Posted by
semiparametric on
Feb 19, 2014; 12:59am
URL: http://quantlib.414.s1.nabble.com/Pricing-a-vanilla-swap-with-a-given-zero-curve-instead-of-boostrapping-tp14987.html
Dear All:
I am a newbie to quantlib. I run below code to price a vanilla swap with a given zero curve. The code can be complied smoothly in VS2010, however, when I tried to run the programme, something went wrong, and the NPV couldn't be generated. Could anyone give me a hint on how to revise the code? Thanks in advance.
#include <fstream>
#include <vector>
#include <ql/quantlib.hpp>
using namespace QuantLib;
#if defined(QL_ENABLE_SESSIONS)
namespace QuantLib {
Integer sessionId() { return 0; }
}
#endif
int main(int, char*[])
{ /////////////////////////////////// Settings ///////////////////////////////
Calendar calendar = TARGET();
Date settlementDate(15, October, 2013);
// must be a business day
settlementDate = calendar.adjust(settlementDate);
Integer fixingDays = 0;
Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);
// nothing to do with Date::todaysDate
Settings::instance().evaluationDate() = todaysDate;
// LIBOR Curve
std::vector<Date> dates; std::vector<Rate> rates;
dates.push_back(settlementDate); rates.push_back(0.26/100.0);
dates.push_back(calendar.advance(settlementDate,3,Months)); rates.push_back(0.26/100.0);
dates.push_back(calendar.advance(settlementDate,6,Months)); rates.push_back(0.412/100.0);
dates.push_back(calendar.advance(settlementDate,9,Months)); rates.push_back(0.572/100.0);
dates.push_back(calendar.advance(settlementDate,1,Years)); rates.push_back(0.735/100.0);
dates.push_back(calendar.advance(settlementDate,2,Years)); rates.push_back(0.715/100.0);
dates.push_back(calendar.advance(settlementDate,3,Years)); rates.push_back(1.173/100.0);
dates.push_back(calendar.advance(settlementDate,4,Years)); rates.push_back(1.621/100.0);
dates.push_back(calendar.advance(settlementDate,5,Years)); rates.push_back(2.027/100.0);
dates.push_back(calendar.advance(settlementDate,6,Years)); rates.push_back(2.372/100.0);
dates.push_back(calendar.advance(settlementDate,7,Years)); rates.push_back(2.654/100.0);
dates.push_back(calendar.advance(settlementDate,8,Years)); rates.push_back(2.884/100.0);
dates.push_back(calendar.advance(settlementDate,9,Years)); rates.push_back(3.072/100.0);
dates.push_back(calendar.advance(settlementDate,10,Years)); rates.push_back(3.227/100.0);
//daycounter for the curve inputed.
DayCounter dayCounter = Actual360();
boost::shared_ptr<YieldTermStructure> LiborCurvePtr(
new InterpolatedZeroCurve<LogLinear>(dates, rates, dayCounter));
Handle<YieldTermStructure> liborTS(LiborCurvePtr);
boost::shared_ptr<IborIndex> index(
new USDLibor(Period(3, Months), liborTS));
/*********************
* SWAPS TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
Real nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency =Quarterly;
BusinessDayConvention fixedLegConvention = Unadjusted;
BusinessDayConvention floatingLegConvention = ModifiedFollowing;
DayCounter fixedLegDayCounter = Thirty360(Thirty360::European);
Rate fixedRate = 0.04;
DayCounter floatingLegDayCounter = Actual360();
// floating leg
Frequency floatingLegFrequency = Quarterly;
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, index, spread,
floatingLegDayCounter);
spot5YearSwap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(liborTS,false,settlementDate,settlementDate)));
/***************
* 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, ' ');
Real NPV;
Rate fairRate;
Spread fairSpread;
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "Spot-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;
std::cin.get();
return 0;
}