def test_bucket_analysis_option(self):
settings = Settings()
calendar = TARGET()
todays_date = Date(15, May, 1998)
settlement_date = Date(17, May, 1998)
settings.evaluation_date = todays_date
option_type = Put
underlying = 40
strike = 40
dividend_yield = 0.00
risk_free_rate = 0.001
volatility = 0.20
maturity = Date(17, May, 1999)
daycounter = Actual365Fixed()
underlyingH = SimpleQuote(underlying)
payoff = PlainVanillaPayoff(option_type, strike)
flat_term_structure = FlatForward(reference_date=settlement_date,
forward=risk_free_rate,
daycounter=daycounter)
flat_dividend_ts = FlatForward(reference_date=settlement_date,
forward=dividend_yield,
daycounter=daycounter)
flat_vol_ts = BlackConstantVol(settlement_date, calendar, volatility,
daycounter)
black_scholes_merton_process = BlackScholesMertonProcess(
underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts)
european_exercise = EuropeanExercise(maturity)
european_option = VanillaOption(payoff, european_exercise)
analytic_european_engine = AnalyticEuropeanEngine(
black_scholes_merton_process)
european_option.set_pricing_engine(analytic_european_engine)
ba_eo = bucket_analysis([[underlyingH]], [european_option], [1], 0.50,
1)
self.assertTrue(2, ba_eo)
self.assertTrue(type(tuple), ba_eo)
self.assertEqual(1, len(ba_eo[0][0]))
self.assertAlmostEqual(-0.4582666150152517, ba_eo[0][0][0])
def test_bucketanalysis_bond(self):
face_amount = 100.0
redemption = 100.0
issue_date = Date(27, January, 2011)
maturity_date = Date(1, January, 2021)
coupon_rate = 0.055
fixed_bond_schedule = Schedule.from_rule(
issue_date,
maturity_date,
Period(Semiannual),
UnitedStates(market=GovernmentBond),
Unadjusted,
Unadjusted,
Backward,
False)
bond = FixedRateBond(
self.settlement_days,
face_amount,
fixed_bond_schedule,
[coupon_rate],
ActualActual(Bond),
Unadjusted,
redemption,
issue_date
)
pricing_engine = DiscountingBondEngine(self.ts)
bond.set_pricing_engine(pricing_engine)
self.assertAlmostEqual(bond.npv, 100.82127876105724)
quotes = [rh.quote for rh in self.rate_helpers]
delta, gamma = bucket_analysis(quotes, [bond])
self.assertEqual(len(quotes), len(delta))
old_values = [q.value for q in quotes]
delta_manual = []
gamma_manual = []
pv = bond.npv
shift = 1e-4
for v, q in zip(old_values, quotes):
q.value = v + shift
pv_plus = bond.npv
q.value = v - shift
pv_minus = bond.npv
delta_manual.append((pv_plus - pv_minus) * 0.5 / shift)
gamma_manual.append((pv_plus - 2 * pv + pv_minus) / shift ** 2)
q.value = v
assert_allclose(delta, delta_manual)
assert_allclose(gamma, gamma_manual, atol=1e-4)
def test_bucket_analysis_option(self):
settings = Settings()
calendar = TARGET()
todays_date = Date(15, May, 1998)
settlement_date = Date(17, May, 1998)
settings.evaluation_date = todays_date
option_type = Put
underlying = 40
strike = 40
dividend_yield = 0.00
risk_free_rate = 0.001
volatility = SimpleQuote(0.20)
maturity = Date(17, May, 1999)
daycounter = Actual365Fixed()
underlyingH = SimpleQuote(underlying)
payoff = PlainVanillaPayoff(option_type, strike)
flat_term_structure = FlatForward(reference_date=settlement_date,
forward=risk_free_rate,
daycounter=daycounter)
flat_dividend_ts = FlatForward(reference_date=settlement_date,
forward=dividend_yield,
daycounter=daycounter)
flat_vol_ts = BlackConstantVol(settlement_date, calendar, volatility,
daycounter)
black_scholes_merton_process = BlackScholesMertonProcess(
underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts)
european_exercise = EuropeanExercise(maturity)
european_option = VanillaOption(payoff, european_exercise)
analytic_european_engine = AnalyticEuropeanEngine(
black_scholes_merton_process)
european_option.set_pricing_engine(analytic_european_engine)
delta, gamma = bucket_analysis([underlyingH, volatility],
[european_option],
shift=1e-4,
type=Centered)
