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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2006 Giorgio Facchinetti
Copyright (C) 2006 Mario Pucci
Copyright (C) 2014 Peter Caspers
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/swap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/indexes/swap/euriborswap.hpp>
#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/conundrumpricer.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/lineartsrpricer.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
#include <ql/termstructures/volatility/swaption/interpolatedswaptionvolatilitycube.hpp>
#include <ql/termstructures/volatility/swaption/sabrswaptionvolatilitycube.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/time/schedule.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/instruments/makecms.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(CmsTests)
struct CommonVars {
// global data
RelinkableHandle<YieldTermStructure> termStructure;
ext::shared_ptr<IborIndex> iborIndex;
Handle<SwaptionVolatilityStructure> atmVol;
Handle<SwaptionVolatilityStructure> SabrVolCube1;
Handle<SwaptionVolatilityStructure> SabrVolCube2;
std::vector<GFunctionFactory::YieldCurveModel> yieldCurveModels;
std::vector<ext::shared_ptr<CmsCouponPricer> > numericalPricers;
std::vector<ext::shared_ptr<CmsCouponPricer> > analyticPricers;
// setup
CommonVars() {
Calendar calendar = TARGET();
Date referenceDate = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = referenceDate;
termStructure.linkTo(flatRate(referenceDate, 0.05,
Actual365Fixed()));
// ATM Volatility structure
std::vector<Period> atmOptionTenors = {1 * Months, 6 * Months, 1 * Years,
5 * Years, 10 * Years, 30 * Years};
std::vector<Period> atmSwapTenors = {1 * Years, 5 * Years, 10 * Years, 30 * Years};
Matrix m(atmOptionTenors.size(), atmSwapTenors.size());
m[0][0]=0.1300; m[0][1]=0.1560; m[0][2]=0.1390; m[0][3]=0.1220;
m[1][0]=0.1440; m[1][1]=0.1580; m[1][2]=0.1460; m[1][3]=0.1260;
m[2][0]=0.1600; m[2][1]=0.1590; m[2][2]=0.1470; m[2][3]=0.1290;
m[3][0]=0.1640; m[3][1]=0.1470; m[3][2]=0.1370; m[3][3]=0.1220;
m[4][0]=0.1400; m[4][1]=0.1300; m[4][2]=0.1250; m[4][3]=0.1100;
m[5][0]=0.1130; m[5][1]=0.1090; m[5][2]=0.1070; m[5][3]=0.0930;
atmVol = Handle<SwaptionVolatilityStructure>(
ext::shared_ptr<SwaptionVolatilityStructure>(new
SwaptionVolatilityMatrix(calendar,
Following,
atmOptionTenors,
atmSwapTenors,
m,
Actual365Fixed())));
// Vol cubes
std::vector<Period> optionTenors = {{1, Years}, {10, Years}, {30, Years}};
std::vector<Period> swapTenors = {{2, Years}, {10, Years}, {30, Years}};
std::vector<Spread> strikeSpreads = {-0.020, -0.005, 0.000, 0.005, 0.020};
Size nRows = optionTenors.size()*swapTenors.size();
Size nCols = strikeSpreads.size();
Matrix volSpreadsMatrix(nRows, nCols);
volSpreadsMatrix[0][0] = 0.0599;
volSpreadsMatrix[0][1] = 0.0049;
volSpreadsMatrix[0][2] = 0.0000;
volSpreadsMatrix[0][3] = -0.0001;
volSpreadsMatrix[0][4] = 0.0127;
volSpreadsMatrix[1][0] = 0.0729;
volSpreadsMatrix[1][1] = 0.0086;
volSpreadsMatrix[1][2] = 0.0000;
volSpreadsMatrix[1][3] = -0.0024;
volSpreadsMatrix[1][4] = 0.0098;
volSpreadsMatrix[2][0] = 0.0738;
volSpreadsMatrix[2][1] = 0.0102;
volSpreadsMatrix[2][2] = 0.0000;
volSpreadsMatrix[2][3] = -0.0039;
volSpreadsMatrix[2][4] = 0.0065;
volSpreadsMatrix[3][0] = 0.0465;
volSpreadsMatrix[3][1] = 0.0063;
volSpreadsMatrix[3][2] = 0.0000;
volSpreadsMatrix[3][3] = -0.0032;
volSpreadsMatrix[3][4] = -0.0010;
volSpreadsMatrix[4][0] = 0.0558;
volSpreadsMatrix[4][1] = 0.0084;
volSpreadsMatrix[4][2] = 0.0000;
