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Fully annotated reference manual - version 1.8.12
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formulabasedcoupon.cpp
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1/*
2 Copyright (C) 2018 Quaternion Risk Management Ltd
3 All rights reserved.
4
5 This file is part of ORE, a free-software/open-source library
6 for transparent pricing and risk analysis - http://opensourcerisk.org
7
8 ORE is free software: you can redistribute it and/or modify it
9 under the terms of the Modified BSD License. You should have received a
10 copy of the license along with this program.
11 The license is also available online at <http://opensourcerisk.org>
12
13 This program is distributed on the basis that it will form a useful
14 contribution to risk analytics and model standardisation, but WITHOUT
15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
16 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
17*/
18
19#include "toplevelfixture.hpp"
20
21#include <boost/assign/std/vector.hpp>
22#include <qle/cashflows/formulabasedcoupon.hpp>
23#include <qle/cashflows/mcgaussianformulabasedcouponpricer.hpp>
24#include <qle/indexes/formulabasedindex.hpp>
25#include <ql/cashflows/capflooredcoupon.hpp>
26#include <ql/cashflows/cmscoupon.hpp>
27#include <ql/cashflows/iborcoupon.hpp>
28#include <ql/cashflows/lineartsrpricer.hpp>
29#include <ql/currencies/america.hpp>
30#include <ql/currencies/europe.hpp>
31#include <ql/experimental/coupons/lognormalcmsspreadpricer.hpp>
32#include <ql/indexes/ibor/euribor.hpp>
33#include <ql/indexes/swap/euriborswap.hpp>
34#include <ql/math/array.hpp>
35#include <ql/math/comparison.hpp>
36#include <ql/quotes/simplequote.hpp>
37#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
38#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
39#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
40#include <ql/termstructures/yield/flatforward.hpp>
41#include <ql/time/calendars/target.hpp>
42#include <ql/time/daycounters/actual360.hpp>
43#include <qle/cashflows/quantocouponpricer.hpp>
44#include <qle/termstructures/flatcorrelation.hpp>
45
46#include <boost/make_shared.hpp>
47#include <boost/test/unit_test.hpp>
48#include <boost/timer/timer.hpp>
49
50using namespace QuantLib;
51using namespace QuantExt;
52using namespace boost::unit_test_framework;
53
54namespace {
55struct TestData {
56
57 TestData() {
58 refDate = Date(23, February, 2018);
59 samples = 100000;
60 Settings::instance().evaluationDate() = refDate;
61
62 yts2 = Handle<YieldTermStructure>(QuantLib::ext::make_shared<FlatForward>(refDate, 0.02, Actual365Fixed()));
63
64 ovtLn = Handle<OptionletVolatilityStructure>(QuantLib::ext::make_shared<ConstantOptionletVolatility>(
65 refDate, TARGET(), Following, 0.20, Actual365Fixed(), ShiftedLognormal, 0.0));
66 ovtSln = Handle<OptionletVolatilityStructure>(QuantLib::ext::make_shared<ConstantOptionletVolatility>(
67 refDate, TARGET(), Following, 0.10, Actual365Fixed(), ShiftedLognormal, 0.01));
68 ovtN = Handle<OptionletVolatilityStructure>(QuantLib::ext::make_shared<ConstantOptionletVolatility>(
69 refDate, TARGET(), Following, 0.0075, Actual365Fixed(), Normal, 0.0));
70
71 swLn = Handle<SwaptionVolatilityStructure>(QuantLib::ext::make_shared<ConstantSwaptionVolatility>(
72 refDate, TARGET(), Following, 0.20, Actual365Fixed(), ShiftedLognormal, 0.0));
73 swSln = Handle<SwaptionVolatilityStructure>(QuantLib::ext::make_shared<ConstantSwaptionVolatility>(
