def test_excel_example_with_zero_coupon_bond(self):
todays_date = Date(25, August, 2011)
settlement_days = 3
face_amount = 100
calendar = TARGET()
maturity_date = Date(26, February, 2024)
bond = ZeroCouponBond(settlement_days, calendar, face_amount,
maturity_date, Following, 100.0, todays_date)
discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.044,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
discounting_term_structure.link_to(flat_term_structure)
engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(engine)
self.assertEquals(calendar.advance(todays_date, 3, Days),
bond.settlement_date())
self.assertEquals(0., bond.accrued_amount(bond.settlement_date()))
self.assertAlmostEquals(57.6915, bond.clean_price, 4)
def test_german_calendar(self):
frankfcal = Germany(Market.Eurex)
first_date = Date(31, Oct, 2009)
second_date = Date(1, Jan, 2010)
Dec_30_2009 = Date(30, Dec, 2009)
Jan_4_2010 = Date(4, Jan, 2010)
self.assertEqual(Dec_30_2009, frankfcal.adjust(second_date, Preceding))
self.assertEqual(Jan_4_2010,
frankfcal.adjust(second_date, ModifiedPreceding))
mat = Period(2, Months)
self.assertEqual(
Jan_4_2010,
frankfcal.advance(first_date,
period=mat,
convention=Following,
end_of_month=False))
self.assertEqual(
Dec_30_2009,
frankfcal.advance(first_date,
period=mat,
convention=ModifiedFollowing,
end_of_month=False))
self.assertEqual(
41,
frankfcal.business_days_between(first_date, second_date, False,
False))
def test_clean_price(self):
notional = 1000000.0
fixed_rates = [0.1]
fixed_day_count = Actual365Fixed()
fixed_calendar = self.calendar
fixed_index = self.ii
contractObservationLag = Period(3, Months)
observationInterpolation = InterpolationType.Flat
settlement_days = 3
growth_only = True
baseCPI = 206.1
fixed_schedule = Schedule.from_rule(Date(2, 10,
2007), Date(2, 10, 2052),
Period(6, Months), fixed_calendar,
Unadjusted, Rule.Backward)
cpi_bond = CPIBond(settlement_days, notional, growth_only, baseCPI,
contractObservationLag, fixed_index,
observationInterpolation, fixed_schedule,
fixed_rates, fixed_day_count, ModifiedFollowing)
engine = DiscountingBondEngine(self.yts)
cpi_bond.set_pricing_engine(engine)
set_coupon_pricer(cpi_bond.cashflows, CPICouponPricer(self.yts))
storedPrice = 383.01816406
calculated = cpi_bond.clean_price
self.assertAlmostEqual(storedPrice, calculated)
def test_past_coupon_rate(self):
"""Testing rate for past overnight-indexed coupon"""
past_coupon = self.make_coupon(Date(18, October, 2021),
Date(18, November, 2021))
expected_rate = 0.000987136104
expected_amount = self.notional * expected_rate * 31.0 / 360
self.assertAlmostEqual(past_coupon.rate, expected_rate)
self.assertAlmostEqual(past_coupon.amount, expected_amount)
def test_equality(self):
date1 = Date(1, 1, 2011)
date2 = Date(1, 1, 2011)
date3 = datetime.date(2011, 1, 1)
self.assertEqual(date1, date2)
self.assertEqual(date1, date3)
def test_accrued_amount_in_the_past(self):
"""Testing accrued amount in the past for overnight-indexed coupon"""
coupon = self.make_coupon(Date(18, October, 2021),
Date(18, January, 2022))
expected_amount = self.notional * 0.000987136104 * 31.0 / 360
self.assertAlmostEqual(coupon.accrued_amount(Date(18, November, 2021)),
expected_amount)
def test_short_calculation_first_period_isda(self):
day_counter = ActualActual(ISDA)
from_date = Date(1, February, 1999)
to_date = Date(1, July, 1999)
expected_result = 0.410958904110
self.assertAlmostEquals(expected_result,
day_counter.year_fraction(from_date, to_date))
def test_future_coupon_rate(self):
"""Testing rate for future overnight-indexed coupon"""
self.forecast_curve.link_to(flat_rate(0.0010, Actual360()))
future_coupon = self.make_coupon(Date(10, December, 2021),
Date(10, January, 2022))
expected_rate = 0.001000043057
expected_amount = self.notional * expected_rate * 31.0 / 360
self.assertAlmostEqual(future_coupon.rate, expected_rate)
