
// Test the forecasting capability of the index.
hy.linkTo(pYITS);
from = pYITS->baseDate();
to = pYITS->maxDate()-1*Months; // a bit of margin for adjustments
Schedule testIndex = MakeSchedule(from,to,Period(1,Months),
UnitedKingdom(),ModifiedFollowing);
Date bd = hy->baseDate();
// get the relevant period end
std::pair<Date,Date> lim = inflationPeriod(bd,hy->frequency());
Date trueBaseDate = lim.second;
for (Size i=0; i<testIndex.size();i++) {
Date d = testIndex[i];
Real calc = pYITS->yoyRate(d);
if (d<=trueBaseDate)
calc = iir->fixing(d,false); // still historical
if (std::fabs(calc - iir->fixing(d,true)) > eps)
BOOST_ERROR("YY index does not forecast correctly for date " << d
<< ", correct: " << pYITS->yoyRate(d)
<< ", fix: " << iir->fixing(d,true));
}
}
void InflationTest::testZeroTermStructure() {
BOOST_MESSAGE("Testing zero inflation term structure...");
// try the Zero UK
Calendar calendar = UnitedKingdom();
BusinessDayConvention bdc = ModifiedFollowing;
Date evaluationDate(13, August, 2007);
evaluationDate = calendar.adjust(evaluationDate);
Settings::instance().evaluationDate() = evaluationDate;
// fixing data
Date from(1, January, 2005);
Date to(13, August, 2007);
Schedule rpiSchedule = MakeSchedule(from,to,Period(1,Months),
UnitedKingdom(),ModifiedFollowing);
Real fixData[] = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, -999.0, -999.0 };
RelinkableHandle<ZeroInflationTermStructure> hz;
bool interp = true;
boost::shared_ptr<UKRPI> ii(new UKRPI(Monthly, false, interp, hz));
for (Size i=0; i<rpiSchedule.size();i++) {
ii->addFixing(rpiSchedule[i], fixData[i]);
}
boost::shared_ptr<YieldTermStructure> nominalTS = nominalTermStructure();
// now build the zero inflation curve
Datum zcData[] = {
{ Date(13, August, 2008), 2.93 },
{ Date(13, August, 2009), 2.95 },
{ Date(13, August, 2010), 2.965 },
{ Date(15, August, 2011), 2.98 },
{ Date(13, August, 2012), 3.0 },
{ Date(13, August, 2014), 3.06 },
{ Date(13, August, 2017), 3.175 },
{ Date(13, August, 2019), 3.243 },
{ Date(15, August, 2022), 3.293 },
{ Date(14, August, 2027), 3.338 },
{ Date(13, August, 2032), 3.348 },
{ Date(15, August, 2037), 3.348 },
{ Date(13, August, 2047), 3.308 },
{ Date(13, August, 2057), 3.228 }
};
Period lag = Period(2,Months);
Integer settlementDays = 0;
DayCounter dc = Thirty360();
Frequency frequency = Monthly;
std::vector<boost::shared_ptr<BootstrapHelper<ZeroInflationTermStructure> > > helpers =
makeHelpers<ZeroInflationTermStructure,ZciisInflationHelper>(
zcData, LENGTH(zcData),
lag, settlementDays,
calendar, bdc, dc, frequency,
nominalTS);
Date d = evaluationDate - lag;
Rate baseZeroRate = (ii->fixing(d) / ii->fixing(d - 1*Years)) - 1.0;
boost::shared_ptr<PiecewiseZeroInflationCurve<Linear> > pZITS(
new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dc, lag, frequency, baseZeroRate,
Handle<YieldTermStructure>(nominalTS), helpers));
pZITS->recalculate();
const Real eps = 0.000001;
for (Size i=0; i<helpers.size(); i++) {
if (std::fabs(helpers[i]->impliedQuote()-zcData[i].rate/100.0) > eps)
BOOST_ERROR("could not reprice " << io::ordinal(i+1) << " helper"
<< ", data " << zcData[i].rate/100.0
<< ", implied quote " << helpers[i]->impliedQuote());
}
// Here we test the forecasting capability of the index.
