def test_FinIborCapFloor():
todayDate = FinDate(20, 6, 2019)
valuationDate = todayDate
startDate = todayDate.addWeekDays(2)
maturityDate = startDate.addTenor("1Y")
liborCurve = test_FinIborDepositsAndSwaps(todayDate)
# The capfloor has begun
# lastFixing = 0.028
##########################################################################
# COMPARISON OF MODELS
##########################################################################
strikes = np.linspace(0.02, 0.08, 5)
testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR",
"SABR_SHFTD", "HW", "BACH")
model1 = FinModelBlack(0.20)
model2 = FinModelBlackShifted(0.25, 0.0)
model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5)
model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008)
model5 = FinModelRatesHW(0.30, 0.01)
model6 = FinModelBachelier(0.01)
for k in strikes:
capFloorType = FinCapFloorTypes.CAP
capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k)
cvalue1 = capfloor.value(valuationDate, liborCurve, model1)
cvalue2 = capfloor.value(valuationDate, liborCurve, model2)
cvalue3 = capfloor.value(valuationDate, liborCurve, model3)
cvalue4 = capfloor.value(valuationDate, liborCurve, model4)
cvalue5 = capfloor.value(valuationDate, liborCurve, model5)
cvalue6 = capfloor.value(valuationDate, liborCurve, model6)
testCases.print("CAP", k, cvalue1, cvalue2, cvalue3, cvalue4, cvalue5, cvalue6)
testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR",
"SABR_SHFTD", "HW", "BACH")
for k in strikes:
capFloorType = FinCapFloorTypes.FLOOR
capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k)
fvalue1 = capfloor.value(valuationDate, liborCurve, model1)
fvalue2 = capfloor.value(valuationDate, liborCurve, model2)
fvalue3 = capfloor.value(valuationDate, liborCurve, model3)
fvalue4 = capfloor.value(valuationDate, liborCurve, model4)
fvalue5 = capfloor.value(valuationDate, liborCurve, model5)
fvalue6 = capfloor.value(valuationDate, liborCurve, model6)
testCases.print("FLR", k, fvalue1, fvalue2, fvalue3, fvalue4, fvalue5, fvalue6)
###############################################################################
# PUT CALL CHECK
###############################################################################
testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR",
"SABR SHFTD", "HW", "BACH")
for k in strikes:
capFloorType = FinCapFloorTypes.CAP
capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k)
cvalue1 = capfloor.value(valuationDate, liborCurve, model1)
cvalue2 = capfloor.value(valuationDate, liborCurve, model2)
cvalue3 = capfloor.value(valuationDate, liborCurve, model3)
cvalue4 = capfloor.value(valuationDate, liborCurve, model4)
cvalue5 = capfloor.value(valuationDate, liborCurve, model5)
cvalue6 = capfloor.value(valuationDate, liborCurve, model6)
capFloorType = FinCapFloorTypes.FLOOR
capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k)
fvalue1 = capfloor.value(valuationDate, liborCurve, model1)
fvalue2 = capfloor.value(valuationDate, liborCurve, model2)
fvalue3 = capfloor.value(valuationDate, liborCurve, model3)
fvalue4 = capfloor.value(valuationDate, liborCurve, model4)
fvalue5 = capfloor.value(valuationDate, liborCurve, model5)
fvalue6 = capfloor.value(valuationDate, liborCurve, model6)
pcvalue1 = cvalue1 - fvalue1
pcvalue2 = cvalue2 - fvalue2
pcvalue3 = cvalue3 - fvalue3
pcvalue4 = cvalue4 - fvalue4
pcvalue5 = cvalue5 - fvalue5
pcvalue6 = cvalue6 - fvalue6
testCases.print("PUT_CALL", k, pcvalue1, pcvalue2, pcvalue3,
pcvalue4, pcvalue5, pcvalue6)
def testFinLiborSwaptionMatlabExamples():
# We value a European swaption using Black's model and try to replicate a
# ML example at https://fr.mathworks.com/help/fininst/swaptionbyblk.html
testCases.header("=======================================")
testCases.header("MATLAB EXAMPLE WITH FLAT TERM STRUCTURE")
testCases.header("=======================================")
valuationDate = FinDate(1, 1, 2010)
liborCurve = FinDiscountCurveFlat(valuationDate, 0.06,
FinFrequencyTypes.CONTINUOUS,
FinDayCountTypes.THIRTY_E_360)
settlementDate = FinDate(1, 1, 2011)
exerciseDate = FinDate(1, 1, 2016)
maturityDate = FinDate(1, 1, 2019)
fixedCoupon = 0.062
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
# Pricing a PAYER
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
model = FinModelBlack(0.20)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 2.071
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("===================================")
testCases.header("MATLAB EXAMPLE WITH TERM STRUCTURE")
testCases.header("===================================")
valuationDate = FinDate(1, 1, 2010)
dates = [
FinDate(1, 1, 2011),
FinDate(1, 1, 2012),
FinDate(1, 1, 2013),
FinDate(1, 1, 2014),
FinDate(1, 1, 2015)
]
zeroRates = [0.03, 0.034, 0.037, 0.039, 0.040]
contFreq = FinFrequencyTypes.CONTINUOUS
interpType = FinInterpTypes.LINEAR_ZERO_RATES
dayCountType = FinDayCountTypes.THIRTY_E_360
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = FinDate(1, 1, 2011)
exerciseDate = FinDate(1, 1, 2012)
