def test_yield(self):
rates_data = [('Libor1M',.01),
('Libor3M', .015),
('Libor6M', .017),
('Swap1Y', .02),
('Swap2Y', .03),
('Swap3Y', .04),
('Swap5Y', .05),
('Swap7Y', .06),
('Swap10Y', .07),
('Swap20Y', .08)]
settlement_date = pydate_to_qldate('01-Dec-2013')
rate_helpers = []
for label, rate in rates_data:
h = make_rate_helper(label, rate, settlement_date)
rate_helpers.append(h)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve[BootstrapTrait.Discount, LogLinear].from_reference_date(
settlement_date, rate_helpers,
ts_day_counter, accuracy=tolerance
)
zc = zero_rate(ts, (200, 300), settlement_date)
# not a real test - just verify execution
self.assertAlmostEqual(zc[1][0], 0.0189, 2)
def test_yield(self):
rates_data = [
("Libor1M", 0.01),
("Libor3M", 0.015),
("Libor6M", 0.017),
("Swap1Y", 0.02),
("Swap2Y", 0.03),
("Swap3Y", 0.04),
("Swap5Y", 0.05),
("Swap7Y", 0.06),
("Swap10Y", 0.07),
("Swap20Y", 0.08),
]
settlement_date = pydate_to_qldate("01-Dec-2013")
rate_helpers = []
for label, rate in rates_data:
h = make_rate_helper(label, rate, settlement_date)
rate_helpers.append(h)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory("discount", "loglinear", settlement_date, rate_helpers, ts_day_counter, tolerance)
zc = zero_rate(ts, (200, 300), settlement_date)
# not a real test - just verify execution
self.assertAlmostEqual(zc[1][0], 0.0189, 2)
def test_yield(self):
rates_data = [('Libor1M',SimpleQuote(.01)),
('Libor3M', SimpleQuote(.015)),
('Libor6M', SimpleQuote(.017)),
('Swap1Y', SimpleQuote(.02)),
('Swap2Y', SimpleQuote(.03)),
('Swap3Y', SimpleQuote(.04)),
('Swap5Y', SimpleQuote(.05)),
('Swap7Y', SimpleQuote(.06)),
('Swap10Y', SimpleQuote(.07)),
('Swap20Y', SimpleQuote(.08))]
settlement_date = pydate_to_qldate('01-Dec-2013')
rate_helpers = []
for label, rate in rates_data:
h = make_rate_helper(label, rate, settlement_date)
rate_helpers.append(h)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve(
'discount', 'loglinear', settlement_date, rate_helpers,
ts_day_counter, tolerance
)
zc = zero_rate(ts, (200, 300), settlement_date)
# not a real test - just verify execution
self.assertAlmostEqual(zc[1][0], 0.0189, 2)
def test_yield(self):
rates_data = [('Libor1M',.01),
('Libor3M', .015),
('Libor6M', .017),
('Swap1Y', .02),
('Swap2Y', .03),
('Swap3Y', .04),
('Swap5Y', .05),
('Swap7Y', .06),
('Swap10Y', .07),
('Swap20Y', .08)]
settlement_date = pydate_to_qldate('01-Dec-2013')
rate_helpers = []
for label, rate in rates_data:
h = make_rate_helper(label, rate, settlement_date)
rate_helpers.append(h)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve.from_reference_date(
BootstrapTrait.Discount, Interpolator.LogLinear, settlement_date, rate_helpers,
ts_day_counter, tolerance
)
zc = zero_rate(ts, (200, 300), settlement_date)
# not a real test - just verify execution
self.assertAlmostEqual(zc[1][0], 0.0189, 2)
days = [
10, 30, 90, 182, 365, 365 * 2, 365 * 3, 365 * 5, 365 * 10, 365 * 15
]
# maturity in columns, observation days in rows
zc_rate = np.empty((len(dtI), len(days)), dtype='float64')
dt_maturity = np.empty_like(zc_rate, dtype='object')
# one observation date at a time, construct a term structure from
# deposit and swap rates, then compute zero-coupon rates at
# selected maturities
for i, obs_date in enumerate(dtI):
print(obs_date)
rates = df_libor.xs(obs_date) / 100.0
ts = make_term_structure(rates, obs_date)
(dt_maturity[i, ], zc_rate[i, ]) = zero_rate(ts, days, obs_date)
# PCA on rate change
zc_pca = ml.PCA(np.diff(zc_rate, axis=0))
fig = plt.figure()
fig.set_size_inches(10, 6)
ax = fig.add_subplot(121)
dtMin = dt_maturity[0, 0]
dtMax = dt_maturity[-1, -1]
ax.set_xlim(dtMin, dtMax)
ax.set_ylim(0.0, 0.1)
# plot a few curves
dtI = dtObs[range(0, len(dtObs) - 1, 60)]
days = [10, 30, 90, 182, 365, 365 * 2, 365 * 3,
365 * 5, 365 * 10, 365 * 15]
# maturity in columns, observation days in rows
zc_rate = np.empty((len(dtI), len(days)), dtype='float64')
dt_maturity = np.empty_like(zc_rate, dtype='object')
# one observation date at a time, construct a term structure from
# deposit and swap rates, then compute zero-coupon rates at
# selected maturities
for i, obs_date in enumerate(dtI):
print(obs_date)
rates = df_libor.xs(obs_date) / 100
ts = make_term_structure(rates, obs_date)
(dt_maturity[i, ], zc_rate[i, ]) = zero_rate(ts, days, obs_date)
# PCA on rate change
zc_pca = ml.PCA(np.diff(zc_rate, axis=0))
fig = plt.figure()
fig.set_size_inches(10, 6)
ax = fig.add_subplot(121)
dtMin = dt_maturity[0, 0]
dtMax = dt_maturity[-1, -1]
ax.set_xlim(dtMin, dtMax)
ax.set_ylim(0.0, 0.1)
# plot a few curves