hz.linkTo(pZITS);
from = hz->baseDate();
to = hz->maxDate()-1*Months; // a bit of margin for adjustments
Schedule testIndex = MakeSchedule(from,to,Period(1,Months),
UnitedKingdom(),ModifiedFollowing);
Date bd = hz->baseDate();
// get the relevant period end
std::pair<Date,Date> lim = inflationPeriod(bd,hz->frequency());
Date trueBaseDate = lim.second;
Real bf = ii->fixing(bd);
for (Size i=0; i<testIndex.size();i++) {
Date d = testIndex[i];
Real z = hz->zeroRate(d);
Real t = hz->dayCounter().yearFraction(trueBaseDate,d);
Real calc = bf * pow( 1+z, t);
if (t<=0)
calc = ii->fixing(d,false); // still historical
if (std::fabs(calc - ii->fixing(d,true)) > eps)
BOOST_ERROR("ZC index does not forecast correctly for date " << d
<< ", correct: " << calc
<< ", fix: " << ii->fixing(d,true));
}
}
void InflationTest::testYYIndex() {
BOOST_MESSAGE("Testing year-on-year inflation indices...");
YYEUHICP yyeuhicp(Monthly, false, false);
if (yyeuhicp.name() != "EU YY_HICP"
|| yyeuhicp.frequency() != Monthly
|| yyeuhicp.revised()
|| yyeuhicp.interpolated()
|| yyeuhicp.ratio()
|| yyeuhicp.availabilityLag() != 3*Months) {
BOOST_ERROR("wrong year-on-year EU HICP data ("
<< yyeuhicp.name() << ", "
<< yyeuhicp.frequency() << ", "
<< yyeuhicp.revised() << ", "
<< yyeuhicp.interpolated() << ", "
<< yyeuhicp.ratio() << ", "
<< yyeuhicp.availabilityLag() << ")");
}
YYEUHICPr yyeuhicpr(Monthly, false, true);
if (yyeuhicpr.name() != "EU YYR_HICP"
|| yyeuhicpr.frequency() != Monthly
|| yyeuhicpr.revised()
|| !yyeuhicpr.interpolated()
|| !yyeuhicpr.ratio()
|| yyeuhicpr.availabilityLag() != 3*Months) {
BOOST_ERROR("wrong year-on-year EU HICPr data ("
<< yyeuhicpr.name() << ", "
<< yyeuhicpr.frequency() << ", "
<< yyeuhicpr.revised() << ", "
<< yyeuhicpr.interpolated() << ", "
<< yyeuhicpr.ratio() << ", "
<< yyeuhicpr.availabilityLag() << ")");
}
YYUKRPI yyukrpi(Monthly, true, false);
if (yyukrpi.name() != "UK YY_RPI"
|| yyukrpi.frequency() != Monthly
|| !yyukrpi.revised()
|| yyukrpi.interpolated()
|| yyukrpi.ratio()
|| yyukrpi.availabilityLag() != 2*Months) {
BOOST_ERROR("wrong year-on-year UK RPI data ("
<< yyukrpi.name() << ", "
<< yyukrpi.frequency() << ", "
<< yyukrpi.revised() << ", "
<< yyukrpi.interpolated() << ", "
<< yyukrpi.ratio() << ", "
<< yyukrpi.availabilityLag() << ")");
}
YYUKRPIr yyukrpir(Monthly, true, true);
if (yyukrpir.name() != "UK YYR_RPI"
|| yyukrpir.frequency() != Monthly
|| !yyukrpir.revised()
|| !yyukrpir.interpolated()
|| !yyukrpir.ratio()
|| yyukrpir.availabilityLag() != 2*Months) {
BOOST_ERROR("wrong year-on-year UK RPIr data ("
<< yyukrpir.name() << ", "
<< yyukrpir.frequency() << ", "
<< yyukrpir.revised() << ", "
<< yyukrpir.interpolated() << ", "
<< yyukrpir.ratio() << ", "
<< yyukrpir.availabilityLag() << ")");
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate(13, August, 2007);
evaluationDate = UnitedKingdom().adjust(evaluationDate);
Settings::instance().evaluationDate() = evaluationDate;
// fixing data
Date from(1, January, 2005);
Date to(13, August, 2007);
Schedule rpiSchedule = MakeSchedule(from,to,Period(1,Months),
UnitedKingdom(),ModifiedFollowing);
Real fixData[] = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, -999.0, -999.0 };
bool interp = true;
boost::shared_ptr<YYUKRPIr> iir(new YYUKRPIr(Monthly, false, interp));
for (Size i=0; i<rpiSchedule.size();i++) {
iir->addFixing(rpiSchedule[i], fixData[i]);
}
Date todayMinusLag = evaluationDate - iir->availabilityLag();
std::pair<Date,Date> lim = inflationPeriod(todayMinusLag, iir->frequency());
todayMinusLag = lim.second + 1;
Real eps = 1.0e-8;
// -2 because last two values are not yet available,
// (no TS so can't forecast).
