def test_FinFXForward():
# https://stackoverflow.com/questions/48778712
# /fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valuation_date = Date(13, 2, 2018)
expiry_date = valuation_date.addMonths(12)
# Forward is on EURUSD which is expressed as number of USD per EUR
# ccy1 = EUR and ccy2 = USD
forName = "EUR"
domName = "USD"
currencyPair = forName + domName # Always ccy1ccy2
spotFXRate = 1.300 # USD per EUR
strikeFXRate = 1.365 # USD per EUR
ccy1InterestRate = 0.02 # USD Rates
ccy2InterestRate = 0.05 # EUR rates
###########################################################################
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
maturity_date = settlement_date.addMonths(12)
notional = 100.0
calendar_type = CalendarTypes.TARGET
depos = []
fras = []
swaps = []
deposit_rate = ccy1InterestRate
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
DayCountTypes.ACT_360, notional, calendar_type)
depos.append(depo)
forDiscountCurve = IborSingleCurve(valuation_date, depos, fras, swaps)
depos = []
fras = []
swaps = []
deposit_rate = ccy2InterestRate
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
DayCountTypes.ACT_360, notional, calendar_type)
depos.append(depo)
domDiscountCurve = IborSingleCurve(valuation_date, depos, fras, swaps)
notional = 100.0
notionalCurrency = forName
fxForward = FinFXForward(expiry_date, strikeFXRate, currencyPair, notional,
notionalCurrency)
testCases.header("SPOT FX", "FX FWD", "VALUE_BS")
fwdValue = fxForward.value(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve)
fwdFXRate = fxForward.forward(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve)
testCases.print(spotFXRate, fwdFXRate, fwdValue)
def test_DateAddMonths():
startDate = Date(1, 1, 2010)
months = [1, 3, 6, 9, 12, 24, 36, 48, 60]
dates = startDate.addMonths(months)
for dt in dates:
print("DATE", dt)
def test_FinDateAddMonths():
start_date = Date(1, 1, 2010)
testCases.header("Months", "Dates")
months = [1, 3, 6, 9, 12, 24, 36, 48, 60]
dates = start_date.addMonths(months)
testCases.header("DATES", "DATE")
for dt in dates:
testCases.print("DATE", dt)
def test_FinEquityForward():
valuation_date = Date(13, 2, 2018)
expiry_date = valuation_date.addMonths(12)
stock_price = 130.0
forwardPrice = 125.0 # Locked
discountRate = 0.05
dividendRate = 0.02
###########################################################################
expiry_date = valuation_date.addMonths(12)
notional = 100.0
discount_curve = DiscountCurveFlat(valuation_date, discountRate)
dividendCurve = DiscountCurveFlat(valuation_date, dividendRate)
equityForward = FinEquityForward(expiry_date,
forwardPrice,
notional,
FinLongShort.LONG)
testCases.header("SPOT FX", "FX FWD", "VALUE_BS")
fwdPrice = equityForward.forward(valuation_date,
stock_price,
discount_curve,
dividendCurve)
fwdValue = equityForward.value(valuation_date,
stock_price,
discount_curve,
dividendCurve)
# print(stock_price, fwdPrice, fwdValue)
testCases.print(stock_price, fwdPrice, fwdValue)
def test_IssuerCurveBuild():
""" Test issuer curve build with simple libor curve to isolate cds
curve building time cost. """
valuation_date = Date(20, 6, 2018)
times = np.linspace(0.0, 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)
recovery_rate = 0.40
cds_contracts = []
cdsCoupon = 0.005 # 50 bps
maturity_date = valuation_date.addMonths(12)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0055
maturity_date = valuation_date.addMonths(24)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0060
maturity_date = valuation_date.addMonths(36)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0065
maturity_date = valuation_date.addMonths(60)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0070
