def example03():
print("example 3:\n")
todays_date = Date(13, 6, 2011)
Settings.instance().evaluation_date = todays_date
quotes = [0.00445, 0.00949, 0.01234, 0.01776, 0.01935, 0.02084]
tenors = [1, 2, 3, 6, 9, 12]
calendar = WeekendsOnly()
deps = [
DepositRateHelper(q, Period(t, Months), 2, calendar, ModifiedFollowing,
False, Actual360()) for q, t in zip(quotes, tenors)
]
quotes = [
0.01652, 0.02018, 0.02303, 0.02525, 0.0285, 0.02931, 0.03017, 0.03092,
0.03160, 0.03231, 0.03367, 0.03419, 0.03411, 0.03411, 0.03412
]
tenors = [2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 15, 20, 25, 30]
swaps = [
SwapRateHelper.from_tenor(q, Period(t, Years), calendar, Annual,
ModifiedFollowing, Thirty360(), Euribor6M(),
SimpleQuote(0))
for q, t in zip(quotes, tenors)
]
yield_helpers = deps + swaps
isda_yts = PiecewiseYieldCurve(BootstrapTrait.Discount,
Interpolator.LogLinear, 0, WeekendsOnly(),
yield_helpers, Actual365Fixed())
spreads = [0.007927, 0.012239, 0.016979, 0.019271, 0.020860]
tenors = [1, 3, 5, 7, 10]
spread_helpers = [SpreadCdsHelper(0.007927, Period(6, Months), 1,
WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
Actual360(), 0.4, isda_yts, True, True,
Date(), Actual360(True), True, PricingModel.ISDA)] + \
[SpreadCdsHelper(s, Period(t, Years), 1, WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
Actual360(), 0.4, isda_yts, True, True, Date(), Actual360(True), True,
PricingModel.ISDA)
for s, t in zip(spreads, tenors)]
isda_cts = PiecewiseDefaultCurve(ProbabilityTrait.SurvivalProbability,
Interpolator.LogLinear, 0, WeekendsOnly(),
spread_helpers, Actual365Fixed())
isda_pricer = IsdaCdsEngine(isda_cts, 0.4, isda_yts)
print("Isda yield curve:")
for h in yield_helpers:
d = h.latest_date
t = isda_yts.time_from_reference(d)
print(d, t, isda_yts.zero_rate(d, Actual365Fixed()).rate)
print()
print("Isda credit curve:")
for h in spread_helpers:
d = h.latest_date
t = isda_cts.time_from_reference(d)
print(d, t, isda_cts.survival_probability(d))
def test_piecewise_methods(self):
for trait in ['HazardRate', 'DefaultDensity', 'SurvivalProbability']:
for interpolator in ['Linear', 'LogLinear', 'BackwardFlat']:
curve = PiecewiseDefaultCurve(
trait,
interpolator,
reference_date=self.todays_date,
helpers=[self.helper],
daycounter=Actual365Fixed()
)
if interpolator == "LogLinear" and trait in ["HazardRate",
"DefaultDensity"]:
with self.assertRaisesRegexp(RuntimeError,
'LogInterpolation primitive not implemented'):
curve.survival_probability(self.d)
else:
self.assertEqual(curve.survival_probability(self.d),
curve.survival_probability(curve.time_from_reference(self.d)))
self.assertEqual(curve.hazard_rate(self.d),
curve.hazard_rate(curve.time_from_reference(self.d)))
def example03():
print("example 3:\n")
todays_date = Date(13, 6, 2011)
Settings.instance().evaluation_date = todays_date
quotes = [0.00445, 0.00949, 0.01234, 0.01776, 0.01935, 0.02084]
tenors = [1, 2, 3, 6, 9, 12]
calendar = WeekendsOnly()
deps = [DepositRateHelper(q, Period(t, Months), 2, calendar, ModifiedFollowing, False, Actual360())
for q, t in zip(quotes, tenors)]
quotes = [0.01652, 0.02018, 0.02303, 0.02525, 0.0285, 0.02931, 0.03017, 0.03092, 0.03160, 0.03231,
0.03367, 0.03419, 0.03411, 0.03411, 0.03412]
tenors = [2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 15, 20, 25, 30]
swaps = [SwapRateHelper.from_tenor(q, Period(t, Years),
calendar, Annual, ModifiedFollowing,
Thirty360(), Euribor6M(), SimpleQuote(0)) for q, t
in zip(quotes, tenors)]
yield_helpers = deps + swaps
isda_yts = PiecewiseYieldCurve(BootstrapTrait.Discount, Interpolator.LogLinear, 0,
WeekendsOnly(), yield_helpers, Actual365Fixed())
spreads = [0.007927, 0.012239, 0.016979, 0.019271, 0.020860]
tenors = [1, 3, 5, 7, 10]
spread_helpers = [SpreadCdsHelper(0.007927, Period(6, Months), 1,
WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
Actual360(), 0.4, isda_yts, True, True,
Date(), Actual360(True), True, PricingModel.ISDA)] + \
[SpreadCdsHelper(s, Period(t, Years), 1, WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
Actual360(), 0.4, isda_yts, True, True, Date(), Actual360(True), True,
PricingModel.ISDA)
for s, t in zip(spreads, tenors)]
isda_cts = PiecewiseDefaultCurve(ProbabilityTrait.SurvivalProbability,
Interpolator.LogLinear, 0, WeekendsOnly(), spread_helpers,
Actual365Fixed())
isda_pricer = IsdaCdsEngine(isda_cts, 0.4, isda_yts)
print("Isda yield curve:")
for h in yield_helpers:
d = h.latest_date
t = isda_yts.time_from_reference(d)
print(d, t, isda_yts.zero_rate(d, Actual365Fixed()).rate)
print()
print("Isda credit curve:")
for h in spread_helpers:
d = h.latest_date
t = isda_cts.time_from_reference(d)
print(d, t, isda_cts.survival_probability(d))
