/
piecewiseyieldcurve.cpp
1565 lines (1290 loc) · 61.6 KB
/
piecewiseyieldcurve.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005, 2006, 2007, 2008, 2009, 2017 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 "piecewiseyieldcurve.hpp"
#include "utilities.hpp"
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/indexes/bmaindex.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/indexes/ibor/jpylibor.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/indexes/indexmanager.hpp>
#include <ql/instruments/forwardrateagreement.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/interpolations/backwardflatinterpolation.hpp>
#include <ql/math/interpolations/convexmonotoneinterpolation.hpp>
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/globalbootstrap.hpp>
#include <ql/termstructures/yield/bondhelpers.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/time/asx.hpp>
#include <ql/time/calendars/japan.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/weekendsonly.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/time/imm.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <iomanip>
#include <map>
#include <string>
#include <utility>
#include <vector>
using namespace QuantLib;
using namespace boost::unit_test_framework;
using std::map;
using std::vector;
using std::string;
namespace piecewise_yield_curve_test {
struct Datum {
Integer n;
TimeUnit units;
Rate rate;
};
struct BondDatum {
Integer n;
TimeUnit units;
Integer length;
Frequency frequency;
Rate coupon;
Real price;
};
Datum depositData[] = {
{ 1, Weeks, 4.559 },
{ 1, Months, 4.581 },
{ 2, Months, 4.573 },
{ 3, Months, 4.557 },
{ 6, Months, 4.496 },
{ 9, Months, 4.490 }
};
Datum fraData[] = {
{ 1, Months, 4.581 },
{ 2, Months, 4.573 },
{ 3, Months, 4.557 },
{ 6, Months, 4.496 },
{ 9, Months, 4.490 }
};
Datum immFutData[] = {
{ 1, Months, 4.581 },
{ 2, Months, 4.573 },
{ 3, Months, 4.557 }
};
Datum asxFutData[] = {
{ 1, Months, 4.581 },
{ 2, Months, 4.573 },
{ 3, Months, 4.557 }
};
Datum swapData[] = {
{ 1, Years, 4.54 },
{ 2, Years, 4.63 },
{ 3, Years, 4.75 },
{ 4, Years, 4.86 },
{ 5, Years, 4.99 },
{ 6, Years, 5.11 },
{ 7, Years, 5.23 },
{ 8, Years, 5.33 },
{ 9, Years, 5.41 },
{ 10, Years, 5.47 },
{ 12, Years, 5.60 },
{ 15, Years, 5.75 },
{ 20, Years, 5.89 },
{ 25, Years, 5.95 },
{ 30, Years, 5.96 }
};
BondDatum bondData[] = {
{ 6, Months, 5, Semiannual, 4.75, 101.320 },
{ 1, Years, 3, Semiannual, 2.75, 100.590 },
{ 2, Years, 5, Semiannual, 5.00, 105.650 },
{ 5, Years, 11, Semiannual, 5.50, 113.610 },
{ 10, Years, 11, Semiannual, 3.75, 104.070 }
};
Datum bmaData[] = {
{ 1, Years, 67.56 },
{ 2, Years, 68.00 },
{ 3, Years, 68.25 },
{ 4, Years, 68.50 },
{ 5, Years, 68.81 },
{ 7, Years, 69.50 },
{ 10, Years, 70.44 },
{ 15, Years, 71.69 },
{ 20, Years, 72.69 },
{ 30, Years, 73.81 }
};
struct CommonVars {
// global variables
Calendar calendar;
Natural settlementDays;
Date today, settlement;
BusinessDayConvention fixedLegConvention;
Frequency fixedLegFrequency;
DayCounter fixedLegDayCounter;
Natural bondSettlementDays;
DayCounter bondDayCounter;
BusinessDayConvention bondConvention;
Real bondRedemption;
Frequency bmaFrequency;
BusinessDayConvention bmaConvention;
DayCounter bmaDayCounter;
Size deposits, fras, immFuts, asxFuts, swaps, bonds, bmas;
std::vector<ext::shared_ptr<SimpleQuote> > rates, fraRates,
