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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Chris Kenyon
Copyright (C) 2012 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
<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/indexes/inflation/ukrpi.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/indexes/ibor/gbplibor.hpp>
#include <ql/termstructures/inflation/inflationhelpers.hpp>
#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>
#include <ql/cashflows/indexedcashflow.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/instruments/zerocouponinflationswap.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/cashflows/cpicoupon.hpp>
#include <ql/cashflows/cpicouponpricer.hpp>
#include <ql/instruments/cpiswap.hpp>
#include <ql/instruments/bonds/cpibond.hpp>
#include <ql/cashflows/cashflows.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(InflationCPIBondTests)
struct Datum {
Date date;
Rate rate;
};
typedef BootstrapHelper<ZeroInflationTermStructure> Helper;
std::vector<ext::shared_ptr<Helper> > makeHelpers(
const std::vector<Datum>& iiData,
const ext::shared_ptr<ZeroInflationIndex>& ii,
const Period& observationLag,
const Calendar& calendar,
const BusinessDayConvention& bdc,
const DayCounter& dc) {
std::vector<ext::shared_ptr<Helper> > instruments;
for (Datum datum : iiData) {
Date maturity = datum.date;
Handle<Quote> quote(ext::shared_ptr<Quote>(
new SimpleQuote(datum.rate/100.0)));
auto h = ext::make_shared<ZeroCouponInflationSwapHelper>(
quote, observationLag, maturity, calendar, bdc, dc, ii, CPI::AsIndex);
instruments.push_back(h);
}
return instruments;
}
struct CommonVars { // NOLINT(cppcoreguidelines-special-member-functions)
Calendar calendar;
BusinessDayConvention convention;
Date evaluationDate;
Period observationLag;
DayCounter dayCounter;
ext::shared_ptr<UKRPI> ii;
RelinkableHandle<YieldTermStructure> yTS;
RelinkableHandle<ZeroInflationTermStructure> cpiTS;
// setup
CommonVars() {
// usual setup
calendar = UnitedKingdom();
convention = ModifiedFollowing;
Date today(25, November, 2009);
evaluationDate = calendar.adjust(today);
Settings::instance().evaluationDate() = evaluationDate;
dayCounter = ActualActual(ActualActual::ISDA);
ii = ext::make_shared<UKRPI>(cpiTS);
Schedule rpiSchedule =
MakeSchedule()
.from(Date(1, July, 2007))
.to(Date(1, September, 2009))
.withFrequency(Monthly);
Real fixData[] = {
206.1, 207.3, 208.0, 208.9, 209.7, 210.9,
209.8, 211.4, 212.1, 214.0, 215.1, 216.8,
216.5, 217.2, 218.4, 217.7, 216.0, 212.9,
210.1, 211.4, 211.3, 211.5, 212.8, 213.4,
213.4, 213.4, 214.4
};
for (Size i=0; i<std::size(fixData); ++i) {
ii->addFixing(rpiSchedule[i], fixData[i]);
}
yTS.linkTo(ext::shared_ptr<YieldTermStructure>(
new FlatForward(evaluationDate, 0.05, dayCounter)));
// now build the zero inflation curve
observationLag = Period(2,Months);
std::vector<Datum> zciisData = {
{ Date(25, November, 2010), 3.0495 },
{ Date(25, November, 2011), 2.93 },
{ Date(26, November, 2012), 2.9795 },
{ Date(25, November, 2013), 3.029 },
{ Date(25, November, 2014), 3.1425 },
{ Date(25, November, 2015), 3.211 },
{ Date(25, November, 2016), 3.2675 },
{ Date(25, November, 2017), 3.3625 },
{ Date(25, November, 2018), 3.405 },
{ Date(25, November, 2019), 3.48 },
{ Date(25, November, 2021), 3.576 },
{ Date(25, November, 2024), 3.649 },
{ Date(26, November, 2029), 3.751 },
{ Date(27, November, 2034), 3.77225 },
{ Date(25, November, 2039), 3.77 },
{ Date(25, November, 2049), 3.734 },
{ Date(25, November, 2059), 3.714 },
};
std::vector<ext::shared_ptr<Helper> > helpers =
makeHelpers(zciisData, ii,
observationLag, calendar, convention, dayCounter);
Date baseDate = ii->lastFixingDate();
cpiTS.linkTo(ext::make_shared<PiecewiseZeroInflationCurve<Linear>>(
evaluationDate, baseDate, ii->frequency(), dayCounter, helpers));
}
// teardown
~CommonVars() {
// break circular references and allow curves to be destroyed
cpiTS.reset();
}
};
BOOST_AUTO_TEST_CASE(testCleanPrice) {
BOOST_TEST_MESSAGE("Checking cached pricers for CPI bond...");
CommonVars common;
Real notional = 1000000.0;
std::vector<Rate> fixedRates(1, 0.1);
DayCounter fixedDayCount = Actual365Fixed();
BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
Calendar fixedPaymentCalendar = UnitedKingdom();
ext::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
Period contractObservationLag = Period(3,Months);
