def test_FinFXMktVolSurface4(capsys):
# USDJPY Example from Paper by Uwe Wystup using Tables 4
valuation_date = Date(20, 1, 2009)
forName = "USD"
domName = "JPY"
forCCRate = 0.003525 # USD
domCCRate = 0.0042875 # JPY
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 90.68
tenors = ['1M']
atm_vols = [21.00]
marketStrangle25DeltaVols = [0.184]
riskReversal25DeltaVols = [-5.30]
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
fxMarket = FXVolSurface(valuation_date, spot_fx_rate, currency_pair,
notional_currency, dom_discount_curve,
for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
atmMethod, deltaMethod)
fxMarket.check_calibration(verboseCalibration)
captured = capsys.readouterr()
assert captured.out == ""
def test_FinFXMktVolSurface1(capsys):
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
vol_functionType = VolFunctionTypes.CLARK
fxMarket = FXVolSurface(valuation_date, spot_fx_rate, currency_pair,
notional_currency, dom_discount_curve,
for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
atmMethod, deltaMethod, vol_functionType)
fxMarket.check_calibration(verboseCalibration, tol=1e-5)
captured = capsys.readouterr()
assert captured.out == ""
def test_FinFXMktVolSurface3(capsys):
# EURUSD Example from Paper by Uwe Wystup using Tables 4
# print("EURUSD EXAMPLE WYSTUP")
valuation_date = Date(20, 1, 2009)
forName = "EUR"
domName = "USD"
forCCRate = 0.020113 # EUR
domCCRate = 0.003525 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3088
tenors = ['1M']
atm_vols = [21.6215]
marketStrangle25DeltaVols = [0.7375]
riskReversal25DeltaVols = [-0.50]
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
fxMarket = FXVolSurface(valuation_date, spot_fx_rate, currency_pair,
notional_currency, dom_discount_curve,
for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
atmMethod, deltaMethod)
fxMarket.check_calibration(verboseCalibration)
captured = capsys.readouterr()
assert captured.out == ""
def test_FinFXMktVolSurface2(capsys):
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURJPY EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "JPY"
forCCRate = 0.0294 # EUR
domCCRate = 0.0171 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 90.72
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.50, 20.50, 19.85, 18.00, 15.95, 14.009]
marketStrangle25DeltaVols = [0.35, 0.325, 0.300, 0.225, 0.175, 0.100]
riskReversal25DeltaVols = [-8.350, -8.650, -8.950, -9.250, -9.550, -9.500]
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL_PREM_ADJ
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
fxMarket = FXVolSurface(valuation_date, spot_fx_rate, currency_pair,
notional_currency, dom_discount_curve,
for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
atmMethod, deltaMethod)
fxMarket.check_calibration(verboseCalibration, tol=0.0005)
captured = capsys.readouterr()
assert captured.out == ""
def test_FinFXMktVolSurface1(verboseCalibration):
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
vol_functionType = VolFunctionTypes.CLARK
fxMarket = FXVolSurface(valuation_date, spot_fx_rate, currency_pair,
notional_currency, dom_discount_curve,
for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols, atmMethod,
deltaMethod, vol_functionType)
fxMarket.check_calibration(verboseCalibration)
# EXPLORE AND TEST DIFFERENT CATEGORICAL PARAMETERS
# for atmMethod in FinFXATMMethod:
# for deltaMethod in FinFXDeltaMethod:
# for vol_functionType in VolFunctionTypes:
# fxMarket = FinFXVolSurface(valuation_date,
# spot_fx_rate,
# currency_pair,
# notional_currency,
# dom_discount_curve,
# for_discount_curve,
# tenors,
# atm_vols,
# marketStrangle25DeltaVols,
# riskReversal25DeltaVols,
# atmMethod,
# deltaMethod,
# vol_functionType)
# fxMarket.check_calibration(verboseCalibration)
if PLOT_GRAPHS:
fxMarket.plot_vol_curves()
dbns = fxMarket.implied_dbns(0.00001, 5.0, 10000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
plt.title(vol_functionType)
print("SUM:", dbns[i].sum())
def test_FinOptionImpliedDbn():
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
fxMarket = FXVolSurface(valuation_date, spot_fx_rate, currency_pair,
notional_currency, dom_discount_curve,
for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols, atmMethod,
deltaMethod)
# fxMarket.check_calibration(True)
PLOT_GRAPHS = False
if PLOT_GRAPHS:
fxMarket.plot_vol_curves()
for iTenor in range(0, len(fxMarket._tenors)):
F = fxMarket._F0T[iTenor]
texp = fxMarket._texp[iTenor]
startFX = F * 0.05
endFX = F * 5.0
num_steps = 10000
dFX = (endFX - startFX) / num_steps
domDF = dom_discount_curve._df(texp)
forDF = for_discount_curve._df(texp)
rd = -np.log(domDF) / texp
rf = -np.log(forDF) / texp
params = fxMarket._parameters[iTenor]
strikes = []
vols = []
for iK in range(0, num_steps):
strike = startFX + iK * dFX
vol = vol_function_clark(params, F, strike, texp)
strikes.append(strike)
vols.append(vol)
strikes = np.array(strikes)
vols = np.array(vols)