Esempio n. 1
0
def test_bloombergPricingExample(interpType):
    ''' This is an example of a replication of a BBG example from
    https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx

    '''
    valuationDate = FinDate(6, 6, 2018)

    # We do the O/N rate which settles on trade date
    spotDays = 0
    settlementDate = valuationDate.addWeekDays(spotDays)
    depoDCCType = FinDayCountTypes.ACT_360
    depos = []
    depositRate = 0.0231381
    maturityDate = settlementDate.addMonths(3)
    depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
                          depoDCCType)
    depos.append(depo)

    futs = []
    fut = FinIborFuture(valuationDate, 1)
    futs.append(fut)
    fut = FinIborFuture(valuationDate, 2)
    futs.append(fut)
    fut = FinIborFuture(valuationDate, 3)
    futs.append(fut)
    fut = FinIborFuture(valuationDate, 4)
    futs.append(fut)
    fut = FinIborFuture(valuationDate, 5)
    futs.append(fut)
    fut = FinIborFuture(valuationDate, 6)
    futs.append(fut)

    fras = [None] * 6
    fras[0] = futs[0].toFRA(97.6675, -0.00005)
    fras[1] = futs[1].toFRA(97.5200, -0.00060)
    fras[2] = futs[2].toFRA(97.3550, -0.00146)
    fras[3] = futs[3].toFRA(97.2450, -0.00263)
    fras[4] = futs[4].toFRA(97.1450, -0.00411)
    fras[5] = futs[5].toFRA(97.0750, -0.00589)

    accrual = FinDayCountTypes.THIRTY_E_360
    freq = FinFrequencyTypes.SEMI_ANNUAL

    spotDays = 2
    settlementDate = valuationDate.addWeekDays(spotDays)
    notional = ONE_MILLION
    fixedLegType = FinSwapTypes.PAY

    swaps = []
    swap = FinIborSwap(settlementDate, "2Y", fixedLegType,
                       (2.77417 + 2.77844) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "3Y", fixedLegType,
                       (2.86098 + 2.86582) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "4Y", fixedLegType,
                       (2.90240 + 2.90620) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "5Y", fixedLegType,
                       (2.92944 + 2.92906) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "6Y", fixedLegType,
                       (2.94001 + 2.94499) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "7Y", fixedLegType,
                       (2.95352 + 2.95998) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "8Y", fixedLegType,
                       (2.96830 + 2.97400) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "9Y", fixedLegType,
                       (2.98403 + 2.98817) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "10Y", fixedLegType,
                       (2.99716 + 3.00394) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "11Y", fixedLegType,
                       (3.01344 + 3.01596) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "12Y", fixedLegType,
                       (3.02276 + 3.02684) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "15Y", fixedLegType,
                       (3.04092 + 3.04508) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "20Y", fixedLegType,
                       (3.04417 + 3.05183) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "25Y", fixedLegType,
                       (3.03219 + 3.03621) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "30Y", fixedLegType,
                       (3.01030 + 3.01370) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "40Y", fixedLegType,
                       (2.96946 + 2.97354) / 200, freq, accrual)
    swaps.append(swap)
    swap = FinIborSwap(settlementDate, "50Y", fixedLegType,
                       (2.91552 + 2.93748) / 200, freq, accrual)
    swaps.append(swap)

    liborCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps,
                                    interpType)

    # The valuation of 53714.55 is very close to the spreadsheet value 53713.96
    principal = 0.0

    # Pay fixed so make fixed leg value negative
    testCases.header("VALUATION TO TODAY DATE", " PV")
    testCases.print(
        "VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None))
    testCases.print("FIXED:",
                    -swaps[0]._fixedLeg.value(valuationDate, liborCurve))
    testCases.print(
        "FLOAT:", swaps[0]._floatLeg.value(valuationDate, liborCurve,
                                           liborCurve, None))

    # Pay fixed so make fixed leg value negative
    testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
    testCases.print(
        "VALUE:", swaps[0].value(settlementDate, liborCurve, liborCurve, None))
    testCases.print("FIXED:",
                    -swaps[0]._fixedLeg.value(settlementDate, liborCurve))
    testCases.print(
        "FLOAT:", swaps[0]._floatLeg.value(settlementDate, liborCurve,
                                           liborCurve, None))

    # swaps[0].printFixedLegPV()
    # swaps[0].printFloatLegPV()

    if 1 == 0:
        plt.figure()

        years = np.linspace(0, 50, 500)
        dates = settlementDate.addYears(years)
        fwds = liborCurve.fwd(dates)
        plt.plot(years, fwds, label="Fwd Rate")
        plt.title(interpType)
        plt.xlabel("Years")
        plt.legend()

        years = np.linspace(0, 50, 500)
        dates = settlementDate.addYears(years)
        fwds = liborCurve.zeroRate(dates)
        plt.plot(years, fwds, label="Zero Rate")
        plt.title(interpType)
        plt.xlabel("Years")
        plt.ylabel("Rate")
        plt.legend()
Esempio n. 2
0
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.UNITED_STATES
    busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING

    swapRate = 0.02776305

    swap = FinIborSwap(startDate, "2Y", fixedLegType, swapRate, fixedFreqType,
                       fixedDCCType, notional, floatSpread, floatFreqType,
                       floatDCCType, calendarType, busDayAdjustRule)

    swaps.append(swap)

    liborCurve = FinIborSingleCurve(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)