C++：实现量化OptionletStripper测试实例
2024-04-22 11:17:22
C++：实现量化OptionletStripper测试实例
#include "optionletstripper.hpp"
#include "utilities.hpp"
#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>
#include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/termstructures/yield/zerocurve.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
#include <ql/pricingengines/capfloor/bacheliercapfloorengine.hpp>
#include <ql/instruments/makecapfloor.hpp>
#include <ql/quotes/simplequote.hpp>
#include <algorithm>
#include <iterator>using namespace QuantLib;
using namespace boost::unit_test_framework;namespace optionlet_stripper_test {struct CommonVars {// global dataCalendar calendar;DayCounter dayCounter;RelinkableHandle<YieldTermStructure> yieldTermStructure;RelinkableHandle< YieldTermStructure > discountingYTS;RelinkableHandle< YieldTermStructure > forwardingYTS;std::vector<Rate> strikes;std::vector<Period> optionTenors;Matrix termV;std::vector<Rate> atmTermV;std::vector<Handle<Quote> > atmTermVolHandle;Handle<CapFloorTermVolCurve> capFloorVolCurve;Handle<CapFloorTermVolCurve> flatTermVolCurve;ext::shared_ptr<CapFloorTermVolSurface> capFloorVolSurface;ext::shared_ptr<CapFloorTermVolSurface> flatTermVolSurface;ext::shared_ptr< CapFloorTermVolSurface > capFloorVolRealSurface;Real accuracy;Real tolerance;// cleanupSavedSettings backup;CommonVars() {accuracy = 1.0e-6;tolerance = 2.5e-8;}void setTermStructure() {calendar = TARGET();dayCounter = Actual365Fixed();Rate flatFwdRate = 0.04;yieldTermStructure.linkTo(ext::make_shared<FlatForward>(0,calendar,flatFwdRate,dayCounter));}void setRealTermStructure() {calendar = TARGET();dayCounter = Actual365Fixed();std::vector< int > datesTmp = {42124, 42129, 42143, 42221, 42254, 42282, 42313, 42345,42374, 42405, 42465, 42495, 42587, 42681, 42772, 42860, 43227,43956, 44321, 44686, 45051, 45418, 45782, 46147, 46512, 47609,49436, 51263, 53087, 56739, 60392};std::vector< Date > dates;dates.reserve(datesTmp.size());for (int& it : datesTmp)dates.emplace_back(it);std::vector< Rate > rates = {-0.00292, -0.00292, -0.001441, -0.00117, -0.001204,-0.001212, -0.001223, -0.001236, -0.001221, -0.001238,-0.001262, -0.00125, -0.001256, -0.001233, -0.00118, -0.001108,-0.000619, 0.000833, 0.001617, 0.002414, 0.003183, 0.003883,0.004514, 0.005074, 0.005606, 0.006856, 0.00813, 0.008709,0.009136, 0.009601, 0.009384};discountingYTS.linkTo(ext::make_shared< InterpolatedZeroCurve< Linear > >(dates, rates,dayCounter, calendar));datesTmp.clear();dates.clear();rates.clear();datesTmp = {42124, 42313, 42436, 42556, 42618, 42800, 42830, 42860,43227, 43591, 43956, 44321, 44686, 45051, 45418, 45782, 46147,46512, 46878, 47245, 47609, 47973, 48339, 48704, 49069, 49436,49800, 50165, 50530, 50895, 51263, 51627, 51991, 52356, 52722,53087, 54913, 56739, 60392, 64045};for (int& it : datesTmp)dates.emplace_back(it);rates = {0.000649, 0.000649, 0.000684, 0.000717, 0.000745, 0.000872,0.000905, 0.000954, 0.001532, 0.002319, 0.003147, 0.003949,0.004743, 0.00551, 0.006198, 0.006798, 0.007339, 0.007832,0.008242, 0.008614, 0.008935, 0.009205, 0.009443, 0.009651,0.009818, 0.009952, 0.010054, 0.010146, 0.010206, 0.010266,0.010315, 0.010365, 0.010416, 0.010468, 0.010519, 0.010571,0.010757, 0.010806, 0.010423, 0.010217};forwardingYTS.linkTo(ext::make_shared< InterpolatedZeroCurve< Linear > >(dates, rates, dayCounter, calendar));}void setFlatTermVolCurve() {setTermStructure();optionTenors.resize(10);for (Size i = 0; i < optionTenors.size(); ++i)optionTenors[i] = Period(i + 1, Years);Volatility flatVol = .18;std::vector<Handle<Quote> > curveVHandle(optionTenors.size());for (Size i=0; i<optionTenors.size(); ++i)curveVHandle[i] = Handle<Quote>(ext::shared_ptr<Quote>(newSimpleQuote(flatVol)));flatTermVolCurve = Handle<CapFloorTermVolCurve>(ext::make_shared<CapFloorTermVolCurve>(0, calendar, Following, optionTenors,curveVHandle, dayCounter));}void setFlatTermVolSurface() {setTermStructure();optionTenors.resize(10);for (Size i = 0; i < optionTenors.size(); ++i)optionTenors[i] = Period(i + 1, Years);strikes.resize(10);for (Size j = 0; j < strikes.size(); ++j)strikes[j] = Real(j + 1) / 100.0;Volatility flatVol = .18;termV = Matrix(optionTenors.size(), strikes.size(), flatVol);flatTermVolSurface = ext::make_shared<CapFloorTermVolSurface>(0, calendar, Following,optionTenors, strikes,termV, dayCounter);}void setCapFloorTermVolCurve() {setTermStructure();//atm cap volatility curveoptionTenors = {{1, Years},{18, Months},{2, Years},{3, Years},{4, Years},{5, Years},{6, Years},{7, Years},{8, Years},{9, Years},{10, Years},{12, Years},{15, Years},{20, Years},{25, Years},{30, Years}};//atm capfloor vols from mkt vol matrix using flat yield curveatmTermV = {0.090304,0.12180,0.13077,0.14832,0.15570,0.15816,0.15932,0.16035,0.15951,0.15855,0.15754,0.15459,0.15163,0.14575,0.14175,0.13889};atmTermVolHandle.resize(optionTenors.size());for (Size i=0; i<optionTenors.size(); ++i) {atmTermVolHandle[i] = Handle<Quote>(ext::shared_ptr<Quote>(newSimpleQuote(atmTermV[i])));}capFloorVolCurve = Handle<CapFloorTermVolCurve>(ext::make_shared<CapFloorTermVolCurve>(0, calendar, Following,optionTenors, atmTermVolHandle,dayCounter));}void setCapFloorTermVolSurface() {setTermStructure();//cap volatility smile matrixoptionTenors = {{1, Years},{18, Months},{2, Years},{3, Years},{4, Years},{5, Years},{6, Years},{7, Years},{8, Years},{9, Years},{10, Years},{12, Years},{15, Years},{20, Years},{25, Years},{30, Years}};strikes = {0.015,0.0175,0.02,0.0225,0.025,0.03,0.035,0.04,0.05,0.06,0.07,0.08,0.1};termV = Matrix(optionTenors.size(), strikes.size());termV[0][0]=0.287; termV[0][1]=0.274; termV[0][2]=0.256; termV[0][3]=0.245; termV[0][4]=0.227; termV[0][5]=0.148; termV[0][6]=0.096; termV[0][7]=0.09; termV[0][8]=0.11; termV[0][9]=0.139; termV[0][10]=0.166; termV[0][11]=0.19; termV[0][12]=0.214;termV[1][0]=0.303; termV[1][1]=0.258; termV[1][2]=0.22; termV[1][3]=0.203; termV[1][4]=0.19; termV[1][5]=0.153; termV[1][6]=0.126; termV[1][7]=0.118; termV[1][8]=0.147; termV[1][9]=0.165; termV[1][10]=0.18; termV[1][11]=0.192; termV[1][12]=0.212;termV[2][0]=0.303; termV[2][1]=0.257; termV[2][2]=0.216; termV[2][3]=0.196; termV[2][4]=0.182; termV[2][5]=0.154; termV[2][6]=0.134; termV[2][7]=0.127; termV[2][8]=0.149; termV[2][9]=0.166; termV[2][10]=0.18; termV[2][11]=0.192; termV[2][12]=0.212;termV[3][0]=0.305; termV[3][1]=0.266; termV[3][2]=0.226; termV[3][3]=0.203; termV[3][4]=0.19; termV[3][5]=0.167; termV[3][6]=0.151; termV[3][7]=0.144; termV[3][8]=0.16; termV[3][9]=0.172; termV[3][10]=0.183; termV[3][11]=0.193; termV[3][12]=0.209;termV[4][0]=0.294; termV[4][1]=0.261; termV[4][2]=0.216; termV[4][3]=0.201; termV[4][4]=0.19; termV[4][5]=0.171; termV[4][6]=0.158; termV[4][7]=0.151; termV[4][8]=0.163; termV[4][9]=0.172; termV[4][10]=0.181; termV[4][11]=0.188; termV[4][12]=0.201;termV[5][0]=0.276; termV[5][1]=0.248; termV[5][2]=0.212; termV[5][3]=0.199; termV[5][4]=0.189; termV[5][5]=0.172; termV[5][6]=0.16; termV[5][7]=0.155; termV[5][8]=0.162; termV[5][9]=0.17; termV[5][10]=0.177; termV[5][11]=0.183; termV[5][12]=0.195;termV[6][0]=0.26; termV[6][1]=0.237; termV[6][2]=0.21; termV[6][3]=0.198; termV[6][4]=0.188; termV[6][5]=0.172; termV[6][6]=0.161; termV[6][7]=0.156; termV[6][8]=0.161; termV[6][9]=0.167; termV[6][10]=0.173; termV[6][11]=0.179; termV[6][12]=0.19;termV[7][0]=0.25; termV[7][1]=0.231; termV[7][2]=0.208; termV[7][3]=0.196; termV[7][4]=0.187; termV[7][5]=0.172; termV[7][6]=0.162; termV[7][7]=0.156; termV[7][8]=0.16; termV[7][9]=0.165; termV[7][10]=0.17; termV[7][11]=0.175; termV[7][12]=0.185;termV[8][0]=0.244; termV[8][1]=0.226; termV[8][2]=0.206; termV[8][3]=0.195; termV[8][4]=0.186; termV[8][5]=0.171; termV[8][6]=0.161; termV[8][7]=0.156; termV[8][8]=0.158; termV[8][9]=0.162; termV[8][10]=0.166; termV[8][11]=0.171; termV[8][12]=0.18;termV[9][0]=0.239; termV[9][1]=0.222; termV[9][2]=0.204; termV[9][3]=0.193; termV[9][4]=0.185; termV[9][5]=0.17; termV[9][6]=0.16; termV[9][7]=0.155; termV[9][8]=0.156; termV[9][9]=0.159; termV[9][10]=0.163; termV[9][11]=0.168; termV[9][12]=0.177;termV[10][0]=0.235; termV[10][1]=0.219; termV[10][2]=0.202; termV[10][3]=0.192; termV[10][4]=0.183; termV[10][5]=0.169; termV[10][6]=0.159; termV[10][7]=0.154; termV[10][8]=0.154; termV[10][9]=0.156; termV[10][10]=0.16; termV[10][11]=0.164; termV[10][12]=0.173;termV[11][0]=0.227; termV[11][1]=0.212; termV[11][2]=0.197; termV[11][3]=0.187; termV[11][4]=0.179; termV[11][5]=0.166; termV[11][6]=0.156; termV[11][7]=0.151; termV[11][8]=0.149; termV[11][9]=0.15; termV[11][10]=0.153; termV[11][11]=0.157; termV[11][12]=0.165;termV[12][0]=0.22; termV[12][1]=0.206; termV[12][2]=0.192; termV[12][3]=0.183; termV[12][4]=0.175; termV[12][5]=0.162; termV[12][6]=0.153; termV[12][7]=0.147; termV[12][8]=0.144; termV[12][9]=0.144; termV[12][10]=0.147; termV[12][11]=0.151; termV[12][12]=0.158;termV[13][0]=0.211; termV[13][1]=0.197; termV[13][2]=0.185; termV[13][3]=0.176; termV[13][4]=0.168; termV[13][5]=0.156; termV[13][6]=0.147; termV[13][7]=0.142; termV[13][8]=0.138; termV[13][9]=0.138; termV[13][10]=0.14; termV[13][11]=0.144; termV[13][12]=0.151;termV[14][0]=0.204; termV[14][1]=0.192; termV[14][2]=0.18; termV[14][3]=0.171; termV[14][4]=0.164; termV[14][5]=0.152; termV[14][6]=0.143; termV[14][7]=0.138; termV[14][8]=0.134; termV[14][9]=0.134; termV[14][10]=0.137; termV[14][11]=0.14; termV[14][12]=0.148;termV[15][0]=0.2; termV[15][1]=0.187; termV[15][2]=0.176; termV[15][3]=0.167; termV[15][4]=0.16; termV[15][5]=0.148; termV[15][6]=0.14; termV[15][7]=0.135; termV[15][8]=0.131; termV[15][9]=0.132; termV[15][10]=0.135; termV[15][11]=0.139; termV[15][12]=0.146;capFloorVolSurface = ext::make_shared<CapFloorTermVolSurface>(0, calendar, Following,optionTenors, strikes,termV, dayCounter);}void setRealCapFloorTermVolSurface() {setRealTermStructure();// cap volatility smile matrixoptionTenors = {{1, Years},{18, Months},{2, Years},{3, Years},{4, Years},{5, Years},{6, Years},{7, Years},{8, Years},{9, Years},{10, Years},{12, Years},{15, Years},{20, Years},{25, Years},{30, Years}};// 