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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 "termstructures.hpp"
#include "utilities.hpp"
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/impliedtermstructure.hpp>
#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp>
#include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/math/comparison.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/currency.hpp>
#include <ql/utilities/dataformatters.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
QL_BEGIN_TEST_LOCALS(TermStructureTest)
struct Datum {
Integer n;
TimeUnit units;
Rate rate;
};
struct CommonVars {
// common data
Calendar calendar;
Natural settlementDays;
boost::shared_ptr<YieldTermStructure> termStructure;
boost::shared_ptr<YieldTermStructure> dummyTermStructure;
// cleanup
SavedSettings backup;
// setup
CommonVars() {
calendar = TARGET();
settlementDays = 2;
Date today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
Date settlement = calendar.advance(today,settlementDays,Days);
Datum depositData[] = {
{ 1, Months, 4.581 },
{ 2, Months, 4.573 },
{ 3, Months, 4.557 },
{ 6, Months, 4.496 },
{ 9, Months, 4.490 }
};
Datum swapData[] = {
{ 1, Years, 4.54 },
{ 5, Years, 4.99 },
{ 10, Years, 5.47 },
{ 20, Years, 5.89 },
{ 30, Years, 5.96 }
};
Size deposits = LENGTH(depositData),
swaps = LENGTH(swapData);
std::vector<boost::shared_ptr<RateHelper> > instruments(deposits+swaps);
for (Size i=0; i<deposits; i++) {
instruments[i] = boost::shared_ptr<RateHelper>(
new DepositRateHelper(depositData[i].rate/100,
depositData[i].n*depositData[i].units,
settlementDays, calendar,
ModifiedFollowing, true,
settlementDays, Actual360()));
}
boost::shared_ptr<IborIndex> index(new IborIndex("dummy",
6*Months,
settlementDays,
Currency(),
calendar,
ModifiedFollowing,
false,
Actual360()));
for (Size i=0; i<swaps; i++) {
instruments[i+deposits] = boost::shared_ptr<RateHelper>(new
SwapRateHelper(swapData[i].rate/100,
swapData[i].n*swapData[i].units,
calendar,
Annual, Unadjusted, Thirty360(),
index));
}
termStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<Discount,LogLinear>(settlement,
instruments,
Actual360()));
dummyTermStructure = boost::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<Discount,LogLinear>(settlement,
instruments,
Actual360()));
}
};
QL_END_TEST_LOCALS(TermStructureTest)
void TermStructureTest::testReferenceChange() {
BOOST_MESSAGE("Testing term structure against evaluation date change...");
CommonVars vars;
boost::shared_ptr<SimpleQuote> flatRate (new SimpleQuote);
Handle<Quote> flatRateHandle(flatRate);
vars.termStructure = boost::shared_ptr<YieldTermStructure>(
new FlatForward(vars.settlementDays, NullCalendar(),
flatRateHandle, Actual360()));
Date today = Settings::instance().evaluationDate();
flatRate->setValue(.03);
Integer days[] = { 10, 30, 60, 120, 360, 720 };
Size i;
std::vector<DiscountFactor> expected(LENGTH(days));
for (i=0; i<LENGTH(days); i++)
expected[i] = vars.termStructure->discount(today+days[i]);
Settings::instance().evaluationDate() = today+30;
std::vector<DiscountFactor> calculated(LENGTH(days));
for (i=0; i<LENGTH(days); i++)
calculated[i] = vars.termStructure->discount(today+30+days[i]);
for (i=0; i<LENGTH(days); i++) {
if (!close(expected[i],calculated[i]))
BOOST_ERROR("\n Discount at " << days[i] << " days:\n"
<< std::setprecision(12)
<< " before date change: " << expected[i] << "\n"
<< " after date change: " << calculated[i]);
}
}
void TermStructureTest::testImplied() {
BOOST_MESSAGE("Testing consistency of implied term structure...");
CommonVars vars;
Real tolerance = 1.0e-10;
Date today = Settings::instance().evaluationDate();
Date newToday = today + 3*Years;
Date newSettlement = vars.calendar.advance(newToday,
vars.settlementDays,Days);
Date testDate = newSettlement + 5*Years;
boost::shared_ptr<YieldTermStructure> implied(
new ImpliedTermStructure(Handle<YieldTermStructure>(vars.termStructure),
newSettlement));
DiscountFactor baseDiscount = vars.termStructure->discount(newSettlement);
DiscountFactor discount = vars.termStructure->discount(testDate);
DiscountFactor impliedDiscount = implied->discount(testDate);
if (std::fabs(discount - baseDiscount*impliedDiscount) > tolerance)
BOOST_ERROR(
"unable to reproduce discount from implied curve\n"
<< QL_FIXED << std::setprecision(10)
<< " calculated: " << baseDiscount*impliedDiscount << "\n"
