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rangeaccrual.cpp
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2007 Giorgio Facchinetti

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include "rangeaccrual.hpp"
#include "utilities.hpp"
#include <ql/indexes/swap/euriborswap.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/termstructures/yield/zerocurve.hpp>
#include <ql/cashflows/rangeaccrual.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/termstructures/volatility/interpolatedsmilesection.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>

#include <ql/cashflows/conundrumpricer.hpp>
#include <ql/cashflows/cashflowvectors.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolcube2.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolcube1.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/time/schedule.hpp>

using namespace QuantLib;
using namespace boost::unit_test_framework;

namespace {

    struct CommonVars {
        // General settings
        Date referenceDate, today, settlement;
        Calendar calendar;

        // Volatility Stuctures
        std::vector<Handle<SwaptionVolatilityStructure> > swaptionVolatilityStructures;
        Handle<SwaptionVolatilityStructure> atmVol;
        Handle<SwaptionVolatilityStructure> flatSwaptionVolatilityCube1;
        Handle<SwaptionVolatilityStructure> flatSwaptionVolatilityCube2;
        Handle<SwaptionVolatilityStructure> swaptionVolatilityCubeBySabr;

        std::vector<Period> atmOptionTenors, optionTenors;
        std::vector<Period> atmSwapTenors, swapTenors;
        std::vector<Spread> strikeSpreads;

        Matrix atmVolMatrix, volSpreadsMatrix;
        std::vector<std::vector<Handle<Quote> > > volSpreads;

        DayCounter dayCounter;
        BusinessDayConvention optionBDC;
        Natural swapSettlementDays;
        bool vegaWeightedSmileFit;

        // Range Accrual valuation
        Rate infiniteLowerStrike, infiniteUpperStrike;
        Real gearing, correlation;
        Spread spread;
        Date startDate;
        Date endDate;
        Date paymentDate;
        Natural fixingDays;
        DayCounter rangeCouponDayCount;
        boost::shared_ptr<Schedule> observationSchedule;
        // Observation Schedule conventions
        Frequency observationsFrequency;
        BusinessDayConvention observationsConvention;

        // Term Structure
        RelinkableHandle<YieldTermStructure> termStructure;

        // indices and index conventions
        Frequency fixedLegFrequency;
        BusinessDayConvention fixedLegConvention;
        DayCounter fixedLegDayCounter;
        boost::shared_ptr<IborIndex> iborIndex;
        boost::shared_ptr<SwapIndex> swapIndexBase;
        boost::shared_ptr<SwapIndex> shortSwapIndexBase;

        // Range accrual pricers properties
        std::vector<bool> byCallSpread;
        Real flatVol;
        std::vector<boost::shared_ptr<SmileSection> > smilesOnExpiry;
        std::vector<boost::shared_ptr<SmileSection> > smilesOnPayment;

        //test parameters
        Real rateTolerance;
        Real priceTolerance;


        // cleanup
        SavedSettings backup;

        void createYieldCurve() {

            // Yield Curve
            std::vector<Date> dates;
            dates.push_back(Date(39147));    dates.push_back(Date(39148));    dates.push_back(Date(39151));
            dates.push_back(Date(39153));    dates.push_back(Date(39159));    dates.push_back(Date(39166));
            dates.push_back(Date(39183));    dates.push_back(Date(39294));    dates.push_back(Date(39384));
            dates.push_back(Date(39474));    dates.push_back(Date(39567));    dates.push_back(Date(39658));
            dates.push_back(Date(39748));    dates.push_back(Date(39839));    dates.push_back(Date(39931));
            dates.push_back(Date(40250));    dates.push_back(Date(40614));    dates.push_back(Date(40978));
            dates.push_back(Date(41344));    dates.push_back(Date(41709));    dates.push_back(Date(42074));
            dates.push_back(Date(42441));    dates.push_back(Date(42805));    dates.push_back(Date(43170));
            dates.push_back(Date(43535));    dates.push_back(Date(43900));    dates.push_back(Date(44268));
            dates.push_back(Date(44632));    dates.push_back(Date(44996));    dates.push_back(Date(45361));
            dates.push_back(Date(45727));    dates.push_back(Date(46092));    dates.push_back(Date(46459));
            dates.push_back(Date(46823));    dates.push_back(Date(47188));    dates.push_back(Date(47553));
            dates.push_back(Date(47918));    dates.push_back(Date(48283));    dates.push_back(Date(48650));
            dates.push_back(Date(49014));    dates.push_back(Date(49379));    dates.push_back(Date(49744));
            dates.push_back(Date(50110));    dates.push_back(Date(53762));    dates.push_back(Date(57415));
            dates.push_back(Date(61068));

            std::vector<Rate> zeroRates;
            zeroRates.push_back(0.02676568527);    zeroRates.push_back(0.02676568527);
            zeroRates.push_back(0.02676333038);    zeroRates.push_back(0.02682286201);
            zeroRates.push_back(0.02682038347);    zeroRates.push_back(0.02683030208);
            zeroRates.push_back(0.02700136766);    zeroRates.push_back(0.02932526033);
            zeroRates.push_back(0.03085568949);    zeroRates.push_back(0.03216370631);
            zeroRates.push_back(0.03321234116);    zeroRates.push_back(0.03404978072);
            zeroRates.push_back(0.03471117149);    zeroRates.push_back(0.03527141916);
            zeroRates.push_back(0.03574660393);    zeroRates.push_back(0.03691715582);
            zeroRates.push_back(0.03796468718);    zeroRates.push_back(0.03876457629);
            zeroRates.push_back(0.03942029708);    zeroRates.push_back(0.03999925325);
            zeroRates.push_back(0.04056663618);    zeroRates.push_back(0.04108743922);
            zeroRates.push_back(0.04156156761);    zeroRates.push_back(0.0419979179);
            zeroRates.push_back(0.04239486483);    zeroRates.push_back(0.04273799032);
            zeroRates.push_back(0.04305531203);    zeroRates.push_back(0.04336417578);
            zeroRates.push_back(0.04364017665);    zeroRates.push_back(0.04388153459);
            zeroRates.push_back(0.04408005012);    zeroRates.push_back(0.04424764425);
            zeroRates.push_back(0.04437504759);    zeroRates.push_back(0.04447696334);
            zeroRates.push_back(0.04456212318);    zeroRates.push_back(0.04464090072);
            zeroRates.push_back(0.0447068707);     zeroRates.push_back(0.04475921774);
            zeroRates.push_back(0.04477418345);    zeroRates.push_back(0.04477880755);
            zeroRates.push_back(0.04476692489);    zeroRates.push_back(0.04473779454);
            zeroRates.push_back(0.04468646066);    zeroRates.push_back(0.04430951558);
            zeroRates.push_back(0.04363922313);    zeroRates.push_back(0.04363601992);