16strikes = {-0.005,-0.0025,-0.00125,0.0,0.00125,0.0025,0.005,0.01,0.015,0.02,0.03,0.05,0.1};// 13std::vector< Real > rawVols = {0.49, 0.39, 0.34, 0.31, 0.34, 0.37, 0.50, 0.75, 0.99, 1.21, 1.64, 2.44, 4.29,0.44, 0.36, 0.33, 0.31, 0.33, 0.35,0.45, 0.65, 0.83, 1.00, 1.32, 1.93, 3.30,0.40, 0.35, 0.33,0.31, 0.33, 0.34, 0.41, 0.55, 0.69, 0.82, 1.08, 1.56, 2.68,0.42, 0.39, 0.38, 0.37, 0.38, 0.39, 0.43, 0.54, 0.64, 0.74,0.94, 1.31, 2.18,0.46, 0.43, 0.42, 0.41, 0.42, 0.43, 0.47,0.56, 0.66, 0.75, 0.93, 1.28, 2.07,0.49, 0.47, 0.46, 0.45,0.46, 0.47, 0.51, 0.59, 0.68, 0.76, 0.93, 1.25, 1.99,0.51, 0.49, 0.49, 0.48, 0.49, 0.50, 0.54, 0.62, 0.70, 0.78, 0.94,1.24, 1.94,0.52, 0.51, 0.51, 0.51, 0.52, 0.53, 0.56, 0.63,0.71, 0.79, 0.94, 1.23, 1.89,0.53, 0.52, 0.52, 0.52, 0.53,0.54, 0.57, 0.65, 0.72, 0.79, 0.94, 1.21, 1.83,0.55, 0.54, 0.54, 0.54, 0.55, 0.56, 0.59, 0.66, 0.72, 0.79, 0.91, 1.15,1.71,0.56, 0.56, 0.56, 0.56, 0.57, 0.58, 0.61, 0.67, 0.72,0.78, 0.89, 1.09, 1.59,0.59, 0.58, 0.58, 0.59, 0.59, 0.60,0.63, 0.68, 0.73, 0.78, 0.86, 1.03, 1.45,0.61, 0.61, 0.61,0.61, 0.62, 0.62, 0.64, 0.69, 0.73, 0.77, 0.85, 1.02, 1.44,0.62, 0.62, 0.63, 0.63, 0.64, 0.64, 0.65, 0.69, 0.72, 0.76,0.82, 0.96, 1.32,0.62, 0.63, 0.63, 0.63, 0.65, 0.66, 0.66,0.68, 0.72, 0.74, 0.80, 0.93, 1.25,0.62, 0.62, 0.62, 0.62,0.66, 0.67, 0.67, 0.67, 0.72, 0.72, 0.78, 0.90, 1.25};termV = Matrix(optionTenors.size(), strikes.size());std::copy(rawVols.begin(), rawVols.end(), termV.begin());termV /= 100;capFloorVolRealSurface =ext::make_shared< CapFloorTermVolSurface >(0, calendar, Following,optionTenors, strikes, termV,dayCounter);}
};
}void OptionletStripperTest::testFlatTermVolatilityStripping1() {BOOST_TEST_MESSAGE("Testing forward/forward vol stripping from flat term vol ""surface using OptionletStripper1 class...");using namespace optionlet_stripper_test;CommonVars vars;Settings::instance().evaluationDate() = Date(28, October, 2013);vars.setFlatTermVolSurface();ext::shared_ptr<IborIndex> iborIndex(new Euribor6M(vars.yieldTermStructure));ext::shared_ptr<OptionletStripper> optionletStripper1(newOptionletStripper1(vars.flatTermVolSurface,iborIndex,Null<Rate>(),vars.accuracy));ext::shared_ptr<StrippedOptionletAdapter> strippedOptionletAdapter(newStrippedOptionletAdapter(optionletStripper1));Handle<OptionletVolatilityStructure> vol(strippedOptionletAdapter);vol->enableExtrapolation();ext::shared_ptr<BlackCapFloorEngine> strippedVolEngine(newBlackCapFloorEngine(vars.yieldTermStructure,vol));ext::shared_ptr<CapFloor> cap;for (Size tenorIndex=0; tenorIndex<vars.optionTenors.size(); ++tenorIndex) {for (Size strikeIndex=0; strikeIndex<vars.strikes.size(); ++strikeIndex) {cap = MakeCapFloor(CapFloor::Cap,vars.optionTenors[tenorIndex],iborIndex,vars.strikes[strikeIndex],0*Days).withPricingEngine(strippedVolEngine);Real priceFromStrippedVolatility = cap->NPV();ext::shared_ptr<PricingEngine> blackCapFloorEngineConstantVolatility(newBlackCapFloorEngine(vars.yieldTermStructure,vars.termV[tenorIndex][strikeIndex]));cap->setPricingEngine(blackCapFloorEngineConstantVolatility);Real priceFromConstantVolatility = cap->NPV();Real error = std::fabs(priceFromStrippedVolatility - priceFromConstantVolatility);if (error>vars.tolerance)BOOST_FAIL("\noption tenor: " << vars.optionTenors[tenorIndex] <<"\nstrike: " << io::rate(vars.strikes[strikeIndex]) <<"\nstripped vol price: " << io::rate(priceFromStrippedVolatility) <<"\nconstant vol price: " << io::rate(priceFromConstantVolatility) <<"\nerror: " << io::rate(error) <<"\ntolerance: " << io::rate(vars.tolerance));}}
