Esempio n. 1
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    def test_discount_curve(self):
        settings = Settings()
        settings.evaluation_date = Date(6, 10, 2016)

        # Market information
        calendar = TARGET()

        quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)]
        tenors =  [3, 6, 12]

        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True
        fixing_days = 3
        rate_helpers = [DepositRateHelper(
            quote, Period(month, Months), fixing_days, calendar, convention, end_of_month,
            deposit_day_counter) for quote, month in zip(quotes, tenors)]

        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve(
            BootstrapTrait.ForwardRate, Interpolator.BackwardFlat, 2, calendar, rate_helpers,
            ts_day_counter, tolerance
        )

        dates = [rh.latest_date for rh in rate_helpers]
        dfs = [ts.discount(d) for d in dates]
        dates.insert(0, ts.reference_date)
        dfs.insert(0, 1)
        ts_discount = DiscountCurve(dates, dfs, ts_day_counter, calendar)
        self.assertTrue(ts.discount(0.75), ts_discount.discount(0.75))
Esempio n. 2
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    def test_bump_yieldcurve(self):
        settings = Settings()
        settings.evaluation_date = Date(6, 10, 2016)

        # Market information
        calendar = TARGET()

        quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)]
        tenors =  [3, 6, 12]

        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True
        fixing_days = 3
        rate_helpers = [DepositRateHelper(
            quote, Period(month, Months), fixing_days, calendar, convention, end_of_month,
            deposit_day_counter) for quote, month in zip(quotes, tenors)]

        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve(
            BootstrapTrait.Discount, Interpolator.LogLinear, 2, calendar, rate_helpers,
            ts_day_counter, tolerance
        )
        old_discount = ts.discount(ts.max_date)
        # parallel shift of 1 bps
        for rh in rate_helpers:
            rh.quote.value += 1e-4
        self.assertEqual([q.value for q in quotes], [rh.quote.value for rh in rate_helpers])
        new_discount = ts.discount(ts.max_date)
        self.assertTrue(new_discount < old_discount)
    def test_creation(self):

        settings = Settings()

        # Market information
        calendar = TARGET()

        # must be a business day
        settings.evaluation_date = calendar.adjust(today())

        settlement_date = Date(18, September, 2008)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date);

        quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)]
        tenors =  [3, 6, 12]

        rate_helpers = []

        calendar =  TARGET()
        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True

        for quote, month in zip(quotes, tenors):
            tenor = Period(month, Months)
            fixing_days = 3

            helper = DepositRateHelper(
                quote, tenor, fixing_days, calendar, convention, end_of_month,
                deposit_day_counter
            )

            rate_helpers.append(helper)


        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve(
            'discount', 'loglinear', settlement_date, rate_helpers,
            ts_day_counter, tolerance
        )

        self.assertIsNotNone(ts)

        self.assertEqual( Date(18, September, 2008), ts.reference_date)

        # this is not a real test ...
        self.assertAlmostEqual(0.9975, ts.discount(Date(21, 12, 2008)), 4)
        self.assertAlmostEqual(0.9944, ts.discount(Date(21, 4, 2009)), 4)
        self.assertAlmostEqual(0.9904, ts.discount(Date(21, 9, 2009)), 4)
Esempio n. 4
0
    def test_creation(self):

        settings = Settings()

        # Market information
        calendar = TARGET()

        # must be a business day
        settings.evaluation_date = calendar.adjust(today())

        settlement_date = Date(18, September, 2008)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date)

        quotes = [
            SimpleQuote(0.0096),
            SimpleQuote(0.0145),
            SimpleQuote(0.0194)
        ]
        tenors = [3, 6, 12]

        rate_helpers = []

        calendar = TARGET()
        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True

        for quote, month in zip(quotes, tenors):
            tenor = Period(month, Months)
            fixing_days = 3

            helper = DepositRateHelper(quote, tenor, fixing_days, calendar,
                                       convention, end_of_month,
                                       deposit_day_counter)

            rate_helpers.append(helper)

        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve('discount', 'loglinear', settlement_date,
                                 rate_helpers, ts_day_counter, tolerance)

        self.assertIsNotNone(ts)

        self.assertEquals(Date(18, September, 2008), ts.reference_date)

        # this is not a real test ...
        self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4)
        self.assertAlmostEquals(0.9944, ts.discount(Date(21, 4, 2009)), 4)
        self.assertAlmostEquals(0.9904, ts.discount(Date(21, 9, 2009)), 4)
    def test_deposit_swap(self):

        settings = Settings()

