C++：实现量化设置期限结构，然后确定价格如“价格收益率”或“收益率价格”测试实例


#include <ql/qldefines.hpp>
#if !defined(BOOST_ALL_NO_LIB) && defined(BOOST_MSVC)
#  include <ql/auto_link.hpp>
#endif
#include <ql/instruments/bonds/zerocouponbond.hpp>
#include <ql/instruments/bonds/floatingratebond.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/bondhelpers.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>#include <iostream>
#include <iomanip>using namespace QuantLib;int main(int, char* []) {try {std::cout << std::endl;/************************  MARKET DATA  ************************/Calendar calendar = TARGET();Date settlementDate(18, September, 2008);// must be a business daysettlementDate = calendar.adjust(settlementDate);Integer fixingDays = 3;Natural settlementDays = 3;Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);// nothing to do with Date::todaysDateSettings::instance().evaluationDate() = todaysDate;std::cout << "Today: " << todaysDate.weekday()<< ", " << todaysDate << std::endl;std::cout << "Settlement date: " << settlementDate.weekday()<< ", " << settlementDate << std::endl;// Building of the bonds discounting yield curve/************************  RATE HELPERS ************************/// RateHelpers are built from the above quotes together with// other instrument dependant infos.  Quotes are passed in// relinkable handles which could be relinked to some other// data source later.// Common data// ZC rates for the short endRate zc3mQuote=0.0096;Rate zc6mQuote=0.0145;Rate zc1yQuote=0.0194;ext::shared_ptr<Quote> zc3mRate(new SimpleQuote(zc3mQuote));ext::shared_ptr<Quote> zc6mRate(new SimpleQuote(zc6mQuote));ext::shared_ptr<Quote> zc1yRate(new SimpleQuote(zc1yQuote));DayCounter zcBondsDayCounter = Actual365Fixed();ext::shared_ptr<RateHelper> zc3m(new DepositRateHelper(Handle<Quote>(zc3mRate),3*Months, fixingDays,calendar, ModifiedFollowing,true, zcBondsDayCounter));ext::shared_ptr<RateHelper> zc6m(new DepositRateHelper(Handle<Quote>(zc6mRate),6*Months, fixingDays,calendar, ModifiedFollowing,true, zcBondsDayCounter));ext::shared_ptr<RateHelper> zc1y(new DepositRateHelper(Handle<Quote>(zc1yRate),1*Years, fixingDays,calendar, ModifiedFollowing,true, zcBondsDayCounter));// setup bondsReal redemption = 100.0;const Size numberOfBonds = 5;Date issueDates[] = {Date (15, March, 2005),Date (15, June, 2005),Date (30, June, 2006),Date (15, November, 2002),Date (15, May, 1987)};Date maturities[] = {Date (31, August, 2010),Date (31, August, 2011),Date (31, August, 2013),Date (15, August, 2018),Date (15, May, 2038)};Real couponRates[] = {0.02375,0.04625,0.03125,0.04000,0.04500};Real marketQuotes[] = {100.390625,106.21875,100.59375,101.6875,102.140625};std::vector< ext::shared_ptr<SimpleQuote> > quote;for (Real marketQuote : marketQuotes) {ext::shared_ptr<SimpleQuote> cp(new SimpleQuote(marketQuote));quote.push_back(cp);}RelinkableHandle<Quote> quoteHandle[numberOfBonds];for (Size i=0; i<numberOfBonds; i++) {quoteHandle[i].linkTo(quote[i]);}// Definition of the rate helpersstd::vector<ext::shared_ptr<BondHelper> > bondsHelpers;for (Size i=0; i<numberOfBonds; i++) {Schedule schedule(issueDates[i], maturities[i], Period(Semiannual), UnitedStates(UnitedStates::GovernmentBond),Unadjusted, Unadjusted, DateGeneration::Backward, false);ext::shared_ptr<FixedRateBondHelper> bondHelper(new FixedRateBondHelper(quoteHandle[i],settlementDays,100.0,schedule,std::vector<Rate>(1,couponRates[i]),ActualActual(ActualActual::Bond),Unadjusted,redemption,issueDates[i]));// the above could also be done by creating a// FixedRateBond instance and writing://// ext::shared_ptr<BondHelper> bondHelper(//         new BondHelper(quoteHandle[i], bond));//// This would also work for bonds that still don't have a// specialized helper, such as floating-rate bonds.bondsHelpers.push_back(bondHelper);}/***********************  CURVE BUILDING ***********************/// Any DayCounter would be fine.