def loadHeterogeneousSpreadCurves(valuation_date, libor_curve):
maturity3Y = valuation_date.nextCDSDate(36)
maturity5Y = valuation_date.nextCDSDate(60)
maturity7Y = valuation_date.nextCDSDate(84)
maturity10Y = valuation_date.nextCDSDate(120)
path = os.path.join(os.path.dirname(__file__),
'.//data//CDX_NA_IG_S7_SPREADS.csv')
f = open(path, 'r')
data = f.readlines()
f.close()
issuer_curves = []
for row in data[1:]:
splitRow = row.split(",")
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recovery_rate = float(splitRow[5])
cds3Y = FinCDS(valuation_date, maturity3Y, spd3Y)
cds5Y = FinCDS(valuation_date, maturity5Y, spd5Y)
cds7Y = FinCDS(valuation_date, maturity7Y, spd7Y)
cds10Y = FinCDS(valuation_date, maturity10Y, spd10Y)
cds_contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
recovery_rate)
issuer_curves.append(issuer_curve)
return issuer_curves
def loadHomogeneousSpreadCurves(valuation_date, libor_curve, cdsSpread3Y,
cdsSpread5Y, cdsSpread7Y, cdsSpread10Y,
num_credits):
maturity3Y = valuation_date.nextCDSDate(36)
maturity5Y = valuation_date.nextCDSDate(60)
maturity7Y = valuation_date.nextCDSDate(84)
maturity10Y = valuation_date.nextCDSDate(120)
recovery_rate = 0.40
cds3Y = FinCDS(valuation_date, maturity3Y, cdsSpread3Y)
cds5Y = FinCDS(valuation_date, maturity5Y, cdsSpread5Y)
cds7Y = FinCDS(valuation_date, maturity7Y, cdsSpread7Y)
cds10Y = FinCDS(valuation_date, maturity10Y, cdsSpread10Y)
contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuer_curve = FinCDSCurve(valuation_date, contracts, libor_curve,
recovery_rate)
issuer_curves = []
for _ in range(0, num_credits):
issuer_curves.append(issuer_curve)
return issuer_curves
def test_IssuerCurveBuild():
""" Test issuer curve build with simple libor curve to isolate cds
curve building time cost. """
valuation_date = Date(20, 6, 2018)
times = np.linspace(0.0, 10.0, 11)
r = 0.05
discount_factors = np.power((1.0 + r), -times)
dates = valuation_date.addYears(times)
libor_curve = DiscountCurve(valuation_date, dates, discount_factors,
FinInterpTypes.FLAT_FWD_RATES)
recovery_rate = 0.40
cds_contracts = []
cdsCoupon = 0.005 # 50 bps
maturity_date = valuation_date.addMonths(12)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0055
maturity_date = valuation_date.addMonths(24)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0060
maturity_date = valuation_date.addMonths(36)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0065
maturity_date = valuation_date.addMonths(60)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0070
maturity_date = valuation_date.addMonths(84)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0073
maturity_date = valuation_date.addMonths(120)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
recovery_rate)
return cds_contracts, issuer_curve
def buildFlatIssuerCurve(tradeDate, libor_curve, spread, recovery_rate):
valuation_date = tradeDate.addDays(1)
cdsMarketContracts = []
maturity_date = Date(29, 6, 2010)
cds = FinCDS(valuation_date, maturity_date, spread)
cdsMarketContracts.append(cds)
issuer_curve = FinCDSCurve(valuation_date, cdsMarketContracts, libor_curve,
recovery_rate)
return issuer_curve
def buildIssuerCurve(tradeDate, libor_curve):
valuation_date = tradeDate.addDays(1)
cdsMarketContracts = []
cdsCoupon = 0.0048375
maturity_date = Date(20, 6, 2010)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
recovery_rate = 0.40
issuer_curve = FinCDSCurve(valuation_date, cdsMarketContracts, libor_curve,
recovery_rate)
return issuer_curve
def test_CDSFastApproximation():
valuation_date = Date(20, 6, 2018)
# I build a discount curve that requires no bootstrap
times = np.linspace(0, 10.0, 11)
r = 0.05
discount_factors = np.power((1.0 + r), -times)
dates = valuation_date.addYears(times)
libor_curve = DiscountCurve(valuation_date, dates, discount_factors,
FinInterpTypes.FLAT_FWD_RATES)
##########################################################################
