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Refactoring Curve State Unit Tests (#1895)
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@lballabio
lballabio committed Jan 25, 2024
2 parents 11f9662 + 9d0e70e commit b15c427
Showing 1 changed file with 201 additions and 77 deletions.
278 changes: 201 additions & 77 deletions test-suite/curvestates.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -28,6 +28,7 @@
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp>
#include <ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp>
#include <ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/math/matrix.hpp>
#include <ql/time/schedule.hpp>
Expand All @@ -44,14 +45,51 @@ BOOST_AUTO_TEST_SUITE(CurveStatesTests)
struct CommonVars {
// global data
Date todaysDate, startDate, endDate;
std::vector<Time> rateTimes, paymentTimes;
std::vector<Time> rateTimes, paymentTimes, taus;
std::vector<Real> accruals;
Calendar calendar;
DayCounter dayCounter;
std::vector<Rate> todaysForwards, todaysCoterminalSwapRates;
std::vector<Real> coterminalAnnuity;
Spread displacement;
std::vector<Rate> todaysForwards;
std::vector<Spread> displacements;
std::vector<DiscountFactor> todaysDiscounts;
const Real tol = 1.0e-4;

Size N, numeraire;
Matrix pseudo;
const Size spanningFwds = 1;

std::vector<Size> firstAliveRates;

const std::vector<Real> expectedDrifts = {
-0.0825792, -0.0787625, -0.0748546, -0.0708555, -0.0667655, -0.0625846, -0.0583128,
-0.0539504, -0.0494972, -0.0449536, -0.0403194, -0.0355949, -0.0307801, -0.025875,
-0.0208799, -0.0157948, -0.0106197, -0.00535471, 0};

const std::vector<Real> expectedDiscountRatios = {
1.58379, 1.55274, 1.52154, 1.49025, 1.45888, 1.42748, 1.39607, 1.36468, 1.33335, 1.3021,
1.27096, 1.23996, 1.20913, 1.17848, 1.14806, 1.11788, 1.08796, 1.05833, 1.029};

const std::vector<Real> expectedForwardRates = {
0.04, 0.041, 0.042, 0.043, 0.044, 0.045, 0.046, 0.047, 0.048, 0.049,
0.05, 0.051, 0.052, 0.053, 0.054, 0.055, 0.056, 0.057, 0.058};

const std::vector<Real> expectedSwapAnnuity = {
0.776368, 0.760772, 0.745125, 0.729442, 0.713739, 0.698034, 0.68234,
0.666673, 0.651048, 0.635479, 0.619979, 0.604563, 0.589242, 0.574031,
0.558939, 0.54398, 0.529163, 0.5145, 0.5};

const std::vector<Real> expectedCotDrifts = {
-0.0472372, -0.0447452, -0.042233, -0.0397016, -0.0371516, -0.034584, -0.0319995, -0.0293991 ,
-0.0267836, -0.0241539, -0.0215109, -0.0188555, -0.0161887, -0.0135113, -0.0108244 ,
-0.00812878, -0.00542554, -0.00271562, 0};

const std::vector<Real> expectedCotDiscountRatios = {
1.58379, 1.55274, 1.52154, 1.49025, 1.45888, 1.42748, 1.39607, 1.36468, 1.33335, 1.3021,
1.27096, 1.23996, 1.20913, 1.17848, 1.14806, 1.11788, 1.08796, 1.05833, 1.029};

const std::vector<Real> expectedCotSwapAnnuity = {
12.0934, 11.317, 10.5563, 9.81115, 9.08171, 8.36797, 7.66994, 6.9876, 6.32092, 5.66988,
5.0344, 4.41442, 3.80986, 3.22061, 2.64658, 2.08764, 1.54366, 1.0145, 0.5};

CommonVars() {
// Times
Expand All @@ -63,8 +101,14 @@ struct CommonVars {
calendar, Following, Following,
DateGeneration::Backward, false);
rateTimes = std::vector<Time>(dates.size()-1);
paymentTimes = std::vector<Time>(rateTimes.size()-1);
accruals = std::vector<Real>(rateTimes.size()-1);

