def jpy_3m_example():
calendar = objects.get('JAPAN')
start = ql.Date(15, 3, 2020)
maturity = ql.Date(15, 6, 2020)
fixedSchedule = ql.MakeSchedule(start,
maturity,
ql.Period('3M'),
calendar=calendar)
floatSchedule = ql.MakeSchedule(start,
maturity,
ql.Period('3M'),
calendar=calendar)
jpy_3m_crv = curves.get('JPY.3M')
jpy_3m_yts = ql.YieldTermStructureHandle(jpy_3m_crv)
jpy_libor_3m = objects.get('JPY.3M').clone(jpy_3m_yts)
jpy_yts = ql.YieldTermStructureHandle(curves.get('JPY.OIS'))
engine = ql.DiscountingSwapEngine(jpy_yts)
swap = ql.VanillaSwap(ql.VanillaSwap.Receiver, 1e9, fixedSchedule,
-0.15 / 100, ql.Actual365Fixed(), floatSchedule,
jpy_libor_3m, 0, ql.Actual360())
swap.setPricingEngine(engine)
print(f"Swap NPV : {swap.NPV():,.2f}")
print(f"Swap Rate : {swap.fairRate() * 100:,.6f}")
def __init__(self, swapType, notional, start, maturity, index1, index2, spread, discount):
self.swapType = swapType
self.notional = notional
self.start = start
self.maturity = maturity
self.yts1 = ql.YieldTermStructureHandle(curves.get(index1))
self.index1 = objects.get(index1).clone(self.yts1)
self.yts2 = ql.YieldTermStructureHandle(curves.get(index2))
self.index2 = objects.get(index2).clone(self.yts2)
self.spread = spread / 100 / 100
self.discount_yts = ql.YieldTermStructureHandle(curves.get(discount))
self.engine = ql.DiscountingSwapEngine(self.discount_yts)
self.swap = self.makeInstrument(
swapType, notional, start, maturity, self.index1, self.index2, spread)
self.swap.setPricingEngine(self.engine)
def __init__(self, index1, index2, discount, spread, notional, start,
maturity):
self.swapType = ql.VanillaSwap.Payer
self.notional = notional
self.start = ql.Date(start, '%d-%m-%Y')
self.maturity = ql.Date(maturity, '%d-%m-%Y')
self.yts1 = ql.YieldTermStructureHandle(curves.get(index1))
self.index1 = objects.get(index1).clone(self.yts1)
self.yts2 = ql.YieldTermStructureHandle(curves.get(index2))
self.index2 = objects.get(index2).clone(self.yts2)
self.spread = spread / 100 / 100
self.discount_yts = ql.YieldTermStructureHandle(curves.get(discount))
self.engine = ql.DiscountingSwapEngine(self.discount_yts)
self.swap = self.makeInstrument(notional, self.start, self.maturity,
self.index1, self.index2, self.spread)
self.swap.setPricingEngine(self.engine)
def __init__(self, config, notional, start, maturity, fixedRate, spread,
*rest):
self.config = swap_configs[config]
self.notional = notional
self.start = ql.Date(start, '%d-%m-%Y')
self.maturity = ql.Date(maturity, '%d-%m-%Y')
self.fixedRate = fixedRate / 100
self.spread = spread / 100
self.fixedFreq = ql.Period(self.config.get('fixedFreq'))
self.fixedDayCount = self.config.get('fixedDayCount')
self.calendar = self.config.get('calendar')
self.fixedSchedule = ql.MakeSchedule(self.start,
self.maturity,
self.fixedFreq,
calendar=self.calendar,
rule=ql.DateGeneration.Backward)
self.floatIndex = self.config.get('floatIndex')
self.forwardCurve = curves.get(config)
self.forwardCurve_yts = ql.RelinkableYieldTermStructureHandle()
self.forwardCurve_yts.linkTo(self.forwardCurve)
self.floatIndex = self.floatIndex.clone(self.forwardCurve_yts)
self.floatSchedule = ql.MakeSchedule(self.start,
self.maturity,
self.floatIndex.tenor(),
calendar=self.calendar,
rule=ql.DateGeneration.Backward)
self.swap = ql.VanillaSwap(ql.VanillaSwap.Payer, self.notional,
self.fixedSchedule, self.fixedRate,
self.fixedDayCount, self.floatSchedule,
self.floatIndex, self.spread,
self.floatIndex.dayCounter())
self.discountCurve = curves.get(self.config.get('discountCurve'))
self.discountCurve_yts = ql.RelinkableYieldTermStructureHandle()
self.discountCurve_yts.linkTo(self.discountCurve)
engine = ql.DiscountingSwapEngine(self.discountCurve_yts)
self.swap.setPricingEngine(engine)