maturity_date = valuation_date.addMonths(84)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
cdsCoupon = 0.0073
maturity_date = valuation_date.addMonths(120)
cds = FinCDS(valuation_date, maturity_date, cdsCoupon)
cds_contracts.append(cds)
issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
recovery_rate)
return cds_contracts, issuer_curve
def test_FinEquityVarianceSwap():
start_date = Date(20, 3, 2018)
tenor = "3M"
strike = 0.3 * 0.3
volSwap = FinEquityVarianceSwap(start_date, tenor, strike)
valuation_date = Date(20, 3, 2018)
stock_price = 100.0
dividendYield = 0.0
dividendCurve = DiscountCurveFlat(valuation_date, dividendYield)
maturity_date = start_date.addMonths(3)
atmVol = 0.20
atmK = 100.0
skew = -0.02 / 5.0 # defined as dsigma/dK
strikes = np.linspace(50.0, 135.0, 18)
vols = volSkew(strikes, atmVol, atmK, skew)
volCurve = FinEquityVolCurve(valuation_date, maturity_date, strikes, vols)
strikeSpacing = 5.0
numCallOptions = 10
numPutOptions = 10
r = 0.05
discount_curve = DiscountCurveFlat(valuation_date, r)
useForward = False
testCases.header("LABEL", "VALUE")
k1 = volSwap.fairStrike(valuation_date, stock_price, dividendCurve,
volCurve, numCallOptions, numPutOptions,
strikeSpacing, discount_curve, useForward)
testCases.print("REPLICATION VARIANCE:", k1)
k2 = volSwap.fairStrikeApprox(valuation_date, stock_price, strikes, vols)
testCases.print("DERMAN SKEW APPROX for K:", k2)
def test_FinFixedOIS():
# Here I follow the example in
# https://blog.deriscope.com/index.php/en/excel-quantlib-overnight-index-swap
effective_date = Date(30, 11, 2018)
end_date = Date(30, 11, 2023)
end_date = effective_date.addMonths(60)
oisRate = 0.04
fixed_legType = FinSwapTypes.PAY
fixedFreqType = FrequencyTypes.ANNUAL
fixedDayCount = DayCountTypes.ACT_360
floatFreqType = FrequencyTypes.ANNUAL
floatDayCount = DayCountTypes.ACT_360
floatSpread = 0.0
notional = ONE_MILLION
payment_lag = 1
ois = FinOIS(effective_date, end_date, fixed_legType, oisRate,
fixedFreqType, fixedDayCount, notional, payment_lag,
floatSpread, floatFreqType, floatDayCount)
# print(ois)
valuation_date = effective_date
marketRate = 0.05
oisCurve = DiscountCurveFlat(valuation_date, marketRate,
FrequencyTypes.ANNUAL)
v = ois.value(effective_date, oisCurve)
# print(v)
# ois._fixed_leg.printValuation()
# ois._floatLeg.printValuation()
testCases.header("LABEL", "VALUE")
testCases.print("SWAP_VALUE", v)
def test_FinFXVanillaOptionHullExample():
# Example from Hull 4th edition page 284
valuation_date = Date(1, 1, 2015)
expiry_date = valuation_date.addMonths(4)
spotFXRate = 1.60
volatility = 0.1411
domInterestRate = 0.08
forInterestRate = 0.11
model = FinModelBlackScholes(volatility)
domDiscountCurve = DiscountCurveFlat(valuation_date, domInterestRate)
forDiscountCurve = DiscountCurveFlat(valuation_date, forInterestRate)
num_pathsList = [10000, 20000, 40000, 80000, 160000, 320000]
testCases.header("NUMPATHS", "VALUE_BS", "VALUE_MC", "TIME")
strikeFXRate = 1.60
for num_paths in num_pathsList:
callOption = FinFXVanillaOption(expiry_date, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = callOption.value(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
start = time.time()
valueMC = callOption.valueMC(valuation_date, spotFXRate,
domDiscountCurve, forDiscountCurve, model,
num_paths)
end = time.time()
duration = end - start
testCases.print(num_paths, value, valueMC, duration)
##########################################################################
spotFXRates = np.arange(100, 200, 10)
spotFXRates = spotFXRates / 100.0
num_paths = 100000
testCases.header("NUMPATHS", "CALL_VALUE_BS", "CALL_VALUE_MC", "TIME")
