def test_FinFixedOIS():
# Here I follow the example in
# https://blog.deriscope.com/index.php/en/excel-quantlib-overnight-index-swap
effectiveDate = FinDate(30, 11, 2018)
endDate = FinDate(30, 11, 2023)
endDate = effectiveDate.addMonths(60)
oisRate = 0.04
fixedLegType = FinSwapTypes.PAY
fixedFreqType = FinFrequencyTypes.ANNUAL
fixedDayCount = FinDayCountTypes.ACT_360
floatFreqType = FinFrequencyTypes.ANNUAL
floatDayCount = FinDayCountTypes.ACT_360
floatSpread = 0.0
notional = ONE_MILLION
paymentLag = 1
ois = FinOIS(effectiveDate, endDate, fixedLegType, oisRate, fixedFreqType,
fixedDayCount, notional, paymentLag, floatSpread,
floatFreqType, floatDayCount)
# print(ois)
valueDate = effectiveDate
marketRate = 0.05
oisCurve = FinDiscountCurveFlat(valueDate, marketRate,
FinFrequencyTypes.ANNUAL)
v = ois.value(effectiveDate, oisCurve)
# print(v)
# ois._fixedLeg.printValuation()
# ois._floatLeg.printValuation()
testCases.header("LABEL", "VALUE")
testCases.print("SWAP_VALUE", 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_bloombergPricingExample():
""" 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
settleDt = valuation_date.addWeekDays(spotDays)
accrual = DayCountTypes.THIRTY_E_360
depo = FinIborDeposit(settleDt, "1D", 1.712/100.0, accrual)
depos = [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
settleDt = valuation_date.addWeekDays(spotDays)
payRec = FinSwapTypes.PAY
lag = 1 # Not used
swaps = []
swap = FinOIS(settleDt, "2Y", payRec, (2.77417+2.77844)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "3Y", payRec, (2.86098+2.86582)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "4Y", payRec, (2.90240+2.90620)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "5Y", payRec, (2.92944+2.92906)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "6Y", payRec, (2.94001+2.94499)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "7Y", payRec, (2.95352+2.95998)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "8Y", payRec, (2.96830+2.97400)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "9Y", payRec, (2.98403+2.98817)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "10Y", payRec, (2.99716+3.00394)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "11Y", payRec, (3.01344+3.01596)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "12Y", payRec, (3.02276+3.02684)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "15Y", payRec, (3.04092+3.04508)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "20Y", payRec, (3.04417+3.05183)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "25Y", payRec, (3.03219+3.03621)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "30Y", payRec, (3.01030+3.01370)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "40Y", payRec, (2.96946+2.97354)/200, freq, accrual); swaps.append(swap)
swap = FinOIS(settleDt, "50Y", payRec, (2.91552+2.93748)/200, freq, accrual); swaps.append(swap)
oisCurve = OISCurve(valuation_date, depos, fras, swaps)
# swaps[0]._fixed_leg.printValuation()
# swaps[0]._floatLeg.printValuation()
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE"," PV")
testCases.print("VALUE:", swaps[0].value(valuation_date, oisCurve, None))
testCases.print("FIXED:", -swaps[0]._fixed_leg.value(valuation_date, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(valuation_date, oisCurve, None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE"," PV")
testCases.print("VALUE:", swaps[0].value(settleDt, oisCurve, None))
testCases.print("FIXED:", -swaps[0]._fixed_leg.value(settleDt, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(settleDt, oisCurve, None))
def test_derivativePricingExample():
valuation_date = Date(10, 11, 2011)
# We do the O/N rate which settles on trade date
spotDays = 0
settleDt = valuation_date.addWeekDays(spotDays)
fras = []
swaps = []
day_count_type = DayCountTypes.THIRTY_E_360_ISDA
# day_count_type = DayCountTypes.ACT_360
freq_type = FrequencyTypes.SEMI_ANNUAL
fixed_legType = Finfixed_legTypes.PAY
swap_rate = 0.0058
swap = FinOIS(settleDt, "1Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0060
swap = FinOIS(settleDt, "2Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0072
swap = FinOIS(settleDt, "3Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0096
swap = FinOIS(settleDt, "4Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0124
swap = FinOIS(settleDt, "5Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0173
swap = FinOIS(settleDt, "7Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0219
swap = FinOIS(settleDt, "10Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0283
swap = FinOIS(settleDt, "30Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = OISCurve(valuation_date, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = OISCurve(valuation_date, fras, swaps,
FinInterpTypes.LINEAR_SWAP_RATES)
end = time.time()
elapsed2 = end - start
testCases.header("METHOD", "TIME")
testCases.print("NON-LINEAR SOLVER BOOTSTRAP", elapsed1/numRepeats)
testCases.print("LINEAR SWAP BOOTSTRAP", elapsed2/numRepeats)
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 buildOIS(valuation_date):
""" Build the OIS funding curve from futures (FRAs) and OIS """
dccType = DayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
fixed_legType = FinSwapTypes.PAY
fras = []
# 1 x 4 FRA
swaps = []
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
fixedDCCType = DayCountTypes.ACT_365F
swap_rate = 0.000022
maturity_date = settlement_date.addMonths(24)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap_rate += 0.000
fixed_legType = FinSwapTypes.PAY
maturity_date = settlement_date.addMonths(36)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap_rate += 0.000
maturity_date = settlement_date.addMonths(48)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap_rate = 0.02
maturity_date = settlement_date.addMonths(60)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(72)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(84)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(96)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(108)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(120)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(132)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(144)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(180)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(240)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(300)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(360)
swap = FinOIS(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
oisCurve = OISCurve(valuation_date, [], fras, swaps)
return oisCurve
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)