maincreditcurves.cpp

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#include "..\PartF\creditCurve.h"
#include "..\common\filereader.h"

#include<iostream>
#include<valarray>
#include<time.h>
using namespace std;

bool maincreditcurve(void) {
        string datadir = FileReader::getdatadirasstring();
        string yieldCurveData = datadir + "yctest.csv";
        string creditSpreadData = datadir + "ccspread.csv";
        string creditSpreadMixedData = datadir + "ccspreadmix.csv";
        string creditSpreadZeroData = datadir + "cc0spread.csv";
        string aigSpreadData = datadir + "cdsw_aig.csv";

        bool result = true;

        // the underlying curve
        valarray<yieldPoint> *yieldCurveArray = 
                FileReader::buildYieldPointArray(yieldCurveData);

        // zero (relative) spreads
        valarray<CreditSpreadPoint> *creditSpreadZeroArray =
                FileReader::buildCreditSpreadPointArray(creditSpreadZeroData);

        // absolute "spreads"   
        valarray<CreditSpreadPoint> *creditSpreadArray =
                FileReader::buildCreditSpreadPointArray(creditSpreadData);

        // mixed absolute and relative spreads (equivalent to absolute
        //  when combined with the underlying yield curve)
        valarray<CreditSpreadPoint> *creditSpreadMixedArray =
                FileReader::buildCreditSpreadPointArray(creditSpreadMixedData);

        // AIG credit swap spreads from bloomberg
        valarray<CreditSpreadPoint> *aigSpreadArray =
                FileReader::buildCreditSpreadPointArray(aigSpreadData);

        if ((yieldCurveArray == NULL) || 
                (creditSpreadArray == NULL) ||
                (creditSpreadZeroArray == NULL) ||
                (creditSpreadMixedArray == NULL)) {
                cout << "error reading in credit curve test files" << endl;
                return false;
        }

        // test: NOSPREAD
        // construct a credit curve with no spread, verify that
        //  it returns the same values as the underlying yieldcurve
        creditCurve zeroSpreadCurve(*yieldCurveArray, 
                *creditSpreadZeroArray, 
                "zero-spread");

        // underlying yield curve which we can use for comparisons
        yieldCurve underlyingCurve(*yieldCurveArray, "test");

        if (zeroSpreadCurve != underlyingCurve) {
                cout << "error: zero spread spot rates don't match the underlying" << endl;
                return false;
        }

        // test: MIXEDSPREAD
        // now construct a curve with spreads, one with absolute and
        //  one with a mix of absolute and relative, but both are
        //  equivalent (given the same underlying yieldCurve)
        creditCurve absCurve(*yieldCurveArray, 
                *creditSpreadArray, 
                "abs-spreads");

        creditCurve mixedCurve(*yieldCurveArray, 
                *creditSpreadMixedArray, 
                "mixed-spreads");
        
        cout << "zeroSpreadCurve:\n" << zeroSpreadCurve << endl;
        cout << "absCurve:\n" << absCurve << endl;
        cout << "mixedCurve:\n" << mixedCurve << endl;
        if (absCurve != mixedCurve) {
                cout << "error: absolute spread spot rates don't match mixed curve" << endl;
                return false;
        }

        // test: CTORTEST
        creditCurve mixedCurve2(underlyingCurve, 
                *creditSpreadMixedArray,
                "mixed-spreads2");
        cout << "mixedCurve2:\n" << mixedCurve2 << endl;
        if (mixedCurve != mixedCurve2) {
                cout << "error: constructing with yieldpoints gives different result"
                        << " than constructing with yieldcurve" << endl;
                return false;
        }

        Real flatRate = 0.04;  Real flatSpread = 0.01;
        creditCurve flatCreditCurve(flatRate, 
                flatSpread);
        yieldCurve flatYieldCurve(flatRate + flatSpread);
        
        cout << "flatCreditCurve:\n" << flatCreditCurve << endl;
        cout << "flatYieldCurve:\n" << flatYieldCurve << endl;
        if (flatYieldCurve != flatCreditCurve) {
                cout << "error: flat 0.04 + 0.01 creditcurve gives different result"
                        << " than flat 0.05 yieldcurve" << endl;
                return false;
        }

        // test: COPYCTORTEST
        creditCurve *pcreditCurve = new creditCurve(*yieldCurveArray, 
                *creditSpreadArray, 
                "abs-spreads");
        creditCurve copyCurve(*pcreditCurve);
        creditCurve equalCurve = copyCurve;
        delete pcreditCurve;
        cout << "copycurve: " << copyCurve << endl;
        cout << "equalcurve: " << equalCurve << endl;

        // test: HULLS21.3TEST
        flatRate = 0.05;  flatSpread = 0.0126;
        creditCurve flatCreditCurve2(flatRate, flatSpread);
        for (Natural i = 0; i <= 5; i++) {
                cout << "prob of default at time " << i << "," 
                        << flatCreditCurve2.defaultProbability(i) << ","
                        << "survival prob," 
                        << flatCreditCurve2.survivalProbability(i) << endl;
        }

        // test: AIGTEST
        creditCurve aigCurve(flatYieldCurve, *aigSpreadArray, "aigcurve");
        cout << "aigCurve: " << aigCurve << endl;
        cout << "\n\n*** table of various values for aig curve" << endl;
        cout << "time,creditspread,hazardrate,survivalprob,cumdefaultprob,riskydiscount" << endl;
        for (Natural i = 0; i <= 10; i++) {
                cout << i << ","
                        << aigCurve.creditSpread(i) << ","
                        << aigCurve.hazardRate(i) << ","
                        << aigCurve.survivalProbability(i) << ","
                        << aigCurve.cumulativeDefaultProbability(i) << ","
                        << aigCurve.riskyDiscountFactor(i) << endl;
        }

        return result;
}

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