C++：实现量化存在净额结算协议的交易对手风险下的利率互换估值公式测试实例

#include <ql/qldefines.hpp>
#if !defined(BOOST_ALL_NO_LIB) && defined(BOOST_MSVC)
#  include <ql/auto_link.hpp>
#endif
#include <ql/instruments/vanillaswap.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/pricingengines/swap/cvaswapengine.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/termstructures/credit/interpolatedhazardratecurve.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual360.hpp>#include <iostream>
#include <iomanip>using namespace std;
using namespace QuantLib;/*This example reproduces Table 2 on page 11 of A Formula for Interest Rate Swaps Valuation underCounterparty Risk in presence of Netting AgreementsDamiano Brigo and Massimo Masetti; May 4, 2005*/int main(int, char* []) {try {std::cout << std::endl;Calendar calendar = TARGET();Date todaysDate(10, March, 2004);// must be a business daytodaysDate = calendar.adjust(todaysDate);Settings::instance().evaluationDate() = todaysDate;ext::shared_ptr<IborIndex>  yieldIndx(new Euribor3M());Size tenorsSwapMkt[] = {5, 10, 15, 20, 25, 30};// rates ignoring counterparty risk:Rate ratesSwapmkt[] = {.03249, .04074, .04463, .04675, .04775, .04811};vector<ext::shared_ptr<RateHelper> > swapHelpers;for(Size i=0; i<sizeof(tenorsSwapMkt)/sizeof(Size); i++)swapHelpers.push_back(ext::make_shared<SwapRateHelper>(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(ratesSwapmkt[i]))),tenorsSwapMkt[i] * Years,TARGET(),Quarterly,ModifiedFollowing,ActualActual(ActualActual::ISDA),yieldIndx));ext::shared_ptr<YieldTermStructure> swapTS(new PiecewiseYieldCurve<Discount,LogLinear>(2, TARGET(), swapHelpers, ActualActual(ActualActual::ISDA)));swapTS->enableExtrapolation();ext::shared_ptr<PricingEngine> riskFreeEngine(ext::make_shared<DiscountingSwapEngine>(Handle<YieldTermStructure>(swapTS)));std::vector<Handle<DefaultProbabilityTermStructure> >defaultIntensityTS;Size defaultTenors[] = {0, 12, 36, 60, 84, 120, 180, 240, 300, 360};// months// Three risk levels:Real intensitiesLow[] = {0.0036, 0.0036, 0.0065, 0.0099, 0.0111, 0.0177, 0.0177, 0.0177, 0.0177, 0.0177, 0.0177};Real intensitiesMedium[] = {0.0202, 0.0202, 0.0231, 0.0266, 0.0278, 0.0349, 0.0349, 0.0349, 0.0349, 0.0349,0.0349};Real intensitiesHigh[] = {0.0534, 0.0534, 0.0564, 0.06, 0.0614, 0.0696,0.0696, 0.0696, 0.0696, 0.0696, 0.0696};// Recovery rates:Real ctptyRRLow = 0.4, ctptyRRMedium = 0.35, ctptyRRHigh = 0.3;std::vector<Date> defaultTSDates;std::vector<Real> intesitiesVLow, intesitiesVMedium, intesitiesVHigh;for(Size i=0; i<sizeof(defaultTenors)/sizeof(Size); i++) {defaultTSDates.push_back(TARGET().advance(todaysDate, Period(defaultTenors[i], Months)));intesitiesVLow.push_back(intensitiesLow[i]);intesitiesVMedium.push_back(intensitiesMedium[i]);intesitiesVHigh.push_back(intensitiesHigh[i]);}defaultIntensityTS.emplace_back(ext::shared_ptr<DefaultProbabilityTermStructure>(new InterpolatedHazardRateCurve<BackwardFlat>(defaultTSDates, intesitiesVLow,Actual360(), TARGET())));defaultIntensityTS.emplace_back(ext::shared_ptr<DefaultProbabilityTermStructure>(new InterpolatedHazardRateCurve<BackwardFlat>(defaultTSDates, intesitiesVMedium,Actual360(), TARGET())));defaultIntensityTS.emplace_back(ext::shared_ptr<DefaultProbabilityTermStructure>(new InterpolatedHazardRateCurve<BackwardFlat>(defaultTSDates, intesitiesVHigh,Actual360(), TARGET())));Volatility blackVol = 0.15;   ext::shared_ptr<PricingEngine> ctptySwapCvaLow = ext::make_shared<CounterpartyAdjSwapEngine>(Handle<YieldTermStructure>(swapTS), blackVol,defaultIntensityTS[0], ctptyRRLow);ext::shared_ptr<PricingEngine> ctptySwapCvaMedium = ext::make_shared<CounterpartyAdjSwapEngine>(Handle<YieldTermStructure>(swapTS), blackVol, defaultIntensityTS[1],ctptyRRMedium);ext::shared_ptr<PricingEngine> ctptySwapCvaHigh = ext::make_shared<CounterpartyAdjSwapEngine>(Handle<YieldTermStructure>(swapTS), blackVol,defaultIntensityTS[2],ctptyRRHigh);defaultIntensityTS[0]->enableExtrapolation();defaultIntensityTS[1]->enableExtrapolation();defaultIntensityTS[2]->enableExtrapolation();/// SWAP RISKY REPRICE----------------------------------------------// fixed legFrequency fixedLegFrequency = Quarterly;BusinessDayConvention fixedLegConvention = ModifiedFollowing;DayCounter fixedLegDayCounter = ActualActual(ActualActual::ISDA);DayCounter floatingLegDayCounter = ActualActual(ActualActual::ISDA);Swap::Type swapType = Swap::Payer;ext::shared_ptr<IborIndex> yieldIndxS(new Euribor3M(Handle<YieldTermStructure>(swapTS)));std::vector<VanillaSwap> riskySwaps;for(Size i=0; i<sizeof(tenorsSwapMkt)/sizeof(Size); i++) riskySwaps.push_back(MakeVanillaSwap(tenorsSwapMkt[i]*Years,yieldIndxS,ratesSwapmkt[i], 0*Days).withSettlementDays(2).withFixedLegDayCount(fixedLegDayCounter).withFixedLegTenor(Period(fixedLegFrequency)).withFixedLegConvention(fixedLegConvention).withFixedLegTerminationDateConvention(fixedLegConvention).withFixedLegCalendar(calendar).withFloatingLegCalendar(calendar).withNominal(100.).withType(swapType));cout << "-- Correction in the contract fix rate in bp --" << endl;/* The paper plots correction to be substracted, here is printedwith its sign */for(Size i=0; i<riskySwaps.size(); i++) {cout << fixed << setprecision(3);cout << setw(4);riskySwaps[i].setPricingEngine(riskFreeEngine);// should recover the input here:Real nonRiskyFair = riskySwaps[i].fairRate();cout << tenorsSwapMkt[i];cout << setw(5);cout << " | " << io::rate(nonRiskyFair);cout << fixed << setprecision(2);cout << setw(5);// Low Risk:riskySwaps[i].setPricingEngine(ctptySwapCvaLow);cout << " | " << setw(6) << 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);//cout << " | " << setw(6) << riskySwaps[i].NPV() ;// Medium Risk:riskySwaps[i].setPricingEngine(ctptySwapCvaMedium);cout << " | " << setw(6) << 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);//cout << " | " << setw(6) << riskySwaps[i].NPV() ;riskySwaps[i].setPricingEngine(ctptySwapCvaHigh);cout << " | " << setw(6) << 10000.*(riskySwaps[i].fairRate() - nonRiskyFair);//cout << " | " << setw(6) << riskySwaps[i].NPV() ;cout << endl;}cout << endl;return 0;} catch (exception& e) {cerr << e.what() << endl;return 1;} catch (...) {cerr << "unknown error" << endl;return 1;}
}