self.assertAlmostEqual(future_coupon.amount, expected_amount)
def test_is_imm_date(self):
dt = Date(17, Sep, 2014)
is_imm = imm.is_IMM_date(dt)
self.assertTrue(is_imm)
dt = Date(18, Sep, 2014)
is_imm = imm.is_IMM_date(dt)
self.assertFalse(is_imm)
def test_is_business_day(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
business_day = Date(28, March, 2011)
self.assertFalse(ukcal.is_business_day(bank_holiday_date))
self.assertTrue(ukcal.is_business_day(business_day))
def test_next_date(self):
dt = Date(19, Jun, 2014)
dt_2 = imm.next_date(dt)
# 17 sep 2014
self.assertEqual(dt_2, date(2014, 9, 17))
dt_3 = imm.next_date('M9', True, Date(1, 6, 2019))
# 18 sep 2019
self.assertEqual(dt_3, date(2019, 9, 18))
def test_short_calculation_second_period_afb(self):
day_counter = ActualActual(AFB)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
expected_result = 1.000000000000
self.assertAlmostEquals(expected_result,
day_counter.year_fraction(from_date, to_date))
def test_thirty360(self):
day_counter = Thirty360(EUROBONDBASIS)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
expected_result = 1.000000000000
self.assertAlmostEquals(expected_result,
day_counter.year_fraction(from_date, to_date))
def test_accrued_amount_in_the_futures(self):
"""Testing accrued amount in the future for overnight-indexed coupon"""
self.forecast_curve.link_to(flat_rate(0.0010, Actual360()))
coupon = self.make_coupon(Date(10, December, 2021),
Date(10, March, 2022))
accrual_date = Date(10, January, 2022)
expected_rate = 0.001000043057
expected_amount = self.notional * expected_rate * 31.0 / 360
self.assertAlmostEqual(coupon.accrued_amount(accrual_date),
expected_amount)
def test_rate_when_today_is_holiday(self):
"""Testing rate for overnight-indexed coupon when today is a holiday"""
with Settings() as s:
s.evaluation_date = Date(20, November, 2021)
self.forecast_curve.link_to(flat_rate(0.0010, Actual360()))
coupon = self.make_coupon(Date(10, November, 2021),
Date(10, December, 2021))
expected_rate = 0.000930035180
expected_amount = self.notional * expected_rate * 30.0 / 360
self.assertAlmostEqual(coupon.rate, expected_rate)
self.assertAlmostEqual(coupon.amount, expected_amount)
def test_from_datetime_classmethod(self):
date1 = Date(19, Nov, 1998)
datetime_date = datetime.date(1998, 11, 19)
from_datetime_date = Date.from_datetime(datetime_date)
self.assertEqual(from_datetime_date.serial, date1.serial)
datetime_datetime = datetime.datetime(1998, 11, 19, 0o1, 00)
from_datetime_datetime = Date.from_datetime(datetime_datetime)
self.assertEqual(from_datetime_datetime.serial, date1.serial)
def test_date_creation(self):
date1 = Date(19, Nov, 1998)
self.assertEquals(11, date1.month)
date2 = Date(29, Feb, 2008)
self.assertEquals(2, date2.month)
with self.assertRaises(RuntimeError):
# getting an invalid day
date2 = Date(29, Feb, 2009)
def test_from_datetime_classmethod(self):
date1 = Date(19, Nov, 1998)
datetime_date = datetime.date(1998, 11, 19)
from_datetime_date = Date.from_datetime(datetime_date)
self.assertEquals(from_datetime_date.serial, date1.serial)
datetime_datetime = datetime.datetime(1998, 11, 19, 01, 00)
from_datetime_datetime = Date.from_datetime(datetime_datetime)
self.assertEquals(from_datetime_datetime.serial, date1.serial)
def test_canada_calendar(self):
cacal = Canada()
holiday_date = Date(1, Jul, 2015)
self.assertTrue(cacal.is_holiday(holiday_date))
cacal = Canada(market=TSX)
holiday_date = Date(3, August, 2015)
self.assertTrue(cacal.is_holiday(holiday_date))
def test_united_states_calendar(self):
uscal = UnitedStates()
holiday_date = Date(4, Jul, 2010)
self.assertTrue(uscal.is_holiday(holiday_date))
uscal = UnitedStates(market=NYSE)
holiday_date = Date(5, Sep, 2011) # Labor day
self.assertTrue(uscal.is_holiday(holiday_date))
def test_next_weekday(self):
''' Test next weekday
The Friday following Tuesday, January 15th, 2002 was January 18th, 2002.
