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 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_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)))
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()
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()