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update yearFraction calculation to next coupon date for #282 #292

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Sep 6, 2017
Merged

update yearFraction calculation to next coupon date for #282 #292

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9809877
update yearFraction calculation to next coupon date for #282
fxuetmc Aug 14, 2017
86f4752
test case for #282
fxuetmc Aug 22, 2017
1bceded
Fixes after code review for #282
fxuetmc Sep 5, 2017
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132 changes: 45 additions & 87 deletions ql/cashflows/cashflows.cpp
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Original file line number Original file line Diff line number Diff line change
Expand Up @@ -579,6 +579,42 @@ namespace QuantLib {
return -1; return -1;
} }


// helper fucntion used to calculate Time-To-Discount for each stage when calculating discount factor stepwisely
Time getStepwiseDiscountTime(const boost::shared_ptr<QuantLib::CashFlow> cashFlow,
const DayCounter& dc,
Date npvDate,
Date lastDate) {
Date cashFlowDate = cashFlow->date();
Date refStartDate, refEndDate;
shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(cashFlow);
if (coupon) {
refStartDate = coupon->referencePeriodStart();
refEndDate = coupon->referencePeriodEnd();
} else {
if (lastDate == npvDate) {
// we don't have a previous coupon date,
// so we fake it
refStartDate = cashFlowDate - 1*Years;
} else {
refStartDate = lastDate;
}
refEndDate = cashFlowDate;
}

if (coupon && lastDate!=coupon->accrualStartDate()) {
Time couponPeriod = dc.yearFraction(coupon->accrualStartDate(),
cashFlowDate, refStartDate, refEndDate);
Time accruedPeriod = dc.yearFraction(coupon->accrualStartDate(),
lastDate, refStartDate, refEndDate);
return couponPeriod - accruedPeriod;
}
else {
return dc.yearFraction(lastDate, cashFlowDate,
refStartDate, refEndDate);
}
}

Real simpleDuration(const Leg& leg, Real simpleDuration(const Leg& leg,
const InterestRate& y, const InterestRate& y,
bool includeSettlementDateFlows, bool includeSettlementDateFlows,
Expand All @@ -597,7 +633,6 @@ namespace QuantLib {
Real dPdy = 0.0; Real dPdy = 0.0;
Time t = 0.0; Time t = 0.0;
Date lastDate = npvDate; Date lastDate = npvDate;
Date refStartDate, refEndDate;
const DayCounter& dc = y.dayCounter(); const DayCounter& dc = y.dayCounter();
for (Size i=0; i<leg.size(); ++i) { for (Size i=0; i<leg.size(); ++i) {
if (leg[i]->hasOccurred(settlementDate, if (leg[i]->hasOccurred(settlementDate,
Expand All @@ -609,31 +644,12 @@ namespace QuantLib {
c = 0.0; c = 0.0;
} }


Date couponDate = leg[i]->date(); t += getStepwiseDiscountTime(leg[i], dc, npvDate, lastDate);
shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(leg[i]);
if (coupon) {
refStartDate = coupon->referencePeriodStart();
refEndDate = coupon->referencePeriodEnd();
} else {
if (lastDate == npvDate) {
// we don't have a previous coupon date,
// so we fake it
refStartDate = couponDate - 1*Years;
} else {
refStartDate = lastDate;
}
refEndDate = couponDate;
}

t += dc.yearFraction(lastDate, couponDate,
refStartDate, refEndDate);

DiscountFactor B = y.discountFactor(t); DiscountFactor B = y.discountFactor(t);
P += c * B; P += c * B;
dPdy += t * c * B; dPdy += t * c * B;


lastDate = couponDate; lastDate = leg[i]->date();
} }
if (P == 0.0) // no cashflows if (P == 0.0) // no cashflows
return 0.0; return 0.0;
Expand All @@ -660,7 +676,6 @@ namespace QuantLib {
Rate r = y.rate(); Rate r = y.rate();
Natural N = y.frequency(); Natural N = y.frequency();
Date lastDate = npvDate; Date lastDate = npvDate;
Date refStartDate, refEndDate;
const DayCounter& dc = y.dayCounter(); const DayCounter& dc = y.dayCounter();
for (Size i=0; i<leg.size(); ++i) { for (Size i=0; i<leg.size(); ++i) {
if (leg[i]->hasOccurred(settlementDate, if (leg[i]->hasOccurred(settlementDate,
Expand All @@ -672,26 +687,7 @@ namespace QuantLib {
c = 0.0; c = 0.0;
} }


