本文整理汇总了C#中CommonVars.makeYoYLeg方法的典型用法代码示例。如果您正苦于以下问题：C# CommonVars.makeYoYLeg方法的具体用法？C# CommonVars.makeYoYLeg怎么用？C# CommonVars.makeYoYLeg使用的例子？那么恭喜您, 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.makeYoYLeg方法的4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: testCachedValue
public void testCachedValue()
{
// Testing Black yoy inflation cap/floor price against cached values...
CommonVars vars = new CommonVars();
int whichPricer = 0; // black
double K = 0.0295; // one centi-point is fair rate error i.e. < 1 cp
int j = 2;
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,j);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVblack = 219.452;
double cachedFloorNPVblack = 314.641;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVblack)<0.02,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVblack+" Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVblack)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVblack)<0.02,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVblack+" Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVblack)));
whichPricer = 1; // dd
cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVdd = 9114.61;
double cachedFloorNPVdd = 9209.8;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVdd)<0.22,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVdd+" dd Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVdd)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVdd)<0.22,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVdd+" dd Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVdd)));
whichPricer = 2; // bachelier
cap = vars.makeYoYCapFloor(CapFloorType.Cap,leg, K, 0.01, whichPricer);
floor = vars.makeYoYCapFloor(CapFloorType.Floor,leg, K, 0.01, whichPricer);
// close to atm prices
double cachedCapNPVbac = 8852.4;
double cachedFloorNPVbac = 8947.59;
// N.B. notionals are 10e6.
Assert.IsTrue(Math.Abs(cap.NPV()-cachedCapNPVbac)<0.22,"yoy cap cached NPV wrong "
+cap.NPV()+" should be "+cachedCapNPVbac+" bac Black pricer"
+" diff was "+(Math.Abs(cap.NPV()-cachedCapNPVbac)));
Assert.IsTrue(Math.Abs(floor.NPV()-cachedFloorNPVbac)<0.22,"yoy floor cached NPV wrong "
+floor.NPV()+" should be "+cachedFloorNPVbac+" bac Black pricer"
+" diff was "+(Math.Abs(floor.NPV()-cachedFloorNPVbac)));
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}示例2: testConsistency
public void testConsistency()
{
// Testing consistency between yoy inflation cap,floor and collar...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
double[] cap_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] floor_rates = { 0.01, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
for (int whichPricer = 0; whichPricer < 3; whichPricer++)
{
for (int i=0; i<lengths.Length; i++)
{
for (int j=0; j<cap_rates.Length; j++)
{
for (int k=0; k<floor_rates.Length; k++)
{
for (int l=0; l<vols.Length; l++)
{
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,lengths[i]);
YoYInflationCapFloor cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, cap_rates[j], vols[l], whichPricer);
YoYInflationCapFloor floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, floor_rates[k], vols[l], whichPricer);
YoYInflationCollar collar = new YoYInflationCollar(leg,new List<double>(){cap_rates[j]},
new List<double>(){floor_rates[k]});
collar.setPricingEngine(vars.makeEngine(vols[l], whichPricer));
if (Math.Abs((cap.NPV()-floor.NPV())-collar.NPV()) > 1e-6)
{
Assert.Fail(
"inconsistency between cap, floor and collar:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " floor value: " + floor.NPV()
+ " at strike: " + "\n"
+ " collar value: " + collar.NPV());
}
// test re-composition by optionlets, N.B. ONE per year
double capletsNPV = 0.0;
List<YoYInflationCapFloor> caplets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
caplets.Add(cap.optionlet(m));
caplets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
capletsNPV += caplets[m].NPV();
}
if (Math.Abs(cap.NPV() - capletsNPV) > 1e-6)
{
Assert.Fail(
"sum of caplet NPVs does not equal cap NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + cap.NPV()
+ " at strike: " + "\n"
+ " sum of caplets value: " + capletsNPV
+ " at strike (first): " + caplets[0].capRates()[0] + "\n"
);
}
double floorletsNPV = 0.0;
List<YoYInflationCapFloor> floorlets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
floorlets.Add(floor.optionlet(m));
floorlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
floorletsNPV += floorlets[m].NPV();
}
if (Math.Abs(floor.NPV() - floorletsNPV) > 1e-6)
{
Assert.Fail(
"sum of floorlet NPVs does not equal floor NPV:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + "\n"
+ " cap value: " + floor.NPV()
+ " at strike: " + floor_rates[j] + "\n"
+ " sum of floorlets value: " + floorletsNPV
+ " at strike (first): " + floorlets[0].floorRates()[0] + "\n"
);
}
double collarletsNPV = 0.0;
List<YoYInflationCapFloor> collarlets = new List<YoYInflationCapFloor>();
for (int m=0; m<lengths[i]*1; m++)
{
collarlets.Add(collar.optionlet(m));
collarlets[m].setPricingEngine(vars.makeEngine(vols[l], whichPricer));
collarletsNPV += collarlets[m].NPV();
}
//.........这里部分代码省略.........
示例3: testParity
public void testParity()
{
// Testing yoy inflation cap/floor parity...