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiry_date, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = callOption.value(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
start = time.time()
valueMC = callOption.valueMC(valuation_date, spotFXRate,
domDiscountCurve, forDiscountCurve, model,
num_paths)
end = time.time()
duration = end - start
testCases.print(num_paths, value, valueMC, duration)
##########################################################################
spotFXRates = np.arange(100, 200, 10) / 100.0
num_paths = 100000
testCases.header("SPOT FX RATE", "PUT_VALUE_BS", "PUT_VALUE_MC", "TIME")
for spotFXRate in spotFXRates:
putOption = FinFXVanillaOption(expiry_date, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_PUT, 1000000,
"USD")
value = putOption.value(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
start = time.time()
valueMC = putOption.valueMC(valuation_date, spotFXRate,
domDiscountCurve, forDiscountCurve, model,
num_paths)
end = time.time()
duration = end - start
testCases.print(spotFXRate, value, valueMC, duration)
##########################################################################
spotFXRates = np.arange(100, 200, 10) / 100.0
testCases.header("SPOT FX RATE", "CALL_VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiry_date, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = callOption.value(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = callOption.delta(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
vega = callOption.vega(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
theta = callOption.theta(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
# callOption.rho(valuation_date,stock_price, interestRate,
# dividendYield, modelType, modelParams)
rho = 999
testCases.print(spotFXRate, value, delta, vega, theta, rho)
testCases.header("SPOT FX RATE", "PUT_VALUE_BS", "DELTA_BS", "VEGA_BS",
"THETA_BS", "RHO_BS")
for spotFXRate in spotFXRates:
putOption = FinFXVanillaOption(expiry_date, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_PUT, 1000000,
"USD")
value = putOption.value(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = putOption.delta(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
vega = putOption.vega(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
theta = putOption.theta(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
# putOption.rho(valuation_date,stock_price, interestRate, dividendYield,
# modelType, modelParams)
rho = 999
testCases.print(spotFXRate, value, delta, vega, theta, rho)
##########################################################################
testCases.header("SPOT FX RATE", "VALUE_BS", "VOL_IN", "IMPLD_VOL")
spotFXRates = np.arange(100, 200, 10) / 100.0
for spotFXRate in spotFXRates:
callOption = FinFXVanillaOption(expiry_date, strikeFXRate, "EURUSD",
FinOptionTypes.EUROPEAN_CALL, 1000000,
"USD")
value = callOption.value(valuation_date, spotFXRate, domDiscountCurve,
forDiscountCurve, model)['v']
impliedVol = callOption.impliedVolatility(valuation_date, spotFXRate,
domDiscountCurve,
forDiscountCurve, value)
testCases.print(spotFXRate, value, volatility, impliedVol)
def buildFullIssuerCurve2(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 20 August 2020 SNAP AT 1600
m = 1.0
valuation_date = Date(24, 8, 2020)
settlement_date = Date(24, 8, 2020)
dcType = DayCountTypes.ACT_360
depos = []
maturity_date = settlement_date.addMonths(1)
depo1 = FinIborDeposit(settlement_date, maturity_date, m * 0.001709,
dcType)
maturity_date = settlement_date.addMonths(2)
depo2 = FinIborDeposit(settlement_date, maturity_date, m * 0.002123,
dcType)
maturity_date = settlement_date.addMonths(3)
depo3 = FinIborDeposit(settlement_date, maturity_date, m * 0.002469,
