def test_FinLiborCapletHull():
# Hull Page 703, example 29.3
todayDate = FinDate(20, 6, 2019)
valuationDate = todayDate
maturityDate = valuationDate.addTenor("2Y")
liborCurve = FinDiscountCurveFlat(valuationDate, 0.070,
FinFrequencyTypes.QUARTERLY,
FinDayCountTypes.THIRTY_E_360)
k = 0.08
capFloorType = FinLiborCapFloorTypes.CAP
capFloor = FinLiborCapFloor(valuationDate, maturityDate, capFloorType, k,
None, FinFrequencyTypes.QUARTERLY,
FinDayCountTypes.THIRTY_E_360)
# Value cap using a single flat cap volatility
model = FinModelBlack(0.20)
capFloor.value(valuationDate, liborCurve, model)
# Value cap by breaking it down into caplets using caplet vols
capletStartDate = valuationDate.addTenor("1Y")
capletEndDate = capletStartDate.addTenor("3M")
vCaplet = capFloor.valueCapletFloorLet(valuationDate, capletStartDate,
capletEndDate, liborCurve, model)
# Cannot match Hull due to dates being adjusted
testCases.header("CORRECT PRICE", "MODEL PRICE")
testCases.print(517.29, vCaplet)
def test_FinLiborCapFloorQLExample():
valuationDate = FinDate(14, 6, 2016)
dates = [
FinDate(14, 6, 2016),
FinDate(14, 9, 2016),
FinDate(14, 12, 2016),
FinDate(14, 6, 2017),
FinDate(14, 6, 2019),
FinDate(14, 6, 2021),
FinDate(15, 6, 2026),
FinDate(16, 6, 2031),
FinDate(16, 6, 2036),
FinDate(14, 6, 2046)
]
rates = [
0.000000, 0.006616, 0.007049, 0.007795, 0.009599, 0.011203, 0.015068,
0.017583, 0.018998, 0.020080
]
frequencyType = FinFrequencyTypes.ANNUAL
dayCountType = FinDayCountTypes.ACT_ACT_ISDA
discountCurve = FinDiscountCurveZeros(valuationDate, dates, rates,
frequencyType, dayCountType,
FinInterpTypes.LINEAR_ZERO_RATES)
startDate = FinDate(14, 6, 2016)
endDate = FinDate(14, 6, 2026)
calendarType = FinCalendarTypes.US
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
frequencyType = FinFrequencyTypes.QUARTERLY
dateGenRuleType = FinDateGenRuleTypes.FORWARD
lastFixing = 0.0065560
notional = 1000000
dayCountType = FinDayCountTypes.ACT_360
optionType = FinLiborCapFloorTypes.CAP
strikeRate = 0.02
cap = FinLiborCapFloor(startDate, endDate, optionType, strikeRate,
lastFixing, frequencyType, dayCountType, notional,
calendarType, busDayAdjustType, dateGenRuleType)
blackVol = 0.547295
model = FinModelBlack(blackVol)
start = time.time()
numRepeats = 10
for i in range(0, numRepeats):
v = cap.value(valuationDate, discountCurve, model)
end = time.time()
period = end - start
print(v, period / numRepeats)
def test_FinLiborCapFloor():
todayDate = FinDate(20, 6, 2019)
valuationDate = todayDate
startDate = todayDate.addWeekDays(2)
maturityDate = startDate.addTenor("1Y")
liborCurve = test_FinLiborDepositsAndSwaps(todayDate)
# The capfloor has begun
# lastFixing = 0.028
##########################################################################
# COMPARISON OF MODELS
##########################################################################
strikes = np.linspace(0.02, 0.08, 10)
testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR",
"SABR_SHFTD", "HW", "BACH")
model1 = FinModelBlack(0.20)
model2 = FinModelBlackShifted(0.25, 0.0)
model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5)
model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008)
model5 = FinModelRatesHW(0.30, 0.01)
model6 = FinModelBachelier(0.01)
for k in strikes:
capFloorType = FinLiborCapFloorTypes.CAP
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType, k)
cvalue1 = capfloor.value(valuationDate, liborCurve, model1)
cvalue2 = capfloor.value(valuationDate, liborCurve, model2)
cvalue3 = capfloor.value(valuationDate, liborCurve, model3)
cvalue4 = capfloor.value(valuationDate, liborCurve, model4)
cvalue5 = capfloor.value(valuationDate, liborCurve, model5)
cvalue6 = capfloor.value(valuationDate, liborCurve, model6)
testCases.print("CAP", k, cvalue1, cvalue2, cvalue3, cvalue4, cvalue5,
cvalue6)
testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR",
"SABR_SHFTD", "HW", "BACH")
for k in strikes:
capFloorType = FinLiborCapFloorTypes.FLOOR
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType, k)
fvalue1 = capfloor.value(valuationDate, liborCurve, model1)
fvalue2 = capfloor.value(valuationDate, liborCurve, model2)
fvalue3 = capfloor.value(valuationDate, liborCurve, model3)
fvalue4 = capfloor.value(valuationDate, liborCurve, model4)
fvalue5 = capfloor.value(valuationDate, liborCurve, model5)
fvalue6 = capfloor.value(valuationDate, liborCurve, model6)
testCases.print("FLR", k, fvalue1, fvalue2, fvalue3, fvalue4, fvalue5,
fvalue6)
###############################################################################
# PUT CALL CHECK
###############################################################################
testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR",
"SABR SHFTD", "HW", "BACH")
for k in strikes:
capFloorType = FinLiborCapFloorTypes.CAP
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType, k)
cvalue1 = capfloor.value(valuationDate, liborCurve, model1)
cvalue2 = capfloor.value(valuationDate, liborCurve, model2)
cvalue3 = capfloor.value(valuationDate, liborCurve, model3)
cvalue4 = capfloor.value(valuationDate, liborCurve, model4)
cvalue5 = capfloor.value(valuationDate, liborCurve, model5)
cvalue6 = capfloor.value(valuationDate, liborCurve, model6)
capFloorType = FinLiborCapFloorTypes.FLOOR
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType, k)
fvalue1 = capfloor.value(valuationDate, liborCurve, model1)
fvalue2 = capfloor.value(valuationDate, liborCurve, model2)
fvalue3 = capfloor.value(valuationDate, liborCurve, model3)
fvalue4 = capfloor.value(valuationDate, liborCurve, model4)
fvalue5 = capfloor.value(valuationDate, liborCurve, model5)
fvalue6 = capfloor.value(valuationDate, liborCurve, model6)
pcvalue1 = cvalue1 - fvalue1
pcvalue2 = cvalue2 - fvalue2
pcvalue3 = cvalue3 - fvalue3
pcvalue4 = cvalue4 - fvalue4
pcvalue5 = cvalue5 - fvalue5
pcvalue6 = cvalue6 - fvalue6
testCases.print("PUT_CALL", k, pcvalue1, pcvalue2, pcvalue3, pcvalue4,
pcvalue5, pcvalue6)
def test_FinLiborCapFloorVolCurve():
''' 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 = FinLiborCapFloorTypes.CAP
capFloor = FinLiborCapFloor(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 = FinLiborCapVolCurve(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_FinLiborCapFloor():
import time
todayDate = FinDate(2019, 6, 20)
# Need to check this how it aligns with curve
startDate = FinDate(2019, 6, 24)
valuationDate = startDate
maturityDate = startDate.addMonths(60)
strikeRate = 0.050
liborCurve = test_FinLiborDepositsAndSwaps(todayDate)
# The capfloor has begun
#lastFixing = 0.028
##########################################################################
############################ BLACK ######################################
##########################################################################
start = time.time()
testCases.header("LABEL", "VALUE")
testCases.banner("==================== BLACK =======================")
model = FinLiborModelBlack(0.25)
capFloorType = FinLiborCapFloorType.CAP
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType,
strikeRate)
value = capfloor.value(valuationDate, liborCurve, model)
# capfloor.print()
testCases.print("CAP Value:", value)
capFloorType = FinLiborCapFloorType.FLOOR
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType,
strikeRate)
value = capfloor.value(valuationDate, liborCurve, model)
# capfloor.print()
testCases.print("FLOOR Value:", value)
end = time.time()
testCases.header("TIME")
testCases.print(end - start)
##########################################################################
####################### SHIFTED BLACK ##################################
##########################################################################
testCases.banner("============== SHIFTED BLACK ==================")
testCases.header("LABEL", "VALUE")
start = time.time()
model = FinLiborModelShiftedBlack(0.25, -0.01)
capFloorType = FinLiborCapFloorType.CAP
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType,
strikeRate)
value = capfloor.value(valuationDate, liborCurve, model)
# capfloor.print()
testCases.print("CAP Value:", value)
capFloorType = FinLiborCapFloorType.FLOOR
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType,
strikeRate)
value = capfloor.value(valuationDate, liborCurve, model)
# capfloor.print()
testCases.print("FLOOR Value:", value)
end = time.time()
testCases.header("TIME")
testCases.print(end - start)
##########################################################################
################################ SABR ###################################
##########################################################################
testCases.header("LABEL", "VALUE")
start = time.time()
testCases.banner("============== SABR ==================")
model = FinLiborModelSABR(0.28, 1.0, -0.09, 0.21)
capFloorType = FinLiborCapFloorType.CAP
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType,
strikeRate)
value = capfloor.value(valuationDate, liborCurve, model)
# capfloor.print()
testCases.print("CAP Value:", value)
capFloorType = FinLiborCapFloorType.FLOOR
capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType,
strikeRate)
value = capfloor.value(valuationDate, liborCurve, model)
# capfloor.print()
testCases.print("FLOOR Value:", value)
end = time.time()
testCases.header("TIME")
testCases.print(end - start)
