def test_create_swap_rate_helper_from_index(self): calendar = UnitedStates() settlement_days = 2 currency = USDCurrency() fixed_leg_tenor = Period(12, Months) fixed_leg_convention = ModifiedFollowing fixed_leg_daycounter = Actual360() family_name = currency.name + 'index' ibor_index = Libor( "USDLibor", Period(3,Months), settlement_days, USDCurrency(), UnitedStates(), Actual360() ) rate = SimpleQuote(0.005681) tenor = Period(1, Years) index = SwapIndex ( family_name, tenor, settlement_days, currency, calendar, fixed_leg_tenor, fixed_leg_convention, fixed_leg_daycounter, ibor_index) helper_from_quote = SwapRateHelper.from_index(rate, index) helper_from_float = SwapRateHelper.from_index(0.005681, index) #self.fail( # 'Make this pass: create and ask for the .quote property' # ' Test the from_index and from_tenor methods' #) self.assertIsNotNone(helper_from_quote, helper_from_float) self.assertAlmostEqual(rate.value, helper_from_quote.quote.value) self.assertAlmostEqual(helper_from_float.quote.value, helper_from_quote.quote.value) with self.assertRaises(RuntimeError): self.assertAlmostEqual(rate.value, helper_from_quote.implied_quote)
def test_create_swap_rate_helper_from_index(self): calendar = UnitedStates() settlement_days = 2 currency = USDCurrency() fixed_leg_tenor = Period(12, Months) fixed_leg_convention = ModifiedFollowing fixed_leg_daycounter = Actual360() family_name = currency.name + 'index' ibor_index = Libor( "USDLibor", Period(3,Months), settlement_days, USDCurrency(), UnitedStates(), Actual360() ) rate = SimpleQuote(0.005681) tenor = Period(1, Years) index = SwapIndex ( family_name, tenor, settlement_days, currency, calendar, fixed_leg_tenor, fixed_leg_convention, fixed_leg_daycounter, ibor_index) helper_from_quote = SwapRateHelper.from_index(rate, index) helper_from_float = SwapRateHelper.from_index(0.005681, index) #self.fail( # 'Make this pass: create and ask for the .quote property' # ' Test the from_index and from_tenor methods' #) self.assertIsNotNone(helper_from_quote, helper_from_float) self.assertAlmostEqual(rate.value, helper_from_quote.quote.value) self.assertAlmostEqual(helper_from_float.quote.value, helper_from_quote.quote.value) with self.assertRaises(RuntimeError): self.assertAlmostEqual(rate.value, helper_from_quote.implied_quote)
def test_create_swap_rate_helper_from_index(self): from quantlib.currency import USDCurrency from quantlib.indexes.swap_index import SwapIndex from quantlib.indexes.libor import Libor from quantlib.time.api import Years, UnitedStates, Actual360 calendar = UnitedStates() settlement_days = 2 currency = USDCurrency() fixed_leg_tenor = Period(12, Months) fixed_leg_convention = ModifiedFollowing fixed_leg_daycounter = Actual360() family_name = currency.name + 'index' ibor_index = Libor( "USDLibor", Period(3,Months), settlement_days, USDCurrency(), UnitedStates(), Actual360() ) rate = 0.005681 tenor = Period(1, Years) index = SwapIndex ( family_name, tenor, settlement_days, currency, calendar, fixed_leg_tenor, fixed_leg_convention, fixed_leg_daycounter, ibor_index) helper = SwapRateHelper.from_index(rate, index) #self.fail( # 'Make this pass: create and ask for the .quote property' # ' Test the from_index and from_tenor methods' #) self.assertIsNotNone(helper) self.assertAlmostEquals(rate, helper.quote) with self.assertRaises(RuntimeError): self.assertAlmostEquals(rate, helper.implied_quote)
def test_create_swap_rate_helper_from_index(self): from quantlib.currency import USDCurrency from quantlib.indexes.swap_index import SwapIndex from quantlib.indexes.libor import Libor from quantlib.time.api import Years, UnitedStates, Actual360 calendar = UnitedStates() settlement_days = 2 currency = USDCurrency() fixed_leg_tenor = Period(12, Months) fixed_leg_convention = ModifiedFollowing fixed_leg_daycounter = Actual360() family_name = currency.name + 'index' ibor_index = Libor( "USDLibor", Period(3,Months), settlement_days, USDCurrency(), UnitedStates(), Actual360() ) rate = 0.005681 tenor = Period(1, Years) index = SwapIndex ( family_name, tenor, settlement_days, currency, calendar, fixed_leg_tenor, fixed_leg_convention, fixed_leg_daycounter, ibor_index) helper = SwapRateHelper.from_index(rate, index) #self.fail( # 'Make this pass: create and ask for the .quote property' # ' Test the from_index and from_tenor methods' #) self.assertIsNotNone(helper) self.assertAlmostEquals(rate, helper.quote) with self.assertRaises(RuntimeError): self.assertAlmostEquals(rate, helper.implied_quote)
