C++：實現(xiàn)量化存在凈額結算協(xié)議的交易對手風險下的利率互換估值公式測試實例

#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;} }

該博文為原創(chuàng)文章，未經博主同意不得轉。
本文章博客地址：https://cplusplus.blog.csdn.net/article/details/128309272

總結

以上是生活随笔為你收集整理的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的全部內容，希望文章能夠幫你解決所遇到的問題。

如果覺得生活随笔網(wǎng)站內容還不錯，歡迎將生活随笔推薦給好友。