// ActualActual::ISDA ensures that 30 years is 30.0DayCounter termStructureDayCounter =ActualActual(ActualActual::ISDA);// A depo-bond curvestd::vector<ext::shared_ptr<RateHelper> > bondInstruments;// Adding the ZC bonds to the curve for the short endbondInstruments.push_back(zc3m);bondInstruments.push_back(zc6m);bondInstruments.push_back(zc1y);// Adding the Fixed rate bonds to the curve for the long endfor (Size i=0; i<numberOfBonds; i++) {bondInstruments.push_back(bondsHelpers[i]);}ext::shared_ptr<YieldTermStructure> bondDiscountingTermStructure(new PiecewiseYieldCurve<Discount,LogLinear>(settlementDate, bondInstruments,termStructureDayCounter));// Building of the Libor forecasting curve// depositsRate d1wQuote=0.043375;Rate d1mQuote=0.031875;Rate d3mQuote=0.0320375;Rate d6mQuote=0.03385;Rate d9mQuote=0.0338125;Rate d1yQuote=0.0335125;// swapsRate s2yQuote=0.0295;Rate s3yQuote=0.0323;Rate s5yQuote=0.0359;Rate s10yQuote=0.0412;Rate s15yQuote=0.0433;/***********************    QUOTES    ***********************/// SimpleQuote stores a value which can be manually changed;// other Quote subclasses could read the value from a database// or some kind of data feed.// depositsext::shared_ptr<Quote> d1wRate(new SimpleQuote(d1wQuote));ext::shared_ptr<Quote> d1mRate(new SimpleQuote(d1mQuote));ext::shared_ptr<Quote> d3mRate(new SimpleQuote(d3mQuote));ext::shared_ptr<Quote> d6mRate(new SimpleQuote(d6mQuote));ext::shared_ptr<Quote> d9mRate(new SimpleQuote(d9mQuote));ext::shared_ptr<Quote> d1yRate(new SimpleQuote(d1yQuote));// swapsext::shared_ptr<Quote> s2yRate(new SimpleQuote(s2yQuote));ext::shared_ptr<Quote> s3yRate(new SimpleQuote(s3yQuote));ext::shared_ptr<Quote> s5yRate(new SimpleQuote(s5yQuote));ext::shared_ptr<Quote> s10yRate(new SimpleQuote(s10yQuote));ext::shared_ptr<Quote> s15yRate(new SimpleQuote(s15yQuote));/************************  RATE HELPERS ************************/// RateHelpers are built from the above quotes together with// other instrument dependant infos.  Quotes are passed in// relinkable handles which could be relinked to some other// data source later.// depositsDayCounter depositDayCounter = Actual360();ext::shared_ptr<RateHelper> d1w(new DepositRateHelper(Handle<Quote>(d1wRate),1*Weeks, fixingDays,calendar, ModifiedFollowing,true, depositDayCounter));ext::shared_ptr<RateHelper> d1m(new DepositRateHelper(Handle<Quote>(d1mRate),1*Months, fixingDays,calendar, ModifiedFollowing,true, depositDayCounter));ext::shared_ptr<RateHelper> d3m(new DepositRateHelper(Handle<Quote>(d3mRate),3*Months, fixingDays,calendar, ModifiedFollowing,true, depositDayCounter));ext::shared_ptr<RateHelper> d6m(new DepositRateHelper(Handle<Quote>(d6mRate),6*Months, fixingDays,calendar, ModifiedFollowing,true, depositDayCounter));ext::shared_ptr<RateHelper> d9m(new DepositRateHelper(Handle<Quote>(d9mRate),9*Months, fixingDays,calendar, ModifiedFollowing,true, depositDayCounter));ext::shared_ptr<RateHelper> d1y(new DepositRateHelper(Handle<Quote>(d1yRate),1*Years, fixingDays,calendar, ModifiedFollowing,true, depositDayCounter));// setup swapsFrequency swFixedLegFrequency = Annual;BusinessDayConvention swFixedLegConvention = Unadjusted;DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);ext::shared_ptr<IborIndex> swFloatingLegIndex(new Euribor6M);const Period