def test_zero_curve_on_swap_index(self): todays_date = today() calendar = UnitedStates() # INPUT dayCounter = Actual360() # INPUT currency = USDCurrency() # INPUT Settings.instance().evaluation_date = todays_date settlement_days = 2 settlement_date = calendar.advance( todays_date, period=Period(settlement_days, Days) ) liborRates = [ SimpleQuote(0.002763), SimpleQuote(0.004082), SimpleQuote(0.005601), SimpleQuote(0.006390), SimpleQuote(0.007125), SimpleQuote(0.007928), SimpleQuote(0.009446), SimpleQuote(0.01110)] liborRatesTenor = [Period(tenor, Months) for tenor in [1,2,3,4,5,6,9,12]] Libor_dayCounter = Actual360(); swapRates = [SimpleQuote(0.005681), SimpleQuote(0.006970), SimpleQuote(0.009310), SimpleQuote(0.012010), SimpleQuote(0.014628), SimpleQuote(0.016881), SimpleQuote(0.018745), SimpleQuote(0.020260), SimpleQuote(0.021545)] swapRatesTenor = [Period(i, Years) for i in range(2, 11)] # description of the fixed leg of the swap Swap_fixedLegTenor = Period(12, Months) # INPUT Swap_fixedLegConvention = ModifiedFollowing # INPUT Swap_fixedLegDayCounter = Actual360() # INPUT # description of the float leg of the swap Swap_iborIndex = Libor( "USDLibor", Period(3, Months), settlement_days, USDCurrency(), UnitedStates(), Actual360() ) SwapFamilyName = currency.name + "swapIndex" instruments = [] # ++++++++++++++++++++ Creation of the vector of RateHelper (need for the Yield Curve construction) # ++++++++++++++++++++ Libor LiborFamilyName = currency.name + "Libor" instruments = [] for rate, tenor in zip(liborRates, liborRatesTenor): # Index description ___ creation of a Libor index liborIndex = Libor( LiborFamilyName, tenor, settlement_days, currency, calendar, Libor_dayCounter ) # Initialize rate helper # the DepositRateHelper link the recording rate with the Libor # index instruments.append(DepositRateHelper(rate, index=liborIndex)) for tenor, rate in zip(swapRatesTenor, swapRates): # swap description ___ creation of a swap index. The floating leg is described in the index 'Swap_iborIndex' swapIndex = SwapIndex ( SwapFamilyName, tenor, settlement_days, currency, calendar, Swap_fixedLegTenor, Swap_fixedLegConvention, Swap_fixedLegDayCounter, Swap_iborIndex ) # Initialize rate helper __ the SwapRateHelper links the swap index width his rate instruments.append(SwapRateHelper.from_index(rate,swapIndex)) # ++++++++++++++++++ Now the creation of the yield curve tolerance = 1.0e-15 ts = PiecewiseYieldCurve( 'zero', 'linear', settlement_date, instruments, dayCounter, tolerance ) self.assertEqual(settlement_date, ts.reference_date)
def test_zero_curve_on_swap_index(self): todays_date = today() calendar = UnitedStates() # INPUT dayCounter = Actual360() # INPUT currency = USDCurrency() # INPUT Settings.instance().evaluation_date = todays_date settlement_days = 2 settlement_date = calendar.advance( todays_date, period=Period(settlement_days, Days) ) liborRates = [ SimpleQuote(0.002763), SimpleQuote(0.004082), SimpleQuote(0.005601), SimpleQuote(0.006390), SimpleQuote(0.007125), SimpleQuote(0.007928), SimpleQuote(0.009446), SimpleQuote(0.01110)] liborRatesTenor = [Period(tenor, Months) for tenor in [1,2,3,4,5,6,9,12]] Libor_dayCounter = Actual360(); swapRates = [SimpleQuote(0.005681), SimpleQuote(0.006970), SimpleQuote(0.009310), SimpleQuote(0.012010), SimpleQuote(0.014628), SimpleQuote(0.016881), SimpleQuote(0.018745), SimpleQuote(0.020260), SimpleQuote(0.021545)] swapRatesTenor = [Period(i, Years) for i in range(2, 11)] # description of the fixed leg of the swap Swap_fixedLegTenor = Period(12, Months) # INPUT Swap_fixedLegConvention = ModifiedFollowing # INPUT Swap_fixedLegDayCounter = Actual360() # INPUT # description of the float leg of the swap Swap_iborIndex = Libor( "USDLibor", Period(3, Months), settlement_days, USDCurrency(), UnitedStates(), Actual360() ) SwapFamilyName = currency.name + "swapIndex" instruments = [] # ++++++++++++++++++++ Creation of the vector of RateHelper (need for the Yield Curve construction) # ++++++++++++++++++++ Libor LiborFamilyName = currency.name + "Libor" instruments = [] for rate, tenor in zip(liborRates, liborRatesTenor): # Index description ___ creation of a Libor index liborIndex = Libor( LiborFamilyName, tenor, settlement_days, currency, calendar, Libor_dayCounter ) # Initialize rate helper # the DepositRateHelper link the recording rate with the Libor # index instruments.append(DepositRateHelper(rate, index=liborIndex)) for tenor, rate in zip(swapRatesTenor, swapRates): # swap description ___ creation of a swap index. The floating leg is described in the index 'Swap_iborIndex' swapIndex = SwapIndex ( SwapFamilyName, tenor, settlement_days, currency, calendar, Swap_fixedLegTenor, Swap_fixedLegConvention, Swap_fixedLegDayCounter, Swap_iborIndex ) # Initialize rate helper __ the SwapRateHelper links the swap index width his rate instruments.append(SwapRateHelper.from_index(rate,swapIndex)) # ++++++++++++++++++ Now the creation of the yield curve tolerance = 1.0e-15 ts = PiecewiseYieldCurve.from_reference_date( BootstrapTrait.ZeroYield, Interpolator.Linear, settlement_date, instruments, dayCounter, tolerance ) self.assertEqual(settlement_date, ts.reference_date)