see http://www.cpearson.com/excel/DateTimeWS.htm
'''
date1 = Date(15, Jan, 2002)
date2 = next_weekday(date1, Friday)
expected_date = Date(18, Jan, 2002)
self.assertTrue(expected_date == date2)
def test_business_days_between_dates(self):
ukcal = UnitedKingdom()
date1 = Date(30, May, 2011)
# 30st of May is Spring Bank Holiday
date2 = Date(3, June, 2011)
day_count = ukcal.business_days_between(date1, date2, include_last=True)
self.assertEqual(4, day_count)
def test_short_calculation_second_period_isma(self):
day_counter = ActualActual(ISMA)
from_date = Date(1, July, 1999)
to_date = Date(1, July, 2000)
ref_start = Date(1, July, 1999)
ref_end = Date(1, July, 2000)
expected_result = 1.000000000000
self.assertAlmostEquals(
expected_result,
day_counter.year_fraction(from_date, to_date, ref_start, ref_end))
def test_excel_example_with_fixed_rate_bond(self):
'''Port the QuantLib Excel adding bond example to Python. '''
todays_date = Date(25, August, 2011)
settings = Settings()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(effective_date,
10,
Years,
convention=Unadjusted)
settlement_days = 3
face_amount = 100.0
coupon_rate = 0.05
redemption = 100.0
fixed_bond_schedule = Schedule.from_rule(effective_date,
termination_date,
Period(Annual), calendar,
ModifiedFollowing,
ModifiedFollowing, Backward)
issue_date = effective_date
bond = FixedRateBond(settlement_days, face_amount,
fixed_bond_schedule, [coupon_rate],
ActualActual(ISMA), Following, redemption,
issue_date)
discounting_term_structure = YieldTermStructure()
flat_term_structure = FlatForward(settlement_days=1,
forward=0.044,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
discounting_term_structure.link_to(flat_term_structure)
engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(engine)
self.assertEqual(Date(10, Jul, 2016), termination_date)
self.assertEqual(calendar.advance(todays_date, 3, Days),
bond.settlement_date())
self.assertEqual(Date(11, Jul, 2016), bond.maturity_date)
self.assertAlmostEqual(0.6849,
bond.accrued_amount(bond.settlement_date()), 4)
self.assertAlmostEqual(102.1154, bond.clean_price, 4)
def setUp(self):
self.from_date = Date(1, Jan, 2011)
self.to_date = Date(31, Dec, 2011)
self.tenor = Period(4, Weeks)
self.calendar = UnitedKingdom()
self.convention = Following
self.termination_convention = Preceding
self.rule = Twentieth
self.schedule = Schedule(self.from_date, self.to_date, self.tenor,
self.calendar, self.convention,
self.termination_convention, self.rule)
def test_calendar_date_advance(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
advanced_date = ukcal.advance(bank_holiday_date, step=6, units=Months)
expected_date = Date(3, November, 2010)
self.assertTrue(expected_date == advanced_date)
period_10days = Period(10, Days)
advanced_date = ukcal.advance(bank_holiday_date, period=period_10days)
expected_date = Date(17, May, 2010)
self.assertTrue(expected_date == advanced_date)
def test_bucket_analysis_option(self):
settings = Settings()
calendar = TARGET()
todays_date = Date(15, May, 1998)
settlement_date = Date(17, May, 1998)
settings.evaluation_date = todays_date
option_type = Put
underlying = 40
strike = 40
dividend_yield = 0.00
risk_free_rate = 0.001
volatility = SimpleQuote(0.20)
maturity = Date(17, May, 1999)
daycounter = Actual365Fixed()
underlyingH = SimpleQuote(underlying)
payoff = PlainVanillaPayoff(option_type, strike)
flat_term_structure = FlatForward(reference_date=settlement_date,
forward=risk_free_rate,
daycounter=daycounter)
flat_dividend_ts = FlatForward(reference_date=settlement_date,
forward=dividend_yield,
daycounter=daycounter)
flat_vol_ts = BlackConstantVol(settlement_date, calendar, volatility,
daycounter)
black_scholes_merton_process = BlackScholesMertonProcess(
underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts)
european_exercise = EuropeanExercise(maturity)
european_option = VanillaOption(payoff, european_exercise)
analytic_european_engine = AnalyticEuropeanEngine(
black_scholes_merton_process)
european_option.set_pricing_engine(analytic_european_engine)
delta, gamma = bucket_analysis([underlyingH, volatility],
[european_option],
shift=1e-4,
type=Centered)
self.assertAlmostEqual(delta[0], european_option.delta)
self.assertAlmostEqual(delta[1], european_option.vega)
