def test_excel_example_with_zero_coupon_bond(self):
todays_date = Date(25, August, 2011)
settlement_days = 3
face_amount = 100
calendar = TARGET()
maturity_date = Date(26, February, 2024)
bond = ZeroCouponBond(settlement_days, calendar, face_amount,
maturity_date, Following, 100.0, todays_date)
discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.044,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
discounting_term_structure.link_to(flat_term_structure)
engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(engine)
self.assertEquals(calendar.advance(todays_date, 3, Days),
bond.settlement_date())
self.assertEquals(0., bond.accrued_amount(bond.settlement_date()))
self.assertAlmostEquals(57.6915, bond.clean_price, 4)
def test_clean_price(self):
notional = 1000000.0
fixed_rates = [0.1]
fixed_day_count = Actual365Fixed()
fixed_calendar = self.calendar
fixed_index = self.ii
contractObservationLag = Period(3, Months)
observationInterpolation = InterpolationType.Flat
settlement_days = 3
growth_only = True
baseCPI = 206.1
fixed_schedule = Schedule.from_rule(Date(2, 10,
2007), Date(2, 10, 2052),
Period(6, Months), fixed_calendar,
Unadjusted, Rule.Backward)
cpi_bond = CPIBond(settlement_days, notional, growth_only, baseCPI,
contractObservationLag, fixed_index,
observationInterpolation, fixed_schedule,
fixed_rates, fixed_day_count, ModifiedFollowing)
engine = DiscountingBondEngine(self.yts)
cpi_bond.set_pricing_engine(engine)
set_coupon_pricer(cpi_bond.cashflows, CPICouponPricer(self.yts))
storedPrice = 383.01816406
calculated = cpi_bond.clean_price
self.assertAlmostEqual(storedPrice, calculated)
def test_excel_example_with_fixed_rate_bond(self):
'''Port the QuantLib Excel adding bond example to Python. '''
todays_date = Date(25, August, 2011)
settings = Settings()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(effective_date,
10,
Years,
convention=Unadjusted)
settlement_days = 3
face_amount = 100.0
coupon_rate = 0.05
redemption = 100.0
fixed_bond_schedule = Schedule.from_rule(effective_date,
termination_date,
Period(Annual), calendar,
ModifiedFollowing,
ModifiedFollowing, Backward)
issue_date = effective_date
bond = FixedRateBond(settlement_days, face_amount,
fixed_bond_schedule, [coupon_rate],
ActualActual(ISMA), Following, redemption,
issue_date)
discounting_term_structure = YieldTermStructure()
flat_term_structure = FlatForward(settlement_days=1,
forward=0.044,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
discounting_term_structure.link_to(flat_term_structure)
engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(engine)
self.assertEqual(Date(10, Jul, 2016), termination_date)
self.assertEqual(calendar.advance(todays_date, 3, Days),
bond.settlement_date())
self.assertEqual(Date(11, Jul, 2016), bond.maturity_date)
self.assertAlmostEqual(0.6849,
bond.accrued_amount(bond.settlement_date()), 4)
self.assertAlmostEqual(102.1154, bond.clean_price, 4)
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 _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date, period,
basis, compounding_frequency):
"""
Clean price and accrued interest of a bond
"""
_period = str_to_frequency(period)
evaluation_date = pydate_to_qldate(pricing_date)
settings = Settings()
settings.evaluation_date = evaluation_date
calendar = TARGET()
termination_date = pydate_to_qldate(maturity_date)
# effective date must be before settlement date, but do not
# care about exact issuance date of bond
effective_date = Date(termination_date.day, termination_date.month,
evaluation_date.year)
effective_date = calendar.advance(effective_date,
-1,
Years,
convention=Unadjusted)
settlement_date = calendar.advance(evaluation_date,
2,
Days,
convention=ModifiedFollowing)
face_amount = 100.0
redemption = 100.0
