def test_fullPriceCDS():
liborCurve, issuerCurve = buildFullIssuerCurve(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturityDate = FinDate(2029, 6, 20)
cdsCoupon = 0.0150
notional = ONE_MILLION
longProtection = False
tradeDate = FinDate(2019, 8, 9)
valuationDate = tradeDate.addDays(1)
effectiveDate = valuationDate
cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional,
longProtection)
cdsRecovery = 0.40
print("LABEL", "VALUE")
spd = cdsContract.parSpread(valuationDate, issuerCurve,
cdsRecovery) * 10000.0
print("PAR_SPREAD", spd)
v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
print("FULL_VALUE", v[0])
print("CLEAN_VALUE", v[1])
p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
print("CLEAN_PRICE", p)
accruedDays = cdsContract.accruedDays()
print("ACCRUED_DAYS", accruedDays)
accruedInterest = cdsContract.accruedInterest()
print("ACCRUED_COUPON", accruedInterest)
protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve,
cdsRecovery)
print("PROTECTION_PV", protPV)
premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
print("PREMIUM_PV", premPV)
fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
print("FULL_RPV01", fullRPV01)
print("CLEAN_RPV01", cleanRPV01)
bump = 1.0 / 10000.0 # 1 bp
liborCurve, issuerCurve = buildFullIssuerCurve(bump, 0)
v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
dv = v_bump[0] - v[0]
print("CREDIT_DV01", dv)
# Interest Rate Bump
liborCurve, issuerCurve = buildFullIssuerCurve(0, bump)
v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
dv = v_bump[0] - v[0]
print("INTEREST_DV01", dv)
def test_fullPriceCDSConvergence():
_, issuerCurve = buildFullIssuerCurve1(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturityDate = FinDate(2029, 6, 20)
cdsCoupon = 0.0150
notional = ONE_MILLION
longProtection = False
tradeDate = FinDate(2019, 8, 9)
valuationDate = tradeDate.addDays(1)
cdsContract = FinCDS(valuationDate,
maturityDate,
cdsCoupon,
notional,
longProtection)
cdsRecovery = 0.40
testCases.header("NumSteps", "Value")
for n in [10, 50, 100, 500, 1000]:
v_full = cdsContract.value(
valuationDate, issuerCurve, cdsRecovery, 0, 1, n)['full_pv']
testCases.print(n, v_full)
def test_valueCDSIndex():
# We treat an index as a CDS contract with a flat CDS curve
tradeDate = FinDate(2006, 2, 7)
liborCurve = buildIborCurve(tradeDate)
issuerCurve = buildIssuerCurve(tradeDate, liborCurve)
stepInDate = tradeDate.addDays(1)
valuationDate = stepInDate
maturityDate = FinDate(2010, 6, 20)
cdsRecovery = 0.40
notional = 10.0 * ONE_MILLION
longProtection = True
indexCoupon = 0.004
cdsIndexContract = FinCDS(stepInDate,
maturityDate,
indexCoupon,
notional,
longProtection)
# cdsIndexContract.print(valuationDate)
testCases.header("LABEL", "VALUE")
spd = cdsIndexContract.parSpread(
valuationDate, issuerCurve, cdsRecovery) * 10000.0
testCases.print("PAR SPREAD", spd)
v = cdsIndexContract.value(valuationDate, issuerCurve, cdsRecovery)
testCases.print("FULL VALUE", v['full_pv'])
testCases.print("CLEAN VALUE", v['clean_pv'])
p = cdsIndexContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
testCases.print("CLEAN PRICE", p)
accruedDays = cdsIndexContract.accruedDays()
testCases.print("ACCRUED DAYS", accruedDays)
accruedInterest = cdsIndexContract.accruedInterest()
testCases.print("ACCRUED COUPON", accruedInterest)
protPV = cdsIndexContract.protectionLegPV(
valuationDate, issuerCurve, cdsRecovery)
testCases.print("PROTECTION LEG PV", protPV)
premPV = cdsIndexContract.premiumLegPV(
valuationDate, issuerCurve, cdsRecovery)
testCases.print("PREMIUM LEG PV", premPV)
fullRPV01, cleanRPV01 = cdsIndexContract.riskyPV01(
valuationDate, issuerCurve)
testCases.print("FULL RPV01", fullRPV01)
testCases.print("CLEAN RPV01", cleanRPV01)
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 test_CDSFastApproximation():
valueDate = FinDate(2018, 6, 20)
# I build a discount curve that requires no bootstrap
times = np.linspace(0, 10.0, 11)
r = 0.05
discountFactors = np.power((1.0 + r), -times)
dates = valueDate.addYears(times)
liborCurve = FinDiscountCurve(valueDate,
dates,
discountFactors,
FinInterpTypes.FLAT_FWD_RATES)
##########################################################################
maturityDate = valueDate.nextCDSDate(120)
t = (maturityDate - valueDate) / 365.242
z = liborCurve.df(maturityDate)
r = -np.log(z) / t
recoveryRate = 0.40
contractCoupon = 0.010
testCases.header("MKT_SPD", "EXACT_VALUE", "APPROX_VALUE", "DIFF(%NOT)")
