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))
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)
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)