def test_bloombergPricingExample(interpType):
''' This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
'''
valuationDate = FinDate(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuationDate, 1)
futs.append(fut)
fut = FinIborFuture(valuationDate, 2)
futs.append(fut)
fut = FinIborFuture(valuationDate, 3)
futs.append(fut)
fut = FinIborFuture(valuationDate, 4)
futs.append(fut)
fut = FinIborFuture(valuationDate, 5)
futs.append(fut)
fut = FinIborFuture(valuationDate, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = FinDayCountTypes.THIRTY_E_360
freq = FinFrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
notional = ONE_MILLION
fixedLegType = FinSwapTypes.PAY
swaps = []
swap = FinIborSwapOLD(settlementDate, "2Y", fixedLegType,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "3Y", fixedLegType,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "4Y", fixedLegType,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "5Y", fixedLegType,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "6Y", fixedLegType,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "7Y", fixedLegType,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "8Y", fixedLegType,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "9Y", fixedLegType,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "10Y", fixedLegType,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "11Y", fixedLegType,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "12Y", fixedLegType,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "15Y", fixedLegType,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "20Y", fixedLegType,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "25Y", fixedLegType,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "30Y", fixedLegType,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "40Y", fixedLegType,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "50Y", fixedLegType,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps,
interpType)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", swaps[0].fixedLegValue(valuationDate,
liborCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, liborCurve, liborCurve,
None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlementDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", swaps[0].fixedLegValue(settlementDate,
liborCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(settlementDate, liborCurve,
liborCurve, None))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
if 1 == 0:
plt.figure()
years = np.linspace(0, 50, 500)
dates = settlementDate.addYears(years)
fwds = liborCurve.fwd(dates)
plt.plot(years, fwds, label="Fwd Rate")
plt.title(interpType)
plt.xlabel("Years")
plt.legend()
years = np.linspace(0, 50, 500)
dates = settlementDate.addYears(years)
fwds = liborCurve.zeroRate(dates)
plt.plot(years, fwds, label="Zero Rate")
plt.title(interpType)
plt.xlabel("Years")
plt.ylabel("Rate")
plt.legend()
def test_derivativePricingExample():
valuationDate = FinDate(10, 11, 2011)
dccType = FinDayCountTypes.ACT_360
depos = []
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001410
depo = FinIborDeposit(settlementDate, "ON", depositRate, dccType)
depos.append(depo)
spotDays = 1
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001410
depo = FinIborDeposit(settlementDate, "TN", depositRate, dccType)
depos.append(depo)
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001910
depo = FinIborDeposit(settlementDate, "1W", depositRate, dccType)
depos.append(depo)
depositRate = 0.002090
depo = FinIborDeposit(settlementDate, "2W", depositRate, dccType)
depos.append(depo)
depositRate = 0.002490
depo = FinIborDeposit(settlementDate, "1M", depositRate, dccType)
depos.append(depo)
depositRate = 0.003450
depo = FinIborDeposit(settlementDate, "2M", depositRate, dccType)
depos.append(depo)
depositRate = 0.004570
depo = FinIborDeposit(settlementDate, "3M", depositRate, dccType)
depos.append(depo)
depositRate = 0.005230
depo = FinIborDeposit(settlementDate, "4M", depositRate, dccType)
depos.append(depo)
depositRate = 0.005860
depo = FinIborDeposit(settlementDate, "5M", depositRate, dccType)
depos.append(depo)
depositRate = 0.006540
depo = FinIborDeposit(settlementDate, "6M", depositRate, dccType)
depos.append(depo)
depositRate = 0.007080
depo = FinIborDeposit(settlementDate, "7M", depositRate, dccType)
depos.append(depo)
depositRate = 0.007540
depo = FinIborDeposit(settlementDate, "8M", depositRate, dccType)
depos.append(depo)
depositRate = 0.008080
depo = FinIborDeposit(settlementDate, "9M", depositRate, dccType)
depos.append(depo)
depositRate = 0.008570
depo = FinIborDeposit(settlementDate, "10M", depositRate, dccType)
depos.append(depo)
depositRate = 0.009130
depo = FinIborDeposit(settlementDate, "11M", depositRate, dccType)
depos.append(depo)
fras = []
swaps = []
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
# dayCountType = FinDayCountTypes.ACT_360
freqType = FinFrequencyTypes.SEMI_ANNUAL
fixedLegType = FinSwapTypes.PAY
swapRate = 0.0058
swap = FinIborSwapOLD(settlementDate, "1Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0060
swap = FinIborSwapOLD(settlementDate, "2Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0072
swap = FinIborSwapOLD(settlementDate, "3Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0096
swap = FinIborSwapOLD(settlementDate, "4Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0124