            termStructure.linkTo( boost::shared_ptr<YieldTermStructure>(
                new ZeroCurve(dates, zeroRates, Actual365Fixed())));
        }

        void createVolatilityStructures() {

            // ATM swaptionvol matrix
            optionBDC = Following;

            atmOptionTenors = std::vector<Period>();
            atmOptionTenors.push_back(Period(1, Months));
            atmOptionTenors.push_back(Period(6, Months));
            atmOptionTenors.push_back(Period(1, Years));
            atmOptionTenors.push_back(Period(5, Years));
            atmOptionTenors.push_back(Period(10, Years));
            atmOptionTenors.push_back(Period(30, Years));

            atmSwapTenors = std::vector<Period>();
            atmSwapTenors.push_back(Period(1, Years));
            atmSwapTenors.push_back(Period(5, Years));
            atmSwapTenors.push_back(Period(10, Years));
            atmSwapTenors.push_back(Period(30, Years));

            atmVolMatrix = Matrix(atmOptionTenors.size(), atmSwapTenors.size());
            //atmVolMatrix[0][0]=0.1300; atmVolMatrix[0][1]=0.1560; atmVolMatrix[0][2]=0.1390; atmVolMatrix[0][3]=0.1220;
            //atmVolMatrix[1][0]=0.1440; atmVolMatrix[1][1]=0.1580; atmVolMatrix[1][2]=0.1460; atmVolMatrix[1][3]=0.1260;
            //atmVolMatrix[2][0]=0.1600; atmVolMatrix[2][1]=0.1590; atmVolMatrix[2][2]=0.1470; atmVolMatrix[2][3]=0.1290;
            //atmVolMatrix[3][0]=0.1640; atmVolMatrix[3][1]=0.1470; atmVolMatrix[3][2]=0.1370; atmVolMatrix[3][3]=0.1220;
            //atmVolMatrix[4][0]=0.1400; atmVolMatrix[4][1]=0.1300; atmVolMatrix[4][2]=0.1250; atmVolMatrix[4][3]=0.1100;
            //atmVolMatrix[5][0]=0.1130; atmVolMatrix[5][1]=0.1090; atmVolMatrix[5][2]=0.1070; atmVolMatrix[5][3]=0.0930;

            atmVolMatrix[0][0]=flatVol; atmVolMatrix[0][1]=flatVol; atmVolMatrix[0][2]=flatVol; atmVolMatrix[0][3]=flatVol;
            atmVolMatrix[1][0]=flatVol; atmVolMatrix[1][1]=flatVol; atmVolMatrix[1][2]=flatVol; atmVolMatrix[1][3]=flatVol;
            atmVolMatrix[2][0]=flatVol; atmVolMatrix[2][1]=flatVol; atmVolMatrix[2][2]=flatVol; atmVolMatrix[2][3]=flatVol;
            atmVolMatrix[3][0]=flatVol; atmVolMatrix[3][1]=flatVol; atmVolMatrix[3][2]=flatVol; atmVolMatrix[3][3]=flatVol;
            atmVolMatrix[4][0]=flatVol; atmVolMatrix[4][1]=flatVol; atmVolMatrix[4][2]=flatVol; atmVolMatrix[4][3]=flatVol;
            atmVolMatrix[5][0]=flatVol; atmVolMatrix[5][1]=flatVol; atmVolMatrix[5][2]=flatVol; atmVolMatrix[5][3]=flatVol;

            Size nRowsAtmVols = atmVolMatrix.rows();
            Size nColsAtmVols = atmVolMatrix.columns();


            //swaptionvolcube
            optionTenors = std::vector<Period>();
            optionTenors.push_back(Period(1, Years));
            optionTenors.push_back(Period(10, Years));
            optionTenors.push_back(Period(30, Years));

            swapTenors = std::vector<Period>();
            swapTenors.push_back(Period(2, Years));
            swapTenors.push_back(Period(10, Years));
            swapTenors.push_back(Period(30, Years));

            strikeSpreads = std::vector<Rate>();
            strikeSpreads.push_back(-0.020);
            strikeSpreads.push_back(-0.005);
            strikeSpreads.push_back(+0.000);
            strikeSpreads.push_back(+0.005);
            strikeSpreads.push_back(+0.020);

            Size nRows = optionTenors.size()*swapTenors.size();
            Size nCols = strikeSpreads.size();
            volSpreadsMatrix = Matrix(nRows, nCols);
            volSpreadsMatrix[0][0]=0.0599; volSpreadsMatrix[0][1]=0.0049;
            volSpreadsMatrix[0][2]=0.0000;
            volSpreadsMatrix[0][3]=-0.0001; volSpreadsMatrix[0][4]=0.0127;

            volSpreadsMatrix[1][0]=0.0729; volSpreadsMatrix[1][1]=0.0086;
            volSpreadsMatrix[1][2]=0.0000;
            volSpreadsMatrix[1][3]=-0.0024; volSpreadsMatrix[1][4]=0.0098;

            volSpreadsMatrix[2][0]=0.0738; volSpreadsMatrix[2][1]=0.0102;
            volSpreadsMatrix[2][2]=0.0000;
            volSpreadsMatrix[2][3]=-0.0039; volSpreadsMatrix[2][4]=0.0065;

            volSpreadsMatrix[3][0]=0.0465; volSpreadsMatrix[3][1]=0.0063;
            volSpreadsMatrix[3][2]=0.0000;
            volSpreadsMatrix[3][3]=-0.0032; volSpreadsMatrix[3][4]=-0.0010;

            volSpreadsMatrix[4][0]=0.0558; volSpreadsMatrix[4][1]=0.0084;
            volSpreadsMatrix[4][2]=0.0000;
            volSpreadsMatrix[4][3]=-0.0050; volSpreadsMatrix[4][4]=-0.0057;

            volSpreadsMatrix[5][0]=0.0576; volSpreadsMatrix[5][1]=0.0083;
            volSpreadsMatrix[5][2]=0.0000;
            volSpreadsMatrix[5][3]=-0.0043; volSpreadsMatrix[5][4]=-0.0014;

            volSpreadsMatrix[6][0]=0.0437; volSpreadsMatrix[6][1]=0.0059;
            volSpreadsMatrix[6][2]=0.0000;
            volSpreadsMatrix[6][3]=-0.0030; volSpreadsMatrix[6][4]=-0.0006;

            volSpreadsMatrix[7][0]=0.0533; volSpreadsMatrix[7][1]=0.0078;
            volSpreadsMatrix[7][2]=0.0000;
            volSpreadsMatrix[7][3]=-0.0045; volSpreadsMatrix[7][4]=-0.0046;

            volSpreadsMatrix[8][0]=0.0545; volSpreadsMatrix[8][1]=0.0079;
            volSpreadsMatrix[8][2]=0.0000;
            volSpreadsMatrix[8][3]=-0.0042; volSpreadsMatrix[8][4]=-0.0020;


            swapSettlementDays = 2;
            fixedLegFrequency = Annual;
            fixedLegConvention = Unadjusted;
            fixedLegDayCounter = Thirty360();
            boost::shared_ptr<SwapIndex> swapIndexBase_(new
                EuriborSwapIsdaFixA(2*Years, termStructure));

            boost::shared_ptr<SwapIndex> shortSwapIndexBase(new
                EuriborSwapIsdaFixA(1*Years, termStructure));

            vegaWeightedSmileFit = false;

