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Viewing changes to Ruby/examples/bermudan-swaption.rb

  • Committer: Bazaar Package Importer
  • Author(s): Dirk Eddelbuettel
  • Date: 2007-12-26 08:10:08 UTC
  • mfrom: (1.1.6 upstream) (2.1.2 lenny)
  • Revision ID: james.westby@ubuntu.com-20071226081008-cjq979mvtxydli4r
New upstream release 0.9.0

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Ruby/examples/bermudan-swaption.rb
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                      FlatForward.new(settlementDate,rate,Actual365Fixed.new))
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# define the ATM/OTM/ITM swaps
 
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swapEngine = DiscountingSwapEngine.new(termStructure)
 
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fixedLegFrequency = Annual
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fixedLegTenor = Period.new(1,Years)
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fixedLegConvention = Unadjusted
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fixedSchedule = Schedule.new(swapStart, swapEnd,
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                             fixedLegTenor, calendar,
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                             fixedLegConvention, fixedLegConvention,
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                             false, false)
 
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                             DateGeneration::Forward, false)
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floatingSchedule = Schedule.new(swapStart, swapEnd,
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                                floatingLegTenor, calendar,
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                                floatingLegConvention, floatingLegConvention,
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                                false, false)
 
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                                DateGeneration::Forward, false)
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atmRate = VanillaSwap.new(payFixed, 100.0,
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                          fixedSchedule, 0.0, fixedLegDayCounter,
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                          floatingSchedule, index, 0.0,
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                          floatingLegDayCounter, termStructure).fairRate
 
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dummy = VanillaSwap.new(payFixed, 100.0,
 
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                        fixedSchedule, 0.0, fixedLegDayCounter,
 
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                        floatingSchedule, index, 0.0,
 
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                        floatingLegDayCounter)
 
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dummy.pricingEngine = swapEngine
 
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atmRate = dummy.fairRate
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atmSwap = VanillaSwap.new(payFixed, 1000.0,
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                          fixedSchedule, atmRate, fixedLegDayCounter,
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                          floatingSchedule, index, 0.0,
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                          floatingLegDayCounter, termStructure)
 
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                          floatingLegDayCounter)
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otmSwap = VanillaSwap.new(payFixed, 1000.0,
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                          fixedSchedule, atmRate*1.2, fixedLegDayCounter,
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                          floatingSchedule, index, 0.0,
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                          floatingLegDayCounter, termStructure)
 
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                          floatingLegDayCounter)
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itmSwap = VanillaSwap.new(payFixed, 1000.0,
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                          fixedSchedule, atmRate*0.8, fixedLegDayCounter,
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                          floatingSchedule, index, 0.0,
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                          floatingLegDayCounter, termStructure)
 
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                          floatingLegDayCounter)
 
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atmSwap.pricingEngine = swapEngine
 
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itmSwap.pricingEngine = swapEngine
 
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otmSwap.pricingEngine = swapEngine
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helpers = SwaptionVols.map { |maturity, length, vol|
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  SwaptionHelper.new(maturity, length,
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puts header
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puts rule
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atmSwaption = Swaption.new(atmSwap, exercise, termStructure,
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                           TreeSwaptionEngine.new(G2model, 50))
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otmSwaption = Swaption.new(otmSwap, exercise, termStructure,
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                           TreeSwaptionEngine.new(G2model, 50))
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itmSwaption = Swaption.new(itmSwap, exercise, termStructure,
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                           TreeSwaptionEngine.new(G2model, 50))
 
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atmSwaption = Swaption.new(atmSwap, exercise)
 
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otmSwaption = Swaption.new(otmSwap, exercise)
 
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itmSwaption = Swaption.new(itmSwap, exercise)
 
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atmSwaption.pricingEngine = TreeSwaptionEngine.new(G2model, 50)
 
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otmSwaption.pricingEngine = TreeSwaptionEngine.new(G2model, 50)
 
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itmSwaption.pricingEngine = TreeSwaptionEngine.new(G2model, 50)
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puts sprintf(format,'G2 analytic', formatPrice(itmSwaption.NPV),
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             formatPrice(atmSwaption.NPV), formatPrice(otmSwaption.NPV))