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Example of convexityAdjustment

Posted by suhasg on
URL: http://quantlib.414.s1.nabble.com/Example-of-convexityAdjustment-tp15206.html

Hello ,

 

I am trying to use the convexityAdjustment for ED futures quotes we receive from our vendor while building the curve.

I am still learning my way around Quantlib and wrote code based on swapvaluation.cpp as follows

But getting compilation issues as:

 

see reference to function template instantiation 'boost::shared_ptr<T>::shared_ptr<QuantLib::FuturesRateHelper,QuantLib::Handle<QuantLib::Quote>>(Y *,D)' being compiled

1>          with

1>          [

1>              T=QuantLib::RateHelper,

1>              Y=QuantLib::FuturesRateHelper,

1>              D=QuantLib::Handle<QuantLib::Quote>

1>              ]

 

Here is the code I used, can someone please give me an example of how to correctly use convexityAdjustment?

Thanks a lot.

 

==========================================================================================================

 

#include <boost/format.hpp>

 

#include <ql/quantlib.hpp>

 

using namespace QuantLib;

 

 

/// A structure to hold all the market quotes for a single curve

/// together

struct CurveData {

 

    boost::shared_ptr<SimpleQuote>  d1wRate;

    boost::shared_ptr<SimpleQuote>  d1mRate;

    boost::shared_ptr<SimpleQuote>  d3mRate;

    boost::shared_ptr<SimpleQuote>  d6mRate;

    boost::shared_ptr<SimpleQuote>  d9mRate;

    boost::shared_ptr<SimpleQuote>  d1yRate;

 

    boost::shared_ptr<SimpleQuote>  fra3x6Rate;

    boost::shared_ptr<SimpleQuote>  fra6x9Rate;

    boost::shared_ptr<SimpleQuote>  fra6x12Rate;

 

    boost::shared_ptr<SimpleQuote>  fut1Price;

    boost::shared_ptr<SimpleQuote>  fut2Price;

    boost::shared_ptr<SimpleQuote>  fut3Price;

    boost::shared_ptr<SimpleQuote>  fut4Price;

    boost::shared_ptr<SimpleQuote>  fut5Price;

    boost::shared_ptr<SimpleQuote>  fut6Price;

    boost::shared_ptr<SimpleQuote>  fut7Price;

    boost::shared_ptr<SimpleQuote>  fut8Price;

 

       boost::shared_ptr<SimpleQuote>  fut1Convx;

    boost::shared_ptr<SimpleQuote>  fut2Convx;

    boost::shared_ptr<SimpleQuote>  fut3Convx;

    boost::shared_ptr<SimpleQuote>  fut4Convx;

    boost::shared_ptr<SimpleQuote>  fut5Convx;

    boost::shared_ptr<SimpleQuote>  fut6Convx;

    boost::shared_ptr<SimpleQuote>  fut7Convx;

    boost::shared_ptr<SimpleQuote>  fut8Convx;

 

    boost::shared_ptr<SimpleQuote>  s2yRate;

    boost::shared_ptr<SimpleQuote>  s3yRate;

    boost::shared_ptr<SimpleQuote>  s5yRate;

    boost::shared_ptr<SimpleQuote>  s10yRate;

    boost::shared_ptr<SimpleQuote>  s15yRate;

 

    CurveData():

        d1wRate(new SimpleQuote()),

        d1mRate(new SimpleQuote()),

        d3mRate(new SimpleQuote()),

        d6mRate(new SimpleQuote()),

        d9mRate(new SimpleQuote()),

        d1yRate(new SimpleQuote()),

 

        fra3x6Rate(new SimpleQuote()),

        fra6x9Rate(new SimpleQuote()),

        fra6x12Rate(new SimpleQuote()),

 

        fut1Price(new SimpleQuote()),

        fut2Price(new SimpleQuote()),

        fut3Price(new SimpleQuote()),

        fut4Price(new SimpleQuote()),

        fut5Price(new SimpleQuote()),

        fut6Price(new SimpleQuote()),

        fut7Price(new SimpleQuote()),

        fut8Price(new SimpleQuote()),

 

              fut1Convx(new SimpleQuote()),

        fut2Convx(new SimpleQuote()),

        fut3Convx(new SimpleQuote()),

        fut4Convx(new SimpleQuote()),

        fut5Convx(new SimpleQuote()),

        fut6Convx(new SimpleQuote()),

        fut7Convx(new SimpleQuote()),

        fut8Convx(new SimpleQuote()),

 

        s2yRate(new SimpleQuote()),

        s3yRate(new SimpleQuote()),

        s5yRate(new SimpleQuote()),

        s10yRate(new SimpleQuote()),

        s15yRate(new SimpleQuote())

    {

    }

};

 