dcType)
maturity_date = settlement_date.addMonths(6)
depo4 = FinIborDeposit(settlement_date, maturity_date, m * 0.003045,
dcType)
maturity_date = settlement_date.addMonths(12)
depo5 = FinIborDeposit(settlement_date, maturity_date, m * 0.004449,
dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
swaps = []
dcType = DayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FrequencyTypes.SEMI_ANNUAL
maturity_date = settlement_date.addMonths(24)
swap1 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.002155 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturity_date = settlement_date.addMonths(36)
swap2 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.002305 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturity_date = settlement_date.addMonths(48)
swap3 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.002665 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturity_date = settlement_date.addMonths(60)
swap4 = FinIborSwap(settlement_date, maturity_date, FinSwapTypes.PAY,
m * 0.003290 + irBump, fixedFreq, dcType)
swaps.append(swap4)
libor_curve = IborSingleCurve(valuation_date, depos, [], swaps)
cdsCoupon = 0.01 + mktSpreadBump
cdsMarketContracts = []
effective_date = Date(21, 8, 2020)
cds = FinCDS(effective_date, "6M", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "1Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "2Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "3Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "4Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "5Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "7Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effective_date, "10Y", cdsCoupon)
cdsMarketContracts.append(cds)
recovery_rate = 0.40
issuer_curve = FinCDSCurve(settlement_date, cdsMarketContracts,
libor_curve, recovery_rate)
testCases.header("DATE", "DISCOUNT_FACTOR", "SURV_PROB")
years = np.linspace(0.0, 10.0, 20)
dates = settlement_date.addYears(years)
for dt in dates:
df = libor_curve.df(dt)
q = issuer_curve.survProb(dt)
testCases.print("%16s" % dt, "%12.8f" % df, "%12.8f" % q)
return libor_curve, issuer_curve
def test_FinCDSCurve():
curveDate = Date(20, 12, 2018)
swaps = []
depos = []
fras = []
fixedDCC = DayCountTypes.ACT_365F
fixedFreq = FrequencyTypes.SEMI_ANNUAL
fixedCoupon = 0.05
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
swap = FinIborSwap(curveDate, maturity_date, FinSwapTypes.PAY,
fixedCoupon, fixedFreq, fixedDCC)
swaps.append(swap)
libor_curve = IborSingleCurve(curveDate, depos, fras, swaps)
cds_contracts = []
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturity_date, 0.005 + 0.001 * (i - 1))
cds_contracts.append(cds)
issuer_curve = FinCDSCurve(curveDate,
cds_contracts,
libor_curve,
recovery_rate=0.40,
useCache=False)
testCases.header("T", "Q")
n = len(issuer_curve._times)
for i in range(0, n):
testCases.print(issuer_curve._times[i], issuer_curve._values[i])
testCases.header("CONTRACT", "VALUE")
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturity_date, 0.005 + 0.001 * (i - 1))
v = cds.value(curveDate, issuer_curve)
testCases.print(i, v)
if 1 == 0:
x = [0.0, 1.2, 1.6, 1.7, 10.0]
qs = issuer_curve.survProb(x)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
qs = issuer_curve.survProb(xx)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
dfs = issuer_curve.df(x)
print("===>", dfs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
dfs = issuer_curve.df(xx)
print("===>", dfs)
def test_FinInflationBondStack():
##########################################################################
# https://stackoverflow.com/questions/57676724/failing-to-obtain-correct-accrued-interest-with-quantlib-inflation-bond-pricer-i
##########################################################################
