def test_FinLiborCapletHull(): # Hull Page 703, example 29.3 todayDate = FinDate(20, 6, 2019) valuationDate = todayDate maturityDate = valuationDate.addTenor("2Y") liborCurve = FinDiscountCurveFlat(valuationDate, 0.070, FinFrequencyTypes.QUARTERLY, FinDayCountTypes.THIRTY_E_360) k = 0.08 capFloorType = FinLiborCapFloorTypes.CAP capFloor = FinLiborCapFloor(valuationDate, maturityDate, capFloorType, k, None, FinFrequencyTypes.QUARTERLY, FinDayCountTypes.THIRTY_E_360) # Value cap using a single flat cap volatility model = FinModelBlack(0.20) capFloor.value(valuationDate, liborCurve, model) # Value cap by breaking it down into caplets using caplet vols capletStartDate = valuationDate.addTenor("1Y") capletEndDate = capletStartDate.addTenor("3M") vCaplet = capFloor.valueCapletFloorLet(valuationDate, capletStartDate, capletEndDate, liborCurve, model) # Cannot match Hull due to dates being adjusted testCases.header("CORRECT PRICE", "MODEL PRICE") testCases.print(517.29, vCaplet)
def testBlackModelCheck(): # Checking Andersen paper using Black's model # Used to check swaption price below - we have Ts = 1 and Te = 4 # Expect a price around 122 cents which is what I find. valuationDate = FinDate(1, 1, 2020) liborCurve = FinDiscountCurveFlat(valuationDate, 0.06, FinFrequencyTypes.SEMI_ANNUAL) settlementDate = FinDate(1, 1, 2020) exerciseDate = FinDate(1, 1, 2021) maturityDate = FinDate(1, 1, 2024) fixedCoupon = 0.06 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 # Pricing a PAY swaptionType = FinSwapTypes.PAY swaption = FinIborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelBlack(0.20) v = swaption.value(valuationDate, liborCurve, model) testCases.header("LABEL", "VALUE") testCases.print("BLACK'S MODEL PRICE:", v * 100)
def test_FinLiborCapFloorQLExample(): valuationDate = FinDate(14, 6, 2016) dates = [ FinDate(14, 6, 2016), FinDate(14, 9, 2016), FinDate(14, 12, 2016), FinDate(14, 6, 2017), FinDate(14, 6, 2019), FinDate(14, 6, 2021), FinDate(15, 6, 2026), FinDate(16, 6, 2031), FinDate(16, 6, 2036), FinDate(14, 6, 2046) ] rates = [ 0.000000, 0.006616, 0.007049, 0.007795, 0.009599, 0.011203, 0.015068, 0.017583, 0.018998, 0.020080 ] frequencyType = FinFrequencyTypes.ANNUAL dayCountType = FinDayCountTypes.ACT_ACT_ISDA discountCurve = FinDiscountCurveZeros(valuationDate, dates, rates, frequencyType, dayCountType, FinInterpTypes.LINEAR_ZERO_RATES) startDate = FinDate(14, 6, 2016) endDate = FinDate(14, 6, 2026) calendarType = FinCalendarTypes.US busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING frequencyType = FinFrequencyTypes.QUARTERLY dateGenRuleType = FinDateGenRuleTypes.FORWARD lastFixing = 0.0065560 notional = 1000000 dayCountType = FinDayCountTypes.ACT_360 optionType = FinLiborCapFloorTypes.CAP strikeRate = 0.02 cap = FinLiborCapFloor(startDate, endDate, optionType, strikeRate, lastFixing, frequencyType, dayCountType, notional, calendarType, busDayAdjustType, dateGenRuleType) blackVol = 0.547295 model = FinModelBlack(blackVol) start = time.time() numRepeats = 10 for i in range(0, numRepeats): v = cap.value(valuationDate, discountCurve, model) end = time.time() period = end - start print(v, period / numRepeats)
def test_FinIborCapFloor(): todayDate = FinDate(20, 6, 2019) valuationDate = todayDate startDate = todayDate.addWeekDays(2) maturityDate = startDate.addTenor("1Y") liborCurve = test_FinIborDepositsAndSwaps(todayDate) # The capfloor has begun # lastFixing = 0.028 ########################################################################## # COMPARISON OF MODELS ########################################################################## strikes = np.linspace(0.02, 0.08, 5) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BACH") model1 = FinModelBlack(0.20) model2 = FinModelBlackShifted(0.25, 0.0) model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5) model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008) model5 = FinModelRatesHW(0.30, 0.01) model6 = FinModelBachelier(0.01) for k in strikes: capFloorType = FinCapFloorTypes.CAP capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k) cvalue1 = capfloor.value(valuationDate, liborCurve, model1) cvalue2 = capfloor.value(valuationDate, liborCurve, model2) cvalue3 = capfloor.value(valuationDate, liborCurve, model3) cvalue4 = capfloor.value(valuationDate, liborCurve, model4) cvalue5 = capfloor.value(valuationDate, liborCurve, model5) cvalue6 = capfloor.value(valuationDate, liborCurve, model6) testCases.print("CAP", k, cvalue1, cvalue2, cvalue3, cvalue4, cvalue5, cvalue6) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BACH") for k in strikes: capFloorType = FinCapFloorTypes.FLOOR capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k) fvalue1 = capfloor.value(valuationDate, liborCurve, model1) fvalue2 = capfloor.value(valuationDate, liborCurve, model2) fvalue3 = capfloor.value(valuationDate, liborCurve, model3) fvalue4 = capfloor.value(valuationDate, liborCurve, model4) fvalue5 = capfloor.value(valuationDate, liborCurve, model5) fvalue6 = capfloor.value(valuationDate, liborCurve, model6) testCases.print("FLR", k, fvalue1, fvalue2, fvalue3, fvalue4, fvalue5, fvalue6) ############################################################################### # PUT CALL CHECK ############################################################################### testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR SHFTD", "HW", "BACH") for k in strikes: capFloorType = FinCapFloorTypes.CAP capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k) cvalue1 = capfloor.value(valuationDate, liborCurve, model1) cvalue2 = capfloor.value(valuationDate, liborCurve, model2) cvalue3 = capfloor.value(valuationDate, liborCurve, model3) cvalue4 = capfloor.value(valuationDate, liborCurve, model4) cvalue5 = capfloor.value(valuationDate, liborCurve, model5) cvalue6 = capfloor.value(valuationDate, liborCurve, model6) capFloorType = FinCapFloorTypes.FLOOR capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k) fvalue1 = capfloor.value(valuationDate, liborCurve, model1) fvalue2 = capfloor.value(valuationDate, liborCurve, model2) fvalue3 = capfloor.value(valuationDate, liborCurve, model3) fvalue4 = capfloor.value(valuationDate, liborCurve, model4) fvalue5 = capfloor.value(valuationDate, liborCurve, model5) fvalue6 = capfloor.value(valuationDate, liborCurve, model6) pcvalue1 = cvalue1 - fvalue1 pcvalue2 = cvalue2 - fvalue2 pcvalue3 = cvalue3 - fvalue3 pcvalue4 = cvalue4 - fvalue4 pcvalue5 = cvalue5 - fvalue5 pcvalue6 = cvalue6 - fvalue6 testCases.print("PUT_CALL", k, pcvalue1, pcvalue2, pcvalue3, pcvalue4, pcvalue5, pcvalue6)
def test_FinIborCapFloorVolCurve(): ''' Aim here is to price cap and caplets using cap and caplet vols and to demonstrate they are the same - NOT SURE THAT HULLS BOOKS FORMULA WORKS FOR OPTIONS. ''' todayDate = FinDate(20, 6, 2019) valuationDate = todayDate maturityDate = valuationDate.addTenor("3Y") dayCountType = FinDayCountTypes.THIRTY_E_360 frequency = FinFrequencyTypes.ANNUAL k = 0.04 capFloorType = FinCapFloorTypes.CAP capFloor = FinIborCapFloor(valuationDate, maturityDate, capFloorType, k, None, frequency, dayCountType) capVolDates = FinSchedule(valuationDate, valuationDate.addTenor("10Y"), frequency)._generate() flatRate = 0.04 liborCurve = FinDiscountCurveFlat(valuationDate, flatRate, frequency, dayCountType) flat = False if flat is True: capVolatilities = [20.0] * 11 capVolatilities[0] = 0.0 else: capVolatilities = [0.00, 15.50, 18.25, 17.91, 17.74, 17.27, 16.79, 16.30, 16.01, 15.76, 15.54] capVolatilities = np.array(capVolatilities)/100.0 capVolatilities[0] = 0.0 volCurve = FinIborCapVolCurve(valuationDate, capVolDates, capVolatilities, dayCountType) # print(volCurve._capletGammas) # Value cap using a single flat cap volatility tcap = (maturityDate - valuationDate) / gDaysInYear vol = volCurve.capVol(maturityDate) model = FinModelBlack(vol) valueCap = capFloor.value(valuationDate, liborCurve, model) # print("CAP T", tcap, "VOL:", vol, "VALUE OF CAP:", valueCap) # Value cap by breaking it down into caplets using caplet vols vCaplets = 0.0 capletStartDate = capFloor._capFloorLetDates[1] testCases.header("START", "END", "VOL", "VALUE") for capletEndDate in capFloor._capFloorLetDates[2:]: vol = volCurve.capletVol(capletEndDate) modelCaplet = FinModelBlack(vol) vCaplet = capFloor.valueCapletFloorLet(valuationDate, capletStartDate, capletEndDate, liborCurve, modelCaplet) vCaplets += vCaplet testCases.print("%12s" % capletStartDate, "%s" % capletEndDate, "%9.5f" % (vol*100.0), "%9.5f" % vCaplet) capletStartDate = capletEndDate testCases.header("LABEL", "VALUE") testCases.print("CAPLETS->CAP: ", vCaplets)