immFutPrices, asxFutPrices,
prices, fractions;
std::vector<ext::shared_ptr<RateHelper> > instruments, fraHelpers,
immFutHelpers, asxFutHelpers,
bondHelpers, bmaHelpers;
std::vector<Schedule> schedules;
ext::shared_ptr<YieldTermStructure> termStructure;
// cleanup
SavedSettings backup;
IndexHistoryCleaner cleaner;
// setup
CommonVars() {
// data
calendar = TARGET();
settlementDays = 2;
today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
settlement = calendar.advance(today,settlementDays,Days);
fixedLegConvention = Unadjusted;
fixedLegFrequency = Annual;
fixedLegDayCounter = Thirty360(Thirty360::BondBasis);
bondSettlementDays = 3;
bondDayCounter = ActualActual(ActualActual::ISDA);
bondConvention = Following;
bondRedemption = 100.0;
bmaFrequency = Quarterly;
bmaConvention = Following;
bmaDayCounter = ActualActual(ActualActual::ISDA);
deposits = LENGTH(depositData);
fras = LENGTH(fraData);
immFuts = LENGTH(immFutData);
asxFuts = LENGTH(asxFutData);
swaps = LENGTH(swapData);
bonds = LENGTH(bondData);
bmas = LENGTH(bmaData);
// market elements
rates =
std::vector<ext::shared_ptr<SimpleQuote> >(deposits+swaps);
fraRates = std::vector<ext::shared_ptr<SimpleQuote> >(fras);
immFutPrices = std::vector<ext::shared_ptr<SimpleQuote> >(immFuts);
asxFutPrices = std::vector<ext::shared_ptr<SimpleQuote> >(asxFuts);
prices = std::vector<ext::shared_ptr<SimpleQuote> >(bonds);
fractions = std::vector<ext::shared_ptr<SimpleQuote> >(bmas);
for (Size i=0; i<deposits; i++) {
rates[i] = ext::make_shared<SimpleQuote>(
depositData[i].rate/100);
}
for (Size i=0; i<swaps; i++) {
rates[i+deposits] = ext::make_shared<SimpleQuote>(
swapData[i].rate/100);
}
for (Size i=0; i<fras; i++) {
fraRates[i] = ext::make_shared<SimpleQuote>(
fraData[i].rate/100);
}
for (Size i = 0; i<bonds; i++) {
prices[i] = ext::make_shared<SimpleQuote>(
bondData[i].price);
}
for (Size i = 0; i<immFuts; i++) {
immFutPrices[i] = ext::make_shared<SimpleQuote>(
100.0 - immFutData[i].rate);
}
for (Size i = 0; i<asxFuts; i++) {
asxFutPrices[i] = ext::make_shared<SimpleQuote>(
100.0 - asxFutData[i].rate);
}
for (Size i = 0; i<bmas; i++) {
fractions[i] = ext::make_shared<SimpleQuote>(
bmaData[i].rate/100);
}
// rate helpers
instruments =
std::vector<ext::shared_ptr<RateHelper> >(deposits+swaps);
fraHelpers = std::vector<ext::shared_ptr<RateHelper> >(fras);
immFutHelpers = std::vector<ext::shared_ptr<RateHelper> >(immFuts);
asxFutHelpers = std::vector<ext::shared_ptr<RateHelper> >();
bondHelpers = std::vector<ext::shared_ptr<RateHelper> >(bonds);
schedules = std::vector<Schedule>(bonds);
bmaHelpers = std::vector<ext::shared_ptr<RateHelper> >(bmas);
ext::shared_ptr<IborIndex> euribor6m(new Euribor6M);
for (Size i=0; i<deposits; i++) {
Handle<Quote> r(rates[i]);
instruments[i] = ext::shared_ptr<RateHelper>(new
DepositRateHelper(r,
ext::make_shared<Euribor>(
depositData[i].n*depositData[i].units)));
}
for (Size i=0; i<swaps; i++) {
Handle<Quote> r(rates[i+deposits]);
instruments[i+deposits] = ext::shared_ptr<RateHelper>(new
SwapRateHelper(r, swapData[i].n*swapData[i].units,
calendar,
fixedLegFrequency, fixedLegConvention,
fixedLegDayCounter, euribor6m));
}
#ifdef QL_USE_INDEXED_COUPON
bool useIndexedFra = false;
#else
bool useIndexedFra = true;
#endif
ext::shared_ptr<IborIndex> euribor3m(new Euribor3M());
for (Size i=0; i<fras; i++) {
