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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2022 Marcin Rybacki
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
<https://www.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/time/calendars/target.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/instruments/bondforward.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(BondForwardTests)
struct CommonVars {
// common data
Date today;
RelinkableHandle<YieldTermStructure> curveHandle;
// setup
CommonVars() {
today = Date(7, March, 2022);
Settings::instance().evaluationDate() = today;
curveHandle.linkTo(flatRate(today, 0.0004977, Actual365Fixed()));
}
};
ext::shared_ptr<Bond> buildBond(const Date &issue,
const Date &maturity,
Rate cpn) {
Schedule sch(issue, maturity, Period(Annual), TARGET(), Following, Following,
DateGeneration::Backward, false);
return ext::make_shared<FixedRateBond>(2, 1.e5, sch, std::vector<Rate>(1, cpn),
ActualActual(ActualActual::ISDA));
}
ext::shared_ptr<BondForward> buildBondForward(const ext::shared_ptr<Bond>& underlying,
const Handle<YieldTermStructure> &handle,
const Date& delivery,
Position::Type type) {
auto valueDt = handle->referenceDate();
return ext::make_shared<BondForward>(valueDt, delivery, type, 0.0, 2,
ActualActual(ActualActual::ISDA),
TARGET(), Following, underlying, handle, handle);
}
BOOST_AUTO_TEST_CASE(testFuturesPriceReplication) {
BOOST_TEST_MESSAGE("Testing futures price replication...");
CommonVars vars;
Real tolerance = 1.0e-2;
Date issue(15, August, 2015);
Date maturity(15, August, 2046);
Rate cpn = 0.025;
auto bnd = buildBond(issue, maturity, cpn);
auto pricer = ext::make_shared<DiscountingBondEngine>(vars.curveHandle);
bnd->setPricingEngine(pricer);
Date delivery(10, March, 2022);
Real conversionFactor = 0.76871;
auto bndFwd = buildBondForward(bnd, vars.curveHandle, delivery, Position::Long);
auto futuresPrice = bndFwd->cleanForwardPrice() / conversionFactor;
auto expectedFuturesPrice = 207.47;
if (std::fabs(futuresPrice - expectedFuturesPrice) > tolerance)
BOOST_ERROR("unable to replicate bond futures price\n"
<< std::setprecision(5) << " calculated: " << futuresPrice << "\n"
<< " expected: " << expectedFuturesPrice << "\n");
}
BOOST_AUTO_TEST_CASE(testCleanForwardPriceReplication) {
BOOST_TEST_MESSAGE("Testing clean forward price replication...");
CommonVars vars;
Real tolerance = 1.0e-2;
Date issue(15, August, 2015);
Date maturity(15, August, 2046);
Rate cpn = 0.025;
auto bnd = buildBond(issue, maturity, cpn);
auto pricer = ext::make_shared<DiscountingBondEngine>(vars.curveHandle);
bnd->setPricingEngine(pricer);
Date delivery(10, March, 2022);
auto bndFwd = buildBondForward(bnd, vars.curveHandle, delivery, Position::Long);
auto fwdCleanPrice = bndFwd->cleanForwardPrice();
auto expectedFwdCleanPrice = bndFwd->forwardValue() - bnd->accruedAmount(delivery);
if (std::fabs(fwdCleanPrice - expectedFwdCleanPrice) > tolerance)
BOOST_ERROR("unable to replicate clean forward price\n"
<< std::setprecision(5) << " calculated: " << fwdCleanPrice << "\n"
<< " expected: " << expectedFwdCleanPrice << "\n");
}
BOOST_AUTO_TEST_CASE(testThatForwardValueIsEqualToSpotValueIfNoIncome) {
BOOST_TEST_MESSAGE(
"Testing that forward value is equal to spot value if no income...");
CommonVars vars;
Real tolerance = 1.0e-2;
Date issue(15, August, 2015);
Date maturity(15, August, 2046);
Rate cpn = 0.025;
auto bnd = buildBond(issue, maturity, cpn);
auto pricer = ext::make_shared<DiscountingBondEngine>(vars.curveHandle);
bnd->setPricingEngine(pricer);
Date delivery(10, March, 2022);
auto bndFwd = buildBondForward(bnd, vars.curveHandle, delivery, Position::Long);
auto bndFwdValue = bndFwd->forwardValue();
auto underlyingDirtyPrice = bnd->dirtyPrice();
if (std::fabs(bndFwdValue - underlyingDirtyPrice) > tolerance)
BOOST_ERROR("unable to match the dirty price \n"
<< std::setprecision(5) << " bond forward: " << bndFwdValue << "\n"
<< " underlying bond: " << underlyingDirtyPrice << "\n");
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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