def test_FinFixedOIS():
# Here I follow the example in
# https://blog.deriscope.com/index.php/en/excel-quantlib-overnight-index-swap
effectiveDate = FinDate(30, 11, 2018)
endDate = FinDate(30, 11, 2023)
endDate = effectiveDate.addMonths(60)
oisRate = 0.04
fixedLegType = FinSwapTypes.PAY
fixedFreqType = FinFrequencyTypes.ANNUAL
fixedDayCount = FinDayCountTypes.ACT_360
floatFreqType = FinFrequencyTypes.ANNUAL
floatDayCount = FinDayCountTypes.ACT_360
floatSpread = 0.0
notional = ONE_MILLION
paymentLag = 1
ois = FinOIS(effectiveDate, endDate, fixedLegType, oisRate, fixedFreqType,
fixedDayCount, notional, paymentLag, floatSpread,
floatFreqType, floatDayCount)
# print(ois)
valueDate = effectiveDate
marketRate = 0.05
oisCurve = FinDiscountCurveFlat(valueDate, marketRate,
FinFrequencyTypes.ANNUAL)
v = ois.value(effectiveDate, oisCurve)
# print(v)
# ois._fixedLeg.printValuation()
# ois._floatLeg.printValuation()
testCases.header("LABEL", "VALUE")
testCases.print("SWAP_VALUE", v)
def test_FinFixedOIRSwap():
# Here I follow the example in
# https://blog.deriscope.com/index.php/en/excel-quantlib-overnight-index-swap
startDate = FinDate(30, 11, 2018)
endDate = FinDate(30, 11, 2023)
endDate = startDate.addMonths(60)
oisRate = 0.04
swapType = FinSwapTypes.PAYER
fixedFreqType = FinFrequencyTypes.ANNUAL
fixedDayCount = FinDayCountTypes.ACT_360
floatFreqType = FinFrequencyTypes.ANNUAL
floatDayCount = FinDayCountTypes.ACT_360
floatSpread = 0.0
notional = ONE_MILLION
ois = FinOIS(startDate,
endDate,
swapType,
oisRate,
fixedFreqType,
fixedDayCount,
notional,
floatSpread,
floatFreqType,
floatDayCount)
valueDate = FinDate(2018, 11, 30)
marketRate = 0.05
oisCurve = FinDiscountCurveFlat(valueDate, marketRate,
FinFrequencyTypes.ANNUAL)
v = ois.value(startDate, oisCurve)
testCases.header("LABEL", "VALUE")
testCases.print("SWAP_VALUE", v)
def test_FinOISDepositsFRAsSwaps():
valuationDate = FinDate(2019, 9, 18)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settleDt = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
# 1 month
depositRate = 0.04
maturityDate = settleDt.addMonths(1)
depo = FinIborDeposit(settleDt, maturityDate, depositRate, depoDCCType,
notional, calendarType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
frasettleDt = settleDt.addMonths(9)
fraMaturityDate = settleDt.addMonths(13)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
frasettleDt = settleDt.addMonths(13)
fraMaturityDate = settleDt.addMonths(17)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
frasettleDt = settleDt.addMonths(17)
fraMaturityDate = settleDt.addMonths(21)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settleDt.addMonths(24)
# swap = FinIborSwap(settleDt, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixedLegType = FinfixedLegTypes.PAY
maturityDate = settleDt.addMonths(36)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(48)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(60)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(72)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(84)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(96)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(108)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(120)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(132)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(144)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(180)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(240)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(300)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(360)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
liborCurve = FinOISCurve(valuationDate, depos, fras, swaps)
df = liborCurve.df(settleDt)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settleDt), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
for swap in swaps:
df = liborCurve.df(swap._maturityDate)
testCases.print(str(swap._maturityDate), df)
def test_bloombergPricingExample():
''' This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
'''
valuationDate = FinDate(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settleDt = valuationDate.addWeekDays(spotDays)
accrual = FinDayCountTypes.THIRTY_E_360
depo = FinIborDeposit(settleDt, "1D", 1.712 / 100.0, accrual)
depos = [depo]
futs = []
fut = FinIborFuture(valuationDate, 1)
futs.append(fut)
fut = FinIborFuture(valuationDate, 2)
futs.append(fut)
fut = FinIborFuture(valuationDate, 3)
futs.append(fut)
fut = FinIborFuture(valuationDate, 4)
futs.append(fut)
fut = FinIborFuture(valuationDate, 5)
futs.append(fut)
fut = FinIborFuture(valuationDate, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = FinDayCountTypes.THIRTY_E_360
freq = FinFrequencyTypes.SEMI_ANNUAL
spotDays = 2
