def test_ed(self):
"""
Curve construction with EuroDollar futures
Not checking numerical accuracy
"""
# US libor market, with default conventions:
# semi-annual fixed vs. 3M Libor
m = libor_market('USD(LONDON)')
# add quotes
eval_date = Date(20, 9, 2004)
quotes = [
('ED', 1, 96.2875),
('ED', 2, 96.7875),
('ED', 3, 96.9875),
('ED', 4, 96.6875),
('ED', 5, 96.4875),
('ED', 6, 96.3875),
('ED', 7, 96.2875),
('ED', 8, 96.0875)]
m.set_quotes(eval_date, quotes)
m.bootstrap_term_structure()
dt = Date(1, 1, 2005)
df = m.discount(dt)
print('discount factor for %s (USD Libor): %f' % (dt, df))
self.assertTrue(df > 0)
def test_ed(self):
"""
Curve construction with EuroDollar futures
Not checking numerical accuracy
"""
# US libor market, with default conventions:
# semi-annual fixed vs. 3M Libor
m = libor_market('USD(LONDON)')
# add quotes
eval_date = Date(20, 9, 2004)
quotes = [('ED', 1, 96.2875), ('ED', 2, 96.7875), ('ED', 3, 96.9875),
('ED', 4, 96.6875), ('ED', 5, 96.4875), ('ED', 6, 96.3875),
('ED', 7, 96.2875), ('ED', 8, 96.0875)]
m.set_quotes(eval_date, quotes)
m.bootstrap_term_structure()
dt = Date(1, 1, 2005)
df = m.discount(dt)
print('discount factor for %s (USD Libor): %f' % (dt, df))
self.assertTrue(df > 0)
def test_libor_market(self):
"""
Basic test of Libor market
Not checking numerical accuracy
"""
# US libor market, with default conventions:
# semi-annual fixed vs. 3M Libor
m = libor_market('USD(NY)')
# add quotes
eval_date = Date(20, 9, 2004)
quotes = [('DEP', '1W', SimpleQuote(0.0382)),
('DEP', '1M', SimpleQuote(0.0372)),
('DEP', '3M', SimpleQuote(0.0363)),
('DEP', '6M', SimpleQuote(0.0353)),
('DEP', '9M', SimpleQuote(0.0348)),
('DEP', '1Y', SimpleQuote(0.0345)),
('SWAP', '2Y', SimpleQuote(0.037125)),
('SWAP', '3Y', SimpleQuote(0.0398)),
('SWAP', '5Y', SimpleQuote(0.0443)),
('SWAP', '10Y', SimpleQuote(0.05165)),
('SWAP', '15Y', SimpleQuote(0.055175))]
m.set_quotes(eval_date, quotes)
m.bootstrap_term_structure()
dt = Date(1, 1, 2010)
df = m.discount(dt)
print('discount factor for %s (USD Libor): %f' % (dt, df))
# Euribor market, with default conventions:
# annual fixed vs. 6M Libor
m = libor_market('EUR:>1Y')
m.set_quotes(eval_date, quotes)
m.bootstrap_term_structure()
df = m.discount(dt)
print('discount factor for %s (Euribor): %f' % (dt, df))
self.assertTrue(df > 0)
def test_libor_market(self):
"""
Basic test of Libor market
Not checking numerical accuracy
"""
# US libor market, with default conventions:
# semi-annual fixed vs. 3M Libor
m = libor_market('USD(NY)')
# add quotes
eval_date = Date(20, 9, 2004)
quotes = [('DEP', '1W', 0.0382),
('DEP', '1M', 0.0372),
('DEP', '3M', 0.0363),
('DEP', '6M', 0.0353),
('DEP', '9M', 0.0348),
('DEP', '1Y', 0.0345),
('SWAP', '2Y', 0.037125),
('SWAP', '3Y', 0.0398),
('SWAP', '5Y', 0.0443),
('SWAP', '10Y', 0.05165),
('SWAP', '15Y', 0.055175)]
m.set_quotes(eval_date, quotes)
m.bootstrap_term_structure()
dt = Date(1, 1, 2010)
df = m.discount(dt)
print('discount factor for %s (USD Libor): %f' % (dt, df))
# Euribor market, with default conventions:
# annual fixed vs. 6M Libor
m = libor_market('EUR:>1Y')
m.set_quotes(eval_date, quotes)
m.bootstrap_term_structure()
df = m.discount(dt)
print('discount factor for %s (Euribor): %f' % (dt, df))
self.assertTrue(df > 0)
def test_forward_spreaded_ts(self):
m = libor_market("USD(NY)")
eval_date = Date(20, 9, 2004)
quotes = [
("DEP", "1W", SimpleQuote(0.0382)),
