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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
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/indexes/swap/euriborswap.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/termstructures/yield/zerocurve.hpp>
#include <ql/cashflows/rangeaccrual.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/termstructures/volatility/interpolatedsmilesection.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/cashflows/conundrumpricer.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/cashflows.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/daycounters/thirty360.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/time/schedule.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(RangeAccrualTests)
struct CommonVars {
// General settings
Date referenceDate, today, settlement;
Calendar calendar;
// Volatility Stuctures
std::vector<Handle<SwaptionVolatilityStructure> > swaptionVolatilityStructures;
Handle<SwaptionVolatilityStructure> atmVol;
Handle<SwaptionVolatilityStructure> flatSwaptionVolatilityCube1;
Handle<SwaptionVolatilityStructure> flatSwaptionVolatilityCube2;
Handle<SwaptionVolatilityStructure> swaptionVolatilityCubeBySabr;
std::vector<Period> atmOptionTenors, optionTenors;
std::vector<Period> atmSwapTenors, swapTenors;
std::vector<Spread> strikeSpreads;
Matrix atmVolMatrix, volSpreadsMatrix;
std::vector<std::vector<Handle<Quote> > > volSpreads;
DayCounter dayCounter;
BusinessDayConvention optionBDC;
Natural swapSettlementDays;
bool vegaWeightedSmileFit;
// Range Accrual valuation
Rate infiniteLowerStrike, infiniteUpperStrike;
Real gearing, correlation;
Spread spread;
Date startDate;
Date endDate;
Date paymentDate;
Natural fixingDays;
DayCounter rangeCouponDayCount;
ext::shared_ptr<Schedule> observationSchedule;
// Observation Schedule conventions
Frequency observationsFrequency;
BusinessDayConvention observationsConvention;
// Term Structure
RelinkableHandle<YieldTermStructure> termStructure;
// indices and index conventions
Frequency fixedLegFrequency;
BusinessDayConvention fixedLegConvention;
DayCounter fixedLegDayCounter;
ext::shared_ptr<IborIndex> iborIndex;
ext::shared_ptr<SwapIndex> swapIndexBase;
ext::shared_ptr<SwapIndex> shortSwapIndexBase;
// Range accrual pricers properties
std::vector<bool> byCallSpread;
Real flatVol;
std::vector<ext::shared_ptr<SmileSection> > smilesOnExpiry;
std::vector<ext::shared_ptr<SmileSection> > smilesOnPayment;
//test parameters
Real rateTolerance;
Real priceTolerance;
void createYieldCurve() {
// Yield Curve
std::vector<Date> dates = {
Date(39147), Date(39148), Date(39151), Date(39153), Date(39159), Date(39166),
Date(39183), Date(39294), Date(39384), Date(39474), Date(39567), Date(39658),
Date(39748), Date(39839), Date(39931), Date(40250), Date(40614), Date(40978),
Date(41344), Date(41709), Date(42074), Date(42441), Date(42805), Date(43170),
Date(43535), Date(43900), Date(44268), Date(44632), Date(44996), Date(45361),
Date(45727), Date(46092), Date(46459), Date(46823), Date(47188), Date(47553),
Date(47918), Date(48283), Date(48650), Date(49014), Date(49379), Date(49744),
Date(50110), Date(53762), Date(57415), Date(61068)};
std::vector<Rate> zeroRates = {
0.02676568527, 0.02676568527, 0.02676333038, 0.02682286201, 0.02682038347,
0.02683030208, 0.02700136766, 0.02932526033, 0.03085568949, 0.03216370631,
0.03321234116, 0.03404978072, 0.03471117149, 0.03527141916, 0.03574660393,
0.03691715582, 0.03796468718, 0.03876457629, 0.03942029708, 0.03999925325,
0.04056663618, 0.04108743922, 0.04156156761, 0.0419979179, 0.04239486483,
0.04273799032, 0.04305531203, 0.04336417578, 0.04364017665, 0.04388153459,
0.04408005012, 0.04424764425, 0.04437504759, 0.04447696334, 0.04456212318,
0.04464090072, 0.0447068707, 0.04475921774, 0.04477418345, 0.04477880755,
0.04476692489, 0.04473779454, 0.04468646066, 0.04430951558, 0.04363922313,
0.04363601992};
termStructure.linkTo( ext::shared_ptr<YieldTermStructure>(
new ZeroCurve(dates, zeroRates, Actual365Fixed())));
}
void createVolatilityStructures() {
// ATM swaptionvol matrix
optionBDC = Following;
atmOptionTenors = {1 * Months, 6 * Months, 1 * Years,
5 * Years, 10 * Years, 30 * Years};
atmSwapTenors = {1 * Years, 5 * Years, 10 * Years, 30 * Years};
atmVolMatrix = Matrix(atmOptionTenors.size(), atmSwapTenors.size());
//atmVolMatrix[0][0]=0.1300; atmVolMatrix[0][1]=0.1560; atmVolMatrix[0][2]=0.1390; atmVolMatrix[0][3]=0.1220;