CPI::InterpolationType observationInterpolation = CPI::Flat;
Natural settlementDays = 3;
Real baseCPI = 206.1;
// set the schedules
Date startDate(2, October, 2007);
Date endDate(2, October, 2052);
Schedule fixedSchedule =
MakeSchedule().from(startDate).to(endDate)
.withTenor(Period(6,Months))
.withCalendar(UnitedKingdom())
.withConvention(Unadjusted)
.backwards();
CPIBond bond(settlementDays, notional,
baseCPI, contractObservationLag, fixedIndex,
observationInterpolation, fixedSchedule,
fixedRates, fixedDayCount, fixedPaymentConvention);
auto engine = ext::make_shared<DiscountingBondEngine>(common.yTS);
bond.setPricingEngine(engine);
Real storedPrice = 396.45920973;
Real calculated = bond.dirtyPrice();
Real tolerance = 1.0e-8;
if (std::fabs(calculated-storedPrice) > tolerance) {
BOOST_FAIL("failed to reproduce expected CPI-bond dirty price"
<< std::fixed << std::setprecision(12)
<< "\n expected: " << storedPrice
<< "\n calculated: " << calculated);
}
storedPrice = 394.78551761;
calculated = bond.cleanPrice();
if (std::fabs(calculated-storedPrice) > tolerance) {
BOOST_FAIL("failed to reproduce expected CPI-bond clean price"
<< std::fixed << std::setprecision(12)
<< "\n expected: " << storedPrice
<< "\n calculated: " << calculated);
}
}
BOOST_AUTO_TEST_CASE(testCPILegWithoutBaseCPI) {
BOOST_TEST_MESSAGE("Checking CPI leg with or without explicit base CPI fixing...");
CommonVars common;
Real notional = 1000000.0;
std::vector<Rate> fixedRates(1, 0.1);
DayCounter fixedDayCount = Actual365Fixed();
BusinessDayConvention fixedPaymentConvention = ModifiedFollowing;
Calendar fixedPaymentCalendar = UnitedKingdom();
ext::shared_ptr<ZeroInflationIndex> fixedIndex = common.ii;
Period contractObservationLag = Period(3, Months);
CPI::InterpolationType observationInterpolation = CPI::Flat;
Natural settlementDays = 3;
bool growthOnly = false;
Real baseCPI = 206.1;
// set the schedules
Date baseDate(1, July, 2007);
Date startDate(2, October, 2007);
Date endDate(2, October, 2052);
Schedule fixedSchedule = MakeSchedule()
.from(startDate)
.to(endDate)
.withTenor(Period(6, Months))
.withCalendar(fixedPaymentCalendar)
.withConvention(Unadjusted)
.backwards();
Leg legWithBaseDate = CPILeg(fixedSchedule, fixedIndex, Null<Real>(), contractObservationLag)
.withSubtractInflationNominal(growthOnly)
.withNotionals(notional)
.withBaseDate(baseDate)
.withFixedRates(fixedRates)
.withPaymentDayCounter(fixedDayCount)
.withObservationInterpolation(observationInterpolation)
.withPaymentAdjustment(fixedPaymentConvention)
.withPaymentCalendar(fixedPaymentCalendar);
Leg legWithBaseCPI = CPILeg(fixedSchedule, fixedIndex, baseCPI, contractObservationLag)
.withSubtractInflationNominal(growthOnly)
.withNotionals(notional)
.withFixedRates(fixedRates)
.withPaymentDayCounter(fixedDayCount)
.withObservationInterpolation(observationInterpolation)
.withPaymentAdjustment(fixedPaymentConvention)
.withPaymentCalendar(fixedPaymentCalendar);
Date settlementDate = fixedPaymentCalendar.advance(common.evaluationDate, settlementDays * Days,
fixedPaymentConvention);
Real npvWithBaseDate =
CashFlows::npv(legWithBaseDate, **common.yTS, false, settlementDate, settlementDate);
Real accruedsBaseDate = CashFlows::accruedAmount(legWithBaseDate, false, settlementDate);
Real npvWithBaseCPI =
CashFlows::npv(legWithBaseCPI, **common.yTS, false, settlementDate, settlementDate);
Real accruedsBaseCPI = CashFlows::accruedAmount(legWithBaseCPI, false, settlementDate);
Real cleanPriceWithBaseDate = (npvWithBaseDate - accruedsBaseDate) * 100. / notional;
Real cleanPriceWithBaseCPI = (npvWithBaseCPI - accruedsBaseCPI) * 100. / notional;
Real tolerance = 1.0e-8;
if (std::fabs(cleanPriceWithBaseDate - cleanPriceWithBaseCPI) > tolerance) {
BOOST_FAIL("prices of CPI leg with base date and explicit base CPI fixing are not equal "
<< std::fixed << std::setprecision(12)
<< "\n clean npv of leg with baseDate: " << cleanPriceWithBaseDate
<< "\n clean npv of leg with explicit baseCPI: " << cleanPriceWithBaseCPI);
}
// Compare to expected price
Real storedPrice = 394.78551761;
if (std::fabs(cleanPriceWithBaseDate - storedPrice) > tolerance) {
BOOST_FAIL("failed to reproduce expected CPI-bond clean price"
<< std::fixed << std::setprecision(12) << "\n expected: " << storedPrice
<< "\n calculated: " << cleanPriceWithBaseDate);
}
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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