C++：实现量化cms模型测试实例

C++：实现量化cms模型测试实例

#include "cms.hpp"
#include "utilities.hpp"
#include 
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#include using namespace QuantLib;
using namespace boost::unit_test_framework;namespace cms_test {struct CommonVars {// global dataRelinkableHandle<YieldTermStructure> termStructure;ext::shared_ptr<IborIndex> iborIndex;Handle<SwaptionVolatilityStructure> atmVol;Handle<SwaptionVolatilityStructure> SabrVolCube1;Handle<SwaptionVolatilityStructure> SabrVolCube2;std::vector<GFunctionFactory::YieldCurveModel> yieldCurveModels;std::vector<ext::shared_ptr<CmsCouponPricer> > numericalPricers;std::vector<ext::shared_ptr<CmsCouponPricer> > analyticPricers;// cleanupSavedSettings backup;// setupCommonVars() {Calendar calendar = TARGET();Date referenceDate = calendar.adjust(Date::todaysDate());Settings::instance().evaluationDate() = referenceDate;termStructure.linkTo(flatRate(referenceDate, 0.05,Actual365Fixed()));// ATM Volatility structurestd::vector<Period> atmOptionTenors = {1 * Months, 6 * Months, 1 * Years,5 * Years,  10 * Years, 30 * Years};std::vector<Period> atmSwapTenors = {1 * Years, 5 * Years, 10 * Years, 30 * Years};Matrix m(atmOptionTenors.size(), atmSwapTenors.size());m[0][0]=0.1300; m[0][1]=0.1560; m[0][2]=0.1390; m[0][3]=0.1220;m[1][0]=0.1440; m[1][1]=0.1580; m[1][2]=0.1460; m[1][3]=0.1260;m[2][0]=0.1600; m[2][1]=0.1590; m[2][2]=0.1470; m[2][3]=0.1290;m[3][0]=0.1640; m[3][1]=0.1470; m[3][2]=0.1370; m[3][3]=0.1220;m[4][0]=0.1400; m[4][1]=0.1300; m[4][2]=0.1250; m[4][3]=0.1100;m[5][0]=0.1130; m[5][1]=0.1090; m[5][2]=0.1070; m[5][3]=0.0930;atmVol = Handle<SwaptionVolatilityStructure>(ext::shared_ptr<SwaptionVolatilityStructure>(newSwaptionVolatilityMatrix(calendar,Following,atmOptionTenors,atmSwapTenors,m,Actual365Fixed())));// Vol cubesstd::vector<Period> optionTenors = {{1, Years}, {10, Years}, {30, Years}};std::vector<Period> swapTenors = {{2, Years}, {10, Years}, {30, Years}};std::vector<Spread> strikeSpreads = {-0.020, -0.005, 0.000, 0.005, 0.020};Size nRows = optionTenors.size<

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