def example03():
print("example 3:\n")
todays_date = Date(13, 6, 2011)
Settings.instance().evaluation_date = todays_date
quotes = [0.00445, 0.00949, 0.01234, 0.01776, 0.01935, 0.02084]
tenors = [1, 2, 3, 6, 9, 12]
calendar = WeekendsOnly()
deps = [
DepositRateHelper(q, Period(t, Months), 2, calendar, ModifiedFollowing,
False, Actual360()) for q, t in zip(quotes, tenors)
]
quotes = [
0.01652, 0.02018, 0.02303, 0.02525, 0.0285, 0.02931, 0.03017, 0.03092,
0.03160, 0.03231, 0.03367, 0.03419, 0.03411, 0.03411, 0.03412
]
tenors = [2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 15, 20, 25, 30]
swaps = [
SwapRateHelper.from_tenor(q, Period(t, Years), calendar, Annual,
ModifiedFollowing, Thirty360(), Euribor6M(),
SimpleQuote(0))
for q, t in zip(quotes, tenors)
]
yield_helpers = deps + swaps
isda_yts = PiecewiseYieldCurve(BootstrapTrait.Discount,
Interpolator.LogLinear, 0, WeekendsOnly(),
yield_helpers, Actual365Fixed())
spreads = [0.007927, 0.012239, 0.016979, 0.019271, 0.020860]
tenors = [1, 3, 5, 7, 10]
spread_helpers = [SpreadCdsHelper(0.007927, Period(6, Months), 1,
WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
Actual360(), 0.4, isda_yts, True, True,
Date(), Actual360(True), True, PricingModel.ISDA)] + \
[SpreadCdsHelper(s, Period(t, Years), 1, WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
Actual360(), 0.4, isda_yts, True, True, Date(), Actual360(True), True,
PricingModel.ISDA)
for s, t in zip(spreads, tenors)]
isda_cts = PiecewiseDefaultCurve(ProbabilityTrait.SurvivalProbability,
Interpolator.LogLinear, 0, WeekendsOnly(),
spread_helpers, Actual365Fixed())
isda_pricer = IsdaCdsEngine(isda_cts, 0.4, isda_yts)
print("Isda yield curve:")
for h in yield_helpers:
d = h.latest_date
t = isda_yts.time_from_reference(d)
print(d, t, isda_yts.zero_rate(d, Actual365Fixed()).rate)
print()
print("Isda credit curve:")
for h in spread_helpers:
d = h.latest_date
t = isda_cts.time_from_reference(d)
print(d, t, isda_cts.survival_probability(d))
def test_piecewise_methods(self):
for trait in ProbabilityTrait:
for interpolator in Interpolator:
curve = PiecewiseDefaultCurve.from_reference_date(
trait,
interpolator,
reference_date=self.todays_date,
helpers=[self.helper],
daycounter=Actual365Fixed())
if interpolator == Interpolator.LogLinear and \
trait in [ProbabilityTrait.HazardRate, ProbabilityTrait.DefaultDensity]:
with self.assertRaisesRegexp(
RuntimeError,
'LogInterpolation primitive not implemented'):
curve.survival_probability(self.d)
else:
self.assertEqual(
curve.survival_probability(self.d),
curve.survival_probability(
curve.time_from_reference(self.d)))
self.assertEqual(
curve.hazard_rate(self.d),
curve.hazard_rate(curve.time_from_reference(self.d)))
def example03():
print("example 3:\n")
todays_date = Date(13, 6, 2011)
Settings.instance().evaluation_date = todays_date
quotes = [0.00445, 0.00949, 0.01234, 0.01776, 0.01935, 0.02084]
tenors = [1, 2, 3, 6, 9, 12]
calendar = WeekendsOnly()
deps = [DepositRateHelper(q, Period(t, Months), 2, calendar, ModifiedFollowing, False, Actual360())
for q, t in zip(quotes, tenors)]
quotes = [0.01652, 0.02018, 0.02303, 0.02525, 0.0285, 0.02931, 0.03017, 0.03092, 0.03160, 0.03231,
0.03367, 0.03419, 0.03411, 0.03411, 0.03412]
tenors = [2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 15, 20, 25, 30]
swaps = [SwapRateHelper.from_tenor(q, Period(t, Years),
calendar, Annual, ModifiedFollowing,
Thirty360(), Euribor6M(), SimpleQuote(0)) for q, t
in zip(quotes, tenors)]
yield_helpers = deps + swaps
isda_yts = PiecewiseYieldCurve(BootstrapTrait.Discount, Interpolator.LogLinear, 0,
WeekendsOnly(), yield_helpers, Actual365Fixed())
spreads = [0.007927, 0.012239, 0.016979, 0.019271, 0.020860]
tenors = [1, 3, 5, 7, 10]
spread_helpers = [SpreadCdsHelper(0.007927, Period(6, Months), 1,
WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