settleDt = valuationDate.addWeekDays(spotDays)
payRec = FinSwapTypes.PAY
lag = 1 # Not used
swaps = []
swap = FinOIS(settleDt, "2Y", payRec, (2.77417 + 2.77844) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "3Y", payRec, (2.86098 + 2.86582) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "4Y", payRec, (2.90240 + 2.90620) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "5Y", payRec, (2.92944 + 2.92906) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "6Y", payRec, (2.94001 + 2.94499) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "7Y", payRec, (2.95352 + 2.95998) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "8Y", payRec, (2.96830 + 2.97400) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "9Y", payRec, (2.98403 + 2.98817) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "10Y", payRec, (2.99716 + 3.00394) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "11Y", payRec, (3.01344 + 3.01596) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "12Y", payRec, (3.02276 + 3.02684) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "15Y", payRec, (3.04092 + 3.04508) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "20Y", payRec, (3.04417 + 3.05183) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "25Y", payRec, (3.03219 + 3.03621) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "30Y", payRec, (3.01030 + 3.01370) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "40Y", payRec, (2.96946 + 2.97354) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "50Y", payRec, (2.91552 + 2.93748) / 200, freq,
accrual)
swaps.append(swap)
oisCurve = FinOISCurve(valuationDate, depos, fras, swaps)
# swaps[0]._fixedLeg.printValuation()
# swaps[0]._floatLeg.printValuation()
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print("VALUE:", swaps[0].value(valuationDate, oisCurve, None))
testCases.print("FIXED:",
-swaps[0]._fixedLeg.value(valuationDate, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(valuationDate, oisCurve,
None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print("VALUE:", swaps[0].value(settleDt, oisCurve, None))
testCases.print("FIXED:", -swaps[0]._fixedLeg.value(settleDt, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(settleDt, oisCurve,
None))
def test_derivativePricingExample():
valuationDate = FinDate(10, 11, 2011)
# We do the O/N rate which settles on trade date
spotDays = 0
settleDt = valuationDate.addWeekDays(spotDays)
fras = []
swaps = []
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
# dayCountType = FinDayCountTypes.ACT_360
freqType = FinFrequencyTypes.SEMI_ANNUAL
fixedLegType = FinfixedLegTypes.PAY
swapRate = 0.0058
swap = FinOIS(settleDt, "1Y", fixedLegType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0060
swap = FinOIS(settleDt, "2Y", fixedLegType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0072
swap = FinOIS(settleDt, "3Y", fixedLegType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0096
swap = FinOIS(settleDt, "4Y", fixedLegType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0124
swap = FinOIS(settleDt, "5Y", fixedLegType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0173
swap = FinOIS(settleDt, "7Y", fixedLegType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0219
swap = FinOIS(settleDt, "10Y", fixedLegType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0283
swap = FinOIS(settleDt, "30Y", fixedLegType, swapRate, freqType,
dayCountType)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = FinOISCurve(valuationDate, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = FinOISCurve(valuationDate, fras, swaps,
FinInterpTypes.LINEAR_SWAP_RATES)
end = time.time()
elapsed2 = end - start
testCases.header("METHOD", "TIME")
testCases.print("NON-LINEAR SOLVER BOOTSTRAP", elapsed1 / numRepeats)
testCases.print("LINEAR SWAP BOOTSTRAP", elapsed2 / numRepeats)
def test_FinOISDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settleDt = spotDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depo = FinIborDeposit(settleDt, "1D", 1.712 / 100.0, depoDCCType)
depos = [depo]
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
frasettleDt = spotDate.nextIMMDate()
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
frasettleDt = frasettleDt.nextIMMDate()
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
startDate = spotDate.addWeekDays(spotDays)
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.THIRTY_E_360
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
floatFreqType = FinFrequencyTypes.QUARTERLY
notional = 1000000
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
calendarType = FinCalendarTypes.US
busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING
swapRate = 0.02776305
paymentLag = 1
swap = FinOIS(startDate, "2Y", fixedLegType, swapRate, fixedFreqType,
