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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2008 Ferdinando Ametrano
Copyright (C) 2006 François du Vignaud
Copyright (C) 2007 Cristina Duminuco
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 "swaptionvolstructuresutilities.hpp"
#include "utilities.hpp"
#include <ql/utilities/dataformatters.hpp>
#include <ql/indexes/swap/euriborswap.hpp>
#include <ql/instruments/makeswaption.hpp>
#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/math/comparison.hpp>
#include <string>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(SwaptionVolatilityMatrixTests)
struct CommonVars {
// global data
Date referenceDate;
SwaptionMarketConventions conventions;
AtmVolatility atm;
RelinkableHandle<YieldTermStructure> termStructure;
RelinkableHandle<SwaptionVolatilityStructure> atmVolMatrix;
Real tolerance;
// setup
CommonVars() {
conventions.setConventions();
atm.setMarketData();
Settings::instance().evaluationDate() =
conventions.calendar.adjust(Date::todaysDate());
atmVolMatrix = RelinkableHandle<SwaptionVolatilityStructure>(
ext::shared_ptr<SwaptionVolatilityStructure>(new
SwaptionVolatilityMatrix(conventions.calendar,
conventions.optionBdc,
atm.tenors.options,
atm.tenors.swaps,
atm.volsHandle,
conventions.dayCounter)));
termStructure.linkTo(
ext::shared_ptr<YieldTermStructure>(new
FlatForward(0, conventions.calendar,
0.05, Actual365Fixed())));
}
// utilities
void makeObservabilityTest(
const std::string& description,
const ext::shared_ptr<SwaptionVolatilityStructure>& vol,
bool mktDataFloating,
bool referenceDateFloating) {
Rate dummyStrike = .02;
Date referenceDate = Settings::instance().evaluationDate();
Volatility initialVol = vol->volatility(
referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
// testing evaluation date change ...
Settings::instance().evaluationDate() =
referenceDate - Period(1, Years);
Volatility newVol = vol->volatility(
referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
Settings::instance().evaluationDate() = referenceDate;
if (referenceDateFloating && (initialVol == newVol))
BOOST_ERROR(description <<
" the volatility should change when the reference date is changed !");
if (!referenceDateFloating && (initialVol != newVol))
BOOST_ERROR(description <<
" the volatility should not change when the reference date is changed !");
// test market data change...
if (mktDataFloating){
Volatility initialVolatility = atm.volsHandle[0][0]->value();
ext::dynamic_pointer_cast<SimpleQuote>(
atm.volsHandle[0][0].currentLink())->setValue(10);
newVol = vol->volatility(
referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
ext::dynamic_pointer_cast<SimpleQuote>(
atm.volsHandle[0][0].currentLink())
->setValue(initialVolatility);
if (initialVol == newVol)
BOOST_ERROR(description << " the volatility should change when"
" the market data is changed !");
}
}
void makeCoherenceTest(
const std::string& description,
const ext::shared_ptr<SwaptionVolatilityDiscrete>& vol) {
for (Size i=0; i<atm.tenors.options.size(); ++i) {
Date optionDate =
vol->optionDateFromTenor(atm.tenors.options[i]);
if (optionDate!=vol->optionDates()[i])
BOOST_FAIL("optionDateFromTenor failure for " <<
description << ":"
"\n option tenor: " << atm.tenors.options[i] <<
"\nactual option date : " << optionDate <<
"\n exp. option date : " << vol->optionDates()[i]);
Time optionTime = vol->timeFromReference(optionDate);
if (!close(optionTime,vol->optionTimes()[i]))
BOOST_FAIL("timeFromReference failure for " <<
description << ":"
"\n option tenor: " << atm.tenors.options[i] <<
"\n option date : " << optionDate <<
"\nactual option time : " << optionTime <<
"\n exp. option time : " << vol->optionTimes()[i]);
}
ext::shared_ptr<BlackSwaptionEngine> engine(new
BlackSwaptionEngine(termStructure,
Handle<SwaptionVolatilityStructure>(vol)));
for (Size j=0; j<atm.tenors.swaps.size(); j++) {
Time swapLength = vol->swapLength(atm.tenors.swaps[j]);
if (!close(swapLength,years(atm.tenors.swaps[j])))
BOOST_FAIL("convertSwapTenor failure for " <<
description << ":"
"\n swap tenor : " << atm.tenors.swaps[j] <<
"\n actual swap length: " << swapLength <<
"\n exp. swap length: " << years(atm.tenors.swaps[j]));
ext::shared_ptr<SwapIndex> swapIndex(new
EuriborSwapIsdaFixA(atm.tenors.swaps[j], termStructure));
for (Size i=0; i<atm.tenors.options.size(); ++i) {
Real error, tolerance = 1.0e-16;
Volatility actVol, expVol = atm.vols[i][j];
actVol = vol->volatility(atm.tenors.options[i],
atm.tenors.swaps[j], 0.05, true);
error = std::abs(expVol-actVol);
if (error>tolerance)
BOOST_FAIL("recovery of atm vols failed for " <<
description << ":"
"\noption tenor = " << atm.tenors.options[i] <<
"\n swap length = " << atm.tenors.swaps[j] <<