Actual360(), 0.4, isda_yts, True, True,
Date(), Actual360(True), True, PricingModel.ISDA)] + \
[SpreadCdsHelper(s, Period(t, Years), 1, WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
Actual360(), 0.4, isda_yts, True, True, Date(), Actual360(True), True,
PricingModel.ISDA)
for s, t in zip(spreads, tenors)]
isda_cts = PiecewiseDefaultCurve(ProbabilityTrait.SurvivalProbability,
Interpolator.LogLinear, 0, WeekendsOnly(), spread_helpers,
Actual365Fixed())
isda_pricer = IsdaCdsEngine(isda_cts, 0.4, isda_yts)
print("Isda yield curve:")
for h in yield_helpers:
d = h.latest_date
t = isda_yts.time_from_reference(d)
print(d, t, isda_yts.zero_rate(d, Actual365Fixed()).rate)
print()
print("Isda credit curve:")
for h in spread_helpers:
d = h.latest_date
t = isda_cts.time_from_reference(d)
print(d, t, isda_cts.survival_probability(d))
def test_create_piecewise(self):
for trait in ProbabilityTrait:
for interpolator in Interpolator:
curve = PiecewiseDefaultCurve.from_reference_date(
trait,
interpolator,
reference_date=self.todays_date,
helpers=[self.helper],
daycounter=Actual365Fixed())
self.assertIsNotNone(curve)
def test_create_piecewise(self):
for trait in ProbabilityTrait:
for interpolator in Interpolator:
curve = PiecewiseDefaultCurve.from_reference_date(
trait,
interpolator,
reference_date=self.todays_date,
helpers=[self.helper],
daycounter=Actual365Fixed()
)
self.assertIsNotNone(curve)
def test_create_piecewise(self):
todays_date, helper = create_helper()
for trait in ['HazardRate', 'DefaultDensity', 'SurvivalProbability']:
for interpolator in ['Linear', 'LogLinear', 'BackwardFlat']:
curve = PiecewiseDefaultCurve(
trait,
interpolator,
reference_date=todays_date,
helpers=[helper],
daycounter=Actual365Fixed()
)
self.assertIsNotNone(curve)
def test_piecewise_methods(self):
for trait in ['HazardRate', 'DefaultDensity', 'SurvivalProbability']:
for interpolator in ['Linear', 'LogLinear', 'BackwardFlat']:
curve = PiecewiseDefaultCurve(
trait,
interpolator,
reference_date=self.todays_date,
helpers=[self.helper],
daycounter=Actual365Fixed()
)
if interpolator == "LogLinear" and trait in ["HazardRate",
"DefaultDensity"]:
with self.assertRaisesRegexp(RuntimeError,
'LogInterpolation primitive not implemented'):
curve.survival_probability(self.d)
else:
self.assertEqual(curve.survival_probability(self.d),
curve.survival_probability(curve.time_from_reference(self.d)))
self.assertEqual(curve.hazard_rate(self.d),
curve.hazard_rate(curve.time_from_reference(self.d)))
def test_piecewise_methods(self):
for trait in ProbabilityTrait:
for interpolator in Interpolator:
curve = PiecewiseDefaultCurve.from_reference_date(
trait,
interpolator,
reference_date=self.todays_date,
helpers=[self.helper],
daycounter=Actual365Fixed()
)
if interpolator == Interpolator.LogLinear and \
trait in [ProbabilityTrait.HazardRate, ProbabilityTrait.DefaultDensity]:
with self.assertRaisesRegexp(RuntimeError,
'LogInterpolation primitive not implemented'):
curve.survival_probability(self.d)
else:
self.assertEqual(curve.survival_probability(self.d),
curve.survival_probability(curve.time_from_reference(self.d)))
self.assertEqual(curve.hazard_rate(self.d),
curve.hazard_rate(curve.time_from_reference(self.d)))
tenors[i],
0,
calendar,
Quarterly,
Following,
TwentiethIMM,
Actual365Fixed(),
recovery_rate,
ts_curve,
)
instruments.append(helper)
# Bootstrap hazard rates
hazard_rate_structure = PiecewiseDefaultCurve.from_reference_date(
ProbabilityTrait.HazardRate, Interpolator.BackwardFlat, todays_date, instruments, Actual365Fixed()
)
# vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes();
# cout << "Calibrated hazard rate values: " << endl ;
# for (Size i=0; i<hr_curve_data.size(); i++) {
# cout << "hazard rate on " << hr_curve_data[i].first << " is "
# << hr_curve_data[i].second << endl;
# }
# cout << endl;
target = todays_date + Period(1, Years)