            // ATM Volatility structure
            std::vector<std::vector<Handle<Quote> > > atmVolsHandle;
            atmVolsHandle =
                std::vector<std::vector<Handle<Quote> > >(nRowsAtmVols);
            Size i;
            for (i=0; i<nRowsAtmVols; i++){
                atmVolsHandle[i] = std::vector<Handle<Quote> >(nColsAtmVols);
                for (Size j=0; j<nColsAtmVols; j++) {
                    atmVolsHandle[i][j] =
                        Handle<Quote>(boost::shared_ptr<Quote>(new
                            SimpleQuote(atmVolMatrix[i][j])));
                }
            }

            dayCounter = Actual365Fixed();

            atmVol = Handle<SwaptionVolatilityStructure>(
                boost::shared_ptr<SwaptionVolatilityStructure>(new
                    SwaptionVolatilityMatrix(calendar,
                                             optionBDC,
                                             atmOptionTenors,
                                             atmSwapTenors,
                                             atmVolsHandle,
                                             dayCounter)));

            // Volatility Cube without smile
            std::vector<std::vector<Handle<Quote> > > parametersGuess(
                                      optionTenors.size()*swapTenors.size());
            for (i=0; i<optionTenors.size()*swapTenors.size(); i++) {
                parametersGuess[i] = std::vector<Handle<Quote> >(4);
                parametersGuess[i][0] =
                    Handle<Quote>(boost::shared_ptr<Quote>(
                                                       new SimpleQuote(0.2)));
                parametersGuess[i][1] =
                    Handle<Quote>(boost::shared_ptr<Quote>(
                                                       new SimpleQuote(0.5)));
                parametersGuess[i][2] =
                    Handle<Quote>(boost::shared_ptr<Quote>(
                                                       new SimpleQuote(0.4)));
                parametersGuess[i][3] =
                    Handle<Quote>(boost::shared_ptr<Quote>(
                                                       new SimpleQuote(0.0)));
            }
            std::vector<bool> isParameterFixed(4, false);
            isParameterFixed[1]=true;

            std::vector<std::vector<Handle<Quote> > > nullVolSpreads(nRows);
            for (i=0; i<optionTenors.size()*swapTenors.size(); i++){
                nullVolSpreads[i] = std::vector<Handle<Quote> >(nCols);
                for (Size j=0; j<strikeSpreads.size(); j++) {
                    nullVolSpreads[i][j] =
                        Handle<Quote>(boost::shared_ptr<Quote>(
                                                        new SimpleQuote(0.)));
                }
            }

            boost::shared_ptr<SwaptionVolCube1>
            flatSwaptionVolatilityCube1ptr(new SwaptionVolCube1(
                atmVol,
                optionTenors,
                swapTenors,
                strikeSpreads,
                nullVolSpreads,
                swapIndexBase,
                shortSwapIndexBase,
                vegaWeightedSmileFit,
                parametersGuess,
                isParameterFixed,
                false));
            flatSwaptionVolatilityCube1 = Handle<SwaptionVolatilityStructure>(
                boost::shared_ptr<SwaptionVolatilityStructure>(
                                             flatSwaptionVolatilityCube1ptr));
            flatSwaptionVolatilityCube1->enableExtrapolation();

            boost::shared_ptr<SwaptionVolCube2>
            flatSwaptionVolatilityCube2ptr(new SwaptionVolCube2(atmVol,
                                                             optionTenors,
                                                             swapTenors,
                                                             strikeSpreads,
                                                             nullVolSpreads,
                                                             swapIndexBase,
                                                             shortSwapIndexBase,
                                                             vegaWeightedSmileFit));
            flatSwaptionVolatilityCube2 = Handle<SwaptionVolatilityStructure>(
                boost::shared_ptr<SwaptionVolatilityStructure>(flatSwaptionVolatilityCube2ptr));
            flatSwaptionVolatilityCube2->enableExtrapolation();


            // Volatility Cube with smile
            volSpreads = std::vector<std::vector<Handle<Quote> > >(nRows);
            for (i=0; i<optionTenors.size()*swapTenors.size(); i++){
                volSpreads[i] = std::vector<Handle<Quote> >(nCols);
                for (Size j=0; j<strikeSpreads.size(); j++) {
                    volSpreads[i][j] =
                        Handle<Quote>(boost::shared_ptr<Quote>(new
                            SimpleQuote(volSpreadsMatrix[i][j])));
                }
            }

            boost::shared_ptr<SwaptionVolCube1>
            swaptionVolatilityCubeBySabrPtr(new SwaptionVolCube1(
                atmVol,
                optionTenors,
                swapTenors,
                strikeSpreads,
                volSpreads,
                swapIndexBase,
                shortSwapIndexBase,
                vegaWeightedSmileFit,
                parametersGuess,
                isParameterFixed,
                false));
            swaptionVolatilityCubeBySabr = Handle<SwaptionVolatilityStructure>(
            boost::shared_ptr<SwaptionVolatilityStructure>(swaptionVolatilityCubeBySabrPtr));
            swaptionVolatilityCubeBySabr->enableExtrapolation();

            swaptionVolatilityStructures = std::vector<Handle<SwaptionVolatilityStructure> >();
            //swaptionVolatilityStructures.push_back(atmVol);
            //swaptionVolatilityStructures.push_back(flatSwaptionVolatilityCube1);
            swaptionVolatilityStructures.push_back(flatSwaptionVolatilityCube2);
            swaptionVolatilityStructures.push_back(swaptionVolatilityCubeBySabr);
        }


