cpiswap.cpp File Reference

#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ored/marketdata/marketimpl.hpp>
#include <ored/portfolio/builders/swap.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/swap.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ored/utilities/log.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/cashflows/cpicoupon.hpp>
#include <ql/cashflows/cpicouponpricer.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/indexes/inflation/ukrpi.hpp>
#include <ql/termstructures/inflation/inflationhelpers.hpp>
#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/daycounters/actualactual.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testCPISwapPrice)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testCPISwapPrice

)

Definition at line 180 of file cpiswap.cpp.

                                       {
 
    BOOST_TEST_MESSAGE("Testing CPI Swap Price...");
 
    // build market
    Date today(18, July, 2016);
    Settings::instance().evaluationDate() = today;
    QuantLib::ext::shared_ptr<TestMarket> market = QuantLib::ext::make_shared<TestMarket>();
    Date marketDate = market->asofDate();
    BOOST_CHECK_EQUAL(today, marketDate);
    Settings::instance().evaluationDate() = marketDate;
 
    // Test if GBP discount curve is empty
    Handle<YieldTermStructure> dts = market->discountCurve("GBP");
    QL_REQUIRE(!dts.empty(), "GBP discount curve not found");
    BOOST_CHECK_CLOSE(market->discountCurve("GBP")->discount(today + 1 * Years), 0.9914, 0.0001);
 
    // Test if GBP Libor curve is empty
    Handle<IborIndex> iis = market->iborIndex("GBP-LIBOR-6M");
    QL_REQUIRE(!iis.empty(), "GBP LIBOR 6M ibor Index not found");
    BOOST_TEST_MESSAGE(
        "CPISwap: Projected Libor fixing: " << market->iborIndex("GBP-LIBOR-6M")->forecastFixing(today + 1 * Years));
 
    // Test if GBP discount curve is empty
    Handle<ZeroInflationIndex> infidx = market->zeroInflationIndex("UKRPI");
    QL_REQUIRE(!infidx.empty(), "UKRPI inflation index not found");
    BOOST_TEST_MESSAGE("CPISwap: Projected UKRPI rate: " << infidx->fixing(today + 1 * Years));
 
    // envelope
    Envelope env("CP");
 
    // Start/End date
    Date startDate = today;
    Date endDate = today + 5 * Years;
 
    // date 2 string
    std::ostringstream oss;
    oss << io::iso_date(startDate);
    string start(oss.str());
    oss.str("");
    oss.clear();
    oss << io::iso_date(endDate);
    string end(oss.str());
 
    // Schedules
    string conv = "MF";
    string rule = "Forward";
    ScheduleData scheduleLibor(ScheduleRules(start, end, "6M", "UK", conv, conv, rule));
    ScheduleData scheduleCPI(ScheduleRules(start, end, "1Y", "UK", conv, conv, rule));
 
    // Leg variables
    bool isInArrears = false;
    string dc = "ACT/ACT";
    vector<Real> notional(1, 10000000);
    string paymentConvention = "F";
 
    // GBP Libor Leg
    bool isPayerLibor = true;
    string indexLibor = "GBP-LIBOR-6M";
    vector<Real> spread(1, 0);
    LegData legLibor(QuantLib::ext::make_shared<FloatingLegData>(indexLibor, 0, isInArrears, spread), isPayerLibor, "GBP",
                     scheduleLibor, "A365F", notional, vector<string>(), paymentConvention);
 
    // GBP CPI Leg
    bool isPayerCPI = false;
    string indexCPI = "UKRPI";
    Real baseCPI = 210.0;
    string CPIlag = "2M";
    std::vector<double> fixedRate(1, 0.02);
    bool interpolated = false;
    LegData legCPI(
        QuantLib::ext::make_shared<CPILegData>(indexCPI, start, baseCPI, CPIlag, (interpolated ? "Linear" : "Flat"), fixedRate),
        isPayerCPI, "GBP", scheduleCPI, dc, notional, vector<string>(), paymentConvention, false, true);
 
    // Build swap trades
    QuantLib::ext::shared_ptr<Trade> CPIswap(new ore::data::Swap(env, legLibor, legCPI));
 
    // engine data and factory
    QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
    engineData->model("Swap") = "DiscountedCashflows";
    engineData->engine("Swap") = "DiscountingSwapEngine";
    QuantLib::ext::shared_ptr<EngineFactory> engineFactory = QuantLib::ext::make_shared<EngineFactory>(engineData, market);
 
    // build swaps and portfolio
    QuantLib::ext::shared_ptr<Portfolio> portfolio(new Portfolio());
    CPIswap->id() = "CPI_Swap";
 
    portfolio->add(CPIswap);
    portfolio->build(engineFactory);
 
    // check CPI swap NPV against pure QL pricing
    Schedule floatSchedule(startDate, endDate, 6 * Months, UnitedKingdom(), ModifiedFollowing, ModifiedFollowing,
                           DateGeneration::Forward, false);
    Schedule cpiSchedule(startDate, endDate, 1 * Years, UnitedKingdom(), ModifiedFollowing, ModifiedFollowing,
                         DateGeneration::Forward, false);
    Leg floatLeg = IborLeg(floatSchedule, *market->hGBP).withNotionals(10000000.0);
    Leg cpiLeg = CPILeg(cpiSchedule, *market->hUKRPI, baseCPI, 2 * Months)
                     .withFixedRates(0.02)
                     .withNotionals(10000000)
                     .withObservationInterpolation(CPI::Flat)
                     .withPaymentDayCounter(ActualActual(ActualActual::ISDA))
                     .withPaymentAdjustment(Following);
    auto pricer = QuantLib::ext::make_shared<CPICouponPricer>(market->hGBP->forwardingTermStructure());
    for (auto const& c : cpiLeg) {
        if (auto cpn = QuantLib::ext::dynamic_pointer_cast<CPICoupon>(c))
            cpn->setPricer(pricer);
    }
 
    QuantLib::Swap qlSwap(floatLeg, cpiLeg);
    auto dscEngine = QuantLib::ext::make_shared<DiscountingSwapEngine>(market->hGBP->forwardingTermStructure());
    qlSwap.setPricingEngine(dscEngine);
    BOOST_TEST_MESSAGE("Leg 1 NPV: ORE = "
                       << QuantLib::ext::static_pointer_cast<QuantLib::Swap>(CPIswap->instrument()->qlInstrument())->legNPV(0)
                       << " QL = " << qlSwap.legNPV(0));
    BOOST_TEST_MESSAGE("Leg 2 NPV: ORE = "
                       << QuantLib::ext::static_pointer_cast<QuantLib::Swap>(CPIswap->instrument()->qlInstrument())->legNPV(1)
                       << " QL = " << qlSwap.legNPV(1));
    BOOST_CHECK_CLOSE(CPIswap->instrument()->NPV(), qlSwap.NPV(), 1E-8); // this is 1E-10 rel diff
}

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