def test_basic(self, test_curves):
notional = 1e6
start_date = date(2018, 7, 13)
tenor_in_months = 6
fixed_rate = 0.02
swap = InterestRateSwap(notional, start_date, tenor_in_months, fixed_rate)
libor_curve, ois_curve = test_curves
d1 = date(2018, 10, 15)
d2 = date(2019, 1, 14)
fixed_leg_value = (notional * fixed_rate * thirty_360.yf(start_date, d2)
* ois_curve.df(d2))
forward1 = libor_curve.forward(start_date, d1, actual_360)
yf1 = actual_360.yf(start_date, d1)
forward2 = libor_curve.forward(d1, d2, actual_360)
yf2 = actual_360.yf(d1, d2)
libor_leg_value = notional * (forward1 * yf1 * ois_curve.df(d1)
+ forward2 * yf2 * ois_curve.df(d2))
swap_value = libor_leg_value - fixed_leg_value
assert(abs(swap.value(libor_curve, ois_curve) - swap_value) < 1e-9)
# Multiply notional by -10, double fixed rate.
swap2 = InterestRateSwap(-10.0 * notional, start_date, tenor_in_months, 2.0 * fixed_rate)
swap_value2 = -10.0 * (swap_value - fixed_leg_value)
assert(abs(swap2.value(libor_curve, ois_curve) - swap_value2) < 1e-9)
def __init__(self, notional, start_date, tenor_in_months, rate):
"""Creates a Libor deposit."""
self.start_date = start_date
self.flow_on_start_date = -notional
self.end_date = add_months_mod_foll(start_date, tenor_in_months)
year_fraction = actual_360.yf(start_date, self.end_date)
self.flow_on_end_date = notional * (1.0 + rate * year_fraction)
def test_basic(self):
notional = 1e6
start_date = date(2018, 7, 9)
tenor_in_months = 3
rate = 0.05
libor_deposit = LiborDeposit(notional, start_date, tenor_in_months, rate)
end_date = date(2018, 10, 9)
known_df = 1.0 / (1.0 + rate * actual_360.yf(start_date, end_date))
libor_curve = InterestRateCurve(start_date, [end_date], [known_df])
ois_curve = InterestRateCurve(start_date, [end_date], [1.0])
assert(abs(libor_deposit.value(libor_curve, ois_curve)) < 1e-6)
def test_forward():
base_date = date(2018, 7, 13)
dates = [date(2018, 10, 1), date(2019, 1, 1)]
dfs = [0.97, 0.95]
curve = InterestRateCurve(base_date, dates, dfs)
start_date = date(2018, 8, 15)
end_date = date(2018, 10, 15)
start_df = curve.df(start_date)
end_df = curve.df(end_date)
forward = curve.forward(start_date, end_date, actual_360)
yf = actual_360.yf(start_date, end_date)
assert(abs(start_df / (1.0 + forward * yf) - end_df) < 1e-9)
def test_single_period(self, test_curves):
notional = 1e8
start_date = date(2018, 7, 16)
tenor = 3
ois_leg_spread = 0.0020
swap = OisBasisSwap(notional, start_date, tenor, ois_leg_spread)
libor_curve, ois_curve = test_curves
end_date = date(2018, 10, 16)
libor_forward = libor_curve.forward(start_date, end_date, actual_360)
ois_forward = ois_curve.forward(start_date, end_date, actual_360)
yf = actual_360.yf(start_date, end_date)
expected_value = (notional * (libor_forward - ois_forward - ois_leg_spread)
* yf * ois_curve.df(end_date))
actual_value = swap.value(libor_curve, ois_curve)
assert(abs(actual_value - expected_value) < 1e-9)