Account for possible adjustments (e.g. on Juneteenth)

lballabio · Jun 24, 2024 · 1cf9e8e · 1cf9e8e
1 parent c7b4109
commit 1cf9e8e
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Showing 2 changed files with 67 additions and 21 deletions.
diff --git a/ql/termstructures/yield/overnightindexfutureratehelper.cpp b/ql/termstructures/yield/overnightindexfutureratehelper.cpp
@@ -28,19 +28,19 @@ namespace QuantLib {
     namespace {
 
         Date getValidSofrStart(Month month, Year year, Frequency freq) {
-            return freq == Monthly ?
-                UnitedStates(UnitedStates::GovernmentBond).adjust(Date(1, month, year)) :
-                Date::nthWeekday(3, Wednesday, month, year);
+            static auto calendar = UnitedStates(UnitedStates::SOFR);
+            return calendar.adjust(freq == Monthly ? Date(1, month, year) :
+                                   Date::nthWeekday(3, Wednesday, month, year));
         }
 
         Date getValidSofrEnd(Month month, Year year, Frequency freq) {
+            static auto calendar = UnitedStates(UnitedStates::SOFR);
             if (freq == Monthly) {
-                Calendar dc = UnitedStates(UnitedStates::GovernmentBond);
-                Date d = dc.endOfMonth(Date(1, month, year));
-                return dc.advance(d, 1*Days);
+                Date d = calendar.endOfMonth(Date(1, month, year));
+                return calendar.advance(d, 1*Days);
             } else {
                 Date d = getValidSofrStart(month, year, freq) + Period(freq);
-                return Date::nthWeekday(3, Wednesday, d.month(), d.year());
+                return calendar.adjust(Date::nthWeekday(3, Wednesday, d.month(), d.year()));
             }
 
         }

diff --git a/test-suite/sofrfutures.cpp b/test-suite/sofrfutures.cpp
@@ -38,7 +38,6 @@ struct SofrQuotes {
     Month month;
     Year year;
     Real price;
-    RateAveraging::Type averagingMethod;
 };
 
 
@@ -49,19 +48,19 @@ BOOST_AUTO_TEST_CASE(testBootstrap) {
     Settings::instance().evaluationDate() = today;
 
     const SofrQuotes sofrQuotes[] = {
-        {Monthly, Oct, 2018, 97.8175, RateAveraging::Simple},
-        {Monthly, Nov, 2018, 97.770, RateAveraging::Simple},
-        {Monthly, Dec, 2018, 97.685, RateAveraging::Simple},
-        {Monthly, Jan, 2019, 97.595, RateAveraging::Simple},
-        {Monthly, Feb, 2019, 97.590, RateAveraging::Simple},
-        {Monthly, Mar, 2019, 97.525, RateAveraging::Simple},
-        {Quarterly, Mar, 2019, 97.440, RateAveraging::Compound},
-        {Quarterly, Jun, 2019, 97.295, RateAveraging::Compound},
-        {Quarterly, Sep, 2019, 97.220, RateAveraging::Compound},
-        {Quarterly, Dec, 2019, 97.170, RateAveraging::Compound},
-        {Quarterly, Mar, 2020, 97.160, RateAveraging::Compound},
-        {Quarterly, Jun, 2020, 97.165, RateAveraging::Compound},
-        {Quarterly, Sep, 2020, 97.175, RateAveraging::Compound},
+        {Monthly, Oct, 2018, 97.8175},
+        {Monthly, Nov, 2018, 97.770},
+        {Monthly, Dec, 2018, 97.685},
+        {Monthly, Jan, 2019, 97.595},
+        {Monthly, Feb, 2019, 97.590},
+        {Monthly, Mar, 2019, 97.525},
+        {Quarterly, Mar, 2019, 97.440},
+        {Quarterly, Jun, 2019, 97.295},
+        {Quarterly, Sep, 2019, 97.220},
+        {Quarterly, Dec, 2019, 97.170},
+        {Quarterly, Mar, 2020, 97.160},
+        {Quarterly, Jun, 2020, 97.165},
+        {Quarterly, Sep, 2020, 97.175},
     };
 
     ext::shared_ptr<OvernightIndex> index = ext::make_shared<Sofr>();
@@ -113,6 +112,53 @@ BOOST_AUTO_TEST_CASE(testBootstrap) {
     }
 }
 
+
+BOOST_AUTO_TEST_CASE(testBootstrapWithJuneteen) {
+    BOOST_TEST_MESSAGE(
+        "Testing bootstrap over SOFR futures when third Wednesday falls on Juneteenth...");
+
+    Date today = Date(27, February, 2024);
+    Settings::instance().evaluationDate() = today;
+
+    const SofrQuotes sofrQuotes[] = {
+        {Quarterly, Mar, 2024, 97.295},
+        {Quarterly, Jun, 2024, 97.220},
+        {Quarterly, Sep, 2024, 97.170},
+        {Quarterly, Dec, 2024, 97.160},
+        {Quarterly, Mar, 2025, 97.165},
+        {Quarterly, Jun, 2025, 97.175},
+    };
+
+    ext::shared_ptr<OvernightIndex> index = ext::make_shared<Sofr>();
+
+    std::vector<ext::shared_ptr<RateHelper> > helpers;
+    for (const auto& sofrQuote : sofrQuotes) {
+        helpers.push_back(ext::make_shared<SofrFutureRateHelper>(
+            sofrQuote.price, sofrQuote.month, sofrQuote.year, sofrQuote.freq));
+    }
+
+    ext::shared_ptr<PiecewiseYieldCurve<Discount, Linear> > curve =
+        ext::make_shared<PiecewiseYieldCurve<Discount, Linear> >(today, helpers,
+                                                                 Actual365Fixed());
+
+    ext::shared_ptr<OvernightIndex> sofr =
+        ext::make_shared<Sofr>(Handle<YieldTermStructure>(curve));
+    OvernightIndexFuture sf(sofr, Date(20, March, 2024), Date(20, June, 2024));
+
+    Real expected_price = 97.295;
+    Real tolerance = 1.0e-9;
+
+    Real error = std::fabs(sf.NPV() - expected_price);
+    if (error > tolerance) {
+        BOOST_ERROR("sample futures:\n"
+                    << std::setprecision(8)
+                    << "\n estimated price: " << sf.NPV()
+                    << "\n expected price:  " << expected_price
+                    << "\n error:           " << error
+                    << "\n tolerance:       " << tolerance);
+    }
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()