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Fully annotated reference manual - version 1.8.13.0
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Functions
basecorrelationcurve.cpp File Reference
#include "toplevelfixture.hpp"
#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/time/calendars/weekendsonly.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <qle/math/flatextrapolation2d.hpp>
#include <qle/termstructures/credit/basecorrelationstructure.hpp>
#include <qle/termstructures/credit/spreadedbasecorrelationcurve.hpp>

Go to the source code of this file.

Functions

void initializeSettings (CommonData &cd)
 
Handle< QuantExt::BaseCorrelationTermStructure > buildBilinearFlatBaseCorrelationCurve (CommonData &cd)
 
 BOOST_AUTO_TEST_CASE (testBaseCorrelationCurve)
 
 BOOST_AUTO_TEST_CASE (testSpreadedCorrelationCurve)
 
 BOOST_AUTO_TEST_CASE (testParallelShift)
 

Function Documentation

◆ initializeSettings()

void initializeSettings ( CommonData &  cd)

Definition at line 48 of file basecorrelationcurve.cpp.

48 {
49 Settings::instance().evaluationDate() = cd.today;
50}
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◆ buildBilinearFlatBaseCorrelationCurve()

Handle< QuantExt::BaseCorrelationTermStructure > buildBilinearFlatBaseCorrelationCurve ( CommonData &  cd)

Definition at line 52 of file basecorrelationcurve.cpp.

52 {
53 // Correlation matrix detachmentPoints x tenors
54 std::vector<std::vector<double>> correlations{
55 {0.409223169, 0.405249307}, {0.507498351, 0.486937064}, {0.614741119, 0.623673691}, {1.0, 1.0}};
56
57 std::vector<std::vector<Handle<Quote>>> quotes;
58 for (const auto& row : correlations) {
59 quotes.push_back(std::vector<Handle<Quote>>());
60 for (const auto& correl : row) {
61 quotes.back().push_back(Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(correl)));
62 }
63 }
64
65 return Handle<QuantExt::BaseCorrelationTermStructure>(QuantLib::ext::make_shared<QuantExt::InterpolatedBaseCorrelationTermStructure<QuantExt::BilinearFlat>>(
66 0, WeekendsOnly(), ModifiedFollowing, cd.tenors, cd.detachmentPoints, quotes, Actual365Fixed(), cd.startDate,
67 DateGeneration::CDS2015));
68}
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◆ BOOST_AUTO_TEST_CASE() [1/3]

BOOST_AUTO_TEST_CASE ( testBaseCorrelationCurve  )

Definition at line 70 of file basecorrelationcurve.cpp.

70 {
71 CommonData cd;
72
73 initializeSettings(cd);
74
75 auto curve = buildBilinearFlatBaseCorrelationCurve(cd);
76
77
78 BOOST_CHECK_EQUAL(curve->dates()[0], Date(20, Dec, 2024));
79 BOOST_CHECK_EQUAL(curve->dates()[1], Date(20, Dec, 2026));
80
81 // Check quoted points
82 BOOST_CHECK_CLOSE(curve->correlation(Date(20, Dec, 2026), 0.03), 0.405249307, 1e-10);
83 BOOST_CHECK_CLOSE(curve->correlation(Date(20, Dec, 2026), 0.07), 0.486937064, 1e-10);
84 // Check detachment point interpolation
85 BOOST_CHECK_CLOSE(curve->correlation(Date(20, Dec, 2026), 0.05), (0.405249307 + 0.486937064) / 2.0, 1e-10);
86 // Check if exceptions are thrown for extrapolation without enable extrapolation
87 curve->disableExtrapolation();
88 BOOST_CHECK_THROW(curve->correlation(Date(20, Dec, 2026), 0.01), std::exception);
89 BOOST_CHECK_THROW(curve->correlation(Date(20, Dec, 2021), 0.03), std::exception);
90 curve->enableExtrapolation();
91 // Check if extrapolation is flat
92 BOOST_CHECK_CLOSE(curve->correlation(Date(20, Dec, 2026), 0.01), 0.405249307, 1e-10);
93 BOOST_CHECK_CLOSE(curve->correlation(Date(20, Dec, 2028), 0.05), (0.405249307 + 0.486937064) / 2.0, 1e-10);
94 BOOST_CHECK_CLOSE(curve->correlation(Date(20, Dec, 2022), 0.05), (0.409223169 + 0.507498351) / 2.0, 1e-10);
95
96
97}
initializeSettings
void initializeSettings(CommonData &cd)
Definition: basecorrelationcurve.cpp:48
buildBilinearFlatBaseCorrelationCurve
Handle< QuantExt::BaseCorrelationTermStructure > buildBilinearFlatBaseCorrelationCurve(CommonData &cd)
Definition: basecorrelationcurve.cpp:52
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◆ BOOST_AUTO_TEST_CASE() [2/3]

BOOST_AUTO_TEST_CASE ( testSpreadedCorrelationCurve  )

Definition at line 100 of file basecorrelationcurve.cpp.