"\nexpected vol = " << io::volatility(expVol) <<
"\n actual vol = " << io::volatility(actVol) <<
"\n error = " << io::volatility(error) <<
"\n tolerance = " << tolerance);
Date optionDate =
vol->optionDateFromTenor(atm.tenors.options[i]);
actVol = vol->volatility(optionDate,
atm.tenors.swaps[j], 0.05, true);
error = std::abs(expVol-actVol);
if (error>tolerance)
BOOST_FAIL(
"recovery of atm vols failed for " <<
description << ":"
"\noption tenor: " << atm.tenors.options[i] <<
"\noption date : " << optionDate <<
"\n swap tenor: " << atm.tenors.swaps[j] <<
"\n exp. vol: " << io::volatility(expVol) <<
"\n actual vol: " << io::volatility(actVol) <<
"\n error: " << io::volatility(error) <<
"\n tolerance: " << tolerance);
Time optionTime = vol->timeFromReference(optionDate);
actVol = vol->volatility(optionTime, swapLength,
0.05, true);
error = std::abs(expVol-actVol);
if (error>tolerance)
BOOST_FAIL("recovery of atm vols failed for " <<
description << ":"
"\noption tenor: " << atm.tenors.options[i] <<
"\noption time : " << optionTime <<
"\n swap tenor: " << atm.tenors.swaps[j] <<
"\n swap length: " << swapLength <<
"\n exp. vol: " << io::volatility(expVol) <<
"\n actual vol: " << io::volatility(actVol) <<
"\n error: " << io::volatility(error) <<
"\n tolerance: " << tolerance);
// ATM swaption
Swaption swaption =
MakeSwaption(swapIndex, atm.tenors.options[i])
.withPricingEngine(engine);
Date exerciseDate = swaption.exercise()->dates().front();
if (exerciseDate!=vol->optionDates()[i])
BOOST_FAIL("\noptionDateFromTenor mismatch for " <<
description << ":"
"\n option tenor: " << atm.tenors.options[i] <<
"\nactual option date: " << exerciseDate <<
"\n exp. option date: " << vol->optionDates()[i]);
Date start = swaption.underlying()->startDate();
Date end = swaption.underlying()->maturityDate();
Time swapLength2 = vol->swapLength(start, end);
if (!close(swapLength2,swapLength))
BOOST_FAIL("\nswapLength failure for " <<
description << ":"
"\n exp. swap length: " << swapLength <<
"\n actual swap length: " << swapLength2 <<
"\n swap tenor : " << atm.tenors.swaps[j] <<
"\n swap index tenor : " << swapIndex->tenor() <<
"\n option date: " << exerciseDate <<
"\n start date: " << start <<
"\n maturity date: " << end
);
Real npv = swaption.NPV();
actVol = swaption.impliedVolatility(npv, termStructure,
expVol*0.98, 1e-6,
100, 10.0e-7, 4.0,
ShiftedLognormal, 0.0);
error = std::abs(expVol-actVol);
Real tolerance2 = 0.000001;
if (error>tolerance2)
BOOST_FAIL("recovery of atm vols through BlackSwaptionEngine failed for " <<
description << ":"
"\noption tenor: " << atm.tenors.options[i] <<
"\noption time : " << optionTime <<
"\n swap tenor: " << atm.tenors.swaps[j] <<
"\n swap length: " << swapLength <<
"\n exp. vol: " << io::volatility(expVol) <<
"\n actual vol: " << io::volatility(actVol) <<
"\n error: " << io::volatility(error) <<
"\n tolerance: " << tolerance2);
}
}
}
};
BOOST_AUTO_TEST_CASE(testSwaptionVolMatrixObservability) {
BOOST_TEST_MESSAGE("Testing swaption volatility matrix observability...");
CommonVars vars;
ext::shared_ptr<SwaptionVolatilityMatrix> vol;
std::string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = ext::make_shared<SwaptionVolatilityMatrix>(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, true, true);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = ext::make_shared<SwaptionVolatilityMatrix>(Settings::instance().evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, true, false);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = ext::make_shared<SwaptionVolatilityMatrix>(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, false, true);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = ext::make_shared<SwaptionVolatilityMatrix>(Settings::instance().evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, false, false);
// fixed reference date and fixed market data, option dates
//SwaptionVolatilityMatrix(const Date& referenceDate,
// const std::vector<Date>& exerciseDates,
// const std::vector<Period>& swapTenors,
// const Matrix& volatilities,
// const DayCounter& dayCounter);
}
BOOST_AUTO_TEST_CASE(testSwaptionVolMatrixCoherence) {
BOOST_TEST_MESSAGE("Testing swaption volatility matrix...");
CommonVars vars;
ext::shared_ptr<SwaptionVolatilityMatrix> vol;
std::string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = ext::make_shared<SwaptionVolatilityMatrix>(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = ext::make_shared<SwaptionVolatilityMatrix>(Settings::instance().evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = ext::make_shared<SwaptionVolatilityMatrix>(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = ext::make_shared<SwaptionVolatilityMatrix>(Settings::instance().evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
|