        void createSmileSections() {
            std::vector<Rate> strikes, stdDevsOnExpiry, stdDevsOnPayment;
            strikes.push_back(0.003);   stdDevsOnExpiry.push_back(2.45489828353233);    stdDevsOnPayment.push_back(1.66175264544155);
            strikes.push_back(0.004);   stdDevsOnExpiry.push_back(2.10748097295326);    stdDevsOnPayment.push_back(1.46691241671427);
            strikes.push_back(0.005);   stdDevsOnExpiry.push_back(1.87317517200074);    stdDevsOnPayment.push_back(1.32415790098009);
            strikes.push_back(0.006);   stdDevsOnExpiry.push_back(1.69808302023488);    stdDevsOnPayment.push_back(1.21209617319357);
            strikes.push_back(0.007);   stdDevsOnExpiry.push_back(1.55911989073644);    stdDevsOnPayment.push_back(1.12016686638666);
            strikes.push_back(0.008);   stdDevsOnExpiry.push_back(1.44436083444893);    stdDevsOnPayment.push_back(1.04242066059821);
            strikes.push_back(0.009);   stdDevsOnExpiry.push_back(1.34687413874126);    stdDevsOnPayment.push_back(0.975173254741177);
            strikes.push_back(0.01);    stdDevsOnExpiry.push_back(1.26228953588707);    stdDevsOnPayment.push_back(0.916013813275761);
            strikes.push_back(0.011);   stdDevsOnExpiry.push_back(1.18769456816136);    stdDevsOnPayment.push_back(0.863267064731419);
            strikes.push_back(0.012);   stdDevsOnExpiry.push_back(1.12104324191799);    stdDevsOnPayment.push_back(0.815743793189994);
            strikes.push_back(0.013);   stdDevsOnExpiry.push_back(1.06085561121201);    stdDevsOnPayment.push_back(0.772552896805455);
            strikes.push_back(0.014);   stdDevsOnExpiry.push_back(1.00603120341767);    stdDevsOnPayment.push_back(0.733033340026564);
            strikes.push_back(0.015);   stdDevsOnExpiry.push_back(0.955725690399709);   stdDevsOnPayment.push_back(0.696673144338147);
            strikes.push_back(0.016);   stdDevsOnExpiry.push_back(0.909281318404816);   stdDevsOnPayment.push_back(0.663070503816902);
            strikes.push_back(0.017);   stdDevsOnExpiry.push_back(0.866185798452041);   stdDevsOnPayment.push_back(0.631911102538957);
            strikes.push_back(0.018);   stdDevsOnExpiry.push_back(0.826018547612582);   stdDevsOnPayment.push_back(0.602948672357772);
            strikes.push_back(0.019);   stdDevsOnExpiry.push_back(0.788447526732122);   stdDevsOnPayment.push_back(0.575982310311697);
            strikes.push_back(0.02);    stdDevsOnExpiry.push_back(0.753200779931885);   stdDevsOnPayment.push_back(0.550849997883271);
            strikes.push_back(0.021);   stdDevsOnExpiry.push_back(0.720053785498);      stdDevsOnPayment.push_back(0.527428600999225);
            strikes.push_back(0.022);   stdDevsOnExpiry.push_back(0.688823131326177);   stdDevsOnPayment.push_back(0.505604706697337);
            strikes.push_back(0.023);   stdDevsOnExpiry.push_back(0.659357028088728);   stdDevsOnPayment.push_back(0.485294065348527);
            strikes.push_back(0.024);   stdDevsOnExpiry.push_back(0.631532146956907);   stdDevsOnPayment.push_back(0.466418908064414);
            strikes.push_back(0.025);   stdDevsOnExpiry.push_back(0.605247295045587);   stdDevsOnPayment.push_back(0.448904706326966);
            strikes.push_back(0.026);   stdDevsOnExpiry.push_back(0.580413928580285);   stdDevsOnPayment.push_back(0.432686652729201);
            strikes.push_back(0.027);   stdDevsOnExpiry.push_back(0.556962477452476);   stdDevsOnPayment.push_back(0.417699939864133);
            strikes.push_back(0.028);   stdDevsOnExpiry.push_back(0.534829696108958);   stdDevsOnPayment.push_back(0.403876519954429);
            strikes.push_back(0.029);   stdDevsOnExpiry.push_back(0.513968150384827);   stdDevsOnPayment.push_back(0.391145104852406);
            strikes.push_back(0.03);    stdDevsOnExpiry.push_back(0.494330406115181);   stdDevsOnPayment.push_back(0.379434406410383);
            strikes.push_back(0.031);   stdDevsOnExpiry.push_back(0.475869029135118);   stdDevsOnPayment.push_back(0.368669896110328);
            strikes.push_back(0.032);   stdDevsOnExpiry.push_back(0.458549234390376);   stdDevsOnPayment.push_back(0.358777045434208);
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            strikes.push_back(0.882);   stdDevsOnExpiry.push_back(0.485254669230498);   stdDevsOnPayment.push_back(0.486956375337668);
            strikes.push_back(0.883);   stdDevsOnExpiry.push_back(0.485498164610331);   stdDevsOnPayment.push_back(0.48715403792897);
            strikes.push_back(0.884);   stdDevsOnExpiry.push_back(0.485574059274175);   stdDevsOnPayment.push_back(0.487290133483636);
            strikes.push_back(0.885);   stdDevsOnExpiry.push_back(0.485691063547601);   stdDevsOnPayment.push_back(0.487416507927255);
            strikes.push_back(0.886);   stdDevsOnExpiry.push_back(0.485899773873172);   stdDevsOnPayment.push_back(0.487610930148207);
            strikes.push_back(0.887);   stdDevsOnExpiry.push_back(0.486171729751947);   stdDevsOnPayment.push_back(0.487782669776715);
            strikes.push_back(0.888);   stdDevsOnExpiry.push_back(0.486307707691334);   stdDevsOnPayment.push_back(0.488009495701159);
            strikes.push_back(0.889);   stdDevsOnExpiry.push_back(0.486519580294565);   stdDevsOnPayment.push_back(0.488165033477921);
            strikes.push_back(0.89);    stdDevsOnExpiry.push_back(0.486627097735011);   stdDevsOnPayment.push_back(0.488314090513985);
            strikes.push_back(0.891);   stdDevsOnExpiry.push_back(0.486769400229719);   stdDevsOnPayment.push_back(0.488476109031445);
            strikes.push_back(0.892);   stdDevsOnExpiry.push_back(0.486943325501028);   stdDevsOnPayment.push_back(0.488631646808207);
            strikes.push_back(0.893);   stdDevsOnExpiry.push_back(0.487107763939357);   stdDevsOnPayment.push_back(0.488829309399508);
            strikes.push_back(0.894);   stdDevsOnExpiry.push_back(0.487297500598967);   stdDevsOnPayment.push_back(0.488962164583825);
            strikes.push_back(0.895);   stdDevsOnExpiry.push_back(0.487420829427713);   stdDevsOnPayment.push_back(0.489172788656524);
            strikes.push_back(0.896);   stdDevsOnExpiry.push_back(0.487642188863925);   stdDevsOnPayment.push_back(0.489318605322238);
            strikes.push_back(0.897);   stdDevsOnExpiry.push_back(0.487809789579914);   stdDevsOnPayment.push_back(0.489493585321095);
            strikes.push_back(0.898);   stdDevsOnExpiry.push_back(0.487952092074622);   stdDevsOnPayment.push_back(0.489655603838555);
            strikes.push_back(0.899);   stdDevsOnExpiry.push_back(0.48810388140231);    stdDevsOnPayment.push_back(0.48987918939265);
            strikes.push_back(0.9);     stdDevsOnExpiry.push_back(0.488334727671502);   stdDevsOnPayment.push_back(0.49000232346592);
            strikes.push_back(0.901);   stdDevsOnExpiry.push_back(0.48847703016621);    stdDevsOnPayment.push_back(0.490232389760713);
            strikes.push_back(0.902);   stdDevsOnExpiry.push_back(0.488660442270499);   stdDevsOnPayment.push_back(0.490349043093285);
            strikes.push_back(0.903);   stdDevsOnExpiry.push_back(0.488847016652449);   stdDevsOnPayment.push_back(0.490475417536904);
            strikes.push_back(0.904);   stdDevsOnExpiry.push_back(0.488938722704594);   stdDevsOnPayment.push_back(0.490699003090999);
            strikes.push_back(0.905);   stdDevsOnExpiry.push_back(0.48904624014504);    stdDevsOnPayment.push_back(0.490838339016015);
            strikes.push_back(0.906);   stdDevsOnExpiry.push_back(0.489264437303591);   stdDevsOnPayment.push_back(0.491026280496268);
            strikes.push_back(0.907);   stdDevsOnExpiry.push_back(0.489409902075959);   stdDevsOnPayment.push_back(0.491175337532332);
            strikes.push_back(0.908);   stdDevsOnExpiry.push_back(0.489647072900472);   stdDevsOnPayment.push_back(0.491392442345728);
            strikes.push_back(0.909);   stdDevsOnExpiry.push_back(0.489760914896238);   stdDevsOnPayment.push_back(0.491515576418998);
            strikes.push_back(0.91);    stdDevsOnExpiry.push_back(0.48999492344309);    stdDevsOnPayment.push_back(0.491658152714363);
            strikes.push_back(0.911);   stdDevsOnExpiry.push_back(0.49018149782504);    stdDevsOnPayment.push_back(0.491872017157411);
            strikes.push_back(0.912);   stdDevsOnExpiry.push_back(0.490190984658021);   stdDevsOnPayment.push_back(0.491975709008585);
            strikes.push_back(0.913);   stdDevsOnExpiry.push_back(0.490466102814455);   stdDevsOnPayment.push_back(0.492170131229537);
            strikes.push_back(0.914);   stdDevsOnExpiry.push_back(0.490611567586823);   stdDevsOnPayment.push_back(0.49236131308014);
            strikes.push_back(0.915);   stdDevsOnExpiry.push_back(0.490785492858132);   stdDevsOnPayment.push_back(0.492529812338299);
            strikes.push_back(0.916);   stdDevsOnExpiry.push_back(0.490908821686879);   stdDevsOnPayment.push_back(0.492701551966807);
            strikes.push_back(0.917);   stdDevsOnExpiry.push_back(0.491032150515626);   stdDevsOnPayment.push_back(0.492831166780775);
            strikes.push_back(0.918);   stdDevsOnExpiry.push_back(0.491244023118857);   stdDevsOnPayment.push_back(0.492983464187188);
            strikes.push_back(0.919);   stdDevsOnExpiry.push_back(0.491373676502924);   stdDevsOnPayment.push_back(0.493194088259886);
            strikes.push_back(0.92);    stdDevsOnExpiry.push_back(0.491534952663592);   stdDevsOnPayment.push_back(0.493245934185473);
            strikes.push_back(0.921);   stdDevsOnExpiry.push_back(0.491737338433843);   stdDevsOnPayment.push_back(0.493557009738997);
            strikes.push_back(0.922);   stdDevsOnExpiry.push_back(0.491952373314735);   stdDevsOnPayment.push_back(0.493641259368076);
            strikes.push_back(0.923);   stdDevsOnExpiry.push_back(0.49205672847752);    stdDevsOnPayment.push_back(0.493845402700076);
            strikes.push_back(0.924);   stdDevsOnExpiry.push_back(0.492227491471169);   stdDevsOnPayment.push_back(0.493978257884393);
            strikes.push_back(0.925);   stdDevsOnExpiry.push_back(0.492376118521197);   stdDevsOnPayment.push_back(0.494130555290806);
            strikes.push_back(0.926);   stdDevsOnExpiry.push_back(0.492569017458467);   stdDevsOnPayment.push_back(0.49431849677106);