maturity_date = valuation_date.nextCDSDate(120)
t = (maturity_date - valuation_date) / 365.242
z = libor_curve.df(maturity_date)
r = -np.log(z) / t
recovery_rate = 0.40
contractCoupon = 0.010
testCases.header("MKT_SPD", "EXACT_VALUE", "APPROX_VALUE", "DIFF(%NOT)")
for mktCoupon in np.linspace(0.000, 0.05, 21):
cds_contracts = []
cdsMkt = FinCDS(valuation_date, maturity_date, mktCoupon, ONE_MILLION)
cds_contracts.append(cdsMkt)
issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
recovery_rate)
cds_contract = FinCDS(valuation_date, maturity_date, contractCoupon)
v_exact = cds_contract.value(valuation_date, issuer_curve,
recovery_rate)['full_pv']
v_approx = cds_contract.valueFastApprox(valuation_date, r, mktCoupon,
recovery_rate)[0]
pctdiff = (v_exact - v_approx) / ONE_MILLION * 100.0
testCases.print(mktCoupon * 10000, v_exact, v_approx, pctdiff)
def test_performCDSIndexHazardRateAdjustment():
tradeDate = Date(1, 8, 2007)
step_in_date = tradeDate.addDays(1)
valuation_date = step_in_date
libor_curve = buildIborCurve(tradeDate)
maturity3Y = tradeDate.nextCDSDate(36)
maturity5Y = tradeDate.nextCDSDate(60)
maturity7Y = tradeDate.nextCDSDate(84)
maturity10Y = tradeDate.nextCDSDate(120)
path = dirname(__file__)
filename = "CDX_NA_IG_S7_SPREADS.csv"
full_filename_path = join(path, "data", filename)
f = open(full_filename_path, 'r')
data = f.readlines()
issuer_curves = []
for row in data[1:]:
splitRow = row.split(",")
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recovery_rate = float(splitRow[5])
cds3Y = FinCDS(step_in_date, maturity3Y, spd3Y)
cds5Y = FinCDS(step_in_date, maturity5Y, spd5Y)
cds7Y = FinCDS(step_in_date, maturity7Y, spd7Y)
cds10Y = FinCDS(step_in_date, maturity10Y, spd10Y)
cds_contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
recovery_rate)
issuer_curves.append(issuer_curve)
##########################################################################
# Now determine the average spread of the index
##########################################################################
cdsIndex = FinCDSIndexPortfolio()
averageSpd3Y = cdsIndex.averageSpread(valuation_date, step_in_date,
maturity3Y, issuer_curves) * 10000.0
averageSpd5Y = cdsIndex.averageSpread(valuation_date, step_in_date,
maturity5Y, issuer_curves) * 10000.0
averageSpd7Y = cdsIndex.averageSpread(valuation_date, step_in_date,
maturity7Y, issuer_curves) * 10000.0
averageSpd10Y = cdsIndex.averageSpread(
valuation_date, step_in_date, maturity10Y, issuer_curves) * 10000.0
testCases.header("LABEL", "VALUE")
testCases.print("AVERAGE SPD 3Y", averageSpd3Y)
testCases.print("AVERAGE SPD 5Y", averageSpd5Y)
testCases.print("AVERAGE SPD 7Y", averageSpd7Y)
testCases.print("AVERAGE SPD 10Y", averageSpd10Y)
testCases.banner(
"===================================================================")
##########################################################################
# Now determine the intrinsic spread of the index to the same maturity dates
# As the single name CDS contracts
##########################################################################
cdsIndex = FinCDSIndexPortfolio()
intrinsicSpd3Y = cdsIndex.intrinsicSpread(
valuation_date, step_in_date, maturity3Y, issuer_curves) * 10000.0
intrinsicSpd5Y = cdsIndex.intrinsicSpread(
valuation_date, step_in_date, maturity5Y, issuer_curves) * 10000.0
intrinsicSpd7Y = cdsIndex.intrinsicSpread(
valuation_date, step_in_date, maturity7Y, issuer_curves) * 10000.0
intrinsicSpd10Y = cdsIndex.intrinsicSpread(
valuation_date, step_in_date, maturity10Y, issuer_curves) * 10000.0
##########################################################################
##########################################################################
testCases.header("LABEL", "VALUE")
testCases.print("INTRINSIC SPD 3Y", intrinsicSpd3Y)
testCases.print("INTRINSIC SPD 5Y", intrinsicSpd5Y)
testCases.print("INTRINSIC SPD 7Y", intrinsicSpd7Y)