def test_Black(): forward = 0.034 strike = 0.050 riskFreeIR = 0.00 timeToExpiry = 2.0 volatility = 0.20 testCases.header("ITEM", "CALL", "PUT") callOptionType = FinOptionTypes.EUROPEAN_CALL putOptionType = FinOptionTypes.EUROPEAN_PUT df = np.exp(-riskFreeIR * timeToExpiry) model = FinModelBlack(volatility) dp = 12 # Precision try: ####################################################################### valueCall = model.value(forward, strike, timeToExpiry, df, callOptionType) valuePut = model.value(forward, strike, timeToExpiry, df, putOptionType) assert round((valueCall - valuePut), dp) == round(df*(forward - strike), dp), \ "The method called 'value()' doesn't comply with Call-Put parity" testCases.print("VALUE", valueCall, valuePut) ####################################################################### deltaCall = model.delta(forward, strike, timeToExpiry, df, callOptionType) deltaPut = model.delta(forward, strike, timeToExpiry, df, putOptionType) assert round((1/df) * (deltaCall - deltaPut), dp) == 1.0, \ "The method called 'delta()' doesn't comply with Call-put parity" testCases.print("DELTA", deltaCall, deltaPut) ####################################################################### gammaCall = model.gamma(forward, strike, timeToExpiry, df, callOptionType) gammaPut = model.gamma(forward, strike, timeToExpiry, df, putOptionType) assert round(gammaCall - gammaPut, dp) == 0.0, \ "The method called 'gamma()' doesn't comply with Call-Put parity" testCases.print("GAMMA", gammaCall, gammaPut) ####################################################################### thetaCall = model.theta(forward, strike, timeToExpiry, df, callOptionType) thetaPut = model.theta(forward, strike, timeToExpiry, df, putOptionType) assert round((thetaCall - thetaPut), dp) == round((riskFreeIR * timeToExpiry) * (forward - strike) * df, dp), \ "The method called 'theta()' doesn't comply with Call-Put parity" testCases.print("THETA", thetaCall, thetaPut) ####################################################################### vegaCall = model.vega(forward, strike, timeToExpiry, df, callOptionType) vegaPut = model.vega(forward, strike, timeToExpiry, df, putOptionType) assert round(vegaCall - vegaPut, dp) == 0.0, \ "The method called 'vega()' doesn't comply with Call-Put parity" testCases.print("VEGA", vegaCall, vegaPut) ####################################################################### except AssertionError as err: raise err
def test_FinIborBermudanSwaptionBKModel(): ''' Replicate examples in paper by Leif Andersen which can be found at file:///C:/Users/Dominic/Downloads/SSRN-id155208.pdf ''' valuationDate = FinDate(1, 1, 2011) settlementDate = valuationDate exerciseDate = settlementDate.addYears(1) swapMaturityDate = settlementDate.addYears(4) swapFixedCoupon = 0.060 swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = FinDayCountTypes.ACT_365F liborCurve = FinDiscountCurveFlat(valuationDate, 0.0625, FinFrequencyTypes.SEMI_ANNUAL) fwdPAYSwap = FinIborSwap(exerciseDate, swapMaturityDate, FinSwapTypes.PAY, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fwdSwapValue = fwdPAYSwap.value(settlementDate, liborCurve, liborCurve) testCases.header("LABEL", "VALUE") testCases.print("FWD SWAP VALUE", fwdSwapValue) # fwdPAYSwap.printFixedLegPV() # Now we create the European swaptions fixedLegType = FinSwapTypes.PAY europeanSwaptionPay = FinIborSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixedLegType = FinSwapTypes.RECEIVE europeanSwaptionRec = FinIborSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) ########################################################################### ########################################################################### ########################################################################### # BLACK'S MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("======= ZERO VOLATILITY ========") model = FinModelBlack(0.0000001) testCases.print("Black Model", model._volatility) valuePay = europeanSwaptionPay.value(settlementDate, liborCurve, model) testCases.print("EUROPEAN