Python IRS.get_simm_sensis Examples

Example #1

File: test_irs.py Project: ahoecherl/SA_CCR_Allocation

def test_get_bumped_copy():
    bumpsize = 0.01
    option = IRS(notional = 100000,
                 timeToSwapStart=ql.Period(1, ql.Years),
                 timeToSwapEnd=ql.Period(5, ql.Years),
                 swapDirection=SwapDirection.PAYER,
                 index=InterestRateIndex.EURIBOR6M,
                 fixed_rate=0.01)
    option_copy = option.get_bumped_copy(bumpsize)
    assert option_copy.notional == option.notional * (1 + bumpsize)
    assert approx(option_copy.get_price(), abs=0.000001) == option.get_price() * (1 + bumpsize)
    asdf = 1
    for option_sensi, option_copy_sensi in zip(option.get_simm_sensis(), option_copy.get_simm_sensis()):
        assert approx(float(option_sensi['amountUSD']) * (1 + bumpsize), abs=0.000001) == float(
            option_copy_sensi['amountUSD'])

Example #2

File: test_irs.py Project: ahoecherl/SA_CCR_Allocation

def test_simm_sensi():
    tts = ql.Period(2, ql.Days)
    tte = ql.Period(10, ql.Years)
    swap = IRS(100, tts, tte, SwapDirection.PAYER, InterestRateIndex.EURIBOR6M, fixed_rate=0.05)
    sensis = swap.get_simm_sensis()
    asdf = 1