def test_BDTExampleOne():
# HULL BOOK NOTES
# http://www-2.rotman.utoronto.ca/~hull/technicalnotes/TechnicalNote23.pdf
valuation_date = Date(1, 1, 2020)
years = [0.0, 1.0, 2.0, 3.0, 4.0, 5.0]
zero_dates = valuation_date.add_years(years)
zero_rates = [0.00, 0.10, 0.11, 0.12, 0.125, 0.13]
testCases.header("DATES")
testCases.print(zero_dates)
testCases.header("RATES")
testCases.print(zero_rates)
curve = DiscountCurveZeros(valuation_date, zero_dates, zero_rates,
FrequencyTypes.ANNUAL)
yieldVol = 0.16
num_time_steps = 5
tmat = years[-1]
dfs = curve.df(zero_dates)
testCases.print("DFS")
testCases.print(dfs)
years = np.array(years)
dfs = np.array(dfs)
model = BDTTree(yieldVol, num_time_steps)
model.build_tree(tmat, years, dfs)
def test_FinDiscountCurveZeros():
start_date = Date(1, 1, 2018)
times = np.linspace(1.0, 10.0, 10)
dates = start_date.add_years(times)
zero_rates = np.linspace(5.0, 6.0, 10) / 100
freq_type = FrequencyTypes.ANNUAL
day_count_type = DayCountTypes.ACT_ACT_ISDA
curve = DiscountCurveZeros(start_date, dates, zero_rates, freq_type,
day_count_type, InterpTypes.FLAT_FWD_RATES)
testCases.header("T", "DF")
years = np.linspace(0, 10, 21)
dates = start_date.add_years(years)
for dt in dates:
df = curve.df(dt)
testCases.print(dt, df)
# print(curve)
###############################################################################
numRepeats = 100
start = time.time()
for i in range(0, numRepeats):
freq_type = FrequencyTypes.ANNUAL
day_count_type = DayCountTypes.ACT_ACT_ISDA
dates = [
Date(14, 6, 2016),
Date(14, 9, 2016),
Date(14, 12, 2016),
Date(14, 6, 2017),
Date(14, 6, 2019),
Date(14, 6, 2021),
Date(15, 6, 2026),
Date(16, 6, 2031),
Date(16, 6, 2036),
Date(14, 6, 2046)
]
zero_rates = [
0.000000, 0.006616, 0.007049, 0.007795, 0.009599, 0.011203,
0.015068, 0.017583, 0.018998, 0.020080
]
start_date = dates[0]
curve = DiscountCurveZeros(start_date, dates, zero_rates, freq_type,
day_count_type, InterpTypes.FLAT_FWD_RATES)
end = time.time()
period = end - start
def test_IborCapFloorQLExample():
valuation_date = Date(14, 6, 2016)
dates = [
Date(14, 6, 2016),
Date(14, 9, 2016),
Date(14, 12, 2016),
Date(14, 6, 2017),
Date(14, 6, 2019),
Date(14, 6, 2021),
Date(15, 6, 2026),
Date(16, 6, 2031),
Date(16, 6, 2036),
Date(14, 6, 2046)
]
rates = [
0.000000, 0.006616, 0.007049, 0.007795, 0.009599, 0.011203, 0.015068,
0.017583, 0.018998, 0.020080
]
freq_type = FrequencyTypes.ANNUAL
day_count_type = DayCountTypes.ACT_ACT_ISDA
discount_curve = DiscountCurveZeros(valuation_date, dates, rates,
freq_type, day_count_type,
InterpTypes.LINEAR_ZERO_RATES)
start_date = Date(14, 6, 2016)
end_date = Date(14, 6, 2026)
calendar_type = CalendarTypes.UNITED_STATES
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
freq_type = FrequencyTypes.QUARTERLY
date_gen_rule_type = DateGenRuleTypes.FORWARD
lastFixing = 0.0065560
notional = 1000000
day_count_type = DayCountTypes.ACT_360
option_type = FinCapFloorTypes.CAP
strike_rate = 0.02
cap = IborCapFloor(start_date, end_date, option_type, strike_rate,
lastFixing, freq_type, day_count_type, notional,
calendar_type, bus_day_adjust_type, date_gen_rule_type)
blackVol = 0.547295
model = Black(blackVol)
start = time.time()
numRepeats = 10
for i in range(0, numRepeats):
v = cap.value(valuation_date, discount_curve, model)
end = time.time()
period = end - start
def testIborSwaptionMatlabExamples():
# 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("=======================================")
valuation_date = Date(1, 1, 2010)
