This is an example of using a QuantLib term structure for pricing a simple swap.
#include <ql/quantlib.hpp>
#ifdef BOOST_MSVC
#endif
#include <boost/timer.hpp>
#include <iostream>
#include <iomanip>
#ifdef BOOST_MSVC
# ifdef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
# include <ql/auto_link.hpp>
# define BOOST_LIB_NAME boost_system
# include <boost/config/auto_link.hpp>
# undef BOOST_LIB_NAME
# define BOOST_LIB_NAME boost_thread
# include <boost/config/auto_link.hpp>
# undef BOOST_LIB_NAME
# endif
#endif
#if defined(QL_ENABLE_SESSIONS)
}
#endif
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
Date settlementDate(22, September, 2004);
settlementDate = calendar.
adjust(settlementDate);
Date todaysDate = calendar.
advance(settlementDate, -fixingDays, Days);
std::cout <<
"Today: " << todaysDate.
weekday()
<< ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;
Rate fra3x6Quote=0.037125;
Rate fra6x9Quote=0.037125;
Rate fra6x12Quote=0.037125;
boost::shared_ptr<Quote> d1wRate(
new SimpleQuote(d1wQuote));
boost::shared_ptr<Quote> d1mRate(
new SimpleQuote(d1mQuote));
boost::shared_ptr<Quote> d3mRate(
new SimpleQuote(d3mQuote));
boost::shared_ptr<Quote> d6mRate(
new SimpleQuote(d6mQuote));
boost::shared_ptr<Quote> d9mRate(
new SimpleQuote(d9mQuote));
boost::shared_ptr<Quote> d1yRate(
new SimpleQuote(d1yQuote));
boost::shared_ptr<Quote> fra3x6Rate(
new SimpleQuote(fra3x6Quote));
boost::shared_ptr<Quote> fra6x9Rate(
new SimpleQuote(fra6x9Quote));
boost::shared_ptr<Quote> fra6x12Rate(
new SimpleQuote(fra6x12Quote));
boost::shared_ptr<Quote> fut1Price(
new SimpleQuote(fut1Quote));
boost::shared_ptr<Quote> fut2Price(
new SimpleQuote(fut2Quote));
boost::shared_ptr<Quote> fut3Price(
new SimpleQuote(fut3Quote));
boost::shared_ptr<Quote> fut4Price(
new SimpleQuote(fut4Quote));
boost::shared_ptr<Quote> fut5Price(
new SimpleQuote(fut5Quote));
boost::shared_ptr<Quote> fut6Price(
new SimpleQuote(fut6Quote));
boost::shared_ptr<Quote> fut7Price(
new SimpleQuote(fut7Quote));
boost::shared_ptr<Quote> fut8Price(
new SimpleQuote(fut8Quote));
boost::shared_ptr<Quote> s2yRate(
new SimpleQuote(s2yQuote));
boost::shared_ptr<Quote> s3yRate(
new SimpleQuote(s3yQuote));
boost::shared_ptr<Quote> s5yRate(
new SimpleQuote(s5yQuote));
boost::shared_ptr<Quote> s10yRate(
new SimpleQuote(s10yQuote));
boost::shared_ptr<Quote> s15yRate(
new SimpleQuote(s15yQuote));
1*Weeks, fixingDays,
true, depositDayCounter));
1*Months, fixingDays,
true, depositDayCounter));
3*Months, fixingDays,
true, depositDayCounter));
6*Months, fixingDays,
true, depositDayCounter));
9*Months, fixingDays,
true, depositDayCounter));
1*Years, fixingDays,
true, depositDayCounter));
true, depositDayCounter));
true, depositDayCounter));
true, depositDayCounter));
imm,
true, depositDayCounter));
imm,
true, depositDayCounter));
imm,
true, depositDayCounter));
imm,
true, depositDayCounter));
imm,
true, depositDayCounter));
imm,
true, depositDayCounter));
imm,
true, depositDayCounter));
imm,
true, depositDayCounter));
boost::shared_ptr<IborIndex> swFloatingLegIndex(
new Euribor6M);
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex));
double tolerance = 1.0e-15;
std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments;
depoSwapInstruments.push_back(d1w);
depoSwapInstruments.push_back(d1m);
depoSwapInstruments.push_back(d3m);
depoSwapInstruments.push_back(d6m);
depoSwapInstruments.push_back(d9m);
depoSwapInstruments.push_back(d1y);
depoSwapInstruments.push_back(s2y);
depoSwapInstruments.push_back(s3y);
depoSwapInstruments.push_back(s5y);
depoSwapInstruments.push_back(s10y);
depoSwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(
settlementDate, depoSwapInstruments,
termStructureDayCounter,
tolerance));
std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments;
depoFutSwapInstruments.push_back(d1w);
depoFutSwapInstruments.push_back(d1m);
depoFutSwapInstruments.push_back(fut1);
depoFutSwapInstruments.push_back(fut2);
depoFutSwapInstruments.push_back(fut3);
depoFutSwapInstruments.push_back(fut4);
depoFutSwapInstruments.push_back(fut5);
depoFutSwapInstruments.push_back(fut6);
depoFutSwapInstruments.push_back(fut7);
depoFutSwapInstruments.push_back(fut8);
depoFutSwapInstruments.push_back(s3y);
depoFutSwapInstruments.push_back(s5y);
depoFutSwapInstruments.push_back(s10y);
depoFutSwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(
settlementDate, depoFutSwapInstruments,
termStructureDayCounter,
tolerance));
std::vector<boost::shared_ptr<RateHelper> > depoFRASwapInstruments;
depoFRASwapInstruments.push_back(d1w);
depoFRASwapInstruments.push_back(d1m);
depoFRASwapInstruments.push_back(d3m);
depoFRASwapInstruments.push_back(fra3x6);
depoFRASwapInstruments.push_back(fra6x9);
depoFRASwapInstruments.push_back(fra6x12);
depoFRASwapInstruments.push_back(s2y);
depoFRASwapInstruments.push_back(s3y);
depoFRASwapInstruments.push_back(s5y);
depoFRASwapInstruments.push_back(s10y);
depoFRASwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure(
settlementDate, depoFRASwapInstruments,
termStructureDayCounter,
tolerance));
Real nominal = 1000000.0;
boost::shared_ptr<IborIndex> euriborIndex(
VanillaSwap::Type swapType = VanillaSwap::Payer;
Date maturity = settlementDate + lenghtInYears*Years;
Schedule fixedSchedule(settlementDate, maturity,
calendar, fixedLegConvention,
fixedLegConvention,
Schedule floatSchedule(settlementDate, maturity,
calendar, floatingLegConvention,
floatingLegConvention,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatSchedule, euriborIndex, spread,
floatingLegDayCounter);
Date fwdStart = calendar.