testCases.print("INTRINSIC SPD 10Y", intrinsicSpd10Y)
testCases.banner(
"===================================================================")
##########################################################################
##########################################################################
index_coupons = [0.002, 0.0037, 0.0050, 0.0063]
indexUpfronts = [0.0, 0.0, 0.0, 0.0]
indexMaturityDates = [
Date(20, 12, 2009),
Date(20, 12, 2011),
Date(20, 12, 2013),
Date(20, 12, 2016)
]
indexRecoveryRate = 0.40
tolerance = 1e-6
import time
start = time.time()
indexPortfolio = FinCDSIndexPortfolio()
adjustedIssuerCurves = indexPortfolio.hazardRateAdjustIntrinsic(
valuation_date, issuer_curves, index_coupons, indexUpfronts,
indexMaturityDates, indexRecoveryRate, tolerance)
end = time.time()
testCases.header("TIME")
testCases.print(end - start)
# num_credits = len(issuer_curves)
# testCases.print("#","MATURITY","CDS_UNADJ","CDS_ADJ")
# for m in range(0,num_credits):
# for cds in cds_contracts:
# unadjustedSpread = cds.parSpread(valuation_date,issuer_curves[m])
# adjustedSpread = cds.parSpread(valuation_date,adjustedIssuerCurves[m])
# testCases.print(m,str(cds._maturity_date),"%10.3f"%(unadjustedSpread*10000),"%10.3f" %(adjustedSpread*10000))
cdsIndex = FinCDSIndexPortfolio()
intrinsicSpd3Y = cdsIndex.intrinsicSpread(valuation_date, step_in_date,
indexMaturityDates[0],
adjustedIssuerCurves) * 10000.0
intrinsicSpd5Y = cdsIndex.intrinsicSpread(valuation_date, step_in_date,
indexMaturityDates[1],
adjustedIssuerCurves) * 10000.0
intrinsicSpd7Y = cdsIndex.intrinsicSpread(valuation_date, step_in_date,
indexMaturityDates[2],
adjustedIssuerCurves) * 10000.0
intrinsicSpd10Y = cdsIndex.intrinsicSpread(valuation_date, step_in_date,
indexMaturityDates[3],
adjustedIssuerCurves) * 10000.0
# If the adjustment works then this should equal the index spreads
testCases.header("LABEL", "VALUE")
testCases.print("ADJUSTED INTRINSIC SPD 3Y", intrinsicSpd3Y)
testCases.print("ADJUSTED INTRINSIC SPD 5Y", intrinsicSpd5Y)
testCases.print("ADJUSTED INTRINSIC SPD 7Y", intrinsicSpd7Y)
testCases.print("ADJUSTED INTRINSIC SPD 10Y", intrinsicSpd10Y)
def buildFullIssuerCurve(valuation_date):
dcType = DayCountTypes.ACT_360
depos = []
irBump = 0.0
m = 1.0 # 0.00000000000
spotDays = 0
settlement_date = valuation_date.addDays(spotDays)
maturity_date = settlement_date.addMonths(1)
depo1 = FinIborDeposit(settlement_date, maturity_date, m * 0.0016, dcType)
maturity_date = settlement_date.addMonths(2)
depo2 = FinIborDeposit(settlement_date, maturity_date, m * 0.0020, dcType)
maturity_date = settlement_date.addMonths(3)
depo3 = FinIborDeposit(settlement_date, maturity_date, m * 0.0024, dcType)
maturity_date = settlement_date.addMonths(6)
depo4 = FinIborDeposit(settlement_date, maturity_date, m * 0.0033, dcType)
maturity_date = settlement_date.addMonths(12)
depo5 = FinIborDeposit(settlement_date, maturity_date, m * 0.0056, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
spotDays = 2
settlement_date = valuation_date.addDays(spotDays)
swaps = []
dcType = DayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FrequencyTypes.SEMI_ANNUAL
maturity_date = settlement_date.addMonths(24)
swap1 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0044 + irBump,
fixedFreq,
dcType)
swaps.append(swap1)
maturity_date = settlement_date.addMonths(36)
swap2 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0078 + irBump,
fixedFreq,
dcType)
swaps.append(swap2)
maturity_date = settlement_date.addMonths(48)
swap3 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0119 + irBump,
fixedFreq,
dcType)
swaps.append(swap3)
maturity_date = settlement_date.addMonths(60)
swap4 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0158 + irBump,
fixedFreq,
dcType)
swaps.append(swap4)
maturity_date = settlement_date.addMonths(72)
swap5 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0192 + irBump,
fixedFreq,
dcType)