//atmVolMatrix[1][0]=0.1440; atmVolMatrix[1][1]=0.1580; atmVolMatrix[1][2]=0.1460; atmVolMatrix[1][3]=0.1260;
//atmVolMatrix[2][0]=0.1600; atmVolMatrix[2][1]=0.1590; atmVolMatrix[2][2]=0.1470; atmVolMatrix[2][3]=0.1290;
//atmVolMatrix[3][0]=0.1640; atmVolMatrix[3][1]=0.1470; atmVolMatrix[3][2]=0.1370; atmVolMatrix[3][3]=0.1220;
//atmVolMatrix[4][0]=0.1400; atmVolMatrix[4][1]=0.1300; atmVolMatrix[4][2]=0.1250; atmVolMatrix[4][3]=0.1100;
//atmVolMatrix[5][0]=0.1130; atmVolMatrix[5][1]=0.1090; atmVolMatrix[5][2]=0.1070; atmVolMatrix[5][3]=0.0930;
atmVolMatrix[0][0]=flatVol; atmVolMatrix[0][1]=flatVol; atmVolMatrix[0][2]=flatVol; atmVolMatrix[0][3]=flatVol;
atmVolMatrix[1][0]=flatVol; atmVolMatrix[1][1]=flatVol; atmVolMatrix[1][2]=flatVol; atmVolMatrix[1][3]=flatVol;
atmVolMatrix[2][0]=flatVol; atmVolMatrix[2][1]=flatVol; atmVolMatrix[2][2]=flatVol; atmVolMatrix[2][3]=flatVol;
atmVolMatrix[3][0]=flatVol; atmVolMatrix[3][1]=flatVol; atmVolMatrix[3][2]=flatVol; atmVolMatrix[3][3]=flatVol;
atmVolMatrix[4][0]=flatVol; atmVolMatrix[4][1]=flatVol; atmVolMatrix[4][2]=flatVol; atmVolMatrix[4][3]=flatVol;
atmVolMatrix[5][0]=flatVol; atmVolMatrix[5][1]=flatVol; atmVolMatrix[5][2]=flatVol; atmVolMatrix[5][3]=flatVol;
Size nRowsAtmVols = atmVolMatrix.rows();
Size nColsAtmVols = atmVolMatrix.columns();
// swaptionvolcube
optionTenors = {Period(1, Years), Period(10, Years), Period(30, Years)};
swapTenors = {Period(2, Years), Period(10, Years), Period(30, Years)};
strikeSpreads = {-0.020, -0.005, +0.000, +0.005, +0.020};
Size nRows = optionTenors.size()*swapTenors.size();
Size nCols = strikeSpreads.size();
volSpreadsMatrix = Matrix(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;
swapSettlementDays = 2;
fixedLegFrequency = Annual;
fixedLegConvention = Unadjusted;
fixedLegDayCounter = Thirty360(Thirty360::BondBasis);
ext::shared_ptr<SwapIndex> swapIndexBase(new
EuriborSwapIsdaFixA(2*Years, termStructure));
ext::shared_ptr<SwapIndex> shortSwapIndexBase(new
EuriborSwapIsdaFixA(1*Years, termStructure));
vegaWeightedSmileFit = false;
// ATM Volatility structure
std::vector<std::vector<Handle<Quote> > > atmVolsHandle;
atmVolsHandle =
std::vector<std::vector<Handle<Quote> > >(nRowsAtmVols);
Size i;
for (i=0; i<nRowsAtmVols; i++){
atmVolsHandle[i] = std::vector<Handle<Quote> >(nColsAtmVols);
for (Size j=0; j<nColsAtmVols; j++) {
atmVolsHandle[i][j] =
Handle<Quote>(ext::shared_ptr<Quote>(new
SimpleQuote(atmVolMatrix[i][j])));
}
}
dayCounter = Actual365Fixed();
atmVol = Handle<SwaptionVolatilityStructure>(
ext::shared_ptr<SwaptionVolatilityStructure>(new
SwaptionVolatilityMatrix(calendar,
optionBDC,
atmOptionTenors,
atmSwapTenors,
atmVolsHandle,
dayCounter)));
// Volatility Cube without smile
std::vector<std::vector<Handle<Quote> > > parametersGuess(
optionTenors.size()*swapTenors.size());
for (i=0; i<optionTenors.size()*swapTenors.size(); i++) {
parametersGuess[i] = std::vector<Handle<Quote> >(4);
parametersGuess[i][0] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.2)));
parametersGuess[i][1] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.5)));
parametersGuess[i][2] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.4)));
parametersGuess[i][3] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.0)));
}
std::vector<bool> isParameterFixed(4, false);
isParameterFixed[1]=true;
std::vector<std::vector<Handle<Quote> > > nullVolSpreads(nRows);
for (i=0; i<optionTenors.size()*swapTenors.size(); i++){
nullVolSpreads[i] = std::vector<Handle<Quote> >(nCols);
for (Size j=0; j<strikeSpreads.size(); j++) {
nullVolSpreads[i][j] =
Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(0.)));
}
}
ext::shared_ptr<SabrSwaptionVolatilityCube>
flatSwaptionVolatilityCube1ptr(new SabrSwaptionVolatilityCube(
atmVol,
optionTenors,
swapTenors,
strikeSpreads,
nullVolSpreads,
swapIndexBase,
shortSwapIndexBase,
vegaWeightedSmileFit,
parametersGuess,
isParameterFixed,
false));
flatSwaptionVolatilityCube1 = Handle<SwaptionVolatilityStructure>(
ext::shared_ptr<SwaptionVolatilityStructure>(
flatSwaptionVolatilityCube1ptr));
flatSwaptionVolatilityCube1->enableExtrapolation();
ext::shared_ptr<InterpolatedSwaptionVolatilityCube>
flatSwaptionVolatilityCube2ptr(new InterpolatedSwaptionVolatilityCube(atmVol,
optionTenors,
swapTenors,
strikeSpreads,
nullVolSpreads,
swapIndexBase,
shortSwapIndexBase,
vegaWeightedSmileFit));
flatSwaptionVolatilityCube2 = Handle<SwaptionVolatilityStructure>(
ext::shared_ptr<SwaptionVolatilityStructure>(flatSwaptionVolatilityCube2ptr));