<< " expected: " << discount);
}
void TermStructureTest::testImpliedObs() {
BOOST_MESSAGE("Testing observability of implied term structure...");
CommonVars vars;
Date today = Settings::instance().evaluationDate();
Date newToday = today + 3*Years;
Date newSettlement = vars.calendar.advance(newToday,
vars.settlementDays,Days);
RelinkableHandle<YieldTermStructure> h;
boost::shared_ptr<YieldTermStructure> implied(
new ImpliedTermStructure(h, newSettlement));
Flag flag;
flag.registerWith(implied);
h.linkTo(vars.termStructure);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of term structure change");
}
void TermStructureTest::testFSpreaded() {
BOOST_MESSAGE("Testing consistency of forward-spreaded term structure...");
CommonVars vars;
Real tolerance = 1.0e-10;
boost::shared_ptr<Quote> me(new SimpleQuote(0.01));
Handle<Quote> mh(me);
boost::shared_ptr<YieldTermStructure> spreaded(
new ForwardSpreadedTermStructure(
Handle<YieldTermStructure>(vars.termStructure),mh));
Date testDate = vars.termStructure->referenceDate() + 5*Years;
DayCounter tsdc = vars.termStructure->dayCounter();
DayCounter sprdc = spreaded->dayCounter();
Rate forward = vars.termStructure->forwardRate(testDate, testDate, tsdc,
Continuous, NoFrequency);
Rate spreadedForward = spreaded->forwardRate(testDate, testDate, sprdc,
Continuous, NoFrequency);
if (std::fabs(forward - (spreadedForward-me->value())) > tolerance)
BOOST_ERROR(
"unable to reproduce forward from spreaded curve\n"
<< std::setprecision(10)
<< " calculated: "
<< io::rate(spreadedForward-me->value()) << "\n"
<< " expected: " << io::rate(forward));
}
void TermStructureTest::testFSpreadedObs() {
BOOST_MESSAGE("Testing observability of forward-spreaded "
"term structure...");
CommonVars vars;
boost::shared_ptr<SimpleQuote> me(new SimpleQuote(0.01));
Handle<Quote> mh(me);
RelinkableHandle<YieldTermStructure> h; //(vars.dummyTermStructure);
boost::shared_ptr<YieldTermStructure> spreaded(
new ForwardSpreadedTermStructure(h,mh));
Flag flag;
flag.registerWith(spreaded);
h.linkTo(vars.termStructure);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of term structure change");
flag.lower();
me->setValue(0.005);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of spread change");
}
void TermStructureTest::testZSpreaded() {
BOOST_MESSAGE("Testing consistency of zero-spreaded term structure...");
CommonVars vars;
Real tolerance = 1.0e-10;
boost::shared_ptr<Quote> me(new SimpleQuote(0.01));
Handle<Quote> mh(me);
boost::shared_ptr<YieldTermStructure> spreaded(
new ZeroSpreadedTermStructure(
Handle<YieldTermStructure>(vars.termStructure),mh));
Date testDate = vars.termStructure->referenceDate() + 5*Years;
DayCounter rfdc = vars.termStructure->dayCounter();
Rate zero = vars.termStructure->zeroRate(testDate, rfdc,
Continuous, NoFrequency);
Rate spreadedZero = spreaded->zeroRate(testDate, rfdc,
Continuous, NoFrequency);
if (std::fabs(zero - (spreadedZero-me->value())) > tolerance)
BOOST_ERROR(
"unable to reproduce zero yield from spreaded curve\n"
<< std::setprecision(10)
<< " calculated: " << io::rate(spreadedZero-me->value()) << "\n"
<< " expected: " << io::rate(zero));
}
void TermStructureTest::testZSpreadedObs() {
BOOST_MESSAGE("Testing observability of zero-spreaded term structure...");
CommonVars vars;
boost::shared_ptr<SimpleQuote> me(new SimpleQuote(0.01));
Handle<Quote> mh(me);
RelinkableHandle<YieldTermStructure> h(vars.dummyTermStructure);
boost::shared_ptr<YieldTermStructure> spreaded(
new ZeroSpreadedTermStructure(h,mh));
Flag flag;
flag.registerWith(spreaded);
h.linkTo(vars.termStructure);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of term structure change");
flag.lower();
me->setValue(0.005);
if (!flag.isUp())
BOOST_ERROR("Observer was not notified of spread change");
}
test_suite* TermStructureTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Term structure tests");
suite->add(BOOST_TEST_CASE(&TermStructureTest::testReferenceChange));
suite->add(BOOST_TEST_CASE(&TermStructureTest::testImplied));
suite->add(BOOST_TEST_CASE(&TermStructureTest::testImpliedObs));
suite->add(BOOST_TEST_CASE(&TermStructureTest::testFSpreaded));
suite->add(BOOST_TEST_CASE(&TermStructureTest::testFSpreadedObs));
suite->add(BOOST_TEST_CASE(&TermStructureTest::testZSpreaded));
suite->add(BOOST_TEST_CASE(&TermStructureTest::testZSpreadedObs));
return suite;
}
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