def test_FinIborFuture():
todayDate = FinDate(5, 5, 2020)
testCases.header("VALUES")
for i in range(1, 12):
fut = FinIborFuture(todayDate, i, "3M")
testCases.print(fut)
fra = fut.toFRA(0.020, 0.0)
testCases.print(fra)
def test_bloombergPricingExample():
""" This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
"""
valuation_date = Date(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settleDt = valuation_date.addWeekDays(spotDays)
accrual = DayCountTypes.THIRTY_E_360
depo = FinIborDeposit(settleDt, "1D", 1.712/100.0, accrual)
depos = [depo]
futs = []
fut = FinIborFuture(valuation_date, 1); futs.append(fut)
fut = FinIborFuture(valuation_date, 2); futs.append(fut)
fut = FinIborFuture(valuation_date, 3); futs.append(fut)
fut = FinIborFuture(valuation_date, 4); futs.append(fut)
fut = FinIborFuture(valuation_date, 5); futs.append(fut)
fut = FinIborFuture(valuation_date, 6); futs.append(fut)
fras = [None]*6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spotDays = 2
settleDt = valuation_date.addWeekDays(spotDays)
payRec = FinSwapTypes.PAY
lag = 1 # Not used
swaps = []
swap = FinOIS(settleDt, "2Y", payRec, (2.77417+2.77844)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "3Y", payRec, (2.86098+2.86582)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "4Y", payRec, (2.90240+2.90620)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "5Y", payRec, (2.92944+2.92906)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "6Y", payRec, (2.94001+2.94499)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "7Y", payRec, (2.95352+2.95998)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "8Y", payRec, (2.96830+2.97400)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "9Y", payRec, (2.98403+2.98817)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "10Y", payRec, (2.99716+3.00394)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "11Y", payRec, (3.01344+3.01596)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "12Y", payRec, (3.02276+3.02684)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "15Y", payRec, (3.04092+3.04508)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "20Y", payRec, (3.04417+3.05183)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "25Y", payRec, (3.03219+3.03621)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "30Y", payRec, (3.01030+3.01370)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "40Y", payRec, (2.96946+2.97354)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "50Y", payRec, (2.91552+2.93748)/200, freq, accrual); swaps.append(swap)
oisCurve = OISCurve(valuation_date, depos, fras, swaps)
# swaps[0]._fixed_leg.printValuation()
# swaps[0]._floatLeg.printValuation()
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE"," PV")
testCases.print("VALUE:", swaps[0].value(valuation_date, oisCurve, None))
testCases.print("FIXED:", -swaps[0]._fixed_leg.value(valuation_date, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(valuation_date, oisCurve, None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE"," PV")
testCases.print("VALUE:", swaps[0].value(settleDt, oisCurve, None))
testCases.print("FIXED:", -swaps[0]._fixed_leg.value(settleDt, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(settleDt, oisCurve, None))
def test_bloombergPricingExample(interpType):
''' This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
'''
valuationDate = FinDate(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuationDate, 1)
futs.append(fut)
fut = FinIborFuture(valuationDate, 2)
futs.append(fut)
fut = FinIborFuture(valuationDate, 3)
futs.append(fut)
fut = FinIborFuture(valuationDate, 4)
futs.append(fut)
fut = FinIborFuture(valuationDate, 5)
futs.append(fut)
fut = FinIborFuture(valuationDate, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = FinDayCountTypes.THIRTY_E_360
freq = FinFrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
notional = ONE_MILLION
fixedLegType = FinSwapTypes.PAY
swaps = []
swap = FinIborSwapOLD(settlementDate, "2Y", fixedLegType,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "3Y", fixedLegType,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "4Y", fixedLegType,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "5Y", fixedLegType,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "6Y", fixedLegType,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "7Y", fixedLegType,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "8Y", fixedLegType,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "9Y", fixedLegType,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "10Y", fixedLegType,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "11Y", fixedLegType,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "12Y", fixedLegType,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "15Y", fixedLegType,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "20Y", fixedLegType,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "25Y", fixedLegType,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "30Y", fixedLegType,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "40Y", fixedLegType,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "50Y", fixedLegType,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps,