libor_curve = DiscountCurveFlat(valuation_date, 0.06,
FrequencyTypes.CONTINUOUS,
DayCountTypes.THIRTY_E_360)
settlement_date = Date(1, 1, 2011)
exercise_date = Date(1, 1, 2016)
maturity_date = Date(1, 1, 2019)
fixed_coupon = 0.062
fixed_frequency_type = FrequencyTypes.SEMI_ANNUAL
fixed_day_count_type = DayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
# Pricing a PAY
swaptionType = SwapTypes.PAY
swaption = IborSwaption(settlement_date, exercise_date, maturity_date,
swaptionType, fixed_coupon, fixed_frequency_type,
fixed_day_count_type, notional)
model = Black(0.20)
v_finpy = swaption.value(valuation_date, libor_curve, 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("===================================")
valuation_date = Date(1, 1, 2010)
dates = [
Date(1, 1, 2011),
Date(1, 1, 2012),
Date(1, 1, 2013),
Date(1, 1, 2014),
Date(1, 1, 2015)
]
zero_rates = [0.03, 0.034, 0.037, 0.039, 0.040]
contFreq = FrequencyTypes.CONTINUOUS
interp_type = InterpTypes.LINEAR_ZERO_RATES
day_count_type = DayCountTypes.THIRTY_E_360
libor_curve = DiscountCurveZeros(valuation_date, dates, zero_rates,
contFreq, day_count_type, interp_type)
settlement_date = Date(1, 1, 2011)
exercise_date = Date(1, 1, 2012)
maturity_date = Date(1, 1, 2017)
fixed_coupon = 0.03
fixed_frequency_type = FrequencyTypes.SEMI_ANNUAL
fixed_day_count_type = DayCountTypes.THIRTY_E_360
float_frequency_type = FrequencyTypes.SEMI_ANNUAL
float_day_count_type = DayCountTypes.THIRTY_E_360
notional = 1000.0
# Pricing a put
swaptionType = SwapTypes.RECEIVE
swaption = IborSwaption(settlement_date, exercise_date, maturity_date,
swaptionType, fixed_coupon, fixed_frequency_type,
fixed_day_count_type, notional,
float_frequency_type, float_day_count_type)
model = Black(0.21)
v_finpy = swaption.value(valuation_date, libor_curve, 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("===================================")
valuation_date = Date(1, 1, 2016)
dates = [
Date(1, 1, 2017),
Date(1, 1, 2018),
Date(1, 1, 2019),
Date(1, 1, 2020),
Date(1, 1, 2021)
]
zero_rates = np.array([-0.02, 0.024, 0.047, 0.090, 0.12]) / 100.0
contFreq = FrequencyTypes.ANNUAL
interp_type = InterpTypes.LINEAR_ZERO_RATES
day_count_type = DayCountTypes.THIRTY_E_360
libor_curve = DiscountCurveZeros(valuation_date, dates, zero_rates,
contFreq, day_count_type, interp_type)
settlement_date = Date(1, 1, 2016)
exercise_date = Date(1, 1, 2017)
maturity_date = Date(1, 1, 2020)
fixed_coupon = -0.003
fixed_frequency_type = FrequencyTypes.SEMI_ANNUAL
fixed_day_count_type = DayCountTypes.THIRTY_E_360_ISDA
float_frequency_type = FrequencyTypes.SEMI_ANNUAL
float_day_count_type = DayCountTypes.THIRTY_E_360_ISDA
notional = 1000.0
# Pricing a PAY
swaptionType = SwapTypes.PAY
swaption = IborSwaption(settlement_date, exercise_date, maturity_date,
swaptionType, fixed_coupon, fixed_frequency_type,
fixed_day_count_type, notional,
float_frequency_type, float_day_count_type)
model = BlackShifted(0.31, 0.008)
v_finpy = swaption.value(valuation_date, libor_curve, 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
valuation_date = Date(1, 1, 2007)
dates = [
Date(1, 1, 2007),
Date(1, 7, 2007),
Date(1, 1, 2008),
Date(1, 7, 2008),
Date(1, 1, 2009),
Date(1, 7, 2009),
Date(1, 1, 2010),
Date(1, 7, 2010),
Date(1, 1, 2011),
Date(1, 7, 2011),
Date(1, 1, 2012)
]
zero_rates = np.array([0.075] * 11)
interp_type = InterpTypes.FLAT_FWD_RATES
