def test_FinFXVanillaOptionBloombergExample():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valueDate = FinDate(13, 2, 2018)
expiryDate = FinDate(15, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
forName = "EUR"
domName = "USD"
forDepoRate = 0.05 # EUR
domDepoRate = 0.02 # USD
currencyPair = forName + domName # Always FORDOM
spotFXRate = 1.30
strikeFXRate = 1.3650
volatility = 0.20
spotDays = 0
settlementDate = valueDate.addWorkDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 1000000.0
notionalCurrency = "EUR"
calendarType = FinCalendarTypes.TARGET
depos = []
fras = []
swaps = []
depo = FinLiborDeposit(settlementDate, maturityDate, domDepoRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
domDiscountCurve = FinLiborCurve(forName, settlementDate, depos, fras,
swaps)
depos = []
fras = []
swaps = []
depo = FinLiborDeposit(settlementDate, maturityDate, forDepoRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
forDiscountCurve = FinLiborCurve(domName, settlementDate, depos, fras,
swaps)
model = FinFXModelBlackScholes(volatility)
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair,
FinOptionTypes.EUROPEAN_CALL, notional,
notionalCurrency, 2)
value = callOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = callOption.delta(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinLiborDepositsOnly():
# I have used the following useful blog post by Ioannis Rigopoulos for this
# https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-deposit
valuationDate = FinDate(2018, 2, 23)
spotDays = 0
settlementDate = valuationDate.addWorkDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
# 1 month
depositRate = 0.04
maturityDate = settlementDate.addMonths(1)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 2 months
depositRate = 0.04
maturityDate = settlementDate.addMonths(2)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 6 months
depositRate = 0.04
maturityDate = settlementDate.addMonths(6)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 1 year
depositRate = 0.04
maturityDate = settlementDate.addMonths(12)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
fras = []
swaps = []
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
testCases.header("LABEL", "DATE", "VALUE")
''' Check calibration '''
for depo in depos:
v = depo.value(settlementDate, liborCurve)
testCases.print("DEPO", depo._maturityDate, v)
def test_FinCDSCurve():
curveDate = FinDate(2018, 12, 20)
swaps = []
depos = []
fras = []
fixedDCC = FinDayCountTypes.ACT_365_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
fixedCoupon = 0.05
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
swap = FinLiborSwap(
curveDate,
maturityDate,
fixedCoupon,
fixedFreq,
fixedDCC)
swaps.append(swap)
libor_curve = FinLiborCurve("USD_LIBOR", curveDate, depos, fras, swaps)
cdsContracts = []
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturityDate, 0.005 + 0.001 * (i - 1))
cdsContracts.append(cds)
issuerCurve = FinCDSCurve(curveDate,
cdsContracts,
libor_curve,
recoveryRate=0.40,
useCache=False)
testCases.header("T", "Q")
n = len(issuerCurve._times)
for i in range(0, n):
testCases.print(issuerCurve._times[i], issuerCurve._values[i])
testCases.header("CONTRACT", "VALUE")
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturityDate, 0.005 + 0.001 * (i - 1))
v = cds.value(curveDate, issuerCurve)
testCases.print(i, v)
def buildLiborCurve(tradeDate):
valuationDate = tradeDate.addDays(1)
dcType = FinDayCountTypes.ACT_360
depos = []
depos = []
fras = []
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
settlementDate = valuationDate
maturityDate = settlementDate.addMonths(12)
swap1 = FinLiborSwap(settlementDate, maturityDate, 0.0502, fixedFreq,
dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(24)
swap2 = FinLiborSwap(settlementDate, maturityDate, 0.0502, fixedFreq,
dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(36)
swap3 = FinLiborSwap(settlementDate, maturityDate, 0.0501, fixedFreq,
dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(48)
swap4 = FinLiborSwap(settlementDate, maturityDate, 0.0502, fixedFreq,
dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(60)
swap5 = FinLiborSwap(settlementDate, maturityDate, 0.0501, fixedFreq,
dcType)
swaps.append(swap5)
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
return liborCurve
def test_FinLiborFRAsOnly():
# TO DO FIX THIS
valuationDate = FinDate(2018, 2, 23)
spotDays = 0
settlementDate = valuationDate.addWorkDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
payFixed = True
calendarType = FinCalendarTypes.TARGET
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(1)
fraMaturityDate = settlementDate.addMonths(4)
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, payFixed,
depoDCCType, notional, calendarType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(4)
fraMaturityDate = settlementDate.addMonths(7)
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, payFixed,
depoDCCType, notional, calendarType)
fras.append(fra)
depos = []
swaps = []
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
testCases.header("DATE", "MATDATE", "VALUE")
''' Check calibration '''
for fra in fras:
v = fra.value(settlementDate, liborCurve)
testCases.print("FRA:", fra._maturityDate, v)
def buildLiborCurve(valuationDate):
settlementDate = valuationDate.addDays(2)
dcType = FinDayCountTypes.ACT_360
depos = []
fras = []
swaps = []
maturityDate = settlementDate.addMonths(6)
depo1 = FinLiborDeposit(settlementDate, maturityDate, -0.00251, dcType)
depos.append(depo1)
# Series of 1M futures
startDate = settlementDate.nextIMMDate()
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.0023, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00234, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00225, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00226, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00219, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00213, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00186, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00189, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00175, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00143, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00126, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00126, True, dcType)
