def loadHomogeneousSpreadCurves(valuationDate, liborCurve, cdsSpread3Y,
cdsSpread5Y, cdsSpread7Y, cdsSpread10Y,
numCredits):
maturity3Y = valuationDate.nextCDSDate(36)
maturity5Y = valuationDate.nextCDSDate(60)
maturity7Y = valuationDate.nextCDSDate(84)
maturity10Y = valuationDate.nextCDSDate(120)
recoveryRate = 0.40
cds3Y = FinCDS(valuationDate, maturity3Y, cdsSpread3Y)
cds5Y = FinCDS(valuationDate, maturity5Y, cdsSpread5Y)
cds7Y = FinCDS(valuationDate, maturity7Y, cdsSpread7Y)
cds10Y = FinCDS(valuationDate, maturity10Y, cdsSpread10Y)
contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuerCurve = FinCDSCurve(valuationDate, contracts, liborCurve,
recoveryRate)
issuerCurves = []
for _ in range(0, numCredits):
issuerCurves.append(issuerCurve)
return issuerCurves
def loadHeterogeneousSpreadCurves(valuationDate, liborCurve):
maturity3Y = valuationDate.nextCDSDate(36)
maturity5Y = valuationDate.nextCDSDate(60)
maturity7Y = valuationDate.nextCDSDate(84)
maturity10Y = valuationDate.nextCDSDate(120)
path = os.path.join(os.path.dirname(__file__),
'.//data//CDX_NA_IG_S7_SPREADS.csv')
f = open(path, 'r')
data = f.readlines()
f.close()
issuerCurves = []
for row in data[1:]:
splitRow = row.split(",")
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recoveryRate = float(splitRow[5])
cds3Y = FinCDS(valuationDate, maturity3Y, spd3Y)
cds5Y = FinCDS(valuationDate, maturity5Y, spd5Y)
cds7Y = FinCDS(valuationDate, maturity7Y, spd7Y)
cds10Y = FinCDS(valuationDate, maturity10Y, spd10Y)
cdsContracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuerCurve = FinCDSCurve(valuationDate, cdsContracts, liborCurve,
recoveryRate)
issuerCurves.append(issuerCurve)
return issuerCurves
def test_IssuerCurveBuild():
''' Test issuer curve build with simple libor curve to isolate cds
curve building time cost. '''
valuationDate = FinDate(20, 6, 2018)
times = np.linspace(0.0, 10.0, 11)
r = 0.05
discountFactors = np.power((1.0 + r), -times)
dates = valuationDate.addYears(times)
liborCurve = FinDiscountCurve(valuationDate,
dates,
discountFactors,
FinInterpTypes.FLAT_FWD_RATES)
recoveryRate = 0.40
cdsContracts = []
cdsCoupon = 0.005 # 50 bps
maturityDate = valuationDate.addMonths(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsContracts.append(cds)
cdsCoupon = 0.0055
maturityDate = valuationDate.addMonths(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsContracts.append(cds)
cdsCoupon = 0.0060
maturityDate = valuationDate.addMonths(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsContracts.append(cds)
cdsCoupon = 0.0065
maturityDate = valuationDate.addMonths(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsContracts.append(cds)
cdsCoupon = 0.0070
maturityDate = valuationDate.addMonths(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsContracts.append(cds)
cdsCoupon = 0.0073
maturityDate = valuationDate.addMonths(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsContracts.append(cds)
issuerCurve = FinCDSCurve(valuationDate,
cdsContracts,
liborCurve,
recoveryRate)
return cdsContracts, issuerCurve
def buildFlatIssuerCurve(tradeDate, liborCurve, spread, recoveryRate):
valuationDate = tradeDate.addDays(1)
cdsMarketContracts = []
maturityDate = FinDate(29, 6, 2010)
cds = FinCDS(valuationDate, maturityDate, spread)
cdsMarketContracts.append(cds)
issuerCurve = FinCDSCurve(valuationDate, cdsMarketContracts, liborCurve,
recoveryRate)
return issuerCurve
def buildIssuerCurve(valuationDate, liborCurve):
cdsMarketContracts = []
cdsCoupon = 0.0048375
maturityDate = FinDate(2010, 6, 29)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(valuationDate, cdsMarketContracts, liborCurve,
recoveryRate)
return issuerCurve
def test_CDSFastApproximation():
valueDate = FinDate(2018, 6, 20)
# I build a discount curve that requires no bootstrap
times = np.linspace(0, 10.0, 11)
r = 0.05
discountFactors = np.power((1.0 + r), -times)
dates = valueDate.addYears(times)
liborCurve = FinDiscountCurve(valueDate,
dates,
discountFactors,
