if __name__ == "__main__":
n = 10
u = 1.1
d = 0.9
r0 = 0.05
a = 0.01
b = 1.01
rec = 0.2
F = 100
qu = 0.5
qd = 1-0.5
# set up short rate lattice
rlat = bino.setShortRateLattice(0.05,1.1,0.9,n)
# set up default probability
hlat = BT.BinomialTree(n+1)
for i in range(n+1):
for j in range(i+1):
hlat.setNode(i,j,a*b**(j-i/2.))
# set up price
z = BT.BinomialTree(n+1)
i = n
for j in range(i+1):
z.setNode(i,j,F)
for i in range(n-1,-1,-1):
# solution for homework 5
import bfc.binomial as bi
if __name__ == "__main__":
srl = bi.setShortRateLattice(0.05,1.1,0.9,10)
zcb = bi.setZCB(srl)
# question 1
print zcb.getNode(0,0)
# question 2
print bi.forwardBond(zcb,4,srl)
# question 3
print bi.futureBond(zcb,4,srl)
# question 4
print bi.callBond(80,6,zcb,srl)
# question 5
d = bi.elementarySecurity(srl)
price = 0
for i in range(2,12):
s = [(srl.getNode(i-1,j)-0.045)/(1+srl.getNode(i-1,j))*d.getNode(i-1,j) for j in range(i)]
price += sum(s)
print price*1000000
# question 6
e = bi.swap(10,srl,fr=0.045,start=1)
print bi.swaption(e,srl,0,5)*1000000
# solution for homework 5
import bfc.binomial as bi
if __name__ == "__main__":
srl = bi.setShortRateLattice(0.05, 1.1, 0.9, 10)
zcb = bi.setZCB(srl)
# question 1
print zcb.getNode(0, 0)
# question 2
print bi.forwardBond(zcb, 4, srl)
# question 3
print bi.futureBond(zcb, 4, srl)
# question 4
print bi.callBond(80, 6, zcb, srl)
# question 5
d = bi.elementarySecurity(srl)
price = 0
for i in range(2, 12):
s = [(srl.getNode(i - 1, j) - 0.045) / (1 + srl.getNode(i - 1, j)) *
d.getNode(i - 1, j) for j in range(i)]
price += sum(s)
print price * 1000000
# question 6
e = bi.swap(10, srl, fr=0.045, start=1)