}void OptionletStripperTest::testTermVolatilityStripping1() {BOOST_TEST_MESSAGE("Testing forward/forward vol stripping from non-flat term ""vol surface using OptionletStripper1 class...");using namespace optionlet_stripper_test;CommonVars vars;Settings::instance().evaluationDate() = Date(28, October, 2013);vars.setCapFloorTermVolSurface();ext::shared_ptr<IborIndex> iborIndex(new Euribor6M(vars.yieldTermStructure));ext::shared_ptr<OptionletStripper> optionletStripper1(newOptionletStripper1(vars.capFloorVolSurface,iborIndex,Null<Rate>(),vars.accuracy));ext::shared_ptr<StrippedOptionletAdapter> strippedOptionletAdapter =ext::make_shared<StrippedOptionletAdapter>(optionletStripper1);Handle<OptionletVolatilityStructure> vol(strippedOptionletAdapter);vol->enableExtrapolation();ext::shared_ptr<BlackCapFloorEngine> strippedVolEngine(newBlackCapFloorEngine(vars.yieldTermStructure,vol));ext::shared_ptr<CapFloor> cap;for (Size tenorIndex=0; tenorIndex<vars.optionTenors.size(); ++tenorIndex) {for (Size strikeIndex=0; strikeIndex<vars.strikes.size(); ++strikeIndex) {cap = MakeCapFloor(CapFloor::Cap,vars.optionTenors[tenorIndex],iborIndex,vars.strikes[strikeIndex],0*Days).withPricingEngine(strippedVolEngine);Real priceFromStrippedVolatility = cap->NPV();ext::shared_ptr<PricingEngine> blackCapFloorEngineConstantVolatility(newBlackCapFloorEngine(vars.yieldTermStructure,vars.termV[tenorIndex][strikeIndex]));cap->setPricingEngine(blackCapFloorEngineConstantVolatility);Real priceFromConstantVolatility = cap->NPV();Real error = std::fabs(priceFromStrippedVolatility - priceFromConstantVolatility);if (error>vars.tolerance)BOOST_FAIL("\noption tenor: " << vars.optionTenors[tenorIndex] <<"\nstrike: " << io::rate(vars.strikes[strikeIndex]) <<"\nstripped vol price: " << io::rate(priceFromStrippedVolatility) <<"\nconstant vol price: " << io::rate(priceFromConstantVolatility) <<"\nerror: " << io::rate(error) <<"\ntolerance: " << io::rate(vars.tolerance));}}
}void OptionletStripperTest::testTermVolatilityStrippingNormalVol() {BOOST_TEST_MESSAGE("Testing forward/forward vol stripping from non-flat normal vol term ""vol surface for normal vol setup using OptionletStripper1 class...");using namespace optionlet_stripper_test;CommonVars vars;Settings::instance().evaluationDate() = Date(30, April, 2015);vars.setRealCapFloorTermVolSurface();ext::shared_ptr< IborIndex > iborIndex(new Euribor6M(vars.forwardingYTS));ext::shared_ptr< OptionletStripper > optionletStripper1(new OptionletStripper1(vars.capFloorVolRealSurface, iborIndex,Null< Rate >(), vars.accuracy, 100,vars.discountingYTS, Normal));ext::shared_ptr< StrippedOptionletAdapter > strippedOptionletAdapter =ext::make_shared< StrippedOptionletAdapter >(optionletStripper1);Handle< OptionletVolatilityStructure > vol(strippedOptionletAdapter);vol->enableExtrapolation();ext::shared_ptr< BachelierCapFloorEngine > strippedVolEngine(new BachelierCapFloorEngine(vars.discountingYTS, vol));ext::shared_ptr< CapFloor > cap;for (Size tenorIndex = 0; tenorIndex < vars.optionTenors.size();++tenorIndex) {for (Size strikeIndex = 0; strikeIndex < vars.strikes.size();++strikeIndex) {cap = MakeCapFloor(CapFloor::Cap, vars.optionTenors[tenorIndex],iborIndex, vars.strikes[strikeIndex],0 * Days).withPricingEngine(strippedVolEngine);Real priceFromStrippedVolatility = cap->NPV();ext::shared_ptr< PricingEngine >bachelierCapFloorEngineConstantVolatility(new BachelierCapFloorEngine(vars.discountingYTS,vars.termV[tenorIndex][strikeIndex]));cap->setPricingEngine(bachelierCapFloorEngineConstantVolatility);Real priceFromConstantVolatility = cap->NPV();Real error = std::fabs(priceFromStrippedVolatility -priceFromConstantVolatility);if (error > vars.tolerance)BOOST_FAIL("\noption tenor: "<< vars.optionTenors[tenorIndex] << "\nstrike: "<< io::rate(vars.strikes[strikeIndex])<< "\nstripped vol price: "<< io::rate(priceFromStrippedVolatility)<< "\nconstant vol price: "<< io::rate(priceFromConstantVolatility)<< "\nerror: " << io::rate(error)<< "\ntolerance: " << io::rate(vars.tolerance));}}
}void OptionletStripperTest::testTermVolatilityStrippingShiftedLogNormalVol() {BOOST_TEST_MESSAGE("Testing forward/forward vol stripping from non-flat normal vol term ""vol surface for normal vol setup using OptionletStripper1 class...");using namespace optionlet_stripper_test;CommonVars vars;Real shift = 0.03;Settings::instance().evaluationDate() = Date(30, April, 2015);vars.setRealCapFloorTermVolSurface();ext::shared_ptr< IborIndex > iborIndex(new Euribor6M(vars.forwardingYTS));ext::shared_ptr< OptionletStripper > optionletStripper1(new OptionletStripper1(vars.capFloorVolRealSurface, iborIndex,Null< Rate >(), vars.accuracy, 100,vars.discountingYTS, ShiftedLognormal, shift,true));ext::shared_ptr< StrippedOptionletAdapter > strippedOptionletAdapter =ext::make_shared< StrippedOptionletAdapter >(optionletStripper1);Handle< OptionletVolatilityStructure > vol(strippedOptionletAdapter);vol->enableExtrapolation();ext::shared_ptr< BlackCapFloorEngine > strippedVolEngine(new BlackCapFloorEngine(vars.discountingYTS, vol));ext::shared_ptr< CapFloor > cap;for (Size strikeIndex = 0; strikeIndex < vars.strikes.size();++strikeIndex) {for (Size tenorIndex = 0; tenorIndex < vars.optionTenors.size();++tenorIndex) {cap = MakeCapFloor(CapFloor::Cap, vars.optionTenors[tenorIndex],iborIndex, vars.strikes[strikeIndex],0 * Days).withPricingEngine(strippedVolEngine);Real priceFromStrippedVolatility = cap->NPV();ext::shared_ptr< PricingEngine >blackCapFloorEngineConstantVolatility(new BlackCapFloorEngine(vars.discountingYTS, vars.termV[tenorIndex][strikeIndex],vars.capFloorVolRealSurface->dayCounter(), shift));cap->setPricingEngine(blackCapFloorEngineConstantVolatility);Real priceFromConstantVolatility = cap->NPV();Real error = std::fabs(priceFromStrippedVolatility -priceFromConstantVolatility);if (error > vars.tolerance)BOOST_FAIL("\noption tenor: "<< vars.optionTenors[tenorIndex] << "\nstrike: "<< io::rate(vars.strikes[strikeIndex])<< "\nstripped vol price: "<< io::rate(priceFromStrippedVolatility)<< "\nconstant vol price: "<< io::rate(priceFromConstantVolatility)<< "\nerror: " << io::rate(error)<< "\ntolerance: " << io::rate(vars.tolerance));}}
