def test_create_ibor_index(self):
euribor6m = IborIndex("Euribor", Period(6, Months), 2, EURCurrency(), TARGET(),
ModifiedFollowing, True, Actual360())
default_euribor6m = Euribor6M()
for attribute in ["business_day_convention", "end_of_month",
"fixing_calendar", "tenor", "fixing_days",
"day_counter", "family_name", "name"]:
self.assertEqual(getattr(euribor6m, attribute),
getattr(default_euribor6m, attribute))
def test_creation(self):
settlement_date = Date(1, January, 2014)
term_structure = YieldTermStructure(relinkable=True)
term_structure.link_to(
FlatForward(settlement_date, 0.05, Actual365Fixed()))
# Makes sure the constructor does not segfault anymore ;-)
index = Euribor6M(term_structure)
self.assertEquals(index.name, 'Euribor6M Actual/360')
def test_hull_white_calibration(self):
"""
Adapted from ShortRateModelTest::testCachedHullWhite()
"""
today = Date(15, February, 2002)
settlement = Date(19, February, 2002)
self.settings.evaluation_date = today
yield_ts = FlatForward(settlement,
forward=0.04875825,
settlement_days=0,
calendar=NullCalendar(),
daycounter=Actual365Fixed())
model = HullWhite(yield_ts, a=0.05, sigma=.005)
data = [[1, 5, 0.1148 ],
[2, 4, 0.1108 ],
[3, 3, 0.1070 ],
[4, 2, 0.1021 ],
[5, 1, 0.1000 ]]
index = Euribor6M(yield_ts)
engine = JamshidianSwaptionEngine(model)
swaptions = []
for start, length, volatility in data:
vol = SimpleQuote(volatility)
helper = SwaptionHelper(Period(start, Years),
Period(length, Years),
vol,
index,
Period(1, Years), Thirty360(),
Actual360(), yield_ts)
helper.set_pricing_engine(engine)
swaptions.append(helper)
# Set up the optimization problem
om = LevenbergMarquardt(1.0e-8, 1.0e-8, 1.0e-8)
endCriteria = EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8)
model.calibrate(swaptions, om, endCriteria)
print('Hull White calibrated parameters:\na: %f sigma: %f' %
(model.a, model.sigma))
cached_a = 0.0464041
cached_sigma = 0.00579912
tolerance = 1.0e-5
self.assertAlmostEqual(cached_a, model.a, delta=tolerance)
self.assertAlmostEqual(cached_sigma, model.sigma, delta=tolerance)
def test_empty_constructor(self):
euribor_6m_index = Euribor6M()
self.assertEquals(euribor_6m_index.name, 'Euribor6M Actual/360')
def test_excel_example_with_floating_rate_bond(self):
todays_date = Date(25, August, 2011)
settings = Settings()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(effective_date,
10,
Years,
convention=Unadjusted)
settlement_date = calendar.adjust(Date(28, January, 2011))
settlement_days = 3 #1
face_amount = 13749769.27 #2
coupon_rate = 0.05
redemption = 100.0
float_bond_schedule = Schedule(effective_date, termination_date,
Period(Annual), calendar,
ModifiedFollowing, ModifiedFollowing,
Backward) #3
flat_discounting_term_structure = YieldTermStructure(relinkable=True)
forecastTermStructure = YieldTermStructure(relinkable=True)
dc = Actual360()
ibor_index = Euribor6M(forecastTermStructure) #5
fixing_days = 2 #6
gearings = [1, 0.0] #7
spreads = [1, 0.05] #8
caps = [] #9
floors = [] #10
pmt_conv = ModifiedFollowing #11
issue_date = effective_date
float_bond = FloatingRateBond(settlement_days, face_amount,
float_bond_schedule, ibor_index, dc,
fixing_days, gearings, spreads, caps,
floors, pmt_conv, redemption, issue_date)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.055,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
flat_discounting_term_structure.link_to(flat_term_structure)
forecastTermStructure.link_to(flat_term_structure)
engine = DiscountingBondEngine(flat_discounting_term_structure)
float_bond.set_pricing_engine(engine)
cons_option_vol = ConstantOptionletVolatility(settlement_days,
UnitedStates(SETTLEMENT),
pmt_conv, 0.95,
Actual365Fixed())
coupon_pricer = BlackIborCouponPricer(cons_option_vol)
set_coupon_pricer(float_bond, coupon_pricer)
self.assertEquals(Date(10, Jul, 2016), termination_date)
self.assertEquals(calendar.advance(todays_date, 3, Days),
float_bond.settlement_date())
self.assertEquals(Date(11, Jul, 2016), float_bond.maturity_date)
self.assertAlmostEqual(
0.6944, float_bond.accrued_amount(float_bond.settlement_date()), 4)
self.assertAlmostEqual(98.2485, float_bond.dirty_price, 4)
self.assertAlmostEqual(13500805.2469, float_bond.npv, 4)
def test_creation(self):
# Makes sure the constructor does not segfault anymore ;-)
index = Euribor6M()
self.assertEquals(index.name, 'Euribor6M Actual/360')
day_counter) for d in futures.keys()
]
settlementDays = 2
fixedLegFrequency = Annual
fixedLegTenor = Period(1, Years)
fixedLegAdjustment = Unadjusted
fixedLegDayCounter = Thirty360()
floatingLegFrequency = Semiannual
floatingLegTenor = Period(6, Months)
floatingLegAdjustment = ModifiedFollowing
swapHelpers = [
SwapRateHelper.from_tenor(swaps[(n, unit)], Period(n, unit), calendar,
fixedLegFrequency,
fixedLegAdjustment, fixedLegDayCounter,
Euribor6M()) for n, unit in swaps.keys()
]
### Curve building
ts_daycounter = ActualActual(ISDA)
# term-structure construction
helpers = depositHelpers + swapHelpers
depoSwapCurve = PiecewiseYieldCurve('discount', 'loglinear', settlementDate,
helpers, ts_daycounter)
helpers = depositHelpers[:2] + futuresHelpers + swapHelpers[1:]
depoFuturesSwapCurve = PiecewiseYieldCurve('discount', 'loglinear',
settlementDate, helpers,
ts_daycounter)
calendar, ModifiedFollowing,
True, dayCounter)
for d in futures.keys() ]
settlementDays = 2
fixedLegFrequency = Annual
fixedLegTenor = Period(1,Years)
fixedLegAdjustment = Unadjusted
fixedLegDayCounter = Thirty360()
floatingLegFrequency = Semiannual
floatingLegTenor = Period(6,Months)
floatingLegAdjustment = ModifiedFollowing
swapHelpers = [ SwapRateHelper.from_tenor(swaps[(n,unit)],
Period(n,unit), calendar,
fixedLegFrequency, fixedLegAdjustment,
fixedLegDayCounter, Euribor6M())
for n, unit in swaps.keys() ]
### Curve building
ts_daycounter = ActualActual(ISDA)
# term-structure construction
helpers = depositHelpers + swapHelpers
depoSwapCurve = PiecewiseYieldCurve(
'discount', 'loglinear', settlementDate, helpers, ts_daycounter
)
helpers = depositHelpers[:2] + futuresHelpers + swapHelpers[1:]
depoFuturesSwapCurve = PiecewiseYieldCurve(
'discount', 'loglinear',settlementDate, helpers, ts_daycounter