print(target)
print("Some survival probability values: ")
print("1Y survival probability: {:%}".format(hazard_rate_structure.survival_probability(target)))
tenors = [Period(i, Months) for i in [3, 6, 12, 24]]
maturities = [
calendar.adjust(todays_date + tenors[i], Following) for i in range(4)
]
instruments = []
for i in range(4):
helper = SpreadCdsHelper(
quoted_spreads[i], tenors[i], 0, calendar, Quarterly,
Following, TwentiethIMM, Actual365Fixed(), recovery_rate, ts_curve
)
instruments.append(helper)
# Bootstrap hazard rates
hazard_rate_structure = PiecewiseDefaultCurve(
'HazardRate', 'BackwardFlat', todays_date, instruments, Actual365Fixed()
)
#vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes();
#cout << "Calibrated hazard rate values: " << endl ;
#for (Size i=0; i<hr_curve_data.size(); i++) {
# cout << "hazard rate on " << hr_curve_data[i].first << " is "
# << hr_curve_data[i].second << endl;
#}
#cout << endl;
target = todays_date + Period(1, Years)
print target
print "Some survival probability values: "
def example01():
#*********************
#*** MARKET DATA ***
#*********************
calendar = TARGET()
todays_date = Date(15, May, 2007)
# must be a business day
todays_date = calendar.adjust(todays_date)
Settings.instance().evaluation_date = todays_date
# dummy curve
ts_curve = FlatForward(
reference_date=todays_date, forward=0.01, daycounter=Actual365Fixed()
)
# In Lehmans Brothers "guide to exotic credit derivatives"
# p. 32 there's a simple case, zero flat curve with a flat CDS
# curve with constant market spreads of 150 bp and RR = 50%
# corresponds to a flat 3% hazard rate. The implied 1-year
# survival probability is 97.04% and the 2-years is 94.18%
# market
recovery_rate = 0.5
quoted_spreads = [0.0150, 0.0150, 0.0150, 0.0150 ]
tenors = [Period(i, Months) for i in [3, 6, 12, 24]]
maturities = [
calendar.adjust(todays_date + tenors[i], Following) for i in range(4)
]
instruments = []
for i in range(4):
helper = SpreadCdsHelper(
quoted_spreads[i], tenors[i], 0, calendar, Quarterly,
Following, Rule.TwentiethIMM, Actual365Fixed(), recovery_rate, ts_curve
)
instruments.append(helper)
# Bootstrap hazard rates
hazard_rate_structure = PiecewiseDefaultCurve.from_reference_date(
ProbabilityTrait.HazardRate, Interpolator.BackwardFlat, todays_date, instruments, Actual365Fixed()
)
#vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes();
#cout << "Calibrated hazard rate values: " << endl ;
#for (Size i=0; i<hr_curve_data.size(); i++) {
# cout << "hazard rate on " << hr_curve_data[i].first << " is "
# << hr_curve_data[i].second << endl;
#}
#cout << endl;
target = todays_date + Period(1, Years)
print(target)
print("Some survival probability values: ")
print("1Y survival probability: {:%}".format(
hazard_rate_structure.survival_probability(target)
))
print(" expected: {:%}".format(0.9704))
print("2Y survival probability: {:%}".format(
hazard_rate_structure.survival_probability(todays_date + Period(2, Years))
))
print(" expected: {:%}".format(0.9418))
# reprice instruments
nominal = 1000000.0;
#Handle<DefaultProbabilityTermStructure> probability(hazardRateStructure);
engine = MidPointCdsEngine(hazard_rate_structure, recovery_rate, ts_curve)
cds_schedule = Schedule.from_rule(
todays_date, maturities[0], Period(Quarterly), calendar,
termination_date_convention=Unadjusted,
date_generation_rule=Rule.TwentiethIMM
)
cds_3m = CreditDefaultSwap(
Side.Seller, nominal, quoted_spreads[0], cds_schedule, Following,
Actual365Fixed()
)
cds_schedule = Schedule.from_rule(
todays_date, maturities[1], Period(Quarterly), calendar,
termination_date_convention=Unadjusted,
date_generation_rule=Rule.TwentiethIMM
)
cds_6m = CreditDefaultSwap(
Side.Seller, nominal, quoted_spreads[1], cds_schedule, Following,
Actual365Fixed()
)
cds_schedule = Schedule.from_rule(