advance(settlementDate, 1, Years);
Date fwdMaturity = fwdStart + lenghtInYears*Years;
Schedule fwdFixedSchedule(fwdStart, fwdMaturity,
calendar, fixedLegConvention,
fixedLegConvention,
Schedule fwdFloatSchedule(fwdStart, fwdMaturity,
calendar, floatingLegConvention,
floatingLegConvention,
fwdFixedSchedule, fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread,
floatingLegDayCounter);
std::vector<std::string> headers(4);
headers[0] = "term structure";
headers[1] = "net present value";
headers[2] = "fair spread";
headers[3] = "fair fixed rate";
std::string separator = " | ";
Size width = headers[0].size() + separator.size()
+ headers[1].size() + separator.size()
+ headers[2].size() + separator.size()
+ headers[3].size() + separator.size() - 1;
std::string rule(width, '-'), dblrule(width, '=');
std::string tab(8, ' ');
std::cout << dblrule << std::endl;
std::cout << "5-year market swap-rate = "
<< std::setprecision(2) <<
io::rate(s5yRate->value())
<< std::endl;
std::cout << dblrule << std::endl;
std::cout << tab << "5-years swap paying "
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
boost::shared_ptr<PricingEngine> swapEngine(
new DiscountingSwapEngine(discountingTermStructure));
spot5YearSwap.setPricingEngine(swapEngine);
oneYearForward5YearSwap.setPricingEngine(swapEngine);
forecastingTermStructure.
linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8,
"5-years swap mispriced by "
<<
io::rate(std::fabs(fairRate-s5yQuote)));
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-fut-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8,
"5-years swap mispriced!");
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-FRA-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8,
"5-years swap mispriced!");
std::cout << rule << std::endl;
std::cout << tab << "5-years, 1-year forward swap paying "
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-fut-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-FRA-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
boost::shared_ptr<SimpleQuote> fiveYearsRate =
std::cout << dblrule << std::endl;
std::cout << "5-year market swap-rate = "
<<
io::rate(s5yRate->value()) << std::endl;
std::cout << dblrule << std::endl;
std::cout << tab << "5-years swap paying "
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-fut-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = spot5YearSwap.NPV();
fairSpread = spot5YearSwap.fairSpread();
fairRate = spot5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-FRA-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8,
"5-years swap mispriced!");
std::cout << rule << std::endl;
std::cout << tab << "5-years, 1-year forward swap paying "
std::cout << headers[0] << separator
<< headers[1] << separator
<< headers[2] << separator
<< headers[3] << separator << std::endl;
std::cout << rule << std::endl;
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(depoSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
forecastingTermStructure.linkTo(depoFutSwapTermStructure);
discountingTermStructure.linkTo(depoFutSwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-fut-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
forecastingTermStructure.linkTo(depoFRASwapTermStructure);
discountingTermStructure.linkTo(depoFRASwapTermStructure);
NPV = oneYearForward5YearSwap.NPV();
fairSpread = oneYearForward5YearSwap.fairSpread();
fairRate = oneYearForward5YearSwap.fairRate();
std::cout << std::setw(headers[0].size())
<< "depo-FRA-swap" << separator;
std::cout << std::setw(headers[1].size())
<< std::fixed << std::setprecision(2) << NPV << separator;
std::cout << std::setw(headers[2].size())
std::cout << std::setw(headers[3].size())
std::cout << std::endl;
double seconds = timer.elapsed();
seconds -= hours * 3600;
seconds -= minutes * 60;
std::cout << " \nRun completed in ";
if (hours > 0)
std::cout << hours << " h ";
if (hours > 0 || minutes > 0)
std::cout << minutes << " m ";
std::cout << std::fixed << std::setprecision(0)
<< seconds << " s\n" << std::endl;
return 0;
} catch (std::exception& e) {
std::cerr << e.what() << std::endl;
return 1;
} catch (...) {
std::cerr << "unknown error" << std::endl;
return 1;
}
}