BLACK PAY VALUE ZERO VOL:", valuePay) valueRec = europeanSwaptionRec.value(settlementDate, liborCurve, model) testCases.print("EUROPEAN BLACK REC VALUE ZERO VOL:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 20%% BLACK VOLATILITY ========") model = FinModelBlack(0.20) testCases.print("Black Model", model._volatility) valuePay = europeanSwaptionPay.value(settlementDate, liborCurve, model) testCases.print("EUROPEAN BLACK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(settlementDate, liborCurve, model) testCases.print("EUROPEAN BLACK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BK MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("==================== BK MODEL =========================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======= 0% VOLATILITY EUROPEAN SWAPTION BK MODEL ======") # Used BK with constant short-rate volatility sigma = 0.00001 a = 0.01 numTimeSteps = 200 model = FinModelRatesBK(sigma, a, numTimeSteps) valuePay = europeanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN BK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 20% VOLATILITY EUROPEAN SWAPTION BK MODEL ========") # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN BK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixedLegType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.EUROPEAN bermudanSwaptionPay = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixedLegType = FinSwapTypes.RECEIVE exerciseType = FinExerciseTypes.EUROPEAN bermudanSwaptionRec = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner("======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BK MODEL ========") # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 20% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BK MODEL ========") # Used BK with constant short-rate volatility sigma = 0.2 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixedLegType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.BERMUDAN bermudanSwaptionPay = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixedLegType = FinSwapTypes.RECEIVE exerciseType = FinExerciseTypes.BERMUDAN bermudanSwaptionRec = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner("======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BK MODEL ========") # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 20% VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BK MODEL ========") # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BDT MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======================= BDT MODEL =====================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("====== 0% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.00001 numTimeSteps = 200 model = FinModelRatesBDT(sigma, numTimeSteps) valuePay = europeanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN BDT PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("===== 20% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = FinModelRatesBDT(sigma, numTimeSteps) testCases.banner("BDT MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN BDT PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixedLegType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.EUROPEAN bermudanSwaptionPay = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixedLegType = FinSwapTypes.RECEIVE bermudanSwaptionRec = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner("======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BDT MODEL ========") # Used BK with constant short-rate volatility sigma = 0.000001 model = FinModelRatesBDT(sigma, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 20% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BDT MODEL ========") # Used BK with constant short-rate volatility sigma = 0.2 model = FinModelRatesBDT(sigma, numTimeSteps) testCases.banner("BDT MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixedLegType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.BERMUDAN bermudanSwaptionPay = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixedLegType = FinSwapTypes.RECEIVE bermudanSwaptionRec = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner("======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BDT