from pybg import get_eval_date, set_eval_date
import pybg.ql as ql
from datetime import date
import pybg
fn = pybg.__file__
print("File: %s " % fn)
evaldate = date(2004, 9, 20)
set_eval_date(evaldate)
print("date: {}".format(get_eval_date()))
futtenors, futspots = (
("ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7", "ED8"),
(96.2875, 96.7875, 96.9875, 96.6875, 96.4875, 96.3875, 96.2875, 96.0875)
)
depotenors, depospots = (
("1W", "1M", "3M", "6M", "9M", "1y"),
(.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345)
)
swaptenors, swapspots = (
("2y", "3y", "5y", "10Y", "15Y"),
(0.037125, 0.0398, 0.0443, 0.05165, 0.055175)
)
futures = dict(zip(futtenors, futspots))
daycounter=dc30360
)
cb.oasEngine(rh, 0., .2017, True)
prc_cb = cb.oasValue(0.0, .2017)
print("Call bond value: {0:.3f}".format(prc_cb))
prc = cb.toPrice()
yld = cb.toYield(prc)
print("Call bond value: {0:.3f}, {1:.3%}".format(prc, yld))
print("\n\nreset date and try after-tax")
set_eval_date(20130130)
print("date: {}\ncusip: 64966FMG6".format(get_eval_date()))
nyc = C.CallBond(.05,
date(2016, 9, 1),
date(2015, 9, 1), 100., date(2015,9,1),
date(2005,9,22),
.04,
calendar=uscal,
daycounter=dc30360
)
atyPx = nyc.atyToPrice(.07, capgains=.238, ordinc=.434)
print("7% aty to price (bbg=90.561): {}".format(atyPx))
'25Y': 0.023115,
'2Y': 0.005003,
'30Y': 0.02366,
'3Y': 0.00568,
'40Y': 0.023895,
'4Y': 0.007007,
'5Y': 0.008685,
'6Y': 0.010549,
'7Y': 0.012316,
'8Y': 0.01387,
'9Y': 0.015218}
print("\nSetting eval date: %s" % dt0)
set_eval_date(dt0)
print("eval date used: {}".format(get_eval_date()))
rh = curves.RateHelperCurve(USDLiborCurve("3M"))
rh.update(depos, {}, swaps, get_eval_date())
govbondcurve = curves.CurveBase(pybg.enums.Calendars.UnitedStates(pybg.enums.Calendars.GOVERNMENTBOND),
1,
pybg.enums.DayCounters.Actual360(),
pybg.enums.Frequencies.Semiannual,
pybg.enums.BusinessDayConventions.ModifiedFollowing,
pybg.enums.DayCounters.ActualActual(pybg.enums.DayCounters.Bond),
pybg.enums.DayCounters.ActualActual(pybg.enums.DayCounters.ISDA)
)
bcrv = curves.BondCurve(govbondcurve)
calendar=uscal,
daycounter=dc30360)
cb.oasEngine(rh, 0., .2017, True)
prc_cb = cb.oasValue(0.0, .2017)
print("Call bond value: {0:.3f}".format(prc_cb))
prc = cb.toPrice()
yld = cb.toYield(prc)
print("Call bond value: {0:.3f}, {1:.3%}".format(prc, yld))
print("\n\nreset date and try after-tax")
set_eval_date(20130130)
print("date: {}\ncusip: 64966FMG6".format(get_eval_date()))
nyc = C.CallBond(.05,
date(2016, 9, 1),
date(2015, 9, 1),
100.,
date(2015, 9, 1),
date(2005, 9, 22),
.04,
calendar=uscal,
daycounter=dc30360)
atyPx = nyc.atyToPrice(.07, capgains=.238, ordinc=.434)
print("7% aty to price (bbg=90.561): {}".format(atyPx))
