def test_curves():
base_date = date(2018, 7, 13)
libor_dates = [date(2018, 10, 15), date(2019, 1, 15), date(2019, 7, 15)]
libor_dfs = [0.9950, 0.9880, 0.9750]
libor_curve = InterestRateCurve(base_date, libor_dates, libor_dfs)
ois_dates = [date(2018, 7, 15)] + libor_dates
ois_dfs = [0.9999, 0.9945, 0.9900, 0.9800]
ois_curve = InterestRateCurve(base_date, ois_dates, ois_dfs)
return libor_curve, ois_curve
def test_basic(self):
notional = 1e6
start_date = date(2018, 7, 9)
tenor_in_months = 3
rate = 0.05
libor_deposit = LiborDeposit(notional, start_date, tenor_in_months, rate)
end_date = date(2018, 10, 9)
known_df = 1.0 / (1.0 + rate * actual_360.yf(start_date, end_date))
libor_curve = InterestRateCurve(start_date, [end_date], [known_df])
ois_curve = InterestRateCurve(start_date, [end_date], [1.0])
assert(abs(libor_deposit.value(libor_curve, ois_curve)) < 1e-6)
def test_forward():
base_date = date(2018, 7, 13)
dates = [date(2018, 10, 1), date(2019, 1, 1)]
dfs = [0.97, 0.95]
curve = InterestRateCurve(base_date, dates, dfs)
start_date = date(2018, 8, 15)
end_date = date(2018, 10, 15)
start_df = curve.df(start_date)
end_df = curve.df(end_date)
forward = curve.forward(start_date, end_date, actual_360)
yf = actual_360.yf(start_date, end_date)
assert(abs(start_df / (1.0 + forward * yf) - end_df) < 1e-9)
def test_basic(self):
year = 2019
month = 6
edf = EurodollarFuture(year, month)
base_date = date(2018, 7, 13)
start_date = date(2019, 6, 19)
end_date = date(2019, 9, 19)
start_df = 0.90
rate = 0.0150
end_df = start_df / (1.0 + rate * 92.0 / 360.0)
libor_curve = InterestRateCurve(base_date, [start_date, end_date],
[start_df, end_df])
assert(abs(edf.price(libor_curve) - 98.5) < 1e-9)
def test_fixed_leg(self, test_curves):
notional = 1e6
start_date = date(2018, 7, 31)
tenor_in_months = 12
fixed_rate = 0.05
swap = InterestRateSwap(-notional, start_date, tenor_in_months, fixed_rate) # Receive fixed
libor_curve, ois_curve = test_curves
zero_curve = InterestRateCurve(date(2018, 7, 13), [date(2019, 7, 13)], [1.0])
# Note that no date adjustment, so the year-fractions are 0.5.
actual_value = swap.value(zero_curve, libor_curve)
expected_value = notional * fixed_rate * 0.5 * (libor_curve.df(date(2019, 1, 31))
+ libor_curve.df(date(2019, 7, 31)))
assert(abs(actual_value - expected_value) < 1e-9)
actual_value = swap.value(zero_curve, ois_curve)
expected_value = notional * fixed_rate * 0.5 * (ois_curve.df(date(2019, 1, 31))
+ ois_curve.df(date(2019, 7, 31)))
assert(abs(actual_value - expected_value) < 1e-9)
def make_curve(dfs):
return InterestRateCurve(base_date, dates, dfs)
def test_basic():
base_date = date(2018, 7, 9)
three_months = date(2018, 10, 9)
one_year = date(2019, 7, 9)
dates = [three_months, one_year]
dfs = [0.98, 0.90]
curve = InterestRateCurve(base_date, dates, dfs)
with pytest.raises(ValueError):
curve.df(base_date + timedelta(days=-1))
assert(curve.df(base_date) == 1.0)
assert(curve.df(three_months) == 0.98)
assert(curve.df(one_year) == 0.90)
# Two periods within the same PWC period must have the same rate.
date1 = date(2018, 7, 15)
date2 = date(2018, 8, 15)
date3 = date(2018, 8, 30)
rate1 = -log(curve.df(date2) / curve.df(date1)) / actual_365.yf(date1, date2)
rate2 = -log(curve.df(date3) / curve.df(date2)) / actual_365.yf(date2, date3)
assert(abs(rate1 - rate2) < 1e-6)
# And the same over the last period, which goes from
# the *second-last* date onwards.
date1 = date(2019, 3, 9)
date2 = one_year
date3 = date(2019, 12, 9)
rate1 = -log(curve.df(date2) / curve.df(date1)) / actual_365.yf(date1, date2)
rate2 = -log(curve.df(date3) / curve.df(date2)) / actual_365.yf(date2, date3)
assert(abs(rate1 - rate2) < 1e-6)