// Fill out the curve with sample market data (from more optimistic

// times!)

void sampleMktData(CurveData &cd)

{

    (*cd.d1wRate)=0.0382;

 

    (*cd.d1mRate)=0.0372;

    (*cd.d3mRate)=0.0363;

    (*cd.d6mRate)=0.0353;

    (*cd.d9mRate)=0.0348;

    (*cd.d1yRate)=0.0345;

 

    (*cd.fra3x6Rate)=0.037125;

    (*cd.fra6x9Rate)=0.037125;

    (*cd.fra6x12Rate)=0.037125;

 

    (*cd.fut1Price)=96.2875;

    (*cd.fut2Price)=96.7875;

    (*cd.fut3Price)=96.9875;

    (*cd.fut4Price)=96.6875;

    (*cd.fut5Price)=96.4875;

    (*cd.fut6Price)=96.3875;

    (*cd.fut7Price)=96.2875;

    (*cd.fut8Price)=96.0875;

 

       (*cd.fut1Convx)=0.0;

    (*cd.fut2Convx)=0.0;

    (*cd.fut3Convx)=0.0;

    (*cd.fut4Convx)=0.0001;

    (*cd.fut5Convx)=0.0006;

    (*cd.fut6Convx)=0.0021;

    (*cd.fut7Convx)=0.0065;

    (*cd.fut8Convx)=0.0143;

 

    // swaps

    (*cd.s2yRate)=0.037125;

    (*cd.s3yRate)=0.0398;

    (*cd.s5yRate)=0.0443;

    (*cd.s10yRate)=0.05165;

    (*cd.s15yRate)=0.055175;

}

 

/// Build a yield curve. Note that the resulting curve is linked to

/// the supplied data and will change with it

boost::shared_ptr<YieldTermStructure> buildCurve(const CurveData &cd)

{

        Calendar calendar = TARGET();

        Date settlementDate(1, September, 2010);

        // 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();

 

        DayCounter depositDayCounter = Actual360();

 

        boost::shared_ptr<RateHelper> d1w(new DepositRateHelper(

            Handle<Quote>(cd.d1wRate),

            1*Weeks, fixingDays,

            calendar, ModifiedFollowing,

            true, depositDayCounter));

        boost::shared_ptr<RateHelper> d1m(new DepositRateHelper(

            Handle<Quote>(cd.d1mRate),

            1*Months, fixingDays,

            calendar, ModifiedFollowing,

            true, depositDayCounter));

        boost::shared_ptr<RateHelper> d3m(new DepositRateHelper(

            Handle<Quote>(cd.d3mRate),

            3*Months, fixingDays,

            calendar, ModifiedFollowing,

            true, depositDayCounter));

        boost::shared_ptr<RateHelper> d6m(new DepositRateHelper(

            Handle<Quote>(cd.d6mRate),

            6*Months, fixingDays,

            calendar, ModifiedFollowing,

            true, depositDayCounter));

        boost::shared_ptr<RateHelper> d9m(new DepositRateHelper(

            Handle<Quote>(cd.d9mRate),

            9*Months, fixingDays,

            calendar, ModifiedFollowing,

            true, depositDayCounter));

        boost::shared_ptr<RateHelper> d1y(new DepositRateHelper(

            Handle<Quote>(cd.d1yRate),

            1*Years, fixingDays,

            calendar, ModifiedFollowing,

            true, depositDayCounter));

 

 

        // setup FRAs

        boost::shared_ptr<RateHelper> fra3x6(new FraRateHelper(

            Handle<Quote>(cd.fra3x6Rate),

            3, 6, fixingDays, calendar, ModifiedFollowing,

            true, depositDayCounter));

        boost::shared_ptr<RateHelper> fra6x9(new FraRateHelper(

            Handle<Quote>(cd.fra6x9Rate),

            6, 9, fixingDays, calendar, ModifiedFollowing,

            true, depositDayCounter));

        boost::shared_ptr<RateHelper> fra6x12(new FraRateHelper(

            Handle<Quote>(cd.fra6x12Rate),

            6, 12, fixingDays, calendar, ModifiedFollowing,

            true, depositDayCounter));

 

 

        // setup futures

        // This is the part I need help with -

        Integer futMonths = 3;