// init
N = rateTimes.size() - 1;
paymentTimes = std::vector<Time>(N);
accruals = std::vector<Real>(N);
numeraire = N;
pseudo = Matrix(N, N, 0.1);

dayCounter = SimpleDayCounter();
for (Size i=1; i<dates.size(); ++i)
rateTimes[i-1] = dayCounter.yearFraction(todaysDate, dates[i]);
Expand All @@ -74,10 +118,11 @@ struct CommonVars {
accruals[i-1] = rateTimes[i] - rateTimes[i-1];

// Rates & displacement
todaysForwards = std::vector<Rate>(paymentTimes.size());
displacement = 0.0;
todaysForwards = std::vector<Rate>(N);
displacements = std::vector<Spread>(N, .0);
//taus = std::vector<Time>(N, .5);
for (Size i=0; i<todaysForwards.size(); ++i)
todaysForwards[i] = 0.03 + 0.0010*i;
todaysForwards[i] = 0.04 + 0.0010*i;

// Discounts
todaysDiscounts = std::vector<DiscountFactor>(rateTimes.size());
Expand All @@ -86,92 +131,171 @@ struct CommonVars {
todaysDiscounts[i] = todaysDiscounts[i-1] /
(1.0+todaysForwards[i-1]*accruals[i-1]);

// Coterminal swap rates & annuities
Size N = todaysForwards.size();
todaysCoterminalSwapRates = std::vector<Rate>(N);
coterminalAnnuity = std::vector<Real>(N);
Real floatingLeg = 0.0;
for (Size i=1; i<=N; ++i) {
if (i==1) {
coterminalAnnuity[N-1] = accruals[N-1]*todaysDiscounts[N];
} else {
coterminalAnnuity[N-i] = coterminalAnnuity[N-i+1] +
accruals[N-i]*todaysDiscounts[N-i+1];
}
floatingLeg = todaysDiscounts[N-i]-todaysDiscounts[N];
todaysCoterminalSwapRates[N-i] =
floatingLeg/coterminalAnnuity[N-i];
}
// taus & first alive rates
std::vector<Time> evolutionTimes(N);
std::copy(rateTimes.begin(), rateTimes.end() - 1, evolutionTimes.begin());
EvolutionDescription evolution(rateTimes, evolutionTimes);
taus = evolution.rateTaus();
firstAliveRates = evolution.firstAliveRate();

std::vector<Time> evolutionTimes(rateTimes.size()-1);
std::copy(rateTimes.begin(), rateTimes.end()-1,
evolutionTimes.begin());
EvolutionDescription evolution(rateTimes,evolutionTimes);
evolution.rateTaus();
evolution.firstAliveRate();
}
};

BOOST_AUTO_TEST_CASE(testLMMCurveState) {

BOOST_AUTO_TEST_CASE(testCMSwapCurveState) {
BOOST_TEST_MESSAGE("Testing Libor-market-model curve state...");

BOOST_TEST_MESSAGE("Testing constant-maturity-swap-market-model curve state...");
CommonVars vars;

CommonVars vars;
LMMDriftCalculator lmmDriftcalculator(vars.pseudo, vars.displacements, vars.taus,
vars.numeraire, vars.firstAliveRates[0]);
LMMCurveState lmmCs(vars.rateTimes);
lmmCs.setOnForwardRates(vars.todaysForwards);

std::vector<Real> lmmDrifts(vars.N);
lmmDriftcalculator.compute(lmmCs, lmmDrifts);

for (Size i = 0; i < vars.N; ++i) {
if (std::fabs(lmmDrifts[i] - vars.expectedDrifts[i]) > vars.tol){
BOOST_FAIL("LMM drifts mismatched: " <<
lmmDrifts[i] << "\t\t" << vars.expectedDrifts[i]);
}

if (std::fabs(lmmCs.discountRatio(i, vars.N) - vars.expectedDiscountRatios[i]) >
vars.tol) {
BOOST_FAIL("LMM discount ratio mismatch: " <<
lmmCs.discountRatio(i, vars.N) << "\t\t" << vars.expectedDiscountRatios[i]);
}

if (std::fabs(lmmCs.forwardRate(i) - vars.expectedForwardRates[i]) > vars.tol) {
BOOST_FAIL("LMM forward rate mismatch: " << lmmCs.forwardRate(i) << "\t\t"
<< vars.expectedForwardRates[i]);
}
}