for (Size i=13; i<rpiSchedule.size()-2;i++) {
std::pair<Date,Date> lim = inflationPeriod(rpiSchedule[i],
iir->frequency());
for (Date d=lim.first; d<=lim.second; d++) {
if (d <= todayMinusLag) {
Rate expected = fixData[i]/fixData[i-12] - 1.0;
Rate calculated = iir->fixing(d);
if (std::fabs(calculated - expected) > eps)
BOOST_ERROR("Fixings not constant within a period: "
<< calculated
<< ", should be "
<< expected);
}
}
}
}
void InflationTest::testZeroIndex() {
BOOST_MESSAGE("Testing zero inflation indices...");
EUHICP euhicp(Monthly, false, false);
if (euhicp.name() != "EU HICP"
|| euhicp.frequency() != Monthly
|| euhicp.revised()
|| euhicp.interpolated()
|| euhicp.availabilityLag() != 3*Months) {
BOOST_ERROR("wrong EU HICP data ("
<< euhicp.name() << ", "
<< euhicp.frequency() << ", "
<< euhicp.revised() << ", "
<< euhicp.interpolated() << ", "
<< euhicp.availabilityLag() << ")");
}
UKRPI ukrpi(Monthly, true, true);
if (ukrpi.name() != "UK RPI"
|| ukrpi.frequency() != Monthly
|| !ukrpi.revised()
|| !ukrpi.interpolated()
|| ukrpi.availabilityLag() != 2*Months) {
BOOST_ERROR("wrong UK RPI data ("
<< ukrpi.name() << ", "
<< ukrpi.frequency() << ", "
<< ukrpi.revised() << ", "
<< ukrpi.interpolated() << ", "
<< ukrpi.availabilityLag() << ")");
}
// Retrieval test.
//----------------
// make sure of the evaluation date
Date evaluationDate(13, August, 2007);
evaluationDate = UnitedKingdom().adjust(evaluationDate);
Settings::instance().evaluationDate() = evaluationDate;
// fixing data
Date from(1, January, 2005);
Date to(13, August, 2007);
Schedule rpiSchedule = MakeSchedule(from,to,Period(1,Months),
UnitedKingdom(),ModifiedFollowing);
Real fixData[] = { 189.9, 189.9, 189.6, 190.5, 191.6, 192.0,
192.2, 192.2, 192.6, 193.1, 193.3, 193.6,
194.1, 193.4, 194.2, 195.0, 196.5, 197.7,
198.5, 198.5, 199.2, 200.1, 200.4, 201.1,
202.7, 201.6, 203.1, 204.4, 205.4, 206.2,
207.3, -999.0, -999.0 };
bool interp = true;
boost::shared_ptr<UKRPI> iir(new UKRPI(Monthly, false, interp));
for (Size i=0; i<rpiSchedule.size();i++) {
iir->addFixing(rpiSchedule[i], fixData[i]);
}
Date todayMinusLag = evaluationDate - iir->availabilityLag();
std::pair<Date,Date> lim = inflationPeriod(todayMinusLag, iir->frequency());
todayMinusLag = lim.second + 1;
Real eps = 1.0e-8;
// -2 because last two values are not yet available,
// (no TS so can't forecast).
for (Size i=0; i<rpiSchedule.size()-2;i++) {
std::pair<Date,Date> lim = inflationPeriod(rpiSchedule[i],
iir->frequency());
for (Date d=lim.first; d<=lim.second; d++) {
if (d <= todayMinusLag) {
if (std::fabs(iir->fixing(d) - fixData[i]) > eps)
BOOST_ERROR("Fixings not constant within a period: "
<< iir->fixing(d)
<< ", should be " << fixData[i]);
}
}
}
}
test_suite* InflationTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Inflation tests");
suite->add(BOOST_TEST_CASE(&InflationTest::testZeroIndex));
suite->add(BOOST_TEST_CASE(&InflationTest::testYYIndex));
suite->add(BOOST_TEST_CASE(&InflationTest::testZeroTermStructure));
suite->add(BOOST_TEST_CASE(&InflationTest::testYoYTermStructure));
return suite;
}
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