FinInterpTypes.FLAT_FWD_RATES)
##########################################################################
maturityDate = valueDate.nextCDSDate(120)
t = (maturityDate - valueDate) / 365.242
z = liborCurve.df(maturityDate)
r = -np.log(z) / t
recoveryRate = 0.40
contractCoupon = 0.010
testCases.header("MKT_SPD", "EXACT_VALUE", "APPROX_VALUE", "DIFF(%NOT)")
for mktCoupon in np.linspace(0.000, 0.05, 21):
cdsContracts = []
cdsMkt = FinCDS(valueDate, maturityDate, mktCoupon, ONE_MILLION)
cdsContracts.append(cdsMkt)
issuerCurve = FinCDSCurve(valueDate,
cdsContracts,
liborCurve,
recoveryRate)
cdsContract = FinCDS(valueDate, maturityDate, contractCoupon)
v_exact = cdsContract.value(
valueDate, issuerCurve, recoveryRate)['full_pv']
v_approx = cdsContract.valueFastApprox(
valueDate, r, mktCoupon, recoveryRate)[0]
pctdiff = (v_exact - v_approx) / ONE_MILLION * 100.0
testCases.print(mktCoupon * 10000, v_exact, v_approx, pctdiff)
def test_CDSIndexPortfolio():
tradeDate = FinDate(1, 8, 2007)
stepInDate = tradeDate.addDays(1)
valuationDate = stepInDate
liborCurve = buildIborCurve(tradeDate)
maturity3Y = tradeDate.nextCDSDate(36)
maturity5Y = tradeDate.nextCDSDate(60)
maturity7Y = tradeDate.nextCDSDate(84)
maturity10Y = tradeDate.nextCDSDate(120)
path = os.path.join(os.path.dirname(__file__),
'.//data//CDX_NA_IG_S7_SPREADS.csv')
f = open(path, 'r')
data = f.readlines()
f.close()
issuerCurves = []
for row in data[1:]:
splitRow = row.split(",")
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recoveryRate = float(splitRow[5])
cds3Y = FinCDS(stepInDate, maturity3Y, spd3Y)
cds5Y = FinCDS(stepInDate, maturity5Y, spd5Y)
cds7Y = FinCDS(stepInDate, maturity7Y, spd7Y)
cds10Y = FinCDS(stepInDate, maturity10Y, spd10Y)
cdsContracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuerCurve = FinCDSCurve(valuationDate, cdsContracts, liborCurve,
recoveryRate)
issuerCurves.append(issuerCurve)
##########################################################################
# Now determine the average spread of the index
##########################################################################
cdsIndex = FinCDSIndexPortfolio()
averageSpd3Y = cdsIndex.averageSpread(valuationDate, stepInDate,
maturity3Y, issuerCurves) * 10000.0
averageSpd5Y = cdsIndex.averageSpread(valuationDate, stepInDate,
maturity5Y, issuerCurves) * 10000.0
averageSpd7Y = cdsIndex.averageSpread(valuationDate, stepInDate,
maturity7Y, issuerCurves) * 10000.0
averageSpd10Y = cdsIndex.averageSpread(valuationDate, stepInDate,
maturity10Y, issuerCurves) * 10000.0
testCases.header("LABEL", "VALUE")
testCases.print("AVERAGE SPD 3Y", averageSpd3Y)
testCases.print("AVERAGE SPD 5Y", averageSpd5Y)
testCases.print("AVERAGE SPD 7Y", averageSpd7Y)
testCases.print("AVERAGE SPD 10Y", averageSpd10Y)
##########################################################################
# Now determine the intrinsic spread of the index to the same maturity
# dates. As the single name CDS contracts
##########################################################################
cdsIndex = FinCDSIndexPortfolio()
intrinsicSpd3Y = cdsIndex.intrinsicSpread(
valuationDate, stepInDate, maturity3Y, issuerCurves) * 10000.0
intrinsicSpd5Y = cdsIndex.intrinsicSpread(
valuationDate, stepInDate, maturity5Y, issuerCurves) * 10000.0
intrinsicSpd7Y = cdsIndex.intrinsicSpread(
valuationDate, stepInDate, maturity7Y, issuerCurves) * 10000.0
intrinsicSpd10Y = cdsIndex.intrinsicSpread(
valuationDate, stepInDate, maturity10Y, issuerCurves) * 10000.0
##########################################################################
##########################################################################
testCases.header("LABEL", "VALUE")
testCases.print("INTRINSIC SPD 3Y", intrinsicSpd3Y)
testCases.print("INTRINSIC SPD 5Y", intrinsicSpd5Y)
testCases.print("INTRINSIC SPD 7Y", intrinsicSpd7Y)
testCases.print("INTRINSIC SPD 10Y", intrinsicSpd10Y)
def test_FinCDSCurve():
curveDate = FinDate(2018, 12, 20)
swaps = []
depos = []
fras = []