fras.append(fra)
fixedFreq = FinFrequencyTypes.ANNUAL
dcType = FinDayCountTypes.THIRTY_360
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, -0.001506, fixedFreq,
dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, -0.000185, fixedFreq,
dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, 0.001358, fixedFreq,
dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, 0.0027652, fixedFreq,
dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(settlementDate, maturityDate, 0.0041539, fixedFreq,
dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(settlementDate, maturityDate, 0.0054604, fixedFreq,
dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(settlementDate, maturityDate, 0.006674, fixedFreq,
dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(settlementDate, maturityDate, 0.007826, fixedFreq,
dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(settlementDate, maturityDate, 0.008821, fixedFreq,
dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(132)
swap10 = FinLiborSwap(settlementDate, maturityDate, 0.0097379, fixedFreq,
dcType)
swaps.append(swap10)
maturityDate = settlementDate.addMonths(144)
swap11 = FinLiborSwap(settlementDate, maturityDate, 0.0105406, fixedFreq,
dcType)
swaps.append(swap11)
maturityDate = settlementDate.addMonths(180)
swap12 = FinLiborSwap(settlementDate, maturityDate, 0.0123927, fixedFreq,
dcType)
swaps.append(swap12)
maturityDate = settlementDate.addMonths(240)
swap13 = FinLiborSwap(settlementDate, maturityDate, 0.0139882, fixedFreq,
dcType)
swaps.append(swap13)
maturityDate = settlementDate.addMonths(300)
swap14 = FinLiborSwap(settlementDate, maturityDate, 0.0144972, fixedFreq,
dcType)
swaps.append(swap14)
maturityDate = settlementDate.addMonths(360)
swap15 = FinLiborSwap(settlementDate, maturityDate, 0.0146081, fixedFreq,
dcType)
swaps.append(swap15)
maturityDate = settlementDate.addMonths(420)
swap16 = FinLiborSwap(settlementDate, maturityDate, 0.01461897, fixedFreq,
dcType)
swaps.append(swap16)
maturityDate = settlementDate.addMonths(480)
swap17 = FinLiborSwap(settlementDate, maturityDate, 0.014567455, fixedFreq,
dcType)
swaps.append(swap17)
maturityDate = settlementDate.addMonths(540)
swap18 = FinLiborSwap(settlementDate, maturityDate, 0.0140826, fixedFreq,
dcType)
swaps.append(swap18)
maturityDate = settlementDate.addMonths(600)
swap19 = FinLiborSwap(settlementDate, maturityDate, 0.01436822, fixedFreq,
dcType)
swaps.append(swap19)
liborCurve = FinLiborCurve("USD", settlementDate, depos, fras, swaps)
testCases.header("LABEL", "DATE", "VALUE")
''' Check calibration '''
for depo in depos:
v = depo.value(settlementDate, liborCurve)
testCases.print("DEPO VALUE:", depo._maturityDate, v)
for fra in fras:
v = fra.value(settlementDate, liborCurve)
testCases.print("FRA VALUE:", fra._maturityDate, v)
for swap in swaps:
v = swap.value(settlementDate, liborCurve, liborCurve, None)
testCases.print("SWAP VALUE:", swap._maturityDate, v)
return liborCurve
def buildLiborCurve(valuationDate):
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(3)
depo2 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(6)
depo3 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(9)
depo4 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
fixedDCCType = FinDayCountTypes.ACT_365_ISDA
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swaps = []
swapRate = 0.05
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap9)
liborCurve = FinLiborCurve("USD_LIBOR",
settlementDate,
depos,
fras,
swaps)
if 1 == 0:
import numpy as np
numSteps = 40
dt = 10 / numSteps
times = np.linspace(0.0, 10.0, numSteps + 1)
df0 = 1.0
for t in times[1:]:
df1 = liborCurve.df(t)
fwd = (df0 / df1 - 1.0) / dt
print(t, df1, fwd)
df0 = df1
return liborCurve
def test_FinLiborDepositsAndSwaps(valuationDate):
depoBasis = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.030
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
maturityDate = settlementDate.addMonths(9)
depo5 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
swaps = []
fixedBasis = FinDayCountTypes.ACT_365_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.03
maturityDate = settlementDate.addMonths(12)
swap1 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap1)
swapRate = 0.034
maturityDate = settlementDate.addMonths(24)
swap2 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap2)
swapRate = 0.037
maturityDate = settlementDate.addMonths(36)
swap3 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap3)
swapRate = 0.039
maturityDate = settlementDate.addMonths(48)
swap4 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap4)
swapRate = 0.040
maturityDate = settlementDate.addMonths(60)
swap5 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap5)
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
return liborCurve
def buildFullIssuerCurve(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 8-AUG-2019 SNAP AT 1600
tradeDate = FinDate(2019, 8, 9)
valuationDate = tradeDate.addDays(1)
dcType = FinDayCountTypes.ACT_360
depos = []
m = 1.0 # 0.00000000000
spotDays = 2
settlementDate = valuationDate.addDays(spotDays)
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, m * 0.022009, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, m * 0.022138, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, m * 0.021810, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, m * 0.020503, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(settlementDate, maturityDate, m * 0.019930, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, m * 0.015910 + irBump,
fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, m * 0.014990 + irBump,
fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, m * 0.014725 + irBump,
fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, m * 0.014640 + irBump,
fixedFreq, dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(settlementDate, maturityDate, m * 0.014800 + irBump,
fixedFreq, dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(settlementDate, maturityDate, m * 0.014995 + irBump,
fixedFreq, dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(settlementDate, maturityDate, m * 0.015180 + irBump,
fixedFreq, dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(settlementDate, maturityDate, m * 0.015610 + irBump,
fixedFreq, dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(settlementDate, maturityDate, m * 0.015880 + irBump,
fixedFreq, dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(144)
swap10 = FinLiborSwap(settlementDate, maturityDate, m * 0.016430 + irBump,
fixedFreq, dcType)
swaps.append(swap10)
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.04 + mktSpreadBump
# maturityDate = valuationDate.nextCDSDate(6)
# cds = FinCDS(valuationDate,maturityDate, cdsCoupon)
# cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(48)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(180)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
# for cds in cdsMarketContracts:
# print("CDS Maturity Date",cds._maturityDate)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(valuationDate, cdsMarketContracts, liborCurve,
recoveryRate)
return liborCurve, issuerCurve
def test_FinLiborDepositsAndSwaps():
valuationDate = FinDate(2019, 9, 18)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
fras = []
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365_ISDA
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
maturityDate = settlementDate.addMonths(24)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(36)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
df = liborCurve.df(settlementDate)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settlementDate), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
for swap in swaps:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
def test_FinFXForward():
# https://stackoverflow.com/questions/48778712
# /fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valueDate = FinDate(13, 2, 2018)
expiryDate = valueDate.addMonths(12)
# Forward is on EURUSD which is expressed as number of USD per EUR
# ccy1 = EUR and ccy2 = USD
forName = "EUR"
domName = "USD"
currencyPair = forName + domName # Always ccy1ccy2
spotFXRate = 1.300 # USD per EUR
strikeFXRate = 1.365 # USD per EUR
ccy1InterestRate = 0.02 # USD Rates
ccy2InterestRate = 0.05 # EUR rates
###########################################################################
spotDays = 0
settlementDate = valueDate.addWorkDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
fras = []
swaps = []
depositRate = ccy1InterestRate
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
forDiscountCurve = FinLiborCurve(forName, settlementDate, depos, fras, swaps)
depos = []
fras = []
swaps = []
depositRate = ccy2InterestRate
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
domDiscountCurve = FinLiborCurve(domName, settlementDate, depos, fras, swaps)
notional = 100.0
notionalCurrency = forName
fxForward = FinFXForward(expiryDate,
strikeFXRate,
currencyPair,
notional,
notionalCurrency)
testCases.header("SPOT FX", "FX FWD", "VALUE_BS")
fwdValue = fxForward.value(valueDate, spotFXRate,
domDiscountCurve, forDiscountCurve)
print(fwdValue)
fwdFXRate = fxForward.forward(valueDate, spotFXRate,
domDiscountCurve,
forDiscountCurve)
print(fwdFXRate)
testCases.print(spotFXRate, fwdFXRate, fwdValue)
def buildFullIssuerCurve(tradeDate):
valuationDate = tradeDate.addDays(1)
dcType = FinDayCountTypes.ACT_360
depos = []
irBump = 0.0
m = 1.0 # 0.00000000000
spotDays = 2
settlementDate = valuationDate.addDays(spotDays)
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0016, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0020, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0024, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0033, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0056, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, m * 0.0044 + irBump,
fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, m * 0.0078 + irBump,
fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, m * 0.0119 + irBump,
fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, m * 0.0158 + irBump,
fixedFreq, dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(settlementDate, maturityDate, m * 0.0192 + irBump,
fixedFreq, dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(settlementDate, maturityDate, m * 0.0219 + irBump,
fixedFreq, dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(settlementDate, maturityDate, m * 0.0242 + irBump,
fixedFreq, dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(settlementDate, maturityDate, m * 0.0261 + irBump,
fixedFreq, dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(settlementDate, maturityDate, m * 0.0276 + irBump,
fixedFreq, dcType)
swaps.append(swap9)
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.005743
maturityDate = valuationDate.nextCDSDate(6)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.007497
maturityDate = valuationDate.nextCDSDate(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.011132
maturityDate = valuationDate.nextCDSDate(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.013932
maturityDate = valuationDate.nextCDSDate(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.015764
maturityDate = valuationDate.nextCDSDate(48)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.017366
maturityDate = valuationDate.nextCDSDate(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.020928
maturityDate = valuationDate.nextCDSDate(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.022835
maturityDate = valuationDate.nextCDSDate(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(valuationDate, cdsMarketContracts, liborCurve,
recoveryRate)
return liborCurve, issuerCurve