flatSwaptionVolatilityCube2->enableExtrapolation();
// Volatility Cube with smile
volSpreads = std::vector<std::vector<Handle<Quote> > >(nRows);
for (i=0; i<optionTenors.size()*swapTenors.size(); i++){
volSpreads[i] = std::vector<Handle<Quote> >(nCols);
for (Size j=0; j<strikeSpreads.size(); j++) {
volSpreads[i][j] =
Handle<Quote>(ext::shared_ptr<Quote>(new
SimpleQuote(volSpreadsMatrix[i][j])));
}
}
ext::shared_ptr<SabrSwaptionVolatilityCube>
swaptionVolatilityCubeBySabrPtr(new SabrSwaptionVolatilityCube(
atmVol,
optionTenors,
swapTenors,
strikeSpreads,
volSpreads,
swapIndexBase,
shortSwapIndexBase,
vegaWeightedSmileFit,
parametersGuess,
isParameterFixed,
false));
swaptionVolatilityCubeBySabr = Handle<SwaptionVolatilityStructure>(
ext::shared_ptr<SwaptionVolatilityStructure>(swaptionVolatilityCubeBySabrPtr));
swaptionVolatilityCubeBySabr->enableExtrapolation();
swaptionVolatilityStructures = {// atmVol,
// flatSwaptionVolatilityCube1,
flatSwaptionVolatilityCube2,
swaptionVolatilityCubeBySabr};
}
void createSmileSections() {
std::vector<Rate> strikes(1000);
for (Size i=0; i < 1000; ++i)
strikes[i] = 0.003+i/1000.0;
const std::vector<Rate> stdDevsOnExpiry = {
2.45489828353233, 2.10748097295326, 1.87317517200074, 1.69808302023488, 1.55911989073644, 1.44436083444893, 1.34687413874126, 1.26228953588707, 1.18769456816136, 1.12104324191799, 1.06085561121201, 1.00603120341767,
0.9557256903997, 0.90928131840481, 0.86618579845204, 0.82601854761258, 0.78844752673212, 0.75320077993188, 0.720053785498, 0.68882313132617, 0.65935702808872, 0.6315321469569, 0.60524729504558, 0.58041392858028, 0.55696247745247, 0.53482969610895,
0.51396815038482, 0.49433040611518, 0.47586902913511, 0.45854923439037, 0.44232991227137, 0.4271636286132, 0.41300927380629, 0.39981941368572, 0.38754661408661, 0.37613711628872, 0.3655403238495, 0.35570564032638, 0.34657298244381,
0.33809175375924, 0.3302113578301, 0.32288119821383, 0.31605668679542, 0.30969165432103, 0.30374530740885, 0.29818001495472, 0.29296130813214, 0.28805788039229, 0.28344158746397, 0.27908807980922, 0.27496889692908, 0.27106759497973,
0.26736456783968, 0.26384242298178, 0.26048629770105, 0.25728259420353, 0.25421897960636, 0.25128438593772, 0.24846932636464, 0.2457646302819, 0.24316239199534, 0.24065533826636, 0.23823714453963, 0.2359018024876, 0.23364393623824,
0.2314584861473, 0.22934134125381, 0.22728807436907, 0.22529520698763, 0.22335957683184, 0.22147738916851, 0.21964643040327, 0.21786353825847, 0.21612649913974, 0.21443341568048, 0.21278144183081, 0.21116931267966, 0.20959481463266,
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0.49679382041245, 0.49704996490292, 0.49718910511997, 0.49734721900298, 0.49747687238704, 0.4976792581573, 0.49777096420944, 0.49799864820097, 0.49804292008821, 0.49820419624888, 0.49842871796276, 0.49851726173724, 0.49867221334259, 0.49881767811496,
0.49907698488309, 0.49920031371184, 0.49941534859273, 0.49951337920019, 0.49966516852788, 0.49976952369067, 0.49991182618537, 0.50009840056732, 0.50028181267161, 0.5003703564461, 0.50050000983017, 0.50070239560042, 0.50084469809512, 0.50109135575262,
0.50112930308454, 0.50133801341011, 0.50154039918036, 0.50164475434315, 0.50172064900699, 0.50195465755384, 0.50209696004855, 0.50221080204432, 0.50240686325925, 0.50259659991886,
0.50265984547206, 0.50281163479975, 0.50290334085189, 0.50308359067852, 0.50330495011473, 0.50338400705624, 0.50352947182861, 0.5037128839329, 0.50385834870526, 0.50402911169891, 0.50412714230638, 0.50430106757769};
const std::vector<Rate> stdDevsOnPayment = {
1.6617526454415, 1.4669124167142, 1.32415790098, 1.2120961731935, 1.1201668663866, 1.0424206605982, 0.9751732547411, 0.9160138132757, 0.8632670647314, 0.8157437931899, 0.7725528968054, 0.7330333400265, 0.6966731443381, 0.6630705038169, 0.6319111025389,
0.6029486723577, 0.5759823103116, 0.5508499978832, 0.5274286009992, 0.5056047066973, 0.4852940653485, 0.4664189080644, 0.4489047063269, 0.4326866527292, 0.4176999398641, 0.4038765199544, 0.3911451048524, 0.3794344064103, 0.3686698961103, 0.3587770454342,
0.3496780854936, 0.3413049685113, 0.3335864063394, 0.3264575915712, 0.3198563090958, 0.3137287687655, 0.3080244208027, 0.3026982240597, 0.2977103219812, 0.2930253945303, 0.2886123341517, 0.2844432736605, 0.2804945583529, 0.2767441537107, 0.273174237697,
0.2697679603859, 0.266511064148, 0.2633912355757, 0.2603990775953, 0.2575187123919, 0.2547472236322, 0.2520745661682, 0.2494942592591, 0.2469994981273, 0.244584774143, 0.2422449027139, 0.2399756713583, 0.2377725435579, 0.2356322789423, 0.2335506650299,