swap = FinIborSwapOLD(settlementDate, "5Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0173
swap = FinIborSwapOLD(settlementDate, "7Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0219
swap = FinIborSwapOLD(settlementDate, "10Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0283
swap = FinIborSwapOLD(settlementDate, "30Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed2 = end - start
testCases.header("METHOD", "TIME")
testCases.print("NON-LINEAR SOLVER BOOTSTRAP", elapsed1 / numRepeats)
testCases.print("LINEAR SWAP BOOTSTRAP", elapsed2 / numRepeats)
def test_FinIborDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settlementDate = spotDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depositRate = 0.027
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depos = []
depo = FinIborDeposit(settlementDate, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "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
startDate = spotDate.addWeekDays(spotDays)
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.THIRTY_E_360
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
floatFreqType = FinFrequencyTypes.QUARTERLY
notional = 1000000
principal = 0.0
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
calendarType = FinCalendarTypes.US
busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING
swapRate = 0.02776305
swap = FinIborSwapOLD(startDate, "2Y", fixedLegType, swapRate,
fixedFreqType, fixedDCCType, notional, floatSpread,
floatFreqType, floatDCCType, calendarType,
busDayAdjustRule)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(spotDate, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spotDate.addYears(times)
zeroRates = liborCurve.zeroRate(dates)
fwdRates = liborCurve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zeroRates * 100, label="zero rates")
plt.plot(times, fwdRates * 100, label="fwd rates")
plt.xlabel("Times")
plt.ylabel("CC forward rates")
plt.legend()
print("==============================================================")
for fra in fras:
print(fra)
print("==============================================================")
endDate = spotDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = settlementDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = FinDate(20, 6, 2018)
df = liborCurve.df(endDate)
print(endDate, df)
for depo in depos:
endDate = depo._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
for fra in fras:
endDate = fra._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
for swap in swaps:
endDate = swap._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
swap.printFixedLegPV(spotDate)
swap.printFloatLegPV(spotDate)
def test_FinIborDepositsFRAsSwaps():
valuationDate = FinDate(18, 9, 2019)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(9)
fraMaturityDate = settlementDate.addMonths(13)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlementDate.addMonths(13)
fraMaturityDate = settlementDate.addMonths(17)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlementDate.addMonths(17)
fraMaturityDate = settlementDate.addMonths(21)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settlementDate.addMonths(24)
# swap = FinIborSwapOLD(settlementDate, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixedLegType = FinSwapTypes.PAY
maturityDate = settlementDate.addMonths(36)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps)
df = liborCurve.df(settlementDate)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settlementDate), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
for swap in swaps:
df = liborCurve.df(swap._maturityDate)
testCases.print(str(swap._maturityDate), df)
def test_swapValuationExample():
# Example from
# https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve
vBloomberg = 388147
valuation_date = Date(30, 11, 2018)
start_date = Date(27, 12, 2017)
maturity_date = Date(27, 12, 2067)
notional = 10 * ONE_MILLION
fixed_legType = FinSwapTypes.RECEIVE
fixedRate = 0.0150
fixedDCCType = DayCountTypes.THIRTY_360_BOND
fixedFreqType = FrequencyTypes.ANNUAL
floatSpread = 0.0
floatDCCType = DayCountTypes.ACT_360
floatFreqType = FrequencyTypes.SEMI_ANNUAL
offMarketSwap = FinIborSwapOLD(start_date, maturity_date, fixed_legType,
fixedRate, fixedFreqType, fixedDCCType,
notional,
floatSpread, floatFreqType, floatDCCType)
interp_type = FinInterpTypes.LINEAR_ZERO_RATES
depoDCCType = DayCountTypes.ACT_360
depos = []
###########################################################################
# MARKET
###########################################################################
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depo = FinIborDeposit(settlement_date, "6M", -0.2510/100.0, depoDCCType); depos.append(depo)
fras = []
fraDCCType = DayCountTypes.ACT_360
fra = FinIborFRA(settlement_date.addTenor("1M"), "6M", -0.2450/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("2M"), "6M", -0.2435/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("3M"), "6M", -0.2400/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("4M"), "6M", -0.2360/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("5M"), "6M", -0.2285/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("6M"), "6M", -0.2230/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("7M"), "6M", -0.2110/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("8M"), "6M", -0.1990/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("9M"), "6M", -0.1850/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("10M"), "6M", -0.1680/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("11M"), "6M", -0.1510/100.0, fraDCCType); fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("12M"), "6M", -0.1360/100.0, fraDCCType); fras.append(fra)