("DEP", "1M", SimpleQuote(0.0372)),
("DEP", "3M", SimpleQuote(0.0363)),
("DEP", "6M", SimpleQuote(0.0353)),
("DEP", "9M", SimpleQuote(0.0348)),
("DEP", "1Y", SimpleQuote(0.0345)),
]
m.set_quotes(eval_date, quotes)
ts = m.bootstrap_term_structure()
discount_ts = m._discount_term_structure
forecast_ts = m._forecast_term_structure
discount_spd = 0.05
forecast_spd = 0.08
fwd_spd_dts = ForwardSpreadedTermStructure(discount_ts, SimpleQuote(discount_spd))
fwd_spd_fts = ForwardSpreadedTermStructure(forecast_ts, SimpleQuote(forecast_spd))
df_rate = round(
float(discount_ts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple).rate), 2
)
dz_rate = round(float(discount_ts.zero_rate(Date(1, 1, 2005), Actual360(), Simple).rate), 2)
fdf_rate = round(
float(fwd_spd_dts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple).rate), 2
)
fdz_rate = round(float(fwd_spd_dts.zero_rate(Date(1, 1, 2005), Actual360(), Simple).rate), 2)
ff_rate = round(
float(forecast_ts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple).rate), 2
)
fz_rate = round(float(forecast_ts.zero_rate(Date(1, 1, 2005), Actual360(), Simple).rate), 2)
ffc_rate = round(
float(fwd_spd_fts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple).rate), 2
)
ffz_rate = round(float(fwd_spd_fts.zero_rate(Date(1, 1, 2005), Actual360(), Simple).rate), 2)
df_diff = fdf_rate - df_rate
dz_diff = fdz_rate - dz_rate
ff_diff = ffc_rate - ff_rate
fz_diff = ffz_rate - fz_rate
self.assertAlmostEqual(df_diff, discount_spd)
self.assertAlmostEqual(dz_diff, discount_spd)
self.assertAlmostEqual(ff_diff, forecast_spd)
self.assertAlmostEqual(fz_diff, forecast_spd)
def test_forward_spreaded_ts(self):
m = libor_market('USD(NY)')
eval_date = Date(20, 9, 2004)
quotes = [('DEP', '1W', SimpleQuote(0.0382)),
('DEP', '1M', SimpleQuote(0.0372)),
('DEP', '3M', SimpleQuote(0.0363)),
('DEP', '6M', SimpleQuote(0.0353)),
('DEP', '9M', SimpleQuote(0.0348)),
('DEP', '1Y', SimpleQuote(0.0345))]
m.set_quotes(eval_date, quotes)
ts = m.bootstrap_term_structure()
discount_ts = m._discount_term_structure
forecast_ts = m._forecast_term_structure
discount_spd = 0.05
forecast_spd = 0.08
fwd_spd_dts = ForwardSpreadedTermStructure(discount_ts, SimpleQuote(discount_spd))
fwd_spd_fts = ForwardSpreadedTermStructure(forecast_ts, SimpleQuote(forecast_spd))
df_rate = round(float(discount_ts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple).rate), 2)
dz_rate = round(float(discount_ts.zero_rate(Date(1, 1, 2005), Actual360(), Simple).rate), 2)
fdf_rate = round(float(fwd_spd_dts.forward_rate(Date(1 ,1 , 2005), Date(30 ,1 ,2005), Actual360(), Simple).rate), 2)
fdz_rate = round(float(fwd_spd_dts.zero_rate(Date(1, 1, 2005), Actual360(), Simple).rate), 2)
ff_rate = round(float(forecast_ts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple).rate), 2)
fz_rate = round(float(forecast_ts.zero_rate(Date(1, 1, 2005), Actual360(), Simple).rate), 2)
ffc_rate= round(float(fwd_spd_fts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple).rate), 2)
ffz_rate= round(float(fwd_spd_fts.zero_rate(Date(1, 1, 2005), Actual360() ,Simple).rate), 2)
df_diff= fdf_rate - df_rate
dz_diff= fdz_rate - dz_rate
ff_diff = ffc_rate - ff_rate
fz_diff = ffz_rate - fz_rate
self.assertAlmostEqual(df_diff, discount_spd)
self.assertAlmostEqual(dz_diff, discount_spd)
self.assertAlmostEqual(ff_diff, forecast_spd)
self.assertAlmostEqual(fz_diff, forecast_spd)
def test_market_internals(self):