Handle<Quote> r(fraRates[i]);
fraHelpers[i] = ext::shared_ptr<RateHelper>(new
FraRateHelper(r, fraData[i].n, fraData[i].n + 3,
euribor3m->fixingDays(),
euribor3m->fixingCalendar(),
euribor3m->businessDayConvention(),
euribor3m->endOfMonth(),
euribor3m->dayCounter(),
Pillar::LastRelevantDate,
Date(),
useIndexedFra));
}
Date immDate = Date();
for (Size i = 0; i<immFuts; i++) {
Handle<Quote> r(immFutPrices[i]);
immDate = IMM::nextDate(immDate, false);
// if the fixing is before the evaluation date, we
// just jump forward by one future maturity
if (euribor3m->fixingDate(immDate) <
Settings::instance().evaluationDate())
immDate = IMM::nextDate(immDate, false);
immFutHelpers[i] = ext::shared_ptr<RateHelper>(new
FuturesRateHelper(r, immDate, euribor3m, Handle<Quote>(),
Futures::IMM));
}
Date asxDate = Date();
for (Size i = 0; i<asxFuts; i++) {
Handle<Quote> r(asxFutPrices[i]);
asxDate = ASX::nextDate(asxDate, false);
// if the fixing is before the evaluation date, we
// just jump forward by one future maturity
if (euribor3m->fixingDate(asxDate) <
Settings::instance().evaluationDate())
asxDate = ASX::nextDate(asxDate, false);
if (euribor3m->fixingCalendar().isBusinessDay(asxDate))
asxFutHelpers.push_back(ext::shared_ptr<RateHelper>(new
FuturesRateHelper(r, asxDate, euribor3m,
Handle<Quote>(), Futures::ASX)));
}
for (Size i=0; i<bonds; i++) {
Handle<Quote> p(prices[i]);
Date maturity =
calendar.advance(today, bondData[i].n, bondData[i].units);
Date issue =
calendar.advance(maturity, -bondData[i].length, Years);
std::vector<Rate> coupons(1, bondData[i].coupon/100.0);
schedules[i] = Schedule(issue, maturity,
Period(bondData[i].frequency),
calendar,
bondConvention, bondConvention,
DateGeneration::Backward, false);
bondHelpers[i] = ext::shared_ptr<RateHelper>(new
FixedRateBondHelper(p,
bondSettlementDays,
bondRedemption, schedules[i],
coupons, bondDayCounter,
bondConvention,
bondRedemption, issue));
}
}
};
template <class T, class I, template<class C> class B>
void testCurveConsistency(CommonVars& vars,
const I& interpolator = I(),
Real tolerance = 1.0e-9) {
vars.termStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<T,I,B>(vars.settlement, vars.instruments,
Actual360(),
interpolator));
RelinkableHandle<YieldTermStructure> curveHandle;
curveHandle.linkTo(vars.termStructure);
// check deposits
for (Size i=0; i<vars.deposits; i++) {
Euribor index(depositData[i].n*depositData[i].units,curveHandle);
Rate expectedRate = depositData[i].rate/100,
estimatedRate = index.fixing(vars.today);
if (std::fabs(expectedRate-estimatedRate) > tolerance) {
BOOST_ERROR(
depositData[i].n << " "
<< (depositData[i].units == Weeks ? "week(s)" : "month(s)")
<< " deposit:"
<< std::setprecision(8)
<< "\n estimated rate: " << io::rate(estimatedRate)
<< "\n expected rate: " << io::rate(expectedRate));
}
}
// check swaps
ext::shared_ptr<IborIndex> euribor6m(new Euribor6M(curveHandle));
for (Size i=0; i<vars.swaps; i++) {
Period tenor = swapData[i].n*swapData[i].units;
VanillaSwap swap = MakeVanillaSwap(tenor, euribor6m, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention);
Rate expectedRate = swapData[i].rate/100,
estimatedRate = swap.fairRate();
Spread error = std::fabs(expectedRate-estimatedRate);
if (error > tolerance) {
BOOST_ERROR(
swapData[i].n << " year(s) swap:\n"
<< std::setprecision(8)
