def test_FinFXMktVolSurface4(verboseCalibration):
# USDJPY Example from Paper by Uwe Wystup using Tables 4
# print("USDJPY EXAMPLE WYSTUP")
valueDate = FinDate(20, 1, 2009)
forName = "USD"
domName = "JPY"
forCCRate = 0.003525 # USD
domCCRate = 0.0042875 # JPY
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 90.68
tenors = ['1M']
atmVols = [21.00]
marketStrangle25DeltaVols = [0.184]
riskReversal25DeltaVols = [-5.30]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
fxMarket = FinFXVolSurface(valueDate, spotFXRate, currencyPair,
notionalCurrency, domDiscountCurve,
forDiscountCurve, tenors, atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols, atmMethod, deltaMethod)
fxMarket.checkCalibration(verboseCalibration)
def test_FinFXMktVolSurface3(verboseCalibration):
# EURUSD Example from Paper by Uwe Wystup using Tables 4
# print("EURUSD EXAMPLE WYSTUP")
valueDate = FinDate(20, 1, 2009)
forName = "EUR"
domName = "USD"
forCCRate = 0.020113 # EUR
domCCRate = 0.003525 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3088
tenors = ['1M']
atmVols = [21.6215]
marketStrangle25DeltaVols = [0.7375]
riskReversal25DeltaVols = [-0.50]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
fxMarket = FinFXVolSurface(valueDate, spotFXRate, currencyPair,
notionalCurrency, domDiscountCurve,
forDiscountCurve, tenors, atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols, atmMethod, deltaMethod)
fxMarket.checkCalibration(verboseCalibration)
def test_FinFXMktVolSurface2(verboseCalibration):
#print("==============================================================")
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURJPY EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "JPY"
forCCRate = 0.0294 # EUR
domCCRate = 0.0171 # USD
domDiscountCurve = DiscountCurveFlat(valuation_date, domCCRate)
forDiscountCurve = DiscountCurveFlat(valuation_date, forCCRate)
currencyPair = forName + domName
spotFXRate = 90.72
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.50, 20.50, 19.85, 18.00, 15.95, 14.009]
marketStrangle25DeltaVols = [0.35, 0.325, 0.300, 0.225, 0.175, 0.100]
riskReversal25DeltaVols = [-8.350, -8.650, -8.950, -9.250, -9.550, -9.500]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL_PREM_ADJ
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
fxMarket = FinFXVolSurface(valuation_date,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
atmMethod,
deltaMethod)
fxMarket.checkCalibration(verboseCalibration)
if PLOT_GRAPHS:
fxMarket.plotVolCurves()
def test_FinFXMktVolSurface1(verboseCalibration):
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARKE")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
# EXPLORE AND TEST DIFFERENT CATEGORICAL PARAMETERS
for atmMethod in FinFXATMMethod:
for deltaMethod in FinFXDeltaMethod:
for volFunctionType in FinVolFunctionTypes:
fxMarket = FinFXVolSurface(
valueDate, spotFXRate, currencyPair, notionalCurrency,
domDiscountCurve, forDiscountCurve, tenors, atmVols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
atmMethod, deltaMethod, volFunctionType)
fxMarket.checkCalibration(verboseCalibration)
def test_FinFXMktVolSurface1(verboseCalibration):
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
volFunctionType = FinVolFunctionTypes.CLARK
fxMarket = FinFXVolSurface(valueDate, spotFXRate, currencyPair,
notionalCurrency, domDiscountCurve,
forDiscountCurve, tenors, atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols, atmMethod,
deltaMethod, volFunctionType)
fxMarket.checkCalibration(verboseCalibration)
# EXPLORE AND TEST DIFFERENT CATEGORICAL PARAMETERS
# for atmMethod in FinFXATMMethod:
# for deltaMethod in FinFXDeltaMethod:
# for volFunctionType in FinVolFunctionTypes:
# fxMarket = FinFXVolSurface(valueDate,
# spotFXRate,
# currencyPair,
# notionalCurrency,
# domDiscountCurve,
# forDiscountCurve,
# tenors,
# atmVols,
# marketStrangle25DeltaVols,
# riskReversal25DeltaVols,
# atmMethod,
# deltaMethod,
# volFunctionType)
# fxMarket.checkCalibration(verboseCalibration)
if PLOT_GRAPHS:
fxMarket.plotVolCurves()
dbns = fxMarket.impliedDbns(0.00001, 5.0, 10000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
plt.title(volFunctionType)
print("SUM:", dbns[i].sum())
def test_FinFXMktVolSurface():
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARKE")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
fxMarket = FinFXVolSurface(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
atmMethod,
deltaMethod)
fxMarket.checkCalibration()
if PLOT_GRAPHS:
fxMarket.plotVolCurves()
###########################################################################
if 1 == 1:
#print("==============================================================")
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
#print("EURJPY EXAMPLE CLARKE")
valueDate = FinDate(10, 4, 2020)
forName = "EUR"
domName = "JPY"
forCCRate = 0.0294 # EUR
domCCRate = 0.0171 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 90.72
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atmVols = [21.50, 21.00, 19.85, 18.00, 15.95, 14.009]
marketStrangle25DeltaVols = [0.35, 0.325, 0.30, 0.225, 0.175, 0.10]
riskReversal25DeltaVols = [-8.35, -8.65, -8.95, -9.25, -9.550, -9.500]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL_PREM_ADJ
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
fxMarket = FinFXVolSurface(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
atmMethod,
deltaMethod)
# fxMarket.checkCalibration()
if PLOT_GRAPHS:
fxMarket.plotVolCurves()
# print("==================================================================")
# ###########################################################################
if 1 == 1:
# EURUSD Example from Paper by Uwe Wystup using Tables 4
# print("EURUSD EXAMPLE WYSTUP")
valueDate = FinDate(20, 1, 2009)
forName = "EUR"
domName = "USD"
forCCRate = 0.020113 # EUR
domCCRate = 0.003525 # USD
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 1.3088
tenors = ['1M']
atmVols = [21.6215]
marketStrangle25DeltaVols = [0.7375]
riskReversal25DeltaVols = [-0.50]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
fxMarket = FinFXVolSurface(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
atmMethod,
deltaMethod)
fxMarket.checkCalibration()
if PLOT_GRAPHS:
fxMarket.plotVolCurves()
###########################################################################
if 1 == 1:
# USDJPY Example from Paper by Uwe Wystup using Tables 4
# print("USDJPY EXAMPLE WYSTUP")
valueDate = FinDate(20, 1, 2009)
forName = "USD"
domName = "JPY"
forCCRate = 0.003525 # USD
domCCRate = 0.0042875 # JPY
domDiscountCurve = FinDiscountCurveFlat(valueDate, domCCRate)
forDiscountCurve = FinDiscountCurveFlat(valueDate, forCCRate)
currencyPair = forName + domName
spotFXRate = 90.68
tenors = ['1M']
atmVols = [21.00]
marketStrangle25DeltaVols = [0.184]
riskReversal25DeltaVols = [-5.30]
notionalCurrency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
fxMarket = FinFXVolSurface(valueDate,
spotFXRate,
currencyPair,
notionalCurrency,
domDiscountCurve,
forDiscountCurve,
tenors,
atmVols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
atmMethod,
deltaMethod)
fxMarket.checkCalibration()
if PLOT_GRAPHS:
fxMarket.plotVolCurves()