def setUp(self):
self.today = BusinessDate(20161231)
self.schedule = BusinessSchedule(self.today, self.today + '5y', '1m')
self.df = DiscountFactorCurve([self.today], [1.],
interpolation=interpolation_scheme)
self.df2 = DiscountFactorCurve([self.today], [.2],
interpolation=interpolation_scheme)
self.curve = CashRateCurve([self.today], [.1])
def test_discount_factor_curve(self):
zr_curve = ZeroRateCurve([self.today, self.today + '1d'], [.02, .02])
df_curve = DiscountFactorCurve(
zr_curve.domain,
[1., zr_curve.get_discount_factor(self.today + '1d')])
for p in self.periods:
x = self.today + p
self.assertAlmostEqual(df_curve.get_discount_factor(x, x), 1.)
z = zr_curve.get_zero_rate(x)
d = df_curve.get_zero_rate(x)
self.assertAlmostEqual(z, d)
z = zr_curve.get_discount_factor(x)
d = df_curve.get_discount_factor(x)
self.assertAlmostEqual(z, d)
z = zr_curve.get_short_rate(x)
d = df_curve.get_short_rate(x)
self.assertAlmostEqual(z, d)
z = zr_curve.get_cash_rate(x)
d = df_curve.get_cash_rate(x)
self.assertAlmostEqual(z, d)
def test_simulation(self):
# setup timewave framework
producer = RiskFactorProducer(self.hull_white_curve)
x_consumer = Consumer(lambda x: x.value)
df_consumer = Consumer(lambda x: self.df_func(x.date))
pv_consumer = ValuationConsumer(self.df_func)
fw_consumer = Consumer(lambda x: self.fw_func(x.date))
af_consumer = ValuationConsumer(self.fw_func)
consumer = ConsumerConsumer(
[x_consumer, df_consumer, pv_consumer, fw_consumer, af_consumer])
# run the simulation
x, df_sim, df_avg, fwd_sim, fwd_avg = Engine(producer, consumer).run(
self.grid, self.num_of_paths)
# self.plot['state_avg'] = [[sum(xx) / len(xx) for xx in map(list, zip(*x))]]
# self.plot['state_path'] = x
self.plot['libor_avg'] = [
fwd_avg, [self.zero_curve.get_cash_rate(d) for d in self.grid]
]
self.plot['libor_path'] = fwd_sim
self.plot['df_avg'] = [
df_avg,
[
self.zero_curve.get_discount_factor(self.today, self.termday)
for d in self.grid
]
]
self.plot['df_path'] = df_sim
dfc = DiscountFactorCurve(self.grid, df_avg)
self.plot['zero_avg'] = [[
dfc.get_zero_rate(self.today, d) for d in self.grid
], [self.zero_curve.get_zero_rate(self.today, d) for d in self.grid]]
zr_list = list()
for dfs in df_sim:
dfc = DiscountFactorCurve(self.grid, dfs)
zr_list.append(
[dfc.get_zero_rate(self.today, d) for d in self.grid])
self.plot['zero_path'] = zr_list
def setUp(self):
self.today = BusinessDate(20161231)
self.schedule = BusinessSchedule(self.today, self.today + '5y', '1m')
self.rate = 0.01
self.df = DiscountFactorCurve(ZeroRateCurve([self.today], [self.rate]))
self.curve = CashRateCurve([self.today], [self.rate])
def test_discount_cast(self):
for p in self.periods:
curve = self.curve(p)
cast = self.cast_type(DiscountFactorCurve(curve))
for d in curve.domain[1:]:
self.assertAlmostEqual(cast(d), curve(d), self.precision)