fixedDCC = FinDayCountTypes.ACT_365F
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
fixedCoupon = 0.05
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
swap = FinIborSwap(curveDate, maturityDate, FinSwapTypes.PAYER,
fixedCoupon, fixedFreq, fixedDCC)
swaps.append(swap)
libor_curve = FinIborCurve(curveDate, depos, fras, swaps)
cdsContracts = []
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturityDate, 0.005 + 0.001 * (i - 1))
cdsContracts.append(cds)
issuerCurve = FinCDSCurve(curveDate,
cdsContracts,
libor_curve,
recoveryRate=0.40,
useCache=False)
testCases.header("T", "Q")
n = len(issuerCurve._times)
for i in range(0, n):
testCases.print(issuerCurve._times[i], issuerCurve._values[i])
testCases.header("CONTRACT", "VALUE")
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturityDate, 0.005 + 0.001 * (i - 1))
v = cds.value(curveDate, issuerCurve)
testCases.print(i, v)
if 1 == 0:
x = [0.0, 1.2, 1.6, 1.7, 10.0]
qs = issuerCurve.survProb(x)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
qs = issuerCurve.survProb(xx)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
dfs = issuerCurve.df(x)
print("===>", dfs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
dfs = issuerCurve.df(xx)
print("===>", dfs)
def buildFullIssuerCurve(valuationDate):
dcType = FinDayCountTypes.ACT_360
depos = []
irBump = 0.0
m = 1.0 # 0.00000000000
spotDays = 0
settlementDate = valuationDate.addDays(spotDays)
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(settlementDate, maturityDate, m * 0.0016, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinIborDeposit(settlementDate, maturityDate, m * 0.0020, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinIborDeposit(settlementDate, maturityDate, m * 0.0024, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinIborDeposit(settlementDate, maturityDate, m * 0.0033, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinIborDeposit(settlementDate, maturityDate, m * 0.0056, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
spotDays = 2
settlementDate = valuationDate.addDays(spotDays)
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0044 + irBump,
fixedFreq,
dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0078 + irBump,
fixedFreq,
dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0119 + irBump,
fixedFreq,
dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0158 + irBump,
fixedFreq,
dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0192 + irBump,
fixedFreq,
dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0219 + irBump,
fixedFreq,
dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0242 + irBump,
fixedFreq,
dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0261 + irBump,
fixedFreq,
dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0276 + irBump,
fixedFreq,
dcType)
swaps.append(swap9)
liborCurve = FinIborCurve(valuationDate, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.005743
maturityDate = valuationDate.nextCDSDate(6)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.007497
maturityDate = valuationDate.nextCDSDate(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.011132
maturityDate = valuationDate.nextCDSDate(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.013932
maturityDate = valuationDate.nextCDSDate(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.015764
maturityDate = valuationDate.nextCDSDate(48)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.017366
maturityDate = valuationDate.nextCDSDate(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.020928
maturityDate = valuationDate.nextCDSDate(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.022835
maturityDate = valuationDate.nextCDSDate(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(valuationDate,
cdsMarketContracts,
liborCurve,
recoveryRate)
return liborCurve, issuerCurve
def test_performCDSIndexHazardRateAdjustment():
tradeDate = FinDate(2007, 8, 1)
stepInDate = tradeDate.addDays(1)
valuationDate = stepInDate