}void OptionletStripperTest::testFlatTermVolatilityStripping2() {BOOST_TEST_MESSAGE("Testing forward/forward vol stripping from flat term vol ""surface using OptionletStripper2 class...");using namespace optionlet_stripper_test;CommonVars vars;Settings::instance().evaluationDate() = Date::todaysDate();vars.setFlatTermVolCurve();vars.setFlatTermVolSurface();ext::shared_ptr<IborIndex> iborIndex(new Euribor6M(vars.yieldTermStructure));// optionletstripper1ext::shared_ptr<OptionletStripper1> optionletStripper1(newOptionletStripper1(vars.flatTermVolSurface,iborIndex,Null<Rate>(),vars.accuracy));ext::shared_ptr<StrippedOptionletAdapter> strippedOptionletAdapter1(newStrippedOptionletAdapter(optionletStripper1));Handle<OptionletVolatilityStructure> vol1(strippedOptionletAdapter1);vol1->enableExtrapolation();// optionletstripper2ext::shared_ptr<OptionletStripper> optionletStripper2(newOptionletStripper2(optionletStripper1, vars.flatTermVolCurve));ext::shared_ptr<StrippedOptionletAdapter> strippedOptionletAdapter2(newStrippedOptionletAdapter(optionletStripper2));Handle<OptionletVolatilityStructure> vol2(strippedOptionletAdapter2);vol2->enableExtrapolation();// consistency check: diff(stripped vol1-stripped vol2)for (Size strikeIndex=0; strikeIndex<vars.strikes.size(); ++strikeIndex) {for (Size tenorIndex=0; tenorIndex<vars.optionTenors.size(); ++tenorIndex) {Volatility strippedVol1 = vol1->volatility(vars.optionTenors[tenorIndex],vars.strikes[strikeIndex], true);Volatility strippedVol2 = vol2->volatility(vars.optionTenors[tenorIndex],vars.strikes[strikeIndex], true);// vol from flat vol surface (for comparison only)Volatility flatVol = vars.flatTermVolSurface->volatility(vars.optionTenors[tenorIndex],vars.strikes[strikeIndex], true);Real error = std::fabs(strippedVol1-strippedVol2);if (error>vars.tolerance)BOOST_FAIL("\noption tenor: " << vars.optionTenors[tenorIndex] <<"\nstrike: " << io::rate(vars.strikes[strikeIndex]) <<"\nstripped vol1: " << io::rate(strippedVol1) <<"\nstripped vol2: " << io::rate(strippedVol2) <<"\nflat vol: " << io::rate(flatVol) <<"\nerror: " << io::rate(error) <<"\ntolerance: " << io::rate(vars.tolerance));}}}void OptionletStripperTest::testTermVolatilityStripping2() {BOOST_TEST_MESSAGE("Testing forward/forward vol stripping from non-flat term vol ""surface using OptionletStripper2 class...");using namespace optionlet_stripper_test;CommonVars vars;Settings::instance().evaluationDate() = Date::todaysDate();vars.setCapFloorTermVolCurve();vars.setCapFloorTermVolSurface();ext::shared_ptr<IborIndex> iborIndex(new Euribor6M(vars.yieldTermStructure));// optionletstripper1ext::shared_ptr<OptionletStripper1> optionletStripper1(newOptionletStripper1(vars.capFloorVolSurface,iborIndex,Null<Rate>(),vars.accuracy));ext::shared_ptr<StrippedOptionletAdapter> strippedOptionletAdapter1 =ext::make_shared<StrippedOptionletAdapter>(optionletStripper1);Handle<OptionletVolatilityStructure> vol1(strippedOptionletAdapter1);vol1->enableExtrapolation();// optionletstripper2ext::shared_ptr<OptionletStripper> optionletStripper2(newOptionletStripper2(optionletStripper1,vars.capFloorVolCurve));ext::shared_ptr<StrippedOptionletAdapter> strippedOptionletAdapter2(newStrippedOptionletAdapter(optionletStripper2));Handle<OptionletVolatilityStructure> vol2(strippedOptionletAdapter2);vol2->enableExtrapolation();// consistency check: diff(stripped vol1-stripped vol2)for (Size strikeIndex=0; strikeIndex<vars.strikes.size(); ++strikeIndex) {for (Size tenorIndex=0; tenorIndex<vars.optionTenors.size(); ++tenorIndex) {Volatility