def test_get_im_equityoption():
option2 = EquityOption(notional=100,
strike=50,
maturity=ql.Period(3, ql.Years),
tradeType=TradeType.CALL,
tradeDirection=TradeDirection.LONG,
underlying=Stock.ADS)
simm = SIMM()
simm.add_trades(option2)
im = simm.get_im_receive()
asdf = 1
def initialMargining(self, value: InitialMargining):
self.check_margin_model_consistency(initialMargining=value)
if value == InitialMargining.CCPIMM:
self.im_model = CCPIMM(resultCurrency=self.margin_currency)
elif value == InitialMargining.SIMM:
self.im_model = SIMM(resultCurrency=self.margin_currency)
elif value == InitialMargining.NO_IM:
self.im_model = NOIMM(resultCurrency=self.margin_currency)
self.im_model.add_trades(self.trades)
self.__initialMargining = value
def test_get_im_swaption():
tts = ql.Period(2, ql.Years)
tte = ql.Period(10, ql.Years)
swap1 = IRS(600, tts, tte, SwapDirection.RECEIVER,
InterestRateIndex.USDLIBOR3M)
swaption1 = Swaption(swap1, ql.Period(2, ql.Years))
simm = SIMM()
simm.add_trades(swaption1)
im = simm.get_im_receive()
swap2 = IRS(600, tts, tte, SwapDirection.RECEIVER,
InterestRateIndex.EURIBOR6M)
simm.add_trades(swap2)
im = simm.get_im_receive()
def test_equality_with_simm_for_irs():
irs = IRS(notional=100, timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M)
ois = OIS(notional=100, timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.FEDFUNDS)
ul_swap = IRS(notional=100, timeToSwapStart=ql.Period(1, ql.Years),
timeToSwapEnd=ql.Period(2, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.USDLIBOR3M)
swaption = Swaption(underlyingSwap=ul_swap, optionMaturity=ql.Period(1, ql.Years))
simm = SIMM()
simm.add_trades([irs, ois, ul_swap, swaption])
ccpimm = CCPIMM()
ccpimm.add_trades([irs, ois, ul_swap, swaption])
assert simm.get_im_post() != 0
assert ccpimm.get_im_post() != 0
assert approx(simm.get_im_post(), rel=0.00001) == ccpimm.get_im_post() * sqrt(10 / 5)
def get_im_post(self):
im_role = ImRole.PLEDGOR
if self.post_calculated:
return self.im_post
equity_trades = []
irs_trades = []
for t in self.trades:
if t.assetClass == AssetClass.EQ:
equity_trades.append(t)
elif t.assetClass == AssetClass.IR:
irs_trades.append(t)
else:
raise (Exception(
'can only handle equity and interest rate trades'))
self.equity_model = SIMM()
self.irs_model = SIMM()
self.equity_model.add_trades(equity_trades)
self.irs_model.add_trades(irs_trades)
eq_im_post = self.equity_model.get_im_post() * sqrt(
CCPIMM.equity_holding_period / CCPIMM.bilateral_holding_period)
irs_im_post = self.irs_model.get_im_post() * sqrt(
CCPIMM.irs_holding_period / CCPIMM.bilateral_holding_period)
self.im_post = eq_im_post + irs_im_post
return self.im_post
def test_get_im_ois():
tts = ql.Period(2, ql.Days)
tte = ql.Period(5, ql.Years)
ois = OIS(1000,
tts,
tte,
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.FEDFUNDS)
simm = SIMM()
simm.add_trades([ois])
im = simm.get_im_receive()
ois2 = OIS(1000,
tts,
tte,
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EONIA)
simm.add_trades(ois2)
im = simm.get_im_receive()
class CCPIMM(InitialMarginModel):
equity_holding_period = 3
irs_holding_period = 5
bilateral_holding_period = 10
def __init__(self, resultCurrency: Currency = Currency.USD):
self.calculationCurrency = Currency.USD
self.resultCurrency = resultCurrency
self.trades = []
self.im_receive = 0
self.im_post = None
self.equity_model = None
self.irs_model = None
self.receive_calculated = True