volSpreadsMatrix[4][3] = -0.0050;
volSpreadsMatrix[4][4] = -0.0057;
volSpreadsMatrix[5][0] = 0.0576;
volSpreadsMatrix[5][1] = 0.0083;
volSpreadsMatrix[5][2] = 0.0000;
volSpreadsMatrix[5][3] = -0.0043;
volSpreadsMatrix[5][4] = -0.0014;
volSpreadsMatrix[6][0] = 0.0437;
volSpreadsMatrix[6][1] = 0.0059;
volSpreadsMatrix[6][2] = 0.0000;
volSpreadsMatrix[6][3] = -0.0030;
volSpreadsMatrix[6][4] = -0.0006;
volSpreadsMatrix[7][0] = 0.0533;
volSpreadsMatrix[7][1] = 0.0078;
volSpreadsMatrix[7][2] = 0.0000;
volSpreadsMatrix[7][3] = -0.0045;
volSpreadsMatrix[7][4] = -0.0046;
volSpreadsMatrix[8][0] = 0.0545;
volSpreadsMatrix[8][1] = 0.0079;
volSpreadsMatrix[8][2] = 0.0000;
volSpreadsMatrix[8][3] = -0.0042;
volSpreadsMatrix[8][4] = -0.0020;
std::vector<std::vector<Handle<Quote> > > volSpreads(nRows);
for (Size i=0; i<nRows; ++i){
volSpreads[i] = std::vector<Handle<Quote> >(nCols);
for (Size j=0; j<nCols; ++j) {
volSpreads[i][j] = Handle<Quote>(ext::shared_ptr<Quote>(
new SimpleQuote(volSpreadsMatrix[i][j])));
}
}
iborIndex = ext::shared_ptr<IborIndex>(new Euribor6M(termStructure));
ext::shared_ptr<SwapIndex> swapIndexBase(new
EuriborSwapIsdaFixA(10*Years, termStructure));
ext::shared_ptr<SwapIndex> shortSwapIndexBase(new
EuriborSwapIsdaFixA(2*Years, termStructure));
bool vegaWeightedSmileFit = false;
SabrVolCube2 = Handle<SwaptionVolatilityStructure>(
ext::make_shared<InterpolatedSwaptionVolatilityCube>(atmVol,
optionTenors,
swapTenors,
strikeSpreads,
volSpreads,
swapIndexBase,
shortSwapIndexBase,
vegaWeightedSmileFit));
SabrVolCube2->enableExtrapolation();
std::vector<std::vector<Handle<Quote> > > guess(nRows);
for (Size i=0; i<nRows; ++i) {
guess[i] = std::vector<Handle<Quote> >(4);
guess[i][0] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.2)));
guess[i][1] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.5)));
guess[i][2] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.4)));
guess[i][3] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.0)));
}
std::vector<bool> isParameterFixed(4, false);
isParameterFixed[1] = true;
// FIXME
bool isAtmCalibrated = false;
SabrVolCube1 = Handle<SwaptionVolatilityStructure>(
ext::make_shared<SabrSwaptionVolatilityCube>(atmVol,
optionTenors,
swapTenors,
strikeSpreads,
volSpreads,
swapIndexBase,
shortSwapIndexBase,
vegaWeightedSmileFit,
guess,
isParameterFixed,
isAtmCalibrated));
SabrVolCube1->enableExtrapolation();
yieldCurveModels = {GFunctionFactory::Standard,
GFunctionFactory::ExactYield,
GFunctionFactory::ParallelShifts,
GFunctionFactory::NonParallelShifts,
GFunctionFactory::NonParallelShifts};
Handle<Quote> zeroMeanRev(ext::make_shared<SimpleQuote>(0.0));
numericalPricers.clear();
analyticPricers.clear();
for (Size j = 0; j < yieldCurveModels.size(); ++j) {
if (j < yieldCurveModels.size() - 1)
numericalPricers.push_back(
ext::shared_ptr<CmsCouponPricer>(new NumericHaganPricer(
atmVol, yieldCurveModels[j], zeroMeanRev)));
else
numericalPricers.push_back(ext::shared_ptr<CmsCouponPricer>(
new LinearTsrPricer(atmVol, zeroMeanRev)));
analyticPricers.push_back(ext::shared_ptr<CmsCouponPricer>(new
AnalyticHaganPricer(atmVol, yieldCurveModels[j],
zeroMeanRev)));
}
}
};
BOOST_AUTO_TEST_CASE(testFairRate) {
BOOST_TEST_MESSAGE("Testing Hagan-pricer flat-vol equivalence for coupons (lognormal case)...");
CommonVars vars;
ext::shared_ptr<SwapIndex> swapIndex(new SwapIndex("EuriborSwapIsdaFixA",
10*Years,
vars.iborIndex->fixingDays(),
vars.iborIndex->currency(),
vars.iborIndex->fixingCalendar(),
1*Years,
Unadjusted,
vars.iborIndex->dayCounter(),//??