swaps.append(swap5)
maturity_date = settlement_date.addMonths(84)
swap6 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0219 + irBump,
fixedFreq,
dcType)
swaps.append(swap6)
maturity_date = settlement_date.addMonths(96)
swap7 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0242 + irBump,
fixedFreq,
dcType)
swaps.append(swap7)
maturity_date = settlement_date.addMonths(108)
swap8 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0261 + irBump,
fixedFreq,
dcType)
swaps.append(swap8)
maturity_date = settlement_date.addMonths(120)
swap9 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
m * 0.0276 + irBump,
fixedFreq,
dcType)
swaps.append(swap9)
libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.005743
maturity_date = valuation_date.nextCDSDate(6)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.007497
maturity_date = valuation_date.nextCDSDate(12)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.011132
maturity_date = valuation_date.nextCDSDate(24)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.013932
maturity_date = valuation_date.nextCDSDate(36)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.015764
maturity_date = valuation_date.nextCDSDate(48)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.017366
maturity_date = valuation_date.nextCDSDate(60)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.020928
maturity_date = valuation_date.nextCDSDate(84)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.022835
maturity_date = valuation_date.nextCDSDate(120)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
recovery_rate = 0.40
issuer_curve = FinCDSCurve(valuation_date,
cdsMarketContracts,
libor_curve,
recovery_rate)
return libor_curve, issuer_curve
def buildFullIssuerCurve2(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 20 August 2020 SNAP AT 1600
m = 1.0
valuation_date = Date(24, 8, 2020)
settlement_date = Date(24, 8, 2020)
dcType = DayCountTypes.ACT_360
depos = []
maturity_date = settlement_date.addMonths(1)
depo1 = FinIborDeposit(settlement_date, maturity_date, m * 0.001709,
dcType)
maturity_date = settlement_date.addMonths(2)
depo2 = FinIborDeposit(settlement_date, maturity_date, m * 0.002123,
dcType)
maturity_date = settlement_date.addMonths(3)
depo3 = FinIborDeposit(settlement_date, maturity_date, m * 0.002469,
dcType)
maturity_date = settlement_date.addMonths(6)
depo4 = FinIborDeposit(settlement_date, maturity_date, m * 0.003045,
dcType)
maturity_date = settlement_date.addMonths(12)
depo5 = FinIborDeposit(settlement_date, maturity_date, m * 0.004449,
dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
swaps = []
dcType = DayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FrequencyTypes.SEMI_ANNUAL
maturity_date = settlement_date.addMonths(24)
swap1 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.002155 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturity_date = settlement_date.addMonths(36)
swap2 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.002305 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturity_date = settlement_date.addMonths(48)
swap3 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.002665 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturity_date = settlement_date.addMonths(60)
swap4 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.003290 + irBump, fixedFreq, dcType)
swaps.append(swap4)
libor_curve = IborSingleCurve(valuation_date, depos, [], swaps)
cdsCoupon = 0.01 + mktSpreadBump
cdsMarketContracts = []
effective_date = Date(21, 8, 2020)
cds = FinCDS(effective_date, "6M", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "1Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "2Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "3Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "4Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "5Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "7Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "10Y", cdsCoupon)