74 refDate, TARGET(), Following, 0.10, Actual365Fixed(), ShiftedLognormal, 0.01));
75 swN = Handle<SwaptionVolatilityStructure>(QuantLib::ext::make_shared<ConstantSwaptionVolatility>(
76 refDate, TARGET(), Following, 0.0075, Actual365Fixed(), Normal, 0.01));
77
78 fxVol = Handle<BlackVolTermStructure>(
79 QuantLib::ext::make_shared<BlackConstantVol>(refDate, TARGET(), 0.20, Actual365Fixed()));
80
81 blackPricerLn = QuantLib::ext::make_shared<BlackIborCouponPricer>(ovtLn);
82 blackPricerSln = QuantLib::ext::make_shared<BlackIborCouponPricer>(ovtSln);
83 blackPricerN = QuantLib::ext::make_shared<BlackIborCouponPricer>(ovtN);
84
85 reversion = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.01));
86 cmsPricerLn = QuantLib::ext::make_shared<LinearTsrPricer>(swLn, reversion, yts2);
87 cmsPricerSln = QuantLib::ext::make_shared<LinearTsrPricer>(swSln, reversion, yts2);
88 cmsPricerN = QuantLib::ext::make_shared<LinearTsrPricer>(swN, reversion, yts2);
89
90 correlation = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.6));
91 correlationTS = Handle<QuantExt::CorrelationTermStructure>(QuantLib::ext::make_shared<FlatCorrelation>(
92 refDate, Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.6)), Actual365Fixed()));
93 cmsspPricerLn = QuantLib::ext::make_shared<LognormalCmsSpreadPricer>(cmsPricerLn, correlation, yts2, 32);
94 cmsspPricerSln = QuantLib::ext::make_shared<LognormalCmsSpreadPricer>(cmsPricerSln, correlation, yts2, 32);
95 cmsspPricerN = QuantLib::ext::make_shared<LognormalCmsSpreadPricer>(cmsPricerN, correlation, yts2, 32);
96
97 quantoCorrelation = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.8));
98 quantoCorrelationTS = Handle<QuantExt::CorrelationTermStructure>(QuantLib::ext::make_shared<FlatCorrelation>(
99 refDate, Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.8)), Actual365Fixed()));
100 blackQuantoPricerLn =
101 QuantLib::ext::make_shared<QuantExt::BlackIborQuantoCouponPricer>(fxVol, quantoCorrelation, ovtLn);
102 blackQuantoPricerSln =
103 QuantLib::ext::make_shared<QuantExt::BlackIborQuantoCouponPricer>(fxVol, quantoCorrelation, ovtSln);
104 blackQuantoPricerN = QuantLib::ext::make_shared<QuantExt::BlackIborQuantoCouponPricer>(fxVol, quantoCorrelation, ovtN);
105 // correlation term structures
106 std::map<std::pair<std::string, std::string>, Handle<QuantExt::CorrelationTermStructure>> indCorrelationTS;
107 indCorrelationTS[std::make_pair("EuriborSwapIsdaFixA2Y 30/360 (Bond Basis)",
108 "EuriborSwapIsdaFixA10Y 30/360 (Bond Basis)")] = correlationTS;
109 indCorrelationTS[std::make_pair("Euribor6M Actual/360", "FX")] = quantoCorrelationTS;
110 std::map<std::string, QuantLib::ext::shared_ptr<IborCouponPricer>> iborPricers;
111 std::map<std::string, QuantLib::ext::shared_ptr<CmsCouponPricer>> cmsPricers;
112 std::map<std::string, Handle<BlackVolTermStructure>> fxVols, emptyFxVols;
113 fxVols["EUR"] = fxVol; // vs USD
114 std::string key = QuantLib::ext::make_shared<Euribor>(6 * Months)->name();
115 iborPricers[key] = blackPricerLn;
116 cmsPricers[key] = cmsPricerLn;
117 formulaPricerLn = QuantLib::ext::make_shared<MCGaussianFormulaBasedCouponPricer>(
118 "EUR", iborPricers, cmsPricers, emptyFxVols, indCorrelationTS, yts2, samples);
119 formulaPricerUSDLn = QuantLib::ext::make_shared<MCGaussianFormulaBasedCouponPricer>(
120 "USD", iborPricers, cmsPricers, fxVols, indCorrelationTS, yts2, samples);
121 iborPricers[key] = blackPricerSln;
122 cmsPricers[key] = cmsPricerSln;