vars.iborIndex));
// FIXME
//ext::shared_ptr<SwapIndex> swapIndex(new
// EuriborSwapIsdaFixA(10*Years, vars.iborIndex->termStructure()));
Date startDate = vars.termStructure->referenceDate() + 20*Years;
Date paymentDate = startDate + 1*Years;
Date endDate = paymentDate;
Real nominal = 1.0;
Rate infiniteCap = Null<Real>();
Rate infiniteFloor = Null<Real>();
Real gearing = 1.0;
Spread spread = 0.0;
CappedFlooredCmsCoupon coupon(paymentDate, nominal,
startDate, endDate,
swapIndex->fixingDays(), swapIndex,
gearing, spread,
infiniteCap, infiniteFloor,
startDate, endDate,
vars.iborIndex->dayCounter());
for (Size j=0; j<vars.yieldCurveModels.size(); ++j) {
vars.numericalPricers[j]->setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.numericalPricers[j]);
Rate rate0 = coupon.rate();
vars.analyticPricers[j]->setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.analyticPricers[j]);
Rate rate1 = coupon.rate();
Spread difference = std::fabs(rate1-rate0);
Spread tol = 2.0e-4;
bool linearTsr = j==vars.yieldCurveModels.size()-1;
if (difference > tol)
BOOST_FAIL("\nCoupon payment date: " << paymentDate <<
"\nCoupon start date: " << startDate <<
"\nCoupon floor: " << io::rate(infiniteFloor) <<
"\nCoupon gearing: " << io::rate(gearing) <<
"\nCoupon swap index: " << swapIndex->name() <<
"\nCoupon spread: " << io::rate(spread) <<
"\nCoupon cap: " << io::rate(infiniteCap) <<
"\nCoupon DayCounter: " << vars.iborIndex->dayCounter()<<
"\nYieldCurve Model: " << vars.yieldCurveModels[j] <<
"\nNumerical Pricer: " << io::rate(rate0) <<
(linearTsr ? " (Linear TSR Model)" : "") <<
"\nAnalytic Pricer: " << io::rate(rate1) <<
"\ndifference: " << io::rate(difference) <<
"\ntolerance: " << io::rate(tol));
}
}
BOOST_AUTO_TEST_CASE(testCmsSwap) {
BOOST_TEST_MESSAGE("Testing Hagan-pricer flat-vol equivalence for swaps (lognormal case)...");
CommonVars vars;
ext::shared_ptr<SwapIndex> swapIndex(new SwapIndex("EuriborSwapIsdaFixA",
10*Years,
vars.iborIndex->fixingDays(),
vars.iborIndex->currency(),
vars.iborIndex->fixingCalendar(),
1*Years,
Unadjusted,
vars.iborIndex->dayCounter(),//??
vars.iborIndex));
// FIXME
//ext::shared_ptr<SwapIndex> swapIndex(new
// EuriborSwapIsdaFixA(10*Years, vars.iborIndex->termStructure()));
Spread spread = 0.0;
std::vector<Size> swapLengths = {1, 5, 6, 10};
Size n = swapLengths.size();
std::vector<ext::shared_ptr<Swap> > cms(n);
for (Size i=0; i<n; ++i)
// no cap, floor
// no gearing, spread
cms[i] = MakeCms(Period(swapLengths[i], Years),
swapIndex,
vars.iborIndex, spread,
10*Days);
for (Size j=0; j<vars.yieldCurveModels.size(); ++j) {
vars.numericalPricers[j]->setSwaptionVolatility(vars.atmVol);
vars.analyticPricers[j]->setSwaptionVolatility(vars.atmVol);
for (Size sl=0; sl<n; ++sl) {
setCouponPricer(cms[sl]->leg(0), vars.numericalPricers[j]);
Real priceNum = cms[sl]->NPV();
setCouponPricer(cms[sl]->leg(0), vars.analyticPricers[j]);
Real priceAn = cms[sl]->NPV();
Real difference = std::fabs(priceNum-priceAn);
Real tol = 2.0e-4;
bool linearTsr = j==vars.yieldCurveModels.size()-1;
if (difference > tol)
BOOST_FAIL("\nLength in Years: " << swapLengths[sl] <<
//"\nfloor: " << io::rate(infiniteFloor) <<
//"\ngearing: " << io::rate(gearing) <<
"\nswap index: " << swapIndex->name() <<
"\nibor index: " << vars.iborIndex->name() <<
"\nspread: " << io::rate(spread) <<
