def test_FinFixedOIS():
# Here I follow the example in
# https://blog.deriscope.com/index.php/en/excel-quantlib-overnight-index-swap
effective_date = Date(30, 11, 2018)
end_date = Date(30, 11, 2023)
end_date = effective_date.add_months(60)
oisRate = 0.04
fixed_leg_type = SwapTypes.PAY
fixedFreqType = FrequencyTypes.ANNUAL
fixedDayCount = DayCountTypes.ACT_360
floatFreqType = FrequencyTypes.ANNUAL
floatDayCount = DayCountTypes.ACT_360
float_spread = 0.0
notional = ONE_MILLION
payment_lag = 1
ois = OIS(effective_date, end_date, fixed_leg_type, oisRate, fixedFreqType,
fixedDayCount, notional, payment_lag, float_spread,
floatFreqType, floatDayCount)
valuation_date = effective_date
marketRate = 0.05
oisCurve = DiscountCurveFlat(valuation_date, marketRate,
FrequencyTypes.ANNUAL)
v = ois.value(effective_date, oisCurve)
assert round(v, 4) == 43915.6019
def test_FinFixedOIS():
# Here I follow the example in
# https://blog.deriscope.com/index.php/en/excel-quantlib-overnight-index-swap
effective_date = Date(30, 11, 2018)
end_date = Date(30, 11, 2023)
end_date = effective_date.add_months(60)
oisRate = 0.04
fixed_leg_type = SwapTypes.PAY
fixedFreqType = FrequencyTypes.ANNUAL
fixedDayCount = DayCountTypes.ACT_360
floatFreqType = FrequencyTypes.ANNUAL
floatDayCount = DayCountTypes.ACT_360
float_spread = 0.0
notional = ONE_MILLION
payment_lag = 1
ois = OIS(effective_date,
end_date,
fixed_leg_type,
oisRate,
fixedFreqType,
fixedDayCount,
notional,
payment_lag,
float_spread,
floatFreqType,
floatDayCount)
# print(ois)
valuation_date = effective_date
marketRate = 0.05
oisCurve = DiscountCurveFlat(valuation_date,
marketRate,
FrequencyTypes.ANNUAL)
v = ois.value(effective_date, oisCurve)
# print(v)
# ois._fixed_leg.print_valuation()
# ois._float_leg.print_valuation()
testCases.header("LABEL", "VALUE")
testCases.print("SWAP_VALUE", v)
def test_FinOISDepositsFRAsSwaps():
valuation_date = Date(18, 9, 2019)
dccType = DayCountTypes.THIRTY_E_360_ISDA
depos = []
spot_days = 0
settleDt = valuation_date.add_weekdays(spot_days)
depoDCCType = DayCountTypes.ACT_360
notional = 100.0
calendar_type = CalendarTypes.TARGET
depos = []
# 1 month
deposit_rate = 0.04
maturity_date = settleDt.add_months(1)
depo = IborDeposit(settleDt, maturity_date, deposit_rate, depoDCCType,
notional, calendar_type)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
frasettleDt = settleDt.add_months(9)
fraMaturityDate = settleDt.add_months(13)
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
frasettleDt = settleDt.add_months(13)
fraMaturityDate = settleDt.add_months(17)
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
frasettleDt = settleDt.add_months(17)
fraMaturityDate = settleDt.add_months(21)
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
swap_rate = 0.05
# maturity_date = settleDt.add_months(24)
# swap = IborSwap(settleDt, maturity_date, swap_rate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixed_leg_type = Finfixed_leg_types.PAY
maturity_date = settleDt.add_months(36)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(48)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(60)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(72)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(84)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(96)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(108)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(120)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(132)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(144)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(180)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(240)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(300)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(360)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
libor_curve = OISCurve(valuation_date, depos, fras, swaps)
df = libor_curve.df(settleDt)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settleDt), 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)
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
spot_days = 0
settleDt = valuation_date.add_weekdays(spot_days)
accrual = DayCountTypes.THIRTY_E_360
depo = IborDeposit(settleDt, "1D", 1.712 / 100.0, accrual)
depos = [depo]
futs = []
fut = IborFuture(valuation_date, 1)
futs.append(fut)
fut = IborFuture(valuation_date, 2)
futs.append(fut)
fut = IborFuture(valuation_date, 3)
futs.append(fut)
fut = IborFuture(valuation_date, 4)
futs.append(fut)
fut = IborFuture(valuation_date, 5)
futs.append(fut)
fut = IborFuture(valuation_date, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].to_fra(97.6675, -0.00005)
fras[1] = futs[1].to_fra(97.5200, -0.00060)
fras[2] = futs[2].to_fra(97.3550, -0.00146)
