本文整理汇总了C++中CommonVars::makeYoYCapFlooredLeg方法的典型用法代码示例。如果您正苦于以下问题：C++ CommonVars::makeYoYCapFlooredLeg方法的具体用法？C++ CommonVars::makeYoYCapFlooredLeg怎么用？C++ CommonVars::makeYoYCapFlooredLeg使用的例子？那么, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类CommonVars的用法示例。
在下文中一共展示了CommonVars::makeYoYCapFlooredLeg方法的2个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的C++代码示例。
示例1: testInstrumentEquality
void InflationCapFlooredCouponTest::testInstrumentEquality() {
BOOST_MESSAGE("Testing inflation capped/floored coupon against inflation capfloor instrument...");
CommonVars vars;
Integer lengths[] = { 1, 2, 3, 5, 7, 10, 15, 20 };
// vol is low ...
Rate strikes[] = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
// yoy inflation vol is generally very low
Volatility vols[] = { 0.001, 0.005, 0.010, 0.015, 0.020 };
// this is model independent
// capped coupon = fwd - cap, and fwd = swap(0)
// floored coupon = fwd + floor
for (Size whichPricer = 0; whichPricer < 3; whichPricer++) {
for (Size i=0; i<LENGTH(lengths); i++) {
for (Size j=0; j<LENGTH(strikes); j++) {
for (Size k=0; k<LENGTH(vols); k++) {
Leg leg = vars.makeYoYLeg(vars.evaluationDate,lengths[i]);
boost::shared_ptr<Instrument> cap
= vars.makeYoYCapFloor(YoYInflationCapFloor::Cap,
leg, strikes[j], vols[k], whichPricer);
boost::shared_ptr<Instrument> floor
= vars.makeYoYCapFloor(YoYInflationCapFloor::Floor,
leg, strikes[j], vols[k], whichPricer);
Date from = vars.nominalTS->referenceDate();
Date to = from+lengths[i]*Years;
Schedule yoySchedule = MakeSchedule().from(from).to(to)
.withTenor(1*Years)
.withCalendar(UnitedKingdom())
.withConvention(Unadjusted)
.backwards()
;
YearOnYearInflationSwap swap(YearOnYearInflationSwap::Payer,
1000000.0,
yoySchedule,//fixed schedule, but same as yoy
0.0,//strikes[j],
vars.dc,
yoySchedule,
vars.iir,
vars.observationLag,
0.0, //spread on index
vars.dc,
UnitedKingdom());
Handle<YieldTermStructure> hTS(vars.nominalTS);
boost::shared_ptr<PricingEngine> sppe(new DiscountingSwapEngine(hTS));
swap.setPricingEngine(sppe);
Leg leg2 = vars.makeYoYCapFlooredLeg(whichPricer, from,
lengths[i],
std::vector<Rate>(lengths[i],strikes[j]),//cap
std::vector<Rate>(),//floor
vols[k],
1.0, // gearing
0.0);// spread
Leg leg3 = vars.makeYoYCapFlooredLeg(whichPricer, from,
lengths[i],
std::vector<Rate>(),// cap
std::vector<Rate>(lengths[i],strikes[j]),//floor
vols[k],
1.0, // gearing
0.0);// spread
// N.B. nominals are 10e6
Real capped = CashFlows::npv(leg2,(**vars.nominalTS),false);
if ( fabs(capped - (swap.NPV() - cap->NPV())) > 1.0e-6) {
BOOST_FAIL(
"capped coupon != swap(0) - cap:\n"
<< " length: " << lengths[i] << " years\n"
<< " volatility: " << io::volatility(vols[k]) << "\n"
<< " strike: " << io::rate(strikes[j]) << "\n"
<< " cap value: " << cap->NPV() << "\n"
<< " swap value: " << swap.NPV() << "\n"
<< " capped coupon " << capped);
}
// N.B. nominals are 10e6
Real floored = CashFlows::npv(leg3,(**vars.nominalTS),false);
if ( fabs(floored - (swap.NPV() + floor->NPV())) > 1.0e-6) {
BOOST_FAIL(
"floored coupon != swap(0) + floor :\n"
<< " length: " << lengths[i] << " years\n"
<< " volatility: " << io::volatility(vols[k]) << "\n"
<< " strike: " << io::rate(strikes[j]) << "\n"
<< " floor value: " << floor->NPV() << "\n"
<< " swap value: " << swap.NPV() << "\n"
<< " floored coupon " << floored);
}
}
}
//.........这里部分代码省略.........
