swaption.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/builders/swaption.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/swaption.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ored/utilities/to_string.hpp>
#include <oret/toplevelfixture.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actualactual.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testEuropeanSwaptionPrice)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testEuropeanSwaptionPrice

)

Definition at line 75 of file swaption.cpp.

                                                {
 
    BOOST_TEST_MESSAGE("Testing Swaption Price...");
 
    Date today(3, Dec, 2018);
    Settings::instance().evaluationDate() = today;
 
    // build market
    QuantLib::ext::shared_ptr<Market> market = QuantLib::ext::make_shared<TestMarket>();
    Settings::instance().evaluationDate() = market->asofDate();
 
    // build Swaptions - expiry 5Y, term 10Y
 
    Calendar calendar = TARGET();
    Date qlStartDate = calendar.adjust(today + 5 * Years);
    Date qlEndDate = calendar.adjust(qlStartDate + 10 * Years);
    string startDate = ore::data::to_string(qlStartDate);
    string endDate = ore::data::to_string(qlEndDate);
 
    // schedules
    ScheduleData floatSchedule(ScheduleRules(startDate, endDate, "6M", "TARGET", "MF", "MF", "Forward"));
    ScheduleData fixedSchedule(ScheduleRules(startDate, endDate, "1Y", "TARGET", "MF", "MF", "Forward"));
    // fixed leg
    LegData fixedLeg(QuantLib::ext::make_shared<FixedLegData>(std::vector<Real>(1, 0.03)), true, "EUR", fixedSchedule, "30/360",
                     std::vector<Real>(1, 10000.0));
    // float leg
    LegData floatingLeg(QuantLib::ext::make_shared<FloatingLegData>("EUR-EURIBOR-6M", 2, false, std::vector<Real>(1, 0.0)),
                        false, "EUR", floatSchedule, "A360", std::vector<Real>(1, 10000.0));
    // leg vector
    vector<LegData> legs;
    legs.push_back(fixedLeg);
    legs.push_back(floatingLeg);
 
    Envelope env("CP1");
    OptionData optionData("Long", "Call", "European", true, vector<string>(1, startDate), "Cash");
    OptionData optionDataPhysical("Long", "Call", "European", true, vector<string>(1, startDate), "Physical");
    Real premium = 700.0;
    OptionData optionDataPremium("Long", "Call", "European", true, vector<string>(1, startDate), "Cash", "",
                                 PremiumData(premium, "EUR", qlStartDate));
    ore::data::Swaption swaptionCash(env, optionData, legs);
    ore::data::Swaption swaptionPhysical(env, optionDataPhysical, legs);
    ore::data::Swaption swaptionPremium(env, optionDataPremium, legs);
 
    Real expectedNpvCash = 565.19;
    Real premiumNpv = premium * market->discountCurve("EUR")->discount(calendar.adjust(qlStartDate));
    Real expectedNpvPremium = expectedNpvCash - premiumNpv;
 
    // Build and price
    QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
    engineData->model("EuropeanSwaption") = "BlackBachelier";
    engineData->engine("EuropeanSwaption") = "BlackBachelierSwaptionEngine";
    engineData->model("Swap") = "DiscountedCashflows";
    engineData->engine("Swap") = "DiscountingSwapEngine";
    QuantLib::ext::shared_ptr<EngineFactory> engineFactory = QuantLib::ext::make_shared<EngineFactory>(engineData, market);
 
    swaptionCash.build(engineFactory);
    swaptionPhysical.build(engineFactory);
    swaptionPremium.build(engineFactory);
 
    Real npvCash = swaptionCash.instrument()->NPV();
    Real npvPhysical = swaptionPhysical.instrument()->NPV();
    Real npvPremium = swaptionPremium.instrument()->NPV();
 
    BOOST_TEST_MESSAGE("Swaption, NPV Currency " << swaptionCash.npvCurrency());
    BOOST_TEST_MESSAGE("NPV Cash              = " << npvCash);
    BOOST_TEST_MESSAGE("NPV Physical          = " << npvPhysical);
    BOOST_TEST_MESSAGE("NPV Cash with premium = " << npvPremium);
 
    BOOST_CHECK_SMALL(npvCash - expectedNpvCash, 0.01);
    BOOST_CHECK_SMALL(npvPremium - expectedNpvPremium, 0.01);
}

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