mainIRVanillaSwap.cpp

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#include "../Interface/main.h"
#include "../PartD/VanillaSwap.h"
#include <iostream>

using namespace std;

bool mainIRVanillaSwap(void) {
        cout<<"Let us create a 5 Years Annual Vanilla Swap - Fixed rate 0.0471"<<endl;
        Real priceSwapAn5Y=0.0;
        string datadir = FileReader::getdatadirasstring();
        string yieldCurveData = datadir + "yctest.csv";
        valarray<yieldPoint> *yieldCurveArray = 
                FileReader::buildYieldPointArray(yieldCurveData);
        yieldCurve* underlyingCurve=new yieldCurve(*yieldCurveArray, "test");

        Date d=Date();
        d.setDateToToday();
        
        valarray<Date> dates(5);
        valarray<Real> Notionals(5);
        for (int i=0;i<5;i++){
                dates[i]=d.plusYears(i+1);      
                Notionals[i]=1000000;
        }
        
        SwapLeg legsInformation=SwapLeg(dates,Notionals);

        CashFlow fixLeg=CashFlow(legsInformation,0.0471);
        CashFlow varLeg=CashFlow(legsInformation,*underlyingCurve);

        cout<<"Fixed "<<fixLeg.getFairValue(underlyingCurve)<<endl;
        cout<<"Float "<<varLeg.getFairValue(underlyingCurve)<<endl;

        VanillaSwap swap5YAnnual=VanillaSwap(fixLeg,varLeg,"fixed","floating",underlyingCurve);
        priceSwapAn5Y=swap5YAnnual.returnPrice();
        cout<<"Value "<<priceSwapAn5Y<<"\n"<<endl;
        // closed to par as we took a mkt swap annual rate !

        cout<<"Let us create a 4 Years Semi-Annual Vanilla Swap - Fixed rate 0.04641"<<endl;
        Real priceSwapSemiAn4Y=0.0;
        d.setDateToToday();     
        dates.resize(8);
        Notionals.resize(8);
        for (int i=0;i<8;i++){
                dates[i]=d.plusMonths((i+1)*6); 
                Notionals[i]=1000000;
        }
        
        legsInformation=SwapLeg(dates,Notionals);

        fixLeg=CashFlow(legsInformation,0.04641);
        varLeg=CashFlow(legsInformation,*underlyingCurve);

        cout<<"Fixed "<<fixLeg.getFairValue(underlyingCurve)<<endl;
        cout<<"Float "<<varLeg.getFairValue(underlyingCurve)<<endl;

        VanillaSwap swap4YSemiAnnual=VanillaSwap(fixLeg,varLeg,"fixed","floating",underlyingCurve);
        priceSwapSemiAn4Y=swap4YSemiAnnual.returnPrice();
        cout<<"Value "<<priceSwapSemiAn4Y<<endl;
        
        delete underlyingCurve;
        
        bool res=true;
        res&=(priceSwapAn5Y>1,050)&&(priceSwapAn5Y<1,052);
        res&=(priceSwapSemiAn4Y>152)&&(priceSwapSemiAn4Y<153);
        return res;
}

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