def make_rate_helper(label, rate, dt_obs, currency='USD'):
"""
Wrapper for deposit and swaps rate helpers makers
For Swaps: assume USD swap fixed rates vs. 6M Libor
TODO: make this more general
"""
if(currency.upper() != 'USD'):
raise Exception("Only supported currency is USD.")
rate_type, tenor, period = _parse_rate_label(label)
if not isinstance(dt_obs, Date):
dt_obs = pydate_to_qldate(dt_obs)
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = calendar.adjust(dt_obs)
settings.evaluation_date = eval_date
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
end_of_month = True
if((rate_type == 'SWAP') & (period == 'Y')):
liborIndex = Libor(
'USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360()
)
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
helper = SwapRateHelper.from_tenor(
SimpleQuote(rate),
Period(tenor, Years),
calendar, Annual,
Unadjusted, Thirty360(),
liborIndex, spread, fwdStart)
elif((rate_type == 'LIBOR') & (period == 'M')):
helper = DepositRateHelper(SimpleQuote(rate),
Period(tenor, Months),
settlement_days,
calendar,
ModifiedFollowing,
end_of_month,
Actual360())
else:
raise Exception("Rate type %s not supported" % label)
return (helper)
def bootstrap_term_structure(self, interpolator=LogLinear):
tolerance = 1.0e-15
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = self._eval_date
settings.evaluation_date = eval_date
settlement_days = self._params.settlement_days
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
ts = PiecewiseYieldCurve[BootstrapTrait.Discount,
interpolator].from_reference_date(
settlement_date,
self._rate_helpers,
DayCounter.from_name(
self._termstructure_daycount),
accuracy=tolerance)
self._term_structure = ts
self._discount_term_structure = YieldTermStructure()
self._discount_term_structure.link_to(ts)
self._forecast_term_structure = YieldTermStructure()
self._forecast_term_structure.link_to(ts)
return ts
def bootstrap_term_structure(self, interpolator=Interpolator.LogLinear):
tolerance = 1.0e-15
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = self._eval_date
settings.evaluation_date = eval_date
settlement_days = self._params.settlement_days
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
ts = PiecewiseYieldCurve.from_reference_date(
BootstrapTrait.Discount,
interpolator,
settlement_date,
self._rate_helpers,
DayCounter.from_name(self._termstructure_daycount),
tolerance,
)
self._term_structure = ts
self._discount_term_structure = YieldTermStructure()
self._discount_term_structure.link_to(ts)
self._forecast_term_structure = YieldTermStructure()
self._forecast_term_structure.link_to(ts)
return ts
def make_rate_helper(label, rate, dt_obs, currency='USD'):
"""
Wrapper for deposit and swaps rate helpers makers
For Swaps: assume USD swap fixed rates vs. 6M Libor
TODO: make this more general
"""
if(currency.upper() != 'USD'):
raise Exception("Only supported currency is USD.")
rate_type, tenor, period = _parse_rate_label(label)
if not isinstance(dt_obs, Date):
dt_obs = pydate_to_qldate(dt_obs)
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = calendar.adjust(dt_obs)
settings.evaluation_date = eval_date
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
end_of_month = True
if((rate_type == 'SWAP') & (period == 'Y')):
liborIndex = Libor(
'USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360()
)
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
helper = SwapRateHelper.from_tenor(rate,
Period(tenor, Years),
calendar, Annual,
Unadjusted, Thirty360(),
liborIndex, spread, fwdStart)
elif((rate_type == 'LIBOR') & (period == 'M')):
helper = DepositRateHelper(rate, Period(tenor, Months),
settlement_days,
calendar, ModifiedFollowing,
end_of_month,
Actual360())
else:
raise Exception("Rate type %s not supported" % label)
return (helper)
def _set_evaluation_date(self, dt_obs):
if(~isinstance(dt_obs, Date)):
dt_obs = pydate_to_qldate(dt_obs)
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = calendar.adjust(dt_obs)
settings.evaluation_date = eval_date
self._eval_date = eval_date
return eval_date
def _set_evaluation_date(self, dt_obs):
if not isinstance(dt_obs, Date):
dt_obs = pydate_to_qldate(dt_obs)
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = calendar.adjust(dt_obs)
settings.evaluation_date = eval_date
self._eval_date = eval_date
return eval_date
def set_quotes(self, dt_obs, quotes):
self._quotes = quotes
if(~isinstance(dt_obs, Date)):
dt_obs = pydate_to_qldate(dt_obs)
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = calendar.adjust(dt_obs)
settings.evaluation_date = eval_date
self._eval_date = eval_date
self._rate_helpers = []
for quote in quotes:
# construct rate helper
helper = make_rate_helper(self, quote, eval_date)
self._rate_helpers.append(helper)
def bootstrap_term_structure(self, interpolator='loglinear'):
tolerance = 1.0e-15
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = self._eval_date
settings.evaluation_date = eval_date
