def test_diff_in_years(self):
s = BusinessDate('20011110')
e = BusinessDate('20011112')
self.assertEqual(BusinessDate.diff_in_years(s, e), 2 / DAYS_IN_YEAR)
self.assertEqual(
BusinessDate.diff_in_years(BusinessDate('20161101'),
BusinessDate('20171102')),
366 / DAYS_IN_YEAR)
def get_present_value(self,
value_date=BusinessDate(),
index_model_dict={}):
r""" returns the forward value of a amortizing collateral
Parameters:
value_date (BusinessDate): date of the valuation
value_currency_name (Currency): valueation currrency
index_model_dict (IndexModel): dict of IndexModel
Returns:
(float): forward value of a financial security
The forward value at time :math:`t`, i.e. :math:`S_t`, is calculated
by a linear depreciation of the prime costs :math:`AK` such that
.. math::
:nowrap:
\[
S_t = \max \left( \left(AK \left(1-\frac{t-t_{AK}}
{T_{max}}\right) \right),0\right)
\]
where :math:`T_{max}` is the maximum amortization BusinessPeriod,
:math:`t_{AK}` is the time of acquisition.
"""
s = self._acquisition_date_.to_businessdate(self.origin)
e = self._amortization_date_.to_businessdate(self.origin)
t_max = BusinessDate.diff_in_years(s, e)
v = value_date.to_businessdate(self.origin)
t = BusinessDate.diff_in_years(s, v)
expected_value = max(self._notional_ * (1 - (t / t_max)), 0)
return expected_value * self._discount_index_.get_value(value_date)
def get_expected_credit_loss(self,
value_date=BusinessDate(),
start_date=None,
end_date=None,
index_model_dict={}):
""" gets the expected credit loss between desired dates
:param value_date:
:param start_date:
:param end_date:
:param index_model_dict (optional): dict of index models incl. default loss model
:return: float
"""
if not end_date:
end_date = max(c.maturity for c in self._contract_list_)
end_date = end_date.to_businessdate(self.origin)
if not start_date:
start_date = self.origin
start_date = start_date.to_businessdate(self.origin)
freq = self._ecl_frequency_.period
schedule = BusinessSchedule(start_date, end_date, freq, start_date)
dcc = ActAct()
total_ecl = 0.0
for loop_date, e in zip(schedule[:-1], schedule[1:]):
df = Continuous().disc_factor_from_rate(start_date, loop_date, dcc,
self._effective_rate)
svp = self._survival_index.get_value(loop_date)
yf = BusinessDate.diff_in_years(loop_date, e)
fwd = 1 - self._survival_index.get_value(e, loop_date)
loss = self.get_expected_default_loss(loop_date, index_model_dict)
ecl = df * svp * yf * fwd * loss
total_ecl += ecl
return total_ecl
def test_diff_in_years(self):
s = BusinessDate('20011110')
e = BusinessDate('20011112')
self.assertEqual(BusinessDate.diff_in_years(s, e), 2 / DAYS_IN_YEAR)
self.assertEqual(BusinessDate.diff_in_years(BusinessDate('20161101'),
BusinessDate('20171102')), 366 / DAYS_IN_YEAR)