day_count_type = DayCountTypes.THIRTY_E_360_ISDA
contFreq = FrequencyTypes.SEMI_ANNUAL
libor_curve = DiscountCurveZeros(valuation_date, dates, zero_rates,
contFreq, day_count_type, interp_type)
settlement_date = valuation_date
exercise_date = Date(1, 1, 2010)
maturity_date = Date(1, 1, 2012)
fixed_coupon = 0.04
fixed_frequency_type = FrequencyTypes.SEMI_ANNUAL
fixed_day_count_type = DayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
swaptionType = SwapTypes.RECEIVE
swaption = IborSwaption(settlement_date, exercise_date, maturity_date,
swaptionType, fixed_coupon, fixed_frequency_type,
fixed_day_count_type, notional)
model = HWTree(0.05, 0.01)
v_finpy = swaption.value(valuation_date, libor_curve, 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
valuation_date = Date(1, 1, 2007)
dates = [
Date(1, 1, 2007),
Date(1, 7, 2007),
Date(1, 1, 2008),
Date(1, 7, 2008),
Date(1, 1, 2009),
Date(1, 7, 2009),
Date(1, 1, 2010),
Date(1, 7, 2010),
Date(1, 1, 2011),
Date(1, 7, 2011),
Date(1, 1, 2012)
]
zero_rates = np.array([0.07] * 11)
interp_type = InterpTypes.FLAT_FWD_RATES
day_count_type = DayCountTypes.THIRTY_E_360_ISDA
contFreq = FrequencyTypes.SEMI_ANNUAL
libor_curve = DiscountCurveZeros(valuation_date, dates, zero_rates,
contFreq, day_count_type, interp_type)
settlement_date = valuation_date
exercise_date = Date(1, 1, 2011)
maturity_date = Date(1, 1, 2012)
fixed_frequency_type = FrequencyTypes.SEMI_ANNUAL
fixed_day_count_type = DayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
model = BKTree(0.1, 0.05, 200)
fixed_coupon = 0.07
swaptionType = SwapTypes.PAY
swaption = IborSwaption(settlement_date, exercise_date, maturity_date,
swaptionType, fixed_coupon, fixed_frequency_type,
fixed_day_count_type, notional)
v_finpy = swaption.value(valuation_date, libor_curve, 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)
fixed_coupon = 0.0725
swaptionType = SwapTypes.RECEIVE
swaption = IborSwaption(settlement_date, exercise_date, maturity_date,
swaptionType, fixed_coupon, fixed_frequency_type,
fixed_day_count_type, notional)
v_finpy = swaption.value(valuation_date, libor_curve, 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
valuation_date = Date(1, 1, 2007)
dates = [
Date(1, 1, 2007),
Date(1, 7, 2007),
Date(1, 1, 2008),
Date(1, 7, 2008),
Date(1, 1, 2009),
Date(1, 7, 2009),
Date(1, 1, 2010),
Date(1, 7, 2010),
Date(1, 1, 2011),
Date(1, 7, 2011),
Date(1, 1, 2012)
]
zero_rates = np.array([0.06] * 11)
interp_type = InterpTypes.FLAT_FWD_RATES
day_count_type = DayCountTypes.THIRTY_E_360_ISDA
contFreq = FrequencyTypes.ANNUAL
libor_curve = DiscountCurveZeros(valuation_date, dates, zero_rates,
contFreq, day_count_type, interp_type)
settlement_date = valuation_date
exercise_date = Date(1, 1, 2012)
maturity_date = Date(1, 1, 2015)
fixed_frequency_type = FrequencyTypes.ANNUAL
fixed_day_count_type = DayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
fixed_coupon = 0.062
swaptionType = SwapTypes.PAY
swaption = IborSwaption(settlement_date, exercise_date, maturity_date,
swaptionType, fixed_coupon, fixed_frequency_type,
fixed_day_count_type, notional)
model = BDTTree(0.20, 200)
v_finpy = swaption.value(valuation_date, libor_curve, 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 test_FinDiscountCurves():
# Create a curve from times and discount factors
valuation_date = Date(1, 1, 2018)
years = [1.0, 2.0, 3.0, 4.0, 5.0]
dates = valuation_date.add_years(years)
years2 = []
