def test_FinIborFRAsOnly():
# TO DO FIX THIS
valuation_date = Date(23, 2, 2018)
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
notional = 100.0
payFixed = True
calendar_type = CalendarTypes.TARGET
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlement_date.addMonths(1)
fraMaturityDate = settlement_date.addMonths(4)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendar_type)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.08
fraSettlementDate = settlement_date.addMonths(4)
fraMaturityDate = settlement_date.addMonths(7)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendar_type)
fras.append(fra)
depos = []
swaps = []
libor_curve = FinIborSingleCurveOLD(valuation_date,
depos,
fras,
swaps)
testCases.header("DATE", "MATDATE", "VALUE")
""" Check calibration """
for fra in fras:
v = fra.value(settlement_date, libor_curve)
testCases.print("FRA:", fra._maturity_date, v)
def test_FinOISFRAsOnly():
# TO DO FIX THIS
valuationDate = FinDate(23, 2, 2018)
spotDays = 0
settleDt = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
payFixed = True
calendarType = FinCalendarTypes.TARGET
fras = []
# 1 x 4 FRA
fraRate = 0.04
frasettleDt = settleDt.addMonths(1)
fraMaturityDate = settleDt.addMonths(4)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendarType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.08
frasettleDt = settleDt.addMonths(4)
fraMaturityDate = settleDt.addMonths(7)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendarType)
fras.append(fra)
swaps = []
liborCurve = FinOISCurve(settleDt,
fras,
swaps)
testCases.header("DATE", "MATDATE", "VALUE")
''' Check calibration '''
for fra in fras:
v = fra.value(settleDt, liborCurve)
testCases.print("FRA:", fra._maturityDate, v)
def test_FinOISDepositsFRAsSwaps():
valuation_date = Date(18, 9, 2019)
dccType = DayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settleDt = valuation_date.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
notional = 100.0
calendar_type = CalendarTypes.TARGET
depos = []
# 1 month
deposit_rate = 0.04
maturity_date = settleDt.addMonths(1)
depo = FinIborDeposit(settleDt, maturity_date, deposit_rate,
depoDCCType, notional, calendar_type)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
frasettleDt = settleDt.addMonths(9)
fraMaturityDate = settleDt.addMonths(13)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
frasettleDt = settleDt.addMonths(13)
fraMaturityDate = settleDt.addMonths(17)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
frasettleDt = settleDt.addMonths(17)
fraMaturityDate = settleDt.addMonths(21)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
swap_rate = 0.05
# maturity_date = settleDt.addMonths(24)
# swap = FinIborSwap(settleDt, maturity_date, swap_rate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixed_legType = Finfixed_legTypes.PAY
maturity_date = settleDt.addMonths(36)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(48)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(60)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(72)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(84)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(96)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(108)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(120)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(132)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(144)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(180)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(240)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(300)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.addMonths(360)
swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
libor_curve = OISCurve(valuation_date,
depos,
fras,
swaps)
df = libor_curve.df(settleDt)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settleDt), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = libor_curve.df(deposit._maturity_date)
testCases.print(str(deposit._maturity_date), df)
for swap in swaps:
df = libor_curve.df(swap._maturity_date)
testCases.print(str(swap._maturity_date), df)
def test_FinOISDepositsFuturesSwaps():
spotDate = Date(6, 6, 2018)
spotDays = 0
settleDt = spotDate.addWeekDays(spotDays)
depoDCCType = DayCountTypes.THIRTY_E_360_ISDA
depo = FinIborDeposit(settleDt, "1D", 1.712/100.0, depoDCCType)
depos = [depo]
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
frasettleDt = spotDate.nextIMMDate()
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
frasettleDt = frasettleDt.nextIMMDate()
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
start_date = spotDate.addWeekDays(spotDays)
swaps = []
fixed_legType = FinSwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_E_360
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
floatFreqType = FrequencyTypes.QUARTERLY
notional = 1000000
floatSpread = 0.0
floatDCCType = DayCountTypes.ACT_360
calendar_type = CalendarTypes.US
busDayAdjustRule = BusDayAdjustTypes.PRECEDING
swap_rate = 0.02776305
payment_lag = 1
swap = FinOIS(start_date, "2Y", fixed_legType,
swap_rate, fixedFreqType, fixedDCCType, notional,
payment_lag, floatSpread, floatFreqType, floatDCCType,
calendar_type, busDayAdjustRule)
swaps.append(swap)
libor_curve = OISCurve(spotDate, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spotDate.addYears(times)
zeroRates = libor_curve.zeroRate(dates)
fwd_rates = libor_curve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zeroRates*100, label="zero rates")
plt.plot(times, fwd_rates*100, label="fwd rates")
plt.xlabel("Times")
plt.ylabel("CC forward rates")