cdsMarketContracts.append(cds)
recovery_rate = 0.40
issuer_curve = FinCDSCurve(settlement_date, cdsMarketContracts,
libor_curve, recovery_rate)
testCases.header("DATE", "DISCOUNT_FACTOR", "SURV_PROB")
years = np.linspace(0.0, 10.0, 20)
dates = settlement_date.addYears(years)
for dt in dates:
df = libor_curve.df(dt)
q = issuer_curve.survProb(dt)
testCases.print("%16s" % dt, "%12.8f" % df, "%12.8f" % q)
return libor_curve, issuer_curve
def buildFullIssuerCurve1(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 8-AUG-2019 SNAP AT 1600
tradeDate = Date(9, 8, 2019)
valuation_date = tradeDate.addDays(1)
m = 1.0 # 0.00000000000
dcType = DayCountTypes.ACT_360
depos = []
depo1 = FinIborDeposit(valuation_date, "1D", m * 0.0220, dcType)
depos.append(depo1)
spotDays = 2
settlement_date = valuation_date.addDays(spotDays)
maturity_date = settlement_date.addMonths(1)
depo1 = FinIborDeposit(settlement_date, maturity_date, m * 0.022009,
dcType)
maturity_date = settlement_date.addMonths(2)
depo2 = FinIborDeposit(settlement_date, maturity_date, m * 0.022138,
dcType)
maturity_date = settlement_date.addMonths(3)
depo3 = FinIborDeposit(settlement_date, maturity_date, m * 0.021810,
dcType)
maturity_date = settlement_date.addMonths(6)
depo4 = FinIborDeposit(settlement_date, maturity_date, m * 0.020503,
dcType)
maturity_date = settlement_date.addMonths(12)
depo5 = FinIborDeposit(settlement_date, maturity_date, m * 0.019930,
dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
swaps = []
dcType = DayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FrequencyTypes.SEMI_ANNUAL
maturity_date = settlement_date.addMonths(24)
swap1 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.015910 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturity_date = settlement_date.addMonths(36)
swap2 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.014990 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturity_date = settlement_date.addMonths(48)
swap3 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.014725 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturity_date = settlement_date.addMonths(60)
swap4 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.014640 + irBump, fixedFreq, dcType)
swaps.append(swap4)
maturity_date = settlement_date.addMonths(72)
swap5 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.014800 + irBump, fixedFreq, dcType)
swaps.append(swap5)
maturity_date = settlement_date.addMonths(84)
swap6 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.014995 + irBump, fixedFreq, dcType)
swaps.append(swap6)
maturity_date = settlement_date.addMonths(96)
swap7 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.015180 + irBump, fixedFreq, dcType)
swaps.append(swap7)
maturity_date = settlement_date.addMonths(108)
swap8 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.015610 + irBump, fixedFreq, dcType)
swaps.append(swap8)
maturity_date = settlement_date.addMonths(120)
swap9 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.015880 + irBump, fixedFreq, dcType)
swaps.append(swap9)
maturity_date = settlement_date.addMonths(144)
swap10 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.016430 + irBump, fixedFreq, dcType)
swaps.append(swap10)
libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.04 + mktSpreadBump
maturity_date = valuation_date.nextCDSDate(6)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
maturity_date = valuation_date.nextCDSDate(12)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
maturity_date = valuation_date.nextCDSDate(24)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
maturity_date = valuation_date.nextCDSDate(36)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
maturity_date = valuation_date.nextCDSDate(48)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
maturity_date = valuation_date.nextCDSDate(60)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