123 formulaPricerSln = QuantLib::ext::make_shared<MCGaussianFormulaBasedCouponPricer>(
124 "EUR", iborPricers, cmsPricers, emptyFxVols, indCorrelationTS, yts2, samples);
125 formulaPricerUSDSln = QuantLib::ext::make_shared<MCGaussianFormulaBasedCouponPricer>(
126 "USD", iborPricers, cmsPricers, fxVols, indCorrelationTS, yts2, samples);
127 iborPricers[key] = blackPricerN;
128 cmsPricers[key] = cmsPricerN;
129 formulaPricerN = QuantLib::ext::make_shared<MCGaussianFormulaBasedCouponPricer>(
130 "EUR", iborPricers, cmsPricers, emptyFxVols, indCorrelationTS, yts2, samples);
131 formulaPricerUSDN = QuantLib::ext::make_shared<MCGaussianFormulaBasedCouponPricer>(
132 "USD", iborPricers, cmsPricers, fxVols, indCorrelationTS, yts2, samples);
133 }
134
135 SavedSettings backup;
136 Date refDate;
137 Size samples;
138 Handle<YieldTermStructure> yts2;
139 Handle<OptionletVolatilityStructure> ovtLn, ovtSln, ovtN;
140 Handle<SwaptionVolatilityStructure> swLn, swSln, swN;
141 Handle<BlackVolTermStructure> fxVol;
142 Handle<Quote> reversion, correlation, quantoCorrelation;
143 Handle<QuantExt::CorrelationTermStructure> correlationTS, quantoCorrelationTS;
144 QuantLib::ext::shared_ptr<IborCouponPricer> blackPricerLn, blackPricerSln, blackPricerN;
145 QuantLib::ext::shared_ptr<IborCouponPricer> blackQuantoPricerLn, blackQuantoPricerSln, blackQuantoPricerN;
146 QuantLib::ext::shared_ptr<CmsCouponPricer> cmsPricerLn, cmsPricerSln, cmsPricerN;
147 QuantLib::ext::shared_ptr<CmsSpreadCouponPricer> cmsspPricerLn, cmsspPricerSln, cmsspPricerN;
148 QuantLib::ext::shared_ptr<FormulaBasedCouponPricer> formulaPricerLn, formulaPricerSln, formulaPricerN;
149 QuantLib::ext::shared_ptr<FormulaBasedCouponPricer> formulaPricerUSDLn, formulaPricerUSDSln, formulaPricerUSDN;
150};
151
152void runTest(QuantLib::ext::shared_ptr<FloatingRateCoupon> cpn, QuantLib::ext::shared_ptr<FloatingRateCoupon> cpnRef,
153 const QuantLib::ext::shared_ptr<FloatingRateCouponPricer>& pricer,
154 const QuantLib::ext::shared_ptr<FloatingRateCouponPricer>& pricerRef, const std::string& testLabel,
155 const Real tol) {
156
157 cpnRef->setPricer(pricerRef);
158 cpn->setPricer(pricer);
159
160 // for capped floored coupons we need to explicitly set the underlying, this is fixed in QL 1.12
161 auto cfRef = QuantLib::ext::dynamic_pointer_cast<CappedFlooredCoupon>(cpnRef);
162 if (cfRef)
163 cfRef->underlying()->setPricer(pricerRef);
164 auto cf = QuantLib::ext::dynamic_pointer_cast<CappedFlooredCoupon>(cpn);
165 if (cf)
166 cf->underlying()->setPricer(pricer);
167
168 boost::timer::cpu_timer timer;
169 Real aRef = cpnRef->amount();
170 timer.stop();
171 Real tRef = timer.elapsed().wall * 1e-6;
172 timer.start();
173 Real a = cpn->amount();
174 timer.stop();
175 Real t = timer.elapsed().wall * 1e-6;
176 BOOST_TEST_MESSAGE(testLabel << ": amount = " << a << " (" << t << " ms), reference amount = " << aRef << " ("
177 << tRef << " ms)");
178 BOOST_CHECK_SMALL(std::abs(a - aRef), tol);
179}
180
181} // namespace
182
183BOOST_FIXTURE_TEST_SUITE(QuantExtTestSuite, qle::test::TopLevelFixture)
184
185BOOST_AUTO_TEST_SUITE(FormulaBasedCouponTest)
186
187BOOST_AUTO_TEST_CASE(testCappedLiborCoupon) {
188
189 BOOST_TEST_MESSAGE("Testing formula based coupons against capped Libor coupon...");
190
191 TestData d;
192
193 auto euribor6m = QuantLib::ext::make_shared<Euribor>(6 * Months, d.yts2);
194
195 CompiledFormula formulaPlain = CompiledFormula(Size(0)); // plain payoff