liborCurve = buildIborCurve(tradeDate)
maturity3Y = tradeDate.nextCDSDate(36)
maturity5Y = tradeDate.nextCDSDate(60)
maturity7Y = tradeDate.nextCDSDate(84)
maturity10Y = tradeDate.nextCDSDate(120)
path = dirname(__file__)
filename = "CDX_NA_IG_S7_SPREADS.csv"
full_filename_path = join(path, "data", filename)
f = open(full_filename_path, 'r')
data = f.readlines()
issuerCurves = []
for row in data[1:]:
splitRow = row.split(",")
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recoveryRate = float(splitRow[5])
cds3Y = FinCDS(stepInDate, maturity3Y, spd3Y)
cds5Y = FinCDS(stepInDate, maturity5Y, spd5Y)
cds7Y = FinCDS(stepInDate, maturity7Y, spd7Y)
cds10Y = FinCDS(stepInDate, maturity10Y, spd10Y)
cdsContracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuerCurve = FinCDSCurve(valuationDate, cdsContracts, liborCurve,
recoveryRate)
issuerCurves.append(issuerCurve)
##########################################################################
# Now determine the average spread of the index
##########################################################################
cdsIndex = FinCDSIndexPortfolio()
averageSpd3Y = cdsIndex.averageSpread(valuationDate, stepInDate,
maturity3Y, issuerCurves) * 10000.0
averageSpd5Y = cdsIndex.averageSpread(valuationDate, stepInDate,
maturity5Y, issuerCurves) * 10000.0
averageSpd7Y = cdsIndex.averageSpread(valuationDate, stepInDate,
maturity7Y, issuerCurves) * 10000.0
averageSpd10Y = cdsIndex.averageSpread(valuationDate, stepInDate,
maturity10Y, issuerCurves) * 10000.0
testCases.header("LABEL", "VALUE")
testCases.print("AVERAGE SPD 3Y", averageSpd3Y)
testCases.print("AVERAGE SPD 5Y", averageSpd5Y)
testCases.print("AVERAGE SPD 7Y", averageSpd7Y)
testCases.print("AVERAGE SPD 10Y", averageSpd10Y)
testCases.banner(
"===================================================================")
##########################################################################
# Now determine the intrinsic spread of the index to the same maturity dates
# As the single name CDS contracts
##########################################################################
cdsIndex = FinCDSIndexPortfolio()
intrinsicSpd3Y = cdsIndex.intrinsicSpread(
valuationDate, stepInDate, maturity3Y, issuerCurves) * 10000.0
intrinsicSpd5Y = cdsIndex.intrinsicSpread(
valuationDate, stepInDate, maturity5Y, issuerCurves) * 10000.0
intrinsicSpd7Y = cdsIndex.intrinsicSpread(
valuationDate, stepInDate, maturity7Y, issuerCurves) * 10000.0
intrinsicSpd10Y = cdsIndex.intrinsicSpread(
valuationDate, stepInDate, maturity10Y, issuerCurves) * 10000.0
##########################################################################
##########################################################################
testCases.header("LABEL", "VALUE")
testCases.print("INTRINSIC SPD 3Y", intrinsicSpd3Y)
testCases.print("INTRINSIC SPD 5Y", intrinsicSpd5Y)
testCases.print("INTRINSIC SPD 7Y", intrinsicSpd7Y)
testCases.print("INTRINSIC SPD 10Y", intrinsicSpd10Y)
testCases.banner(
"===================================================================")
##########################################################################
##########################################################################
indexCoupons = [0.002, 0.0037, 0.0050, 0.0063]
indexUpfronts = [0.0, 0.0, 0.0, 0.0]
indexMaturityDates = [
FinDate(2009, 12, 20),
FinDate(2011, 12, 20),
FinDate(2013, 12, 20),
FinDate(2016, 12, 20)
]
indexRecoveryRate = 0.40
tolerance = 1e-6
import time
start = time.time()
indexPortfolio = FinCDSIndexPortfolio()
adjustedIssuerCurves = indexPortfolio.hazardRateAdjustIntrinsic(
valuationDate, issuerCurves, indexCoupons, indexUpfronts,
indexMaturityDates, indexRecoveryRate, tolerance)
end = time.time()
testCases.header("TIME")
testCases.print(end - start)
# numCredits = len(issuerCurves)
# testCases.print("#","MATURITY","CDS_UNADJ","CDS_ADJ")
# for m in range(0,numCredits):
# for cds in cdsContracts:
# unadjustedSpread = cds.parSpread(valuationDate,issuerCurves[m])
# adjustedSpread = cds.parSpread(valuationDate,adjustedIssuerCurves[m])
# testCases.print(m,str(cds._maturityDate),"%10.3f"%(unadjustedSpread*10000),"%10.3f" %(adjustedSpread*10000))
cdsIndex = FinCDSIndexPortfolio()
