from unittest import TestCase
from parameters import xR, simNumber, t_step, trim_start, trim_end, freq, periods, referenceDate, start, inArrears, WORKING_DIR
from MonteCarloSimulators.Vasicek.vasicekMCSim import MC_Vasicek_Sim
from Scheduler.Scheduler import Scheduler
mySchedule = Scheduler()
# Global Variables
mySchedule = mySchedule.getSchedule(start=trim_start, end=trim_end, freq="M")
mySimulator = MC_Vasicek_Sim(datelist=mySchedule,
x=xR,
simNumber=simNumber,
t_step=t_step)
mySimulator.getLibor()
mySimulator.getSmallLibor()
a = 1
class TestMC_Vasicek_Sim(TestCase):
def test_getLibor(self):
mySimulator.getLibor()
def test_getSmallLibor(self):
# Monte Carlo trajectories creation - R
Libor = mySimulator.getSmallLibor(mySchedule)
return Libor
#SDE parameter
t_step = 1.0/365
r0 = 0.08
sigmaR = 0.09
sigmaRef = 0.03
muR = 0.05
alphaR=3.0
simNumber=1000
muHazardRate = 0.005
k = 0.1
recovery = 0.4
#Bond parameters
coupon = 0.08
#Monte Carlo trajectories creation
t1 = datetime.datetime.now()
myVasicek = MC_Vasicek_Sim(datelist, r0,sigmaR, sigmaRef, muR, muHazardRate,alphaR, k, simNumber,t_step)
longLibor = myVasicek.getLibor()
libor = myVasicek.getSmallLibor()
longsurvival = myVasicek.getSurvival()
survival = myVasicek.getSmallSurvival()
#myVasicek.saveMeExcel()
#Bond Pricing
myBond = bond(libor,coupon,datelist,survival, recovery)
myCDS = CDS(libor, datelist, survival, recovery)
print('Risky Bond Price = ', str(1000*myBond.pv().sum()))
print('Riskless Bond Price = ', str(1000*myBond.riskless().sum() ))
print ('5 years Par Spread for each quarter= ', str(myCDS.parSpread()))
print ('5 years Mark to Market Value for each quarter = ', myCDS.MTM())
for i in range(len(startDates)):
notional = (-1.0)**i
myPortfolio[i] = CouponBond(fee=1.0,
start=startDates[i],
coupon=coupon,
notional=notional,
maturity=maturities[i],
freq="3M",
referencedate=referenceDate)
portfolioScheduleOfCF = set(ReferenceDateList)
for i in range(len(myPortfolio)):
portfolioScheduleOfCF = portfolioScheduleOfCF.union(
myPortfolio[i].getScheduleComplete()[0])
portfolioScheduleOfCF = sorted(portfolioScheduleOfCF.union(ReferenceDateList))
OIS = myVasicek.getSmallLibor(datelist=portfolioScheduleOfCF)
# at this point OIS contains all dates for which the discount curve should be known.
# If the OIS doesn't contain that date, it would not be able to discount the cashflows and the calcualtion would faill.
pvs = {}
for t in portfolioScheduleOfCF:
pvs[t] = np.zeros([1, simNumber])
for i in range(len(myPortfolio)):
myPortfolio[i].setLibor(OIS)
pvs[t] = pvs[t] + myPortfolio[i].getExposure(referencedate=t).values
pvsPlot = pd.DataFrame.from_dict(list(pvs.items()))
pvsPlot.index = list(pvs.keys())
pvs1 = {}
for i, t in zip(pvsPlot.values, pvsPlot.index):
pvs1[t] = i[1][0]
return results.x
def fCurve(self, x):
calCurve = self.getLiborAvg(x, self.datelist)
thisPV = np.multiple(self.cashFlows,
calcCurve).mean(axis=1).sum(axis=0)
error = 1e4 * (self.price - thisPV)**2
return
if (__name__ == "__main__"):
coupon = 0.03
myscheduler = Scheduler()
datelist = myscheduler(start=trim_start,
end=trim_end,
freq="3M",
referencedate=trim_start)
myMC = MC_Vasicek_Sim(x=XR,
datelist=datelist,
simNumber=simnumber,
t_step=t_step)
libor = myMC.getSmallLibor(datelist=datelist)
myBond = Bond(libor=libor,
start=trim_start,
maturity=trim_end,
coupon=coupon,
freq="3M",
referencedate=trim_start)
myPV = myBond.PV()
print(myPV)
myBond = CouponBond(fee=fee,
start=start,
maturity=maturity,
coupon=coupon,
freq="3M",
referencedate=referenceDate,
observationdate=observationdate)
fulllist, datelist = myBond.getScheduleComplete()
myMC = MC_Vasicek_Sim()
myMC.setVasicek(x=xR,
minDay=minDay,
maxDay=maxDay,
simNumber=simNumber,
t_step=t_step)
myMC.getLibor()
libor = myMC.getSmallLibor(datelist=fulllist)
myBond.setLibor(libor)
class TestBond(TestCase):
def test01_PV(self):
myPV = myBond.getPV(referencedate=referenceDate)
print(myPV)
print(myBond.pv)
def test00_getLiborAvg(self):
print(myBond.getLiborAvg(yieldIn=0.05, datelist=datelist))
def test02_getYield(self):
x = []
y = []
myBond = CouponBond(fee=fee,
start=start,
maturity=maturity,
coupon=coupon,
freq="3M",
referencedate=referenceDate,
observationdate=observationdate)
fulllist, datelist = myBond.getScheduleComplete()
myMC = MC_Vasicek_Sim(datelist=[minDay, maxDay],
x=xR,
simNumber=simNumber,
t_step=t_step)
#myMC.setVasicek(x=xR, minDay=minDay, maxDay=maxDay, simNumber=simNumber, t_step=t_step)
myMC.getLibor()
libor = myMC.getSmallLibor(tenors=fulllist)
myBond.setLibor(libor)
class TestBond(TestCase):
def test01_PV(self):
myPV = myBond.getPV(referencedate=referenceDate)
print(myPV)
print(myBond.pv)
def test00_getLiborAvg(self):
print(myBond.getLiborAvg(yieldIn=0.05, datelist=datelist))
def test02_getYield(self):
x = []
y = []