196 CompiledFormula formulaCapped = min(CompiledFormula(Size(0)), CompiledFormula(0.03)); // capped ibor coupon, at 0.03
197
198 auto indexPlain = QuantLib::ext::make_shared<FormulaBasedIndex>(
199 "libor-family", std::vector<QuantLib::ext::shared_ptr<InterestRateIndex>>{euribor6m}, formulaPlain,
200 euribor6m->fixingCalendar());
201 auto indexCapped = QuantLib::ext::make_shared<FormulaBasedIndex>(
202 "libor-family", std::vector<QuantLib::ext::shared_ptr<InterestRateIndex>>{euribor6m}, formulaCapped,
203 euribor6m->fixingCalendar());
204
205 auto undRef = QuantLib::ext::make_shared<IborCoupon>(Date(23, February, 2029), 10000.0, Date(23, February, 2028),
206 Date(23, February, 2029), 2, euribor6m, 1.0, 0.0, Date(), Date(),
207 Actual360(), false);
208 auto cappedRef = QuantLib::ext::make_shared<CappedFlooredCoupon>(undRef, 0.03);
209
210 QuantLib::ext::shared_ptr<QuantExt::FormulaBasedCoupon> und(
211 new QuantExt::FormulaBasedCoupon(EURCurrency(), Date(23, February, 2029), 10000.0, Date(23, February, 2028),
212 Date(23, February, 2029), 2, indexPlain, Date(), Date(), Actual360(), false));
213 QuantLib::ext::shared_ptr<QuantExt::FormulaBasedCoupon> capped(
214 new QuantExt::FormulaBasedCoupon(EURCurrency(), Date(23, February, 2029), 10000.0, Date(23, February, 2028),
215 Date(23, February, 2029), 2, indexCapped, Date(), Date(), Actual360(), false));
216
217 runTest(und, undRef, d.formulaPricerLn, d.blackPricerLn, "Plain Ibor Coupon, Lognormal", 0.05);
218 runTest(und, undRef, d.formulaPricerSln, d.blackPricerSln, "Plain Ibor Coupon, ShiftedLN", 0.05);
219 runTest(und, undRef, d.formulaPricerN, d.blackPricerN, "Plain Ibor Coupon, Normal", 0.05);
220
221 runTest(capped, cappedRef, d.formulaPricerLn, d.blackPricerLn, "Capped Ibor Coupon, Lognormal", 0.05);
222 runTest(capped, cappedRef, d.formulaPricerSln, d.blackPricerSln, "Capped Ibor Coupon, ShiftedLN", 0.05);
223 runTest(capped, cappedRef, d.formulaPricerN, d.blackPricerN, "Capped Ibor Coupon, Normal", 0.05);
224}
225
226BOOST_AUTO_TEST_CASE(testCappedCmsCoupon) {
227
228 BOOST_TEST_MESSAGE("Testing formula based coupons against capped CMS coupon...");
229
230 TestData d;
231
232 auto cms10y = QuantLib::ext::make_shared<EuriborSwapIsdaFixA>(10 * Years, d.yts2, d.yts2);
233
234 CompiledFormula formulaPlain = CompiledFormula(Size(0)); // plain payoff
235 CompiledFormula formulaCapped = min(CompiledFormula(Size(0)), CompiledFormula(0.03)); // capped cms coupon, at 0.03
236
237 auto indexPlain =
238 QuantLib::ext::make_shared<FormulaBasedIndex>("cms-family", std::vector<QuantLib::ext::shared_ptr<InterestRateIndex>>{cms10y},
239 formulaPlain, cms10y->fixingCalendar());
240 auto indexCapped =
241 QuantLib::ext::make_shared<FormulaBasedIndex>("cms-family", std::vector<QuantLib::ext::shared_ptr<InterestRateIndex>>{cms10y},
242 formulaCapped, cms10y->fixingCalendar());
243
244 auto undRef = QuantLib::ext::make_shared<CmsCoupon>(Date(23, February, 2029), 10000.0, Date(23, February, 2028),
245 Date(23, February, 2029), 2, cms10y, 1.0, 0.0, Date(), Date(),
246 Actual360(), false);
247 auto cappedRef = QuantLib::ext::make_shared<CappedFlooredCoupon>(undRef, 0.03);
248
249 QuantLib::ext::shared_ptr<QuantExt::FormulaBasedCoupon> und(
250 new QuantExt::FormulaBasedCoupon(EURCurrency(), Date(23, February, 2029), 10000.0, Date(23, February, 2028),
251 Date(23, February, 2029), 2, indexPlain, Date(), Date(), Actual360(), false));
252 QuantLib::ext::shared_ptr<QuantExt::FormulaBasedCoupon> capped(
