def buildLiborCurve(valuationDate):
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(3)
depo2 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(6)
depo3 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(9)
depo4 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
fixedDCCType = FinDayCountTypes.ACT_365_ISDA
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swaps = []
swapRate = 0.05
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap9)
liborCurve = FinLiborCurve("USD_LIBOR",
settlementDate,
depos,
fras,
swaps)
if 1 == 0:
import numpy as np
numSteps = 40
dt = 10 / numSteps
times = np.linspace(0.0, 10.0, numSteps + 1)
df0 = 1.0
for t in times[1:]:
df1 = liborCurve.df(t)
fwd = (df0 / df1 - 1.0) / dt
print(t, df1, fwd)
df0 = df1
return liborCurve
def test_FinLiborDepositsAndSwaps():
valuationDate = FinDate(2019, 9, 18)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
fras = []
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365_ISDA
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
maturityDate = settlementDate.addMonths(24)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(36)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
df = liborCurve.df(settlementDate)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settlementDate), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
for swap in swaps:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)