swaps = []
fixed_legType = FinSwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_360_BOND
fixedFreqType = FrequencyTypes.ANNUAL
swap = FinIborSwapOLD(settlement_date, "2Y", fixed_legType, -0.1525/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "3Y", fixed_legType, -0.0185/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "4Y", fixed_legType, 0.1315/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "5Y", fixed_legType, 0.2745/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "6Y", fixed_legType, 0.4135/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "7Y", fixed_legType, 0.5439/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "8Y", fixed_legType, 0.6652/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "9Y", fixed_legType, 0.7784/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "10Y", fixed_legType, 0.8799/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "11Y", fixed_legType, 0.9715/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "12Y", fixed_legType, 1.0517/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "15Y", fixed_legType, 1.2369/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "20Y", fixed_legType, 1.3965/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "25Y", fixed_legType, 1.4472/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "30Y", fixed_legType, 1.4585/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "35Y", fixed_legType, 1.4595/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "40Y", fixed_legType, 1.4535/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "45Y", fixed_legType, 1.4410/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "50Y", fixed_legType, 1.4335/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
iborDepos = depos.copy()
iborFras = fras.copy()
iborSwaps = swaps.copy()
iborCurve = FinIborSingleCurve(valuation_date, iborDepos, iborFras, iborSwaps, interp_type)
v1 = offMarketSwap.value(valuation_date, iborCurve, iborCurve, -0.268/100.0)
testCases.banner("DERISCOPE EXAMPLE REPLICATION")
testCases.header("LABEL", "VALUE")
testCases.print("BBG VALUE", vBloomberg)
testCases.print("FP ONE CURVE VALUE", v1)
###############################################################################
depoDCCType = DayCountTypes.ACT_360
depos = []
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depo = FinIborDeposit(settlement_date, "1D", -0.3490/100.0, depoDCCType); depos.append(depo)
fras = []
swaps = []
fixed_legType = FinSwapTypes.PAY
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.ANNUAL
# Standard OIS with standard annual terms
swap = FinOIS(settlement_date, "2W", fixed_legType, -0.3600/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "1M", fixed_legType, -0.3560/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "2M", fixed_legType, -0.3570/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "3M", fixed_legType, -0.3580/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "4M", fixed_legType, -0.3575/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "5M", fixed_legType, -0.3578/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "6M", fixed_legType, -0.3580/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "7M", fixed_legType, -0.3600/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "8M", fixed_legType, -0.3575/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "9M", fixed_legType, -0.3569/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "10M", fixed_legType, -0.3553/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "11M", fixed_legType, -0.3534/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "12M", fixed_legType, -0.3496/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "18M", fixed_legType, -0.3173/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "2Y", fixed_legType, -0.2671/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "30M", fixed_legType, -0.2070/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "3Y", fixed_legType, -0.1410/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "4Y", fixed_legType, -0.0060/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "5Y", fixed_legType, 0.1285/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "6Y", fixed_legType, 0.2590/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "7Y", fixed_legType, 0.3830/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "8Y", fixed_legType, 0.5020/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "9Y", fixed_legType, 0.6140/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "10Y", fixed_legType, 0.7160/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "11Y", fixed_legType, 0.8070/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "12Y", fixed_legType, 0.8890/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "15Y", fixed_legType, 1.0790/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "20Y", fixed_legType, 1.2460/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "25Y", fixed_legType, 1.3055/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "30Y", fixed_legType, 1.3270/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "35Y", fixed_legType, 1.3315/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "40Y", fixed_legType, 1.3300/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinOIS(settlement_date, "50Y", fixed_legType, 1.3270/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