forwardStart(1*Days);ext::shared_ptr<RateHelper> s2y(new SwapRateHelper(Handle<Quote>(s2yRate), 2*Years,calendar, swFixedLegFrequency,swFixedLegConvention, swFixedLegDayCounter,swFloatingLegIndex, Handle<Quote>(),forwardStart));ext::shared_ptr<RateHelper> s3y(new SwapRateHelper(Handle<Quote>(s3yRate), 3*Years,calendar, swFixedLegFrequency,swFixedLegConvention, swFixedLegDayCounter,swFloatingLegIndex, Handle<Quote>(),forwardStart));ext::shared_ptr<RateHelper> s5y(new SwapRateHelper(Handle<Quote>(s5yRate), 5*Years,calendar, swFixedLegFrequency,swFixedLegConvention, swFixedLegDayCounter,swFloatingLegIndex, Handle<Quote>(),forwardStart));ext::shared_ptr<RateHelper> s10y(new SwapRateHelper(Handle<Quote>(s10yRate), 10*Years,calendar, swFixedLegFrequency,swFixedLegConvention, swFixedLegDayCounter,swFloatingLegIndex, Handle<Quote>(),forwardStart));ext::shared_ptr<RateHelper> s15y(new SwapRateHelper(Handle<Quote>(s15yRate), 15*Years,calendar, swFixedLegFrequency,swFixedLegConvention, swFixedLegDayCounter,swFloatingLegIndex, Handle<Quote>(),forwardStart));/***********************  CURVE BUILDING ***********************/// Any DayCounter would be fine.// ActualActual::ISDA ensures that 30 years is 30.0// A depo-swap curvestd::vector<ext::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);ext::shared_ptr<YieldTermStructure> depoSwapTermStructure(new PiecewiseYieldCurve<Discount,LogLinear>(settlementDate, depoSwapInstruments,termStructureDayCounter));// Term structures that will be used for pricing:// the one used for discounting cash flowsRelinkableHandle<YieldTermStructure> discountingTermStructure;// the one used for forward rate forecastingRelinkableHandle<YieldTermStructure> forecastingTermStructure;/********************** BONDS TO BE PRICED ***********************/// Common dataReal faceAmount = 100;// Pricing engineext::shared_ptr<PricingEngine> bondEngine(new DiscountingBondEngine(discountingTermStructure));// Zero coupon bondZeroCouponBond zeroCouponBond(settlementDays,UnitedStates(UnitedStates::GovernmentBond),faceAmount,Date(15,August,2013),Following,Real(116.92),Date(15,August,2003));zeroCouponBond.setPricingEngine(bondEngine);// Fixed 4.5% US Treasury NoteSchedule fixedBondSchedule(Date(15, May, 2007),Date(15,May,2017), Period(Semiannual),UnitedStates(UnitedStates::GovernmentBond),Unadjusted, Unadjusted, DateGeneration::Backward, false);FixedRateBond fixedRateBond(settlementDays,faceAmount,fixedBondSchedule,std::vector<Rate>(1, 0.045),ActualActual(ActualActual::Bond),ModifiedFollowing,100.0, Date(15, May, 2007));fixedRateBond.setPricingEngine(bondEngine);// Floating rate bond (3M USD Libor + 0.1%)// Should and will be priced on another curve later...RelinkableHandle<YieldTermStructure> liborTermStructure;const ext::shared_ptr<IborIndex> libor3m(new USDLibor(Period(3,Months),liborTermStructure));libor3m->addFixing(Date(17, July, 2008),0.0278625);Schedule floatingBondSchedule(Date(21, October, 2005),Date(21, October, 2010), Period(Quarterly),UnitedStates(UnitedStates::NYSE),Unadjusted, Unadjusted, DateGeneration::Backward, true);FloatingRateBond floatingRateBond(settlementDays,faceAmount,floatingBondSchedule,libor3m,Actual360(),ModifiedFollowing,Natural(2),// Gearingsstd::vector<Real>(1, 1.0),// Spreadsstd::vector<Rate>(1, 0.001),// Capsstd::vector<Rate>(),// Floorsstd::vector<Rate>(),// Fixing in arrearstrue,Real(100.0),Date(21, October, 2005));floatingRateBond.setPricingEngine(bondEngine);// Coupon pricersext::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);// optionLet volatilitiesVolatility volatility = 0.0;Handle<OptionletVolatilityStructure> vol;vol = Handle<OptionletVolatilityStructure>(ext::shared_ptr<OptionletVolatilityStructure>(newConstantOptionletVolatility(settlementDays,calendar,ModifiedFollowing,volatility,Actual365Fixed())));pricer->setCapletVolatility(vol);setCouponPricer(floatingRateBond.cashflows(),pricer);// Yield curve bootstrappingforecastingTermStructure.linkTo(depoSwapTermStructure);discountingTermStructure.linkTo(bondDiscountingTermStructure);// We are using the depo & swap curve to estimate the future Libor ratesliborTermStructure.linkTo(depoSwapTermStructure);/**************** BOND PRICING *****************/std::cout << std::endl;// write column headingsSize widths[] = { 18, 10, 10, 10 };std::cout << std::setw(widths[0]) <<  "                 "<< std::setw(widths[1]) << "ZC"<< std::setw(widths[2]) << "Fixed"<< std::setw(widths[3]) << "Floating"<< std::endl;Size width = widths[0] + widths[1] + widths[2] + widths[3];std::string rule(width, '-');std::cout << rule << std::endl;std::cout << std::fixed;std::cout << std::setprecision(2);std::cout << std::setw(widths[0]) << "Net present value"<< std::setw(widths[1]) << zeroCouponBond.NPV()<< std::setw(widths[2]) << fixedRateBond.NPV()<< std::setw(widths[3]) << floatingRateBond.NPV()<< std::endl;std::cout << std::setw(widths[0]) << "Clean price"<< std::setw(widths[1]) << zeroCouponBond.cleanPrice()<< std::setw(widths[2]) << fixedRateBond.cleanPrice()<< std::setw(widths[3]) << floatingRateBond.cleanPrice()<< std::endl;std::cout << std::setw(widths[0]) << "Dirty price"<< std::setw(widths[1]) << zeroCouponBond.dirtyPrice()<< std::setw(widths[2]) << fixedRateBond.dirtyPrice()<< std::setw(widths[3]) << floatingRateBond.dirtyPrice()<< std::endl;std::cout << std::setw(widths[0]) << "Accrued coupon"<< std::setw(widths[1]) << zeroCouponBond.accruedAmount()<< std::setw(widths[2]) << fixedRateBond.accruedAmount()<< std::setw(widths[3]) << floatingRateBond.accruedAmount()<< std::endl;std::cout << std::setw(widths[0]) << "Previous coupon"<< std::setw(widths[1]) << "N/A" // zeroCouponBond<< std::setw(widths[2]) << io::rate(fixedRateBond.previousCouponRate())<< std::setw(widths[3]) << io::rate(floatingRateBond.previousCouponRate())<< std::endl;std::cout << std::setw(widths[0]) << "Next coupon"<< std::setw(widths[1]) << "N/A" // zeroCouponBond<< std::setw(widths[2]) << io::rate(fixedRateBond.nextCouponRate())<< std::setw(widths[3]) << io::rate(floatingRateBond.nextCouponRate())<< std::endl;std::cout << std::setw(widths[0]) << "Yield"<< std::setw(widths[1])<< io::rate(zeroCouponBond.yield(Actual360(),Compounded,Annual))<< std::setw(widths[2])<< io::rate(fixedRateBond.yield(Actual360(),Compounded,Annual))<< std::setw(widths[3])<< io::rate(floatingRateBond.yield(Actual360(),Compounded,Annual))<< std::endl;std::cout << std::endl;// Other computationsstd::cout << "Sample indirect computations (for the floating rate bond): " << std::endl;std::cout << rule << std::endl;std::cout << "Yield to Clean Price: "<< floatingRateBond.cleanPrice(floatingRateBond.yield(Actual360(),Compounded,Annual),Actual360(),Compounded,Annual,settlementDate) << std::endl;std::cout << "Clean Price to Yield: "<< io::rate(floatingRateBond.yield(floatingRateBond.cleanPrice(),Actual360(),Compounded,Annual,settlementDate)) << std::endl;/* "Yield to Price""Price to Yield" */return 0;} catch (std::exception& e) {std::cerr << e.what() << std::endl;return 1;} catch (...) {std::cerr << "unknown error" << std::endl;return 1;}
}

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本文章博客地址：https://cplusplus.blog.csdn.net/article/details/128247678

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