MODEL ========") # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = FinModelRatesBDT(sigma, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 20% VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BDT MODEL ========") # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = FinModelRatesBDT(sigma, numTimeSteps) # print("BDT MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BDT MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======================= HW MODEL ======================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("====== 0% VOLATILITY EUROPEAN SWAPTION HW MODEL ======") sigma = 0.0000001 a = 0.1 numTimeSteps = 200 model = FinModelRatesHW(sigma, a, numTimeSteps) valuePay = europeanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN HW PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("===== 20% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.01 a = 0.01 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("HW MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN HW PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("EUROPEAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixedLegType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.EUROPEAN bermudanSwaptionPay = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixedLegType = FinSwapTypes.RECEIVE bermudanSwaptionRec = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner("======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE HW MODEL ========") sigma = 0.000001 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 100bp VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE HW MODEL ========") # Used BK with constant short-rate volatility sigma = 0.01 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("BDT MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixedLegType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.BERMUDAN bermudanSwaptionPay = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixedLegType = FinSwapTypes.RECEIVE bermudanSwaptionRec = FinIborBermudanSwaption(settlementDate, exerciseDate, swapMaturityDate, fixedLegType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner("======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE HW MODEL ========") # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("HW MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN HW PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 100bps VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE HW MODEL ========") # Used BK with constant short-rate volatility sigma = 0.01 a = 0.01 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("HW MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN HW PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuationDate, liborCurve, model) testCases.print("BERMUDAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec)
def testFinLiborSwaptionModels(): ########################################################################## # COMPARISON OF MODELS ########################################################################## valuationDate = FinDate(2011, 1, 1) liborCurve = test_FinLiborDepositsAndSwaps(valuationDate) exerciseDate = FinDate(2012, 1, 1) swapMaturityDate = FinDate(2017, 1, 1) swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = FinDayCountTypes.ACT_365F strikes = np.linspace(0.02, 0.08, 10) testCases.header("LAB", "STRIKE", "BLK", "BLK_SHFT", "SABR", "SABR_SHFT", "HW", "BK") model1 = FinModelBlack(0.00001) model2 = FinModelBlackShifted(0.00001, 0.0) model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5) model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008) model5 = FinModelRatesHW(0.00001, 0.00001) model6 = FinModelRatesBK(0.01, 0.01) settlementDate = valuationDate.addWorkDays(2) for k in strikes: swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate, swaptionType, k, swapFixedFrequencyType, swapFixedDayCountType) swap1 = swaption.value(valuationDate, liborCurve, model1) swap2 = swaption.value(valuationDate, liborCurve, model2) swap3 = swaption.value(valuationDate, liborCurve, model3) swap4 = swaption.value(valuationDate, liborCurve, model4) swap5 = swaption.value(valuationDate, liborCurve, model5) swap6 = swaption.value(valuationDate, liborCurve, model6) testCases.print("PAY", k, swap1, swap2, swap3, swap4, swap5, swap6) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BK") for k in strikes: swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate, swaptionType, k, swapFixedFrequencyType, swapFixedDayCountType) swap1 = swaption.value(valuationDate, liborCurve, model1) swap2 = swaption.value(valuationDate, liborCurve, model2) swap3 = swaption.value(valuationDate, liborCurve, model3) swap4 = swaption.value(valuationDate, liborCurve, model4) swap5 = swaption.value(valuationDate, liborCurve, model5) swap6 = swaption.value(valuationDate, liborCurve, model6) testCases.print("REC", k, swap1, swap2, swap3, swap4, swap5, swap6)
def testFinLiborSwaptionMatlabExamples(): # We value a European swaption using Black's model and try to replicate a # ML example at https://fr.mathworks.com/help/fininst/swaptionbyblk.html testCases.header("=======================================") testCases.header("MATLAB EXAMPLE WITH FLAT TERM STRUCTURE") testCases.header("=======================================") valuationDate = FinDate(1, 1, 2010) liborCurve = FinDiscountCurveFlat(valuationDate, 0.06, FinFrequencyTypes.CONTINUOUS, FinDayCountTypes.THIRTY_E_360) settlementDate = FinDate(1, 1, 2011) exerciseDate = FinDate(1, 1, 2016) maturityDate = FinDate(1, 1, 2019) fixedCoupon = 0.062 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 # Pricing a PAYER swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelBlack(0.20) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 2.071 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH TERM STRUCTURE") testCases.header("===================================") valuationDate = FinDate(1, 1, 2010) dates = [ FinDate(1, 1, 2011), FinDate(1, 1, 2012), FinDate(1, 1, 2013), FinDate(1, 1, 2014), FinDate(1, 1, 2015) ] zeroRates = [0.03, 0.034, 0.037, 0.039, 0.040] contFreq = FinFrequencyTypes.CONTINUOUS interpType = FinInterpTypes.LINEAR_ZERO_RATES dayCountType = FinDayCountTypes.THIRTY_E_360 liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = FinDate(1, 1, 2011) exerciseDate = FinDate(1, 1, 2012) maturityDate = FinDate(1, 1, 2017) fixedCoupon = 0.03 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360 floatFrequencyType = FinFrequencyTypes.SEMI_ANNUAL floatDayCountType = FinDayCountTypes.THIRTY_E_360 notional = 1000.0 # Pricing a put swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional, floatFrequencyType, floatDayCountType) model = FinModelBlack(0.21) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 0.5771 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH SHIFTED BLACK") testCases.header("===================================") valuationDate = FinDate(1, 1, 2016) dates = [ FinDate(1, 1, 2017), FinDate(1, 1, 2018), FinDate(1, 1, 2019), FinDate(1, 1, 2020), FinDate(1, 1, 2021) ] zeroRates = np.array([-0.02, 0.024, 0.047, 0.090, 0.12]) / 100.0 contFreq = FinFrequencyTypes.ANNUAL interpType = FinInterpTypes.LINEAR_ZERO_RATES dayCountType = FinDayCountTypes.THIRTY_E_360 liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = FinDate(1, 1, 2016) exerciseDate = FinDate(1, 1, 2017) maturityDate = FinDate(1, 1, 2020) fixedCoupon = -0.003 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA floatFrequencyType = FinFrequencyTypes.SEMI_ANNUAL floatDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 1000.0 # Pricing a PAYER swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional, floatFrequencyType, floatDayCountType) model = FinModelBlackShifted(0.31, 0.008) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 12.8301 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH HULL WHITE") testCases.header("===================================") # https://fr.mathworks.com/help/fininst/swaptionbyhw.html valuationDate = FinDate(1, 1, 2007) dates = [ FinDate(1, 1, 2007), FinDate(1, 7, 2007), FinDate(1, 1, 2008), FinDate(1, 7, 2008), FinDate(1, 1, 2009), FinDate(1, 7, 2009), FinDate(1, 1, 2010), FinDate(1, 7, 2010), FinDate(1, 1, 2011), FinDate(1, 7, 2011), FinDate(1, 1, 2012) ] zeroRates = np.array([0.075] * 11) interpType = FinInterpTypes.FLAT_FORWARDS dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA contFreq = FinFrequencyTypes.SEMI_ANNUAL liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = valuationDate exerciseDate = FinDate(1, 1, 2010) maturityDate = FinDate(1, 1, 2012) fixedCoupon = 0.04 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelRatesHW(0.05, 0.01) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 2.9201 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("====================================") testCases.header("MATLAB EXAMPLE WITH BLACK KARASINSKI") testCases.header("====================================") # https://fr.mathworks.com/help/fininst/swaptionbybk.html valuationDate = FinDate(1, 1, 2007) dates = [ FinDate(1, 1, 2007), FinDate(1, 7, 2007), FinDate(1, 1, 2008), FinDate(1, 7, 2008), FinDate(1, 1, 2009), FinDate(1, 7, 2009), FinDate(1, 1, 2010), FinDate(1, 7, 2010), FinDate(1, 1, 2011), FinDate(1, 7, 2011), FinDate(1, 1, 2012) ] zeroRates = np.array([0.07] * 11) interpType = FinInterpTypes.FLAT_FORWARDS dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA contFreq = FinFrequencyTypes.SEMI_ANNUAL liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = valuationDate exerciseDate = FinDate(1, 1, 2011) maturityDate = FinDate(1, 1, 2012) fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 model = FinModelRatesBK(0.1, 0.05, 200) fixedCoupon = 0.07 swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 0.3634 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) fixedCoupon = 0.0725 swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 0.4798 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("====================================") testCases.header("MATLAB EXAMPLE WITH BLACK-DERMAN-TOY") testCases.header("====================================") # https://fr.mathworks.com/help/fininst/swaptionbybdt.html valuationDate = FinDate(1, 1, 2007) dates = [ FinDate(1, 1, 2007), FinDate(1, 7, 2007), FinDate(1, 1, 2008), FinDate(1, 7, 2008), FinDate(1, 1, 2009), FinDate(1, 7, 2009), FinDate(1, 1, 2010), FinDate(1, 7, 2010), FinDate(1, 1, 2011), FinDate(1, 7, 2011), FinDate(1, 1, 2012) ] zeroRates = np.array([0.06] * 11) interpType = FinInterpTypes.FLAT_FORWARDS dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA contFreq = FinFrequencyTypes.ANNUAL liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = valuationDate exerciseDate = FinDate(1, 1, 2012) maturityDate = FinDate(1, 1, 2015) fixedFrequencyType = FinFrequencyTypes.ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 fixedCoupon = 0.062 swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelRatesBDT(0.20, 200) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 2.0592 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab)
def testFinLiborCashSettledSwaption(): testCases.header("LABEL", "VALUE") valuationDate = FinDate(1, 1, 2020) settlementDate = FinDate(1, 1, 2020) depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA depos = [] depo = FinLiborDeposit(settlementDate, "1W", 0.0023, depoDCCType) depos.append(depo) depo = FinLiborDeposit(settlementDate, "1M", 0.0023, depoDCCType) depos.append(depo) depo = FinLiborDeposit(settlementDate, "3M", 0.0023, depoDCCType) depos.append(depo) depo = FinLiborDeposit(settlementDate, "6M", 0.0023, depoDCCType) depos.append(depo) # No convexity correction provided so I omit interest rate futures settlementDate = FinDate(2, 1, 2020) swaps = [] accType = FinDayCountTypes.ACT_365F fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL swapType = FinLiborSwapTypes.PAYER swap = FinLiborSwap(settlementDate, "3Y", swapType, 0.00790, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "4Y", swapType, 0.01200, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "5Y", swapType, 0.01570, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "6Y", swapType, 0.01865, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "7Y", swapType, 0.02160, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "8Y", swapType, 0.02350, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "9Y", swapType, 0.02540, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "10Y", swapType, 0.0273, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "15Y", swapType, 0.0297, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "20Y", swapType, 