def test_FinScheduleAlignmentEff31():
''' EOM schedule so all unadjusted dates fall on month end.'''
eomFlag = True
valuationDate = FinDate(29, 7, 2006)
effDate = valuationDate.addTenor("2D")
freqType = FinFrequencyTypes.SEMI_ANNUAL
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
calendarType = FinCalendarTypes.UNITED_STATES
adjustTerminationDate = True
matDate1 = effDate.addTenor("4Y")
matDate2 = effDate.addTenor("50Y")
# print(matDate1, matDate2)
sched1 = FinSchedule(effDate, matDate1, freqType, calendarType,
busDayAdjustType, dateGenRuleType,
adjustTerminationDate, eomFlag)
sched2 = FinSchedule(effDate, matDate2, freqType, calendarType,
busDayAdjustType, dateGenRuleType,
adjustTerminationDate, eomFlag)
# print(sched1._adjustedDates)
# print(sched2._adjustedDates[:len(sched1._adjustedDates)])
compare = (sched1._adjustedDates[-1] == sched2._adjustedDates[
len(sched1._adjustedDates) - 1])
assert (compare == True)
def test_FinScheduleAlignmentLeapYearNotEOM():
''' Effective date on leap year. Not EOM. '''
eomFlag = False
valuationDate = FinDate(26, 2, 2006)
effDate = valuationDate.addTenor("2D")
freqType = FinFrequencyTypes.SEMI_ANNUAL
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
calendarType = FinCalendarTypes.UNITED_STATES
adjustTerminationDate = True
matDate1 = effDate.addTenor("4Y")
matDate2 = effDate.addTenor("50Y")
# print(matDate1, matDate2)
sched1 = FinSchedule(effDate, matDate1, freqType, calendarType,
busDayAdjustType, dateGenRuleType,
adjustTerminationDate, eomFlag)
sched2 = FinSchedule(effDate, matDate2, freqType, calendarType,
busDayAdjustType, dateGenRuleType,
adjustTerminationDate, eomFlag)
# print(sched1._adjustedDates)
# print(sched2._adjustedDates[:len(sched1._adjustedDates)])
compare = (sched1._adjustedDates[-1] == sched2._adjustedDates[
len(sched1._adjustedDates) - 1])
assert (compare == True)
def test_FinDateAdjust():
startDate = FinDate(28, 2, 2008)
endDate = FinDate(28, 2, 2011)
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.NONE
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
testCases.header("NO ADJUSTMENTS", "DATE")
schedule = FinSchedule(startDate, endDate, frequencyType, calendarType,
busDayAdjustType, dateGenRuleType)
for dt in schedule._adjustedDates:
testCases.print("Date:", dt)
testCases.banner("")
testCases.header("NO WEEKENDS AND FOLLOWING", "DATE")
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(startDate, endDate, frequencyType, calendarType,
busDayAdjustType, dateGenRuleType)
for dt in schedule._adjustedDates:
testCases.print("Date:", dt)
testCases.banner("")
testCases.header("NO WEEKENDS AND MODIFIED FOLLOWING", "DATE")
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(startDate, endDate, frequencyType, calendarType,
busDayAdjustType, dateGenRuleType)
for dt in schedule._adjustedDates:
testCases.print("Date:", dt)
testCases.banner("")
testCases.header("NO WEEKENDS AND US HOLIDAYS AND MODIFIED FOLLOWING",
"DATE")
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.US
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
startDate = FinDate(4, 7, 2008)
endDate = FinDate(4, 7, 2011)
schedule = FinSchedule(startDate, endDate, frequencyType, calendarType,
busDayAdjustType, dateGenRuleType)
for dt in schedule._adjustedDates:
testCases.print("Date:", dt)
def test_FinScheduleAlignment(eomFlag):
valuationDate = FinDate(29, 3, 2005)
effDate = valuationDate.addTenor("2d")
freqType = FinFrequencyTypes.SEMI_ANNUAL
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
calendarType = FinCalendarTypes.UNITED_STATES
adjustTerminationDate = False
matDate1 = effDate.addTenor("4Y")
matDate2 = effDate.addTenor("50Y")
# print(matDate1)
# print(matDate2)
myCal = FinCalendar(calendarType)
adjustedMatDate1 = myCal.adjust(matDate1, busDayAdjustType)
adjustedMatDate2 = myCal.adjust(matDate2, busDayAdjustType)
# print(adjustedMatDate1)
# print(adjustedMatDate2)
sched1 = FinSchedule(effDate,
adjustedMatDate1,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
adjustTerminationDate,
eomFlag)
# print(sched1)
sched2 = FinSchedule(effDate,
adjustedMatDate2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
adjustTerminationDate,
eomFlag)