<< "\n estimated rate: " << io::rate(estimatedRate)
<< "\n expected rate: " << io::rate(expectedRate)
<< "\n error: " << io::rate(error)
<< "\n tolerance: " << io::rate(tolerance));
}
}
// check bonds
vars.termStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<T,I,B>(vars.settlement, vars.bondHelpers,
Actual360(),
interpolator));
curveHandle.linkTo(vars.termStructure);
for (Size i=0; i<vars.bonds; i++) {
Date maturity = vars.calendar.advance(vars.today,
bondData[i].n,
bondData[i].units);
Date issue = vars.calendar.advance(maturity,
-bondData[i].length,
Years);
std::vector<Rate> coupons(1, bondData[i].coupon/100.0);
FixedRateBond bond(vars.bondSettlementDays, 100.0,
vars.schedules[i], coupons,
vars.bondDayCounter, vars.bondConvention,
vars.bondRedemption, issue);
ext::shared_ptr<PricingEngine> bondEngine(
new DiscountingBondEngine(curveHandle));
bond.setPricingEngine(bondEngine);
Real expectedPrice = bondData[i].price,
estimatedPrice = bond.cleanPrice();
Real error = std::fabs(expectedPrice-estimatedPrice);
if (error > tolerance) {
BOOST_ERROR(io::ordinal(i+1) << " bond failure:" <<
std::setprecision(8) <<
"\n estimated price: " << estimatedPrice <<
"\n expected price: " << expectedPrice <<
"\n error: " << error);
}
}
// check FRA
vars.termStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<T,I>(vars.settlement, vars.fraHelpers,
Actual360(),
interpolator));
curveHandle.linkTo(vars.termStructure);
#ifdef QL_USE_INDEXED_COUPON
bool useIndexedFra = false;
#else
bool useIndexedFra = true;
#endif
ext::shared_ptr<IborIndex> euribor3m(new Euribor3M(curveHandle));
for (Size i=0; i<vars.fras; i++) {
Date start =
vars.calendar.advance(vars.settlement,
fraData[i].n,
fraData[i].units,
euribor3m->businessDayConvention(),
euribor3m->endOfMonth());
BOOST_REQUIRE(fraData[i].units == Months);
Date end = vars.calendar.advance(vars.settlement, 3 + fraData[i].n, Months,
euribor3m->businessDayConvention(),
euribor3m->endOfMonth());
ForwardRateAgreement fra(start, end, Position::Long,
fraData[i].rate/100, 100.0,
euribor3m, curveHandle,
useIndexedFra);
Rate expectedRate = fraData[i].rate/100,
estimatedRate = fra.forwardRate();
if (std::fabs(expectedRate-estimatedRate) > tolerance) {
BOOST_ERROR(io::ordinal(i+1) << " FRA failure:" <<
std::setprecision(8) <<
"\n estimated rate: " << io::rate(estimatedRate) <<
"\n expected rate: " << io::rate(expectedRate));
}
}
// check immFuts
vars.termStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<T, I>(vars.settlement, vars.immFutHelpers,
Actual360(),
interpolator));
curveHandle.linkTo(vars.termStructure);
Date immStart = Date();
for (Size i = 0; i<vars.immFuts; i++) {
immStart = IMM::nextDate(immStart, false);
// if the fixing is before the evaluation date, we
// just jump forward by one future maturity
if (euribor3m->fixingDate(immStart) <
Settings::instance().evaluationDate())
immStart = IMM::nextDate(immStart, false);
Date end = vars.calendar.advance(immStart, 3, Months,
euribor3m->businessDayConvention(),
euribor3m->endOfMonth());
ForwardRateAgreement immFut(immStart, end, Position::Long,
immFutData[i].rate / 100, 100.0,
euribor3m, curveHandle);
Rate expectedRate = immFutData[i].rate / 100,
estimatedRate = immFut.forwardRate();
if (std::fabs(expectedRate - estimatedRate) > tolerance) {
BOOST_ERROR(io::ordinal(i + 1) << " IMM futures failure:" <<