fixedDCCType, notional, paymentLag, floatSpread,
floatFreqType, floatDCCType, calendarType, busDayAdjustRule)
swaps.append(swap)
liborCurve = FinOISCurve(spotDate, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spotDate.addYears(times)
zeroRates = liborCurve.zeroRate(dates)
fwdRates = liborCurve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zeroRates * 100, label="zero rates")
plt.plot(times, fwdRates * 100, label="fwd rates")
plt.xlabel("Times")
plt.ylabel("CC forward rates")
plt.legend()
print("==============================================================")
for fra in fras:
print(fra)
print("==============================================================")
endDate = spotDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = settleDt
df = liborCurve.df(endDate)
print(endDate, df)
endDate = FinDate(20, 6, 2018)
df = liborCurve.df(endDate)
print(endDate, df)
for fra in fras:
endDate = fra._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
for swap in swaps:
endDate = swap._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
swap.printFixedLegPV(spotDate)
swap.printFloatLegPV(spotDate)
def buildOIS(valuationDate):
''' Build the OIS funding curve from futures (FRAs) and OIS '''
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
fixedLegType = FinSwapTypes.PAY
fras = []
# 1 x 4 FRA
swaps = []
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
fixedDCCType = FinDayCountTypes.ACT_365F
swapRate = 0.000022
maturityDate = settlementDate.addMonths(24)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swapRate += 0.000
fixedLegType = FinSwapTypes.PAY
maturityDate = settlementDate.addMonths(36)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swapRate += 0.000
maturityDate = settlementDate.addMonths(48)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swapRate = 0.02
maturityDate = settlementDate.addMonths(60)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinOIS(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
oisCurve = FinOISCurve(valuationDate, [], fras, swaps)
return oisCurve
def test_swapValuationExample():
# Example from
# https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve
vBloomberg = 388147
valuationDate = FinDate(30, 11, 2018)
startDate = FinDate(27, 12, 2017)
maturityDate = FinDate(27, 12, 2067)
notional = 10 * ONE_MILLION
fixedLegType = FinSwapTypes.RECEIVE
fixedRate = 0.0150
fixedDCCType = FinDayCountTypes.THIRTY_360_BOND
fixedFreqType = FinFrequencyTypes.ANNUAL
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
floatFreqType = FinFrequencyTypes.SEMI_ANNUAL
offMarketSwap = FinIborSwapOLD(startDate, maturityDate, fixedLegType,
fixedRate, fixedFreqType, fixedDCCType,
notional, floatSpread, floatFreqType,
floatDCCType)
interpType = FinInterpTypes.LINEAR_ZERO_RATES
depoDCCType = FinDayCountTypes.ACT_360
depos = []
###########################################################################
# MARKET
###########################################################################
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depo = FinIborDeposit(settlementDate, "6M", -0.2510 / 100.0, depoDCCType)
depos.append(depo)
fras = []
fraDCCType = FinDayCountTypes.ACT_360
fra = FinIborFRA(settlementDate.addTenor("1M"), "6M", -0.2450 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("2M"), "6M", -0.2435 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("3M"), "6M", -0.2400 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("4M"), "6M", -0.2360 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("5M"), "6M", -0.2285 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("6M"), "6M", -0.2230 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("7M"), "6M", -0.2110 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("8M"), "6M", -0.1990 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("9M"), "6M", -0.1850 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("10M"), "6M", -0.1680 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("11M"), "6M", -0.1510 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("12M"), "6M", -0.1360 / 100.0,
fraDCCType)
fras.append(fra)
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.THIRTY_360_BOND
fixedFreqType = FinFrequencyTypes.ANNUAL