self.assertAlmostEqual(gamma[0], european_option.gamma, 5)
def test_bucketanalysis_bond(self):
face_amount = 100.0
redemption = 100.0
issue_date = Date(27, January, 2011)
maturity_date = Date(1, January, 2021)
coupon_rate = 0.055
fixed_bond_schedule = Schedule.from_rule(
issue_date,
maturity_date,
Period(Semiannual),
UnitedStates(market=GovernmentBond),
Unadjusted,
Unadjusted,
Backward,
False)
bond = FixedRateBond(
self.settlement_days,
face_amount,
fixed_bond_schedule,
[coupon_rate],
ActualActual(Bond),
Unadjusted,
redemption,
issue_date
)
pricing_engine = DiscountingBondEngine(self.ts)
bond.set_pricing_engine(pricing_engine)
self.assertAlmostEqual(bond.npv, 100.82127876105724)
quotes = [rh.quote for rh in self.rate_helpers]
delta, gamma = bucket_analysis(quotes, [bond])
self.assertEqual(len(quotes), len(delta))
old_values = [q.value for q in quotes]
delta_manual = []
gamma_manual = []
pv = bond.npv
shift = 1e-4
for v, q in zip(old_values, quotes):
q.value = v + shift
pv_plus = bond.npv
q.value = v - shift
pv_minus = bond.npv
delta_manual.append((pv_plus - pv_minus) * 0.5 / shift)
gamma_manual.append((pv_plus - 2 * pv + pv_minus) / shift ** 2)
q.value = v
assert_allclose(delta, delta_manual)
assert_allclose(gamma, gamma_manual, atol=1e-4)
def test_bucket_analysis_option(self):
settings = Settings()
calendar = TARGET()
todays_date = Date(15, May, 1998)
settlement_date = Date(17, May, 1998)
settings.evaluation_date = todays_date
option_type = Put
underlying = 40
strike = 40
dividend_yield = 0.00
risk_free_rate = 0.001
volatility = 0.20
maturity = Date(17, May, 1999)
daycounter = Actual365Fixed()
underlyingH = SimpleQuote(underlying)
payoff = PlainVanillaPayoff(option_type, strike)
flat_term_structure = FlatForward(reference_date=settlement_date,
forward=risk_free_rate,
daycounter=daycounter)
flat_dividend_ts = FlatForward(reference_date=settlement_date,
forward=dividend_yield,
daycounter=daycounter)
flat_vol_ts = BlackConstantVol(settlement_date, calendar, volatility,
daycounter)
black_scholes_merton_process = BlackScholesMertonProcess(
underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts)
european_exercise = EuropeanExercise(maturity)
european_option = VanillaOption(payoff, european_exercise)
analytic_european_engine = AnalyticEuropeanEngine(
black_scholes_merton_process)
european_option.set_pricing_engine(analytic_european_engine)
ba_eo = bucket_analysis([[underlyingH]], [european_option], [1], 0.50,
1)
self.assertTrue(2, ba_eo)
self.assertTrue(type(tuple), ba_eo)
self.assertEqual(1, len(ba_eo[0][0]))
self.assertAlmostEqual(-0.4582666150152517, ba_eo[0][0][0])
def test_accrued_amount_spanning_today(self):
"""Testing accrued amount spanning today for current overnight-indexed coupon"""
self.forecast_curve.link_to(flat_rate(0.0010, Actual360()))
coupon = self.make_coupon(Date(10, November, 2021),
Date(10, January, 2022))
expected_amount = self.notional * 0.000926701551 * 30.0 / 360
self.assertAlmostEqual(coupon.accrued_amount(Date(10, December, 2021)),
expected_amount)
self.sofr.add_fixing(Date(23, November, 2021), 0.0007)
expected_amount = self.notional * 0.000916700760 * 30.0 / 360
self.assertAlmostEqual(coupon.accrued_amount(Date(10, December, 2021)),
expected_amount)
self.sofr.clear_fixings()
self.sofr.add_fixings(self.dates, self.past_rates)
def test_arithmetic_operators(self):
# addition
date1 = Date(19, Nov, 1998)
date2 = date1 + 5
expected_date = Date(24, Nov, 1998)
self.assertTrue(expected_date == date2)
# iadd
date1 = Date(19, Nov, 1998)
date1 += 3
expected_date = Date(22, Nov, 1998)
self.assertTrue(expected_date == date1)
# substraction
date1 = Date(19, Nov, 1998)
date3 = date1 - 5
expected_date = Date(14, Nov, 1998)
self.assertTrue(expected_date == date3)
with self.assertRaises(TypeError):
# invalid operation
date3 - "pomme"
self.assertTrue(date3 - date1, 5)
# isub
date1 = Date(19, Nov, 1998)
date1 -= 3
expected_date = Date(16, Nov, 1998)
self.assertTrue(expected_date == date1)
def test_today(self):
py_today = datetime.date.today()
ql_today = today()
self.assertEqual(py_today.day, ql_today.day)
self.assertEqual(py_today.month, ql_today.month)
self.assertEqual(py_today.year, ql_today.year)
py_now = datetime.datetime.now()
ql_datetime = local_date_time()
self.assertAlmostEqual(Date.from_datetime(py_now), ql_datetime)