testCases.banner("=============================")
testCases.banner("QUANT FINANCE US TIPS EXAMPLE")
testCases.banner("=============================")
settlement_date = Date(23, 8, 2019)
issue_date = Date(25, 9, 2013)
maturity_date = Date(22, 3, 2068)
coupon = 0.00125
freq_type = FrequencyTypes.SEMI_ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
face = 100.0
baseCPIValue = 249.70
###########################################################################
# Discount curve
discount_curve = DiscountCurveFlat(settlement_date, 0.01033692,
FrequencyTypes.ANNUAL,
DayCountTypes.ACT_ACT_ISDA)
lag = 3
fixingCPI = 244.65884
fixingDate = settlement_date.addMonths(-lag)
###########################################################################
# Create Index Curve
months = range(0, 12, 1)
fixingDates = Date(31, 8, 2018).addMonths(months)
fixingRates = [
284.2, 284.1, 284.5, 284.6, 285.6, 283.0, 285.0, 285.1, 288.2, 289.2,
289.6, 289.5
]
inflationIndex = FinInflationIndexCurve(fixingDates, fixingRates, lag)
# print(inflationIndex)
###########################################################################
zciisData = [(Date(31, 7, 2020), 3.1500000000137085),
(Date(31, 7, 2021), 3.547500000013759),
(Date(31, 7, 2022), 3.675000000013573),
(Date(31, 7, 2023), 3.7250000000134342),
(Date(31, 7, 2024), 3.750000000013265),
(Date(31, 7, 2025), 3.7430000000129526),
(Date(31, 7, 2026), 3.741200000012679),
(Date(31, 7, 2027), 3.7337000000123632),
(Date(31, 7, 2028), 3.725000000011902),
(Date(31, 7, 2029), 3.720000000011603),
(Date(31, 7, 2030), 3.712517289063011),
(Date(31, 7, 2031), 3.7013000000108764),
(Date(31, 7, 2032), 3.686986039205209),
(Date(31, 7, 2033), 3.671102614032895),
(Date(31, 7, 2034), 3.655000000009778),
(Date(31, 7, 2035), 3.6394715951305834),
(Date(31, 7, 2036), 3.624362044800966),
(Date(31, 7, 2037), 3.6093619727979087),
(Date(31, 7, 2038), 3.59421438364369),
(Date(31, 7, 2039), 3.5787000000081948),
(Date(31, 7, 2040), 3.5626192748395624),
(Date(31, 7, 2041), 3.545765016376823),
(Date(31, 7, 2042), 3.527943521613608),
(Date(31, 7, 2043), 3.508977137925462),
(Date(31, 7, 2044), 3.48870000000685),
(Date(31, 7, 2045), 3.467083068721011),
(Date(31, 7, 2046), 3.4445738220594935),
(Date(31, 7, 2047), 3.4216470902302065),
(Date(31, 7, 2048), 3.3986861494999188),
(Date(31, 7, 2049), 3.376000000005752),
(Date(31, 7, 2050), 3.3538412080641233),
(Date(31, 7, 2051), 3.3324275806807746),
(Date(31, 7, 2052), 3.311938788306623),
(Date(31, 7, 2053), 3.2925208131865835),
(Date(31, 7, 2054), 3.274293040759302),
(Date(31, 7, 2055), 3.2573541974782794),
(Date(31, 7, 2056), 3.241787355503245),
(Date(31, 7, 2057), 3.227664186159851),
(Date(31, 7, 2058), 3.2150486140060774),
(Date(31, 7, 2059), 3.204000000004159),
(Date(31, 7, 2060), 3.1945334946674064),
(Date(31, 7, 2061), 3.1865047145143377),
(Date(31, 7, 2062), 3.179753073456304),
(Date(31, 7, 2063), 3.1741427790361154),
(Date(31, 7, 2064), 3.1695593261025223),
(Date(31, 7, 2065), 3.1659065919088736),
(Date(31, 7, 2066), 3.163104428386987),
(Date(31, 7, 2067), 3.1610866681252903),
(Date(31, 7, 2068), 3.1597994770515836),
(Date(31, 7, 2069), 3.159200000003204),
(Date(31, 7, 2070), 3.159242349440139),
(Date(31, 7, 2071), 3.1598400898057433),
(Date(31, 7, 2072), 3.16090721831932),
(Date(31, 7, 2073), 3.162369676612098),
(Date(31, 7, 2074), 3.1641636543027207)]
zcDates = []
zcRates = []
for i in range(0, len(zciisData)):
zcDates.append(zciisData[i][0])
zcRates.append(zciisData[i][1] / 100.0)
inflationZeroCurve = DiscountCurveZeros(settlement_date, zcDates, zcRates,
FrequencyTypes.ANNUAL,