253 new QuantExt::FormulaBasedCoupon(EURCurrency(), Date(23, February, 2029), 10000.0, Date(23, February, 2028),
254 Date(23, February, 2029), 2, indexCapped, Date(), Date(), Actual360(), false));
255
256 runTest(und, undRef, d.formulaPricerLn, d.cmsPricerLn, "Plain CMS Coupon, Lognormal", 0.05);
257 runTest(und, undRef, d.formulaPricerSln, d.cmsPricerSln, "Plain CMS Coupon, ShiftedLN", 0.05);
258 runTest(und, undRef, d.formulaPricerN, d.cmsPricerN, "Plain CMS Coupon, Normal", 0.05);
259
260 // the replication model and the model in the formula coupon pricer are not identical,
261 // so we can not check for identical results; there should be reaosonably close though,
262 // check for 2bp difference
263 runTest(capped, cappedRef, d.formulaPricerLn, d.cmsPricerLn, "Capped CMS Coupon, Lognormal", 2.0);
264 runTest(capped, cappedRef, d.formulaPricerSln, d.cmsPricerSln, "Capped CMS Coupon, ShiftedLN", 2.0);
265 runTest(capped, cappedRef, d.formulaPricerN, d.cmsPricerN, "Capped CMS Coupon, Normal", 2.0);
266}
267
268BOOST_AUTO_TEST_CASE(testCappedCmsSpreadCoupon) {
269
270 BOOST_TEST_MESSAGE("Testing formula based coupons against capped CMS spread coupon...");
271
272 TestData d;
273
274 auto cms2y = QuantLib::ext::make_shared<EuriborSwapIsdaFixA>(2 * Years, d.yts2, d.yts2);
275 auto cms10y = QuantLib::ext::make_shared<EuriborSwapIsdaFixA>(10 * Years, d.yts2, d.yts2);
276 auto cms10y2y = QuantLib::ext::make_shared<SwapSpreadIndex>("cms10y2y", cms10y, cms2y);
277
278 CompiledFormula formulaPlain = CompiledFormula(Size(1)) - CompiledFormula(Size(0)); // plain payoff
279 CompiledFormula formulaCapped = min(CompiledFormula(Size(1)) - CompiledFormula(Size(0)),
280 CompiledFormula(0.03)); // capped cms sp coupon, at 0.03
281
282 auto indexPlain = QuantLib::ext::make_shared<FormulaBasedIndex>(
283 "cmssp-family", std::vector<QuantLib::ext::shared_ptr<InterestRateIndex>>{cms2y, cms10y}, formulaPlain,
284 cms10y2y->fixingCalendar());
285 auto indexCapped = QuantLib::ext::make_shared<FormulaBasedIndex>(
286 "cmssp-family", std::vector<QuantLib::ext::shared_ptr<InterestRateIndex>>{cms2y, cms10y}, formulaCapped,
287 cms10y2y->fixingCalendar());
288
289 auto undRef = QuantLib::ext::make_shared<CmsSpreadCoupon>(Date(23, February, 2029), 10000.0, Date(23, February, 2028),
290 Date(23, February, 2029), 2, cms10y2y, 1.0, 0.0, Date(), Date(),
291 Actual360(), false);
292 auto cappedRef = QuantLib::ext::make_shared<CappedFlooredCoupon>(undRef, 0.03);
293
294 QuantLib::ext::shared_ptr<QuantExt::FormulaBasedCoupon> und(
295 new QuantExt::FormulaBasedCoupon(EURCurrency(), Date(23, February, 2029), 10000.0, Date(23, February, 2028),
296 Date(23, February, 2029), 2, indexPlain, Date(), Date(), Actual360(), false));
297 QuantLib::ext::shared_ptr<QuantExt::FormulaBasedCoupon> capped(
298 new QuantExt::FormulaBasedCoupon(EURCurrency(), Date(23, February, 2029), 10000.0, Date(23, February, 2028),
299 Date(23, February, 2029), 2, indexCapped, Date(), Date(), Actual360(), false));
300
301 runTest(und, undRef, d.formulaPricerLn, d.cmsspPricerLn, "Plain CmsSp Coupon, Lognormal", 0.05);
302 runTest(und, undRef, d.formulaPricerSln, d.cmsspPricerSln, "Plain CmsSp Coupon, ShiftedLN", 0.05);
303 runTest(und, undRef, d.formulaPricerN, d.cmsspPricerN, "Plain CmsSp Coupon, Normal", 0.05);
304
305 runTest(capped, cappedRef, d.formulaPricerLn, d.cmsspPricerLn, "Capped CmsSp Coupon, Lognormal", 0.05);
306 runTest(capped, cappedRef, d.formulaPricerSln, d.cmsspPricerSln, "Capped CmsSp Coupon, ShiftedLN", 0.05);