self.assertAlmostEqual(delta[0], european_option.delta)
self.assertAlmostEqual(delta[1], european_option.vega)
self.assertAlmostEqual(gamma[0], european_option.gamma, 5)
def test_bucketanalysis_bond(self):
settings = Settings()
calendar = TARGET()
settlement_date = calendar.adjust(Date(28, January, 2011))
simple_quotes = []
fixing_days = 1
settlement_days = 1
todays_date = calendar.advance(
settlement_date, -fixing_days, Days
)
settings.evaluation_date = todays_date
face_amount = 100.0
redemption = 100.0
issue_date = Date(27, January, 2011)
maturity_date = Date(1, January, 2021)
coupon_rate = 0.055
bond_yield = 0.034921
flat_discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(
reference_date = settlement_date,
forward = bond_yield,
daycounter = Actual365Fixed(),
compounding = Compounded,
frequency = Semiannual)
flat_discounting_term_structure.link_to(flat_term_structure)
fixed_bond_schedule = Schedule(
issue_date,
maturity_date,
Period(Semiannual),
UnitedStates(market=GOVERNMENTBOND),
Unadjusted,
Unadjusted,
Backward,
False);
bond = FixedRateBond(
settlement_days,
face_amount,
fixed_bond_schedule,
[coupon_rate],
ActualActual(Bond),
Unadjusted,
redemption,
issue_date
)
zspd=bf.zSpread(bond, 100.0, flat_term_structure, Actual365Fixed(),
Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5)
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)
sq_rate = SimpleQuote(rate/100)
helper = DepositRateHelper(sq_rate,
tenor,
settlement_days,
calendar,
ModifiedFollowing,
end_of_month,
Actual360())
simple_quotes.append(sq_rate)
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360(),
YieldTermStructure(relinkable=False))
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, rate in swapData:
sq_rate = SimpleQuote(rate/100)
helper = SwapRateHelper.from_tenor(
sq_rate, Period(m, Years), calendar, Annual, Unadjusted, Thirty360(), liborIndex,
spread, fwdStart
)
simple_quotes.append(sq_rate)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve(
'discount', 'loglinear', settlement_date, rate_helpers,
ts_day_counter, tolerance)
discounting_term_structure = YieldTermStructure(relinkable=True)
discounting_term_structure.link_to(ts)
pricing_engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(pricing_engine)
self.assertAlmostEqual(bond.npv, 100.83702940160767)
ba = bucket_analysis([simple_quotes], [bond], [1], 0.0001, 1)
self.assertTrue(2, ba)
self.assertTrue(type(tuple), ba)
self.assertEqual(len(simple_quotes), len(ba[0][0]))
self.assertEqual(0, ba[0][0][8])
def test_bucket_analysis_option(self):
settings = Settings()
calendar = TARGET()
todays_date = Date(15, May, 1998)
settlement_date = Date(17, May, 1998)
settings.evaluation_date = todays_date
option_type = Put
underlying = 40
strike = 40
dividend_yield = 0.00
risk_free_rate = 0.001
volatility = 0.20
maturity = Date(17, May, 1999)
daycounter = Actual365Fixed()
underlyingH = SimpleQuote(underlying)
payoff = PlainVanillaPayoff(option_type, strike)
flat_term_structure = FlatForward(
reference_date = settlement_date,
forward = risk_free_rate,
daycounter = daycounter
)
flat_dividend_ts = FlatForward(
reference_date = settlement_date,
forward = dividend_yield,
daycounter = daycounter
)
flat_vol_ts = BlackConstantVol(
settlement_date,
calendar,
volatility,
daycounter
)
black_scholes_merton_process = BlackScholesMertonProcess(
underlyingH,
flat_dividend_ts,
flat_term_structure,
flat_vol_ts
)
european_exercise = EuropeanExercise(maturity)
european_option = VanillaOption(payoff, european_exercise)
analytic_european_engine = AnalyticEuropeanEngine(
black_scholes_merton_process
)
european_option.set_pricing_engine(analytic_european_engine)
ba_eo= bucket_analysis(
[[underlyingH]], [european_option], [1], 0.50, 1)
self.assertTrue(2, ba_eo)
self.assertTrue(type(tuple), ba_eo)