DayCountTypes.ACT_ACT_ISDA)
# print(inflationZeroCurve)
###########################################################################
bond = FinInflationBond(issue_date, maturity_date, coupon, freq_type,
accrual_type, face, baseCPIValue)
testCases.header("FIELD", "VALUE")
clean_price = 104.03502
yld = bond.current_yield(clean_price)
testCases.print("Current Yield = ", yld)
return
###########################################################################
# Inherited functions that just calculate real yield without CPI adjustments
###########################################################################
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.UK_DMO)
testCases.print("UK DMO REAL Yield To Maturity = ", ytm)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.US_STREET)
testCases.print("US STREET REAL Yield To Maturity = ", ytm)
ytm = bond.yield_to_maturity(settlement_date, clean_price,
FinYTMCalcType.US_TREASURY)
testCases.print("US TREASURY REAL Yield To Maturity = ", ytm)
full_price = bond.full_price_from_ytm(settlement_date, ytm)
testCases.print("Full Price from REAL YTM = ", full_price)
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
testCases.print("Clean Price from Real YTM = ", clean_price)
accddays = bond._accrued_days
testCases.print("Accrued Days = ", accddays)
accrued_interest = bond._accruedInterest
testCases.print("REAL Accrued Interest = ", accrued_interest)
###########################################################################
# Inflation functions that calculate nominal yield with CPI adjustment
###########################################################################
###########################################################################
clean_price = bond.clean_price_from_ytm(settlement_date, ytm)
testCases.print("Clean Price from Real YTM = ", clean_price)
inflationAccd = bond.calcInflationAccruedInterest(settlement_date,
refCPIValue)
testCases.print("Inflation Accrued = ", inflationAccd)
lastCpnCPIValue = 244.61839
clean_price = bond.flatPriceFromYieldToMaturity(settlement_date, ytm,
lastCpnCPIValue,
FinYTMCalcType.US_TREASURY)
testCases.print("Flat Price from Real YTM = ", clean_price)
principal = bond.inflationPrincipal(settlement_date, ytm, refCPIValue,
FinYTMCalcType.US_TREASURY)
testCases.print("Inflation Principal = ", principal)
###########################################################################
duration = bond.dollar_duration(settlement_date, ytm)
testCases.print("Dollar Duration = ", duration)
modified_duration = bond.modified_duration(settlement_date, ytm)
testCases.print("Modified Duration = ", modified_duration)
macauley_duration = bond.macauley_duration(settlement_date, ytm)
testCases.print("Macauley Duration = ", macauley_duration)
conv = bond.convexity_from_ytm(settlement_date, ytm)
testCases.print("Convexity = ", conv)
def test_BondEmbeddedOptionMATLAB():
# https://fr.mathworks.com/help/fininst/optembndbybk.html
# I FIND THAT THE PRICE CONVERGES TO 102.365 WHICH IS CLOSE TO 102.382
# FOUND BY MATLAB ALTHOUGH THEY DO NOT EXAMINE THE ASYMPTOTIC PRICE
# WHICH MIGHT BE A BETTER MATCH - ALSO THEY DO NOT USE A REALISTIC VOL
valuation_date = Date(1, 1, 2007)
settlement_date = valuation_date
###########################################################################
fixed_legType = FinSwapTypes.PAY
dcType = DayCountTypes.THIRTY_E_360
fixedFreq = FrequencyTypes.ANNUAL
swap1 = FinIborSwap(settlement_date, "1Y", fixed_legType, 0.0350,
fixedFreq, dcType)
swap2 = FinIborSwap(settlement_date, "2Y", fixed_legType, 0.0400,
fixedFreq, dcType)
swap3 = FinIborSwap(settlement_date, "3Y", fixed_legType, 0.0450,
fixedFreq, dcType)
swaps = [swap1, swap2, swap3]