plt.legend()
print("==============================================================")
for fra in fras:
print(fra)
print("==============================================================")
end_date = spotDate
df = libor_curve.df(end_date)
print(end_date, df)
end_date = settleDt
df = libor_curve.df(end_date)
print(end_date, df)
end_date = Date(20, 6, 2018)
df = libor_curve.df(end_date)
print(end_date, df)
for fra in fras:
end_date = fra._maturity_date
df = libor_curve.df(end_date)
print(end_date, df)
for swap in swaps:
end_date = swap._maturity_date
df = libor_curve.df(end_date)
print(end_date, df)
swap.printFixedLegPV(spotDate)
swap.printFloatLegPV(spotDate)
def test_FinIborDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settlementDate = spotDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depositRate = 0.027
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depos = []
depo = FinIborDeposit(settlementDate, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "3M", 0.0240, depoDCCType)
depos.append(depo)
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
fraSettlementDate = spotDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
fraSettlementDate = fraSettlementDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
startDate = spotDate.addWeekDays(spotDays)
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.THIRTY_E_360
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
floatFreqType = FinFrequencyTypes.QUARTERLY
notional = 1000000
principal = 0.0
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
calendarType = FinCalendarTypes.US
busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING
swapRate = 0.02776305
swap = FinIborSwapOLD(startDate, "2Y", fixedLegType, swapRate,
fixedFreqType, fixedDCCType, notional, floatSpread,
floatFreqType, floatDCCType, calendarType,
busDayAdjustRule)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(spotDate, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spotDate.addYears(times)
zeroRates = liborCurve.zeroRate(dates)
fwdRates = liborCurve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zeroRates * 100, label="zero rates")
plt.plot(times, fwdRates * 100, label="fwd rates")
plt.xlabel("Times")
plt.ylabel("CC forward rates")
plt.legend()
print("==============================================================")
for fra in fras:
print(fra)
print("==============================================================")
endDate = spotDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = settlementDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = FinDate(20, 6, 2018)
df = liborCurve.df(endDate)
print(endDate, df)
for depo in depos:
endDate = depo._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
for fra in fras:
endDate = fra._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
for swap in swaps:
endDate = swap._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
swap.printFixedLegPV(spotDate)
swap.printFloatLegPV(spotDate)
def test_FinIborDepositsFRAsSwaps():
valuationDate = FinDate(18, 9, 2019)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(9)
fraMaturityDate = settlementDate.addMonths(13)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlementDate.addMonths(13)
fraMaturityDate = settlementDate.addMonths(17)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlementDate.addMonths(17)
fraMaturityDate = settlementDate.addMonths(21)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settlementDate.addMonths(24)
# swap = FinIborSwapOLD(settlementDate, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixedLegType = FinSwapTypes.PAY
maturityDate = settlementDate.addMonths(36)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(valuationDate, 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(swap._maturityDate)
testCases.print(str(swap._maturityDate), df)
def buildIborSingleCurve(valuationDate):
settlementDate = valuationDate.addDays(2)
dcType = FinDayCountTypes.ACT_360
depos = []
fras = []
swaps = []
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(valuationDate, maturityDate, -0.00251, dcType)
depos.append(depo1)
# Series of 1M futures
startDate = settlementDate.nextIMMDate()
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.0023, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00234, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00225, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00226, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00219, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00213, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00186, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00189, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00175, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00143, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00126, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00126, dcType)
fras.append(fra)
###########################################################################
###########################################################################
###########################################################################
###########################################################################
fixedFreq = FinFrequencyTypes.ANNUAL
dcType = FinDayCountTypes.THIRTY_E_360
fixedLegType = FinSwapTypes.PAY
#######################################
maturityDate = settlementDate.addMonths(24)
swapRate = -0.001506
swap1 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap1)
#######################################
maturityDate = settlementDate.addMonths(36)