0.0316, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "25Y", swapType, 0.0335, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "30Y", swapType, 0.0354, fixedFreqType, accType) swaps.append(swap) liborCurve = FinLiborCurve(valuationDate, depos, [], swaps, FinInterpTypes.LINEAR_ZERO_RATES) exerciseDate = settlementDate.addTenor("5Y") swapMaturityDate = exerciseDate.addTenor("5Y") swapFixedCoupon = 0.040852 swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA swapFloatFrequencyType = FinFrequencyTypes.QUARTERLY swapFloatDayCountType = FinDayCountTypes.ACT_360 swapNotional = 1000000 swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate, swaptionType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType, swapNotional, swapFloatFrequencyType, swapFloatDayCountType) model = FinModelBlack(0.1533) v = swaption.value(settlementDate, liborCurve, model) testCases.print("Swaption No-Arb Value:", v) fwdSwapRate = liborCurve.swapRate(valuationDate, swapMaturityDate, swapFixedFrequencyType, swapFixedDayCountType) testCases.print("Fwd Swap Rate:", fwdSwapRate) model = FinModelBlack(0.1533) v = swaption.cashSettledValue(valuationDate, liborCurve, fwdSwapRate, model) testCases.print("Swaption Cash Settled Value:", v)
def test_FinLiborSwaptionQLExample(): # valuationDate = FinDate(28, 2, 2014) settlementDate = FinDate(4, 3, 2014) depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA depos = [] depo = FinLiborDeposit(settlementDate, "1W", 0.0023, depoDCCType) depos.append(depo) depo = FinLiborDeposit(settlementDate, "1M", 0.0023, depoDCCType) depos.append(depo) depo = FinLiborDeposit(settlementDate, "3M", 0.0023, depoDCCType) depos.append(depo) depo = FinLiborDeposit(settlementDate, "6M", 0.0023, depoDCCType) depos.append(depo) # No convexity correction provided so I omit interest rate futures swaps = [] accType = FinDayCountTypes.ACT_365F fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL swapType = FinLiborSwapTypes.PAYER swap = FinLiborSwap(settlementDate, "3Y", swapType, 0.00790, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "4Y", swapType, 0.01200, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "5Y", swapType, 0.01570, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "6Y", swapType, 0.01865, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "7Y", swapType, 0.02160, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "8Y", swapType, 0.02350, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "9Y", swapType, 0.02540, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "10Y", swapType, 0.0273, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "15Y", swapType, 0.0297, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "20Y", swapType, 0.0316, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "25Y", swapType, 0.0335, fixedFreqType, accType) swaps.append(swap) swap = FinLiborSwap(settlementDate, "30Y", swapType, 0.0354, fixedFreqType, accType) swaps.append(swap) liborCurve = FinLiborCurve(settlementDate, depos, [], swaps, FinInterpTypes.LINEAR_ZERO_RATES) exerciseDate = settlementDate.addTenor("5Y") swapMaturityDate = exerciseDate.addTenor("5Y") swapFixedCoupon = 0.040852 swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA swapFloatFrequencyType = FinFrequencyTypes.QUARTERLY swapFloatDayCountType = FinDayCountTypes.ACT_360 swapNotional = 1000000 swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate, swaptionType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType, swapNotional, swapFloatFrequencyType, swapFloatDayCountType) testCases.header("MODEL", "VALUE") model = FinModelBlack(0.1533) v = swaption.value(settlementDate, liborCurve, model) testCases.print(model.__class__, v) model = FinModelBlackShifted(0.1533, -0.008) v = swaption.value(settlementDate, liborCurve, model) testCases.print(model.__class__, v) model = FinModelSABR(0.132, 0.5, 0.5, 0.5) v = swaption.value(settlementDate, liborCurve, model) testCases.print(model.__class__, v) model = FinModelSABRShifted(0.352, 0.5, 0.15, 0.15, -0.005) v = swaption.value(settlementDate, liborCurve, model) testCases.print(model.__class__, v) model = FinModelRatesHW(0.010000000, 0.00000000001) v = swaption.value(settlementDate, liborCurve, model) testCases.print(model.__class__, v)