Labor Day curve problem
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I have having a problem with evaluating a swap near Labor Day. I can reproduce it with the swap example by changing the calendar and the index. Here is the modified swap example.
#include <ql/quantlib.hpp> #ifdef BOOST_MSVC /* Uncomment the following lines to unmask floating-point exceptions. Warning: unpredictable results can arise... See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481 Is there anyone with a definitive word about this? */ // #include <float.h> // namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); } #endif #include <boost/timer.hpp> #include <iostream> #include <iomanip> using namespace QuantLib; #if defined(QL_ENABLE_SESSIONS) namespace QuantLib { Integer sessionId() { return 0; } } #endif int main(int, char* []) { try { boost::timer timer; std::cout << std::endl; /********************* *** MARKET DATA *** *********************/ //Calendar calendar = TARGET(); Calendar calendar = JointCalendar(UnitedStates(UnitedStates::NYSE), UnitedKingdom(UnitedKingdom::Exchange)); // uncommenting the following line generates an error // calendar = Tokyo(); Date settlementDate(2, September, 2008); // must be a business day settlementDate = calendar.adjust(settlementDate); Integer fixingDays = 2; Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days); // nothing to do with Date::todaysDate Settings::instance().evaluationDate() = todaysDate; todaysDate = Settings::instance().evaluationDate(); std::cout << "Today: " << todaysDate.weekday() << ", " << todaysDate << std::endl; std::cout << "Settlement date: " << settlementDate.weekday() << ", " << settlementDate << std::endl; // deposits Rate d1wQuote=0.0382; Rate d1mQuote=0.0372; Rate d3mQuote=0.0363; Rate d6mQuote=0.0353; Rate d9mQuote=0.0348; Rate d1yQuote=0.0345; // FRAs Rate fra3x6Quote=0.037125; Rate fra6x9Quote=0.037125; Rate fra6x12Quote=0.037125; // futures Real fut1Quote=96.2875; Real fut2Quote=96.7875; Real fut3Quote=96.9875; Real fut4Quote=96.6875; Real fut5Quote=96.4875; Real fut6Quote=96.3875; Real fut7Quote=96.2875; Real fut8Quote=96.0875; // swaps Rate s2yQuote=0.037125; Rate s3yQuote=0.0398; Rate s5yQuote=0.0443; Rate s10yQuote=0.05165; Rate s15yQuote=0.055175; /******************** *** QUOTES *** ********************/ // SimpleQuote stores a value which can be manually changed; // other Quote subclasses could read the value from a database // or some kind of data feed. // deposits boost::shared_ptr<Quote> d1wRate(new SimpleQuote(d1wQuote)); boost::shared_ptr<Quote> d1mRate(new SimpleQuote(d1mQuote)); boost::shared_ptr<Quote> d3mRate(new SimpleQuote(d3mQuote)); boost::shared_ptr<Quote> d6mRate(new SimpleQuote(d6mQuote)); boost::shared_ptr<Quote> d9mRate(new SimpleQuote(d9mQuote)); boost::shared_ptr<Quote> d1yRate(new SimpleQuote(d1yQuote)); // FRAs boost::shared_ptr<Quote> fra3x6Rate(new SimpleQuote(fra3x6Quote)); boost::shared_ptr<Quote> fra6x9Rate(new SimpleQuote(fra6x9Quote)); boost::shared_ptr<Quote> fra6x12Rate(new SimpleQuote(fra6x12Quote)); // futures boost::shared_ptr<Quote> fut1Price(new SimpleQuote(fut1Quote)); boost::shared_ptr<Quote> fut2Price(new SimpleQuote(fut2Quote)); boost::shared_ptr<Quote> fut3Price(new SimpleQuote(fut3Quote)); boost::shared_ptr<Quote> fut4Price(new SimpleQuote(fut4Quote)); boost::shared_ptr<Quote> fut5Price(new SimpleQuote(fut5Quote)); boost::shared_ptr<Quote> fut6Price(new SimpleQuote(fut6Quote)); boost::shared_ptr<Quote> fut7Price(new SimpleQuote(fut7Quote)); boost::shared_ptr<Quote> fut8Price(new SimpleQuote(fut8Quote)); // swaps boost::shared_ptr<Quote> s2yRate(new SimpleQuote(s2yQuote)); boost::shared_ptr<Quote> s3yRate(new SimpleQuote(s3yQuote)); boost::shared_ptr<Quote> s5yRate(new SimpleQuote(s5yQuote)); boost::shared_ptr<Quote> s10yRate(new SimpleQuote(s10yQuote)); boost::shared_ptr<Quote> s15yRate(new SimpleQuote(s15yQuote)); /********************* *** RATE HELPERS *** *********************/ // RateHelpers are built from the above quotes together with // other instrument dependant infos. Quotes are passed in // relinkable handles which could be relinked to some other // data source later. // deposits DayCounter depositDayCounter = Actual360(); boost::shared_ptr<RateHelper> d1w(new DepositRateHelper( Handle<Quote>(d1wRate), 1*Weeks, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d1m(new DepositRateHelper( Handle<Quote>(d1mRate), 1*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d3m(new DepositRateHelper( Handle<Quote>(d3mRate), 3*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d6m(new DepositRateHelper( Handle<Quote>(d6mRate), 6*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d9m(new DepositRateHelper( Handle<Quote>(d9mRate), 9*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d1y(new DepositRateHelper( Handle<Quote>(d1yRate), 1*Years, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); // setup FRAs boost::shared_ptr<RateHelper> fra3x6(new FraRateHelper( Handle<Quote>(fra3x6Rate), 3, 6, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra6x9(new FraRateHelper( Handle<Quote>(fra6x9Rate), 6, 9, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra6x12(new FraRateHelper( Handle<Quote>(fra6x12Rate), 6, 12, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); // setup futures // Rate convexityAdjustment = 0.0; Integer futMonths = 3; Date imm = IMM::nextDate(settlementDate); boost::shared_ptr<RateHelper> fut1(new FuturesRateHelper( Handle<Quote>(fut1Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut2(new FuturesRateHelper( Handle<Quote>(fut2Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut3(new FuturesRateHelper( Handle<Quote>(fut3Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut4(new FuturesRateHelper( Handle<Quote>(fut4Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut5(new FuturesRateHelper( Handle<Quote>(fut5Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut6(new FuturesRateHelper( Handle<Quote>(fut6Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut7(new FuturesRateHelper( Handle<Quote>(fut7Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut8(new FuturesRateHelper( Handle<Quote>(fut8Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); // setup swaps Frequency swFixedLegFrequency = Annual; BusinessDayConvention swFixedLegConvention = Unadjusted; DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European); // boost::shared_ptr<IborIndex> swFloatingLegIndex(new Euribor6M); boost::shared_ptr<IborIndex> swFloatingLegIndex(new USDLibor(6*Months)); boost::shared_ptr<RateHelper> s2y(new SwapRateHelper( Handle<Quote>(s2yRate), 2*Years, calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex)); boost::shared_ptr<RateHelper> s3y(new SwapRateHelper( Handle<Quote>(s3yRate), 3*Years, calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex)); boost::shared_ptr<RateHelper> s5y(new SwapRateHelper( Handle<Quote>(s5yRate), 5*Years, calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex)); boost::shared_ptr<RateHelper> s10y(new SwapRateHelper( Handle<Quote>(s10yRate), 10*Years, calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex)); boost::shared_ptr<RateHelper> s15y(new SwapRateHelper( Handle<Quote>(s15yRate), 15*Years, calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex)); /********************* ** CURVE BUILDING ** *********************/ // Any DayCounter would be fine. // ActualActual::ISDA ensures that 30 years is 30.0 DayCounter termStructureDayCounter = ActualActual(ActualActual::ISDA); double tolerance = 1.0e-15; // A depo-swap curve std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments; depoSwapInstruments.push_back(d1w); depoSwapInstruments.push_back(d1m); depoSwapInstruments.push_back(d3m); depoSwapInstruments.push_back(d6m); depoSwapInstruments.push_back(d9m); depoSwapInstruments.push_back(d1y); depoSwapInstruments.push_back(s2y); depoSwapInstruments.push_back(s3y); depoSwapInstruments.push_back(s5y); depoSwapInstruments.push_back(s10y); depoSwapInstruments.push_back(s15y); boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoSwapInstruments, termStructureDayCounter, std::vector<Handle<Quote> >(), std::vector<Date>(), tolerance)); // A depo-futures-swap curve