//"\ncap: " << io::rate(infiniteCap) <<
"\nYieldCurve Model: " << vars.yieldCurveModels[j] <<
"\nNumerical Pricer: " << io::rate(priceNum) <<
(linearTsr ? " (Linear TSR Model)" : "") <<
"\nAnalytic Pricer: " << io::rate(priceAn) <<
"\ndifference: " << io::rate(difference) <<
"\ntolerance: " << io::rate(tol));
}
}
}
BOOST_AUTO_TEST_CASE(testParity) {
BOOST_TEST_MESSAGE("Testing put-call parity for capped-floored CMS coupons (lognormal case)...");
CommonVars vars;
std::vector<Handle<SwaptionVolatilityStructure> > swaptionVols = {
vars.atmVol, vars.SabrVolCube1, vars.SabrVolCube2};
ext::shared_ptr<SwapIndex> swapIndex(new
EuriborSwapIsdaFixA(10*Years,
vars.iborIndex->forwardingTermStructure()));
Date startDate = vars.termStructure->referenceDate() + 20*Years;
Date paymentDate = startDate + 1*Years;
Date endDate = paymentDate;
Real nominal = 1.0;
Rate infiniteCap = Null<Real>();
Rate infiniteFloor = Null<Real>();
Real gearing = 1.0;
Spread spread = 0.0;
DiscountFactor discount = vars.termStructure->discount(paymentDate);
CappedFlooredCmsCoupon swaplet(paymentDate, nominal,
startDate, endDate,
swapIndex->fixingDays(),
swapIndex,
gearing, spread,
infiniteCap, infiniteFloor,
startDate, endDate,
vars.iborIndex->dayCounter());
for (Rate strike = .02; strike<.12; strike+=0.05) {
CappedFlooredCmsCoupon caplet(paymentDate, nominal,
startDate, endDate,
swapIndex->fixingDays(),
swapIndex,
gearing, spread,
strike, infiniteFloor,
startDate, endDate,
vars.iborIndex->dayCounter());
CappedFlooredCmsCoupon floorlet(paymentDate, nominal,
startDate, endDate,
swapIndex->fixingDays(),
swapIndex,
gearing, spread,
infiniteCap, strike,
startDate, endDate,
vars.iborIndex->dayCounter());
for (auto& swaptionVol : swaptionVols) {
for (Size j=0; j<vars.yieldCurveModels.size(); ++j) {
vars.numericalPricers[j]->setSwaptionVolatility(swaptionVol);
vars.analyticPricers[j]->setSwaptionVolatility(swaptionVol);
std::vector<ext::shared_ptr<CmsCouponPricer> > pricers(2);
pricers[0] = vars.numericalPricers[j];
pricers[1] = vars.analyticPricers[j];
for (Size k=0; k<pricers.size(); ++k) {
swaplet.setPricer(pricers[k]);
caplet.setPricer(pricers[k]);
floorlet.setPricer(pricers[k]);
Real swapletPrice = swaplet.price(vars.termStructure) +
nominal * swaplet.accrualPeriod() * strike * discount;
Real capletPrice = caplet.price(vars.termStructure);
Real floorletPrice = floorlet.price(vars.termStructure);
Real difference = std::fabs(capletPrice + floorletPrice -
swapletPrice);
Real tol = 2.0e-5;
bool linearTsr = k==0 && j==vars.yieldCurveModels.size()-1;
if(linearTsr)
tol = 1.0e-7;
if (difference > tol)
BOOST_FAIL("\nCoupon payment date: " << paymentDate <<
"\nCoupon start date: " << startDate <<
"\nCoupon gearing: " << io::rate(gearing) <<
"\nCoupon swap index: " << swapIndex->name() <<
"\nCoupon spread: " << io::rate(spread) <<
"\nstrike: " << io::rate(strike) <<
"\nCoupon DayCounter: " << vars.iborIndex->dayCounter() <<
"\nYieldCurve Model: " << vars.yieldCurveModels[j] <<
(k==0 ? "\nNumerical Pricer" : "\nAnalytic Pricer") <<
(linearTsr ? " (Linear TSR Model)" : "") <<
"\nSwaplet price: " << io::rate(swapletPrice) <<
"\nCaplet price: " << io::rate(capletPrice) <<
"\nFloorlet price: " << io::rate(floorletPrice) <<
"\ndifference: " << difference <<
"\ntolerance: " << io::rate(tol));
}
}
}
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
|