interpType)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", swaps[0].fixedLegValue(valuationDate,
liborCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, liborCurve, liborCurve,
None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlementDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", swaps[0].fixedLegValue(settlementDate,
liborCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(settlementDate, liborCurve,
liborCurve, None))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
if 1 == 0:
plt.figure()
years = np.linspace(0, 50, 500)
dates = settlementDate.addYears(years)
fwds = liborCurve.fwd(dates)
plt.plot(years, fwds, label="Fwd Rate")
plt.title(interpType)
plt.xlabel("Years")
plt.legend()
years = np.linspace(0, 50, 500)
dates = settlementDate.addYears(years)
fwds = liborCurve.zeroRate(dates)
plt.plot(years, fwds, label="Zero Rate")
plt.title(interpType)
plt.xlabel("Years")
plt.ylabel("Rate")
plt.legend()
def test_bloombergPricingExample():
""" This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
"""
valuation_date = Date(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
maturity_date = settlement_date.addMonths(3)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuation_date, 1)
futs.append(fut)
fut = FinIborFuture(valuation_date, 2)
futs.append(fut)
fut = FinIborFuture(valuation_date, 3)
futs.append(fut)
fut = FinIborFuture(valuation_date, 4)
futs.append(fut)
fut = FinIborFuture(valuation_date, 5)
futs.append(fut)
fut = FinIborFuture(valuation_date, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlement_date = valuation_date.addWeekDays(spotDays)
notional = ONE_MILLION
fixed_legType = FinSwapTypes.PAY
interp_type = FinInterpTypes.FLAT_FWD_RATES
swaps = []
swap = FinIborSwap(settlement_date, "2Y", fixed_legType,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "3Y", fixed_legType,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "4Y", fixed_legType,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "5Y", fixed_legType,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "6Y", fixed_legType,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "7Y", fixed_legType,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "8Y", fixed_legType,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "9Y", fixed_legType,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "10Y", fixed_legType,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "11Y", fixed_legType,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "12Y", fixed_legType,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "15Y", fixed_legType,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "20Y", fixed_legType,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "25Y", fixed_legType,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "30Y", fixed_legType,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "40Y", fixed_legType,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "50Y", fixed_legType,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps,
interp_type, True)
principal = 0.0
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION")
testCases.header("LABEL", "VALUE")
testCases.print(
"VALUE:", swaps[0].value(valuation_date, libor_curve, libor_curve,
None))
testCases.print("FIXED:",
swaps[0]._fixed_leg.value(valuation_date, libor_curve))
testCases.print(
"FLOAT:", swaps[0]._floatLeg.value(valuation_date, libor_curve,
libor_curve, None))
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION TO SWAP SETTLEMENT DATE")
testCases.header("LABEL", "VALUE")
testCases.print(
"VALUE:", swaps[0].value(settlement_date, libor_curve, libor_curve,
None))
testCases.print("FIXED:",
swaps[0]._fixed_leg.value(settlement_date, libor_curve))
testCases.print(
"FLOAT:", swaps[0]._floatLeg.value(settlement_date, libor_curve,
libor_curve, None))
testCases.banner("======================================================")
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
oisCurve = buildOIS(valuation_date)
# print(oisCurve)
liborDualCurve = IborDualCurve(valuation_date, oisCurve, depos, fras,
swaps, FinInterpTypes.FLAT_FWD_RATES, True)
# print(liborDualCurve)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(valuation_date, oisCurve, liborDualCurve,
None))
testCases.print("FIXED:",
swaps[0]._fixed_leg.value(valuation_date, oisCurve))
testCases.print(
"FLOAT:", swaps[0]._floatLeg.value(valuation_date, oisCurve,
libor_curve, None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlement_date, oisCurve, liborDualCurve,
None))
testCases.print("FIXED:",
swaps[0]._fixed_leg.value(settlement_date, oisCurve))
testCases.print(
"FLOAT:", swaps[0]._floatLeg.value(
settlement_date,
oisCurve,
liborDualCurve,
None,
))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
PLOT = False
if PLOT is True:
years = np.linspace(0, 5, 21)
dates = settlement_date.addYears(years)
singleCurveFwds = libor_curve.fwd(dates)
plt.plot(years, singleCurveFwds, label="Single Libor Curve")
oisCurveFwds = oisCurve.fwd(dates)
plt.plot(years, oisCurveFwds, label="OIS Curve")
index_curveFwds = liborDualCurve.fwd(dates)
plt.plot(years, index_curveFwds, label="Libor Index Curve")
plt.legend()