            strikes.push_back(0.927);   stdDevsOnExpiry.push_back(0.492682859454234);   stdDevsOnPayment.push_back(0.494457832696075);
            strikes.push_back(0.928);   stdDevsOnExpiry.push_back(0.492882082946824);   stdDevsOnPayment.push_back(0.494665216398424);
            strikes.push_back(0.929);   stdDevsOnExpiry.push_back(0.49298643810961);    stdDevsOnPayment.push_back(0.494749466027504);
            strikes.push_back(0.93);    stdDevsOnExpiry.push_back(0.493214122101142);   stdDevsOnPayment.push_back(0.494986013062996);
            strikes.push_back(0.931);   stdDevsOnExpiry.push_back(0.493350100040529);   stdDevsOnPayment.push_back(0.495105906765916);
            strikes.push_back(0.932);   stdDevsOnExpiry.push_back(0.493524025311838);   stdDevsOnPayment.push_back(0.495329492320011);
            strikes.push_back(0.933);   stdDevsOnExpiry.push_back(0.493713761971448);   stdDevsOnPayment.push_back(0.495446145652583);
            strikes.push_back(0.934);   stdDevsOnExpiry.push_back(0.493887687242758);   stdDevsOnPayment.push_back(0.495562798985154);
            strikes.push_back(0.935);   stdDevsOnExpiry.push_back(0.494052125681086);   stdDevsOnPayment.push_back(0.495763701946804);
            strikes.push_back(0.936);   stdDevsOnExpiry.push_back(0.494143831733231);   stdDevsOnPayment.push_back(0.495948403056709);
            strikes.push_back(0.937);   stdDevsOnExpiry.push_back(0.494355704336463);   stdDevsOnPayment.push_back(0.496084498611376);
            strikes.push_back(0.938);   stdDevsOnExpiry.push_back(0.494539116440752);   stdDevsOnPayment.push_back(0.496282161202677);
            strikes.push_back(0.939);   stdDevsOnExpiry.push_back(0.494615011104596);   stdDevsOnPayment.push_back(0.496437698979439);
            strikes.push_back(0.94);    stdDevsOnExpiry.push_back(0.494782611820585);   stdDevsOnPayment.push_back(0.496599717496899);
            strikes.push_back(0.941);   stdDevsOnExpiry.push_back(0.494886966983371);   stdDevsOnPayment.push_back(0.496790899347502);
            strikes.push_back(0.942);   stdDevsOnExpiry.push_back(0.495174734250446);   stdDevsOnPayment.push_back(0.496878389346931);
            strikes.push_back(0.943);   stdDevsOnExpiry.push_back(0.495323361300474);   stdDevsOnPayment.push_back(0.497037167494042);
            strikes.push_back(0.944);   stdDevsOnExpiry.push_back(0.495459339239861);   stdDevsOnPayment.push_back(0.497176503419057);
            strikes.push_back(0.945);   stdDevsOnExpiry.push_back(0.495519422515405);   stdDevsOnPayment.push_back(0.497338521936518);
            strikes.push_back(0.946);   stdDevsOnExpiry.push_back(0.495721808285655);   stdDevsOnPayment.push_back(0.497562107490613);
            strikes.push_back(0.947);   stdDevsOnExpiry.push_back(0.495921031778246);   stdDevsOnPayment.push_back(0.497701443415628);
            strikes.push_back(0.948);   stdDevsOnExpiry.push_back(0.496066496550614);   stdDevsOnPayment.push_back(0.497837538970295);
            strikes.push_back(0.949);   stdDevsOnExpiry.push_back(0.496218285878302);   stdDevsOnPayment.push_back(0.49801899970985);
            strikes.push_back(0.95);    stdDevsOnExpiry.push_back(0.496385886594291);   stdDevsOnPayment.push_back(0.498219902671501);
            strikes.push_back(0.951);   stdDevsOnExpiry.push_back(0.496525026811338);   stdDevsOnPayment.push_back(0.498268508226739);
            strikes.push_back(0.952);   stdDevsOnExpiry.push_back(0.496676816139026);   stdDevsOnPayment.push_back(0.498498574521533);
            strikes.push_back(0.953);   stdDevsOnExpiry.push_back(0.496793820412452);   stdDevsOnPayment.push_back(0.498628189335501);
            strikes.push_back(0.954);   stdDevsOnExpiry.push_back(0.497049964902926);   stdDevsOnPayment.push_back(0.498812890445405);
            strikes.push_back(0.955);   stdDevsOnExpiry.push_back(0.497189105119973);   stdDevsOnPayment.push_back(0.499013793407056);
            strikes.push_back(0.956);   stdDevsOnExpiry.push_back(0.497347219002982);   stdDevsOnPayment.push_back(0.499172571554167);
            strikes.push_back(0.957);   stdDevsOnExpiry.push_back(0.497476872387049);   stdDevsOnPayment.push_back(0.49924385970185);
            strikes.push_back(0.958);   stdDevsOnExpiry.push_back(0.4976792581573);     stdDevsOnPayment.push_back(0.499503089329786);
            strikes.push_back(0.959);   stdDevsOnExpiry.push_back(0.497770964209444);   stdDevsOnPayment.push_back(0.499593819699564);
            strikes.push_back(0.96);    stdDevsOnExpiry.push_back(0.497998648200977);   stdDevsOnPayment.push_back(0.499726674883881);
            strikes.push_back(0.961);   stdDevsOnExpiry.push_back(0.498042920088219);   stdDevsOnPayment.push_back(0.499937298956579);
            strikes.push_back(0.962);   stdDevsOnExpiry.push_back(0.498204196248888);   stdDevsOnPayment.push_back(0.500031269696706);
            strikes.push_back(0.963);   stdDevsOnExpiry.push_back(0.49842871796276);    stdDevsOnPayment.push_back(0.500203009325214);
            strikes.push_back(0.964);   stdDevsOnExpiry.push_back(0.498517261737244);   stdDevsOnPayment.push_back(0.500345585620579);
            strikes.push_back(0.965);   stdDevsOnExpiry.push_back(0.498672213342592);   stdDevsOnPayment.push_back(0.500436315990357);
            strikes.push_back(0.966);   stdDevsOnExpiry.push_back(0.49881767811496);    stdDevsOnPayment.push_back(0.500689064877594);
            strikes.push_back(0.967);   stdDevsOnExpiry.push_back(0.499076984883094);   stdDevsOnPayment.push_back(0.500792756728769);
            strikes.push_back(0.968);   stdDevsOnExpiry.push_back(0.499200313711841);   stdDevsOnPayment.push_back(0.501006621171816);
            strikes.push_back(0.969);   stdDevsOnExpiry.push_back(0.499415348592732);   stdDevsOnPayment.push_back(0.50107466894915);
            strikes.push_back(0.97);    stdDevsOnExpiry.push_back(0.499513379200197);   stdDevsOnPayment.push_back(0.501343619688134);
            strikes.push_back(0.971);   stdDevsOnExpiry.push_back(0.499665168527885);   stdDevsOnPayment.push_back(0.501431109687562);
            strikes.push_back(0.972);   stdDevsOnExpiry.push_back(0.499769523690671);   stdDevsOnPayment.push_back(0.50160284931607);
            strikes.push_back(0.973);   stdDevsOnExpiry.push_back(0.499911826185378);   stdDevsOnPayment.push_back(0.50172598338934);
            strikes.push_back(0.974);   stdDevsOnExpiry.push_back(0.500098400567328);   stdDevsOnPayment.push_back(0.501894482647498);
            strikes.push_back(0.975);   stdDevsOnExpiry.push_back(0.500281812671618);   stdDevsOnPayment.push_back(0.502037058942863);
            strikes.push_back(0.976);   stdDevsOnExpiry.push_back(0.500370356446103);   stdDevsOnPayment.push_back(0.502263884867308);
            strikes.push_back(0.977);   stdDevsOnExpiry.push_back(0.50050000983017);    stdDevsOnPayment.push_back(0.502344894126038);
            strikes.push_back(0.978);   stdDevsOnExpiry.push_back(0.500702395600421);   stdDevsOnPayment.push_back(0.502506912643498);
            strikes.push_back(0.979);   stdDevsOnExpiry.push_back(0.500844698095128);   stdDevsOnPayment.push_back(0.502568479680133);
            strikes.push_back(0.98);    stdDevsOnExpiry.push_back(0.501091355752621);   stdDevsOnPayment.push_back(0.502827709308069);
            strikes.push_back(0.981);   stdDevsOnExpiry.push_back(0.501129303084543);   stdDevsOnPayment.push_back(0.502980006714482);
            strikes.push_back(0.982);   stdDevsOnExpiry.push_back(0.501338013410114);   stdDevsOnPayment.push_back(0.503096660047053);
            strikes.push_back(0.983);   stdDevsOnExpiry.push_back(0.501540399180365);   stdDevsOnPayment.push_back(0.503375331897085);
            strikes.push_back(0.984);   stdDevsOnExpiry.push_back(0.501644754343151);   stdDevsOnPayment.push_back(0.503423937452323);
            strikes.push_back(0.985);   stdDevsOnExpiry.push_back(0.501720649006995);   stdDevsOnPayment.push_back(0.503621600043624);
            strikes.push_back(0.986);   stdDevsOnExpiry.push_back(0.501954657553847);   stdDevsOnPayment.push_back(0.503806301153529);
            strikes.push_back(0.987);   stdDevsOnExpiry.push_back(0.502096960048555);   stdDevsOnPayment.push_back(0.503929435226798);
            strikes.push_back(0.988);   stdDevsOnExpiry.push_back(0.502210802044321);   stdDevsOnPayment.push_back(0.504078492262862);
            strikes.push_back(0.989);   stdDevsOnExpiry.push_back(0.502406863259251);   stdDevsOnPayment.push_back(0.504175703373338);
            strikes.push_back(0.99);    stdDevsOnExpiry.push_back(0.502596599918861);   stdDevsOnPayment.push_back(0.50437012559429);
            strikes.push_back(0.991);   stdDevsOnExpiry.push_back(0.502659845472065);   stdDevsOnPayment.push_back(0.504447894482671);
            strikes.push_back(0.992);   stdDevsOnExpiry.push_back(0.502811634799753);   stdDevsOnPayment.push_back(0.504713604851306);
            strikes.push_back(0.993);   stdDevsOnExpiry.push_back(0.502903340851898);   stdDevsOnPayment.push_back(0.504713604851306);
            strikes.push_back(0.994);   stdDevsOnExpiry.push_back(0.503083590678527);   stdDevsOnPayment.push_back(0.504924228924004);
            strikes.push_back(0.995);   stdDevsOnExpiry.push_back(0.503304950114739);   stdDevsOnPayment.push_back(0.505095968552512);
            strikes.push_back(0.996);   stdDevsOnExpiry.push_back(0.503384007056243);   stdDevsOnPayment.push_back(0.505189939292639);
            strikes.push_back(0.997);   stdDevsOnExpiry.push_back(0.503529471828611);   stdDevsOnPayment.push_back(0.505390842254289);
            strikes.push_back(0.998);   stdDevsOnExpiry.push_back(0.503712883932901);   stdDevsOnPayment.push_back(0.505611187438035);
            strikes.push_back(0.999);   stdDevsOnExpiry.push_back(0.503858348705269);   stdDevsOnPayment.push_back(0.505695437067115);
            strikes.push_back(1);       stdDevsOnExpiry.push_back(0.504029111698918);   stdDevsOnPayment.push_back(0.505818571140384);
            strikes.push_back(1.001);   stdDevsOnExpiry.push_back(0.504127142306383);   stdDevsOnPayment.push_back(0.505964387806099);
            strikes.push_back(1.002);   stdDevsOnExpiry.push_back(0.504301067577692);   stdDevsOnPayment.push_back(0.506139367804955);