intrinsicSpd3Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate,
indexMaturityDates[0],
adjustedIssuerCurves) * 10000.0
intrinsicSpd5Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate,
indexMaturityDates[1],
adjustedIssuerCurves) * 10000.0
intrinsicSpd7Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate,
indexMaturityDates[2],
adjustedIssuerCurves) * 10000.0
intrinsicSpd10Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate,
indexMaturityDates[3],
adjustedIssuerCurves) * 10000.0
# If the adjustment works then this should equal the index spreads
testCases.header("LABEL", "VALUE")
testCases.print("ADJUSTED INTRINSIC SPD 3Y", intrinsicSpd3Y)
testCases.print("ADJUSTED INTRINSIC SPD 5Y", intrinsicSpd5Y)
testCases.print("ADJUSTED INTRINSIC SPD 7Y", intrinsicSpd7Y)
testCases.print("ADJUSTED INTRINSIC SPD 10Y", intrinsicSpd10Y)
def test_fullPriceCDSIndexOption():
tradeDate = FinDate(1, 8, 2007)
stepInDate = tradeDate.addDays(1)
valuationDate = stepInDate
liborCurve = buildIborCurve(tradeDate)
maturity3Y = tradeDate.nextCDSDate(36)
maturity5Y = tradeDate.nextCDSDate(60)
maturity7Y = tradeDate.nextCDSDate(84)
maturity10Y = tradeDate.nextCDSDate(120)
path = os.path.join(os.path.dirname(__file__),
'.//data//CDX_NA_IG_S7_SPREADS.csv')
f = open(path, 'r')
data = f.readlines()
f.close()
issuerCurves = []
for row in data[1:]:
splitRow = row.split(",")
creditName = splitRow[0]
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recoveryRate = float(splitRow[5])
cds3Y = FinCDS(stepInDate, maturity3Y, spd3Y)
cds5Y = FinCDS(stepInDate, maturity5Y, spd5Y)
cds7Y = FinCDS(stepInDate, maturity7Y, spd7Y)
cds10Y = FinCDS(stepInDate, maturity10Y, spd10Y)
cdsContracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuerCurve = FinCDSCurve(valuationDate, cdsContracts, liborCurve,
recoveryRate)
issuerCurves.append(issuerCurve)
##########################################################################
##########################################################################
indexUpfronts = [0.0, 0.0, 0.0, 0.0]
indexMaturityDates = [
FinDate(20, 12, 2009),
FinDate(20, 12, 2011),
FinDate(20, 12, 2013),
FinDate(20, 12, 2016)
]
indexRecovery = 0.40
testCases.banner(
"======================= CDS INDEX OPTION ==========================")
indexCoupon = 0.004
volatility = 0.50
expiryDate = FinDate(1, 2, 2008)
maturityDate = FinDate(20, 12, 2011)
notional = 10000.0
tolerance = 1e-6
testCases.header("TIME", "STRIKE", "INDEX", "PAY", "RECEIVER", "G(K)", "X",
"EXPH", "ABPAY", "ABREC")
for index in np.linspace(20, 60, 10):
#######################################################################
cdsContracts = []
for dt in indexMaturityDates:
cds = FinCDS(valuationDate, dt, index / 10000.0)
cdsContracts.append(cds)
indexCurve = FinCDSCurve(valuationDate, cdsContracts, liborCurve,
indexRecovery)
if 1 == 1:
indexSpreads = [index / 10000.0] * 4
indexPortfolio = FinCDSIndexPortfolio()
adjustedIssuerCurves = indexPortfolio.hazardRateAdjustIntrinsic(
valuationDate, issuerCurves, indexSpreads, indexUpfronts,
indexMaturityDates, indexRecovery, tolerance)
else:
indexSpread = index / 10000.0
issuerCurve = buildFlatIssuerCurve(tradeDate, liborCurve,
indexSpread, indexRecovery)
adjustedIssuerCurves = []
for iCredit in range(0, 125):
adjustedIssuerCurves.append(issuerCurve)
#######################################################################
for strike in np.linspace(20, 60, 20):
start = time.time()
option = FinCDSIndexOption(expiryDate, maturityDate, indexCoupon,
strike / 10000.0, notional)
v_pay_1, v_rec_1, strikeValue, mu, expH = option.valueAnderson(
valuationDate, adjustedIssuerCurves, indexRecovery, volatility)
end = time.time()
elapsed = end - start
end = time.time()
v_pay_2, v_rec_2 = option.valueAdjustedBlack(
