def test_excel_example_with_floating_rate_bond(self):
todays_date = Date(25, August, 2011)
settings = Settings()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(effective_date,
10,
Years,
convention=Unadjusted)
settlement_date = calendar.adjust(Date(28, January, 2011))
settlement_days = 3 #1
face_amount = 13749769.27 #2
coupon_rate = 0.05
redemption = 100.0
float_bond_schedule = Schedule(effective_date, termination_date,
Period(Annual), calendar,
ModifiedFollowing, ModifiedFollowing,
Backward) #3
flat_discounting_term_structure = YieldTermStructure(relinkable=True)
forecastTermStructure = YieldTermStructure(relinkable=True)
dc = Actual360()
ibor_index = Euribor6M(forecastTermStructure) #5
fixing_days = 2 #6
gearings = [1, 0.0] #7
spreads = [1, 0.05] #8
caps = [] #9
floors = [] #10
pmt_conv = ModifiedFollowing #11
issue_date = effective_date
float_bond = FloatingRateBond(settlement_days, face_amount,
float_bond_schedule, ibor_index, dc,
fixing_days, gearings, spreads, caps,
floors, pmt_conv, redemption, issue_date)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.055,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
flat_discounting_term_structure.link_to(flat_term_structure)
forecastTermStructure.link_to(flat_term_structure)
engine = DiscountingBondEngine(flat_discounting_term_structure)
float_bond.set_pricing_engine(engine)
cons_option_vol = ConstantOptionletVolatility(settlement_days,
UnitedStates(SETTLEMENT),
pmt_conv, 0.95,
Actual365Fixed())
coupon_pricer = BlackIborCouponPricer(cons_option_vol)
set_coupon_pricer(float_bond, coupon_pricer)
self.assertEquals(Date(10, Jul, 2016), termination_date)
self.assertEquals(calendar.advance(todays_date, 3, Days),
float_bond.settlement_date())
self.assertEquals(Date(11, Jul, 2016), float_bond.maturity_date)
self.assertAlmostEqual(
0.6944, float_bond.accrued_amount(float_bond.settlement_date()), 4)
self.assertAlmostEqual(98.2485, float_bond.dirty_price, 4)
self.assertAlmostEqual(13500805.2469, float_bond.npv, 4)
def test_excel_example_with_floating_rate_bond(self):
todays_date = Date(25, August, 2011)
settings = Settings()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(
effective_date, 10, Years, convention=Unadjusted
)
settlement_date = calendar.adjust(Date(28, January, 2011))
settlement_days = 3 #1
face_amount = 13749769.27 #2
coupon_rate = 0.05
redemption = 100.0
float_bond_schedule = Schedule(
effective_date,
termination_date,
Period(Annual),
calendar,
ModifiedFollowing,
ModifiedFollowing,
Backward
)#3
flat_discounting_term_structure = YieldTermStructure(relinkable=True)
forecastTermStructure = YieldTermStructure(relinkable=True)
dc = Actual360()
ibor_index = Euribor6M(forecastTermStructure) #5
fixing_days = 2 #6
gearings = [1,0.0] #7
spreads = [1,0.05] #8
caps = [] #9
floors = [] #10
pmt_conv = ModifiedFollowing #11
issue_date = effective_date
float_bond = FloatingRateBond(settlement_days, face_amount, float_bond_schedule, ibor_index, dc,
fixing_days, gearings, spreads, caps, floors, pmt_conv, redemption, issue_date)
flat_term_structure = FlatForward(
settlement_days = 1,
forward = 0.055,
calendar = NullCalendar(),
daycounter = Actual365Fixed(),
compounding = Continuous,
frequency = Annual)
flat_discounting_term_structure.link_to(flat_term_structure)
forecastTermStructure.link_to(flat_term_structure)
engine = DiscountingBondEngine(flat_discounting_term_structure)
float_bond.set_pricing_engine(engine)
cons_option_vol = ConstantOptionletVolatility(settlement_days, UnitedStates(SETTLEMENT), pmt_conv, 0.95, Actual365Fixed())
coupon_pricer = BlackIborCouponPricer(cons_option_vol)
set_coupon_pricer(float_bond,coupon_pricer)
self.assertEquals(Date(10, Jul, 2016), termination_date)
self.assertEquals(
calendar.advance(todays_date, 3, Days), float_bond.settlement_date()
)
self.assertEquals(Date(11, Jul, 2016), float_bond.maturity_date)
self.assertAlmostEqual(
0.6944, float_bond.accrued_amount(float_bond.settlement_date()), 4
)
self.assertAlmostEqual(98.2485, float_bond.dirty_price, 4)
self.assertAlmostEqual(13500805.2469, float_bond.npv,4)