        # Market information
        calendar = TARGET()

        todays_date = Date(1, Mar, 2012)

        # must be a business day
        eval_date = calendar.adjust(todays_date)
        settings.evaluation_date = eval_date

        settlement_days = 2
        settlement_date = calendar.advance(eval_date, settlement_days, Days)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date);

        depositData = [[ 1, Months, 4.581 ],
                       [ 2, Months, 4.573 ],
                       [ 3, Months, 4.557 ],
                       [ 6, Months, 4.496 ],
                       [ 9, Months, 4.490 ]]

        swapData = [[ 1, Years, 4.54 ],
                    [ 5, Years, 4.99 ],
                    [ 10, Years, 5.47 ],
                    [ 20, Years, 5.89 ],
                    [ 30, Years, 5.96 ]]

        rate_helpers = []

        end_of_month = True

        for m, period, rate in depositData:
            tenor = Period(m, Months)


            helper = DepositRateHelper(SimpleQuote(rate/100), tenor, settlement_days,
                     calendar, ModifiedFollowing, end_of_month,
                     Actual360())

            rate_helpers.append(helper)

        liborIndex = Libor(
            'USD Libor', Period(6, Months), settlement_days, USDCurrency(),
            calendar, Actual360()
        )

        spread = SimpleQuote(0)
        fwdStart = Period(0, Days)

        for m, period, rate in swapData:

            helper = SwapRateHelper.from_tenor(
                SimpleQuote(rate/100), Period(m, Years), calendar, Annual, Unadjusted, Thirty360(), liborIndex,
                spread, fwdStart
            )

            rate_helpers.append(helper)

        ts_day_counter = ActualActual(ISDA)
        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve(
            'discount', 'loglinear', settlement_date, rate_helpers,
            ts_day_counter, tolerance
        )

        self.assertEqual(settlement_date, ts.reference_date)

        # this is not a real test ...
        self.assertAlmostEqual(0.9103,
             ts.discount(calendar.advance(todays_date, 2, Years)),3)
        self.assertAlmostEqual(0.7836,
             ts.discount(calendar.advance(todays_date, 5, Years)),3)
        self.assertAlmostEqual(0.5827,
             ts.discount(calendar.advance(todays_date, 10, Years)),3)
        self.assertAlmostEqual(0.4223,
             ts.discount(calendar.advance(todays_date, 15, Years)),3)
    def test_deposit_swap(self):

        settings = Settings()

        # Market information
        calendar = TARGET()

        todays_date = Date(1, Mar, 2012)

        # must be a business day
        eval_date = calendar.adjust(todays_date)
        settings.evaluation_date = eval_date

        settlement_days = 2
        settlement_date = calendar.advance(eval_date, settlement_days, Days)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date)

        depositData = [[1, Months, 4.581], [2, Months, 4.573],
                       [3, Months, 4.557], [6, Months, 4.496],
                       [9, Months, 4.490]]

        swapData = [[1, Years, 4.54], [5, Years, 4.99], [10, Years, 5.47],
                    [20, Years, 5.89], [30, Years, 5.96]]

        rate_helpers = []

        end_of_month = True

        for m, period, rate in depositData:
            tenor = Period(m, Months)

            helper = DepositRateHelper(rate / 100, tenor, settlement_days,
                                       calendar, ModifiedFollowing,
                                       end_of_month, Actual360())

            rate_helpers.append(helper)

        liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
                           USDCurrency(), calendar, Actual360(),
                           YieldTermStructure(relinkable=False))

        spread = SimpleQuote(0)
        fwdStart = Period(0, Days)

        for m, period, rate in swapData:

            helper = SwapRateHelper.from_tenor(rate / 100, Period(m, Years),
                                               calendar, Annual, Unadjusted,
                                               Thirty360(), liborIndex, spread,
                                               fwdStart)

            rate_helpers.append(helper)

        ts_day_counter = ActualActual(ISDA)
        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve('discount', 'loglinear', settlement_date,
                                 rate_helpers, ts_day_counter, tolerance)

        self.assertEquals(settlement_date, ts.reference_date)

        # this is not a real test ...
        self.assertAlmostEquals(
            0.9103, ts.discount(calendar.advance(todays_date, 2, Years)), 3)
        self.assertAlmostEquals(
            0.7836, ts.discount(calendar.advance(todays_date, 5, Years)), 3)
        self.assertAlmostEquals(
            0.5827, ts.discount(calendar.advance(todays_date, 10, Years)), 3)
        self.assertAlmostEquals(
            0.4223, ts.discount(calendar.advance(todays_date, 15, Years)), 3)