def jpy_3m_example():
calendar = objects.get('JAPAN')
start = ql.Date(15, 3, 2020)
maturity = ql.Date(15, 6, 2020)
fixedSchedule = ql.MakeSchedule(start,
maturity,
ql.Period('3M'),
calendar=calendar)
floatSchedule = ql.MakeSchedule(start,
maturity,
ql.Period('3M'),
calendar=calendar)
jpy_3m_crv = curves.get('JPY.3M')
jpy_3m_yts = ql.YieldTermStructureHandle(jpy_3m_crv)
jpy_libor_3m = objects.get('JPY.3M').clone(jpy_3m_yts)
jpy_yts = ql.YieldTermStructureHandle(curves.get('JPY.OIS'))
engine = ql.DiscountingSwapEngine(jpy_yts)
swap = ql.VanillaSwap(ql.VanillaSwap.Receiver, 1e9, fixedSchedule,
-0.15 / 100, ql.Actual365Fixed(), floatSchedule,
jpy_libor_3m, 0, ql.Actual360())
swap.setPricingEngine(engine)
print(f"Swap NPV : {swap.NPV():,.2f}")
print(f"Swap Rate : {swap.fairRate() * 100:,.6f}")
def __init__(self, swapType, notional, start, maturity, index1, index2, spread, discount):
self.swapType = swapType
self.notional = notional
self.start = start
self.maturity = maturity
self.yts1 = ql.YieldTermStructureHandle(curves.get(index1))
self.index1 = objects.get(index1).clone(self.yts1)
self.yts2 = ql.YieldTermStructureHandle(curves.get(index2))
self.index2 = objects.get(index2).clone(self.yts2)
self.spread = spread / 100 / 100
self.discount_yts = ql.YieldTermStructureHandle(curves.get(discount))
self.engine = ql.DiscountingSwapEngine(self.discount_yts)
self.swap = self.makeInstrument(
swapType, notional, start, maturity, self.index1, self.index2, spread)
self.swap.setPricingEngine(self.engine)
def __init__(self, index1, index2, discount, spread, notional, start,
maturity):
self.swapType = ql.VanillaSwap.Payer
self.notional = notional
self.start = ql.Date(start, '%d-%m-%Y')
self.maturity = ql.Date(maturity, '%d-%m-%Y')
self.yts1 = ql.YieldTermStructureHandle(curves.get(index1))
self.index1 = objects.get(index1).clone(self.yts1)
self.yts2 = ql.YieldTermStructureHandle(curves.get(index2))
self.index2 = objects.get(index2).clone(self.yts2)
self.spread = spread / 100 / 100
self.discount_yts = ql.YieldTermStructureHandle(curves.get(discount))
self.engine = ql.DiscountingSwapEngine(self.discount_yts)
self.swap = self.makeInstrument(notional, self.start, self.maturity,
self.index1, self.index2, self.spread)
self.swap.setPricingEngine(self.engine)
notional = 10e6
start = ql.Date(18, 9, 2019)
maturity = ql.Date(18, 9, 2024)
basis = BasisSwap(swapType, notional, start, maturity, 'USD.3M', 'USD.1M',
0.00275, 'USD.OIS')
indexes = ['USD.3M', 'USD.OIS', 'USD.1M']
for key in indexes:
filename = key.replace('.', '') + '.csv'
fixings = pd.read_csv(f'fixings/{filename}', header=None).dropna()
fixings.columns = ['date', 'value']
fixingDates = [ql.Date(dt, '%Y-%m-%d') for dt in fixings.date]
fixingValues = [float(value) / 100 for value in fixings.value]
floatingIndex = objects.get(key)
for day, fixing in zip(fixingDates, fixingValues):
if day < ql.Settings.instance().evaluationDate:
floatingIndex.addFixing(day, fixing)
print(f"Swap Fair Spread: \t{basis.basisSpread():,.3%}")
print(f"Swap BR01: \t\t{basis.BR01():,.2f}")
print(f"Swap NPV: \t\t{basis.NPV():,.2f}")
swapType = ql.VanillaSwap.Payer
notional = 10e6
start = ql.Date(10, 1, 2019)
maturity = ql.Date(10, 1, 2023)
basis = BasisSwap(swapType, notional, start, maturity, 'USD.3M', 'USD.OIS',