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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 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
<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/processes/gsrprocess.hpp>
#include <ql/models/shortrate/onefactormodels/gsr.hpp>
#include <ql/instruments/nonstandardswap.hpp>
#include <ql/instruments/nonstandardswaption.hpp>
#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>
#include <ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp>
#include <ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp>
#include <ql/indexes/swap/euriborswap.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/math/optimization/levenbergmarquardt.hpp>
using namespace QuantLib;
using boost::unit_test_framework::test_suite;
using std::fabs;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(GsrTests)
BOOST_AUTO_TEST_CASE(testGsrProcess) {
BOOST_TEST_MESSAGE("Testing GSR process...");
Date refDate = Settings::instance().evaluationDate();
// constant reversion, constant volatility, test conditional expectation and
// variance against
// existing HullWhiteForwardProcess
// technically we test two representations of the same constant reversion
// and volatility structure,
// namely with and without step dates
Real tol = 1E-8;
Real reversion = 0.01;
Real modelvol = 0.01;
Handle<YieldTermStructure> yts0(ext::shared_ptr<YieldTermStructure>(
new FlatForward(0, TARGET(), 0.00, Actual365Fixed())));
std::vector<Date> stepDates0;
std::vector<Real> vols0(1, modelvol);
std::vector<Real> reversions0(1, reversion);
std::vector<Date> stepDates1;
for (Size i = 1; i < 60; i++)
stepDates1.push_back(refDate + (i * 6 * Months));
std::vector<Real> vols1(stepDates1.size() + 1, modelvol);
std::vector<Real> reversions1(stepDates1.size() + 1, reversion);
Real T = 10.0;
do {
ext::shared_ptr<Gsr> model(
new Gsr(yts0, stepDates0, vols0, reversions0, T));
ext::shared_ptr<StochasticProcess1D> gsrProcess =
model->stateProcess();
ext::shared_ptr<Gsr> model2(
new Gsr(yts0, stepDates1, vols1, reversions1, T));
ext::shared_ptr<StochasticProcess1D> gsrProcess2 =
model2->stateProcess();
ext::shared_ptr<HullWhiteForwardProcess> hwProcess(
new HullWhiteForwardProcess(yts0, reversion, modelvol));
hwProcess->setForwardMeasureTime(T);
Real w, t, xw, hwVal, gsrVal, gsr2Val;
t = 0.5;
do {
w = 0.0;
do {
xw = -0.1;
do {
hwVal = hwProcess->expectation(w, xw, t - w);
gsrVal = gsrProcess->expectation(w, xw, t - w);
gsr2Val = gsrProcess2->expectation(w, xw, t - w);
if (fabs(hwVal - gsrVal) > tol)
BOOST_ERROR(
"Expectation E^{T="
<< T << "}(x(" << t << ") | x(" << w << ") = " << xw
<< " is different in HullWhiteProcess(" << hwVal
<< ") and GsrProcess (" << gsrVal << ")");
if (fabs(hwVal - gsr2Val) > tol)
BOOST_ERROR(
"Expectation E^{T="
<< T << "}(x(" << t << ") | x(" << w << ") = " << xw
<< " is different in HullWhiteProcess(" << hwVal
<< ") and GsrProcess2 (" << gsr2Val << ")");
hwVal = hwProcess->variance(w, xw, t - w);
gsrVal = gsrProcess->variance(w, xw, t - w);
gsr2Val = gsrProcess2->variance(w, xw, t - w);
if (fabs(hwVal - gsrVal) > tol)
BOOST_ERROR("Variance V((x("
<< t << ") | x(" << w << ") = " << xw
<< " is different in HullWhiteProcess("
<< hwVal << ") and GsrProcess (" << gsrVal
<< ")");
if (fabs(hwVal - gsr2Val) > tol)
BOOST_ERROR("Variance V((x("
<< t << ") | x(" << w << ") = " << xw
<< " is different in HullWhiteProcess("
<< hwVal << ") and GsrProcess2 (" << gsr2Val
<< ")");
xw += 0.01;
} while (xw <= 0.1);
w += t / 5.0;
} while (w <= t - 0.1);
t += T / 20.0;
} while (t <= T - 0.1);
T += 10.0;
} while (T <= 30.0);
// time dependent reversion and volatility (test cases to be added)
Array times(2);
Array vols(3);
Array reversions(3);
times[0] = 1.0;
times[1] = 2.0;
vols[0] = 0.2;
vols[1] = 0.3;
vols[2] = 0.4;
reversions[0] = 0.50;
reversions[1] = 0.80;
reversions[2] = 1.30;
GsrProcess p(times, vols, reversions);
p.setForwardMeasureTime(10.0);
// add more test cases here ...