compare = (sched1._adjustedDates[-1] == sched2._adjustedDates[len(sched1._adjustedDates)-1])
assert(compare == eomFlag)
def test_FinIborCapFloorVolCurve():
''' Aim here is to price cap and caplets using cap and caplet vols and to
demonstrate they are the same - NOT SURE THAT HULLS BOOKS FORMULA WORKS FOR
OPTIONS. '''
todayDate = FinDate(20, 6, 2019)
valuationDate = todayDate
maturityDate = valuationDate.addTenor("3Y")
dayCountType = FinDayCountTypes.THIRTY_E_360
frequency = FinFrequencyTypes.ANNUAL
k = 0.04
capFloorType = FinCapFloorTypes.CAP
capFloor = FinIborCapFloor(valuationDate,
maturityDate,
capFloorType,
k,
None,
frequency,
dayCountType)
capVolDates = FinSchedule(valuationDate,
valuationDate.addTenor("10Y"),
frequency)._generate()
flatRate = 0.04
liborCurve = FinDiscountCurveFlat(valuationDate,
flatRate,
frequency,
dayCountType)
flat = False
if flat is True:
capVolatilities = [20.0] * 11
capVolatilities[0] = 0.0
else:
capVolatilities = [0.00, 15.50, 18.25, 17.91, 17.74, 17.27,
16.79, 16.30, 16.01, 15.76, 15.54]
capVolatilities = np.array(capVolatilities)/100.0
capVolatilities[0] = 0.0
volCurve = FinIborCapVolCurve(valuationDate,
capVolDates,
capVolatilities,
dayCountType)
# print(volCurve._capletGammas)
# Value cap using a single flat cap volatility
tcap = (maturityDate - valuationDate) / gDaysInYear
vol = volCurve.capVol(maturityDate)
model = FinModelBlack(vol)
valueCap = capFloor.value(valuationDate, liborCurve, model)
# print("CAP T", tcap, "VOL:", vol, "VALUE OF CAP:", valueCap)
# Value cap by breaking it down into caplets using caplet vols
vCaplets = 0.0
capletStartDate = capFloor._capFloorLetDates[1]
testCases.header("START", "END", "VOL", "VALUE")
for capletEndDate in capFloor._capFloorLetDates[2:]:
vol = volCurve.capletVol(capletEndDate)
modelCaplet = FinModelBlack(vol)
vCaplet = capFloor.valueCapletFloorLet(valuationDate,
capletStartDate,
capletEndDate,
liborCurve,
modelCaplet)
vCaplets += vCaplet
testCases.print("%12s" % capletStartDate,
"%s" % capletEndDate,
"%9.5f" % (vol*100.0),
"%9.5f" % vCaplet)
capletStartDate = capletEndDate
testCases.header("LABEL", "VALUE")
testCases.print("CAPLETS->CAP: ", vCaplets)
def test_FinSchedule():
###########################################################################
# BACKWARD SCHEDULES TESTING DIFFERENT FREQUENCIES
###########################################################################
d1 = FinDate(20, 6, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
terminationDateAdjust = True
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("BACKWARD SEMI-ANNUAL FREQUENCY", schedule)
d1 = FinDate(20, 6, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.QUARTERLY
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("BACKWARD QUARTERLY FREQUENCY", schedule)
d1 = FinDate(20, 6, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.MONTHLY
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("BACKWARD MONTHLY FREQUENCY", schedule)
###########################################################################
# FORWARD SCHEDULES TESTING DIFFERENT FREQUENCIES
###########################################################################
d1 = FinDate(20, 6, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.FORWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("FORWARD ANNUAL", schedule)
d1 = FinDate(20, 6, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType)
dumpSchedule("FORWARD SEMI-ANNUAL", schedule)
d1 = FinDate(20, 6, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.MONTHLY
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("FORWARD MONTHLY", schedule)
###########################################################################
# BACKWARD SHORT STUB AT FRONT
###########################################################################
d1 = FinDate(20, 8, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.QUARTERLY
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("BACKWARD GEN WITH SHORT END STUB", schedule)
###########################################################################
# BACKWARD SUPER SHORT STUB AT FRONT
###########################################################################
d1 = FinDate(19, 9, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.QUARTERLY