            //Create smiles on Expiry Date
            smilesOnExpiry = std::vector<boost::shared_ptr<SmileSection> >();
            smilesOnExpiry.push_back(boost::shared_ptr<SmileSection>(
                new FlatSmileSection(startDate, flatVol, rangeCouponDayCount)));
            Real dummyAtmLevel = 0;
            smilesOnExpiry.push_back(boost::shared_ptr<SmileSection>(new
                InterpolatedSmileSection<Linear>(startDate,
                                                 strikes,
                                                 stdDevsOnExpiry,
                                                 dummyAtmLevel,
                                                 rangeCouponDayCount)));
            //smilesOnExpiry.push_back(
            //    swaptionVolatilityStructures_[0]->smileSection(startDate,
            //                                                   Period(6, Months)));
            //Create smiles on Payment Date
            smilesOnPayment = std::vector<boost::shared_ptr<SmileSection> >();
            smilesOnPayment.push_back(boost::shared_ptr<SmileSection>(
                new FlatSmileSection(endDate, flatVol, rangeCouponDayCount)));
            smilesOnPayment.push_back(boost::shared_ptr<SmileSection>(new
                InterpolatedSmileSection<Linear>(endDate,
                                                 strikes,
                                                 stdDevsOnPayment,
                                                 dummyAtmLevel,
                                                 rangeCouponDayCount)));
            //vars.smilesOnPayment.push_back(
            //    swaptionVolatilityStructures_[0]->smileSection(vars.endDate,
            //                                                   Period(6, Months)));

