def createBondAndEquityPortfolio(self):
portfolio = Portfolio()
position = EquityPosition.EquityPosition(95,'TEST1')
portfolio.addPosition(position)
position = BondPosition.BondPosition(100,'TEST1')
portfolio.addPosition(position)
return portfolio
def testTEST1PortfolioTEST1EquityCorrelation(self):
pricingDate = self.pricingDate
QuantLib.Settings.instance().evaluationDate = pricingDate.ql()
portfolio1 = Portfolio.objects.get(name='TEST1', user='******')
modelPositions = portfolio1.modelposition_set.filter(asOf=pricingDate)
for modelPosition in modelPositions:
position = CreatePosition(modelPosition)
portfolio1.addPosition(position)
# for p in portfolio1.positions:
# print "************************************** %s" % str(p)
timePeriods = VARUtilities.VARTimePeriodsAndSteps()
timePeriods.generate(start = Date.Date(month=8,day=30,year=2011),
end = self.pricingDate,
num = 1, term = Enum.TimePeriod('D'),
calendar = Calendar.US())
analysis1 = HistoricalVAR.HistoricalVAR(pricingDate=pricingDate,
portfolio=portfolio1,
timeSteps=timePeriods,
confidenceInterval=0.95,
marketId='TEST1')
analysis1.run()
pnls1 = analysis1.getPnLList()
portfolio2 = Portfolio()
modelPosition = ModelPosition(portfolio=portfolio2,
positionType=PositionType('EQUITY'),
ticker='TEST1',
amount=110,
asOf=pricingDate)
portfolio2.addPosition(CreatePosition(modelPosition))
analysis2 = HistoricalVAR.HistoricalVAR(pricingDate=pricingDate,
portfolio=portfolio2,
timeSteps=timePeriods,
confidenceInterval=0.95,
marketId='TEST1')
analysis2.run()
pnls2 = analysis2.getPnLList()
# print portfolio1.positions
# print '********************************\n'
# for p in portfolio1.positions:
# print p
# print '********************************\n'
# print portfolio2.positions
# for p in portfolio2.positions:
# print p
# print '********************************\n'
# print pnls1
# print pnls2
# v1 = [pnl[1] for pnl in pnls1]
# v2 = [pnl[1] for pnl in pnls2]
# v1 = v1[1:]
# v2 = v2[1:]
# print v1
# print v2
pearsonCorr = pearsonr(pnls1,pnls2)
# print '3: ' + str(pearsonCorr[0])
self.failIf(abs(0.655160228007 - pearsonCorr[0]) > 0.0000001,
'Pearson Correlation for TEST1 portfolio vs TEST1 stock incorrect')
def testOneBondAndOneEquity(self):
marketDataContainer = MarketDataContainer.MarketDataContainer()
stock = EquityPosition.EquityPosition(100,'TEST1')
marketDataContainer.add(stock.marketData(pricingDate=self.pricingDate, marketId=self.marketId))
stock.marketDataContainer = marketDataContainer
bond = BondPosition.BondPosition(10000, 'TEST1')
marketDataContainer.add(bond.marketData(self.pricingDate, self.marketId))
bond.marketDataContainer = marketDataContainer
portfolio = Portfolio()
portfolio.addPosition(stock)
portfolio.addPosition(bond)
# print stock.NPV(self.pricingDate, self.marketId)
# print bond.NPV(self.pricingDate, self.marketId)
#print round(portfolio.NPV(pricingDate=self.pricingDate, marketId=self.marketId),2)
self.failIf(round(portfolio.NPV(pricingDate=self.pricingDate, marketId=self.marketId),2) <> 1012696.1)
def main():
print 'Start'
pricingDate = Date(month=9, day=12, year=2011)
portfolio =Portfolio()
QuantLib.Settings.instance().evaluationDate = pricingDate.ql()
pos1 = BondPosition(100, 'TEST1')
pos2 = EquityPosition(100,'TEST1')
portfolio.addPosition(pos1)
portfolio.addPosition(pos2)
timePeriods = VARUtilities.VARTimePeriodsAndSteps()
timePeriods.generate(start=Date(month=8,day=30,year=2011),
end=Date(month=9,day=12,year=2011), num=1,
term=TimePeriod('D').ql(),
calendar=Calendar.US())
#print 'timePeriods: ' + str(timePeriods)
analysis = HistoricalVAR(pricingDate=pricingDate, portfolio=portfolio, timeSteps=timePeriods,
confidenceInterval=0.95, marketId='TEST1')
print 'HVaR = %f' % analysis.run()
print 'End'
def testOneBondAndOneEquityOver10Days(self):
portfolio = Portfolio()
portfolio.addPosition(BondPosition.BondPosition(100,'TEST1'))
portfolio.addPosition(EquityPosition.EquityPosition(100,'TEST1'))
pricingDate = self.pricingDate
QuantLib.Settings.instance().evaluationDate = pricingDate.ql()
timePeriods = VARUtilities.VARTimePeriodsAndSteps()
timePeriods.generate(start = Date.Date(month=8,day=30,year=2011),
end = self.pricingDate,
num = 1, term = Enum.TimePeriod('D'),
calendar = Calendar.US())
analysis = HistoricalVAR.HistoricalVAR(pricingDate=pricingDate,
portfolio=portfolio,
timeSteps=timePeriods,
confidenceInterval=0.95,
marketId='TEST1')
# print '3: ' + str(analysis.run())
#Ballpark test only. The value makes sense but not exactly reconciled
self.failIf(abs(-0.0510159444181-analysis.run()) > 0.0000001,
'Historical VaR result for TEST1 over 10 days incorrect')