self.assertEqual(1, len(ba_eo[0][0]))
self.assertEqual(-0.4582666150152517, ba_eo[0][0][0])
def test_bucketanalysis_bond(self):
settings = Settings()
calendar = TARGET()
settlement_date = calendar.adjust(Date(28, January, 2011))
simple_quotes = []
fixing_days = 1
settlement_days = 1
todays_date = calendar.advance(settlement_date, -fixing_days, Days)
settings.evaluation_date = todays_date
face_amount = 100.0
redemption = 100.0
issue_date = Date(27, January, 2011)
maturity_date = Date(1, January, 2021)
coupon_rate = 0.055
bond_yield = 0.034921
flat_discounting_term_structure = YieldTermStructure()
flat_term_structure = FlatForward(reference_date=settlement_date,
forward=bond_yield,
daycounter=Actual365Fixed(),
compounding=Compounded,
frequency=Semiannual)
flat_discounting_term_structure.link_to(flat_term_structure)
fixed_bond_schedule = Schedule.from_rule(
issue_date, maturity_date, Period(Semiannual),
UnitedStates(market=GovernmentBond), Unadjusted, Unadjusted,
Backward, False)
bond = FixedRateBond(settlement_days, face_amount,
fixed_bond_schedule, [coupon_rate],
ActualActual(Bond), Unadjusted, redemption,
issue_date)
zspd = bf.zSpread(bond, 100.0, flat_term_structure, Actual365Fixed(),
Compounded, Semiannual, settlement_date, 1e-6, 100,
0.5)
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)
sq_rate = SimpleQuote(rate / 100)
helper = DepositRateHelper(sq_rate, tenor, settlement_days,
calendar, ModifiedFollowing,
end_of_month, Actual360())
simple_quotes.append(sq_rate)
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:
sq_rate = SimpleQuote(rate / 100)
helper = SwapRateHelper.from_tenor(sq_rate, Period(m, Years),
calendar, Annual, Unadjusted,
Thirty360(), liborIndex, spread,
fwdStart)
simple_quotes.append(sq_rate)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve.from_reference_date(BootstrapTrait.Discount,
Interpolator.LogLinear,
settlement_date,
rate_helpers,
ts_day_counter, tolerance)
discounting_term_structure = YieldTermStructure()
discounting_term_structure.link_to(ts)
pricing_engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(pricing_engine)
self.assertAlmostEqual(bond.npv, 100.83702940160767)
ba = bucket_analysis([simple_quotes], [bond], [1], 0.0001, 1)
self.assertTrue(2, ba)
self.assertTrue(type(tuple), ba)
self.assertEqual(len(simple_quotes), len(ba[0][0]))
self.assertEqual(0, ba[0][0][8])
def test_bucket_analysis_option(self):
settings = Settings()
calendar = TARGET()
todays_date = Date(15, May, 1998)
settlement_date = Date(17, May, 1998)
settings.evaluation_date = todays_date
option_type = Put
underlying = 40
strike = 40
dividend_yield = 0.00
risk_free_rate = 0.001
volatility = SimpleQuote(0.20)
maturity = Date(17, May, 1999)
daycounter = Actual365Fixed()
underlyingH = SimpleQuote(underlying)
payoff = PlainVanillaPayoff(option_type, strike)
flat_term_structure = FlatForward(
reference_date = settlement_date,
forward = risk_free_rate,
daycounter = daycounter
)
flat_dividend_ts = FlatForward(
reference_date = settlement_date,
forward = dividend_yield,
daycounter = daycounter
)
flat_vol_ts = BlackConstantVol(
settlement_date,
calendar,
volatility,
daycounter
)
black_scholes_merton_process = BlackScholesMertonProcess(
underlyingH,
flat_dividend_ts,
flat_term_structure,
flat_vol_ts
)
european_exercise = EuropeanExercise(maturity)
european_option = VanillaOption(payoff, european_exercise)
analytic_european_engine = AnalyticEuropeanEngine(
black_scholes_merton_process
)
european_option.set_pricing_engine(analytic_european_engine)
delta, gamma = bucket_analysis(
[underlyingH, volatility], [european_option], shift=1e-4,
type=Centered)
self.assertAlmostEqual(delta[0], european_option.delta)
self.assertAlmostEqual(delta[1], european_option.vega)
self.assertAlmostEqual(gamma[0], european_option.gamma, 5)