            QL_REQUIRE(smilesOnExpiry.size()==smilesOnPayment.size(),
                       "smilesOnExpiry.size()!=smilesOnPayment.size()");
        }

        CommonVars() {

            //General Settings
            calendar = TARGET();
            today = Date(39147); // 6 Mar 2007
            Settings::instance().evaluationDate() = today;
            settlement = today;
            //create Yield Curve
            createYieldCurve();
            referenceDate = termStructure->referenceDate();
            // Ibor index
            iborIndex =
                boost::shared_ptr<IborIndex>(new Euribor6M(termStructure));

            // create Volatility Structures
            flatVol = 0.1;
            createVolatilityStructures();

            // Range Accrual valuation
            gearing = 1.0;
            spread = 0.0;
            infiniteLowerStrike = 1.e-9;
            infiniteUpperStrike = 1.0;
            correlation = 1.0;

            startDate = Date(42800); //6 Mar 2017
            endDate = Date(42984);   //6 Sep 2017
            paymentDate = endDate;   //6 Sep 2017
            fixingDays = 2;
            rangeCouponDayCount = iborIndex->dayCounter();

            // observations schedule
            observationsConvention = ModifiedFollowing;
            observationsFrequency = Daily;//Monthly;
            observationSchedule = boost::shared_ptr<Schedule>(new
                                Schedule(startDate,endDate,
                                         Period(observationsFrequency),
                                         calendar,observationsConvention,
                                         observationsConvention,
                                         DateGeneration::Forward, false));
            // Range accrual pricers properties
            byCallSpread = std::vector<bool>();
            byCallSpread.push_back(true);
            byCallSpread.push_back(false);

            std::vector<Rate> strikes;