fras[3] = futs[3].to_fra(97.2450, -0.00263)
fras[4] = futs[4].to_fra(97.1450, -0.00411)
fras[5] = futs[5].to_fra(97.0750, -0.00589)
accrual = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spot_days = 2
settleDt = valuation_date.add_weekdays(spot_days)
payRec = SwapTypes.PAY
lag = 1 # Not used
swaps = []
swap = OIS(settleDt, "2Y", payRec, (2.77417 + 2.77844) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "3Y", payRec, (2.86098 + 2.86582) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "4Y", payRec, (2.90240 + 2.90620) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "5Y", payRec, (2.92944 + 2.92906) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "6Y", payRec, (2.94001 + 2.94499) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "7Y", payRec, (2.95352 + 2.95998) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "8Y", payRec, (2.96830 + 2.97400) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "9Y", payRec, (2.98403 + 2.98817) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "10Y", payRec, (2.99716 + 3.00394) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "11Y", payRec, (3.01344 + 3.01596) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "12Y", payRec, (3.02276 + 3.02684) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "15Y", payRec, (3.04092 + 3.04508) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "20Y", payRec, (3.04417 + 3.05183) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "25Y", payRec, (3.03219 + 3.03621) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "30Y", payRec, (3.01030 + 3.01370) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "40Y", payRec, (2.96946 + 2.97354) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "50Y", payRec, (2.91552 + 2.93748) / 200, freq,
accrual)
swaps.append(swap)
oisCurve = OISCurve(valuation_date, depos, fras, swaps)
# swaps[0]._fixed_leg.print_valuation()
# swaps[0]._floatLeg.print_valuation()
# 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(valuation_date, oisCurve, None))
testCases.print("FIXED:",
-swaps[0]._fixed_leg.value(valuation_date, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(valuation_date,
oisCurve, None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print("VALUE:", swaps[0].value(settleDt, oisCurve, None))
testCases.print("FIXED:", -swaps[0]._fixed_leg.value(settleDt, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(settleDt, oisCurve,
None))
def test_derivativePricingExample():
valuation_date = Date(10, 11, 2011)
# We do the O/N rate which settles on trade date
spot_days = 0
settleDt = valuation_date.add_weekdays(spot_days)
fras = []
swaps = []
day_count_type = DayCountTypes.THIRTY_E_360_ISDA
# day_count_type = DayCountTypes.ACT_360
freq_type = FrequencyTypes.SEMI_ANNUAL
fixed_leg_type = Finfixed_leg_types.PAY
swap_rate = 0.0058
swap = OIS(settleDt, "1Y", fixed_leg_type, swap_rate, freq_type,
day_count_type)
swaps.append(swap)
swap_rate = 0.0060
swap = OIS(settleDt, "2Y", fixed_leg_type, swap_rate, freq_type,
day_count_type)
swaps.append(swap)
swap_rate = 0.0072
swap = OIS(settleDt, "3Y", fixed_leg_type, swap_rate, freq_type,
day_count_type)
swaps.append(swap)
swap_rate = 0.0096
swap = OIS(settleDt, "4Y", fixed_leg_type, swap_rate, freq_type,
day_count_type)
swaps.append(swap)
swap_rate = 0.0124
swap = OIS(settleDt, "5Y", fixed_leg_type, swap_rate, freq_type,
day_count_type)
swaps.append(swap)
swap_rate = 0.0173
swap = OIS(settleDt, "7Y", fixed_leg_type, swap_rate, freq_type,
day_count_type)
swaps.append(swap)
swap_rate = 0.0219
swap = OIS(settleDt, "10Y", fixed_leg_type, swap_rate, freq_type,
day_count_type)
swaps.append(swap)
swap_rate = 0.0283
swap = OIS(settleDt, "30Y", fixed_leg_type, swap_rate, freq_type,
day_count_type)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = OISCurve(valuation_date, fras, swaps, InterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = OISCurve(valuation_date, fras, swaps,
InterpTypes.LINEAR_SWAP_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_FinOISDepositsFuturesSwaps():
spot_date = Date(6, 6, 2018)
spot_days = 0
settleDt = spot_date.add_weekdays(spot_days)
depoDCCType = DayCountTypes.THIRTY_E_360_ISDA
depo = IborDeposit(settleDt, "1D", 1.712 / 100.0, depoDCCType)
depos = [depo]
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
frasettleDt = spot_date.next_imm_date()
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
frasettleDt = frasettleDt.next_imm_date()
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spot_days = 2
start_date = spot_date.add_weekdays(spot_days)
swaps = []
fixed_leg_type = SwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_E_360
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