swapRate = -0.000185
swap2 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap2)
#######################################
maturityDate = settlementDate.addMonths(48)
swapRate = 0.001358
swap3 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap3)
#######################################
maturityDate = settlementDate.addMonths(60)
swapRate = 0.0027652
swap4 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap4)
#######################################
maturityDate = settlementDate.addMonths(72)
swapRate = 0.0041539
swap5 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap5)
#######################################
maturityDate = settlementDate.addMonths(84)
swapRate = 0.0054604
swap6 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap6)
#######################################
maturityDate = settlementDate.addMonths(96)
swapRate = 0.006674
swap7 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap7)
#######################################
maturityDate = settlementDate.addMonths(108)
swapRate = 0.007826
swap8 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap8)
#######################################
maturityDate = settlementDate.addMonths(120)
swapRate = 0.008821
swap9 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap9)
#######################################
maturityDate = settlementDate.addMonths(132)
swapRate = 0.0097379
swap10 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap10)
#######################################
maturityDate = settlementDate.addMonths(144)
swapRate = 0.0105406
swap11 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap11)
#######################################
maturityDate = settlementDate.addMonths(180)
swapRate = 0.0123927
swap12 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap12)
#######################################
maturityDate = settlementDate.addMonths(240)
swapRate = 0.0139882
swap13 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap13)
#######################################
maturityDate = settlementDate.addMonths(300)
swapRate = 0.0144972
swap14 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap14)
#######################################
maturityDate = settlementDate.addMonths(360)
swapRate = 0.0146081
swap15 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap15)
#######################################
maturityDate = settlementDate.addMonths(420)
swapRate = 0.01461897
swap16 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap16)
#######################################
maturityDate = settlementDate.addMonths(480)
swapRate = 0.014567455
swap17 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap17)
#######################################
maturityDate = settlementDate.addMonths(540)
swapRate = 0.0140826
swap18 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap18)
#######################################
maturityDate = settlementDate.addMonths(600)
swapRate = 0.01436822
swap19 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap19)
########################################
liborCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps)
testCases.header("LABEL", "DATE", "VALUE")
''' Check calibration '''
for depo in depos:
v = depo.value(settlementDate, liborCurve)
testCases.print("DEPO VALUE:", depo._maturityDate, v)
for fra in fras:
v = fra.value(settlementDate, liborCurve)
testCases.print("FRA VALUE:", fra._maturityDate, v)
for swap in swaps:
v = swap.value(settlementDate, liborCurve)
testCases.print("SWAP VALUE:", swap._maturityDate, v)
return liborCurve
def test_swapValuationExample():
# Example from
# https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve
vBloomberg = 388147
valuation_date = Date(30, 11, 2018)
start_date = Date(27, 12, 2017)
maturity_date = Date(27, 12, 2067)
notional = 10 * ONE_MILLION
fixed_legType = FinSwapTypes.RECEIVE
fixedRate = 0.0150
fixedDCCType = DayCountTypes.THIRTY_360_BOND
fixedFreqType = FrequencyTypes.ANNUAL
floatSpread = 0.0
floatDCCType = DayCountTypes.ACT_360
floatFreqType = FrequencyTypes.SEMI_ANNUAL
offMarketSwap = FinIborSwap(start_date, maturity_date, fixed_legType,
fixedRate, fixedFreqType, fixedDCCType,
notional, floatSpread, floatFreqType,
floatDCCType)
interp_type = FinInterpTypes.LINEAR_ZERO_RATES
depoDCCType = DayCountTypes.ACT_360
depos = []
###########################################################################
# MARKET
###########################################################################
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depo = FinIborDeposit(settlement_date, "6M", -0.2510 / 100.0, depoDCCType)
depos.append(depo)
fras = []
fraDCCType = DayCountTypes.ACT_360
fra = FinIborFRA(settlement_date.addTenor("1M"), "6M", -0.2450 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("2M"), "6M", -0.2435 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("3M"), "6M", -0.2400 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("4M"), "6M", -0.2360 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("5M"), "6M", -0.2285 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("6M"), "6M", -0.2230 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("7M"), "6M", -0.2110 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("8M"), "6M", -0.1990 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("9M"), "6M", -0.1850 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("10M"), "6M", -0.1680 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("11M"), "6M", -0.1510 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlement_date.addTenor("12M"), "6M", -0.1360 / 100.0,