            //Create smiles sections
            createSmileSections();

            //test parameters
            rateTolerance = 2.0e-8;
            priceTolerance = 2.0e-4;
        }
    };

}


//******************************************************************************************//
//******************************************************************************************//
void RangeAccrualTest::testInfiniteRange()  {

    BOOST_MESSAGE("Testing infinite range accrual floaters...");

    CommonVars vars;

    //Coupon
    RangeAccrualFloatersCoupon coupon(vars.paymentDate,
                                      1.0,
                                      vars.iborIndex,
                                      vars.startDate,
                                      vars.endDate,
                                      vars.fixingDays,
                                      vars.rangeCouponDayCount,
                                      vars.gearing, vars.spread,
                                      vars.startDate, vars.endDate,
                                      vars.observationSchedule,
                                      vars.infiniteLowerStrike,
                                      vars.infiniteUpperStrike);

    Date fixingDate = coupon.fixingDate();

    for (Size z = 0; z < vars.smilesOnPayment.size(); z++) {
        for (Size i = 0; i < vars.byCallSpread.size(); i++){
            boost::shared_ptr<RangeAccrualPricer> bgmPricer(new
                RangeAccrualPricerByBgm(vars.correlation,
                                        vars.smilesOnExpiry[z],
                                        vars.smilesOnPayment[z],
                                        true,
                                        vars.byCallSpread[i]));

                coupon.setPricer(bgmPricer);

                //Computation
                const Rate rate = coupon.rate();
                const Rate indexfixing = vars.iborIndex->fixing(fixingDate);
                const Rate difference =  rate-indexfixing;

                if (std::fabs(difference) > vars.rateTolerance) {
                    BOOST_ERROR("\n" <<
                                "i:\t" << i << "\n"
                                "fixingDate:\t" << fixingDate << "\n"
                                "startDate:\t" << vars.startDate << "\n"
                                "range accrual rate:\t" << io::rate(rate) << "\n"
                                "index fixing:\t" << io::rate(indexfixing) << "\n"
                                "difference:\t" << io::rate(difference) << "\n"
                                "tolerance: \t" << io::rate(vars.rateTolerance));
                }
        }
    }
}

void RangeAccrualTest::testPriceMonotonicityWithRespectToLowerStrike() {

    BOOST_MESSAGE("Testing price monotonicity with respect to the lower strike...");

    CommonVars vars;

    for (Size z = 0; z < vars.smilesOnPayment.size(); z++) {
        for (Size i = 0; i < vars.byCallSpread.size(); i++){
            boost::shared_ptr<RangeAccrualPricer> bgmPricer(new
                RangeAccrualPricerByBgm(vars.correlation,
                                        vars.smilesOnExpiry[z],
                                        vars.smilesOnPayment[z],
                                        true,
                                        vars.byCallSpread[i]));

            Real effectiveLowerStrike;
            Real previousPrice = 100.;

            for (Size k = 1; k < 100; k++){
                effectiveLowerStrike = 0.005 + k*0.001;
                RangeAccrualFloatersCoupon coupon(
                                            vars.paymentDate,
                                            1.,
                                            vars.iborIndex,
                                            vars.startDate,
                                            vars.endDate,
                                            vars.fixingDays,
                                            vars.rangeCouponDayCount,
                                            vars.gearing, vars.spread,
                                            vars.startDate, vars.endDate,
                                            vars.observationSchedule,
                                            effectiveLowerStrike,
                                            vars.infiniteUpperStrike);

                coupon.setPricer(bgmPricer);

                //Computation
                const Rate price = coupon.price(vars.termStructure);

                if (previousPrice <= price) {
                    BOOST_ERROR("\n" <<
                                "i:\t" << i << "\n"
                                "k:\t" << k << "\n"
                                "Price at lower strike\t" << effectiveLowerStrike-0.001 <<
                                ": \t" << previousPrice << "\n"
                                "Price at lower strike\t" << effectiveLowerStrike <<
                                ": \t" << price << "\n");
                }
                previousPrice = price;
            }
        }
    }
}


void RangeAccrualTest::testPriceMonotonicityWithRespectToUpperStrike() {

    BOOST_MESSAGE("Testing price monotonicity with respect to the upper strike...");

    CommonVars vars;

    for (Size z = 0; z < vars.smilesOnPayment.size(); z++) {
        for (Size i = 0; i < vars.byCallSpread.size(); i++){
            boost::shared_ptr<RangeAccrualPricer> bgmPricer(new
                RangeAccrualPricerByBgm(vars.correlation,
                                        vars.smilesOnExpiry[z],
                                        vars.smilesOnPayment[z],
                                        true,
                                        vars.byCallSpread[i]));

            Real effectiveUpperStrike;
            Real previousPrice = 0.;

            for (Size k = 1; k < 95; k++){
                effectiveUpperStrike = 0.006 + k*0.001;
                RangeAccrualFloatersCoupon coupon(
                                            vars.paymentDate,
                                            1.,
                                            vars.iborIndex,
                                            vars.startDate,
                                            vars.endDate,
                                            vars.fixingDays,
                                            vars.rangeCouponDayCount,
                                            vars.gearing, vars.spread,
                                            vars.startDate, vars.endDate,
                                            vars.observationSchedule,
                                            .004,
                                            effectiveUpperStrike);

                coupon.setPricer(bgmPricer);

                //Computation
                const Rate price = coupon.price(vars.termStructure);

                if (previousPrice > price) {
                    BOOST_ERROR("\n" <<
                                "i:\t" << i << "\n"
                                "k:\t" << k << "\n"
                                "Price at upper strike\t" << effectiveUpperStrike-0.001 <<
                                ": \t" << previousPrice << "\n"
                                "Price at upper strike\t" << effectiveUpperStrike <<
                                ": \t" << price << "\n");
                }
                previousPrice = price;
            }
        }
    }
}


test_suite* RangeAccrualTest::suite() {
    test_suite* suite = BOOST_TEST_SUITE("Range Accrual tests");
    suite->add(QUANTLIB_TEST_CASE(&RangeAccrualTest::testInfiniteRange));
    suite->add(QUANTLIB_TEST_CASE(
           &RangeAccrualTest::testPriceMonotonicityWithRespectToLowerStrike));
    suite->add(QUANTLIB_TEST_CASE(
           &RangeAccrualTest::testPriceMonotonicityWithRespectToUpperStrike));
    return suite;
}


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