0.2315251095246, 0.2295526960931, 0.2276305084019, 0.225756278192, 0.2239274131669, 0.2221426171785, 0.2203989738936, 0.218695187164, 0.2170296368045, 0.21540070263, 0.2138067644552, 0.212246202095, 0.2107183674754, 0.2092216404111, 0.207755048791,
0.2063172964671, 0.2049074113281, 0.2035247453001, 0.2021680022349, 0.2008362100214, 0.1995290446225, 0.1982452098902, 0.1969843817873, 0.1957459122398, 0.1945285050996, 0.1933321603667, 0.19215590593, 0.1909994177523, 0.1898617237227, 0.1887428238411,
0.1876417459965, 0.1865581661517, 0.1854914362327, 0.1844415562396, 0.1834078780982, 0.1823907258456, 0.1813868591114, 0.180399194229, 0.1794264350501, 0.1784666373527, 0.1775214213218, 0.1765904629205, 0.1756776505931, 0.1747651623028, 0.1738730883457,
0.1730004566106, 0.172122316246, 0.1712668584738, 0.1704344073311, 0.1695851062626, 0.1687652925642, 0.1679765864212, 0.1672679174259, 0.1663641781355, 0.1656295861773, 0.165014239848, 0.1646185906283, 0.1645304525548, 0.1629251730839, 0.1627171413074,
0.1628402753807, 0.1632897147481, 0.1640194461508, 0.1649614218113, 0.1660589352486, 0.1672562520926, 0.1685167561584, 0.1698180888907, 0.1711395119191, 0.1724687118363, 0.173801476161, 0.1751297039671, 0.1764537192918, 0.1777673654313, 0.1790764750524,
0.1803729472291, 0.181660994443, 0.1829389965087, 0.1842088976485, 0.1854681055662, 0.186718888521, 0.1879580061426, 0.1891903189864, 0.1904125866821, 0.1916248092297, 0.1928302269996, 0.1940249515474, 0.1952125472804, 0.1963913940134, 0.1975601955984,
0.1987189520352, 0.1998725238795, 0.1951120957995, 0.196220302459, 0.1973171678222, 0.1984056082225, 0.1994934005487, 0.2005659631343, 0.2016369055347, 0.2026955345278, 0.2037538394838, 0.2047917301067, 0.2058393418406, 0.2068697796116, 0.2078934126049,
0.2089163975242, 0.2099244767398, 0.2109348242147, 0.2119335063563, 0.2129312163868, 0.21391661301, 0.2149003894481, 0.2158760649602, 0.2168452597316, 0.2178060295402, 0.2187635589784, 0.2197220605277, 0.22067148904, 0.2216082801079, 0.2225421548426,
0.2234692247995, 0.2243969428305, 0.2253159118615, 0.2262309924481, 0.2271337596274, 0.2280494882881, 0.2289418862823, 0.2298333121653, 0.2307247380484, 0.2315996380427, 0.2324810187777, 0.2333601312534, 0.2342246620626, 0.2350934053532, 0.2359469189032,
0.236808209342, 0.2376552421513, 0.238496766331, 0.2393373183995, 0.2401791666163, 0.2410038408701, 0.2418327276055, 0.2426548095631, 0.2434785117058, 0.2442895764042, 0.2450967526582, 0.2459032808381, 0.2467140214995, 0.2475079122351, 0.2483066635261,
0.2490927773729, 0.2498782431455, 0.2506491272516, 0.2514336209131, 0.2522058011673, 0.2529708526068, 0.2537372001944, 0.2545012795227, 0.2552695713325, 0.256016476698, 0.2567708349153, 0.257510611466, 0.2582555726093, 0.2590028020118, 0.2597399862663,
0.2604713378541, 0.2612017173308, 0.2619359852519, 0.2626640964694, 0.2633734135388, 0.2640940719045, 0.2648053331961, 0.2655204829322, 0.2662158664091, 0.2669216190712, 0.2676212150296, 0.2683191908028, 0.2690242953908, 0.2697144942752, 0.2703836307523,
0.2710796623033, 0.2717640285211, 0.2724451543685, 0.2731220677344, 0.2738015733966, 0.2744671454664, 0.275112951277, 0.2757924569392, 0.2764502521201, 0.2771064271158, 0.2777600098152, 0.2784090559962, 0.2790762482511, 0.2797204338765, 0.2803668877612,
0.2810110733866, 0.281636464864, 0.2822780581931, 0.2829177073001, 0.2835499035552, 0.2841730267733, 0.2848142960654, 0.285413116506, 0.2860365637612, 0.286665843683, 0.2872776256049, 0.2878845469713, 0.2885041057821, 0.289124960741, 0.2897202167741,
0.2903238977702, 0.2909259585811, 0.2915215386513, 0.2921174427585, 0.2927146430138, 0.2933073067507, 0.2938934897469, 0.2944903659652, 0.295054514443, 0.2956406974392, 0.2962297967686, 0.2968218124314, 0.2973921176129, 0.297958858387, 0.2985395327536,
0.2991065975647, 0.2996862998201, 0.3002384589277, 0.3008006631832, 0.3013589789944, 0.3019250716944, 0.3024749625427, 0.3030384629464, 0.3035870576465, 0.3041492619021, 0.3047001248615, 0.3052396465246, 0.3057801402989, 0.3063271148138, 0.3068698768473,
0.3074081023623, 0.3079554009143, 0.3084780726516, 0.3090282875369, 0.3095509592742, 0.3100729829375, 0.3106125046006, 0.3111494339675, 0.3116633567049, 0.3121727429238, 0.3126934704389, 0.3132252152132, 0.313724880321, 0.314244311688, 0.3147873977585,
