Labor Day curve problem
Posted by
Nathan Abbott on
URL: http://quantlib.414.s1.nabble.com/Labor-Day-curve-problem-tp6771.html
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) givenAll 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