def test_creation(self):
# Market information
settings = Settings(calendar = TARGET())
calendar = settings.calendar
settlement_date = Date(18, September, 2008)
# must be a business day
settlement_date = calendar.adjust(settlement_date);
# must be a business day
settings.evaluation_date = pydate_from_qldate(
calendar.advance(settlement_date, -2, Days)
)
quotes = [0.0096, 0.0145, 0.0194]
tenors = [3, 6, 12]
rate_helpers = []
deposit_day_counter = Actual365Fixed()
convention = ModifiedFollowing
end_of_month = True
for quote, month in zip(quotes, tenors):
tenor = Period(month, Months)
fixing_days = 3
helper = DepositRateHelper(
quote, tenor, fixing_days, calendar, convention, end_of_month,
deposit_day_counter
)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory(
'discount', 'loglinear', settlement_date, rate_helpers,
ts_day_counter, tolerance
)
self.assertIsNotNone(ts)
self.assertEquals( Date(18, September, 2008), ts.reference_date)
# this is not a real test ...
self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4)
def test_creation(self):
# Market information
settings = Settings(calendar=TARGET())
calendar = settings.calendar
settlement_date = Date(18, September, 2008)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
# must be a business day
settings.evaluation_date = pydate_from_qldate(
calendar.advance(settlement_date, -2, Days))
quotes = [0.0096, 0.0145, 0.0194]
tenors = [3, 6, 12]
rate_helpers = []
deposit_day_counter = Actual365Fixed()
convention = ModifiedFollowing
end_of_month = True
for quote, month in zip(quotes, tenors):
tenor = Period(month, Months)
fixing_days = 3
helper = DepositRateHelper(quote, tenor, fixing_days, calendar,
convention, end_of_month,
deposit_day_counter)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory('discount', 'loglinear', settlement_date,
rate_helpers, ts_day_counter, tolerance)
self.assertIsNotNone(ts)
self.assertEquals(Date(18, September, 2008), ts.reference_date)
# this is not a real test ...
self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4)
def test_deposit_swap(self):
# Market information
settings = Settings(calendar=TARGET())
calendar = settings.calendar
# must be a business day
eval_date = qldate_from_pydate(settings.today())
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
depositData = [[1, Months, 4.581], [2, Months, 4.573],
[3, Months, 4.557], [6, Months, 4.496],
[9, Months, 4.490]]
swapData = [[1, Years, 4.54], [5, Years, 4.99], [10, Years, 5.47],
[20, Years, 5.89], [30, Years, 5.96]]
rate_helpers = []
end_of_month = True
for m, period, rate in depositData:
tenor = Period(m, Months)
helper = DepositRateHelper(rate / 100, tenor, settlement_days,
calendar, ModifiedFollowing,
end_of_month, Actual360())
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360())
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, rate in swapData:
rate = SimpleQuote(rate / 100)
helper = SwapRateHelper(rate, Period(m, Years), calendar, Annual,
Unadjusted, Thirty360(), liborIndex,
spread, fwdStart)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory('discount', 'loglinear', settlement_date,
rate_helpers, ts_day_counter, tolerance)
# this is not a real test ...
self.assertAlmostEquals(
0.9103, ts.discount(calendar.advance(today(), 2, Years)), 3)
self.assertAlmostEquals(
0.7836, ts.discount(calendar.advance(today(), 5, Years)), 3)
self.assertAlmostEquals(
0.5827, ts.discount(calendar.advance(today(), 10, Years)), 3)
self.assertAlmostEquals(
0.4223, ts.discount(calendar.advance(today(), 15, Years)), 3)
def test_deposit_swap(self):
# Market information
settings = Settings(calendar = TARGET())
calendar = settings.calendar
# must be a business day
eval_date = qldate_from_pydate(settings.today())
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date);
depositData = [[ 1, Months, 4.581 ],
[ 2, Months, 4.573 ],
[ 3, Months, 4.557 ],
[ 6, Months, 4.496 ],
[ 9, Months, 4.490 ]]
swapData = [[ 1, Years, 4.54 ],
[ 5, Years, 4.99 ],
[ 10, Years, 5.47 ],
[ 20, Years, 5.89 ],
[ 30, Years, 5.96 ]]
rate_helpers = []
end_of_month = True
for m, period, rate in depositData:
tenor = Period(m, Months)
helper = DepositRateHelper(rate/100, tenor, settlement_days,
calendar, ModifiedFollowing, end_of_month,
Actual360())
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360())
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, rate in swapData:
rate = SimpleQuote(rate/100)
helper = SwapRateHelper(rate, Period(m, Years),
calendar, Annual,
Unadjusted, Thirty360(),
liborIndex, spread, fwdStart)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory(
'discount', 'loglinear', settlement_date, rate_helpers,
ts_day_counter, tolerance)
# this is not a real test ...
self.assertAlmostEquals(0.9103,
ts.discount(calendar.advance(today(), 2, Years)),3)
self.assertAlmostEquals(0.7836,
ts.discount(calendar.advance(today(), 5, Years)),3)
self.assertAlmostEquals(0.5827,
ts.discount(calendar.advance(today(), 10, Years)),3)
self.assertAlmostEquals(0.4223,
ts.discount(calendar.advance(today(), 15, Years)),3)