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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2018 Roy Zywina
Copyright (C) 2018 StatPro Italia 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 "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/instruments/overnightindexfuture.hpp>
#include <ql/indexes/ibor/sofr.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/overnightindexfutureratehelper.hpp>
#include <iomanip>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(SofrFuturesTests)
struct SofrQuotes {
Frequency freq;
Month month;
Year year;
Real price;
};
BOOST_AUTO_TEST_CASE(testBootstrap) {
BOOST_TEST_MESSAGE("Testing bootstrap over SOFR futures...");
Date today = Date(26, October, 2018);
Settings::instance().evaluationDate() = today;
const SofrQuotes sofrQuotes[] = {
{Monthly, Oct, 2018, 97.8175},
{Monthly, Nov, 2018, 97.770},
{Monthly, Dec, 2018, 97.685},
{Monthly, Jan, 2019, 97.595},
{Monthly, Feb, 2019, 97.590},
{Monthly, Mar, 2019, 97.525},
{Quarterly, Mar, 2019, 97.440},
{Quarterly, Jun, 2019, 97.295},
{Quarterly, Sep, 2019, 97.220},
{Quarterly, Dec, 2019, 97.170},
{Quarterly, Mar, 2020, 97.160},
{Quarterly, Jun, 2020, 97.165},
{Quarterly, Sep, 2020, 97.175},
};
ext::shared_ptr<OvernightIndex> index = ext::make_shared<Sofr>();
index->addFixing(Date(1, October, 2018), 0.0222);
index->addFixing(Date(2, October, 2018), 0.022);
index->addFixing(Date(3, October, 2018), 0.022);
index->addFixing(Date(4, October, 2018), 0.0218);
index->addFixing(Date(5, October, 2018), 0.0216);
index->addFixing(Date(9, October, 2018), 0.0215);
index->addFixing(Date(10, October, 2018), 0.0215);
index->addFixing(Date(11, October, 2018), 0.0217);
index->addFixing(Date(12, October, 2018), 0.0218);
index->addFixing(Date(15, October, 2018), 0.0221);
index->addFixing(Date(16, October, 2018), 0.0218);
index->addFixing(Date(17, October, 2018), 0.0218);
index->addFixing(Date(18, October, 2018), 0.0219);
index->addFixing(Date(19, October, 2018), 0.0219);
index->addFixing(Date(22, October, 2018), 0.0218);
index->addFixing(Date(23, October, 2018), 0.0217);
index->addFixing(Date(24, October, 2018), 0.0218);
index->addFixing(Date(25, October, 2018), 0.0219);
std::vector<ext::shared_ptr<RateHelper> > helpers;
for (const auto& sofrQuote : sofrQuotes) {
helpers.push_back(ext::make_shared<SofrFutureRateHelper>(
sofrQuote.price, sofrQuote.month, sofrQuote.year, sofrQuote.freq));
}
ext::shared_ptr<PiecewiseYieldCurve<Discount, Linear> > curve =
ext::make_shared<PiecewiseYieldCurve<Discount, Linear> >(today, helpers,
Actual365Fixed());
// test curve with one of the futures
ext::shared_ptr<OvernightIndex> sofr =
ext::make_shared<Sofr>(Handle<YieldTermStructure>(curve));
auto convQuote = ext::make_shared<SimpleQuote>();
OvernightIndexFuture sf(sofr, Date(20, March, 2019), Date(19, June, 2019),
Handle<Quote>(convQuote));
Real tolerance = 1.0e-9;
for (auto convAdj : {0.0, 0.1}) {
convQuote->setValue(convAdj);
Real expected_price = 100.0 * (1 - (0.0256 + convAdj));
Real error = std::fabs(sf.NPV() - expected_price);
if (error > tolerance) {
BOOST_ERROR("sample futures:\n"
<< std::setprecision(8)
<< "\n estimated price: " << sf.NPV()
<< "\n expected price: " << expected_price
<< "\n error: " << error
<< "\n tolerance: " << tolerance);
}
}
}
BOOST_AUTO_TEST_CASE(testBootstrapWithJuneteenth) {
BOOST_TEST_MESSAGE(
"Testing bootstrap over SOFR futures when third Wednesday falls on Juneteenth...");
Date today = Date(27, June, 2024);
Settings::instance().evaluationDate() = today;
const SofrQuotes sofrQuotes[] = {
{Quarterly, Jun, 2024, 97.220},
{Quarterly, Sep, 2024, 97.170},
{Quarterly, Dec, 2024, 97.160},
{Quarterly, Mar, 2025, 97.165},
{Quarterly, Jun, 2025, 97.175},
};
ext::shared_ptr<OvernightIndex> index = ext::make_shared<Sofr>();
index->addFixing(Date(18, June, 2024), 0.02);
index->addFixing(Date(20, June, 2024), 0.02);
index->addFixing(Date(21, June, 2024), 0.02);
index->addFixing(Date(24, June, 2024), 0.02);
index->addFixing(Date(25, June, 2024), 0.02);
index->addFixing(Date(26, June, 2024), 0.02);
index->addFixing(Date(27, June, 2024), 0.02);
std::vector<ext::shared_ptr<RateHelper> > helpers;
for (const auto& sofrQuote : sofrQuotes) {
helpers.push_back(ext::make_shared<SofrFutureRateHelper>(
sofrQuote.price, sofrQuote.month, sofrQuote.year, sofrQuote.freq));
}
ext::shared_ptr<PiecewiseYieldCurve<Discount, Linear> > curve =
ext::make_shared<PiecewiseYieldCurve<Discount, Linear> >(today, helpers,
Actual365Fixed());
ext::shared_ptr<OvernightIndex> sofr =
ext::make_shared<Sofr>(Handle<YieldTermStructure>(curve));
OvernightIndexFuture sf(sofr, Date(19, June, 2024), Date(18, September, 2024));
Real expected_price = 97.220;
Real tolerance = 1.0e-9;
Real error = std::fabs(sf.NPV() - expected_price);
if (error > tolerance) {
BOOST_ERROR("sample futures:\n"
<< std::setprecision(8)
<< "\n estimated price: " << sf.NPV()
<< "\n expected price: " << expected_price
<< "\n error: " << error
<< "\n tolerance: " << tolerance);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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