valuationDate, indexCurve, indexRecovery, liborCurve,
volatility)
elapsed = end - start
testCases.print(elapsed, strike, index, v_pay_1, v_rec_1,
strikeValue, mu, expH, v_pay_2, v_rec_2)
def buildFullIssuerCurve2(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 20 August 2020 SNAP AT 1600
m = 1.0
settlementDate = FinDate(24, 8, 2020)
dcType = FinDayCountTypes.ACT_360
depos = []
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, m * 0.001709, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, m * 0.002123, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, m * 0.002469, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, m * 0.003045, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(settlementDate, maturityDate, m * 0.004449, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002155 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002305 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002665 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.003290 + irBump, fixedFreq, dcType)
swaps.append(swap4)
liborCurve = FinLiborCurve(settlementDate, depos, [], swaps)
cdsCoupon = 0.01 + mktSpreadBump
cdsMarketContracts = []
effectiveDate = FinDate(21, 8, 2020)
cds = FinCDS(effectiveDate, "6M", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "1Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "2Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "3Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "4Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "5Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "7Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "10Y", cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(settlementDate, cdsMarketContracts, liborCurve,
recoveryRate)
testCases.header("DATE", "DISCOUNT_FACTOR", "SURV_PROB")
years = np.linspace(0.0, 10.0, 20)
dates = settlementDate.addYears(years)
for dt in dates:
df = liborCurve.df(dt)
q = issuerCurve.survProb(dt)
testCases.print("%16s" % dt, "%12.8f" % df, "%12.8f" % q)
return liborCurve, issuerCurve
def buildFullIssuerCurve1(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 8-AUG-2019 SNAP AT 1600
tradeDate = FinDate(2019, 8, 9)
valuationDate = tradeDate.addDays(1)
dcType = FinDayCountTypes.ACT_360
depos = []
m = 1.0 # 0.00000000000
spotDays = 2
settlementDate = valuationDate.addDays(spotDays)
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, m * 0.022009, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, m * 0.022138, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, m * 0.021810, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, m * 0.020503, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(settlementDate, maturityDate, m * 0.019930, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.015910 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014990 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014725 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014640 + irBump, fixedFreq, dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014800 + irBump, fixedFreq, dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014995 + irBump, fixedFreq, dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.015180 + irBump, fixedFreq, dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.015610 + irBump, fixedFreq, dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.015880 + irBump, fixedFreq, dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(144)
swap10 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.016430 + irBump, fixedFreq, dcType)
swaps.append(swap10)
liborCurve = FinLiborCurve(settlementDate, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.04 + mktSpreadBump
maturityDate = valuationDate.nextCDSDate(6)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(48)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(180)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(settlementDate, cdsMarketContracts, liborCurve,
recoveryRate)
return liborCurve, issuerCurve