std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments; depoFutSwapInstruments.push_back(d1w); depoFutSwapInstruments.push_back(d1m); depoFutSwapInstruments.push_back(fut1); depoFutSwapInstruments.push_back(fut2); depoFutSwapInstruments.push_back(fut3); depoFutSwapInstruments.push_back(fut4); depoFutSwapInstruments.push_back(fut5); depoFutSwapInstruments.push_back(fut6); depoFutSwapInstruments.push_back(fut7); depoFutSwapInstruments.push_back(fut8); depoFutSwapInstruments.push_back(s3y); depoFutSwapInstruments.push_back(s5y); depoFutSwapInstruments.push_back(s10y); depoFutSwapInstruments.push_back(s15y); boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoFutSwapInstruments, termStructureDayCounter, std::vector<Handle<Quote> >(), std::vector<Date>(), tolerance)); // A depo-FRA-swap curve std::vector<boost::shared_ptr<RateHelper> > depoFRASwapInstruments; depoFRASwapInstruments.push_back(d1w); depoFRASwapInstruments.push_back(d1m); depoFRASwapInstruments.push_back(d3m); depoFRASwapInstruments.push_back(fra3x6); depoFRASwapInstruments.push_back(fra6x9); depoFRASwapInstruments.push_back(fra6x12); depoFRASwapInstruments.push_back(s2y); depoFRASwapInstruments.push_back(s3y); depoFRASwapInstruments.push_back(s5y); depoFRASwapInstruments.push_back(s10y); depoFRASwapInstruments.push_back(s15y); boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoFRASwapInstruments, termStructureDayCounter, std::vector<Handle<Quote> >(), std::vector<Date>(), tolerance)); // Term structures that will be used for pricing: // the one used for discounting cash flows RelinkableHandle<YieldTermStructure> discountingTermStructure; // the one used for forward rate forecasting RelinkableHandle<YieldTermStructure> forecastingTermStructure; /********************* * SWAPS TO BE PRICED * **********************/ // constant nominal 1,000,000 Euro Real nominal = 1000000.0; // fixed leg Frequency fixedLegFrequency = Annual; BusinessDayConvention fixedLegConvention = Unadjusted; BusinessDayConvention floatingLegConvention = ModifiedFollowing; DayCounter fixedLegDayCounter = Thirty360(Thirty360::European); Rate fixedRate = 0.04; DayCounter floatingLegDayCounter = Actual360(); // floating leg Frequency floatingLegFrequency = Semiannual; //boost::shared_ptr<IborIndex> euriborIndex( // new Euribor6M(forecastingTermStructure)); boost::shared_ptr<IborIndex> euriborIndex( new USDLibor(6*Months, forecastingTermStructure)); Spread spread = 0.0; Integer lenghtInYears = 5; VanillaSwap::Type swapType = VanillaSwap::Payer; Date maturity = settlementDate + lenghtInYears*Years; Schedule fixedSchedule(settlementDate, maturity, Period(fixedLegFrequency), calendar, fixedLegConvention, fixedLegConvention, DateGeneration::Forward, false); Schedule floatSchedule(settlementDate, maturity, Period(floatingLegFrequency), calendar, floatingLegConvention, floatingLegConvention, DateGeneration::Forward, false); VanillaSwap spot5YearSwap(swapType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatSchedule, euriborIndex, spread, floatingLegDayCounter); Date fwdStart = calendar.advance(settlementDate, 1, Years); Date fwdMaturity = fwdStart + lenghtInYears*Years; Schedule fwdFixedSchedule(fwdStart, fwdMaturity, Period(fixedLegFrequency), calendar, fixedLegConvention, fixedLegConvention, DateGeneration::Forward, false); Schedule fwdFloatSchedule(fwdStart, fwdMaturity, Period(floatingLegFrequency), calendar, floatingLegConvention, floatingLegConvention, DateGeneration::Forward, false); VanillaSwap oneYearForward5YearSwap(swapType, nominal, fwdFixedSchedule, fixedRate, fixedLegDayCounter, fwdFloatSchedule, euriborIndex, spread, floatingLegDayCounter); /*************** * SWAP PRICING * ****************/ // utilities for reporting std::vector<std::string> headers(4); headers[0] = "term structure"; headers[1] = "net present value"; headers[2] = "fair spread"; headers[3] = "fair fixed rate"; std::string separator = " | "; Size width = headers[0].size() + separator.size() + headers[1].size() + separator.size() + headers[2].size() + separator.size() + headers[3].size() + separator.size() - 1; std::string rule(width, '-'), dblrule(width, '='); std::string tab(8, ' '); // calculations std::cout << dblrule << std::endl; std::cout << "5-year market swap-rate = " << std::setprecision(2) << io::rate(s5yRate->value()) << std::endl; std::cout << dblrule << std::endl; std::cout << tab << "5-years swap paying " << io::rate(fixedRate) << std::endl; std::cout << headers[0] << separator << headers[1] << separator << headers[2] << separator << headers[3] << separator << std::endl; std::cout << rule << std::endl; Real NPV; Rate fairRate; Spread fairSpread; boost::shared_ptr<PricingEngine> swapEngine( new DiscountingSwapEngine(discountingTermStructure)); spot5YearSwap.setPricingEngine(swapEngine); oneYearForward5YearSwap.setPricingEngine(swapEngine); // Of course, you're not forced to really use different curves forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; // let's check that the 5 years swap has been correctly re-priced QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, "5-years swap mispriced by " << io::rate(std::fabs(fairRate-s5yQuote))); forecastingTermStructure.linkTo(depoFutSwapTermStructure); discountingTermStructure.linkTo(depoFutSwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-fut-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, "5-years swap mispriced!"); forecastingTermStructure.linkTo(depoFRASwapTermStructure); discountingTermStructure.linkTo(depoFRASwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-FRA-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, "5-years swap mispriced!"); std::cout << rule << std::endl; // now let's price the 1Y forward 5Y swap std::cout << tab << "5-years, 1-year forward swap paying " << io::rate(fixedRate) << std::endl; std::cout << headers[0] << separator << headers[1] << separator << headers[2] << separator << headers[3] << separator << std::endl; std::cout << rule << std::endl; forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; forecastingTermStructure.linkTo(depoFutSwapTermStructure); discountingTermStructure.linkTo(depoFutSwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-fut-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; forecastingTermStructure.linkTo(depoFRASwapTermStructure); discountingTermStructure.linkTo(depoFRASwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-FRA-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; // now let's say that the 5-years swap rate goes up to 4.60%. // A smarter market element--say, connected to a data source-- would // notice the change itself. Since we're using SimpleQuotes, // we'll have to change the value manually--which forces us to // downcast the handle and use the SimpleQuote // interface. In any case, the point here is that a change in the // value contained in the Quote triggers a new bootstrapping // of the curve and a repricing of the swap. boost::shared_ptr<SimpleQuote> fiveYearsRate = boost::dynamic_pointer_cast<SimpleQuote>(s5yRate); fiveYearsRate->setValue(0.0460); std::cout << dblrule << std::endl; std::cout << "5-year market swap-rate = " << io::rate(s5yRate->value()) << std::endl; std::cout << dblrule << std::endl; std::cout << tab << "5-years swap paying " << io::rate(fixedRate) << std::endl; std::cout << headers[0] << separator << headers[1] << separator << headers[2] << separator << headers[3] << separator << std::endl; std::cout << rule << std::endl; // now get the updated results forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, "5-years swap mispriced!"); forecastingTermStructure.linkTo(depoFutSwapTermStructure); discountingTermStructure.linkTo(depoFutSwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-fut-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, "5-years swap mispriced!"); forecastingTermStructure.linkTo(depoFRASwapTermStructure); discountingTermStructure.linkTo(depoFRASwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-FRA-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, "5-years swap mispriced!"); std::cout << rule << std::endl; // the 1Y forward 5Y swap changes as well std::cout << tab << "5-years, 1-year forward swap paying " << io::rate(fixedRate) << std::endl; std::cout << headers[0] << separator << headers[1] << separator << headers[2] << separator << headers[3] << separator << std::endl; std::cout << rule << std::endl; forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; forecastingTermStructure.linkTo(depoFutSwapTermStructure); discountingTermStructure.linkTo(depoFutSwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-fut-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; forecastingTermStructure.linkTo(depoFRASwapTermStructure); discountingTermStructure.linkTo(depoFRASwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-FRA-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; Real