def derivative(self, y, order):
def __price_with_single_rate(__y):
return self.price(Curve.SingleRateCurve(__y))
return scipy.misc.derivative(
__price_with_single_rate, x0=y,
dx=1e-5, n=order)
def dv01(self, y):
return -self.derivative(y, 1) * BP
def duration(self, y):
return -self.derivative(y, 1) / self.price(
Curve.SingleRateCurve(y))
def convexity(self, y):
return self.derivative(y, 2) / self.price(
Curve.SingleRateCurve(y))
if __name__ == '__main__':
ln = Curve.LinearInterpolation([(0.5, 1/1.01), (15, 1/(1.025**30))])
a1 = CashFlow.Annuity(1, 0, 10)
a2 = CashFlow.Annuity(10, 0, 5)
zcb = CashFlow({10: 100})
cb = CashFlow.CouponBond(100, 10000, 0, 10)
print(1/ln(10))
print(ln.calibrate(a1, a1.price(ln)))
print(ln.calibrate(a2, a2.price(ln)))
print(Curve.calibrate(zcb, zcb.price(ln)))
print(Curve.calibrate(cb, cb.price(ln)))
