def test_create_fra_rate_helper(self):
quote = SimpleQuote(0.0096)
month_to_start = 3
month_to_end = 9
fixing_days = 2
calendar = TARGET()
convention = ModifiedFollowing
end_of_month = True
day_counter = Actual365Fixed()
helper_from_quote = FraRateHelper(quote, month_to_start, month_to_end,
fixing_days, calendar, convention,
end_of_month, day_counter)
helper_from_float = FraRateHelper(0.0096, month_to_start, month_to_end,
fixing_days, calendar, convention,
end_of_month, day_counter)
self.assertIsNotNone(helper_from_float, helper_from_quote)
self.assertEqual(quote.value, helper_from_quote.quote)
self.assertEqual(helper_from_quote.quote, helper_from_float.quote)
swap_rates = [
0.00424, 0.00576, 0.00762, 0.00954, 0.011350, 0.014520, 0.015840, 0.018090,
0.020370, 0.021870, 0.022340, 0.022560, 0.022950, 0.023480, 0.024210,
0.02463
]
swap_periods = [3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 25, 30, 35, 40, 50, 60]
swap_quotes = {
p * Years: SimpleQuote(r)
for r, p in zip(swap_rates, swap_periods)
}
d6M = DepositRateHelper(d6MRate, 6 * Months, 3, calendar, Following, False,
depositDayCounter)
fras = [
FraRateHelper.from_index(r, p, euribor6M)
for r, p in zip(fra_rates, fra_periods)
]
# setup swaps
swFixedLegFrequency = Annual
swFixedLegConvention = Unadjusted
swFixedLegDayCounter = Thirty360(European)
swFloatingLegIndex = Euribor6M()
swaps = [
SwapRateHelper.from_tenor(r,
p,
calendar,
swFixedLegFrequency,