todays_date, maturities[2], Period(Quarterly), calendar,
termination_date_convention=Unadjusted,
date_generation_rule=Rule.TwentiethIMM
)
cds_1y = CreditDefaultSwap(
Side.Seller, nominal, quoted_spreads[2], cds_schedule, Following,
Actual365Fixed()
)
cds_schedule = Schedule.from_rule(
todays_date, maturities[3], Period(Quarterly), calendar,
termination_date_convention=Unadjusted,
date_generation_rule=Rule.TwentiethIMM
)
cds_2y = CreditDefaultSwap(
Side.Seller, nominal, quoted_spreads[3], cds_schedule, Following,
Actual365Fixed()
)
cds_3m.set_pricing_engine(engine);
cds_6m.set_pricing_engine(engine);
cds_1y.set_pricing_engine(engine);
cds_2y.set_pricing_engine(engine);
print("Repricing of quoted CDSs employed for calibration: ")
print("3M fair spread: {}".format(cds_3m.fair_spread))
print(" NPV: ", cds_3m.net_present_value)
print(" default leg: ", cds_3m.default_leg_npv)
print(" coupon leg: ", cds_3m.coupon_leg_npv)
print("6M fair spread: {}".format(cds_6m.fair_spread))
print(" NPV: ", cds_6m.net_present_value)
print(" default leg: ", cds_6m.default_leg_npv)
print(" coupon leg: ", cds_6m.coupon_leg_npv)
print("1Y fair spread: {}".format(cds_1y.fair_spread))
print(" NPV: ", cds_1y.net_present_value)
print(" default leg: ", cds_1y.default_leg_npv)
print(" coupon leg: ", cds_1y.coupon_leg_npv)
print("2Y fair spread: {}".format(cds_2y.fair_spread))
print(" NPV: ", cds_2y.net_present_value)
print(" default leg: ", cds_2y.default_leg_npv)
print(" coupon leg: ", cds_2y.coupon_leg_npv)
print()
tenors = [Period(i, Months) for i in [3, 6, 12, 24]]
maturities = [
calendar.adjust(todays_date + tenors[i], Following) for i in range(4)
]
instruments = []
for i in range(4):
helper = SpreadCdsHelper(
quoted_spreads[i], tenors[i], 0, calendar, Quarterly,
Following, TwentiethIMM, Actual365Fixed(), recovery_rate, ts_curve
)
instruments.append(helper)
# Bootstrap hazard rates
hazard_rate_structure = PiecewiseDefaultCurve(
'HazardRate', 'BackwardFlat', todays_date, instruments, Actual365Fixed()
)
#vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes();
#cout << "Calibrated hazard rate values: " << endl ;
#for (Size i=0; i<hr_curve_data.size(); i++) {
# cout << "hazard rate on " << hr_curve_data[i].first << " is "
# << hr_curve_data[i].second << endl;
#}
#cout << endl;
target = todays_date + Period(1, Years)
print(target)
print("Some survival probability values: ")
quoted_spreads = [0.0150, 0.0150, 0.0150, 0.0150]
tenors = [Period(i, Months) for i in [3, 6, 12, 24]]
maturities = [
calendar.adjust(todays_date + tenors[i], Following) for i in range(4)
]
instruments = []
for i in range(4):
helper = SpreadCdsHelper(quoted_spreads[i], tenors[i], 0, calendar,
Quarterly, Following, TwentiethIMM,
Actual365Fixed(), recovery_rate, ts_curve)
instruments.append(helper)
# Bootstrap hazard rates
hazard_rate_structure = PiecewiseDefaultCurve.from_reference_date(
ProbabilityTrait.HazardRate, Interpolator.BackwardFlat, todays_date,
instruments, Actual365Fixed())
#vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes();
#cout << "Calibrated hazard rate values: " << endl ;
#for (Size i=0; i<hr_curve_data.size(); i++) {
# cout << "hazard rate on " << hr_curve_data[i].first << " is "
# << hr_curve_data[i].second << endl;
#}
#cout << endl;
target = todays_date + Period(1, Years)
print(target)
print("Some survival probability values: ")
print("1Y survival probability: {:%}".format(
def example01():
#*********************
#*** MARKET DATA ***
#*********************
calendar = TARGET()
todays_date = Date(15, May, 2007)
# must be a business day
todays_date = calendar.adjust(todays_date)
Settings.instance().evaluation_date = todays_date
# dummy curve
ts_curve = FlatForward(
reference_date=todays_date, forward=0.01, daycounter=Actual365Fixed()
)