示例2: testDecomposition
void InflationCapFlooredCouponTest::testDecomposition() {
BOOST_MESSAGE("Testing collared coupon against its decomposition...");
CommonVars vars;
Real tolerance = 1e-10;
Real npvVanilla,npvCappedLeg,npvFlooredLeg,npvCollaredLeg,npvCap,npvFloor,npvCollar;
Real error;
Rate floorstrike = 0.05;
Rate capstrike = 0.10;
std::vector<Rate> caps(vars.length,capstrike);
std::vector<Rate> caps0 = std::vector<Rate>();
std::vector<Rate> floors(vars.length,floorstrike);
std::vector<Rate> floors0 = std::vector<Rate>();
Rate gearing_p = Rate(0.5);
Spread spread_p = Spread(0.002);
Rate gearing_n = Rate(-1.5);
Spread spread_n = Spread(0.12);
// fixed leg with zero rate
Leg fixedLeg =
vars.makeFixedLeg(vars.startDate,vars.length);
// floating leg with gearing=1 and spread=0
Leg floatLeg =
vars.makeYoYLeg(vars.startDate,vars.length);
// floating leg with positive gearing (gearing_p) and spread<>0
Leg floatLeg_p =
vars.makeYoYLeg(vars.startDate,vars.length,gearing_p,spread_p);
// floating leg with negative gearing (gearing_n) and spread<>0
Leg floatLeg_n =
vars.makeYoYLeg(vars.startDate,vars.length,gearing_n,spread_n);
// Swap with null fixed leg and floating leg with gearing=1 and spread=0
Swap vanillaLeg(fixedLeg,floatLeg);
// Swap with null fixed leg and floating leg with positive gearing and spread<>0
Swap vanillaLeg_p(fixedLeg,floatLeg_p);
// Swap with null fixed leg and floating leg with negative gearing and spread<>0
Swap vanillaLeg_n(fixedLeg,floatLeg_n);
boost::shared_ptr<PricingEngine> engine(
new DiscountingSwapEngine(vars.nominalTS));
vanillaLeg.setPricingEngine(engine); // here use the autoset feature
vanillaLeg_p.setPricingEngine(engine);
vanillaLeg_n.setPricingEngine(engine);
// CAPPED coupon - Decomposition of payoff
// Payoff = Nom * Min(rate,strike) * accrualperiod =
// = Nom * [rate + Min(0,strike-rate)] * accrualperiod =
// = Nom * rate * accrualperiod - Nom * Max(rate-strike,0) * accrualperiod =
// = VanillaFloatingLeg - Call
//
Size whichPricer = 0;
// Case gearing = 1 and spread = 0
Leg cappedLeg =
vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,
caps,floors0,vars.volatility);
Swap capLeg(fixedLeg,cappedLeg);
capLeg.setPricingEngine(engine);
YoYInflationCap cap(floatLeg, std::vector<Rate>(1, capstrike));
cap.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg.NPV();
npvCappedLeg = capLeg.NPV();
npvCap = cap.NPV();
error = std::abs(npvCappedLeg - (npvVanilla-npvCap));
if (error>tolerance) {
BOOST_ERROR("\nYoY Capped Leg: gearing=1, spread=0%, strike=" << capstrike*100 <<
"%\n" <<
" Capped Floating Leg NPV: " << npvCappedLeg << "\n" <<
" Floating Leg NPV - Cap NPV: " << npvVanilla - npvCap << "\n" <<
" Diff: " << error );
}
// gearing = 1 and spread = 0
// FLOORED coupon - Decomposition of payoff
// Payoff = Nom * Max(rate,strike) * accrualperiod =
// = Nom * [rate + Max(0,strike-rate)] * accrualperiod =
// = Nom * rate * accrualperiod + Nom * Max(strike-rate,0) * accrualperiod =
// = VanillaFloatingLeg + Put
//
Leg flooredLeg =
vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,
caps0,floors,vars.volatility);
Swap floorLeg(fixedLeg,flooredLeg);
floorLeg.setPricingEngine(engine);
YoYInflationFloor floor(floatLeg, std::vector<Rate>(1, floorstrike));
floor.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvFlooredLeg = floorLeg.NPV();
npvFloor = floor.NPV();
error = std::abs(npvFlooredLeg-(npvVanilla + npvFloor));
if (error>tolerance) {
BOOST_ERROR("YoY Floored Leg: gearing=1, spread=0%, strike=" << floorstrike *100 <<
"%\n" <<
" Floored Floating Leg NPV: " << npvFlooredLeg << "\n" <<
" Floating Leg NPV + Floor NPV: " << npvVanilla + npvFloor << "\n" <<
" Diff: " << error );
}
//.........这里部分代码省略.........