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)