Date couponDate = leg[i]->date(); t += getStepwiseDiscountTime(leg[i], dc, npvDate, lastDate);
shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(leg[i]);
if (coupon) {
refStartDate = coupon->referencePeriodStart();
refEndDate = coupon->referencePeriodEnd();
} else {
if (lastDate == npvDate) {
// we don't have a previous coupon date,
// so we fake it
refStartDate = couponDate - 1*Years;
} else {
refStartDate = lastDate;
}
refEndDate = couponDate;
}

t += dc.yearFraction(lastDate, couponDate,
refStartDate, refEndDate);

DiscountFactor B = y.discountFactor(t); DiscountFactor B = y.discountFactor(t);
P += c * B; P += c * B;
switch (y.compounding()) { switch (y.compounding()) {
Expand Down Expand Up @@ -720,7 +716,7 @@ namespace QuantLib {
QL_FAIL("unknown compounding convention (" << QL_FAIL("unknown compounding convention (" <<
Integer(y.compounding()) << ")"); Integer(y.compounding()) << ")");
} }
lastDate = couponDate; lastDate = leg[i]->date();
} }


if (P == 0.0) // no cashflows if (P == 0.0) // no cashflows
Expand Down Expand Up @@ -857,38 +853,20 @@ namespace QuantLib {
Real npv = 0.0; Real npv = 0.0;
DiscountFactor discount = 1.0; DiscountFactor discount = 1.0;
Date lastDate = npvDate; Date lastDate = npvDate;
Date refStartDate, refEndDate; const DayCounter& dc = y.dayCounter();

for (Size i=0; i<leg.size(); ++i) { for (Size i=0; i<leg.size(); ++i) {
if (leg[i]->hasOccurred(settlementDate, if (leg[i]->hasOccurred(settlementDate,
includeSettlementDateFlows)) includeSettlementDateFlows))
continue; continue;


Date couponDate = leg[i]->date();
Real amount = leg[i]->amount(); Real amount = leg[i]->amount();
if (leg[i]->tradingExCoupon(settlementDate)) { if (leg[i]->tradingExCoupon(settlementDate)) {
amount = 0.0; amount = 0.0;
} }


shared_ptr<Coupon> coupon = DiscountFactor b = y.discountFactor(getStepwiseDiscountTime(leg[i], dc, npvDate, lastDate));
boost::dynamic_pointer_cast<Coupon>(leg[i]);
if (coupon) {
refStartDate = coupon->referencePeriodStart();
refEndDate = coupon->referencePeriodEnd();
} else {
if (lastDate == npvDate) {
// we don't have a previous coupon date,
// so we fake it
refStartDate = couponDate - 1*Years;
} else {
refStartDate = lastDate;
}
refEndDate = couponDate;
}
DiscountFactor b = y.discountFactor(lastDate, couponDate,
refStartDate, refEndDate);
discount *= b; discount *= b;
lastDate = couponDate; lastDate = leg[i]->date();


npv += amount * discount; npv += amount * discount;
} }
Expand Down Expand Up @@ -1036,7 +1014,6 @@ namespace QuantLib {
Rate r = y.rate(); Rate r = y.rate();
Natural N = y.frequency(); Natural N = y.frequency();
Date lastDate = npvDate; Date lastDate = npvDate;
Date refStartDate, refEndDate;
for (Size i=0; i<leg.size(); ++i) { for (Size i=0; i<leg.size(); ++i) {
if (leg[i]->hasOccurred(settlementDate, if (leg[i]->hasOccurred(settlementDate,
includeSettlementDateFlows)) includeSettlementDateFlows))
Expand All @@ -1047,26 +1024,7 @@ namespace QuantLib {
c = 0.0; c = 0.0;
} }


Date couponDate = leg[i]->date(); t += getStepwiseDiscountTime(leg[i], dc, npvDate, lastDate);
shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(leg[i]);
if (coupon) {
refStartDate = coupon->referencePeriodStart();
refEndDate = coupon->referencePeriodEnd();
} else {
if (lastDate == npvDate) {
// we don't have a previous coupon date,
// so we fake it
refStartDate = couponDate - 1*Years;
} else {
refStartDate = lastDate;
}
refEndDate = couponDate;
}

t += dc.yearFraction(lastDate, couponDate,
refStartDate, refEndDate);

