def test_performCDSIndexHazardRateAdjustment(): tradeDate = FinDate(2007, 8, 1) stepInDate = tradeDate.addDays(1) valuationDate = stepInDate liborCurve = buildLiborCurve(tradeDate) maturity3Y = tradeDate.nextCDSDate(36) maturity5Y = tradeDate.nextCDSDate(60) maturity7Y = tradeDate.nextCDSDate(84) maturity10Y = tradeDate.nextCDSDate(120) path = dirname(__file__) filename = "CDX_NA_IG_S7_SPREADS.csv" full_filename_path = join(path, "data", filename) f = open(full_filename_path, 'r') data = f.readlines() issuerCurves = [] for row in data[1:]: splitRow = row.split(",") spd3Y = float(splitRow[1]) / 10000.0 spd5Y = float(splitRow[2]) / 10000.0 spd7Y = float(splitRow[3]) / 10000.0 spd10Y = float(splitRow[4]) / 10000.0 recoveryRate = float(splitRow[5]) cds3Y = FinCDS(stepInDate, maturity3Y, spd3Y) cds5Y = FinCDS(stepInDate, maturity5Y, spd5Y) cds7Y = FinCDS(stepInDate, maturity7Y, spd7Y) cds10Y = FinCDS(stepInDate, maturity10Y, spd10Y) cdsContracts = [cds3Y, cds5Y, cds7Y, cds10Y] issuerCurve = FinCDSCurve(valuationDate, cdsContracts, liborCurve, recoveryRate) issuerCurves.append(issuerCurve) ########################################################################## # Now determine the average spread of the index ########################################################################## cdsIndex = FinCDSIndexPortfolio() averageSpd3Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity3Y, issuerCurves) * 10000.0 averageSpd5Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity5Y, issuerCurves) * 10000.0 averageSpd7Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity7Y, issuerCurves) * 10000.0 averageSpd10Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity10Y, issuerCurves) * 10000.0 testCases.header("LABEL", "VALUE") testCases.print("AVERAGE SPD 3Y", averageSpd3Y) testCases.print("AVERAGE SPD 5Y", averageSpd5Y) testCases.print("AVERAGE SPD 7Y", averageSpd7Y) testCases.print("AVERAGE SPD 10Y", averageSpd10Y) testCases.banner( "===================================================================") ########################################################################## # Now determine the intrinsic spread of the index to the same maturity dates # As the single name CDS contracts ########################################################################## cdsIndex = FinCDSIndexPortfolio() intrinsicSpd3Y = cdsIndex.intrinsicSpread( valuationDate, stepInDate, maturity3Y, issuerCurves) * 10000.0 intrinsicSpd5Y = cdsIndex.intrinsicSpread( valuationDate, stepInDate, maturity5Y, issuerCurves) * 10000.0 intrinsicSpd7Y = cdsIndex.intrinsicSpread( valuationDate, stepInDate, maturity7Y, issuerCurves) * 10000.0 intrinsicSpd10Y = cdsIndex.intrinsicSpread( valuationDate, stepInDate, maturity10Y, issuerCurves) * 10000.0 ########################################################################## ########################################################################## testCases.header("LABEL", "VALUE") testCases.print("INTRINSIC SPD 3Y", intrinsicSpd3Y) testCases.print("INTRINSIC SPD 5Y", intrinsicSpd5Y) testCases.print("INTRINSIC SPD 7Y", intrinsicSpd7Y) testCases.print("INTRINSIC SPD 10Y", intrinsicSpd10Y) testCases.banner( "===================================================================") ########################################################################## ########################################################################## indexCoupons = [0.002, 0.0037, 0.0050, 0.0063] indexUpfronts = [0.0, 0.0, 0.0, 0.0] indexMaturityDates = [ FinDate(2009, 12, 20), FinDate(2011, 12, 20), FinDate(2013, 12, 20), FinDate(2016, 12, 20) ] indexRecoveryRate = 0.40 tolerance = 1e-6 import time start = time.time() adjustedIssuerCurves = FinCDSIndexPortfolio.hazardRateAdjustIntrinsic( valuationDate, issuerCurves, indexCoupons, indexUpfronts, indexMaturityDates, indexRecoveryRate, tolerance) end = time.time() testCases.header("TIME") testCases.print(end - start) # numCredits = len(issuerCurves) # testCases.print("#","MATURITY","CDS_UNADJ","CDS_ADJ") # for m in range(0,numCredits): # for cds in cdsContracts: # unadjustedSpread = cds.parSpread(valuationDate,issuerCurves[m]) # adjustedSpread = cds.parSpread(valuationDate,adjustedIssuerCurves[m]) # testCases.print(m,str(cds._maturityDate),"%10.3f"%(unadjustedSpread*10000),"%10.3f" %(adjustedSpread*10000)) cdsIndex = FinCDSIndexPortfolio() intrinsicSpd3Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, indexMaturityDates[0], adjustedIssuerCurves) * 10000.0 intrinsicSpd5Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, indexMaturityDates[1], adjustedIssuerCurves) * 10000.0 intrinsicSpd7Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, indexMaturityDates[2], adjustedIssuerCurves) * 10000.0 intrinsicSpd10Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, indexMaturityDates[3], adjustedIssuerCurves) * 10000.0 # If the adjustment works then this should equal the index spreads testCases.header("LABEL", "VALUE") testCases.print("ADJUSTED INTRINSIC SPD 3Y", intrinsicSpd3Y) testCases.print("ADJUSTED INTRINSIC SPD 5Y", intrinsicSpd5Y) testCases.print("ADJUSTED INTRINSIC SPD 7Y", intrinsicSpd7Y) testCases.print("ADJUSTED INTRINSIC SPD 10Y", intrinsicSpd10Y)
def test_CDSIndexPortfolio(): tradeDate = FinDate(1, 8, 2007) stepInDate = tradeDate.addDays(1) valuationDate = stepInDate liborCurve = buildIborCurve(tradeDate) maturity3Y = tradeDate.nextCDSDate(36) maturity5Y = tradeDate.nextCDSDate(60) maturity7Y = tradeDate.nextCDSDate(84) maturity10Y = tradeDate.nextCDSDate(120) path = os.path.join(os.path.dirname(__file__), './/data//CDX_NA_IG_S7_SPREADS.csv') f = open(path, 'r') data = f.readlines() f.close() issuerCurves = [] for row in data[1:]: splitRow = row.split(",") spd3Y = float(splitRow[1]) / 10000.0 spd5Y = float(splitRow[2]) / 10000.0 spd7Y = float(splitRow[3]) / 10000.0 spd10Y = float(splitRow[4]) / 10000.0 recoveryRate = float(splitRow[5]) cds3Y = FinCDS(stepInDate, maturity3Y, spd3Y) cds5Y = FinCDS(stepInDate, maturity5Y, spd5Y) cds7Y = FinCDS(stepInDate, maturity7Y, spd7Y) cds10Y = FinCDS(stepInDate, maturity10Y, spd10Y) cdsContracts = [cds3Y, cds5Y, cds7Y, cds10Y] issuerCurve = FinCDSCurve(valuationDate, cdsContracts, liborCurve, recoveryRate) issuerCurves.append(issuerCurve) ########################################################################## # Now determine the average spread of the index ########################################################################## cdsIndex = FinCDSIndexPortfolio() averageSpd3Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity3Y, issuerCurves) * 10000.0 averageSpd5Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity5Y, issuerCurves) * 10000.0 averageSpd7Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity7Y, issuerCurves) * 10000.0 averageSpd10Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity10Y, issuerCurves) * 10000.0 testCases.header("LABEL", "VALUE") testCases.print("AVERAGE SPD 3Y", averageSpd3Y) testCases.print("AVERAGE SPD 5Y", averageSpd5Y) testCases.print("AVERAGE SPD 7Y", averageSpd7Y) testCases.print("AVERAGE SPD 10Y", averageSpd10Y) ########################################################################## # Now determine the intrinsic spread of the index to the same maturity # dates. As the single name CDS contracts ########################################################################## cdsIndex = FinCDSIndexPortfolio() intrinsicSpd3Y = cdsIndex.intrinsicSpread( valuationDate, stepInDate, maturity3Y, issuerCurves) * 10000.0 intrinsicSpd5Y = cdsIndex.intrinsicSpread( valuationDate, stepInDate, maturity5Y, issuerCurves) * 10000.0 intrinsicSpd7Y = cdsIndex.intrinsicSpread( valuationDate, stepInDate, maturity7Y, issuerCurves) * 10000.0 intrinsicSpd10Y = cdsIndex.intrinsicSpread( valuationDate, stepInDate, maturity10Y, issuerCurves) * 10000.0 ########################################################################## ########################################################################## testCases.header("LABEL", "VALUE") testCases.print("INTRINSIC SPD 3Y", intrinsicSpd3Y) testCases.print("INTRINSIC SPD 5Y", intrinsicSpd5Y) testCases.print("INTRINSIC SPD 7Y", intrinsicSpd7Y) testCases.print("INTRINSIC SPD 10Y", intrinsicSpd10Y)
