crossccybasismtmresetswaphelper.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>
#include <ql/currencies/all.hpp>
#include <ql/indexes/ibor/gbplibor.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/time/calendars/all.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/types.hpp>
#include <qle/pricingengines/crossccyswapengine.hpp>
#include <qle/termstructures/crossccybasismtmresetswaphelper.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testBootstrap)
	BOOST_AUTO_TEST_CASE (testSpotFxChange)
	BOOST_AUTO_TEST_CASE (testSpreadChange)
	BOOST_AUTO_TEST_CASE (testMovingEvaluationDate)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/4]

BOOST_AUTO_TEST_CASE

(

testBootstrap

)

Definition at line 137 of file crossccybasismtmresetswaphelper.cpp.

                                    {
 
    BOOST_TEST_MESSAGE("Test simple bootstrap against cross currency MtM resetting swap");
 
    SavedSettings backup;
    CommonVars vars;
    Settings::instance().evaluationDate() = vars.asof;
 
    // Create bootstrapped curve
    Handle<YieldTermStructure> discCurve = bootstrappedCurve(vars);
 
    // Create the helper swap manually and price it using curve bootstrapped from helper
    QuantLib::ext::shared_ptr<CrossCcyBasisMtMResetSwap> swap = makeTestSwap(vars, discCurve);
 
    // Swap should have NPV = 0.0.
    Real tol = 1e-5;
    BOOST_CHECK_SMALL(swap->NPV(), tol);
 
    // Check fair spreads match. Bootstrap uses 1e-12 accuracy.
    Real relTol = 1e-10;
    BOOST_CHECK_CLOSE(vars.spreadQuote->value(), swap->fairForeignSpread(), relTol);
 
    // Check the 5Y discount factor
    DiscountFactor expDisc = 0.91155524911218166;
    BOOST_CHECK_CLOSE(expDisc, discCurve->discount(vars.asof + 5 * Years), relTol);
}

BOOST_AUTO_TEST_CASE() [2/4]

BOOST_AUTO_TEST_CASE

(

testSpotFxChange

)

Definition at line 164 of file crossccybasismtmresetswaphelper.cpp.

                                       {
 
    BOOST_TEST_MESSAGE("Test rebootstrap under spot FX change");
 
    SavedSettings backup;
 
    CommonVars vars;
 
    Settings::instance().evaluationDate() = vars.asof;
 
    // Create a helper and bootstrapped curve
    Handle<YieldTermStructure> discCurve = bootstrappedCurve(vars);
 
    // Create the helper swap manually and price it using curve bootstrapped from helper
    QuantLib::ext::shared_ptr<CrossCcyBasisMtMResetSwap> swap = makeTestSwap(vars, discCurve);
 
    // Check NPV = 0.0
    Real absTol = 1e-5;
    BOOST_CHECK_SMALL(swap->NPV(), absTol);
 
    // Check fair spreads match. Bootstrap uses 1e-12 accuracy.
    Real relTol = 1e-10;
    BOOST_CHECK_CLOSE(vars.spreadQuote->value(), swap->fairForeignSpread(), relTol);
 
    // Check the 5Y discount factor
    DiscountFactor expDisc = 0.91155524911218166;
    BOOST_CHECK_CLOSE(expDisc, discCurve->discount(vars.asof + 5 * Years), relTol);
 
    // Check the nominal of the helper swap
    BOOST_CHECK_CLOSE(vars.spotFxQuote->value(), std::fabs(vars.helper->swap()->leg(2).front()->amount()), relTol);
 
    // Bump the spot rate by 10%
    vars.spotFxQuote->setValue(vars.spotFxQuote->value() * 1.1);
 
    // Build a new swap using the updated spot FX rate
    swap = makeTestSwap(vars, discCurve);
 
    // Check that the new swap's NPV is 0.0
    BOOST_CHECK_SMALL(swap->NPV(), absTol);
 
    // Check the 5Y discount factor again. It should be the same.
    BOOST_CHECK_CLOSE(expDisc, discCurve->discount(vars.asof + 5 * Years), relTol);
 
    // Check the nominal of the helper swap. Should now be the bumped amount
    BOOST_CHECK_CLOSE(vars.spotFxQuote->value(), std::fabs(vars.helper->swap()->leg(2).front()->amount()), relTol);
}

BOOST_AUTO_TEST_CASE() [3/4]

BOOST_AUTO_TEST_CASE

(

testSpreadChange

)

Definition at line 211 of file crossccybasismtmresetswaphelper.cpp.