0.3152822023109, 0.3157932087149, 0.3162896334524, 0.3168025840787, 0.3173041934088, 0.3177967297018, 0.3182963948097, 0.3187960599175, 0.3193219720252, 0.3198099717998, 0.3203089888336, 0.3208180510154, 0.3212995700493, 0.3217820611943, 0.322270709043,
0.3227697260768, 0.3232463845551, 0.3237428092926, 0.3241828515861, 0.3246818686198, 0.3251744049129, 0.3256474989839, 0.3261141123142, 0.3265904467555, 0.3270667811968, 0.3275366348975, 0.3280194500795, 0.3284860634098, 0.3289494363697, 0.3294095689593,
0.3298761822896, 0.3303460359902, 0.3307996878391, 0.3312792626508, 0.3317231933887, 0.3321638837561, 0.3326240163457, 0.3330938700464, 0.3335604833767, 0.3340011737441, 0.3344645467041, 0.3348890352198, 0.3353426870687, 0.3357930985473, 0.3362467503961,
0.3366679985415, 0.3371443329829, 0.3375558600172, 0.3379933100144, 0.3384404811226, 0.3388649696383, 0.3393315829686, 0.3397495907436, 0.3401805600001, 0.3406018081455, 0.3410587003647, 0.3414734677694, 0.3418979562852, 0.3423483677637, 0.3427728562794,
0.3431746622027, 0.3436088718295, 0.3440009566418, 0.3444286855279, 0.3448758566361, 0.3452582203373, 0.3457021510751, 0.3461396010723, 0.3465025225514, 0.3469561744003, 0.3473741821753, 0.3477565458765, 0.3481713132812, 0.3485763595749, 0.3489684443871,
0.3494156154953, 0.349820661789, 0.3502321888233, 0.350637235117, 0.3510293199292, 0.3514343662229, 0.3518037684427, 0.3522509395509, 0.3526203417707, 0.353031868805, 0.3534077517655, 0.3537998365778, 0.3542081232418, 0.3545872465726, 0.3549955332366,
0.3553746565675, 0.3557764624908, 0.3561296628589, 0.3565541513746, 0.356910592113, 0.3572799943328, 0.3576915213672, 0.3580803658091, 0.3584724506213, 0.3588386124708, 0.359211255061, 0.3596357435767, 0.3599921843151, 0.3603615865349, 0.3607569117175,
0.3611165928263, 0.3615021968978, 0.3618910413397, 0.3622604435596, 0.3625942017055, 0.3630219305916, 0.3633589291079, 0.3637412928091, 0.3640750509551, 0.3644736165081, 0.3648203361354, 0.3651864979849, 0.3655623809454, 0.3658896583507, 0.366291464274,
0.3666576261234, 0.3670011053804, 0.3673802287113, 0.3677107464869, 0.3680833890771, 0.3684527912969, 0.3687930301835, 0.3691624324034, 0.369492950179, 0.3698785542505, 0.3701961105448, 0.3705590320239, 0.3708960305402, 0.3712783942414, 0.3715927101653,
0.3719685931258, 0.3723250338642, 0.3726652727508, 0.3730022712672, 0.3733587120056, 0.3736859894108, 0.3740456705196, 0.3743826690359, 0.3747488308854, 0.3750955505127, 0.3754066260663, 0.3757274227308, 0.3760968249507, 0.3764208619856, 0.3767546201315,
0.3770980993886, 0.3774253767938, 0.3777558945694, 0.3780799316044, 0.3784493338242, 0.3787766112294, 0.3791136097458, 0.3794635697435, 0.3797616838156, 0.3800954419616, 0.3804713249221, 0.3807791601053, 0.3811226393623, 0.3814142726937, 0.3817739538025,
0.3820688275042, 0.3824058260206, 0.3827169015741, 0.383031217498, 0.3833163700887, 0.3836857723085, 0.3839644441585, 0.3843014426748, 0.3846611237836, 0.3849171130412, 0.3852800345203, 0.3855943504442, 0.3859313489605, 0.3862229822919, 0.3865599808082,
0.3868483737693, 0.3871464878414, 0.3874608037653, 0.3877653985781, 0.3881088778352, 0.3883745882038, 0.3887180674608, 0.3889805374591, 0.3893402185679, 0.3896059289365, 0.3899947733784, 0.3902475222656, 0.3905618381895, 0.3908826348541, 0.3911937104076,
0.3914918244797, 0.391828822996, 0.3920815718833, 0.3923991281775, 0.3927264055828, 0.3930342407659, 0.3932610666904, 0.3936175074288, 0.3939480252044, 0.3942234566841, 0.3944762055713, 0.3948132040877, 0.3950756740859, 0.3954353551947, 0.3956881040819,
0.3960121411169, 0.3962746111151, 0.3965727251873, 0.3968935218518, 0.3971624725908, 0.3974832692554, 0.3977749025868, 0.3980341322148, 0.3983290059165, 0.3986562833218, 0.3989057918387, 0.3991844636887, 0.3994631355388, 0.3997709707219, 0.4000237196092,
0.4003347951627, 0.4006037459017, 0.4009148214552, 0.4012258970087, 0.4014656844146, 0.4018124040419, 0.4020165473739, 0.4023470651496, 0.4026127755182, 0.4028752455165, 0.40318632107, 0.4034682332904, 0.4037145014369, 0.4039899329166, 0.4042977680998,
0.4045894014312, 0.404884275133, 0.4051046203167, 0.4053930132778, 0.4056684447575, 0.4059017514226, 0.4062031058651, 0.4065109410483, 0.4067410073431, 0.4070423617856, 0.4072951106728, 0.4075932247449, 0.4078621754839, 0.4080825206676, 0.4084162788136,
0.4086366239974, 0.4089185362177, 0.4092522943637, 0.409449956955, 0.4097480710271, 0.4100008199144, 0.4102956936162, 0.4105678847255, 0.4107558262057, 0.4111252284255, 0.4113941791645, 0.4116145243483, 0.4118672732355, 0.4121718680483, 0.4123792517507,
