def test_create_ibor_index(self):
euribor6m = IborIndex("Euribor", Period(6, Months), 2, EURCurrency(),
TARGET(), ModifiedFollowing, True, Actual360())
default_euribor6m = Euribor6M()
for attribute in [
"business_day_convention", "end_of_month", "fixing_calendar",
"tenor", "fixing_days", "day_counter", "family_name", "name"
]:
self.assertEqual(getattr(euribor6m, attribute),
getattr(default_euribor6m, attribute))
def create_fixed_float_swap(self, settlement_date, length, fixed_rate,
floating_spread, **kwargs):
"""
Create a fixed-for-float swap given:
- settlement date
- length in years
- additional arguments to modify market default parameters
"""
_params = self._params._replace(**kwargs)
index = IborIndex.from_name(self._market,
self._forecast_term_structure, **kwargs)
swap_type = Payer
nominal = 100.0
fixed_convention = \
BusinessDayConvention.from_name(_params.fixed_leg_convention)
floating_convention = \
BusinessDayConvention.from_name(_params.floating_leg_convention)
fixed_frequency = \
Period(_params.fixed_leg_period)
floating_frequency = Period(_params.floating_leg_period)
fixed_daycount = DayCounter.from_name(_params.fixed_leg_daycount)
float_daycount = DayCounter.from_name(_params.floating_leg_daycount)
calendar = calendar_from_name(_params.calendar)
maturity = calendar.advance(settlement_date,
length,
Years,
convention=floating_convention)
fixed_schedule = Schedule.from_rule(settlement_date, maturity,
fixed_frequency, calendar,
fixed_convention, fixed_convention,
Rule.Forward, False)
float_schedule = Schedule.from_rule(settlement_date, maturity,
floating_frequency, calendar,
floating_convention,
floating_convention, Rule.Forward,
False)
swap = VanillaSwap(swap_type, nominal, fixed_schedule, fixed_rate,
fixed_daycount, float_schedule, index,
floating_spread, float_daycount, fixed_convention)
engine = DiscountingSwapEngine(self._discount_term_structure,
False,
settlement_date=settlement_date,
npv_date=settlement_date)
swap.set_pricing_engine(engine)
return swap
def create_fixed_float_swap(self, settlement_date, length, fixed_rate,
floating_spread, **kwargs):
"""
Create a fixed-for-float swap given:
- settlement date
- length in years
- additional arguments to modify market default parameters
"""
_params = self._params._replace(**kwargs)
index = IborIndex.from_name(self._market,
self._forecast_term_structure,
**kwargs)
swap_type = Payer
nominal = 100.0
fixed_convention = \
BusinessDayConvention.from_name(_params.fixed_leg_convention)
floating_convention = \
BusinessDayConvention.from_name(_params.floating_leg_convention)
fixed_frequency = \
code_to_frequency(_params.fixed_leg_period)
floating_frequency = code_to_frequency(_params.floating_leg_period)
fixed_daycount = DayCounter.from_name(_params.fixed_leg_daycount)
float_daycount = DayCounter.from_name(_params.floating_leg_daycount)
calendar = calendar_from_name(_params.calendar)
maturity = calendar.advance(settlement_date, length, Years,
convention=floating_convention)
fixed_schedule = Schedule(settlement_date, maturity,
Period(fixed_frequency), calendar,
fixed_convention, fixed_convention,
Forward, False)
float_schedule = Schedule(settlement_date, maturity,
Period(floating_frequency),
calendar, floating_convention,
floating_convention,
Forward, False)
swap = VanillaSwap(swap_type, nominal, fixed_schedule, fixed_rate,
fixed_daycount, float_schedule, index,
floating_spread, float_daycount, fixed_convention)
engine = DiscountingSwapEngine(self._discount_term_structure,
False,
settlementDate=settlement_date,
npvDate=settlement_date)
swap.set_pricing_engine(engine)
return swap
def __init__(self, name, market, **kwargs):
params = SwapData.params(market)
params = params._replace(**kwargs)
self._params = params
self._name = name
self._market = market
# floating rate index
index = IborIndex.from_name(market, **kwargs)
self._floating_rate_index = index
self._deposit_daycount = params.floating_leg_daycount
self._termstructure_daycount = 'ACT/365'
self._eval_date = None
self._quotes = None
self._termstructure = None
self._discount_term_structure = None
self._forecast_term_structure = None
def __init__(self, name, market, **kwargs):
params = swap_params(market)
params = params._replace(**kwargs)
self._params = params
self._name = name
self._market = market
# floating rate index
index = IborIndex.from_name(market, **kwargs)
self._floating_rate_index = index
self._deposit_daycount = params.floating_leg_daycount
self._termstructure_daycount = 'ACT/365'
self._eval_date = None
self._quotes = None
self._termstructure = None
self._discount_term_structure = None
self._forecast_term_structure = None
self._rate_helpers = []
self._quotes = []
