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/*
Copyright (C) 2014 Cheng Li
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 "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/instruments/bonds/amortizingfixedratebond.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/settings.hpp>
#include <ql/time/calendars/brazil.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/business252.hpp>
#include <iostream>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(AmortizingBondTests)
BOOST_AUTO_TEST_CASE(testAmortizingFixedRateBond) {
BOOST_TEST_MESSAGE("Testing amortizing fixed rate bond...");
/*
* Following data is generated from Excel using function pmt with Nper = 360, PV = 100.0
*/
Real rates[] = {0.0, 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09, 0.10, 0.11, 0.12};
Real amounts[] = {0.277777778, 0.321639520, 0.369619473, 0.421604034,
0.477415295, 0.536821623, 0.599550525,
0.665302495, 0.733764574, 0.804622617,
0.877571570, 0.952323396, 1.028612597};
Frequency freq = Monthly;
Date refDate = Settings::instance().evaluationDate();
const Real tolerance = 1.0e-6;
for (Size i=0; i<std::size(rates); ++i) {
auto schedule = sinkingSchedule(refDate, Period(30, Years), freq, NullCalendar());
auto notionals = sinkingNotionals(Period(30, Years), freq, rates[i], 100.0);
AmortizingFixedRateBond myBond(0, notionals, schedule, {rates[i]},
ActualActual(ActualActual::ISMA));
const Leg& cashflows = myBond.cashflows();
for (Size k=0; k < cashflows.size() / 2; ++k) {
Real coupon = cashflows[2*k]->amount();
Real principal = cashflows[2*k+1]->amount();
Real totalAmount = coupon + principal;
// Check the amount is same as pmt returned
Real error = std::fabs(totalAmount-amounts[i]);
if (error > tolerance) {
BOOST_ERROR("\n" <<
" Rate: " << rates[i] <<
" " << k << "th cash flow "
" Failed!" <<
" Expected Amount: " << amounts[i] <<
" Calculated Amount: " << totalAmount);
}
// Check the coupon result
Real expectedCoupon = notionals[k] * rates[i] / Integer(freq);
error = std::fabs(coupon - expectedCoupon);
if (error > tolerance) {
BOOST_ERROR("\n" <<
" Rate: " << rates[i] <<
" " << k << "th cash flow "
" Failed!" <<
" Expected Coupon: " << expectedCoupon <<
" Calculated Coupon: " << coupon);
}
}
}
}
BOOST_AUTO_TEST_CASE(testBrazilianAmortizingFixedRateBond) {
BOOST_TEST_MESSAGE("Testing Brazilian amortizing fixed rate bond...");
/*
* Following data is based on the following Brazilian onshore corporate bond code:
* SND Code - RISF11
* ISIN Code - BRRISFDBS005
* Fiduciary Agent URL - https://www.pentagonotrustee.com.br/Site/DetalhesEmissor?ativo=RISF11&aba=tab-5&tipo=undefined
*/
static const Real arr[] = {
1000 , 983.33300000, 966.66648898, 950.00019204,
933.33338867, 916.66685434, 900.00001759, 883.33291726,
866.66619177, 849.99933423, 833.33254728, 816.66589633,
799.99937871, 783.33299165, 766.66601558, 749.99946306,
733.33297499, 716.66651646, 699.99971995, 683.33272661,
666.66624140, 649.99958536, 633.33294599, 616.66615618,
599.99951997, 583.33273330, 566.66633377, 549.99954356,
533.33290739, 516.66625403, 499.99963400, 483.33314619,
466.66636930, 449.99984658, 433.33320226, 416.66634063,
399.99968700, 383.33290004, 366.66635221, 349.99953317,
333.33290539, 316.66626012, 299.99948151, 283.33271031,
266.66594695, 249.99932526, 233.33262024, 216.66590450,
199.99931312, 183.33277035, 166.66617153, 149.99955437,
133.33295388, 116.66633464, 99.99973207, 83.33307672,
66.66646137, 49.99984602, 33.33324734, 16.66662367
};
std::vector<Real> notionals (arr, arr + sizeof(arr) / sizeof(arr[0]) );
Real expected_amortizations[] = {
16.66700000, 16.66651102, 16.66629694, 16.66680337,
16.66653432, 16.66683675, 16.66710033, 16.66672548,
16.66685753, 16.66678695, 16.66665095, 16.66651761,
16.66638706, 16.66697606, 16.66655251, 16.66648807,
16.66645852, 16.66679651, 16.66699333, 16.66648520,
16.66665604, 16.66663937, 16.66678981, 16.66663620,
16.66678667, 16.66639952, 16.66679021, 16.66663617,
16.66665336, 16.66662002, 16.66648780, 16.66677688,
16.66652271, 16.66664432, 16.66686163, 16.66665363,
16.66678696, 16.66654783, 16.66681904, 16.66662777,
16.66664527, 16.66677860, 16.66677119, 16.66676335,