fraDCCType)
fras.append(fra)
swaps = []
fixed_legType = FinSwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_360_BOND
fixedFreqType = FrequencyTypes.ANNUAL
swap = FinIborSwap(settlement_date, "2Y", fixed_legType, -0.1525 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "3Y", fixed_legType, -0.0185 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "4Y", fixed_legType, 0.1315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "5Y", fixed_legType, 0.2745 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "6Y", fixed_legType, 0.4135 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "7Y", fixed_legType, 0.5439 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "8Y", fixed_legType, 0.6652 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "9Y", fixed_legType, 0.7784 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "10Y", fixed_legType, 0.8799 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "11Y", fixed_legType, 0.9715 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "12Y", fixed_legType, 1.0517 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "15Y", fixed_legType, 1.2369 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "20Y", fixed_legType, 1.3965 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "25Y", fixed_legType, 1.4472 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "30Y", fixed_legType, 1.4585 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "35Y", fixed_legType, 1.4595 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "40Y", fixed_legType, 1.4535 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "45Y", fixed_legType, 1.4410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "50Y", fixed_legType, 1.4335 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
iborDepos = depos.copy()
iborFras = fras.copy()
iborSwaps = swaps.copy()
iborCurve = IborSingleCurve(valuation_date, iborDepos, iborFras, iborSwaps,
interp_type)
v1 = offMarketSwap.value(valuation_date, iborCurve, iborCurve,
-0.268 / 100.0)
testCases.banner("DERISCOPE EXAMPLE REPLICATION")
testCases.header("LABEL", "VALUE")
testCases.print("BBG VALUE", vBloomberg)
testCases.print("FP ONE CURVE VALUE", v1)
###############################################################################
depoDCCType = DayCountTypes.ACT_360
depos = []
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depo = FinIborDeposit(settlement_date, "1D", -0.3490 / 100.0, depoDCCType)
depos.append(depo)
fras = []
swaps = []
fixed_legType = FinSwapTypes.PAY
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.ANNUAL
# Standard OIS with standard annual terms
swap = FinOIS(settlement_date, "2W", fixed_legType, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "1M", fixed_legType, -0.3560 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "2M", fixed_legType, -0.3570 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "3M", fixed_legType, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "4M", fixed_legType, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "5M", fixed_legType, -0.3578 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "6M", fixed_legType, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "7M", fixed_legType, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "8M", fixed_legType, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "9M", fixed_legType, -0.3569 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "10M", fixed_legType, -0.3553 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "11M", fixed_legType, -0.3534 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "12M", fixed_legType, -0.3496 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "18M", fixed_legType, -0.3173 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "2Y", fixed_legType, -0.2671 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "30M", fixed_legType, -0.2070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "3Y", fixed_legType, -0.1410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "4Y", fixed_legType, -0.0060 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "5Y", fixed_legType, 0.1285 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "6Y", fixed_legType, 0.2590 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "7Y", fixed_legType, 0.3830 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "8Y", fixed_legType, 0.5020 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "9Y", fixed_legType, 0.6140 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "10Y", fixed_legType, 0.7160 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "11Y", fixed_legType, 0.8070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "12Y", fixed_legType, 0.8890 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "15Y", fixed_legType, 1.0790 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "20Y", fixed_legType, 1.2460 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "25Y", fixed_legType, 1.3055 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "30Y", fixed_legType, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "35Y", fixed_legType, 1.3315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "40Y", fixed_legType, 1.3300 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlement_date, "50Y", fixed_legType, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
oisDepos = depos.copy()
oisFras = fras.copy()
oisSwaps = swaps.copy()
# oisCurveFF = FinOISCurve(valuation_date, oisDepos, oisFras, oisSwaps, interp_type)
iborDualCurve = IborDualCurve(valuation_date, oisCurveFF, iborDepos,
iborFras, iborSwaps, interp_type)