}
BOOST_AUTO_TEST_CASE(testGsrModel) {
BOOST_TEST_MESSAGE("Testing GSR model...");
Date refDate = Settings::instance().evaluationDate();
Real modelvol = 0.01;
Real reversion = 0.01;
std::vector<Date> stepDates; // no step dates
std::vector<Real> vols(1, modelvol);
std::vector<Real> reversions(1, reversion);
std::vector<Date> stepDates1; // artificial step dates (should yield the
// same result)
for (Size i = 1; i < 60; i++)
stepDates1.push_back(refDate + (i * 6 * Months));
std::vector<Real> vols1(stepDates1.size() + 1, modelvol);
std::vector<Real> reversions1(stepDates1.size() + 1, reversion);
Handle<YieldTermStructure> yts(ext::shared_ptr<YieldTermStructure>(
new FlatForward(0, TARGET(), 0.03, Actual365Fixed())));
ext::shared_ptr<Gsr> model(
new Gsr(yts, stepDates, vols, reversions, 50.0));
ext::shared_ptr<Gsr> model2(
new Gsr(yts, stepDates1, vols1, reversions1, 50.0));
ext::shared_ptr<HullWhite> hw(new HullWhite(yts, reversion, modelvol));
// test zerobond prices against existing HullWhite model
// technically we test two representations of the same constant reversion
// and volatility structure,
// namely with and without step dates
Real tol0 = 1E-8;
Real w, t, xw;
w = 0.1;
do {
t = w + 0.1;
do {
xw = -0.10;
do {
Real yw =
(xw - model->stateProcess()->expectation(0.0, 0.0, w)) /
model->stateProcess()->stdDeviation(0.0, 0.0, w);
Real rw = xw + 0.03; // instantaneous forward is 0.03
Real gsrVal = model->zerobond(t, w, yw);
Real gsr2Val = model2->zerobond(t, w, yw);
Real hwVal = hw->discountBond(w, t, rw);
if (fabs(gsrVal - hwVal) > tol0)
BOOST_ERROR("Zerobond P("
<< w << "," << t << " | x=" << xw << " / y="
<< yw << ") is different in HullWhite ("
<< hwVal << ") and Gsr (" << gsrVal << ")");
if (fabs(gsr2Val - hwVal) > tol0)
BOOST_ERROR("Zerobond P("
<< w << "," << t << " | x=" << xw << " / y="
<< yw << ") is different in HullWhite ("
<< hwVal << ") and Gsr2 (" << gsr2Val << ")");
xw += 0.01;
} while (xw <= 0.10);
t += 2.5;
} while (t <= 50.0);
w += 5.0;
} while (w <= 50.0);
// test standard, nonstandard and jamshidian engine against existing Hull
// White Jamshidian engine
Date expiry = TARGET().advance(refDate, 5 * Years);
Period tenor = 10 * Years;
ext::shared_ptr<SwapIndex> swpIdx(new EuriborSwapIsdaFixA(tenor, yts));
Real forward = swpIdx->fixing(expiry);
ext::shared_ptr<VanillaSwap> underlying = swpIdx->underlyingSwap(expiry);
ext::shared_ptr<VanillaSwap> underlyingFixed =
MakeVanillaSwap(10 * Years, swpIdx->iborIndex(), forward)
.withEffectiveDate(swpIdx->valueDate(expiry))
.withFixedLegCalendar(swpIdx->fixingCalendar())
.withFixedLegDayCount(swpIdx->dayCounter())
.withFixedLegTenor(swpIdx->fixedLegTenor())
.withFixedLegConvention(swpIdx->fixedLegConvention())
.withFixedLegTerminationDateConvention(
swpIdx->fixedLegConvention());
ext::shared_ptr<Exercise> exercise(new EuropeanExercise(expiry));
ext::shared_ptr<Swaption> stdswaption(
new Swaption(underlyingFixed, exercise));
ext::shared_ptr<NonstandardSwaption> nonstdswaption(
new NonstandardSwaption(*stdswaption));
stdswaption->setPricingEngine(ext::shared_ptr<PricingEngine>(
new JamshidianSwaptionEngine(hw, yts)));
Real HwJamNpv = stdswaption->NPV();
nonstdswaption->setPricingEngine(ext::shared_ptr<PricingEngine>(
new Gaussian1dNonstandardSwaptionEngine(model, 64, 7.0, true, false)));
stdswaption->setPricingEngine(ext::shared_ptr<PricingEngine>(
new Gaussian1dSwaptionEngine(model, 64, 7.0, true, false)));
Real GsrNonStdNpv = nonstdswaption->NPV();
Real GsrStdNpv = stdswaption->NPV();
stdswaption->setPricingEngine(ext::shared_ptr<PricingEngine>(
new Gaussian1dJamshidianSwaptionEngine(model)));
Real GsrJamNpv = stdswaption->NPV();
if (fabs(HwJamNpv - GsrNonStdNpv) > 0.00005)
BOOST_ERROR(
"Jamshidian HW NPV ("
<< HwJamNpv
<< ") deviates from Gaussian1dNonstandardSwaptionEngine NPV ("
<< GsrNonStdNpv << ")");
if (fabs(HwJamNpv - GsrStdNpv) > 0.00005)
BOOST_ERROR("Jamshidian HW NPV ("
<< HwJamNpv
<< ") deviates from Gaussian1dSwaptionEngine NPV ("
<< GsrStdNpv << ")");
if (fabs(HwJamNpv - GsrJamNpv) > 0.00005)
BOOST_ERROR("Jamshidian HW NPV ("
<< HwJamNpv
<< ") deviates from Gaussian1dJamshidianEngine NPV ("
<< GsrJamNpv << ")");
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
|