}

BOOST_AUTO_TEST_CASE(testCoterminalSwapCurveState) {

BOOST_TEST_MESSAGE("Testing coterminal-swap-market-model curve state...");

CommonVars vars;

// Coterminal swap rates & annuities
std::vector<Real> todaysCoterminalSwapRates = std::vector<Rate>(vars.N);
std::vector<Real> coterminalAnnuity = std::vector<Real>(vars.N);
Real floatingLeg = 0.0;
for (Size i=1; i<=vars.N; ++i) {
if (i==1) {
coterminalAnnuity[vars.N - 1] =
vars.accruals[vars.N - 1] * vars.todaysDiscounts[vars.N];
} else {
coterminalAnnuity[vars.N - i] =
coterminalAnnuity[vars.N - i + 1] +
vars.accruals[vars.N - i] * vars.todaysDiscounts[vars.N - i + 1];
}
floatingLeg = vars.todaysDiscounts[vars.N - i] - vars.todaysDiscounts[vars.N];
todaysCoterminalSwapRates[vars.N - i] = floatingLeg / coterminalAnnuity[vars.N - i];
}

std::vector<Time> evolutionTimes(vars.N);
std::copy(vars.rateTimes.begin(), vars.rateTimes.end() - 1,
evolutionTimes.begin());
EvolutionDescription evolution(vars.rateTimes, evolutionTimes);
std::vector<Time> taus = evolution.rateTaus();
std::vector<Size> alive = evolution.firstAliveRate();


SMMDriftCalculator smmDriftcalculator(vars.pseudo, vars.displacements, taus, vars.numeraire,
vars.firstAliveRates[0]);
CoterminalSwapCurveState cotCs(vars.rateTimes);
cotCs.setOnCoterminalSwapRates(todaysCoterminalSwapRates);

std::vector<Real> cotDrifts(vars.N);
smmDriftcalculator.compute(cotCs, cotDrifts);

for (Size i = 0; i < vars.N; ++i) {
if (std::fabs(cotDrifts[i] - vars.expectedCotDrifts[i]) > vars.tol) {
BOOST_FAIL("COT drifts mismatched: " << cotDrifts[i] << "\t\t"
<< vars.expectedCotDrifts[i]);
}

Size nbRates = vars.todaysForwards.size();
Size factors = nbRates;
Matrix pseudo(nbRates, factors, 0.1);
std::vector<Spread> displacements(nbRates, .0);
std::vector<Time> rateTimes(nbRates+1);
std::vector<Time> taus(nbRates, .5);
std::vector<Rate> forwards(nbRates, 0.0);
if (std::fabs(cotCs.discountRatio(i, vars.N) - vars.expectedCotDiscountRatios[i]) >
vars.tol) {
BOOST_FAIL("COT discount ratio mismatch: " << cotCs.discountRatio(i, vars.N) << "\t\t"
<< vars.expectedCotDiscountRatios[i]);
}

if (std::fabs(cotCs.forwardRate(i) - vars.expectedForwardRates[i]) > vars.tol) {
BOOST_FAIL("COT forward rate mismatch: " << cotCs.forwardRate(i) << "\t\t"
<< vars.expectedForwardRates[i]);
}

//std::cout << "rate value:"<< std::endl;
if (std::fabs(cotCs.coterminalSwapRate(i) - todaysCoterminalSwapRates[i]) >
vars.tol) {
// Swap rate should be the same as Forward Rates
BOOST_FAIL("COT swap rate mismatch: " << cotCs.coterminalSwapRate(i) << "\t\t"
<< todaysCoterminalSwapRates[i]);
}

for (Size i = 0; i < forwards.size(); ++i)
forwards[i] = static_cast<Rate>(i)*.001+.04;
if (std::fabs(cotCs.coterminalSwapAnnuity(vars.numeraire, i) -
vars.expectedCotSwapAnnuity[i]) >
vars.tol) {
BOOST_FAIL("COT swap annunity mismatch: "
<< cotCs.coterminalSwapAnnuity(vars.numeraire, i) << "\t\t"
<< vars.expectedCotSwapAnnuity[i]);
}
}
}

for (Size i = 0; i < rateTimes.size(); ++i)
rateTimes[i] = static_cast<Time>(i+1)*.5;