        Date imm = IMM::nextDate(settlementDate);

        boost::shared_ptr<RateHelper> fut1(new FuturesRateHelper(

            Handle<Quote>(cd.fut1Price),

            imm,

            futMonths, calendar, ModifiedFollowing,

            true, depositDayCounter),Handle<Quote>(cd.fut1Convx)); -- this is incorrect

        imm = IMM::nextDate(imm+1);

        boost::shared_ptr<RateHelper> fut2(new FuturesRateHelper(

            Handle<Quote>(cd.fut2Price),

            imm,

            futMonths, calendar, ModifiedFollowing,

            true, depositDayCounter),Handle<Quote>(cd.fut2Convx));

        imm = IMM::nextDate(imm+1);

        boost::shared_ptr<RateHelper> fut3(new FuturesRateHelper(

            Handle<Quote>(cd.fut3Price),

            imm,

            futMonths, calendar, ModifiedFollowing,

            true, depositDayCounter),Handle<Quote>(cd.fut3Convx));

        imm = IMM::nextDate(imm+1);

        boost::shared_ptr<RateHelper> fut4(new FuturesRateHelper(

            Handle<Quote>(cd.fut4Price),

            imm,

            futMonths, calendar, ModifiedFollowing,

            true, depositDayCounter),Handle<Quote>(cd.fut4Convx));

        imm = IMM::nextDate(imm+1);

        boost::shared_ptr<RateHelper> fut5(new FuturesRateHelper(

            Handle<Quote>(cd.fut5Price),

            imm,

            futMonths, calendar, ModifiedFollowing,

            true, depositDayCounter),Handle<Quote>(cd.fut5Convx));

        imm = IMM::nextDate(imm+1);

        boost::shared_ptr<RateHelper> fut6(new FuturesRateHelper(

            Handle<Quote>(cd.fut6Price),

            imm,

            futMonths, calendar, ModifiedFollowing,

            true, depositDayCounter),Handle<Quote>(cd.fut6Convx));

        imm = IMM::nextDate(imm+1);

        boost::shared_ptr<RateHelper> fut7(new FuturesRateHelper(

            Handle<Quote>(cd.fut7Price),

            imm,

            futMonths, calendar, ModifiedFollowing,

            true, depositDayCounter),Handle<Quote>(cd.fut7Convx));

        imm = IMM::nextDate(imm+1);

        boost::shared_ptr<RateHelper> fut8(new FuturesRateHelper(

            Handle<Quote>(cd.fut8Price),

            imm,

            futMonths, calendar, ModifiedFollowing,

            true, depositDayCounter),Handle<Quote>(cd.fut8Convx));

 

 

        // setup swaps

        Frequency swFixedLegFrequency = Annual;

        BusinessDayConvention swFixedLegConvention = Unadjusted;

        DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);

        boost::shared_ptr<IborIndex> swFloatingLegIndex(new Euribor6M);

 

        boost::shared_ptr<RateHelper> s2y(new SwapRateHelper(

            Handle<Quote>(cd.s2yRate), 2*Years,

            calendar, swFixedLegFrequency,

            swFixedLegConvention, swFixedLegDayCounter,

            swFloatingLegIndex));

        boost::shared_ptr<RateHelper> s3y(new SwapRateHelper(

            Handle<Quote>(cd.s3yRate), 3*Years,

            calendar, swFixedLegFrequency,

            swFixedLegConvention, swFixedLegDayCounter,

            swFloatingLegIndex));

        boost::shared_ptr<RateHelper> s5y(new SwapRateHelper(

            Handle<Quote>(cd.s5yRate), 5*Years,

            calendar, swFixedLegFrequency,

            swFixedLegConvention, swFixedLegDayCounter,

            swFloatingLegIndex));

        boost::shared_ptr<RateHelper> s10y(new SwapRateHelper(

            Handle<Quote>(cd.s10yRate), 10*Years,

            calendar, swFixedLegFrequency,

            swFixedLegConvention, swFixedLegDayCounter,

            swFloatingLegIndex));

        boost::shared_ptr<RateHelper> s15y(new SwapRateHelper(

            Handle<Quote>(cd.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,

                                          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,

                                       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,

                                       tolerance));

    return depoFRASwapTermStructure;

}

 

int main(void)

{

    CurveData cd;

 

    // Fill out with some sample market data

    sampleMktData(cd);

 

    // Build a curve linked to this market data

    boost::shared_ptr<YieldTermStructure> ocurve=buildCurve(cd);

 

    // Print month headings

    for (size_t i=0; i<24; ++i)

        std::cout << boost::format("Month %i , ") %i;

    std::cout<<std::endl;

 

    // Print original curve

    for (size_t i=0; i<24; ++i)

        std::cout << boost::format("%g , ") % ocurve->zeroRate( i / 12.0,   Compounded ).rate();

    std::cout<<std::endl;

 

    // Shock the 3month depo

    (*cd.d3mRate)=cd.d3mRate->value()+0.01;

 

    // Print the bumped, rebuilt curve

    for (size_t i=0; i<24; ++i)

        std::cout << boost::format("%g ,") % ocurve->zeroRate( i / 12.0,   Compounded ).rate();

    std::cout<<std::endl;

 

}

............................................................................

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