16.66662168, 16.66670502, 16.66671573, 16.66659137,
16.66654276, 16.66659882, 16.66661715, 16.66660049,
16.66661924, 16.66660257, 16.66665534, 16.66661534,
16.66661534, 16.66659867, 16.66662367, 16.66662367
};
Real expected_coupons[] = {
5.97950399, 4.85474255, 5.27619136, 5.18522454,
5.33753111, 5.24221882, 4.91231709, 4.59116258,
4.73037674, 4.63940686, 4.54843737, 3.81920094,
4.78359948, 3.86733691, 4.38439657, 4.09359456,
4.00262671, 4.28531030, 3.82068947, 3.55165259,
3.46502778, 3.71720657, 3.62189368, 2.88388676,
3.58769952, 2.72800044, 3.38838360, 3.00196900,
2.91100034, 3.08940793, 2.59877059, 2.63809514,
2.42551945, 2.45615766, 2.59111761, 1.94857222,
2.28751141, 1.79268582, 2.19248291, 1.81913832,
1.90625855, 1.89350716, 1.48110584, 1.62031828,
1.38600825, 1.23425366, 1.39521333, 1.06968563,
1.03950542, 1.00065409, 0.90968563, 0.81871706,
0.79726493, 0.63678002, 0.57187676, 0.49829046,
// data changed as source (pentagonotrustee.com.br) does not include newly introduced
// "Black Awareness Day" holiday
0.31177086,
0.27290565, 0.19062560, 0.08662552
};
Natural settlementDays = 0;
Date issueDate(2, March, 2020);
Date maturityDate(2, March, 2025);
Schedule schedule(issueDate,
maturityDate,
Period(Monthly),
Brazil(Brazil::Settlement),
Unadjusted,
Unadjusted,
DateGeneration::Backward,
false);
std::vector<InterestRate> couponRates = {
InterestRate(0.0675,
Business252(Brazil()),
Compounded, Annual)
};
Leg coupons = FixedRateLeg(schedule)
.withNotionals(notionals)
.withCouponRates(couponRates)
.withPaymentAdjustment(Following);
Bond risf11(settlementDays,
schedule.calendar(),
issueDate,
coupons);
const Real tolerance = 1.0e-6;
Real error;
const Leg& cashflows = risf11.cashflows();
for (Size k=0; k < cashflows.size() / 2; ++k) {
error = std::fabs(expected_coupons[k] - cashflows[2*k]->amount());
if(error > tolerance) {
BOOST_ERROR("\n" <<
" " << k << "th cash flow "
" Failed!" <<
" Expected Coupon: " << expected_coupons[k] <<
" Calculated Coupon: " << cashflows[2*k]->amount());
}
error = std::fabs(expected_amortizations[k]- cashflows[2*k+1]->amount());
if(error > tolerance) {
BOOST_ERROR("\n" <<
" " << k << "th cash flow "
" Failed!" <<
" Expected Amortization: " << expected_amortizations[k] <<
" Calculated Amortization: " << cashflows[2*k+1]->amount());
}
}
}
BOOST_AUTO_TEST_CASE(testAmortizingFixedRateBondWithDrawDown) {
BOOST_TEST_MESSAGE("Testing amortizing fixed rate bond with draw-down...");
Date issueDate = Date(19, May, 2012);
Date maturityDate = Date(25, May, 2017);
Calendar calendar = UnitedStates(UnitedStates::GovernmentBond);
Natural settlementDays = 3;
Schedule schedule(issueDate, maturityDate, Period(Semiannual), calendar,
Unadjusted, Unadjusted, DateGeneration::Backward, false);
std::vector<Real> nominals = { 100.0, 100.0, 100.5, 100.5, 101.5, 101.5, 90.0, 80.0, 70.0, 60.0 };
std::vector<Real> rates = { 0.042 };
Leg leg = FixedRateLeg(schedule)
.withNotionals(nominals)
.withCouponRates(rates, Actual360())
.withPaymentAdjustment(Unadjusted)
.withPaymentCalendar(calendar);
Bond bond(settlementDays, calendar, issueDate, leg);
const auto& cfs = bond.cashflows();
// first draw-down
Real calculated = cfs.at(2)->amount();
Real expected = nominals[1] - nominals[2];
Real error = std::fabs(calculated - expected);
Real tolerance = 1e-8;
if(error > tolerance) {
BOOST_ERROR("Failed to calculate first draw down: "
<< "\n expected: " << expected
<< "\n calculated: " << calculated);
}
// second draw-down
calculated = cfs.at(5)->amount();
expected = nominals[3] - nominals[4];
error = std::fabs(calculated - expected);
if(error > tolerance) {
BOOST_ERROR("Failed to calculate second draw down: "
<< "\n expected: " << expected
<< "\n calculated: " << calculated);
}
// first amortization
calculated = cfs.at(8)->amount();
expected = nominals[5] - nominals[6];
error = std::fabs(calculated - expected);
if(error > tolerance) {
BOOST_ERROR("Failed to calculate fist amortization: "
<< "\n expected: " << expected
<< "\n calculated: " << calculated);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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