self.post_calculated = False
self.allocated = False
def get_im_post(self):
im_role = ImRole.PLEDGOR
if self.post_calculated:
return self.im_post
equity_trades = []
irs_trades = []
for t in self.trades:
if t.assetClass == AssetClass.EQ:
equity_trades.append(t)
elif t.assetClass == AssetClass.IR:
irs_trades.append(t)
else:
raise (Exception(
'can only handle equity and interest rate trades'))
self.equity_model = SIMM()
self.irs_model = SIMM()
self.equity_model.add_trades(equity_trades)
self.irs_model.add_trades(irs_trades)
eq_im_post = self.equity_model.get_im_post() * sqrt(
CCPIMM.equity_holding_period / CCPIMM.bilateral_holding_period)
irs_im_post = self.irs_model.get_im_post() * sqrt(
CCPIMM.irs_holding_period / CCPIMM.bilateral_holding_period)
self.im_post = eq_im_post + irs_im_post
return self.im_post
def get_im_receive(self):
return self.im_receive
def __resetCalculated__(self):
self.im_post = None
self.equity_model = None
self.irs_model = None
self.post_calculated = False
self.allocated = False
def test_im_post_vs_receive_linear():
# When setting up an IRS IM post should be = IM receive
irs = IRS(notional=100,
timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M)
simm = SIMM()
simm.add_trades(irs)
im_receive = simm.get_im_receive()
im_post = simm.get_im_post()
assert im_receive > 0
assert im_post < 0
assert -1 * im_receive == im_post
def test_setup_simm():
tts = ql.Period(2, ql.Days)
tte = ql.Period(10, ql.Years)
swap = IRS(100,
tts,
tte,
SwapDirection.PAYER,
InterestRateIndex.EURIBOR6M,
fixed_rate=0.05)
simm = SIMM()
simm.add_trades(swap)
swap2 = IRS(600, tts, tte, SwapDirection.RECEIVER,
InterestRateIndex.USDLIBOR3M)
swap3 = IRS(400, tts, tte, SwapDirection.RECEIVER,
InterestRateIndex.EURIBOR6M)
simm.add_trades([swap2, swap3])
yield simm
def test_equality_with_simm_for_eq():
eq_opt = EquityOption(maturity=ql.Period(1, ql.Years),
tradeType=TradeType.CALL,
tradeDirection=TradeDirection.LONG,
underlying=Stock.DBK)
eq_opt2 = EquityOption(maturity=ql.Period(1, ql.Years),
tradeType=TradeType.PUT,
tradeDirection=TradeDirection.SHORT,
underlying=Stock.ADS,
strike=EquitySpot.ADS.value.value() - 5)
simm = SIMM()
simm.add_trades([eq_opt, eq_opt2])
ccpimm = CCPIMM()
ccpimm.add_trades([eq_opt, eq_opt2])
assert simm.get_im_post() != 0
assert ccpimm.get_im_post() != 0
assert approx(simm.get_im_post(), rel=0.00001) == ccpimm.get_im_post() * sqrt(10 / 3)
def test_im_post_vs_receive_option():
# When setting up at the money options that expire soon enough the long side of the option should bear significant less IM than the short side
swap = IRS(notional=100,
timeToSwapStart=ql.Period(6, ql.Months),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M)
options = []
swaption = Swaption(underlyingSwap=swap,
optionMaturity=ql.Period(6, ql.Months),
tradeDirection=TradeDirection.LONG)
options.append(swaption)
eqOpt1 = EquityOption(maturity=ql.Period(2, ql.Months),
tradeType=TradeType.CALL,
tradeDirection=TradeDirection.LONG)
options.append(eqOpt1)
for option in options:
simm = SIMM()
simm.add_trades(option)
im_receive = simm.get_im_receive()
im_post = -1 * simm.get_im_post()
assert im_post * 1.1 < im_receive
eqOpt2 = EquityOption(maturity=ql.Period(2, ql.Months),
tradeType=TradeType.PUT,
tradeDirection=TradeDirection.SHORT)
simm = SIMM()
simm.add_trades(eqOpt2)
im_receive = simm.get_im_receive()
im_post = -1 * simm.get_im_post()
assert im_receive * 1.1 < im_post