C++：實現量化基礎互換利率basis swap rate helpers測試實例

#include "basisswapratehelpers.hpp" #include "utilities.hpp" #include <ql/experimental/termstructures/basisswapratehelpers.hpp> #include <ql/indexes/ibor/sofr.hpp> #include <ql/indexes/ibor/usdlibor.hpp> #include <ql/cashflows/iborcoupon.hpp> #include <ql/cashflows/overnightindexedcoupon.hpp> #include <ql/instruments/swap.hpp> #include <ql/pricingengines/swap/discountingswapengine.hpp> #include <ql/termstructures/yield/piecewiseyieldcurve.hpp> #include <ql/time/calendars/unitedstates.hpp>using namespace QuantLib; using namespace boost::unit_test_framework;namespace basisswapratehelpers_test {struct BasisSwapQuote {Integer n;TimeUnit units;Spread basis;};void testIborIborBootstrap(bool bootstrapBaseCurve) {std::vector<BasisSwapQuote> quotes = {{ 1, Years, 0.0010 },{ 2, Years, 0.0012 },{ 3, Years, 0.0015 },{ 5, Years, 0.0015 },{ 8, Years, 0.0018 },{ 10, Years, 0.0020 },{ 15, Years, 0.0021 },{ 20, Years, 0.0021 },};auto settlementDays = 2;auto calendar = UnitedStates(UnitedStates::GovernmentBond);auto convention = Following;auto endOfMonth = false;Handle<YieldTermStructure> knownForecastCurve(flatRate(0.01, Actual365Fixed()));Handle<YieldTermStructure> discountCurve(flatRate(0.005, Actual365Fixed()));ext::shared_ptr<IborIndex> baseIndex, otherIndex;if (bootstrapBaseCurve) {baseIndex = ext::make_shared<USDLibor>(3 * Months);otherIndex = ext::make_shared<USDLibor>(6 * Months, knownForecastCurve);} else {baseIndex = ext::make_shared<USDLibor>(3 * Months, knownForecastCurve);otherIndex = ext::make_shared<USDLibor>(6 * Months);}std::vector<ext::shared_ptr<RateHelper>> helpers;for (auto q : quotes) {auto h = ext::make_shared<IborIborBasisSwapRateHelper>(Handle<Quote>(ext::make_shared<SimpleQuote>(q.basis)),Period(q.n, q.units), settlementDays, calendar, convention, endOfMonth,baseIndex, otherIndex, discountCurve, bootstrapBaseCurve);helpers.push_back(h);}auto bootstrappedCurve = ext::make_shared<PiecewiseYieldCurve<ZeroYield, Linear>>(0, calendar, helpers, Actual365Fixed());Date today = Settings::instance().evaluationDate();Date spot = calendar.advance(today, settlementDays, Days);if (bootstrapBaseCurve) {baseIndex = ext::make_shared<USDLibor>(3 * Months, Handle<YieldTermStructure>(bootstrappedCurve));otherIndex = ext::make_shared<USDLibor>(6 * Months, knownForecastCurve);} else {baseIndex = ext::make_shared<USDLibor>(3 * Months, knownForecastCurve);otherIndex = ext::make_shared<USDLibor>(6 * Months, Handle<YieldTermStructure>(bootstrappedCurve));}for (auto q : quotes) {// create swaps and check they're fairDate maturity = calendar.advance(spot, q.n, q.units, convention);Schedule s1 =MakeSchedule().from(spot).to(maturity).withTenor(baseIndex->tenor()).withCalendar(calendar).withConvention(convention).withRule(DateGeneration::Forward);Leg leg1 = IborLeg(s1, baseIndex).withSpreads(q.basis).withNotionals(100.0);Schedule s2 =MakeSchedule().from(spot).to(maturity).withTenor(otherIndex->tenor()).withCalendar(calendar).withConvention(convention).withRule(DateGeneration::Forward);Leg leg2 = IborLeg(s2, otherIndex).withNotionals(100.0);Swap swap(leg1, leg2);swap.setPricingEngine(ext::make_shared<DiscountingSwapEngine>(discountCurve));Real NPV = swap.NPV();Real tolerance = 1e-8;if (std::fabs(NPV) > tolerance) {BOOST_ERROR("Failed to price fair " << q.n << "-year(s) swap:"<< "\n calculated: " << NPV);}}}void testOvernightIborBootstrap(bool externalDiscountCurve) {std::vector<BasisSwapQuote> quotes = {{ 1, Years, 0.0010 },{ 2, Years, 