0.4126708850821, 0.4129463165618, 0.4132152673008, 0.413458295077, 0.4137078035939, 0.413931389148, 0.4141679361835, 0.414479011737, 0.414747962476, 0.4150007113632, 0.4152826235836, 0.4155386128412, 0.415778400247, 0.4160052261714, 0.416326022836,
0.4165139643163, 0.4167958765367, 0.4171199135716, 0.4172171246821, 0.417550882828, 0.4178619583815, 0.4181179476391, 0.4182864468973, 0.4185878013398, 0.4188178676346, 0.4190479339294, 0.419313644298, 0.4196247198515, 0.4198126613318, 0.4200362468859,
0.4202825150324, 0.4205968309563, 0.420807455029, 0.4210375213238, 0.4213356353959, 0.4215235768761, 0.4218573350221, 0.4220614783541, 0.4222591409454, 0.422589658721, 0.4227743598309, 0.4230368298292, 0.4232733768647, 0.4234937220485, 0.4237205479729,
0.4239311720456, 0.4242487283398, 0.4244787946346, 0.4247153416701, 0.4249907731498, 0.4251722338893, 0.4254282231469, 0.4256453279603, 0.4258948364772, 0.4261767486976, 0.4263614498075, 0.426607717954, 0.4267891786936, 0.4271650616541, 0.427340041653,
0.4276089923919, 0.4277807320205, 0.4280334809077, 0.4283089123874, 0.4285486997932, 0.428713958681, 0.4290120727532, 0.4291935334927, 0.4294430420096, 0.4296860697858, 0.4298578094143, 0.4301850868196, 0.430402191633, 0.4305739312615, 0.4307586323714,
0.4310761886656, 0.4312900531086, 0.4314844753296, 0.4317210223651, 0.4320223768076, 0.4321941164361, 0.4324177019902, 0.4326445279146, 0.432936161246, 0.4330301319862, 0.4333768516135, 0.433603677538, 0.4337721767961, 0.4340832523497, 0.434290636052,
0.4344008086439, 0.4346438364201, 0.4349095467887, 0.4350845267876, 0.435376160119, 0.4355673419696, 0.435719639376, 0.4359691478929, 0.4362705023354, 0.4485871500327, 0.4366334238145, 0.4368278460354, 0.4492967911392, 0.4495106555822, 0.4497504429881,
0.4499869900236, 0.4502267774294, 0.4504471226131, 0.4506383044637, 0.4508780918696, 0.4510919563126, 0.4512960996446, 0.4515196851987, 0.4517400303825, 0.4519798177883, 0.4522228455645, 0.4524367100075, 0.4526538148209, 0.4528482370419, 0.4530945051884,
0.4532921677797, 0.4535254744449, 0.4537296177769, 0.4539596840717, 0.4542124329589, 0.4543906533281, 0.4546174792526, 0.4548378244363, 0.4550192851759, 0.455252591841, 0.4554794177655, 0.4556576381347, 0.4558909447998, 0.4560983285021, 0.4563413562783,
0.45654225924, 0.456746402572, 0.456960267015, 0.4572000544209, 0.4573782747901, 0.4576213025663, 0.4578351670093, 0.4580393103413, 0.4582337325623, 0.4584670392274, 0.4586711825594, 0.4589077295949, 0.4590794692234, 0.4592998144072, 0.4594812751467,
0.4597016203305, 0.4599316866253, 0.4601163877352, 0.4603172906968, 0.4605343955102, 0.4607579810643, 0.4609815666184, 0.4611565466173, 0.4613704110603, 0.4615453910592, 0.4617916592057, 0.4619666392046, 0.4622129073511, 0.4623781662389, 0.4625985114227,
0.4627929336436, 0.4630132788274, 0.4632174221594, 0.4634118443803, 0.463632189564, 0.4638201310443, 0.4640145532653, 0.4642543406711, 0.4644325610403, 0.4646464254833, 0.4648505688153, 0.4649996258514, 0.4652815380718, 0.4654435565893, 0.4656509402916,
0.4658615643643, 0.4660365443632, 0.4662180051027, 0.4664837154713, 0.4666327725074, 0.4668077525063, 0.4670605013935, 0.4672290006517, 0.4674169421319, 0.4675919221308, 0.4678155076849, 0.4679969684244, 0.468188150275, 0.4683955339774, 0.4685769947169,
0.4688232628635, 0.4690176850844, 0.4692283091571, 0.4694454139705, 0.4695685480438, 0.4697888932275, 0.4700351613741, 0.4702004202619, 0.4704078039642, 0.4705147361858, 0.4707707254433, 0.4709748687753, 0.4711271661818, 0.4713377902545, 0.4715646161789,
0.4717331154371, 0.4719372587691, 0.4720506717313, 0.4722839783964, 0.4724427565435, 0.4727376302453, 0.4728802065407, 0.4730811095023, 0.4732463683901, 0.4734505117221, 0.473625491721, 0.4738004717199, 0.4739916535705, 0.4741795950507, 0.474377257642,
0.4745133531967, 0.4747304580101, 0.4749313609717, 0.4751484657851, 0.4753590898578, 0.4754854643014, 0.4757025691148, 0.4759067124468, 0.4760460483718, 0.4762696339259, 0.4763992487399, 0.4766260746644, 0.4768075354039, 0.4769533520696, 0.4771445339202,
0.4773551579929, 0.4775398591028, 0.477718079472, 0.4778768576191, 0.4780972028029, 0.4782819039128, 0.4784892876151, 0.478589739096, 0.478803603539, 0.4789915450193, 0.4791665250181, 0.4793998316833, 0.4795035235344, 0.4796882246444, 0.4799798579758,
0.4800738287159, 0.4802747316776, 0.480427029084, 0.4806246916753, 0.4808029120445, 0.4809649305619, 0.4811625931532, 0.4813732172259, 0.4815093127806, 0.4817199368533, 0.4818754746301, 0.4821055409249, 0.4822675594423, 0.4824328183301, 0.482607798329,