floatFreqType = FrequencyTypes.QUARTERLY
notional = 1000000
float_spread = 0.0
floatDCCType = DayCountTypes.ACT_360
calendar_type = CalendarTypes.US
busDayAdjustRule = BusDayAdjustTypes.PRECEDING
swap_rate = 0.02776305
payment_lag = 1
swap = OIS(start_date, "2Y", fixed_leg_type, swap_rate, fixedFreqType,
fixedDCCType, notional, payment_lag, float_spread,
floatFreqType, floatDCCType, calendar_type, busDayAdjustRule)
swaps.append(swap)
libor_curve = OISCurve(spot_date, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spot_date.add_years(times)
zero_rates = libor_curve.zero_rate(dates)
fwd_rates = libor_curve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zero_rates * 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 = spot_date
df = libor_curve.df(end_date)
print(end_date, df)
end_date = settleDt
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 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.print_fixed_leg_pv(spot_date)
swap.print_float_leg_pv(spot_date)
def buildOIS(valuation_date):
""" Build the OIS funding curve from futures (FRAs) and OIS """
spot_days = 0
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
fixed_leg_type = SwapTypes.PAY
fras = []
# 1 x 4 FRA
swaps = []
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
fixedDCCType = DayCountTypes.ACT_365F
swap_rate = 0.000022
maturity_date = settlement_date.add_months(24)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap_rate += 0.000
fixed_leg_type = SwapTypes.PAY
maturity_date = settlement_date.add_months(36)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap_rate += 0.000
maturity_date = settlement_date.add_months(48)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap_rate = 0.02
maturity_date = settlement_date.add_months(60)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(72)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(84)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(96)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(108)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(120)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(132)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(144)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(180)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(240)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(300)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(360)
swap = OIS(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
oisCurve = OISCurve(valuation_date, [], fras, swaps)
return oisCurve
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_leg_type = SwapTypes.RECEIVE
fixedRate = 0.0150
fixedDCCType = DayCountTypes.THIRTY_360_BOND
fixedFreqType = FrequencyTypes.ANNUAL
float_spread = 0.0
floatDCCType = DayCountTypes.ACT_360
floatFreqType = FrequencyTypes.SEMI_ANNUAL
offMarketSwap = IborSwap(start_date, maturity_date, fixed_leg_type,
fixedRate, fixedFreqType, fixedDCCType, notional,
float_spread, floatFreqType, floatDCCType)
interp_type = InterpTypes.LINEAR_ZERO_RATES
depoDCCType = DayCountTypes.ACT_360
depos = []
###########################################################################
# MARKET
###########################################################################
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
depo = IborDeposit(settlement_date, "6M", -0.2510 / 100.0, depoDCCType)
depos.append(depo)
fras = []
fraDCCType = DayCountTypes.ACT_360
fra = IborFRA(settlement_date.add_tenor("1M"), "6M", -0.2450 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("2M"), "6M", -0.2435 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("3M"), "6M", -0.2400 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("4M"), "6M", -0.2360 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("5M"), "6M", -0.2285 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("6M"), "6M", -0.2230 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("7M"), "6M", -0.2110 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("8M"), "6M", -0.1990 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("9M"), "6M", -0.1850 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("10M"), "6M", -0.1680 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("11M"), "6M", -0.1510 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("12M"), "6M", -0.1360 / 100.0,
fraDCCType)
fras.append(fra)
swaps = []
fixed_leg_type = SwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_360_BOND
fixedFreqType = FrequencyTypes.ANNUAL