maturity_date = valuation_date.nextCDSDate(84)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
maturity_date = valuation_date.nextCDSDate(120)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
maturity_date = valuation_date.nextCDSDate(180)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cdsMarketContracts.append(cds)
recovery_rate = 0.40
issuer_curve = FinCDSCurve(valuation_date, cdsMarketContracts, libor_curve,
recovery_rate)
return libor_curve, issuer_curve
def test_FinCDSCurve():
curveDate = Date(20, 12, 2018)
swaps = []
depos = []
fras = []
fixedDCC = DayCountTypes.ACT_365F
fixedFreq = FrequencyTypes.SEMI_ANNUAL
fixedCoupon = 0.05
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
swap = FinIborSwap(curveDate, maturity_date, FinSwapTypes.PAY,
fixedCoupon, fixedFreq, fixedDCC)
swaps.append(swap)
libor_curve = IborSingleCurve(curveDate, depos, fras, swaps)
cds_contracts = []
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturity_date, 0.005 + 0.001 * (i - 1))
cds_contracts.append(cds)
issuer_curve = FinCDSCurve(curveDate,
cds_contracts,
libor_curve,
recovery_rate=0.40,
useCache=False)
testCases.header("T", "Q")
n = len(issuer_curve._times)
for i in range(0, n):
testCases.print(issuer_curve._times[i], issuer_curve._values[i])
testCases.header("CONTRACT", "VALUE")
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturity_date, 0.005 + 0.001 * (i - 1))
v = cds.value(curveDate, issuer_curve)
testCases.print(i, v)
if 1 == 0:
x = [0.0, 1.2, 1.6, 1.7, 10.0]
qs = issuer_curve.survProb(x)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
qs = issuer_curve.survProb(xx)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
dfs = issuer_curve.df(x)
print("===>", dfs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
dfs = issuer_curve.df(xx)
print("===>", dfs)
def test_CDSIndexPortfolio():
tradeDate = Date(1, 8, 2007)
step_in_date = tradeDate.addDays(1)
valuation_date = step_in_date
libor_curve = buildIborCurve(tradeDate)
maturity3Y = tradeDate.nextCDSDate(36)
maturity5Y = tradeDate.nextCDSDate(60)
maturity7Y = tradeDate.nextCDSDate(84)
maturity10Y = tradeDate.nextCDSDate(120)
path = os.path.join(os.path.dirname(__file__),
'.//data//CDX_NA_IG_S7_SPREADS.csv')
f = open(path, 'r')
data = f.readlines()
f.close()
issuer_curves = []
for row in data[1:]:
splitRow = row.split(",")
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recovery_rate = float(splitRow[5])
cds3Y = FinCDS(step_in_date, maturity3Y, spd3Y)
cds5Y = FinCDS(step_in_date, maturity5Y, spd5Y)
cds7Y = FinCDS(step_in_date, maturity7Y, spd7Y)
cds10Y = FinCDS(step_in_date, maturity10Y, spd10Y)
cds_contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
recovery_rate)
issuer_curves.append(issuer_curve)
##########################################################################
# Now determine the average spread of the index
##########################################################################
cdsIndex = FinCDSIndexPortfolio()
averageSpd3Y = cdsIndex.averageSpread(valuation_date, step_in_date,
maturity3Y, issuer_curves) * 10000.0
averageSpd5Y = cdsIndex.averageSpread(valuation_date, step_in_date,
maturity5Y, issuer_curves) * 10000.0
averageSpd7Y = cdsIndex.averageSpread(valuation_date, step_in_date,
maturity7Y, issuer_curves) * 10000.0
averageSpd10Y = cdsIndex.averageSpread(
valuation_date, step_in_date, maturity10Y, issuer_curves) * 10000.0
testCases.header("LABEL", "VALUE")
testCases.print("AVERAGE SPD 3Y", averageSpd3Y)
testCases.print("AVERAGE SPD 5Y", averageSpd5Y)
testCases.print("AVERAGE SPD 7Y", averageSpd7Y)
testCases.print("AVERAGE SPD 10Y", averageSpd10Y)
##########################################################################
# Now determine the intrinsic spread of the index to the same maturity
# dates. As the single name CDS contracts
##########################################################################