0.4827730572168, 0.4829772005488, 0.4831619016587, 0.4832785549913, 0.4834956598047, 0.4836479572111, 0.4838196968396, 0.4840011575791, 0.4842085412815, 0.4842895505402, 0.4845487801682, 0.4847691253519, 0.4849117016473, 0.4850866816461, 0.4852195368304,
0.4854463627549, 0.4855597757171, 0.4857606786788, 0.4859875046032, 0.4861041579358, 0.486282378305, 0.4864897620073, 0.4866128960806, 0.4867587127463, 0.4869563753376, 0.4871540379289, 0.4872901334836, 0.4874165079272, 0.4876109301482, 0.4877826697767,
0.4880094957011, 0.4881650334779, 0.4883140905139, 0.4884761090314, 0.4886316468082, 0.4888293093995, 0.4889621645838, 0.4891727886565, 0.4893186053222, 0.489493585321, 0.4896556038385, 0.4898791893926, 0.4900023234659, 0.4902323897607, 0.4903490430932,
0.4904754175369, 0.4906990030909, 0.490838339016, 0.4910262804962, 0.4911753375323, 0.4913924423457, 0.4915155764189, 0.4916581527143, 0.4918720171574, 0.4919757090085, 0.4921701312295, 0.4923613130801, 0.4925298123382, 0.4927015519668, 0.4928311667807,
0.4929834641871, 0.4931940882598, 0.4932459341854, 0.4935570097389, 0.493641259368, 0.4938454027, 0.4939782578843, 0.4941305552908, 0.494318496771, 0.494457832696, 0.4946652163984, 0.4947494660275, 0.4949860130629, 0.4951059067659, 0.49532949232,
0.4954461456525, 0.4955627989851, 0.4957637019468, 0.4959484030567, 0.4960844986113, 0.4962821612026, 0.4964376989794, 0.4965997174968, 0.4967908993475, 0.4968783893469, 0.497037167494, 0.497176503419, 0.4973385219365, 0.4975621074906, 0.4977014434156,
0.4978375389702, 0.4980189997098, 0.4982199026715, 0.4982685082267, 0.4984985745215, 0.4986281893355, 0.4988128904454, 0.499013793407, 0.4991725715541, 0.4992438597018, 0.4995030893297, 0.4995938196995, 0.4997266748838, 0.4999372989565, 0.5000312696967,
0.5002030093252, 0.5003455856205, 0.5004363159903, 0.5006890648775, 0.5007927567287, 0.5010066211718, 0.5010746689491, 0.5013436196881, 0.5014311096875, 0.501602849316, 0.5017259833893, 0.5018944826474, 0.5020370589428, 0.5022638848673, 0.502344894126,
0.5025069126434, 0.5025684796801, 0.502827709308, 0.5029800067144, 0.503096660047, 0.503375331897, 0.5034239374523, 0.5036216000436, 0.5038063011535, 0.5039294352267, 0.5040784922628, 0.5041757033733, 0.5043701255942, 0.5044478944826, 0.5047136048513,
0.5047136048513, 0.504924228924, 0.5050959685525, 0.5051899392926, 0.5053908422542, 0.505611187438, 0.5056954370671, 0.5058185711403, 0.505964387806, 0.5061393678049 };
//Create smiles on Expiry Date
smilesOnExpiry = std::vector<ext::shared_ptr<SmileSection> >();
smilesOnExpiry.push_back(ext::shared_ptr<SmileSection>(
new FlatSmileSection(startDate, flatVol, rangeCouponDayCount)));
Real dummyAtmLevel = 0;
smilesOnExpiry.push_back(ext::shared_ptr<SmileSection>(new
InterpolatedSmileSection<Linear>(startDate,
strikes,
stdDevsOnExpiry,
dummyAtmLevel,
rangeCouponDayCount)));
//smilesOnExpiry.push_back(
// swaptionVolatilityStructures_[0]->smileSection(startDate,
// Period(6, Months)));
//Create smiles on Payment Date
smilesOnPayment = std::vector<ext::shared_ptr<SmileSection> >();
smilesOnPayment.push_back(ext::shared_ptr<SmileSection>(
new FlatSmileSection(endDate, flatVol, rangeCouponDayCount)));
smilesOnPayment.push_back(ext::shared_ptr<SmileSection>(new
InterpolatedSmileSection<Linear>(endDate,
strikes,
stdDevsOnPayment,
dummyAtmLevel,
rangeCouponDayCount)));
//vars.smilesOnPayment.push_back(
// swaptionVolatilityStructures_[0]->smileSection(vars.endDate,
// Period(6, Months)));
QL_REQUIRE(smilesOnExpiry.size()==smilesOnPayment.size(),
"smilesOnExpiry.size()!=smilesOnPayment.size()");
}
CommonVars() {
//General Settings
calendar = TARGET();
today = Date(39147); // 6 Mar 2007
Settings::instance().evaluationDate() = today;
settlement = today;
//create Yield Curve
createYieldCurve();
referenceDate = termStructure->referenceDate();
// Ibor index
iborIndex =
ext::shared_ptr<IborIndex>(new Euribor6M(termStructure));
// create Volatility Structures
flatVol = 0.1;
createVolatilityStructures();
// Range Accrual valuation
gearing = 1.0;
spread = 0.0;
infiniteLowerStrike = 1.e-9;
infiniteUpperStrike = 1.0;
correlation = 1.0;
startDate = Date(42800); //6 Mar 2017
endDate = Date(42984); //6 Sep 2017
paymentDate = endDate; //6 Sep 2017
fixingDays = 2;
rangeCouponDayCount = iborIndex->dayCounter();
// observations schedule
observationsConvention = ModifiedFollowing;
observationsFrequency = Daily;//Monthly;