for mktCoupon in np.linspace(0.000, 0.05, 21):
cdsContracts = []
cdsMkt = FinCDS(valueDate, maturityDate, mktCoupon, ONE_MILLION)
cdsContracts.append(cdsMkt)
issuerCurve = FinCDSCurve(valueDate,
cdsContracts,
liborCurve,
recoveryRate)
cdsContract = FinCDS(valueDate, maturityDate, contractCoupon)
v_exact = cdsContract.value(
valueDate, issuerCurve, recoveryRate)['full_pv']
v_approx = cdsContract.valueFastApprox(
valueDate, r, mktCoupon, recoveryRate)[0]
pctdiff = (v_exact - v_approx) / ONE_MILLION * 100.0
testCases.print(mktCoupon * 10000, v_exact, v_approx, pctdiff)
def test_FinCDSCurve():
curveDate = FinDate(2018, 12, 20)
swaps = []
depos = []
fras = []
fixedDCC = FinDayCountTypes.ACT_365F
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
fixedCoupon = 0.05
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
swap = FinIborSwap(curveDate, maturityDate, FinSwapTypes.PAYER,
fixedCoupon, fixedFreq, fixedDCC)
swaps.append(swap)
libor_curve = FinIborCurve(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)
if 1 == 0:
x = [0.0, 1.2, 1.6, 1.7, 10.0]
qs = issuerCurve.survProb(x)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
qs = issuerCurve.survProb(xx)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
dfs = issuerCurve.df(x)
print("===>", dfs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
dfs = issuerCurve.df(xx)
print("===>", dfs)
def test_fullPriceCDSwaption():
# This reproduces example on page 38 of Open Gamma note on CDS Option
tradeDate = FinDate(2014, 2, 5)
_, issuerCurve = buildFullIssuerCurve(tradeDate)
stepInDate = tradeDate.addDays(1)
valuationDate = stepInDate
expiryDate = FinDate(2014, 3, 20)
maturityDate = FinDate(2019, 6, 20)
cdsRecovery = 0.40
notional = 100.0
longProtection = False
cdsCoupon = 0.0 # NOT KNOWN
cdsContract = FinCDS(stepInDate,
maturityDate,
cdsCoupon,
notional,
longProtection)
testCases.banner(
"=============================== CDS ===============================")
# cdsContract.print(valuationDate)
testCases.header("LABEL", "VALUE")
spd = cdsContract.parSpread(
valuationDate,
issuerCurve,
cdsRecovery) * 10000.0
testCases.print("PAR SPREAD:", spd)
v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
testCases.print("FULL VALUE", v['full_pv'])
testCases.print("CLEAN VALUE", v['clean_pv'])
p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
testCases.print("CLEAN PRICE", p)
accruedDays = cdsContract.accruedDays()
testCases.print("ACCRUED DAYS", accruedDays)
accruedInterest = cdsContract.accruedInterest()
testCases.print("ACCRUED COUPON", accruedInterest)
protPV = cdsContract.protectionLegPV(
valuationDate, issuerCurve, cdsRecovery)
testCases.print("PROTECTION LEG PV", protPV)
premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
testCases.print("PREMIUM LEG PV", premPV)
fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
testCases.print("FULL RPV01", fullRPV01)
testCases.print("CLEAN RPV01", cleanRPV01)
# cdsContract.printFlows(issuerCurve)
testCases.banner(
"=========================== FORWARD CDS ===========================")
cdsContract = FinCDS(expiryDate,
maturityDate,
cdsCoupon,
notional,
longProtection)
# cdsContract.print(valuationDate)
spd = cdsContract.parSpread(
valuationDate,
issuerCurve,
cdsRecovery) * 10000.0
testCases.print("PAR SPREAD", spd)
v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
testCases.print("FULL VALUE", v['full_pv'])
testCases.print("CLEAN VALUE", v['clean_pv'])
protPV = cdsContract.protectionLegPV(
valuationDate, issuerCurve, cdsRecovery)
testCases.print("PROTECTION LEG PV", protPV)
premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
testCases.print("PREMIUM LEG PV", premPV)
fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
testCases.print("FULL RPV01", fullRPV01)
testCases.print("CLEAN RPV01", cleanRPV01)
# cdsContract.printFlows(issuerCurve)
testCases.banner(
"========================== CDS OPTIONS ============================")
cdsCoupon = 0.01
volatility = 0.3
testCases.print("Expiry Date:", str(expiryDate))
testCases.print("Maturity Date:", str(maturityDate))
testCases.print("CDS Coupon:", cdsCoupon)
testCases.header("STRIKE", "FULL VALUE", "IMPLIED VOL")
for strike in np.linspace(100, 300, 41):
cdsOption = FinCDSOption(expiryDate,
maturityDate,
strike / 10000.0,
notional)
v = cdsOption.value(valuationDate,
issuerCurve,
volatility)
vol = cdsOption.impliedVolatility(valuationDate,
issuerCurve,
v)