def test_CDSIndexAdjustSpreads(): tradeDate = FinDate(1, 8, 2007) stepInDate = tradeDate.addDays(1) valuationDate = tradeDate liborCurve = buildIborCurve(tradeDate) maturity3Y = tradeDate.nextCDSDate(36) maturity5Y = tradeDate.nextCDSDate(60) maturity7Y = tradeDate.nextCDSDate(84) maturity10Y = tradeDate.nextCDSDate(120) path = dirname(__file__) filename = "CDX_NA_IG_S7_SPREADS.csv" full_filename_path = join(path, "data", filename) f = open(full_filename_path, 'r') data = f.readlines() issuerCurves = [] for row in data[1:]: splitRow = row.split(",") spd3Y = float(splitRow[1]) / 10000.0 spd5Y = float(splitRow[2]) / 10000.0 spd7Y = float(splitRow[3]) / 10000.0 spd10Y = float(splitRow[4]) / 10000.0 recoveryRate = float(splitRow[5]) cds3Y = FinCDS(stepInDate, maturity3Y, spd3Y) cds5Y = FinCDS(stepInDate, maturity5Y, spd5Y) cds7Y = FinCDS(stepInDate, maturity7Y, spd7Y) cds10Y = FinCDS(stepInDate, maturity10Y, spd10Y) cdsContracts = [cds3Y, cds5Y, cds7Y, cds10Y] issuerCurve = FinCDSCurve(valuationDate, cdsContracts, liborCurve, recoveryRate) issuerCurves.append(issuerCurve) ########################################################################## # Now determine the average spread of the index ########################################################################## cdsIndex = FinCDSIndexPortfolio() averageSpd3Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity3Y, issuerCurves) * 10000.0 averageSpd5Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity5Y, issuerCurves) * 10000.0 averageSpd7Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity7Y, issuerCurves) * 10000.0 averageSpd10Y = cdsIndex.averageSpread(valuationDate, stepInDate, maturity10Y, issuerCurves) * 10000.0 testCases.header("LABEL", "VALUE") testCases.print("AVERAGE SPD 3Y", averageSpd3Y) testCases.print("AVERAGE SPD 5Y", averageSpd5Y) testCases.print("AVERAGE SPD 7Y", averageSpd7Y) testCases.print("AVERAGE SPD 10Y", averageSpd10Y) ########################################################################## # Now determine the intrinsic spread of the index to the same maturity dates # As the single name CDS contracts ########################################################################## cdsIndex = FinCDSIndexPortfolio() intrinsicSpd3Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, maturity3Y, issuerCurves) * 10000.0 intrinsicSpd5Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, maturity5Y, issuerCurves) * 10000.0 intrinsicSpd7Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, maturity7Y, issuerCurves) * 10000.0 intrinsicSpd10Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, maturity10Y, issuerCurves) * 10000.0 ########################################################################## ########################################################################## testCases.header("LABEL", "VALUE") testCases.print("INTRINSIC SPD 3Y", intrinsicSpd3Y) testCases.print("INTRINSIC SPD 5Y", intrinsicSpd5Y) testCases.print("INTRINSIC SPD 7Y", intrinsicSpd7Y) testCases.print("INTRINSIC SPD 10Y", intrinsicSpd10Y) ########################################################################## ########################################################################## indexCoupons = [0.002, 0.0037, 0.0050, 0.0063] indexUpfronts = [0.0, 0.0, 0.0, 0.0] indexMaturityDates = [FinDate(20, 12, 2009), FinDate(20, 12, 2011), FinDate(20, 12, 2013), FinDate(20, 12, 2016)] indexRecoveryRate = 0.40 tolerance = 1e-7 import time start = time.time() indexPortfolio = FinCDSIndexPortfolio() adjustedIssuerCurves = indexPortfolio.spreadAdjustIntrinsic( valuationDate, issuerCurves, indexCoupons, indexUpfronts, indexMaturityDates, indexRecoveryRate, tolerance) end = time.time() testCases.header("TIME") testCases.print(end - start) cdsIndex = FinCDSIndexPortfolio() intrinsicSpd3Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, indexMaturityDates[0], adjustedIssuerCurves) * 10000.0 intrinsicSpd5Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, indexMaturityDates[1], adjustedIssuerCurves) * 10000.0 intrinsicSpd7Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, indexMaturityDates[2], adjustedIssuerCurves) * 10000.0 intrinsicSpd10Y = cdsIndex.intrinsicSpread(valuationDate, stepInDate, indexMaturityDates[3], adjustedIssuerCurves) * 10000.0 # If the adjustment works then this should equal the index spreads testCases.header("LABEL", "VALUE") testCases.print("ADJUSTED INTRINSIC SPD 3Y:", intrinsicSpd3Y) testCases.print("ADJUSTED INTRINSIC SPD 5Y:", intrinsicSpd5Y) testCases.print("ADJUSTED INTRINSIC SPD 7Y", intrinsicSpd7Y) testCases.print("ADJUSTED INTRINSIC SPD 10Y", intrinsicSpd10Y)