def test_bloombergPricingExample(interp_type):
""" 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
"""
valuation_date = Date(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
maturity_date = settlement_date.addMonths(3)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuation_date, 1)
futs.append(fut)
fut = FinIborFuture(valuation_date, 2)
futs.append(fut)
fut = FinIborFuture(valuation_date, 3)
futs.append(fut)
fut = FinIborFuture(valuation_date, 4)
futs.append(fut)
fut = FinIborFuture(valuation_date, 5)
futs.append(fut)
fut = FinIborFuture(valuation_date, 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 = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlement_date = valuation_date.addWeekDays(spotDays)
notional = ONE_MILLION
fixed_legType = FinSwapTypes.PAY
swaps = []
swap = FinIborSwap(settlement_date, "2Y", fixed_legType,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "3Y", fixed_legType,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "4Y", fixed_legType,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "5Y", fixed_legType,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "6Y", fixed_legType,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "7Y", fixed_legType,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "8Y", fixed_legType,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "9Y", fixed_legType,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "10Y", fixed_legType,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "11Y", fixed_legType,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "12Y", fixed_legType,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "15Y", fixed_legType,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "20Y", fixed_legType,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "25Y", fixed_legType,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "30Y", fixed_legType,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "40Y", fixed_legType,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlement_date, "50Y", fixed_legType,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps,
interp_type)
# 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(valuation_date, libor_curve, libor_curve,
None))
testCases.print("FIXED:",
-swaps[0]._fixed_leg.value(valuation_date, libor_curve))
testCases.print(
"FLOAT:", swaps[0]._floatLeg.value(valuation_date, libor_curve,
libor_curve, None))
# Pay fixed so make fixed leg value negative
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlement_date, libor_curve, libor_curve,
None))
testCases.print("FIXED:",
-swaps[0]._fixed_leg.value(settlement_date, libor_curve))
testCases.print(
"FLOAT:", swaps[0]._floatLeg.value(settlement_date, libor_curve,
libor_curve, None))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
if 1 == 0:
plt.figure()
years = np.linspace(0, 50, 500)
dates = settlement_date.addYears(years)
fwds = libor_curve.fwd(dates)
plt.plot(years, fwds, label="Fwd Rate")
plt.title(interp_type)
plt.xlabel("Years")
plt.legend()
years = np.linspace(0, 50, 500)
dates = settlement_date.addYears(years)
fwds = libor_curve.zeroRate(dates)
plt.plot(years, fwds, label="Zero Rate")
plt.title(interp_type)
plt.xlabel("Years")
plt.ylabel("Rate")
plt.legend()
def test_FinIborDepositsFuturesSwaps():
spotDate = Date(6, 6, 2018)
spotDays = 0
settlement_date = spotDate.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
depo = FinIborDeposit(settlement_date, "3M", deposit_rate, depoDCCType)
depos.append(depo)
deposit_rate = 0.027
depo = FinIborDeposit(settlement_date, "3M", deposit_rate, depoDCCType)
depos.append(depo)
depos = []
depo = FinIborDeposit(settlement_date, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlement_date, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlement_date, "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
start_date = spotDate.addWeekDays(spotDays)
swaps = []
fixed_legType = FinSwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_E_360
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
floatFreqType = FrequencyTypes.QUARTERLY
notional = 1000000
principal = 0.0
floatSpread = 0.0
floatDCCType = DayCountTypes.ACT_360
calendar_type = CalendarTypes.UNITED_STATES
busDayAdjustRule = BusDayAdjustTypes.PRECEDING
swap_rate = 0.02776305
swap = FinIborSwap(start_date, "2Y", fixed_legType, swap_rate,
fixedFreqType, fixedDCCType, notional, floatSpread,
floatFreqType, floatDCCType, calendar_type,
busDayAdjustRule)
swaps.append(swap)
libor_curve = IborSingleCurve(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 = settlement_date
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 depo in depos:
end_date = depo._maturity_date
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)