CommonVars vars = new CommonVars();
int[] lengths = { 1, 2, 3, 5, 7, 10, 15, 20 };
// vol is low ...
double[] strikes = { 0.0, 0.025, 0.029, 0.03, 0.031, 0.035, 0.07 };
// yoy inflation vol is generally very low
double[] vols = { 0.001, 0.005, 0.010, 0.015, 0.020 };
// cap-floor-swap parity is model-independent
for (int whichPricer = 0; whichPricer < 3; whichPricer++) {
for (int i=0; i<lengths.Length; i++) {
for (int j=0; j<strikes.Length; j++) {
for (int k=0; k<vols.Length; k++) {
List<CashFlow> leg = vars.makeYoYLeg(vars.evaluationDate,lengths[i]);
Instrument cap = vars.makeYoYCapFloor(CapFloorType.Cap,
leg, strikes[j], vols[k], whichPricer);
Instrument floor = vars.makeYoYCapFloor(CapFloorType.Floor,
leg, strikes[j], vols[k], whichPricer);
Date from = vars.nominalTS.link.referenceDate();
Date to = from+new Period(lengths[i],TimeUnit.Years);
Schedule yoySchedule = new MakeSchedule().from(from).to(to)
.withTenor(new Period(1,TimeUnit.Years))
.withConvention(BusinessDayConvention.Unadjusted)
.withCalendar(new UnitedKingdom()).backwards().value();
YearOnYearInflationSwap swap = new YearOnYearInflationSwap
(YearOnYearInflationSwap.Type.Payer,
1000000.0,
yoySchedule,//fixed schedule, but same as yoy
strikes[j],
vars.dc,
yoySchedule,
vars.iir,
vars.observationLag,
0.0, //spread on index
vars.dc,
new UnitedKingdom());
Handle<YieldTermStructure> hTS = new Handle<YieldTermStructure>(vars.nominalTS);
IPricingEngine sppe = new DiscountingSwapEngine(hTS);
swap.setPricingEngine(sppe);
// N.B. nominals are 10e6
if (Math.Abs((cap.NPV()-floor.NPV()) - swap.NPV()) > 1.0e-6) {
Assert.Fail(
"put/call parity violated:\n"
+ " length: " + lengths[i] + " years\n"
+ " volatility: " + vols[k] + "\n"
+ " strike: " + strikes[j] + "\n"
+ " cap value: " + cap.NPV() + "\n"
+ " floor value: " + floor.NPV() + "\n"
+ " swap value: " + swap.NPV());
}
}
}
}
}
// remove circular refernce
vars.hy.linkTo(new YoYInflationTermStructure());
}示例4: testDecomposition
public void testDecomposition()
{
// Testing collared coupon against its decomposition...
CommonVars vars= new CommonVars();
double tolerance = 1e-10;
double npvVanilla,npvCappedLeg,npvFlooredLeg,npvCollaredLeg,npvCap,npvFloor,npvCollar;
double error;
double floorstrike = 0.05;
double capstrike = 0.10;
InitializedList<double> caps = new InitializedList<double>(vars.length,capstrike);
List<double> caps0 = new List<double>();
InitializedList<double> floors = new InitializedList<double>(vars.length,floorstrike);
List<double> floors0 = new List<double>();
double gearing_p = 0.5;
double spread_p = 0.002;
double gearing_n = -1.5;
double spread_n = 0.12;
// fixed leg with zero rate
List<CashFlow> fixedLeg = vars.makeFixedLeg(vars.startDate,vars.length);
// floating leg with gearing=1 and spread=0
List<CashFlow> floatLeg = vars.makeYoYLeg(vars.startDate,vars.length);
// floating leg with positive gearing (gearing_p) and spread<>0
List<CashFlow> floatLeg_p = vars.makeYoYLeg(vars.startDate,vars.length,gearing_p,spread_p);
// floating leg with negative gearing (gearing_n) and spread<>0
List<CashFlow> 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 = new Swap(fixedLeg,floatLeg);
// Swap with null fixed leg and floating leg with positive gearing and spread<>0
Swap vanillaLeg_p = new Swap(fixedLeg,floatLeg_p);
// Swap with null fixed leg and floating leg with negative gearing and spread<>0
Swap vanillaLeg_n = new Swap(fixedLeg,floatLeg_n);
IPricingEngine 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
//
int whichPricer = 0;
// Case gearing = 1 and spread = 0
List<CashFlow> cappedLeg = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,
caps,floors0,vars.volatility);
Swap capLeg = new Swap(fixedLeg,cappedLeg);
capLeg.setPricingEngine(engine);
YoYInflationCap cap = new YoYInflationCap(floatLeg, new List<double>(){capstrike});
cap.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvVanilla = vanillaLeg.NPV();
npvCappedLeg = capLeg.NPV();
npvCap = cap.NPV();
error = Math.Abs(npvCappedLeg - (npvVanilla-npvCap));
if (error>tolerance)
{
Assert.Fail("\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
//
List<CashFlow> flooredLeg = vars.makeYoYCapFlooredLeg(whichPricer,vars.startDate,vars.length,
caps0,floors,vars.volatility);
Swap floorLeg = new Swap(fixedLeg,flooredLeg);
floorLeg.setPricingEngine(engine);
YoYInflationFloor floor= new YoYInflationFloor(floatLeg, new List<double>(){floorstrike});
floor.setPricingEngine(vars.makeEngine(vars.volatility,whichPricer));
npvFlooredLeg = floorLeg.NPV();
npvFloor = floor.NPV();
error = Math.Abs(npvFlooredLeg-(npvVanilla + npvFloor));
if (error>tolerance)
{
Assert.Fail("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 );
}
// gearing = 1 and spread = 0
// COLLARED coupon - Decomposition of payoff
// Payoff = Nom * Min(strikem,Max(rate,strikeM)) * accrualperiod =
// = VanillaFloatingLeg - Collar
//
//.........这里部分代码省略.........