observationSchedule = ext::make_shared<Schedule>(startDate,endDate,
Period(observationsFrequency),
calendar,observationsConvention,
observationsConvention,
DateGeneration::Forward, false);
// Range accrual pricers properties
byCallSpread = std::vector<bool>({true, false});
std::vector<Rate> strikes;
//Create smiles sections
createSmileSections();
//test parameters
rateTolerance = 2.0e-8;
priceTolerance = 2.0e-4;
}
};
//******************************************************************************************//
//******************************************************************************************//
BOOST_AUTO_TEST_CASE(testInfiniteRange) {
BOOST_TEST_MESSAGE("Testing infinite range accrual floaters...");
CommonVars vars;
//Coupon
RangeAccrualFloatersCoupon coupon(vars.paymentDate,
1.0,
vars.iborIndex,
vars.startDate,
vars.endDate,
vars.fixingDays,
vars.rangeCouponDayCount,
vars.gearing, vars.spread,
vars.startDate, vars.endDate,
vars.observationSchedule,
vars.infiniteLowerStrike,
vars.infiniteUpperStrike);
Date fixingDate = coupon.fixingDate();
for (Size z = 0; z < vars.smilesOnPayment.size(); z++) {
for (Size i = 0; i < vars.byCallSpread.size(); i++){
ext::shared_ptr<RangeAccrualPricer> bgmPricer(new
RangeAccrualPricerByBgm(vars.correlation,
vars.smilesOnExpiry[z],
vars.smilesOnPayment[z],
true,
vars.byCallSpread[i]));
coupon.setPricer(bgmPricer);
//Computation
const Rate rate = coupon.rate();
const Rate indexfixing = vars.iborIndex->fixing(fixingDate);
const Rate difference = rate-indexfixing;
if (std::fabs(difference) > vars.rateTolerance) {
BOOST_ERROR("\n" <<
"i:\t" << i << "\n"
"fixingDate:\t" << fixingDate << "\n"
"startDate:\t" << vars.startDate << "\n"
"range accrual rate:\t" << io::rate(rate) << "\n"
"index fixing:\t" << io::rate(indexfixing) << "\n"
"difference:\t" << io::rate(difference) << "\n"
"tolerance: \t" << io::rate(vars.rateTolerance));
}
}
}
}
BOOST_AUTO_TEST_CASE(testPriceMonotonicityWithRespectToLowerStrike) {
BOOST_TEST_MESSAGE(
"Testing price monotonicity with respect to the lower strike...");
CommonVars vars;
for (Size z = 0; z < vars.smilesOnPayment.size(); z++) {
for (Size i = 0; i < vars.byCallSpread.size(); i++){
ext::shared_ptr<RangeAccrualPricer> bgmPricer(new
RangeAccrualPricerByBgm(vars.correlation,
vars.smilesOnExpiry[z],
vars.smilesOnPayment[z],
true,
vars.byCallSpread[i]));
Real effectiveLowerStrike;
Real previousPrice = 100.;
for (Size k = 1; k < 100; k++){
effectiveLowerStrike = 0.005 + k*0.001;
RangeAccrualFloatersCoupon coupon(
vars.paymentDate,
1.,
vars.iborIndex,
vars.startDate,
vars.endDate,
vars.fixingDays,
vars.rangeCouponDayCount,
vars.gearing, vars.spread,
vars.startDate, vars.endDate,
vars.observationSchedule,
effectiveLowerStrike,
vars.infiniteUpperStrike);
coupon.setPricer(bgmPricer);
//Computation
const Rate price = coupon.price(vars.termStructure);
if (previousPrice <= price) {
BOOST_ERROR("\n" <<
"i:\t" << i << "\n"
"k:\t" << k << "\n"
"Price at lower strike\t" << effectiveLowerStrike-0.001 <<
": \t" << previousPrice << "\n"
"Price at lower strike\t" << effectiveLowerStrike <<
": \t" << price << "\n");
}
previousPrice = price;
}
}
}
}
BOOST_AUTO_TEST_CASE(testPriceMonotonicityWithRespectToUpperStrike) {
BOOST_TEST_MESSAGE(
"Testing price monotonicity with respect to the upper strike...");
CommonVars vars;
for (Size z = 0; z < vars.smilesOnPayment.size(); z++) {
for (Size i = 0; i < vars.byCallSpread.size(); i++){
ext::shared_ptr<RangeAccrualPricer> bgmPricer(new
RangeAccrualPricerByBgm(vars.correlation,
vars.smilesOnExpiry[z],
vars.smilesOnPayment[z],
true,
vars.byCallSpread[i]));
Real effectiveUpperStrike;
Real previousPrice = 0.;
for (Size k = 1; k < 95; k++){
effectiveUpperStrike = 0.006 + k*0.001;
RangeAccrualFloatersCoupon coupon(
vars.paymentDate,
1.,
vars.iborIndex,
vars.startDate,
vars.endDate,
vars.fixingDays,
vars.rangeCouponDayCount,
vars.gearing, vars.spread,
vars.startDate, vars.endDate,
vars.observationSchedule,
.004,
effectiveUpperStrike);
coupon.setPricer(bgmPricer);
//Computation
const Rate price = coupon.price(vars.termStructure);
if (previousPrice > price) {
BOOST_ERROR("\n" <<
"i:\t" << i << "\n"
"k:\t" << k << "\n"
"Price at upper strike\t" << effectiveUpperStrike-0.001 <<
": \t" << previousPrice << "\n"
"Price at upper strike\t" << effectiveUpperStrike <<
": \t" << price << "\n");
}
previousPrice = price;
}
}
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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