//BOOST_TEST_MESSAGE( << "Rates\nTime\tValue:"<< std::endl;)
//for (Size i = 0; i < rateTimes.size()-1; ++i){
// std::cout << rateTimes[i+1] << "\t"<<io::rate(forwards[i]) << std::endl;
//}
BOOST_AUTO_TEST_CASE(testCMSwapCurveState) {

Size numeraire = nbRates;
Size alive = 0;
BOOST_TEST_MESSAGE("Testing constant-maturity-swap-market-model curve state...");

Size spanningFwds = 1;
CommonVars vars;

CMSMMDriftCalculator cmsDriftcalculator(pseudo, displacements, taus,
numeraire, alive, spanningFwds);
CMSMMDriftCalculator cmsDriftcalculator(vars.pseudo, vars.displacements, vars.taus,
vars.numeraire, vars.firstAliveRates[0],
vars.spanningFwds);

CMSwapCurveState cmsCs(rateTimes, spanningFwds);
cmsCs.setOnCMSwapRates(forwards);
std::vector<Real> cmsDrifts(nbRates);
CMSwapCurveState cmsCs(vars.rateTimes, vars.spanningFwds);
cmsCs.setOnCMSwapRates(vars.todaysForwards);
std::vector<Real> cmsDrifts(vars.N);
cmsDriftcalculator.compute(cmsCs,cmsDrifts);

LMMDriftCalculator lmmDriftcalculator(pseudo, displacements, taus,
numeraire, alive);
LMMCurveState lmmCs(rateTimes);
lmmCs.setOnForwardRates(forwards);
/*
std::vector<Real> lmmDrifts(nbRates);
std::cout << "drifts:"<< std::endl;
std::cout << "LMM\t\tCMS"<< std::endl;
for (Size i = 0; i<nbRates; ++i){
std::cout << lmmDrifts[i] << "\t\t"<< cmsDrifts[i] << std::endl;
}*/

// const std::vector<Rate>& dfs = cs.discountRatios();
//std::cout << "discounts ratios:"<< std::endl;
//std::cout << "LMM\tCMS"<< std::endl;
/*for (Size i = 0; i <nbRates; ++i){
std::cout << lmmCs.discountRatio(i, nbRates) << "\t"<< cmsCs.discountRatio(i, nbRates) << std::endl;
}*/
for (Size i = 0; i < vars.N; ++i) {
if (std::fabs(cmsDrifts[i] - vars.expectedDrifts[i]) > vars.tol) {
BOOST_FAIL("CMS drifts mismatched: " << cmsDrifts[i] << "\t\t"
<< vars.expectedDrifts[i]);
}

if (std::fabs(cmsCs.discountRatio(i, vars.N) - vars.expectedDiscountRatios[i]) >
vars.tol) {
BOOST_FAIL("CMS discount ratio mismatch: " << cmsCs.discountRatio(i, vars.N) << "\t\t"
<< vars.expectedDiscountRatios[i]);
}

if (std::fabs(cmsCs.forwardRate(i) - vars.expectedForwardRates[i]) > vars.tol) {
BOOST_FAIL("CMS forward rate mismatch: " << cmsCs.forwardRate(i) << "\t\t"
<< vars.expectedForwardRates[i]);
}

if (std::fabs(cmsCs.cmSwapRate(i, vars.spanningFwds) - vars.expectedForwardRates[i]) >
vars.tol) {
// Swap rate should be the same as Forward Rates
BOOST_FAIL("CMS swap rate mismatch: " << cmsCs.cmSwapRate(i, vars.spanningFwds)
<< "\t\t" << vars.expectedForwardRates[i]);
}

if (std::fabs(cmsCs.cmSwapAnnuity(vars.numeraire, i, vars.spanningFwds) -
vars.expectedSwapAnnuity[i]) >
vars.tol) {
BOOST_FAIL("CMS swap annunity mismatch: "
<< cmsCs.cmSwapAnnuity(vars.numeraire, i, vars.spanningFwds) << "\t\t"
<< vars.expectedSwapAnnuity[i]);
}
}
}

BOOST_AUTO_TEST_SUITE_END()
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