cdsIndex = FinCDSIndexPortfolio()
intrinsicSpd3Y = cdsIndex.intrinsicSpread(
valuation_date, step_in_date, maturity3Y, issuer_curves) * 10000.0
intrinsicSpd5Y = cdsIndex.intrinsicSpread(
valuation_date, step_in_date, maturity5Y, issuer_curves) * 10000.0
intrinsicSpd7Y = cdsIndex.intrinsicSpread(
valuation_date, step_in_date, maturity7Y, issuer_curves) * 10000.0
intrinsicSpd10Y = cdsIndex.intrinsicSpread(
valuation_date, step_in_date, maturity10Y, issuer_curves) * 10000.0
##########################################################################
##########################################################################
testCases.header("LABEL", "VALUE")
testCases.print("INTRINSIC SPD 3Y", intrinsicSpd3Y)
testCases.print("INTRINSIC SPD 5Y", intrinsicSpd5Y)
testCases.print("INTRINSIC SPD 7Y", intrinsicSpd7Y)
testCases.print("INTRINSIC SPD 10Y", intrinsicSpd10Y)
def test_full_priceCDSIndexOption():
tradeDate = Date(1, 8, 2007)
step_in_date = tradeDate.addDays(1)
valuation_date = step_in_date
libor_curve = buildIborCurve(tradeDate)
maturity3Y = tradeDate.nextCDSDate(36)
maturity5Y = tradeDate.nextCDSDate(60)
maturity7Y = tradeDate.nextCDSDate(84)
maturity10Y = tradeDate.nextCDSDate(120)
path = os.path.join(os.path.dirname(__file__),
'.//data//CDX_NA_IG_S7_SPREADS.csv')
f = open(path, 'r')
data = f.readlines()
f.close()
issuer_curves = []
for row in data[1:]:
splitRow = row.split(",")
creditName = splitRow[0]
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recovery_rate = float(splitRow[5])
cds3Y = FinCDS(step_in_date, maturity3Y, spd3Y)
cds5Y = FinCDS(step_in_date, maturity5Y, spd5Y)
cds7Y = FinCDS(step_in_date, maturity7Y, spd7Y)
cds10Y = FinCDS(step_in_date, maturity10Y, spd10Y)
cds_contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
recovery_rate)
issuer_curves.append(issuer_curve)
##########################################################################
##########################################################################
indexUpfronts = [0.0, 0.0, 0.0, 0.0]
indexMaturityDates = [
Date(20, 12, 2009),
Date(20, 12, 2011),
Date(20, 12, 2013),
Date(20, 12, 2016)
]
indexRecovery = 0.40
testCases.banner(
"======================= CDS INDEX OPTION ==========================")
index_coupon = 0.004
volatility = 0.50
expiry_date = Date(1, 2, 2008)
maturity_date = Date(20, 12, 2011)
notional = 10000.0
tolerance = 1e-6
testCases.header("TIME", "STRIKE", "INDEX", "PAY", "RECEIVER", "G(K)", "X",
"EXPH", "ABPAY", "ABREC")
for index in np.linspace(20, 60, 10):
#######################################################################
cds_contracts = []
for dt in indexMaturityDates:
cds = FinCDS(valuation_date, dt, index / 10000.0)
cds_contracts.append(cds)
index_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
indexRecovery)
if 1 == 1:
indexSpreads = [index / 10000.0] * 4
indexPortfolio = FinCDSIndexPortfolio()
adjustedIssuerCurves = indexPortfolio.hazardRateAdjustIntrinsic(
valuation_date, issuer_curves, indexSpreads, indexUpfronts,
indexMaturityDates, indexRecovery, tolerance)
else:
indexSpread = index / 10000.0
issuer_curve = buildFlatIssuerCurve(tradeDate, libor_curve,
indexSpread, indexRecovery)
adjustedIssuerCurves = []
for iCredit in range(0, 125):
adjustedIssuerCurves.append(issuer_curve)
#######################################################################
for strike in np.linspace(20, 60, 20):
start = time.time()
option = FinCDSIndexOption(expiry_date, maturity_date,
index_coupon, strike / 10000.0,
notional)
v_pay_1, v_rec_1, strikeValue, mu, expH = option.valueAnderson(
valuation_date, adjustedIssuerCurves, indexRecovery,
volatility)
end = time.time()
elapsed = end - start
end = time.time()
v_pay_2, v_rec_2 = option.valueAdjustedBlack(
valuation_date, index_curve, indexRecovery, libor_curve,
volatility)
elapsed = end - start
testCases.print(elapsed, strike, index, v_pay_1, v_rec_1,
strikeValue, mu, expH, v_pay_2, v_rec_2)