settlement_days = self._params.settlement_days
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
ts = PiecewiseYieldCurve(
'discount', interpolator, settlement_date, self._rate_helpers,
DayCounter.from_name(self._termstructure_daycount), tolerance)
self._term_structure = ts
self._discount_term_structure = YieldTermStructure(relinkable=True)
self._discount_term_structure.link_to(ts)
self._forecast_term_structure = YieldTermStructure(relinkable=True)
self._forecast_term_structure.link_to(ts)
return ts
def testFxMarketConventionsForCrossRateAdjustedSpotDate(self):
"""
Testing if FxSwapRateHelper obeys the fx spot market
conventions
"""
today = Date(30, 6, 2016)
spot_date = Date(5, 7, 2016)
self.build_curves(today)
us_calendar = UnitedStates()
joint_calendar = JointCalendar(TARGET(), Poland())
settlement_calendar = JointCalendar(joint_calendar, us_calendar)
# Settlement should be on a day where all three centers are operating
# and follow EndOfMonth rule
maturities = [
joint_calendar.advance(spot_date, n, unit, convention=ModifiedFollowing,
end_of_month=True)
for n, unit in self.fx_swap_quotes
]
maturities = [settlement_calendar.adjust(date) for date in maturities]
for helper, maturity in zip(self.eur_pln_fx_swap_helpers, maturities):
self.assertEqual(maturity, helper.latest_date)
def bootstrap_term_structure(self):
tolerance = 1.0e-15
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = self._eval_date
settings.evaluation_date = eval_date
settlement_days = self._params.settlement_days
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
ts = term_structure_factory(
'discount', 'loglinear',
settlement_date, self._rate_helpers,
DayCounter.from_name(self._termstructure_daycount),
tolerance)
self._term_structure = ts
self._discount_term_structure = YieldTermStructure(relinkable=True)
self._discount_term_structure.link_to(ts)
self._forecasting_term_structure = YieldTermStructure(relinkable=True)
self._forecasting_term_structure.link_to(ts)
return 0
def get_term_structure(df_libor, dtObs):
settings = Settings()
# libor as fixed in London, but cash-flows are determined according to
# US calendar, hence the need to combine both holidays lists
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = calendar.adjust(dateToDate(dtObs))
settings.evaluation_date = eval_date
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
depositData = [[1, Months, 'Libor1M'], [3, Months, 'Libor3M'],
[6, Months, 'Libor6M']]
swapData = [[1, Years, 'Swap1Y'], [2, Years,
'Swap2Y'], [3, Years, 'Swap3Y'],
[4, Years, 'Swap4Y'], [5, Years, 'Swap5Y'],
[7, Years, 'Swap7Y'], [10, Years, 'Swap10Y'],
[30, Years, 'Swap30Y']]
rate_helpers = []
end_of_month = True
for m, period, label in depositData:
tenor = Period(m, Months)
rate = df_libor.get_value(dtObs, label)
helper = DepositRateHelper(float(rate / 100), tenor, settlement_days,
calendar, ModifiedFollowing, end_of_month,
Actual360())
rate_helpers.append(helper)
endOfMonth = True
liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360())
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, label in swapData:
rate = df_libor.get_value(dtObs, label)
helper = SwapRateHelper.from_tenor(rate / 100., Period(m, Years),
calendar, Annual, Unadjusted,
Thirty360(), liborIndex, spread,
fwdStart)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory('discount', 'loglinear', settlement_date,
rate_helpers, ts_day_counter, tolerance)
return ts
def get_term_structure(df_libor, dtObs):
settings = Settings()
# libor as fixed in London, but cash-flows are determined according to
# US calendar, hence the need to combine both holidays lists
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = calendar.adjust(dateToDate(dtObs))
settings.evaluation_date = eval_date
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date);
depositData =[[1, Months, 'Libor1M'],
[3, Months, 'Libor3M'],
[6, Months, 'Libor6M']]
swapData = [[ 1, Years, 'Swap1Y'],
[ 2, Years, 'Swap2Y'],
[ 3, Years, 'Swap3Y'],
[ 4, Years, 'Swap4Y'],
[ 5, Years, 'Swap5Y'],
[ 7, Years, 'Swap7Y'],
[ 10, Years,'Swap10Y'],
[ 30, Years,'Swap30Y']]
rate_helpers = []
end_of_month = True
for m, period, label in depositData:
tenor = Period(m, Months)
rate = df_libor.get_value(dtObs, label)
helper = DepositRateHelper(float(rate/100), tenor,
settlement_days,
calendar, ModifiedFollowing,
end_of_month,
Actual360())
rate_helpers.append(helper)
endOfMonth = True
liborIndex = Libor('USD Libor', Period(6, Months),
settlement_days,
USDCurrency(), calendar,
Actual360())
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, label in swapData:
rate = df_libor.get_value(dtObs, label)
helper = SwapRateHelper(SimpleQuote(rate/100),
Period(m, Years),
calendar, Annual,
Unadjusted, Thirty360(),
liborIndex, spread, fwdStart)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory('discount', 'loglinear',
settlement_date, rate_helpers,
ts_day_counter, tolerance)
return ts