maturityDate = FinDate(1, 1, 2017)
fixedCoupon = 0.03
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360
floatFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
floatDayCountType = FinDayCountTypes.THIRTY_E_360
notional = 1000.0
# Pricing a put
swaptionType = FinLiborSwapTypes.RECEIVER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional,
floatFrequencyType, floatDayCountType)
model = FinModelBlack(0.21)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 0.5771
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("===================================")
testCases.header("MATLAB EXAMPLE WITH SHIFTED BLACK")
testCases.header("===================================")
valuationDate = FinDate(1, 1, 2016)
dates = [
FinDate(1, 1, 2017),
FinDate(1, 1, 2018),
FinDate(1, 1, 2019),
FinDate(1, 1, 2020),
FinDate(1, 1, 2021)
]
zeroRates = np.array([-0.02, 0.024, 0.047, 0.090, 0.12]) / 100.0
contFreq = FinFrequencyTypes.ANNUAL
interpType = FinInterpTypes.LINEAR_ZERO_RATES
dayCountType = FinDayCountTypes.THIRTY_E_360
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = FinDate(1, 1, 2016)
exerciseDate = FinDate(1, 1, 2017)
maturityDate = FinDate(1, 1, 2020)
fixedCoupon = -0.003
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
floatFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
floatDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 1000.0
# Pricing a PAYER
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional,
floatFrequencyType, floatDayCountType)
model = FinModelBlackShifted(0.31, 0.008)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 12.8301
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("===================================")
testCases.header("MATLAB EXAMPLE WITH HULL WHITE")
testCases.header("===================================")
# https://fr.mathworks.com/help/fininst/swaptionbyhw.html
valuationDate = FinDate(1, 1, 2007)
dates = [
FinDate(1, 1, 2007),
FinDate(1, 7, 2007),
FinDate(1, 1, 2008),
FinDate(1, 7, 2008),
FinDate(1, 1, 2009),
FinDate(1, 7, 2009),
FinDate(1, 1, 2010),
FinDate(1, 7, 2010),
FinDate(1, 1, 2011),
FinDate(1, 7, 2011),
FinDate(1, 1, 2012)
]
zeroRates = np.array([0.075] * 11)
interpType = FinInterpTypes.FLAT_FORWARDS
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
contFreq = FinFrequencyTypes.SEMI_ANNUAL
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = valuationDate
exerciseDate = FinDate(1, 1, 2010)
maturityDate = FinDate(1, 1, 2012)
fixedCoupon = 0.04
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
swaptionType = FinLiborSwapTypes.RECEIVER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
model = FinModelRatesHW(0.05, 0.01)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 2.9201
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("====================================")
testCases.header("MATLAB EXAMPLE WITH BLACK KARASINSKI")
testCases.header("====================================")
# https://fr.mathworks.com/help/fininst/swaptionbybk.html
valuationDate = FinDate(1, 1, 2007)
dates = [
FinDate(1, 1, 2007),
FinDate(1, 7, 2007),
FinDate(1, 1, 2008),
FinDate(1, 7, 2008),
FinDate(1, 1, 2009),
FinDate(1, 7, 2009),
FinDate(1, 1, 2010),
FinDate(1, 7, 2010),
FinDate(1, 1, 2011),
FinDate(1, 7, 2011),
FinDate(1, 1, 2012)
]
zeroRates = np.array([0.07] * 11)
interpType = FinInterpTypes.FLAT_FORWARDS
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
contFreq = FinFrequencyTypes.SEMI_ANNUAL
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = valuationDate
exerciseDate = FinDate(1, 1, 2011)
maturityDate = FinDate(1, 1, 2012)
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
model = FinModelRatesBK(0.1, 0.05, 200)
fixedCoupon = 0.07
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 0.3634
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
fixedCoupon = 0.0725
swaptionType = FinLiborSwapTypes.RECEIVER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 0.4798
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("====================================")
testCases.header("MATLAB EXAMPLE WITH BLACK-DERMAN-TOY")
testCases.header("====================================")
# https://fr.mathworks.com/help/fininst/swaptionbybdt.html
valuationDate = FinDate(1, 1, 2007)
dates = [
FinDate(1, 1, 2007),
FinDate(1, 7, 2007),
FinDate(1, 1, 2008),
FinDate(1, 7, 2008),
FinDate(1, 1, 2009),
FinDate(1, 7, 2009),
FinDate(1, 1, 2010),
FinDate(1, 7, 2010),
FinDate(1, 1, 2011),
FinDate(1, 7, 2011),
FinDate(1, 1, 2012)
]
zeroRates = np.array([0.06] * 11)
interpType = FinInterpTypes.FLAT_FORWARDS
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
contFreq = FinFrequencyTypes.ANNUAL
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = valuationDate
exerciseDate = FinDate(1, 1, 2012)
maturityDate = FinDate(1, 1, 2015)
fixedFrequencyType = FinFrequencyTypes.ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
fixedCoupon = 0.062
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