for dt in dates:
y = (dt - valuation_date) / gDaysInYear
years2.append(y)
rates = np.array([0.05, 0.06, 0.065, 0.07, 0.075])
discount_factors = np.exp(-np.array(rates) * np.array(years2))
curvesList = []
finDiscountCurve = DiscountCurve(valuation_date, dates, discount_factors,
InterpTypes.FLAT_FWD_RATES)
curvesList.append(finDiscountCurve)
finDiscountCurveFlat = DiscountCurveFlat(valuation_date, 0.05)
curvesList.append(finDiscountCurveFlat)
finDiscountCurveNS = DiscountCurveNS(valuation_date, 0.0305, -0.01,
0.08, 10.0)
curvesList.append(finDiscountCurveNS)
finDiscountCurveNSS = DiscountCurveNSS(valuation_date, 0.035, -0.02,
0.09, 0.1, 1.0, 2.0)
curvesList.append(finDiscountCurveNSS)
finDiscountCurvePoly = DiscountCurvePoly(valuation_date, [0.05, 0.002,
-0.00005])
curvesList.append(finDiscountCurvePoly)
finDiscountCurvePWF = DiscountCurvePWF(valuation_date, dates, rates)
curvesList.append(finDiscountCurvePWF)
finDiscountCurvePWL = DiscountCurvePWL(valuation_date, dates, rates)
curvesList.append(finDiscountCurvePWL)
finDiscountCurveZeros = DiscountCurveZeros(valuation_date, dates, rates)
curvesList.append(finDiscountCurveZeros)
curveNames = []
for curve in curvesList:
curveNames.append(type(curve).__name__)
testCases.banner("SINGLE CALLS NO VECTORS")
testCases.header("CURVE", "DATE", "ZERO", "DF", "CCFWD", "MMFWD", "SWAP")
years = np.linspace(1, 10, 10)
fwdMaturityDates = valuation_date.add_years(years)
testCases.banner("######################################################")
testCases.banner("SINGLE CALLS")
testCases.banner("######################################################")
for name, curve in zip(curveNames, curvesList):
for fwdMaturityDate in fwdMaturityDates:
tenor = "3M"
zero_rate = curve.zero_rate(fwdMaturityDate)
fwd = curve.fwd(fwdMaturityDate)
fwd_rate = curve.fwd_rate(fwdMaturityDate, tenor)
swap_rate = curve.swap_rate(valuation_date, fwdMaturityDate)
df = curve.df(fwdMaturityDate)
testCases.print("%-20s" % name,
"%-12s" % fwdMaturityDate,
"%7.6f" % (zero_rate),
"%8.7f" % (df),
"%7.6f" % (fwd),
"%7.6f" % (fwd_rate),
"%7.6f" % (swap_rate))
# Examine vectorisation
testCases.banner("######################################################")
testCases.banner("VECTORISATIONS")
testCases.banner("######################################################")
for name, curve in zip(curveNames, curvesList):
tenor = "3M"
zero_rate = curve.zero_rate(fwdMaturityDates)
fwd = curve.fwd(fwdMaturityDates)
fwd_rate = curve.fwd_rate(fwdMaturityDates, tenor)
swap_rate = curve.swap_rate(valuation_date, fwdMaturityDates)
df = curve.df(fwdMaturityDates)
for i in range(0, len(fwdMaturityDates)):
testCases.print("%-20s" % name,
"%-12s" % fwdMaturityDate,
"%7.6f" % (zero_rate[i]),
"%8.7f" % (df[i]),
"%7.6f" % (fwd[i]),
"%7.6f" % (fwd_rate[i]),
"%7.6f" % (swap_rate[i]))
if PLOT_GRAPHS:
years = np.linspace(0, 10, 121)
years2 = years + 1.0
fwdDates = valuation_date.add_years(years)
fwdDates2 = valuation_date.add_years(years2)
plt.figure()
for name, curve in zip(curveNames, curvesList):
zero_rates = curve.zero_rate(fwdDates)
plt.plot(years, zero_rates, label=name)
plt.legend()
plt.title("Zero Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
fwd_rates = curve.fwd(fwdDates)
plt.plot(years, fwd_rates, label=name)
plt.legend()
plt.title("CC Fwd Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
fwd_rates = curve.fwd_rate(fwdDates, fwdDates2)
plt.plot(years, fwd_rates, label=name)
plt.legend()