# In Lehmans Brothers "guide to exotic credit derivatives"
# p. 32 there's a simple case, zero flat curve with a flat CDS
# curve with constant market spreads of 150 bp and RR = 50%
# corresponds to a flat 3% hazard rate. The implied 1-year
# survival probability is 97.04% and the 2-years is 94.18%
# market
recovery_rate = 0.5
quoted_spreads = [0.0150, 0.0150, 0.0150, 0.0150 ]
tenors = [Period(i, Months) for i in [3, 6, 12, 24]]
maturities = [
calendar.adjust(todays_date + tenors[i], Following) for i in range(4)
]
instruments = []
for i in range(4):
helper = SpreadCdsHelper(
quoted_spreads[i], tenors[i], 0, calendar, Quarterly,
Following, Rule.TwentiethIMM, Actual365Fixed(), recovery_rate, ts_curve
)
instruments.append(helper)
# Bootstrap hazard rates
hazard_rate_structure = PiecewiseDefaultCurve.from_reference_date(
ProbabilityTrait.HazardRate, Interpolator.BackwardFlat, todays_date, instruments, Actual365Fixed()
)
#vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes();
#cout << "Calibrated hazard rate values: " << endl ;
#for (Size i=0; i<hr_curve_data.size(); i++) {
# cout << "hazard rate on " << hr_curve_data[i].first << " is "
# << hr_curve_data[i].second << endl;
#}
#cout << endl;
target = todays_date + Period(1, Years)
print(target)
print("Some survival probability values: ")
print("1Y survival probability: {:%}".format(
hazard_rate_structure.survival_probability(target)
))
print(" expected: {:%}".format(0.9704))
print("2Y survival probability: {:%}".format(
hazard_rate_structure.survival_probability(todays_date + Period(2, Years))
))
print(" expected: {:%}".format(0.9418))
# reprice instruments
nominal = 1000000.0;
#Handle<DefaultProbabilityTermStructure> probability(hazardRateStructure);
engine = MidPointCdsEngine(hazard_rate_structure, recovery_rate, ts_curve)
cds_schedule = Schedule.from_rule(
todays_date, maturities[0], Period(Quarterly), calendar,
termination_date_convention=Unadjusted,
date_generation_rule=Rule.TwentiethIMM
)
cds_3m = CreditDefaultSwap(
Side.Seller, nominal, quoted_spreads[0], cds_schedule, Following,
Actual365Fixed()
)
cds_schedule = Schedule.from_rule(
todays_date, maturities[1], Period(Quarterly), calendar,
termination_date_convention=Unadjusted,
date_generation_rule=Rule.TwentiethIMM
)
cds_6m = CreditDefaultSwap(
Side.Seller, nominal, quoted_spreads[1], cds_schedule, Following,
Actual365Fixed()
)
cds_schedule = Schedule.from_rule(
todays_date, maturities[2], Period(Quarterly), calendar,
termination_date_convention=Unadjusted,
date_generation_rule=Rule.TwentiethIMM
)
cds_1y = CreditDefaultSwap(
Side.Seller, nominal, quoted_spreads[2], cds_schedule, Following,
Actual365Fixed()
)
cds_schedule = Schedule.from_rule(
todays_date, maturities[3], Period(Quarterly), calendar,
termination_date_convention=Unadjusted,
date_generation_rule=Rule.TwentiethIMM
)
cds_2y = CreditDefaultSwap(
Side.Seller, nominal, quoted_spreads[3], cds_schedule, Following,
Actual365Fixed()
)
cds_3m.set_pricing_engine(engine);
cds_6m.set_pricing_engine(engine);
cds_1y.set_pricing_engine(engine);
cds_2y.set_pricing_engine(engine);
print("Repricing of quoted CDSs employed for calibration: ")
print("3M fair spread: {}".format(cds_3m.fair_spread))
print(" NPV: ", cds_3m.net_present_value)
print(" default leg: ", cds_3m.default_leg_npv)
print(" coupon leg: ", cds_3m.coupon_leg_npv)
print("6M fair spread: {}".format(cds_6m.fair_spread))
print(" NPV: ", cds_6m.net_present_value)
print(" default leg: ", cds_6m.default_leg_npv)
print(" coupon leg: ", cds_6m.coupon_leg_npv)
print("1Y fair spread: {}".format(cds_1y.fair_spread))
print(" NPV: ", cds_1y.net_present_value)
print(" default leg: ", cds_1y.default_leg_npv)
print(" coupon leg: ", cds_1y.coupon_leg_npv)
print("2Y fair spread: {}".format(cds_2y.fair_spread))
print(" NPV: ", cds_2y.net_present_value)
print(" default leg: ", cds_2y.default_leg_npv)
print(" coupon leg: ", cds_2y.coupon_leg_npv)
print()