该博文为原创文章，未经博主同意不得转。
本文章博客地址：https://cplusplus.blog.csdn.net/article/details/128309272

C++：实现量化存在净额结算协议的交易对手风险下的利率互换估值公式测试实例相关推荐

C++：实现量化如何建立一个期限结构，并为一个简单的FRA远期利率协议测试实例
C++:实现量化如何建立一个期限结构,并为一个简单的FRA远期利率协议测试实例 #include <ql/qldefines.hpp> #if !defined(BOOST_ALL_NO_ ...
C++：实现量化forward rate agreement远期利率协议测试实例
C++:实现量化forward rate agreement远期利率协议测试实例 #include "forwardrateagreement.hpp" #include &quo ...
C++：实现量化相关的Interpolation插值测试实例
C++:实现量化相关的Interpolation插值测试实例 #include "interpolations.hpp" #include "utilities.hpp& ...
C++：实现量化期权交易CDS加密货币衍生品测试实例
C++:实现量化期权交易CDS加密货币衍生品测试实例 #include <ql/qldefines.hpp> #if !defined(BOOST_ALL_NO_LIB) &&am ...
C++：实现量化daycounters 日计数器测试实例
C++:实现量化daycounters 日计数器测试实例 #include "daycounters.hpp" #include "utilities.hpp" ...
C++：实现量化CPI债券交换测试实例
C++:实现量化CPI债券交换测试实例 #include "utilities.hpp" #include "inflationcpiswap.hpp" #in ...
C++：实现量化SMM Caplet均匀校准测试实例
C++:实现量化SMM Caplet均匀校准测试实例 #include "markovfunctional.hpp" #include "utilities.hpp&qu ...
C++：实现量化Overnight-indexed swap 隔夜指数掉期测试实例
C++:实现量化Overnight-indexed swap 隔夜指数掉期测试实例 #include "overnightindexedswap.hpp" #include &qu ...
C++：实现量化Piecewise yield曲线测试实例
C++:实现量化Piecewise yield曲线测试实例 #include "piecewiseyieldcurve.hpp" #include "utilities. ...
C++：实现量化Libor市场模型测试实例
C++:实现量化Libor市场模型测试实例 #include "libormarketmodel.hpp" #include "utilities.hpp"#i ...

C++：实现量化存在净额结算协议的交易对手风险下的利率互换估值公式测试实例

C++：实现量化存在净额结算协议的交易对手风险下的利率互换估值公式测试实例

C++：实现量化存在净额结算协议的交易对手风险下的利率互换估值公式测试实例相关推荐

最新文章

热门文章