def test_CDSFastApproximation(): valuation_date = Date(20, 6, 2018) # I build a discount curve that requires no bootstrap times = np.linspace(0, 10.0, 11) r = 0.05 discount_factors = np.power((1.0 + r), -times) dates = valuation_date.addYears(times) libor_curve = DiscountCurve(valuation_date, dates, discount_factors, FinInterpTypes.FLAT_FWD_RATES) ########################################################################## maturity_date = valuation_date.nextCDSDate(120) t = (maturity_date - valuation_date) / 365.242 z = libor_curve.df(maturity_date) r = -np.log(z) / t recovery_rate = 0.40 contractCoupon = 0.010 testCases.header("MKT_SPD", "EXACT_VALUE", "APPROX_VALUE", "DIFF(%NOT)") for mktCoupon in np.linspace(0.000, 0.05, 21): cds_contracts = [] cdsMkt = FinCDS(valuation_date, maturity_date, mktCoupon, ONE_MILLION) cds_contracts.append(cdsMkt) issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve, recovery_rate) cds_contract = FinCDS(valuation_date, maturity_date, contractCoupon) v_exact = cds_contract.value(valuation_date, issuer_curve, recovery_rate)['full_pv'] v_approx = cds_contract.valueFastApprox(valuation_date, r, mktCoupon, recovery_rate)[0] pctdiff = (v_exact - v_approx) / ONE_MILLION * 100.0 testCases.print(mktCoupon * 10000, v_exact, v_approx, pctdiff)
def test_full_priceCDSModelCheck(): testCases.print("Example", "MARKIT CHECK 19 Aug 2020") libor_curve, issuer_curve = buildFullIssuerCurve2(0.0, 0.0) # This is the 10 year contract at an off market coupon maturity_date = Date(20, 6, 2025) cdsCoupon = 0.050 notional = ONE_MILLION long_protection = True tradeDate = Date(20, 8, 2020) effective_date = Date(21, 8, 2020) valuation_date = tradeDate cds_contract = FinCDS(effective_date, maturity_date, cdsCoupon, notional, long_protection) cdsRecovery = 0.40 testCases.header("LABEL", "VALUE") spd = cds_contract.parSpread(valuation_date, issuer_curve, cdsRecovery) * 10000.0 testCases.print("PAR_SPREAD", spd) v = cds_contract.value(valuation_date, issuer_curve, cdsRecovery) testCases.print("FULL_VALUE", v['full_pv']) testCases.print("CLEAN_VALUE", v['clean_pv']) p = cds_contract.clean_price(valuation_date, issuer_curve, cdsRecovery) testCases.print("CLEAN_PRICE", p) accrued_days = cds_contract.accrued_days() testCases.print("ACCRUED_DAYS", accrued_days) accruedInterest = cds_contract.accruedInterest() testCases.print("ACCRUED_COUPON", accruedInterest) prot_pv = cds_contract.protectionLegPV(valuation_date, issuer_curve, cdsRecovery) testCases.print("PROTECTION_PV", prot_pv) premPV = cds_contract.premiumLegPV(valuation_date, issuer_curve, cdsRecovery) testCases.print("PREMIUM_PV", premPV) rpv01 = cds_contract.riskyPV01(valuation_date, issuer_curve) testCases.print("FULL_RPV01", rpv01['full_rpv01']) testCases.print("CLEAN_RPV01", rpv01['clean_rpv01']) creditDV01 = cds_contract.creditDV01(valuation_date, issuer_curve, cdsRecovery) testCases.print("CREDIT DV01", creditDV01) interestDV01 = cds_contract.interestDV01(valuation_date, issuer_curve, cdsRecovery) testCases.print("INTEREST DV01", interestDV01) # Consider fast approximation t = (maturity_date - valuation_date) / gDaysInYear z = libor_curve.df(maturity_date) r = -np.log(z) / t mktSpread = 0.01 v_approx = cds_contract.valueFastApprox(valuation_date, r, mktSpread, cdsRecovery) testCases.header("FAST VALUATIONS", "VALUE") testCases.print("FULL APPROX VALUE", v_approx[0]) testCases.print("CLEAN APPROX VALUE", v_approx[1]) testCases.print("APPROX CREDIT DV01", v_approx[2]) testCases.print("APPROX INTEREST DV01", v_approx[3])
def test_full_priceCDS1(): mktSpread = 0.040 testCases.header("Example", "Markit 9 Aug 2019") libor_curve, issuer_curve = buildFullIssuerCurve1(0.0, 0.0) # This is the 10 year contract at an off market coupon maturity_date = Date(20, 6, 2029) cdsCoupon = 0.0150 notional = ONE_MILLION long_protection = True tradeDate = Date(9, 8, 2019) valuation_date = tradeDate.addDays(1) effective_date = valuation_date cds_contract = FinCDS(effective_date, maturity_date, cdsCoupon, notional, long_protection) cdsRecovery = 0.40 testCases.header("LABEL", "VALUE") spd = cds_contract.parSpread(valuation_date, issuer_curve, cdsRecovery) * 10000.0 testCases.print("PAR_SPREAD", spd) v = cds_contract.value(valuation_date, issuer_curve, cdsRecovery) testCases.print("FULL_VALUE", v['full_pv']) testCases.print("CLEAN_VALUE", v['clean_pv']) p = cds_contract.clean_price(valuation_date, issuer_curve, cdsRecovery) testCases.print("CLEAN_PRICE", p) # MARKIT PRICE IS 168517 accrued_days = cds_contract.accrued_days() testCases.print("ACCRUED_DAYS", accrued_days) accruedInterest = cds_contract.accruedInterest() testCases.print("ACCRUED_COUPON", accruedInterest) prot_pv = cds_contract.protectionLegPV(valuation_date, issuer_curve, cdsRecovery) testCases.print("PROTECTION_PV", prot_pv) premPV = cds_contract.premiumLegPV(valuation_date, issuer_curve, cdsRecovery) testCases.print("PREMIUM_PV", premPV) fullRPV01, cleanRPV01 = cds_contract.riskyPV01(valuation_date, issuer_curve) testCases.print("FULL_RPV01", fullRPV01) testCases.print("CLEAN_RPV01", cleanRPV01) # cds_contract.printFlows(issuer_curve) bump = 1.0 / 10000.0 # 1 bp libor_curve, issuer_curve = buildFullIssuerCurve1(bump, 0) v_bump = cds_contract.value(valuation_date, issuer_curve, cdsRecovery) dv = v_bump['full_pv'] - v['full_pv'] testCases.print("CREDIT_DV01", dv) # Interest Rate Bump libor_curve, issuer_curve = buildFullIssuerCurve1(0, bump) v_bump = cds_contract.value(valuation_date, issuer_curve, cdsRecovery) dv = v_bump['full_pv'] - v['full_pv'] testCases.print("INTEREST_DV01", dv) t = (maturity_date - valuation_date) / gDaysInYear z = libor_curve.df(maturity_date) r = -np.log(z) / t v_approx = cds_contract.valueFastApprox(valuation_date, r, mktSpread, cdsRecovery) testCases.print("FULL APPROX VALUE", v_approx[0]) testCases.print("CLEAN APPROX VALUE", v_approx[1]) testCases.print("APPROX CREDIT DV01", v_approx[2]) testCases.print("APPROX INTEREST DV01", v_approx[3])