std::setprecision(8) <<
"\n estimated rate: " << io::rate(estimatedRate) <<
"\n expected rate: " << io::rate(expectedRate));
}
}
// check asxFuts
vars.termStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<T, I>(vars.settlement, vars.asxFutHelpers,
Actual360(),
interpolator));
curveHandle.linkTo(vars.termStructure);
Date asxStart = Date();
for (Size i = 0; i<vars.asxFuts; i++) {
asxStart = ASX::nextDate(asxStart, false);
// if the fixing is before the evaluation date, we
// just jump forward by one future maturity
if (euribor3m->fixingDate(asxStart) <
Settings::instance().evaluationDate())
asxStart = ASX::nextDate(asxStart, false);
if (euribor3m->fixingCalendar().isHoliday(asxStart))
continue;
Date end = vars.calendar.advance(asxStart, 3, Months,
euribor3m->businessDayConvention(),
euribor3m->endOfMonth());
ForwardRateAgreement asxFut(asxStart, end, Position::Long,
asxFutData[i].rate / 100, 100.0,
euribor3m, curveHandle);
Rate expectedRate = asxFutData[i].rate / 100,
estimatedRate = asxFut.forwardRate();
if (std::fabs(expectedRate - estimatedRate) > tolerance) {
BOOST_ERROR(io::ordinal(i + 1) << " ASX futures failure:" <<
std::setprecision(8) <<
"\n estimated rate: " << io::rate(estimatedRate) <<
"\n expected rate: " << io::rate(expectedRate));
}
}
// end checks
}
template <class T, class I, template<class C> class B>
void testBMACurveConsistency(CommonVars& vars,
const I& interpolator = I(),
Real tolerance = 1.0e-9) {
// re-adjust settlement
vars.calendar = JointCalendar(BMAIndex().fixingCalendar(),
USDLibor(3*Months).fixingCalendar(),
JoinHolidays);
vars.today = vars.calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = vars.today;
vars.settlement =
vars.calendar.advance(vars.today,vars.settlementDays,Days);
Handle<YieldTermStructure> riskFreeCurve(
ext::shared_ptr<YieldTermStructure>(
new FlatForward(vars.settlement, 0.04, Actual360())));
ext::shared_ptr<BMAIndex> bmaIndex(new BMAIndex);
ext::shared_ptr<IborIndex> liborIndex(
new USDLibor(3*Months,riskFreeCurve));
for (Size i=0; i<vars.bmas; ++i) {
Handle<Quote> f(vars.fractions[i]);
vars.bmaHelpers[i] = ext::shared_ptr<RateHelper>(
new BMASwapRateHelper(f, bmaData[i].n*bmaData[i].units,
vars.settlementDays,
vars.calendar,
Period(vars.bmaFrequency),
vars.bmaConvention,
vars.bmaDayCounter,
bmaIndex,
liborIndex));
}
Weekday w = vars.today.weekday();
Date lastWednesday =
(w >= 4) ? vars.today - (w - 4) : vars.today + (4 - w - 7);
Date lastFixing = bmaIndex->fixingCalendar().adjust(lastWednesday);
bmaIndex->addFixing(lastFixing, 0.03);
vars.termStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<T,I,B>(vars.today, vars.bmaHelpers,
Actual360(),
interpolator));
RelinkableHandle<YieldTermStructure> curveHandle;
curveHandle.linkTo(vars.termStructure);
// check BMA swaps
ext::shared_ptr<BMAIndex> bma(new BMAIndex(curveHandle));
ext::shared_ptr<IborIndex> libor3m(new USDLibor(3*Months,
riskFreeCurve));
for (Size i=0; i<vars.bmas; i++) {
Period tenor = bmaData[i].n*bmaData[i].units;
Schedule bmaSchedule =
MakeSchedule().from(vars.settlement)
.to(vars.settlement+tenor)
.withFrequency(vars.bmaFrequency)
.withCalendar(bma->fixingCalendar())
.withConvention(vars.bmaConvention)
.backwards();
Schedule liborSchedule =
MakeSchedule().from(vars.settlement)
.to(vars.settlement+tenor)
.withTenor(libor3m->tenor())