oisDepos = depos.copy()
oisFras = fras.copy()
oisSwaps = swaps.copy()
# oisCurveFF = FinOISCurve(valuation_date, oisDepos, oisFras, oisSwaps, interp_type)
iborDualCurve = FinIborDualCurve(valuation_date, oisCurveFF, iborDepos, iborFras, iborSwaps, interp_type)
def test_bloombergPricingExample():
""" This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
"""
valuation_date = Date(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
maturity_date = settlement_date.addMonths(3)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuation_date, 1); futs.append(fut)
fut = FinIborFuture(valuation_date, 2); futs.append(fut)
fut = FinIborFuture(valuation_date, 3); futs.append(fut)
fut = FinIborFuture(valuation_date, 4); futs.append(fut)
fut = FinIborFuture(valuation_date, 5); futs.append(fut)
fut = FinIborFuture(valuation_date, 6); futs.append(fut)
fras = [None]*6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlement_date = valuation_date.addWeekDays(spotDays)
notional = ONE_MILLION
fixed_legType = FinSwapTypes.PAY
interp_type = FinInterpTypes.FLAT_FWD_RATES
swaps = []
swap = FinIborSwapOLD(settlement_date, "2Y", fixed_legType, (2.77417+2.77844)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "3Y", fixed_legType, (2.86098+2.86582)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "4Y", fixed_legType, (2.90240+2.90620)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "5Y", fixed_legType, (2.92944+2.92906)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "6Y", fixed_legType, (2.94001+2.94499)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "7Y", fixed_legType, (2.95352+2.95998)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "8Y", fixed_legType, (2.96830+2.97400)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "9Y", fixed_legType, (2.98403+2.98817)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "10Y", fixed_legType, (2.99716+3.00394)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "11Y", fixed_legType, (3.01344+3.01596)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "12Y", fixed_legType, (3.02276+3.02684)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "15Y", fixed_legType, (3.04092+3.04508)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "20Y", fixed_legType, (3.04417+3.05183)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "25Y", fixed_legType, (3.03219+3.03621)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "30Y", fixed_legType, (3.01030+3.01370)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "40Y", fixed_legType, (2.96946+2.97354)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "50Y", fixed_legType, (2.91552+2.93748)/200, freq, accrual); swaps.append(swap)
libor_curve = FinIborSingleCurveOLD(valuation_date, depos, fras, swaps, interp_type, True)
principal = 0.0
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION")
testCases.header("LABEL", "VALUE")
testCases.print("VALUE:", swaps[0].value(valuation_date, libor_curve, libor_curve, None))
testCases.print("FIXED:", swaps[0].fixed_legValue(valuation_date, libor_curve))
testCases.print("FLOAT:", swaps[0].floatLegValue(valuation_date, libor_curve, libor_curve, None))
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION TO SWAP SETTLEMENT DATE")
testCases.header("LABEL", "VALUE")
testCases.print("VALUE:", swaps[0].value(settlement_date, libor_curve, libor_curve, None))
testCases.print("FIXED:", swaps[0].fixed_legValue(settlement_date, libor_curve))
testCases.print("FLOAT:", swaps[0].floatLegValue(settlement_date, libor_curve, libor_curve, None))
testCases.banner("======================================================")
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
oisCurve = buildOIS(valuation_date)
# print(oisCurve)
liborDualCurve = FinIborDualCurveOLD(valuation_date, oisCurve, depos, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES, True)
# print(liborDualCurve)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
testCases.header("VALUATION TO TODAY DATE"," PV")
testCases.print("VALUE:", swaps[0].value(valuation_date, oisCurve, liborDualCurve, None))
testCases.print("FIXED:", swaps[0].fixed_legValue(valuation_date, oisCurve))
testCases.print("FLOAT:", swaps[0].floatLegValue(valuation_date, oisCurve, libor_curve, None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE"," PV")
testCases.print("VALUE:", swaps[0].value(settlement_date, oisCurve, liborDualCurve, None))
testCases.print("FIXED:", swaps[0].fixed_legValue(settlement_date, oisCurve))
testCases.print("FLOAT:", swaps[0].floatLegValue(settlement_date, oisCurve, liborDualCurve, None, ))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
PLOT = False
if PLOT is True:
years = np.linspace(0, 5, 21)
dates = settlement_date.addYears(years)
singleCurveFwds = libor_curve.fwd(dates)
plt.plot(years, singleCurveFwds, label="Single Libor Curve")
oisCurveFwds = oisCurve.fwd(dates)
plt.plot(years, oisCurveFwds, label="OIS Curve")
index_curveFwds = liborDualCurve.fwd(dates)
plt.plot(years, index_curveFwds, label="Libor Index Curve")
plt.legend()