# FIXME: this should be a test case in its own right, closer to
# YieldTermStructure.
m = libor_market('USD(NY)')
eval_date = Date(20, 9, 2004)
quotes = [('DEP', '1W', 0.0382),
('DEP', '1M', 0.0372),
('DEP', '3M', 0.0363),
('DEP', '6M', 0.0353),
('DEP', '9M', 0.0348),
('DEP', '1Y', 0.0345)]
m.set_quotes(eval_date, quotes)
ts = m.bootstrap_term_structure()
# Compute zero and forward rates.
zero_rate = ts.zero_rate(Date(1, 1, 2005), Actual360(), Simple)
forward_rate = ts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005),
Actual360(), Simple)
# We don't test for numerical accuracy.
self.assertGreater(zero_rate.rate, 0)
self.assertGreater(forward_rate.rate, 0)
# Check that the linked term structures are consistent with the
# original term structure.
discount_ts = m._discount_term_structure
forecast_ts = m._forecast_term_structure
self.assertIsNotNone(discount_ts)
self.assertIsNotNone(forecast_ts)
for linked_ts in [discount_ts, forecast_ts]:
rate = linked_ts.zero_rate(
Date(1, 1, 2005), Actual360(), Simple)
self.assertEqual(rate.rate, zero_rate.rate)
rate = linked_ts.forward_rate(
Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple)
self.assertEqual(rate.rate, forward_rate.rate)
def test_market_internals(self):
# FIXME: this should be a test case in its own right, closer to
# YieldTermStructure.
m = libor_market('USD(NY)')
eval_date = Date(20, 9, 2004)
quotes = [('DEP', '1W', SimpleQuote(0.0382)),
('DEP', '1M', SimpleQuote(0.0372)),
('DEP', '3M', SimpleQuote(0.0363)),
('DEP', '6M', SimpleQuote(0.0353)),
('DEP', '9M', SimpleQuote(0.0348)),
('DEP', '1Y', SimpleQuote(0.0345))]
m.set_quotes(eval_date, quotes)
ts = m.bootstrap_term_structure()
# Compute zero and forward rates.
zero_rate = ts.zero_rate(Date(1, 1, 2005), Actual360(), Simple)
forward_rate = ts.forward_rate(Date(1, 1, 2005), Date(30, 1, 2005),
Actual360(), Simple)
# We don't test for numerical accuracy.
self.assertGreater(zero_rate.rate, 0)
self.assertGreater(forward_rate.rate, 0)