0.0012 },{ 3, Years, 0.0015 },{ 5, Years, 0.0015 },{ 8, Years, 0.0018 },{ 10, Years, 0.0020 },{ 15, Years, 0.0021 },{ 20, Years, 0.0021 },};auto settlementDays = 2;auto calendar = UnitedStates(UnitedStates::GovernmentBond);auto convention = Following;auto endOfMonth = false;Handle<YieldTermStructure> knownForecastCurve(flatRate(0.01, Actual365Fixed()));RelinkableHandle<YieldTermStructure> discountCurve;if (externalDiscountCurve)discountCurve.linkTo(flatRate(0.005, Actual365Fixed()));auto baseIndex = ext::make_shared<Sofr>(knownForecastCurve);auto otherIndex = ext::make_shared<USDLibor>(6 * Months);std::vector<ext::shared_ptr<RateHelper>> helpers;for (auto q : quotes) {auto h = ext::make_shared<OvernightIborBasisSwapRateHelper>(Handle<Quote>(ext::make_shared<SimpleQuote>(q.basis)),Period(q.n, q.units), settlementDays, calendar, convention, endOfMonth,baseIndex, otherIndex, discountCurve);helpers.push_back(h);}auto bootstrappedCurve = ext::make_shared<PiecewiseYieldCurve<ZeroYield, Linear>>(0, calendar, helpers, Actual365Fixed());Date today = Settings::instance().evaluationDate();Date spot = calendar.advance(today, settlementDays, Days);otherIndex = ext::make_shared<USDLibor>(6 * Months, Handle<YieldTermStructure>(bootstrappedCurve));for (auto q : quotes) {// create swaps and check they're fairDate maturity = calendar.advance(spot, q.n, q.units, convention);Schedule s =MakeSchedule().from(spot).to(maturity).withTenor(otherIndex->tenor()).withCalendar(calendar).withConvention(convention).withRule(DateGeneration::Forward);Leg leg1 = OvernightLeg(s, baseIndex).withSpreads(q.basis).withNotionals(100.0);Leg leg2 = IborLeg(s, otherIndex).withNotionals(100.0);Swap swap(leg1, leg2);if (externalDiscountCurve) {swap.setPricingEngine(ext::make_shared<DiscountingSwapEngine>(discountCurve));} else {swap.setPricingEngine(ext::make_shared<DiscountingSwapEngine>(Handle<YieldTermStructure>(bootstrappedCurve)));}Real NPV = swap.NPV();Real tolerance = 1e-8;if (std::fabs(NPV) > tolerance) {BOOST_ERROR("Failed to price fair " << q.n << "-year(s) swap:"<< "\n calculated: " << NPV);}}}}void BasisSwapRateHelpersTest::testIborIborBaseCurveBootstrap() {BOOST_TEST_MESSAGE("Testing IBOR-IBOR basis-swap rate helpers (base curve bootstrap)...");basisswapratehelpers_test::testIborIborBootstrap(true); }void BasisSwapRateHelpersTest::testIborIborOtherCurveBootstrap() {BOOST_TEST_MESSAGE("Testing IBOR-IBOR basis-swap rate helpers (other curve bootstrap)...");basisswapratehelpers_test::testIborIborBootstrap(false); }void BasisSwapRateHelpersTest::testOvernightIborBootstrap() {BOOST_TEST_MESSAGE("Testing overnight-IBOR basis-swap rate helpers...");basisswapratehelpers_test::testOvernightIborBootstrap(false); }void BasisSwapRateHelpersTest::testOvernightIborBootstrapWithDiscountCurve() {BOOST_TEST_MESSAGE("Testing overnight-IBOR basis-swap rate helpers with external discount curve...");basisswapratehelpers_test::testOvernightIborBootstrap(true); }test_suite* BasisSwapRateHelpersTest::suite() {auto* suite = BOOST_TEST_SUITE("Basis swap rate helpers tests");suite->add(QUANTLIB_TEST_CASE(&BasisSwapRateHelpersTest::testIborIborBaseCurveBootstrap));suite->add(QUANTLIB_TEST_CASE(&BasisSwapRateHelpersTest::testIborIborOtherCurveBootstrap));suite->add(QUANTLIB_TEST_CASE(&BasisSwapRateHelpersTest::testOvernightIborBootstrap));suite->add(QUANTLIB_TEST_CASE(&BasisSwapRateHelpersTest::testOvernightIborBootstrapWithDiscountCurve));return suite; }

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