seconds = timer.elapsed(); Integer hours = int(seconds/3600); seconds -= hours * 3600; Integer minutes = int(seconds/60); seconds -= minutes * 60; std::cout << " \nRun completed in "; if (hours > 0) std::cout << hours << " h "; if (hours > 0 || minutes > 0) std::cout << minutes << " m "; std::cout << std::fixed << std::setprecision(0) << seconds << " s\n" << std::endl; return 0; } catch (std::exception& e) { std::cout << e.what() << std::endl; return 1; } catch (...) { std::cout << "unknown error" << std::endl; return 1; } } The output of the program is this: Today: Thursday, August 28th, 2008 Settlement date: Tuesday, September 2nd, 2008 ==================================================================== 5-year market swap-rate = 4.43 % ==================================================================== 5-years swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- 1st iteration: could not bootstrap the 7th instrument, maturity September 1st, 2010: negative time (-0.00273224) given All I did is change to evaluation date to August 28th, 2008, change the calendar to JointCalendar(UnitedStates(UnitedStates::NYSE), UnitedKingdom(UnitedKingdom::Exchange)), and change the the index from Euribor6M to USDLibor(6*Months). The program seems to be trying to calculate the discount factor on 09/01/08 which is Labor Day in the USA. Am I doing something wrong in setting up the curve? Any help would be appreciated. ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Labor Day curve problem
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Hi Nathan
On Tue, Sep 23, 2008 at 12:48 AM, Nathan Abbott <[hidden email]> wrote: > I have having a problem with evaluating a swap near Labor Day. which QuantLib version are you using? > I can reproduce it with the swap example by changing the calendar and the index. Here is the modified swap example. > [...] > All I did is change to evaluation date to August 28th, 2008, change the calendar > to JointCalendar(UnitedStates(UnitedStates::NYSE), UnitedKingdom(UnitedKingdom::Exchange)), > and change the the index from Euribor6M to USDLibor(6*Months). I applied your modifications and had no problem. see the attached file. I am using the current development trunk version ciao -- Nando ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
swapvaluation.cpp (44K) |
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On Wed, 2008-09-24 at 12:53 +0200, Ferdinando Ametrano wrote:
> On Tue, Sep 23, 2008 at 12:48 AM, Nathan Abbott <[hidden email]> wrote: > > I have having a problem with evaluating a swap near Labor Day. > > > I can reproduce it with the swap example by changing the calendar and the index. Here is the modified swap example. > > [...] > > All I did is change to evaluation date to August 28th, 2008, change the calendar > > to JointCalendar(UnitedStates(UnitedStates::NYSE), UnitedKingdom(UnitedKingdom::Exchange)), > > and change the the index from Euribor6M to USDLibor(6*Months). > > I applied your modifications and had no problem. see the attached > file. I am using the current development trunk version That's why you had no problem---I fixed that problem on the trunk about a month ago. Nathan, if you're familiar with Subversion, you can retrieve the changeset from revision 15311 and apply it to your sources. Luigi -- Steinbach's Guideline for Systems Programming: Never test for an error condition you don't know how to handle. ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Luigi and Ferdinando thank you for your help. I will look into revision 15311.
On Wed, Sep 24, 2008 at 4:58 AM, Luigi Ballabio <[hidden email]> wrote:
------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by Luigi Ballabio
Hi, Luigi, i am using quantlib .0.9.6 and get the same error as Nathan when i call Npv() on a credit default swap, if only happens on some valuation dates, like oct20,2008 and oct17, 2008. Do you think it could be the same bug? How can i get the version 15311?
Thanks Kevin
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