plt.title("CC Fwd Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
dfs = curve.df(fwdDates)
plt.plot(years, dfs, label=name)
plt.legend()
plt.title("Discount Factors")
def test_FinInflationBondStack():
##########################################################################
# https://stackoverflow.com/questions/57676724/failing-to-obtain-correct-accrued-interest-with-quantlib-inflation-bond-pricer-i
##########################################################################
testCases.banner("=============================")
testCases.banner("QUANT FINANCE US TIPS EXAMPLE")
testCases.banner("=============================")
settlement_date = Date(23, 8, 2019)
issue_date = Date(25, 9, 2013)
maturity_date = Date(22, 3, 2068)
coupon = 0.00125
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
face = 100.0
baseCPIValue = 249.70
###########################################################################
# Discount curve
discount_curve = DiscountCurveFlat(settlement_date, 0.01033692,
FrequencyTypes.ANNUAL,
DayCountTypes.ACT_ACT_ISDA)
lag = 3
fixingCPI = 244.65884
fixingDate = settlement_date.add_months(-lag)
###########################################################################
# Create Index Curve
months = range(0, 12, 1)
fixingDates = Date(31, 8, 2018).add_months(months)
fixingRates = [
284.2, 284.1, 284.5, 284.6, 285.6, 283.0, 285.0, 285.1, 288.2, 289.2,
289.6, 289.5
]
inflationIndex = FinInflationIndexCurve(fixingDates, fixingRates, lag)
# print(inflationIndex)
###########################################################################
zciisData = [(Date(31, 7, 2020), 3.1500000000137085),
(Date(31, 7, 2021), 3.547500000013759),
(Date(31, 7, 2022), 3.675000000013573),
(Date(31, 7, 2023), 3.7250000000134342),
(Date(31, 7, 2024), 3.750000000013265),
(Date(31, 7, 2025), 3.7430000000129526),
(Date(31, 7, 2026), 3.741200000012679),
(Date(31, 7, 2027), 3.7337000000123632),
(Date(31, 7, 2028), 3.725000000011902),
(Date(31, 7, 2029), 3.720000000011603),
(Date(31, 7, 2030), 3.712517289063011),
(Date(31, 7, 2031), 3.7013000000108764),
(Date(31, 7, 2032), 3.686986039205209),
(Date(31, 7, 2033), 3.671102614032895),
(Date(31, 7, 2034), 3.655000000009778),
(Date(31, 7, 2035), 3.6394715951305834),
(Date(31, 7, 2036), 3.624362044800966),
(Date(31, 7, 2037), 3.6093619727979087),
(Date(31, 7, 2038), 3.59421438364369),
(Date(31, 7, 2039), 3.5787000000081948),
(Date(31, 7, 2040), 3.5626192748395624),
(Date(31, 7, 2041), 3.545765016376823),
(Date(31, 7, 2042), 3.527943521613608),
(Date(31, 7, 2043), 3.508977137925462),
(Date(31, 7, 2044), 3.48870000000685),
(Date(31, 7, 2045), 3.467083068721011),
(Date(31, 7, 2046), 3.4445738220594935),
(Date(31, 7, 2047), 3.4216470902302065),
(Date(31, 7, 2048), 3.3986861494999188),
(Date(31, 7, 2049), 3.376000000005752),
(Date(31, 7, 2050), 3.3538412080641233),
(Date(31, 7, 2051), 3.3324275806807746),
(Date(31, 7, 2052), 3.311938788306623),
(Date(31, 7, 2053), 3.2925208131865835),
(Date(31, 7, 2054), 3.274293040759302),
(Date(31, 7, 2055), 3.2573541974782794),
(Date(31, 7, 2056), 3.241787355503245),
(Date(31, 7, 2057), 3.227664186159851),
(Date(31, 7, 2058), 3.2150486140060774),
(Date(31, 7, 2059), 3.204000000004159),
(Date(31, 7, 2060), 3.1945334946674064),
(Date(31, 7, 2061), 3.1865047145143377),
(Date(31, 7, 2062), 3.179753073456304),
(Date(31, 7, 2063), 3.1741427790361154),
(Date(31, 7, 2064), 3.1695593261025223),
(Date(31, 7, 2065), 3.1659065919088736),