testCases.print(strike, v, vol)
def test_fullPriceCDSModelCheck():
testCases.print("Example", "MARKIT CHECK 19 Aug 2020")
liborCurve, issuerCurve = buildFullIssuerCurve2(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturityDate = FinDate(20, 6, 2025)
cdsCoupon = 0.050
notional = ONE_MILLION
longProtection = True
tradeDate = FinDate(20, 8, 2020)
effectiveDate = FinDate(21, 8, 2020)
valuationDate = tradeDate
cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional,
longProtection)
cdsRecovery = 0.40
testCases.header("LABEL", "VALUE")
spd = cdsContract.parSpread(valuationDate, issuerCurve,
cdsRecovery) * 10000.0
testCases.print("PAR_SPREAD", spd)
v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
testCases.print("FULL_VALUE", v['full_pv'])
testCases.print("CLEAN_VALUE", v['clean_pv'])
p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
testCases.print("CLEAN_PRICE", p)
accruedDays = cdsContract.accruedDays()
testCases.print("ACCRUED_DAYS", accruedDays)
accruedInterest = cdsContract.accruedInterest()
testCases.print("ACCRUED_COUPON", accruedInterest)
protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve,
cdsRecovery)
testCases.print("PROTECTION_PV", protPV)
premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
testCases.print("PREMIUM_PV", premPV)
rpv01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
testCases.print("FULL_RPV01", rpv01['full_rpv01'])
testCases.print("CLEAN_RPV01", rpv01['clean_rpv01'])
creditDV01 = cdsContract.creditDV01(valuationDate, issuerCurve,
cdsRecovery)
testCases.print("CREDIT DV01", creditDV01)
interestDV01 = cdsContract.interestDV01(valuationDate, issuerCurve,
cdsRecovery)
testCases.print("INTEREST DV01", interestDV01)
# Consider fast approximation
t = (maturityDate - valuationDate) / gDaysInYear
z = liborCurve.df(maturityDate)
r = -np.log(z) / t
mktSpread = 0.01
v_approx = cdsContract.valueFastApprox(valuationDate, r, mktSpread,
cdsRecovery)
testCases.header("FAST VALUATIONS", "VALUE")
testCases.print("FULL APPROX VALUE", v_approx[0])
testCases.print("CLEAN APPROX VALUE", v_approx[1])
testCases.print("APPROX CREDIT DV01", v_approx[2])
testCases.print("APPROX INTEREST DV01", v_approx[3])
def test_fullPriceCDS1():
mktSpread = 0.040
testCases.header("Example", "Markit 9 Aug 2019")
liborCurve, issuerCurve = buildFullIssuerCurve1(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturityDate = FinDate(2029, 6, 20)
cdsCoupon = 0.0150
notional = ONE_MILLION
longProtection = False
tradeDate = FinDate(2019, 8, 9)
valuationDate = tradeDate.addDays(1)
effectiveDate = valuationDate
cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional,
longProtection)
cdsRecovery = 0.40
testCases.header("LABEL", "VALUE")
spd = cdsContract.parSpread(valuationDate, issuerCurve,
cdsRecovery) * 10000.0
testCases.print("PAR_SPREAD", spd)
v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
testCases.print("FULL_VALUE", v['full_pv'])
testCases.print("CLEAN_VALUE", v['clean_pv'])
p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
testCases.print("CLEAN_PRICE", p)
accruedDays = cdsContract.accruedDays()
testCases.print("ACCRUED_DAYS", accruedDays)
accruedInterest = cdsContract.accruedInterest()
testCases.print("ACCRUED_COUPON", accruedInterest)
protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve,
cdsRecovery)
testCases.print("PROTECTION_PV", protPV)
premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
testCases.print("PREMIUM_PV", premPV)
fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
testCases.print("FULL_RPV01", fullRPV01)
testCases.print("CLEAN_RPV01", cleanRPV01)
# cdsContract.printFlows(issuerCurve)
bump = 1.0 / 10000.0 # 1 bp
liborCurve, issuerCurve = buildFullIssuerCurve1(bump, 0)
v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
dv = v_bump['full_pv'] - v['full_pv']
testCases.print("CREDIT_DV01", dv)
# Interest Rate Bump
liborCurve, issuerCurve = buildFullIssuerCurve1(0, bump)
v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
dv = v_bump['full_pv'] - v['full_pv']
testCases.print("INTEREST_DV01", dv)
t = (maturityDate - valuationDate) / gDaysInYear
z = liborCurve.df(maturityDate)
r = -np.log(z) / t
v_approx = cdsContract.valueFastApprox(valuationDate, r, mktSpread,
cdsRecovery)
testCases.print("FULL APPROX VALUE", v_approx[0])
testCases.print("CLEAN APPROX VALUE", v_approx[1])
testCases.print("APPROX CREDIT DV01", v_approx[2])
testCases.print("APPROX INTEREST DV01", v_approx[3])