DiscountFactor B = y.discountFactor(t); DiscountFactor B = y.discountFactor(t);
P += c * B; P += c * B;
switch (y.compounding()) { switch (y.compounding()) {
Expand Down Expand Up @@ -1095,7 +1053,7 @@ namespace QuantLib {
QL_FAIL("unknown compounding convention (" << QL_FAIL("unknown compounding convention (" <<
Integer(y.compounding()) << ")"); Integer(y.compounding()) << ")");
} }
lastDate = couponDate; lastDate = leg[i]->date();
} }


if (P == 0.0) if (P == 0.0)
Expand Down
44 changes: 44 additions & 0 deletions test-suite/bonds.cpp
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Original file line number Original file line Diff line number Diff line change
Expand Up @@ -1378,6 +1378,49 @@ void BondTest::testBondFromScheduleWithDateVector()
} }
} }


void BondTest::testThiry360BondWithSettlementOn31st(){
BOOST_TEST_MESSAGE("Testing Thiry360Bond With Settlement On 31st of the month");

// cusip 3130A0X70, data is from Bloomberg
SavedSettings backup;
Settings::instance().evaluationDate() = Date(28, July, 2017);

Date datedDate(13, February, 2014);
Date settlement(31, July, 2017);
Date maturity(13, August, 2018);

DayCounter dayCounter = Thirty360(Thirty360::USA);
Compounding compounding = Compounded;

Schedule fixedBondSchedule(datedDate,
maturity,
Period(Semiannual),
UnitedStates(UnitedStates::GovernmentBond),
Unadjusted, Unadjusted, DateGeneration::Forward, false);

FixedRateBond fixedRateBond(
1,
100,
fixedBondSchedule,
std::vector<Rate>(1, 0.015),
dayCounter,
Unadjusted,
100.0);

double cleanPrice = 100;

Real yield = BondFunctions::yield(fixedRateBond, cleanPrice, dayCounter, compounding, Semiannual, settlement);
ASSERT_CLOSE("yield", settlement, yield, 0.015, 1e-4);

Real duration = BondFunctions::duration(fixedRateBond, InterestRate(yield, dayCounter, compounding, Semiannual), Duration::Macaulay, settlement);
ASSERT_CLOSE("duration", settlement, duration, 1.022, 1e-3);

Real convexity = BondFunctions::convexity(fixedRateBond, InterestRate(yield, dayCounter, compounding, Semiannual), settlement)/100;
ASSERT_CLOSE("convexity", settlement, convexity, 0.015, 1e-3);

Real accrued = BondFunctions::accruedAmount(fixedRateBond, settlement);
ASSERT_CLOSE("accrued", settlement, accrued, 0.7, 1e-6);
}


test_suite* BondTest::suite() { test_suite* BondTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Bond tests"); test_suite* suite = BOOST_TEST_SUITE("Bond tests");
Expand All @@ -1394,6 +1437,7 @@ test_suite* BondTest::suite() {
suite->add(QUANTLIB_TEST_CASE(&BondTest::testExCouponGilt)); suite->add(QUANTLIB_TEST_CASE(&BondTest::testExCouponGilt));
suite->add(QUANTLIB_TEST_CASE(&BondTest::testExCouponAustralianBond)); suite->add(QUANTLIB_TEST_CASE(&BondTest::testExCouponAustralianBond));
suite->add(QUANTLIB_TEST_CASE(&BondTest::testBondFromScheduleWithDateVector)); suite->add(QUANTLIB_TEST_CASE(&BondTest::testBondFromScheduleWithDateVector));
suite->add(QUANTLIB_TEST_CASE(&BondTest::testThiry360BondWithSettlementOn31st));
return suite; return suite;
} }


1 change: 1 addition & 0 deletions test-suite/bonds.hpp
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Original file line number Original file line Diff line number Diff line change
Expand Up @@ -39,6 +39,7 @@ class BondTest {
static void testExCouponGilt(); static void testExCouponGilt();
static void testExCouponAustralianBond(); static void testExCouponAustralianBond();
static void testBondFromScheduleWithDateVector(); static void testBondFromScheduleWithDateVector();
static void testThiry360BondWithSettlementOn31st();
static boost::unit_test_framework::test_suite* suite(); static boost::unit_test_framework::test_suite* suite();
}; };


Expand Down