(Date(31, 7, 2066), 3.163104428386987),
(Date(31, 7, 2067), 3.1610866681252903),
(Date(31, 7, 2068), 3.1597994770515836),
(Date(31, 7, 2069), 3.159200000003204),
(Date(31, 7, 2070), 3.159242349440139),
(Date(31, 7, 2071), 3.1598400898057433),
(Date(31, 7, 2072), 3.16090721831932),
(Date(31, 7, 2073), 3.162369676612098),
(Date(31, 7, 2074), 3.1641636543027207)]
zcDates = []
zcRates = []
for i in range(0, len(zciisData)):
zcDates.append(zciisData[i][0])
zcRates.append(zciisData[i][1] / 100.0)
inflationZeroCurve = DiscountCurveZeros(settlement_date, zcDates, zcRates,
FrequencyTypes.ANNUAL,
DayCountTypes.ACT_ACT_ISDA)
# print(inflationZeroCurve)
###########################################################################
bond = FinInflationBond(issue_date, maturity_date, coupon, freq_type,
accrual_type, face, baseCPIValue)
testCases.header("FIELD", "VALUE")
clean_price = 104.03502
yld = bond.current_yield(clean_price)
testCases.print("Current Yield = ", yld)
return
###########################################################################
# Inherited functions that just calculate real yield without CPI adjustments
###########################################################################
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.UK_DMO)
testCases.print("UK DMO REAL Yield To Maturity = ", ytm)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.US_STREET)
testCases.print("US STREET REAL Yield To Maturity = ", ytm)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
YTMCalcType.US_TREASURY)
testCases.print("US TREASURY REAL Yield To Maturity = ", ytm)
full_price = bond.full_price_from_ytm(settlement_date, ytm)
testCases.print("Full Price from REAL YTM = ", full_price)
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
testCases.print("Clean Price from Real YTM = ", clean_price)
accddays = bond._accrued_days
testCases.print("Accrued Days = ", accddays)
accrued_interest = bond._accrued_interest
testCases.print("REAL Accrued Interest = ", accrued_interest)
###########################################################################
# Inflation functions that calculate nominal yield with CPI adjustment
###########################################################################
###########################################################################
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
testCases.print("Clean Price from Real YTM = ", clean_price)
inflationAccd = bond.calc_inflation_accrued_interest(
settlement_date, refCPIValue)
testCases.print("Inflation Accrued = ", inflationAccd)
lastCpnCPIValue = 244.61839
clean_price = bond.flat_price_from_yield_to_maturity(
settlement_date, ytm, lastCpnCPIValue, YTMCalcType.US_TREASURY)
testCases.print("Flat Price from Real YTM = ", clean_price)
principal = bond.inflation_principal(settlement_date, ytm, refCPIValue,
YTMCalcType.US_TREASURY)
testCases.print("Inflation Principal = ", principal)
###########################################################################
duration = bond.dollar_duration(settlement_date, ytm)
testCases.print("Dollar Duration = ", duration)
modified_duration = bond.modified_duration(settlement_date, ytm)
testCases.print("Modified Duration = ", modified_duration)
macauley_duration = bond.macauley_duration(settlement_date, ytm)
testCases.print("Macauley Duration = ", macauley_duration)
conv = bond.convexity_from_ytm(settlement_date, ytm)
testCases.print("Convexity = ", conv)