.withCalendar(libor3m->fixingCalendar())
.withConvention(libor3m->businessDayConvention())
.endOfMonth(libor3m->endOfMonth())
.backwards();
BMASwap swap(BMASwap::Payer, 100.0,
liborSchedule, 0.75, 0.0,
libor3m, libor3m->dayCounter(),
bmaSchedule, bma, vars.bmaDayCounter);
swap.setPricingEngine(ext::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(libor3m->forwardingTermStructure())));
Real expectedFraction = bmaData[i].rate/100,
estimatedFraction = swap.fairLiborFraction();
Real error = std::fabs(expectedFraction-estimatedFraction);
if (error > tolerance) {
BOOST_ERROR(bmaData[i].n << " year(s) BMA swap:\n"
<< std::setprecision(8)
<< "\n estimated libor fraction: " << estimatedFraction
<< "\n expected libor fraction: " << expectedFraction
<< "\n error: " << error
<< "\n tolerance: " << tolerance);
}
}
}
// Used to check that the exception message contains the expected message string, expMsg.
struct ExpErrorPred {
explicit ExpErrorPred(string msg) : expMsg(std::move(msg)) {}
bool operator()(const Error& ex) const {
string errMsg(ex.what());
if (errMsg.find(expMsg) == string::npos) {
BOOST_TEST_MESSAGE("Error expected to contain: '" << expMsg << "'.");
BOOST_TEST_MESSAGE("Actual error is: '" << errMsg << "'.");
return false;
} else {
return true;
}
}
string expMsg;
};
}
void PiecewiseYieldCurveTest::testLogCubicDiscountConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of piecewise-log-cubic discount curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<Discount,LogCubic,IterativeBootstrap>(
vars,
MonotonicLogCubic());
testBMACurveConsistency<Discount,LogCubic,IterativeBootstrap>(
vars,
MonotonicLogCubic());
}
void PiecewiseYieldCurveTest::testLogLinearDiscountConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of piecewise-log-linear discount curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<Discount,LogLinear,IterativeBootstrap>(vars);
testBMACurveConsistency<Discount,LogLinear,IterativeBootstrap>(vars);
}
void PiecewiseYieldCurveTest::testLinearDiscountConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of piecewise-linear discount curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<Discount,Linear,IterativeBootstrap>(vars);
testBMACurveConsistency<Discount,Linear,IterativeBootstrap>(vars);
}
void PiecewiseYieldCurveTest::testLinearZeroConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of piecewise-linear zero-yield curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<ZeroYield,Linear,IterativeBootstrap>(vars);
testBMACurveConsistency<ZeroYield,Linear,IterativeBootstrap>(vars);
}
void PiecewiseYieldCurveTest::testSplineZeroConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of piecewise-cubic zero-yield curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<ZeroYield,Cubic,IterativeBootstrap>(
vars,
Cubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0));
testBMACurveConsistency<ZeroYield,Cubic,IterativeBootstrap>(
vars,
Cubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0));
}
void PiecewiseYieldCurveTest::testLinearForwardConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of piecewise-linear forward-rate curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<ForwardRate,Linear,IterativeBootstrap>(vars);
testBMACurveConsistency<ForwardRate,Linear,IterativeBootstrap>(vars);
}
