def buildIborCurve(valuation_date):
depoDCCType = DayCountTypes.THIRTY_E_360_ISDA
depos = []
deposit_rate = 0.050
depo0 = FinIborDeposit(
valuation_date,
"1D",
deposit_rate,
depoDCCType)
spotDays = 2
settlement_date = valuation_date.addWeekDays(spotDays)
maturity_date = settlement_date.addMonths(1)
depo1 = FinIborDeposit(settlement_date,
maturity_date,
deposit_rate,
depoDCCType)
maturity_date = settlement_date.addMonths(3)
depo2 = FinIborDeposit(
settlement_date,
maturity_date,
deposit_rate,
depoDCCType)
maturity_date = settlement_date.addMonths(6)
depo3 = FinIborDeposit(
settlement_date,
maturity_date,
deposit_rate,
depoDCCType)
maturity_date = settlement_date.addMonths(9)
depo4 = FinIborDeposit(
settlement_date,
maturity_date,
deposit_rate,
depoDCCType)
maturity_date = settlement_date.addMonths(12)
depo5 = FinIborDeposit(
settlement_date,
maturity_date,
deposit_rate,
depoDCCType)
depos.append(depo0)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
swaps = []
swap_rate = 0.05
maturity_date = settlement_date.addMonths(24)
swap1 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
# print(swap1._fixed_leg._payment_dates)
swaps.append(swap1)
maturity_date = settlement_date.addMonths(36)
swap2 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap2)
# print(swap2._fixed_leg._payment_dates)
maturity_date = settlement_date.addMonths(48)
swap3 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap3)
# print(swap3._fixed_leg._payment_dates)
maturity_date = settlement_date.addMonths(60)
swap4 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap4)
# print(swap4._fixed_leg._payment_dates)
maturity_date = settlement_date.addMonths(72)
swap5 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap5)
# print(swap5._fixed_leg._payment_dates)
maturity_date = settlement_date.addMonths(84)
swap6 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap6)
# print(swap6._fixed_leg._payment_dates)
maturity_date = settlement_date.addMonths(96)
swap7 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap7)
# print(swap7._fixed_leg._payment_dates)
maturity_date = settlement_date.addMonths(108)
swap8 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap8)
# print(swap8._fixed_leg._payment_dates)
maturity_date = settlement_date.addMonths(120)
swap9 = FinIborSwap(
settlement_date,
maturity_date,
FinSwapTypes.PAY,
swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap9)
# print(swap9._fixed_leg._payment_dates)
libor_curve = IborSingleCurve(valuation_date,
depos,
fras,
swaps)
if 1 == 0:
import numpy as np
num_steps = 40
dt = 10 / num_steps
times = np.linspace(0.0, 10.0, num_steps + 1)
df0 = 1.0
for t in times[1:]:
df1 = libor_curve.df(t)
fwd = (df0 / df1 - 1.0) / dt
print(t, df1, fwd)
df0 = df1
return libor_curve
def test_FinIborDepositsFuturesSwaps():
spotDate = Date(6, 6, 2018)
spotDays = 0
settlement_date = spotDate.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
depo = FinIborDeposit(settlement_date, "3M", deposit_rate, depoDCCType)
depos.append(depo)
deposit_rate = 0.027
depo = FinIborDeposit(settlement_date, "3M", deposit_rate, depoDCCType)
depos.append(depo)
depos = []
depo = FinIborDeposit(settlement_date, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlement_date, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlement_date, "3M", 0.0240, depoDCCType)
depos.append(depo)
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
fraSettlementDate = spotDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
fraSettlementDate = fraSettlementDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
start_date = spotDate.addWeekDays(spotDays)
swaps = []
fixed_legType = FinSwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_E_360
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
floatFreqType = FrequencyTypes.QUARTERLY
notional = 1000000
principal = 0.0
floatSpread = 0.0
floatDCCType = DayCountTypes.ACT_360
calendar_type = CalendarTypes.UNITED_STATES
busDayAdjustRule = BusDayAdjustTypes.PRECEDING
swap_rate = 0.02776305
swap = FinIborSwap(start_date, "2Y", fixed_legType, swap_rate,
fixedFreqType, fixedDCCType, notional, floatSpread,
floatFreqType, floatDCCType, calendar_type,
busDayAdjustRule)
swaps.append(swap)
libor_curve = IborSingleCurve(spotDate, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spotDate.addYears(times)
zeroRates = libor_curve.zeroRate(dates)
fwd_rates = libor_curve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zeroRates * 100, label="zero rates")
plt.plot(times, fwd_rates * 100, label="fwd rates")
plt.xlabel("Times")
plt.ylabel("CC forward rates")
plt.legend()
print("==============================================================")
for fra in fras:
print(fra)
print("==============================================================")
end_date = spotDate
df = libor_curve.df(end_date)
print(end_date, df)
end_date = settlement_date
df = libor_curve.df(end_date)
print(end_date, df)
end_date = Date(20, 6, 2018)
df = libor_curve.df(end_date)
print(end_date, df)
for depo in depos:
end_date = depo._maturity_date
df = libor_curve.df(end_date)
print(end_date, df)
for fra in fras:
end_date = fra._maturity_date
df = libor_curve.df(end_date)
print(end_date, df)
for swap in swaps:
end_date = swap._maturity_date
df = libor_curve.df(end_date)
print(end_date, df)
swap.printFixedLegPV(spotDate)
swap.printFloatLegPV(spotDate)
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 test_FinIborDepositsFRAsSwaps():
valuation_date = Date(18, 9, 2019)
dccType = DayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
deposit_rate = 0.050
maturity_date = settlement_date.addMonths(1)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(2)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(3)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(6)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(9)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(12)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlement_date.addMonths(9)
fraMaturityDate = settlement_date.addMonths(13)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlement_date.addMonths(13)
fraMaturityDate = settlement_date.addMonths(17)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlement_date.addMonths(17)
fraMaturityDate = settlement_date.addMonths(21)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
swap_rate = 0.05
# maturity_date = settlement_date.addMonths(24)
# swap = FinIborSwap(settlement_date, maturity_date, swap_rate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixed_legType = FinSwapTypes.PAY
maturity_date = settlement_date.addMonths(36)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(48)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(60)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(72)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(84)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(96)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(108)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(120)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(132)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(144)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(180)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(240)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(300)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(360)
swap = FinIborSwap(settlement_date, maturity_date, fixed_legType,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps)
df = libor_curve.df(settlement_date)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settlement_date), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = libor_curve.df(deposit._maturity_date)
testCases.print(str(deposit._maturity_date), df)
for swap in swaps:
df = libor_curve.df(swap._maturity_date)
testCases.print(str(swap._maturity_date), df)