strippedVol1 = vol1->volatility(vars.optionTenors[tenorIndex],vars.strikes[strikeIndex], true);Volatility strippedVol2 = vol2->volatility(vars.optionTenors[tenorIndex],vars.strikes[strikeIndex], true);// vol from flat vol surface (for comparison only)Volatility flatVol = vars.capFloorVolSurface->volatility(vars.optionTenors[tenorIndex],vars.strikes[strikeIndex], true);Real error = std::fabs(strippedVol1-strippedVol2);if (error>vars.tolerance)BOOST_FAIL("\noption tenor: " << vars.optionTenors[tenorIndex] <<"\nstrike: " << io::rate(vars.strikes[strikeIndex]) <<"\nstripped vol1: " << io::rate(strippedVol1) <<"\nstripped vol2: " << io::rate(strippedVol2) <<"\nflat vol: " << io::rate(flatVol) <<"\nerror: " << io::rate(error) <<"\ntolerance: " << io::rate(vars.tolerance));}}
}void OptionletStripperTest::testSwitchStrike() {BOOST_TEST_MESSAGE("Testing switch strike level and recalibration of level ""in case of curve relinking...");using namespace optionlet_stripper_test;bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();CommonVars vars;Settings::instance().evaluationDate() = Date(28, October, 2013);vars.setCapFloorTermVolSurface();RelinkableHandle< YieldTermStructure > yieldTermStructure;yieldTermStructure.linkTo(ext::make_shared< FlatForward >(0, vars.calendar, 0.03, vars.dayCounter));ext::shared_ptr< IborIndex > iborIndex(new Euribor6M(yieldTermStructure));ext::shared_ptr< OptionletStripper1 > optionletStripper1(new OptionletStripper1(vars.capFloorVolSurface, iborIndex,Null< Rate >(), vars.accuracy));Real expected = usingAtParCoupons ? 0.02981223 : 0.02981258;Real error = std::fabs(optionletStripper1->switchStrike() - expected);if (error > vars.tolerance)BOOST_FAIL("\nSwitchstrike not correctly computed: "<< "\nexpected switch strike: " << io::rate(expected)<< "\ncomputed switch strike: "<< io::rate(optionletStripper1->switchStrike())<< "\nerror: " << io::rate(error)<< "\ntolerance: " << io::rate(vars.tolerance));yieldTermStructure.linkTo(ext::make_shared< FlatForward >(0, vars.calendar, 0.05, vars.dayCounter));expected = usingAtParCoupons ? 0.0499371 : 0.0499381;error = std::fabs(optionletStripper1->switchStrike() - expected);if (error > vars.tolerance)BOOST_FAIL("\nSwitchstrike not correctly computed: "<< "\nexpected switch strike: " << io::rate(expected)<< "\ncomputed switch strike: "<< io::rate(optionletStripper1->switchStrike())<< "\nerror: " << io::rate(error)<< "\ntolerance: " << io::rate(vars.tolerance));
}test_suite* OptionletStripperTest::suite() {auto* suite = BOOST_TEST_SUITE("OptionletStripper Tests");suite->add(QUANTLIB_TEST_CASE(&OptionletStripperTest::testFlatTermVolatilityStripping1));suite->add(QUANTLIB_TEST_CASE(&OptionletStripperTest::testTermVolatilityStripping1));suite->add(QUANTLIB_TEST_CASE(&OptionletStripperTest::testFlatTermVolatilityStripping2));suite->add(QUANTLIB_TEST_CASE(&OptionletStripperTest::testTermVolatilityStripping2));suite->add(QUANTLIB_TEST_CASE(&OptionletStripperTest::testSwitchStrike));suite->add(QUANTLIB_TEST_CASE(&OptionletStripperTest::testTermVolatilityStrippingNormalVol));suite->add(QUANTLIB_TEST_CASE(&OptionletStripperTest::testTermVolatilityStrippingShiftedLogNormalVol));return suite;
}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/128364958
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