swap = FinIborSwapOLD(settlementDate, "2Y", fixedLegType, -0.1525 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "3Y", fixedLegType, -0.0185 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "4Y", fixedLegType, 0.1315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "5Y", fixedLegType, 0.2745 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "6Y", fixedLegType, 0.4135 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "7Y", fixedLegType, 0.5439 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "8Y", fixedLegType, 0.6652 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "9Y", fixedLegType, 0.7784 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "10Y", fixedLegType, 0.8799 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "11Y", fixedLegType, 0.9715 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "12Y", fixedLegType, 1.0517 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "15Y", fixedLegType, 1.2369 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "20Y", fixedLegType, 1.3965 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "25Y", fixedLegType, 1.4472 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "30Y", fixedLegType, 1.4585 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "35Y", fixedLegType, 1.4595 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "40Y", fixedLegType, 1.4535 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "45Y", fixedLegType, 1.4410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "50Y", fixedLegType, 1.4335 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
iborDepos = depos.copy()
iborFras = fras.copy()
iborSwaps = swaps.copy()
iborCurve = FinIborSingleCurve(valuationDate, iborDepos, iborFras,
iborSwaps, interpType)
v1 = offMarketSwap.value(valuationDate, iborCurve, iborCurve,
-0.268 / 100.0)
testCases.banner("DERISCOPE EXAMPLE REPLICATION")
testCases.header("LABEL", "VALUE")
testCases.print("BBG VALUE", vBloomberg)
testCases.print("FP ONE CURVE VALUE", v1)
###############################################################################
depoDCCType = FinDayCountTypes.ACT_360
depos = []
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depo = FinIborDeposit(settlementDate, "1D", -0.3490 / 100.0, depoDCCType)
depos.append(depo)
fras = []
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.ANNUAL
# Standard OIS with standard annual terms
swap = FinOIS(settlementDate, "2W", fixedLegType, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "1M", fixedLegType, -0.3560 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "2M", fixedLegType, -0.3570 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "3M", fixedLegType, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "4M", fixedLegType, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "5M", fixedLegType, -0.3578 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "6M", fixedLegType, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "7M", fixedLegType, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "8M", fixedLegType, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "9M", fixedLegType, -0.3569 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "10M", fixedLegType, -0.3553 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "11M", fixedLegType, -0.3534 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "12M", fixedLegType, -0.3496 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "18M", fixedLegType, -0.3173 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "2Y", fixedLegType, -0.2671 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "30M", fixedLegType, -0.2070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "3Y", fixedLegType, -0.1410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "4Y", fixedLegType, -0.0060 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "5Y", fixedLegType, 0.1285 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "6Y", fixedLegType, 0.2590 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "7Y", fixedLegType, 0.3830 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "8Y", fixedLegType, 0.5020 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "9Y", fixedLegType, 0.6140 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "10Y", fixedLegType, 0.7160 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "11Y", fixedLegType, 0.8070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "12Y", fixedLegType, 0.8890 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "15Y", fixedLegType, 1.0790 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "20Y", fixedLegType, 1.2460 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "25Y", fixedLegType, 1.3055 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "30Y", fixedLegType, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "35Y", fixedLegType, 1.3315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "40Y", fixedLegType, 1.3300 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "50Y", fixedLegType, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
oisDepos = depos.copy()
oisFras = fras.copy()
oisSwaps = swaps.copy()
# oisCurveFF = FinOISCurve(valuationDate, oisDepos, oisFras, oisSwaps, interpType)
iborDualCurve = FinIborDualCurve(valuationDate, oisCurveFF, iborDepos,
iborFras, iborSwaps, interpType)