/*!
Repo
*/
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/* a Repo calculation done using the FixedRateBondForward class
cf. aaBondFwd() repo example at
http://www.fincad.com/support/developerFunc/mathref/BFWD.htm
This repo is set up to use the repo rate to do all discounting
(including the underlying bond income). Forward delivery price is
also obtained using this repo rate. All this is done by supplying
the FixedRateBondForward constructor with a flat repo
YieldTermStructure.
*/
// the only header you need to use QuantLib
#include <ql/quantlib.hpp>
#ifdef BOOST_MSVC
/* Uncomment the following lines to unmask floating-point
exceptions. Warning: unpredictable results can arise...
See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481
*/
// #include <float.h>
// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }
#endif
#include <boost/timer.hpp>
#include <iostream>
using namespace std;
using namespace QuantLib;
#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)
namespace QuantLib {
Integer sessionId() { return 0; }
}
#endif
int main(int, char* []) {
try {
boost::timer timer;
std::cout << std::endl;
Date repoSettlementDate(14,February,2000);;
Date repoDeliveryDate(15,August,2000);
Rate repoRate = 0.05;
DayCounter repoDayCountConvention = Actual360();
Integer repoSettlementDays = 0;
Compounding repoCompounding = Simple;
Frequency repoCompoundFreq = Annual;
// assume a ten year bond- this is irrelevant
Date bondIssueDate(15,September,1995);
Date bondDatedDate(15,September,1995);
Date bondMaturityDate(15,September,2005);
Real bondCoupon = 0.08;
Frequency bondCouponFrequency = Semiannual;
// unknown what calendar fincad is using
Calendar bondCalendar = NullCalendar();
DayCounter bondDayCountConvention = Thirty360(Thirty360::BondBasis);
// unknown what fincad is using. this may affect accrued calculation
Integer bondSettlementDays = 0;
BusinessDayConvention bondBusinessDayConvention = Unadjusted;
Real bondCleanPrice = 89.97693786;
Real bondRedemption = 100.0;
Real faceAmount = 100.0;
Settings::instance().evaluationDate() = repoSettlementDate;
RelinkableHandle<YieldTermStructure> bondCurve;
bondCurve.linkTo(boost::shared_ptr<YieldTermStructure>(
new FlatForward(repoSettlementDate,
.01, // dummy rate
bondDayCountConvention,
Compounded,
bondCouponFrequency)));
/*
boost::shared_ptr<FixedRateBond> bond(
new FixedRateBond(faceAmount,
bondIssueDate,
bondDatedDate,
bondMaturityDate,
bondSettlementDays,
std::vector<Rate>(1,bondCoupon),
bondCouponFrequency,
bondCalendar,
bondDayCountConvention,
bondBusinessDayConvention,
bondBusinessDayConvention,
bondRedemption,
bondCurve));
*/
Schedule bondSchedule(bondDatedDate, bondMaturityDate,
Period(bondCouponFrequency),
bondCalendar,bondBusinessDayConvention,
bondBusinessDayConvention,
DateGeneration::Backward,false);
boost::shared_ptr<FixedRateBond> bond(
new FixedRateBond(bondSettlementDays,
faceAmount,
bondSchedule,
std::vector<Rate>(1,bondCoupon),
bondDayCountConvention,
bondBusinessDayConvention,
bondRedemption,
bondIssueDate));
bond->setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingBondEngine(bondCurve)));
bondCurve.linkTo(boost::shared_ptr<YieldTermStructure> (
new FlatForward(repoSettlementDate,
bond->yield(bondCleanPrice,
bondDayCountConvention,
Compounded,
bondCouponFrequency),
bondDayCountConvention,
Compounded,
bondCouponFrequency)));
Position::Type fwdType = Position::Long;
double dummyStrike = 91.5745;
RelinkableHandle<YieldTermStructure> repoCurve;
repoCurve.linkTo(boost::shared_ptr<YieldTermStructure> (
new FlatForward(repoSettlementDate,
repoRate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq)));
FixedRateBondForward bondFwd(repoSettlementDate,
repoDeliveryDate,
fwdType,
dummyStrike,
repoSettlementDays,
repoDayCountConvention,
bondCalendar,
bondBusinessDayConvention,
bond,
repoCurve,
repoCurve);
cout << "Underlying bond clean price: "
<< bond->cleanPrice()
<< endl;
cout << "Underlying bond dirty price: "
<< bond->dirtyPrice()
<< endl;
cout << "Underlying bond accrued at settlement: "
<< bond->accruedAmount(repoSettlementDate)
<< endl;
cout << "Underlying bond accrued at delivery: "
<< bond->accruedAmount(repoDeliveryDate)
<< endl;
cout << "Underlying bond spot income: "
<< bondFwd.spotIncome(repoCurve)
<< endl;
cout << "Underlying bond fwd income: "
<< bondFwd.spotIncome(repoCurve)/
repoCurve->discount(repoDeliveryDate)
<< endl;
cout << "Repo strike: "
<< dummyStrike
<< endl;
cout << "Repo NPV: "
<< bondFwd.NPV()
<< endl;
cout << "Repo clean forward price: "
<< bondFwd.cleanForwardPrice()
<< endl;
cout << "Repo dirty forward price: "
<< bondFwd.forwardPrice()
<< endl;
cout << "Repo implied yield: "
<< bondFwd.impliedYield(bond->dirtyPrice(),
dummyStrike,
repoSettlementDate,
repoCompounding,
repoDayCountConvention)
<< endl;
cout << "Market repo rate: "
<< repoCurve->zeroRate(repoDeliveryDate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq)
<< endl
<< endl;
cout << "Compare with example given at \n"
<< "http://www.fincad.com/support/developerFunc/mathref/BFWD.htm"
<< endl;
cout << "Clean forward price = 88.2408"
<< endl
<< endl;
cout << "In that example, it is unknown what bond calendar they are\n"
<< "using, as well as settlement Days. For that reason, I have\n"
<< "made the simplest possible assumptions here: NullCalendar\n"
<< "and 0 settlement days."
<< endl;
double seconds = timer.elapsed();
Integer hours = int(seconds/3600);
seconds -= hours * 3600;
Integer minutes = int(seconds/60);
seconds -= minutes * 60;
cout << " \nRun completed in ";
if (hours > 0)
cout << hours << " h ";
if (hours > 0 || minutes > 0)
cout << minutes << " m ";
cout << fixed << setprecision(0)
<< seconds << " s\n" << endl;
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}