discount_curve = IborSingleCurve(valuation_date, [], [], swaps)
###########################################################################
issue_date = Date(1, 1, 2005)
maturity_date = Date(1, 1, 2010)
coupon = 0.0525
freq_type = FrequencyTypes.ANNUAL
accrual_type = DayCountTypes.ACT_ACT_ICMA
bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type)
call_dates = []
call_prices = []
put_dates = []
put_prices = []
putDate = Date(1, 1, 2008)
for _ in range(0, 24):
put_dates.append(putDate)
put_prices.append(100)
putDate = putDate.addMonths(1)
testCases.header("BOND PRICE", "PRICE")
v = bond.clean_price_from_discount_curve(settlement_date, discount_curve)
testCases.print("Bond Pure Price:", v)
sigma = 0.01 # This volatility is very small for a BK process
a = 0.1
puttableBond = BondEmbeddedOption(issue_date, maturity_date, coupon,
freq_type, accrual_type, call_dates,
call_prices, put_dates, put_prices)
testCases.header("TIME", "NumTimeSteps", "BondWithOption", "BondPure")
timeSteps = range(100, 200, 10) # 1000, 10)
values = []
for numTimeSteps in timeSteps:
model = FinModelRatesBK(sigma, a, numTimeSteps)
start = time.time()
v = puttableBond.value(settlement_date, discount_curve, model)
end = time.time()
period = end - start
testCases.print(period, numTimeSteps, v['bondwithoption'],
v['bondpure'])
values.append(v['bondwithoption'])
if plotGraphs:
plt.figure()
plt.plot(timeSteps, values)
def test_BondEmbeddedOptionQUANTLIB():
# Based on example at the nice blog on Quantlib at
# http://gouthamanbalaraman.com/blog/callable-bond-quantlib-python.html
# I get a price of 68.97 for 1000 time steps which is higher than the
# 68.38 found in blog article. But this is for 40 grid points.
# Note also that a basis point vol of 0.120 is 12% which is VERY HIGH!
valuation_date = Date(16, 8, 2016)
settlement_date = valuation_date.addWeekDays(3)
###########################################################################
discount_curve = DiscountCurveFlat(valuation_date, 0.035,
FrequencyTypes.SEMI_ANNUAL)
###########################################################################
issue_date = Date(15, 9, 2010)
maturity_date = Date(15, 9, 2022)
coupon = 0.025
freq_type = FrequencyTypes.QUARTERLY
accrual_type = DayCountTypes.ACT_ACT_ICMA
bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type)
###########################################################################
# Set up the call and put times and prices
###########################################################################
nextCallDate = Date(15, 9, 2016)
call_dates = [nextCallDate]
call_prices = [100.0]
for _ in range(1, 24):
nextCallDate = nextCallDate.addMonths(3)
call_dates.append(nextCallDate)
call_prices.append(100.0)
put_dates = []
put_prices = []
# the value used in blog of 12% bp vol is unrealistic
sigma = 0.12 / 0.035 # basis point volatility
a = 0.03
puttableBond = BondEmbeddedOption(issue_date, maturity_date, coupon,
freq_type, accrual_type, call_dates,
call_prices, put_dates, put_prices)
testCases.header("BOND PRICE", "PRICE")
v = bond.clean_price_from_discount_curve(settlement_date, discount_curve)
testCases.print("Bond Pure Price:", v)
testCases.header("TIME", "NumTimeSteps", "BondWithOption", "BondPure")
timeSteps = range(100, 200, 20) # 1000, 10)
values = []
for numTimeSteps in timeSteps:
model = FinModelRatesBK(sigma, a, numTimeSteps)
start = time.time()
v = puttableBond.value(settlement_date, discount_curve, model)
end = time.time()
period = end - start
testCases.print(period, numTimeSteps, v['bondwithoption'],
v['bondpure'])
values.append(v['bondwithoption'])
if plotGraphs:
plt.figure()
plt.title("Puttable Bond Price Convergence")
plt.plot(timeSteps, values)