swap = IborSwap(settlement_date, "2Y", fixed_leg_type, -0.1525 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "3Y", fixed_leg_type, -0.0185 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "4Y", fixed_leg_type, 0.1315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "5Y", fixed_leg_type, 0.2745 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "6Y", fixed_leg_type, 0.4135 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "7Y", fixed_leg_type, 0.5439 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "8Y", fixed_leg_type, 0.6652 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "9Y", fixed_leg_type, 0.7784 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "10Y", fixed_leg_type, 0.8799 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "11Y", fixed_leg_type, 0.9715 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "12Y", fixed_leg_type, 1.0517 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "15Y", fixed_leg_type, 1.2369 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "20Y", fixed_leg_type, 1.3965 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "25Y", fixed_leg_type, 1.4472 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "30Y", fixed_leg_type, 1.4585 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "35Y", fixed_leg_type, 1.4595 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "40Y", fixed_leg_type, 1.4535 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "45Y", fixed_leg_type, 1.4410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "50Y", fixed_leg_type, 1.4335 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
iborDepos = depos.copy()
iborFras = fras.copy()
ibor_swaps = swaps.copy()
iborCurve = IborSingleCurve(valuation_date, iborDepos, iborFras,
ibor_swaps, 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 = []
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
depo = IborDeposit(settlement_date, "1D", -0.3490 / 100.0, depoDCCType)
depos.append(depo)
fras = []
swaps = []
fixed_leg_type = SwapTypes.PAY
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.ANNUAL
# Standard OIS with standard annual terms
swap = OIS(settlement_date, "2W", fixed_leg_type, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "1M", fixed_leg_type, -0.3560 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "2M", fixed_leg_type, -0.3570 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "3M", fixed_leg_type, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "4M", fixed_leg_type, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "5M", fixed_leg_type, -0.3578 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "6M", fixed_leg_type, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "7M", fixed_leg_type, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "8M", fixed_leg_type, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "9M", fixed_leg_type, -0.3569 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "10M", fixed_leg_type, -0.3553 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "11M", fixed_leg_type, -0.3534 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "12M", fixed_leg_type, -0.3496 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "18M", fixed_leg_type, -0.3173 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "2Y", fixed_leg_type, -0.2671 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "30M", fixed_leg_type, -0.2070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "3Y", fixed_leg_type, -0.1410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "4Y", fixed_leg_type, -0.0060 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "5Y", fixed_leg_type, 0.1285 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "6Y", fixed_leg_type, 0.2590 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "7Y", fixed_leg_type, 0.3830 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "8Y", fixed_leg_type, 0.5020 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "9Y", fixed_leg_type, 0.6140 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "10Y", fixed_leg_type, 0.7160 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "11Y", fixed_leg_type, 0.8070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "12Y", fixed_leg_type, 0.8890 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "15Y", fixed_leg_type, 1.0790 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "20Y", fixed_leg_type, 1.2460 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "25Y", fixed_leg_type, 1.3055 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "30Y", fixed_leg_type, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "35Y", fixed_leg_type, 1.3315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "40Y", fixed_leg_type, 1.3300 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "50Y", fixed_leg_type, 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 = IborDualCurve(valuation_date, oisCurveFF, iborDepos,
iborFras, ibor_swaps, interp_type)