                                       {
 
    BOOST_TEST_MESSAGE("Test rebootstrap under helper spread change");
 
    SavedSettings backup;
 
    CommonVars vars;
 
    Settings::instance().evaluationDate() = vars.asof;
 
    // Create a helper and bootstrapped curve
    Handle<YieldTermStructure> discCurve = bootstrappedCurve(vars);
 
    // Create the helper swap manually and price it using curve bootstrapped from helper
    QuantLib::ext::shared_ptr<CrossCcyBasisMtMResetSwap> swap = makeTestSwap(vars, discCurve);
 
    // Check NPV = 0.0
    Real absTol = 1e-5;
    BOOST_CHECK_SMALL(swap->NPV(), absTol);
 
    // Check fair spreads match. Bootstrap uses 1e-12 accuracy.
    Real relTol = 1e-10;
    BOOST_CHECK_CLOSE(vars.spreadQuote->value(), swap->fairForeignSpread(), relTol);
 
    // Check the 5Y discount factor
    DiscountFactor expDisc = 0.91155524911218166;
    BOOST_CHECK_CLOSE(expDisc, discCurve->discount(vars.asof + 5 * Years), relTol);
 
    // Add a 10bps spread
    vars.spreadQuote->setValue(0.0015);
 
    // Build a new swap using the updated spread of 10bps
    swap = makeTestSwap(vars, discCurve);
 
    // Check that the new swap's NPV is 0.0
    BOOST_CHECK_SMALL(swap->NPV(), absTol);
 
    // Check the 5Y discount factor again. More spread on foreign leg => more significant discount factor.
    expDisc = 0.89807807922008731;
    BOOST_CHECK_CLOSE(expDisc, discCurve->discount(vars.asof + 5 * Years), relTol);
 
    // Check the spread of the helper swap. Should now be 15bps.
    BOOST_CHECK_CLOSE(vars.spreadQuote->value(), swap->fairForeignSpread(), relTol);
}

BOOST_AUTO_TEST_CASE() [4/4]

BOOST_AUTO_TEST_CASE

(

testMovingEvaluationDate

)

Definition at line 256 of file crossccybasismtmresetswaphelper.cpp.

                                               {
 
    BOOST_TEST_MESSAGE("Test rebootstrap after moving evaluation date");
 
    SavedSettings backup;
 
    CommonVars vars;
 
    Settings::instance().evaluationDate() = vars.asof;
 
    // Create a helper and bootstrapped curve
    Handle<YieldTermStructure> discCurve = bootstrappedCurve(vars);
 
    // Create the helper swap manually and price it using curve bootstrapped from helper
    QuantLib::ext::shared_ptr<CrossCcyBasisMtMResetSwap> swap = makeTestSwap(vars, discCurve);
 
    // Check NPV = 0.0
    Real absTol = 1e-5;
    BOOST_CHECK_SMALL(swap->NPV(), absTol);
 
    // Check fair spreads match. Bootstrap uses 1e-12 accuracy.
    Real relTol = 1e-10;
    BOOST_CHECK_CLOSE(vars.spreadQuote->value(), swap->fairForeignSpread(), relTol);
 
    // Check the 5Y discount factor
    DiscountFactor expDisc = 0.91155524911218166;
    BOOST_CHECK_CLOSE(expDisc, discCurve->discount(vars.asof + 5 * Years), relTol);
 
    // Check the start date of the helper swap
    BOOST_CHECK_EQUAL(swap->startDate(), vars.helper->swap()->startDate());
 
    // Move evaluation date forward
    vars.asof = vars.asof + 1 * Days;
    Settings::instance().evaluationDate() = vars.asof;
 
    // Build a new swap using new evaluation date
    swap = makeTestSwap(vars, discCurve);
 
    // Check that the new swap's NPV is 0.0
    BOOST_CHECK_SMALL(swap->NPV(), absTol);
 
    // Check the 5Y discount factor again. Changes slightly due to helper holidays/weekends.
    expDisc = 0.91155524848230363;
    BOOST_CHECK_CLOSE(expDisc, discCurve->discount(vars.asof + 5 * Years), relTol);
 
    // Check the start date of the helper swap. Should be 1 day greater.
    BOOST_CHECK_EQUAL(swap->startDate(), vars.helper->swap()->startDate());
}