# Check that the linked term structures are consistent with the
# original term structure.
discount_ts = m._discount_term_structure
forecast_ts = m._forecast_term_structure
self.assertIsNotNone(discount_ts)
self.assertIsNotNone(forecast_ts)
for linked_ts in [discount_ts, forecast_ts]:
rate = linked_ts.zero_rate(
Date(1, 1, 2005), Actual360(), Simple)
self.assertEqual(rate.rate, zero_rate.rate)
rate = linked_ts.forward_rate(
Date(1, 1, 2005), Date(30, 1, 2005), Actual360(), Simple)
self.assertEqual(rate.rate, forward_rate.rate)
def test_swap_from_market(self):
"""
Test that a swap with fixed coupon = fair rate has an NPV=0
Create from market
"""
eval_date = Date(2, January, 2014)
settings = Settings()
settings.evaluation_date = eval_date
calendar = TARGET()
settlement_date = calendar.advance(eval_date, 2, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
length = 5
fixed_rate = .05
floating_spread = 0.0
m = libor_market('USD(NY)')
quotes = [('DEP', '1W', SimpleQuote(0.0382)),
('DEP', '1M', SimpleQuote(0.0372)),
('DEP', '3M', SimpleQuote(0.0363)),
('DEP', '6M', SimpleQuote(0.0353)),
('DEP', '9M', SimpleQuote(0.0348)),
('DEP', '1Y', SimpleQuote(0.0345)),
('SWAP', '2Y', SimpleQuote(0.037125)),
('SWAP', '3Y', SimpleQuote(0.0398)),
('SWAP', '5Y', SimpleQuote(0.0443)),
('SWAP', '10Y', SimpleQuote(0.05165)),
('SWAP', '15Y', SimpleQuote(0.055175))]
m.set_quotes(eval_date, quotes)
m.bootstrap_term_structure()
dt = Date(2, January, 2015)
df = m.discount(dt)
print('discount factor for %s (USD Libor): %f' % (dt, df))
swap = m.create_fixed_float_swap(settlement_date, length, fixed_rate,
floating_spread)
fixed_l = swap.fixed_leg
float_l = swap.floating_leg
f = swap.fair_rate
print('fair rate: %f' % f)
p = swap.net_present_value
print('NPV: %f' % p)
fixed_npv = swap.fixed_leg_npv
float_npv = swap.floating_leg_npv
# verify calculation by discounting both legs
tot = 0.0
for frc in fixed_l:
df = m.discount(frc.date)
tot += frc.amount * df
print('fixed npv: %f discounted cf: %f' % (fixed_npv, tot))
self.assertAlmostEqual(fixed_npv, -tot)
tot = 0.0
for ic in float_l:
df = m.discount(ic.date)
tot += ic.amount * df
print('float npv: %f discounted cf: %f' % (float_npv, tot))
self.assertAlmostEqual(float_npv, tot)
def test_swap_from_market(self):
"""
Test that a swap with fixed coupon = fair rate has an NPV=0
Create from market
"""
eval_date = Date(2, January, 2014)
settings = Settings()
settings.evaluation_date = eval_date
calendar = TARGET()
settlement_date = calendar.advance(eval_date, 2, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
length = 5
fixed_rate = .05
floating_spread = 0.0
m = libor_market('USD(NY)')
quotes = [('DEP', '1W', SimpleQuote(0.0382)),
('DEP', '1M', SimpleQuote(0.0372)),
('DEP', '3M', SimpleQuote(0.0363)),
('DEP', '6M', SimpleQuote(0.0353)),
('DEP', '9M', SimpleQuote(0.0348)),
('DEP', '1Y', SimpleQuote(0.0345)),
('SWAP', '2Y', SimpleQuote(0.037125)),
('SWAP', '3Y', SimpleQuote(0.0398)),
('SWAP', '5Y', SimpleQuote(0.0443)),
('SWAP', '10Y', SimpleQuote(0.05165)),
('SWAP', '15Y', SimpleQuote(0.055175))]
m.set_quotes(eval_date, quotes)
m.bootstrap_term_structure()
dt = Date(2, January, 2015)
df = m.discount(dt)
print('discount factor for %s (USD Libor): %f' % (dt, df))
swap = m.create_fixed_float_swap(settlement_date, length, fixed_rate,
floating_spread)
fixed_l = swap.fixed_leg
float_l = swap.floating_leg
f = swap.fair_rate
print('fair rate: %f' % f)
p = swap.net_present_value
print('NPV: %f' % p)
fixed_npv = swap.fixed_leg_npv
float_npv = swap.floating_leg_npv
# verify calculation by discounting both legs
tot = 0.0
for frc in fixed_l:
df = m.discount(frc.date)
tot += frc.amount * df
print('fixed npv: %f discounted cf: %f' % (fixed_npv, tot))
self.assertAlmostEqual(fixed_npv, -tot)
tot = 0.0
for ic in float_l:
df = m.discount(ic.date)
tot += ic.amount * df
print('float npv: %f discounted cf: %f' % (float_npv, tot))
self.assertAlmostEqual(float_npv, tot)