fixed_bond_schedule = Schedule(effective_date, termination_date,
Period(_period), calendar,
ModifiedFollowing, ModifiedFollowing,
Backward)
issue_date = effective_date
cnt = DayCounter.from_name(basis)
settlement_days = 2
bond = FixedRateBond(settlement_days, face_amount, fixed_bond_schedule,
[coupon_rate], cnt, Following, redemption, issue_date)
discounting_term_structure = YieldTermStructure(relinkable=True)
cnt_yield = DayCounter.from_name('Actual/Actual (Historical)')
flat_term_structure = FlatForward(settlement_days=2,
forward=bond_yield,
calendar=NullCalendar(),
daycounter=cnt_yield,
compounding=Compounded,
frequency=_period)
discounting_term_structure.link_to(flat_term_structure)
engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(engine)
price = bond.clean_price
ac = bond.accrued_amount(pydate_to_qldate(settlement_date))
return (price, ac)
settlement_days = 3
face_amount = 100.0
coupon_rate = 0.05
redemption = 100.0
fixed_bond_schedule = Schedule(effective_date, termination_date,
Period(Annual), calendar, ModifiedFollowing,
ModifiedFollowing, Backward)
issue_date = effective_date
bond = FixedRateBond(settlement_days,
face_amount, fixed_bond_schedule, [coupon_rate],
ActualActual(ISMA), Following, redemption, issue_date)
discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.044,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
discounting_term_structure.link_to(flat_term_structure)
pricing_engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(pricing_engine)
print('Settlement date: ', bond.settlement_date())
print('Maturity date:', bond.maturity_date)
print('Accrued amount: ', bond.accrued_amount(bond.settlement_date()))
print('Clean price:', bond.clean_price)
def test_excel_example_with_floating_rate_bond(self):
todays_date = Date(25, August, 2011)
settings = Settings()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(effective_date,
10,
Years,
convention=Unadjusted)
settlement_date = calendar.adjust(Date(28, January, 2011))
settlement_days = 3 #1
face_amount = 13749769.27 #2
coupon_rate = 0.05
redemption = 100.0
float_bond_schedule = Schedule(effective_date, termination_date,
Period(Annual), calendar,
ModifiedFollowing, ModifiedFollowing,
Backward) #3
flat_discounting_term_structure = YieldTermStructure(relinkable=True)
forecastTermStructure = YieldTermStructure(relinkable=True)
dc = Actual360()
ibor_index = Euribor6M(forecastTermStructure) #5
fixing_days = 2 #6
gearings = [1, 0.0] #7
spreads = [1, 0.05] #8
caps = [] #9
floors = [] #10
pmt_conv = ModifiedFollowing #11
issue_date = effective_date
float_bond = FloatingRateBond(settlement_days, face_amount,
float_bond_schedule, ibor_index, dc,
fixing_days, gearings, spreads, caps,
floors, pmt_conv, redemption, issue_date)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.055,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
flat_discounting_term_structure.link_to(flat_term_structure)
forecastTermStructure.link_to(flat_term_structure)
engine = DiscountingBondEngine(flat_discounting_term_structure)
float_bond.set_pricing_engine(engine)
cons_option_vol = ConstantOptionletVolatility(settlement_days,
UnitedStates(SETTLEMENT),
pmt_conv, 0.95,
Actual365Fixed())
coupon_pricer = BlackIborCouponPricer(cons_option_vol)
set_coupon_pricer(float_bond, coupon_pricer)
self.assertEquals(Date(10, Jul, 2016), termination_date)
self.assertEquals(calendar.advance(todays_date, 3, Days),
float_bond.settlement_date())
self.assertEquals(Date(11, Jul, 2016), float_bond.maturity_date)
self.assertAlmostEqual(
0.6944, float_bond.accrued_amount(float_bond.settlement_date()), 4)
self.assertAlmostEqual(98.2485, float_bond.dirty_price, 4)
self.assertAlmostEqual(13500805.2469, float_bond.npv, 4)
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])
