Repository navigation
Expand file tree
/
Copy pathRepo.cpp
More file actions
215 lines (184 loc) · 8.82 KB
/
Copy pathRepo.cpp
File metadata and controls
215 lines (184 loc) · 8.82 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*!
Copyright (C) 2006 Allen Kuo
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<[email protected]>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/* 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.
*/
#include <ql/qldefines.hpp>
#if !defined(BOOST_ALL_NO_LIB) && defined(BOOST_MSVC)
# include <ql/auto_link.hpp>
#endif
#include <ql/instruments/bondforward.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <iostream>
#include <iomanip>
using namespace std;
using namespace QuantLib;
int main(int, char* []) {
try {
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;
Bond::Price bondCleanPrice(89.97693786, Bond::Price::Clean);
Real bondRedemption = 100.0;
Real faceAmount = 100.0;
Settings::instance().evaluationDate() = repoSettlementDate;
RelinkableHandle<YieldTermStructure> bondCurve;
bondCurve.linkTo(ext::make_shared<FlatForward>(repoSettlementDate,
.01, // dummy rate
bondDayCountConvention,
Compounded,
bondCouponFrequency));
/*
auto bond = ext::make_shared<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);
auto bond = ext::make_shared<FixedRateBond>(bondSettlementDays,
faceAmount,
bondSchedule,
std::vector<Rate>(1,bondCoupon),
bondDayCountConvention,
bondBusinessDayConvention,
bondRedemption,
bondIssueDate);
bond->setPricingEngine(ext::make_shared<DiscountingBondEngine>(bondCurve));
bondCurve.linkTo(ext::make_shared<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(ext::make_shared<FlatForward>(repoSettlementDate,
repoRate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq));
BondForward 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;
return 0;
} catch (exception& e) {
cerr << e.what() << endl;
return 1;
} catch (...) {
cerr << "unknown error" << endl;
return 1;
}
}