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("BACKWARD GEN WITH VERY SHORT END STUB", schedule)
###########################################################################
# FORWARD SHORT STUB AT END
###########################################################################
d1 = FinDate(2018, 8, 20)
d2 = FinDate(2020, 6, 20)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.FORWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("FORWARD GEN WITH END STUB", schedule)
d1 = FinDate(19, 9 , 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.QUARTERLY
calendarType = FinCalendarTypes.TARGET
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.FORWARD
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType)
dumpSchedule("FORWARD GEN WITH VERY SHORT END STUB", schedule)
d1 = FinDate(20, 6, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
terminationDateAdjust = True
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust)
dumpSchedule("TERMINATION DATE ADJUSTED", schedule)
d1 = FinDate(20, 6, 2018)
d2 = FinDate(20, 6, 2020)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
terminationDateAdjust = True
eomFlag = True
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust,
eomFlag)
dumpSchedule("END OF MONTH - NOT EOM TERM DATE - USING MOD FOLL", schedule)
d1 = FinDate(30, 6, 2018)
d2 = FinDate(30, 6, 2020)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
terminationDateAdjust = True
eomFlag = True
schedule = FinSchedule(d1,
d2,
freqType,
calendarType,
busDayAdjustType,
dateGenRuleType,
terminationDateAdjust,
eomFlag)
dumpSchedule("END OF MONTH - EOM TERM DATE - USING MOD FOLL", schedule)
def test_FinSchedule():
d1 = FinDate(2018, 6, 20)
d2 = FinDate(2018, 6, 20)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1, d2, freqType, calendarType, busDayAdjustType,
dateGenRuleType)
testCases.header("SEMI-ANNUAL FREQUENCY")
for dt in schedule._adjustedDates:
testCases.print(str(dt))
d1 = FinDate(2018, 6, 20)
d2 = FinDate(2028, 6, 20)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1, d2, freqType, calendarType, busDayAdjustType,
dateGenRuleType)
testCases.header("QUARTERLY FREQUENCY")
for dt in schedule._adjustedDates:
testCases.print(str(dt))
d1 = FinDate(2018, 6, 20)
d2 = FinDate(2028, 6, 20)
freqType = FinFrequencyTypes.MONTHLY
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1, d2, freqType, calendarType, busDayAdjustType,
dateGenRuleType)
testCases.header("MONTHLY FREQUENCY")
for dt in schedule._adjustedDates:
testCases.print(str(dt))
d1 = FinDate(2018, 6, 20)
d2 = FinDate(2028, 6, 20)
freqType = FinFrequencyTypes.ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.FORWARD
schedule = FinSchedule(d1, d2, freqType, calendarType, busDayAdjustType,
dateGenRuleType)
testCases.header("FORWARD GEN")
for dt in schedule._adjustedDates:
testCases.print(str(dt))
d1 = FinDate(2018, 6, 20)
d2 = FinDate(2028, 6, 20)
freqType = FinFrequencyTypes.ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1, d2, freqType, calendarType, busDayAdjustType,
dateGenRuleType)
testCases.header("BACKWARD GEN")
for dt in schedule._adjustedDates:
testCases.print(str(dt))
d1 = FinDate(2018, 6, 20)
d2 = FinDate(2028, 6, 20)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1, d2, freqType, calendarType, busDayAdjustType,
dateGenRuleType)
testCases.header("BACKWARD GEN WITH SHORT END STUB")
for dt in schedule._adjustedDates:
testCases.print(str(dt))
d1 = FinDate(2018, 6, 20)
d2 = FinDate(2028, 6, 20)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.WEEKEND
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.FORWARD
schedule = FinSchedule(d1, d2, freqType, calendarType, busDayAdjustType,
dateGenRuleType)
testCases.header("FORWARD GEN WITH LONG END STUB")
for dt in schedule._adjustedDates:
testCases.print(str(dt))
testCases.header("BACKWARD GEN WITH TARGET CALENDAR")
d1 = FinDate(2018, 6, 20)
d2 = FinDate(2028, 6, 20)
freqType = FinFrequencyTypes.SEMI_ANNUAL
calendarType = FinCalendarTypes.TARGET
busDayAdjustType = FinBusDayAdjustTypes.FOLLOWING
dateGenRuleType = FinDateGenRuleTypes.BACKWARD
schedule = FinSchedule(d1, d2, freqType, calendarType, busDayAdjustType,
dateGenRuleType)
for dt in schedule._adjustedDates:
testCases.print(str(dt))