void PiecewiseYieldCurveTest::testFlatForwardConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of piecewise-flat forward-rate curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<ForwardRate,BackwardFlat,IterativeBootstrap>(vars);
testBMACurveConsistency<ForwardRate,BackwardFlat,IterativeBootstrap>(vars);
}
void PiecewiseYieldCurveTest::testSplineForwardConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of piecewise-cubic forward-rate curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<ForwardRate,Cubic,IterativeBootstrap>(
vars,
Cubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0));
testBMACurveConsistency<ForwardRate,Cubic,IterativeBootstrap>(
vars,
Cubic(CubicInterpolation::Spline, true,
CubicInterpolation::SecondDerivative, 0.0,
CubicInterpolation::SecondDerivative, 0.0));
}
void PiecewiseYieldCurveTest::testConvexMonotoneForwardConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of convex monotone forward-rate curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<ForwardRate,ConvexMonotone,IterativeBootstrap>(vars);
testBMACurveConsistency<ForwardRate,ConvexMonotone,
IterativeBootstrap>(vars);
}
void PiecewiseYieldCurveTest::testLocalBootstrapConsistency() {
BOOST_TEST_MESSAGE(
"Testing consistency of local-bootstrap algorithm...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
testCurveConsistency<ForwardRate,ConvexMonotone,LocalBootstrap>(
vars, ConvexMonotone(), 1.0e-6);
testBMACurveConsistency<ForwardRate,ConvexMonotone,LocalBootstrap>(
vars, ConvexMonotone(), 1.0e-7);
}
void PiecewiseYieldCurveTest::testObservability() {
BOOST_TEST_MESSAGE("Testing observability of piecewise yield curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
vars.termStructure = ext::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<Discount,LogLinear>(vars.settlementDays,
vars.calendar,
vars.instruments,
Actual360()));
Flag f;
f.registerWith(vars.termStructure);
for (Size i=0; i<vars.deposits+vars.swaps; i++) {
Time testTime =
Actual360().yearFraction(vars.settlement,
vars.instruments[i]->pillarDate());
DiscountFactor discount = vars.termStructure->discount(testTime);
f.lower();
vars.rates[i]->setValue(vars.rates[i]->value()*1.01);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of underlying rate change");
if (vars.termStructure->discount(testTime,true) == discount)
BOOST_FAIL("rate change did not trigger recalculation");
vars.rates[i]->setValue(vars.rates[i]->value()/1.01);
}
vars.termStructure->maxDate();
f.lower();
Settings::instance().evaluationDate() =
vars.calendar.advance(vars.today,15,Days);
if (!f.isUp())
BOOST_FAIL("Observer was not notified of date change");
f.lower();
Settings::instance().evaluationDate() = vars.today;
if (f.isUp())
BOOST_FAIL("Observer was notified of date change"
" without an intervening recalculation");
}
void PiecewiseYieldCurveTest::testLiborFixing() {
BOOST_TEST_MESSAGE(
"Testing use of today's LIBOR fixings in swap curve...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
std::vector<ext::shared_ptr<RateHelper> > swapHelpers(vars.swaps);
ext::shared_ptr<IborIndex> euribor6m(new Euribor6M);
for (Size i=0; i<vars.swaps; i++) {
Handle<Quote> r(vars.rates[i+vars.deposits]);
swapHelpers[i] = ext::shared_ptr<RateHelper>(new
SwapRateHelper(r, Period(swapData[i].n, swapData[i].units),
vars.calendar,
vars.fixedLegFrequency, vars.fixedLegConvention,