100 {
101 CommonData cd;
102
103 initializeSettings(cd);
104
105 auto curve = buildBilinearFlatBaseCorrelationCurve(cd);
106
107 std::vector<std::vector<Handle<Quote>>> shifts;
108
109 for (Size i = 0; i < cd.detachmentPoints.size(); ++i) {
110 shifts.push_back(std::vector<Handle<Quote>>());
111 for (Size j = 0; j < cd.tenors.size(); ++j) {
112 shifts[i].push_back(Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0)));
113 }
114 }
115
116 QuantExt::SpreadedBaseCorrelationCurve shiftedCurve(curve, cd.tenors, cd.detachmentPoints, shifts, cd.startDate, DateGeneration::CDS2015);
117
118 BOOST_CHECK_CLOSE(shiftedCurve.correlation(Date(20, Dec, 2026), 0.03), 0.405249307, 1e-10);
119 BOOST_CHECK_CLOSE(shiftedCurve.correlation(Date(20, Dec, 2026), 0.07), 0.486937064, 1e-10);
120
121 QuantLib::ext::dynamic_pointer_cast<SimpleQuote>(*shifts[0][1])->setValue(0.01);
122
123 BOOST_CHECK_CLOSE(shiftedCurve.correlation(Date(20, Dec, 2026), 0.03), 0.415249307, 1e-10);
124 BOOST_CHECK_CLOSE(shiftedCurve.correlation(Date(20, Dec, 2026), 0.07), 0.486937064, 1e-10);
125
126 BOOST_CHECK_CLOSE(shiftedCurve.correlation(Date(20, Dec, 2026), 0.05), (0.415249307 + 0.486937064) / 2.0, 1e-10);
127}
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◆ BOOST_AUTO_TEST_CASE() [3/3]

BOOST_AUTO_TEST_CASE ( testParallelShift  )

Definition at line 129 of file basecorrelationcurve.cpp.

129 {
130 CommonData cd;
131
132 initializeSettings(cd);
133
134 auto curve = buildBilinearFlatBaseCorrelationCurve(cd);
135 // Simple parallel shift, we need at least a 2 x 2 matrix for the interpolation
136 // but the actual tenor and detachments points doesn't matter
137 auto parallelShift = QuantLib::ext::make_shared<SimpleQuote>(0.0);
138
139 std::vector<std::vector<Handle<Quote>>> quotes{{Handle<Quote>(parallelShift)}};
140
141 std::vector<Period> terms{1 * Days};
142 std::vector<double> detachmentPoints{1.0};
143
144 Size nt = terms.size();
145 Size nd = detachmentPoints.size();
146
147 if (nt == 1) {
148 terms.push_back(terms[0] + 1 * Days); // arbitrary, but larger than the first term
149 for (Size i = 0; i < nd; ++i)
150 quotes[i].push_back(quotes[i][0]);
151 }
152
153 if (nd == 1) {
154 quotes.push_back(std::vector<Handle<Quote>>(terms.size()));
155 for (Size j = 0; j < terms.size(); ++j)
156 quotes[1][j] = quotes[0][j];
157
158 if (detachmentPoints[0] < 1.0 && !QuantLib::close_enough(detachmentPoints[0], 1.0)) {
159 detachmentPoints.push_back(1.0);
160 } else {
161 detachmentPoints.insert(detachmentPoints.begin(), 0.01);
162 }
163 }
164
165
166 QuantExt::SpreadedBaseCorrelationCurve shiftedCurveParallel(curve, terms, detachmentPoints, quotes);
167 BOOST_CHECK_CLOSE(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 0.03), 0.405249307, 1e-10);
168 BOOST_CHECK_CLOSE(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 0.07), 0.486937064, 1e-10);
169
170 parallelShift->setValue(0.01);
171
172 BOOST_CHECK_CLOSE(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 0.03), 0.415249307, 1e-10);
173 BOOST_CHECK_CLOSE(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 0.07), 0.496937064, 1e-10);
174 BOOST_CHECK_CLOSE(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 1.0), 1.0, 1e-10);
175
176 BOOST_CHECK_CLOSE(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 0.05), (0.415249307 + 0.496937064) / 2.0,
177 1e-10);
178
179 BOOST_CHECK_THROW(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 0.01), std::exception);
180 BOOST_CHECK_THROW(shiftedCurveParallel.correlation(Date(20, Dec, 2028), 0.03), std::exception);
181
182 shiftedCurveParallel.enableExtrapolation();
183 BOOST_CHECK_THROW(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 0.01), std::exception);
184 BOOST_CHECK_THROW(shiftedCurveParallel.correlation(Date(20, Dec, 2028), 0.03), std::exception);
185
186 // No to enable extrapolation on both curves before extrapolate
187 shiftedCurveParallel.enableExtrapolation();
188 curve->enableExtrapolation();
189 BOOST_CHECK_NO_THROW(shiftedCurveParallel.correlation(Date(20, Dec, 2026), 0.01));
190 BOOST_CHECK_NO_THROW(shiftedCurveParallel.correlation(Date(20, Dec, 2028), 0.03));
191}
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