307 runTest(capped, cappedRef, d.formulaPricerN, d.cmsspPricerN, "Capped CmsSp Coupon, Normal", 0.05);
308}
309
310BOOST_AUTO_TEST_CASE(testQuantoLiborCoupon) {
311
312 BOOST_TEST_MESSAGE("Testing formula based coupons against (capped) Quanto Libor coupon...");
313
314 TestData d;
315
316 auto euribor6m = QuantLib::ext::make_shared<Euribor>(6 * Months, d.yts2);
317
318 CompiledFormula formulaPlain = CompiledFormula(Size(0)); // plain payoff
319 CompiledFormula formulaCapped = min(CompiledFormula(Size(0)), CompiledFormula(0.03)); // capped ibor coupon, at 0.03
320
321 auto indexPlain = QuantLib::ext::make_shared<FormulaBasedIndex>(
322 "libor-family", std::vector<QuantLib::ext::shared_ptr<InterestRateIndex>>{euribor6m}, formulaPlain,
323 euribor6m->fixingCalendar());
324 auto indexCapped = QuantLib::ext::make_shared<FormulaBasedIndex>(
325 "libor-family", std::vector<QuantLib::ext::shared_ptr<InterestRateIndex>>{euribor6m}, formulaCapped,
326 euribor6m->fixingCalendar());
327
328 auto undRef = QuantLib::ext::make_shared<IborCoupon>(Date(23, February, 2029), 10000.0, Date(23, February, 2028),
329 Date(23, February, 2029), 2, euribor6m, 1.0, 0.0, Date(), Date(),
330 Actual360(), false);
331 auto cappedRef = QuantLib::ext::make_shared<CappedFlooredCoupon>(undRef, 0.03);
332
333 QuantLib::ext::shared_ptr<QuantExt::FormulaBasedCoupon> und(
334 new QuantExt::FormulaBasedCoupon(USDCurrency(), Date(23, February, 2029), 10000.0, Date(23, February, 2028),
335 Date(23, February, 2029), 2, indexPlain, Date(), Date(), Actual360(), false));
336 QuantLib::ext::shared_ptr<QuantExt::FormulaBasedCoupon> capped(
337 new QuantExt::FormulaBasedCoupon(USDCurrency(), Date(23, February, 2029), 10000.0, Date(23, February, 2028),
338 Date(23, February, 2029), 2, indexCapped, Date(), Date(), Actual360(), false));
339
340 runTest(und, undRef, d.formulaPricerUSDLn, d.blackQuantoPricerLn, "Plain Quanto Ibor Coupon, Lognormal", 0.05);
341 runTest(und, undRef, d.formulaPricerUSDSln, d.blackQuantoPricerSln, "Plain Quanto Ibor Coupon, ShiftedLN", 0.05);
342 runTest(und, undRef, d.formulaPricerUSDN, d.blackQuantoPricerN, "Plain Quanto Ibor Coupon, Normal", 0.05);
343
344 runTest(capped, cappedRef, d.formulaPricerUSDLn, d.blackQuantoPricerLn, "Capped Quanto Ibor Coupon, Lognormal",
345 0.05);
346 runTest(capped, cappedRef, d.formulaPricerUSDSln, d.blackQuantoPricerSln, "Capped Quanto Ibor Coupon, ShiftedLN",
347 0.05);
348 runTest(capped, cappedRef, d.formulaPricerUSDN, d.blackQuantoPricerN, "Capped Quanto Ibor Coupon, Normal", 0.05);
349}
350
351BOOST_AUTO_TEST_SUITE_END()
352
353BOOST_AUTO_TEST_SUITE_END()
QuantExt::CompiledFormula
helper class representing a formula with variables given by an id v
Definition: compiledformula.hpp:40
QuantExt::FormulaBasedCoupon
formula based coupon class
Definition: formulabasedcoupon.hpp:39
flatcorrelation.hpp
Term structure of flat correlations.
formulabasedcoupon.hpp
formula based coupon
formulabasedindex.hpp
formula based index
mcgaussianformulabasedcouponpricer.hpp
formula based coupon pricer
QuantExt::min
CompiledFormula min(CompiledFormula x, const CompiledFormula &y)
Definition: compiledformula.cpp:162
quantocouponpricer.hpp
quanto-adjusted coupon
BOOST_AUTO_TEST_CASE
BOOST_AUTO_TEST_CASE(testCappedLiborCoupon)
Definition: formulabasedcoupon.cpp:187
toplevelfixture.hpp
Fixture that can be used at top level.
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