vars.fixedLegDayCounter, euribor6m));
}
vars.termStructure = ext::shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<Discount,LogLinear>(vars.settlement,
swapHelpers,
Actual360()));
Handle<YieldTermStructure> curveHandle =
Handle<YieldTermStructure>(vars.termStructure);
ext::shared_ptr<IborIndex> index(new Euribor6M(curveHandle));
for (Size i=0; i<vars.swaps; i++) {
Period tenor = swapData[i].n*swapData[i].units;
VanillaSwap swap = MakeVanillaSwap(tenor, index, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention);
Rate expectedRate = swapData[i].rate/100,
estimatedRate = swap.fairRate();
Real tolerance = 1.0e-9;
if (std::fabs(expectedRate-estimatedRate) > tolerance) {
BOOST_ERROR("before LIBOR fixing:\n"
<< swapData[i].n << " year(s) swap:\n"
<< std::setprecision(8)
<< " estimated rate: "
<< io::rate(estimatedRate) << "\n"
<< " expected rate: "
<< io::rate(expectedRate));
}
}
Flag f;
f.registerWith(vars.termStructure);
f.lower();
index->addFixing(vars.today, 0.0425);
if (!f.isUp())
BOOST_ERROR("Observer was not notified of rate fixing");
for (Size i=0; i<vars.swaps; i++) {
Period tenor = swapData[i].n*swapData[i].units;
VanillaSwap swap = MakeVanillaSwap(tenor, index, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention);
Rate expectedRate = swapData[i].rate/100,
estimatedRate = swap.fairRate();
Real tolerance = 1.0e-9;
if (std::fabs(expectedRate-estimatedRate) > tolerance) {
BOOST_ERROR("after LIBOR fixing:\n"
<< swapData[i].n << " year(s) swap:\n"
<< std::setprecision(8)
<< " estimated rate: "
<< io::rate(estimatedRate) << "\n"
<< " expected rate: "
<< io::rate(expectedRate));
}
}
}
void PiecewiseYieldCurveTest::testJpyLibor() {
BOOST_TEST_MESSAGE(
"Testing bootstrap over JPY LIBOR swaps...");
using namespace piecewise_yield_curve_test;
CommonVars vars;
vars.today = Date(4, October, 2007);
Settings::instance().evaluationDate() = vars.today;
vars.calendar = Japan();
vars.settlement =
vars.calendar.advance(vars.today,vars.settlementDays,Days);
// market elements
vars.rates = std::vector<ext::shared_ptr<SimpleQuote> >(vars.swaps);
for (Size i=0; i<vars.swaps; i++) {
vars.rates[i] = ext::make_shared<SimpleQuote>(
swapData[i].rate/100);
}
// rate helpers
vars.instruments = std::vector<ext::shared_ptr<RateHelper> >(vars.swaps);
ext::shared_ptr<IborIndex> index(new JPYLibor(6*Months));
for (Size i=0; i<vars.swaps; i++) {
Handle<Quote> r(vars.rates[i]);
vars.instruments[i] = ext::shared_ptr<RateHelper>(
new SwapRateHelper(r, swapData[i].n*swapData[i].units,
vars.calendar,
vars.fixedLegFrequency, vars.fixedLegConvention,
vars.fixedLegDayCounter, index));
}
vars.termStructure = ext::shared_ptr<YieldTermStructure>(
new PiecewiseYieldCurve<Discount,LogLinear>(
vars.settlement, vars.instruments,
Actual360()));
RelinkableHandle<YieldTermStructure> curveHandle;
curveHandle.linkTo(vars.termStructure);
// check swaps
ext::shared_ptr<IborIndex> jpylibor6m(new JPYLibor(6*Months,curveHandle));
for (Size i=0; i<vars.swaps; i++) {
Period tenor = swapData[i].n*swapData[i].units;
VanillaSwap swap = MakeVanillaSwap(tenor, jpylibor6m, 0.0)
.withEffectiveDate(vars.settlement)
.withFixedLegDayCount(vars.fixedLegDayCounter)
.withFixedLegTenor(Period(vars.fixedLegFrequency))
.withFixedLegConvention(vars.fixedLegConvention)
.withFixedLegTerminationDateConvention(vars.fixedLegConvention)