model = FinModelRatesBDT(0.20, 200)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 2.0592
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
def testFinLiborSwaptionModels():
##########################################################################
# COMPARISON OF MODELS
##########################################################################
valuationDate = FinDate(2011, 1, 1)
liborCurve = test_FinLiborDepositsAndSwaps(valuationDate)
exerciseDate = FinDate(2012, 1, 1)
swapMaturityDate = FinDate(2017, 1, 1)
swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
swapFixedDayCountType = FinDayCountTypes.ACT_365F
strikes = np.linspace(0.02, 0.08, 10)
testCases.header("LAB", "STRIKE", "BLK", "BLK_SHFT", "SABR", "SABR_SHFT",
"HW", "BK")
model1 = FinModelBlack(0.00001)
model2 = FinModelBlackShifted(0.00001, 0.0)
model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5)
model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008)
model5 = FinModelRatesHW(0.00001, 0.00001)
model6 = FinModelRatesBK(0.01, 0.01)
settlementDate = valuationDate.addWorkDays(2)
for k in strikes:
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate,
swapMaturityDate, swaptionType, k,
swapFixedFrequencyType,
swapFixedDayCountType)
swap1 = swaption.value(valuationDate, liborCurve, model1)
swap2 = swaption.value(valuationDate, liborCurve, model2)
swap3 = swaption.value(valuationDate, liborCurve, model3)
swap4 = swaption.value(valuationDate, liborCurve, model4)
swap5 = swaption.value(valuationDate, liborCurve, model5)
swap6 = swaption.value(valuationDate, liborCurve, model6)
testCases.print("PAY", k, swap1, swap2, swap3, swap4, swap5, swap6)
testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR",
"SABR_SHFTD", "HW", "BK")
for k in strikes:
swaptionType = FinLiborSwapTypes.RECEIVER
swaption = FinLiborSwaption(settlementDate, exerciseDate,
swapMaturityDate, swaptionType, k,
swapFixedFrequencyType,
swapFixedDayCountType)
swap1 = swaption.value(valuationDate, liborCurve, model1)
swap2 = swaption.value(valuationDate, liborCurve, model2)
swap3 = swaption.value(valuationDate, liborCurve, model3)
swap4 = swaption.value(valuationDate, liborCurve, model4)
swap5 = swaption.value(valuationDate, liborCurve, model5)
swap6 = swaption.value(valuationDate, liborCurve, model6)
testCases.print("REC", k, swap1, swap2, swap3, swap4, swap5, swap6)
def test_FinLiborSwaptionQLExample():
# valuationDate = FinDate(28, 2, 2014)
settlementDate = FinDate(4, 3, 2014)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
depo = FinLiborDeposit(settlementDate, "1W", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "1M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "3M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "6M", 0.0023, depoDCCType)
depos.append(depo)
# No convexity correction provided so I omit interest rate futures
swaps = []
accType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapType = FinLiborSwapTypes.PAYER
swap = FinLiborSwap(settlementDate, "3Y", swapType, 0.00790, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "4Y", swapType, 0.01200, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "5Y", swapType, 0.01570, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "6Y", swapType, 0.01865, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "7Y", swapType, 0.02160, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "8Y", swapType, 0.02350, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "9Y", swapType, 0.02540, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "10Y", swapType, 0.0273, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "15Y", swapType, 0.0297, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "20Y", swapType, 0.0316, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "25Y", swapType, 0.0335, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "30Y", swapType, 0.0354, fixedFreqType,
accType)
swaps.append(swap)
liborCurve = FinLiborCurve(settlementDate, depos, [], swaps,
FinInterpTypes.LINEAR_ZERO_RATES)
exerciseDate = settlementDate.addTenor("5Y")
swapMaturityDate = exerciseDate.addTenor("5Y")
swapFixedCoupon = 0.040852
swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
swapFixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
swapFloatFrequencyType = FinFrequencyTypes.QUARTERLY
swapFloatDayCountType = FinDayCountTypes.ACT_360
swapNotional = 1000000
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate,
swaptionType, swapFixedCoupon,
swapFixedFrequencyType, swapFixedDayCountType,
swapNotional, swapFloatFrequencyType,
swapFloatDayCountType)
testCases.header("MODEL", "VALUE")
model = FinModelBlack(0.1533)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelBlackShifted(0.1533, -0.008)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelSABR(0.132, 0.5, 0.5, 0.5)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelSABRShifted(0.352, 0.5, 0.15, 0.15, -0.005)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelRatesHW(0.010000000, 0.00000000001)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
