Small fixes to callable bonds; add tests.

lballabio · Aug 10, 2020 · a8de45a · a8de45a
1 parent afc6f02
commit a8de45a
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Showing 6 changed files with 645 additions and 17 deletions.
diff --git a/ql/experimental/callablebonds/discretizedcallablefixedratebond.cpp b/ql/experimental/callablebonds/discretizedcallablefixedratebond.cpp
@@ -52,14 +52,14 @@ namespace QuantLib {
                 dayCounter.yearFraction(referenceDate,
                                         args.callabilityDates[i]);
 
-        // similar to the tree swaption engine, we collapse similar coupon
-        // and exercise dates to avoid mispricing. Delete if unnecessary.
-
+        // To avoid mispricing, we snap exercise dates to the closest coupon date.
         for (Size i=0; i<callabilityTimes_.size(); i++) {
-            Time exerciseTime = callabilityTimes_[i];
+            Time& exerciseTime = callabilityTimes_[i];
             for (Size j=0; j<couponTimes_.size(); j++) {
-                if (withinNextWeek(exerciseTime, couponTimes_[j]))
-                    couponTimes_[j] = exerciseTime;
+                if (withinNextWeek(exerciseTime, couponTimes_[j])) {
+                    exerciseTime = couponTimes_[j];
+                    break;
+                }
             }
         }
     }

diff --git a/ql/experimental/callablebonds/treecallablebondengine.cpp b/ql/experimental/callablebonds/treecallablebondengine.cpp
@@ -50,18 +50,13 @@ namespace QuantLib {
     void TreeCallableFixedRateBondEngine::calculateWithSpread(Spread s) const {
         QL_REQUIRE(!model_.empty(), "no model specified");
 
-        Date referenceDate;
-        DayCounter dayCounter;
-
         ext::shared_ptr<TermStructureConsistentModel> tsmodel =
             ext::dynamic_pointer_cast<TermStructureConsistentModel>(*model_);
-        if (tsmodel != 0) {
-            referenceDate = tsmodel->termStructure()->referenceDate();
-            dayCounter = tsmodel->termStructure()->dayCounter();
-        } else {
-            referenceDate = termStructure_->referenceDate();
-            dayCounter = termStructure_->dayCounter();
-        }
+        Handle<YieldTermStructure> discountCurve =
+            tsmodel != 0 ? tsmodel->termStructure() : termStructure_;
+
+        Date referenceDate = discountCurve->referenceDate();
+        DayCounter dayCounter = discountCurve->dayCounter();
 
         DiscretizedCallableFixedRateBond callableBond(arguments_,
                                                       referenceDate,
@@ -89,7 +84,10 @@ namespace QuantLib {
                                     arguments_.redemptionDate);
         callableBond.initialize(lattice, redemptionTime);
         callableBond.rollback(0.0);
-        results_.value = results_.settlementValue = callableBond.presentValue();
+        results_.value = callableBond.presentValue();
+
+        DiscountFactor d = discountCurve->discount(arguments_.settlementDate);
+        results_.settlementValue = results_.value / d;
     }
 
 }

diff --git a/test-suite/Makefile.am b/test-suite/Makefile.am
@@ -20,6 +20,7 @@ QL_TEST_SRCS = \
 	brownianbridge.cpp \
 	businessdayconventions.cpp \
 	calendars.cpp \
+	callablebonds.cpp \
 	capfloor.cpp \
 	capflooredcoupon.cpp \
 	cashflows.cpp \
@@ -176,6 +177,7 @@ QL_TEST_HDRS = \
 	brownianbridge.hpp \
 	businessdayconventions.hpp \
 	calendars.hpp \
+	callablebonds.hpp \
 	capfloor.hpp \
 	capflooredcoupon.hpp \
 	cashflows.hpp \