def test_FinIborFRAsOnly(): # TO DO FIX THIS valuation_date = Date(23, 2, 2018) spotDays = 0 settlement_date = valuation_date.addWeekDays(spotDays) depoDCCType = DayCountTypes.ACT_360 notional = 100.0 payFixed = True calendar_type = CalendarTypes.TARGET fras = [] # 1 x 4 FRA fraRate = 0.04 fraSettlementDate = settlement_date.addMonths(1) fraMaturityDate = settlement_date.addMonths(4) fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType, notional, payFixed, calendar_type) fras.append(fra) # 4 x 7 FRA fraRate = 0.08 fraSettlementDate = settlement_date.addMonths(4) fraMaturityDate = settlement_date.addMonths(7) fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType, notional, payFixed, calendar_type) fras.append(fra) depos = [] swaps = [] libor_curve = FinIborSingleCurveOLD(valuation_date, depos, fras, swaps) testCases.header("DATE", "MATDATE", "VALUE") """ Check calibration """ for fra in fras: v = fra.value(settlement_date, libor_curve) testCases.print("FRA:", fra._maturity_date, v)
def test_FinOISFRAsOnly(): # TO DO FIX THIS valuationDate = FinDate(23, 2, 2018) spotDays = 0 settleDt = valuationDate.addWeekDays(spotDays) depoDCCType = FinDayCountTypes.ACT_360 notional = 100.0 payFixed = True calendarType = FinCalendarTypes.TARGET fras = [] # 1 x 4 FRA fraRate = 0.04 frasettleDt = settleDt.addMonths(1) fraMaturityDate = settleDt.addMonths(4) fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType, notional, payFixed, calendarType) fras.append(fra) # 4 x 7 FRA fraRate = 0.08 frasettleDt = settleDt.addMonths(4) fraMaturityDate = settleDt.addMonths(7) fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType, notional, payFixed, calendarType) fras.append(fra) swaps = [] liborCurve = FinOISCurve(settleDt, fras, swaps) testCases.header("DATE", "MATDATE", "VALUE") ''' Check calibration ''' for fra in fras: v = fra.value(settleDt, liborCurve) testCases.print("FRA:", fra._maturityDate, v)
def test_FinOISDepositsFRAsSwaps(): valuation_date = Date(18, 9, 2019) dccType = DayCountTypes.THIRTY_E_360_ISDA depos = [] spotDays = 0 settleDt = valuation_date.addWeekDays(spotDays) depoDCCType = DayCountTypes.ACT_360 notional = 100.0 calendar_type = CalendarTypes.TARGET depos = [] # 1 month deposit_rate = 0.04 maturity_date = settleDt.addMonths(1) depo = FinIborDeposit(settleDt, maturity_date, deposit_rate, depoDCCType, notional, calendar_type) depos.append(depo) fras = [] # 1 x 4 FRA fraRate = 0.04 frasettleDt = settleDt.addMonths(9) fraMaturityDate = settleDt.addMonths(13) fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.03 frasettleDt = settleDt.addMonths(13) fraMaturityDate = settleDt.addMonths(17) fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.07 frasettleDt = settleDt.addMonths(17) fraMaturityDate = settleDt.addMonths(21) fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType) fras.append(fra) swaps = [] fixedDCCType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL swap_rate = 0.05 # maturity_date = settleDt.addMonths(24) # swap = FinIborSwap(settleDt, maturity_date, swap_rate, fixedFreqType, # fixedDCCType) # swaps.append(swap) fixed_legType = Finfixed_legTypes.PAY maturity_date = settleDt.addMonths(36) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(48) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(60) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(72) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(84) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(96) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(108) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(120) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(132) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(144) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(180) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(240) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(300) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.addMonths(360) swap = FinOIS(settleDt, maturity_date, fixed_legType, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) libor_curve = OISCurve(valuation_date, depos, fras, swaps) df = libor_curve.df(settleDt) testCases.header("SETTLEMENT DATE", "DF") testCases.print(str(settleDt), df) testCases.header("DATE", "DF") for deposit in depos: df = libor_curve.df(deposit._maturity_date) testCases.print(str(deposit._maturity_date), df) for swap in swaps: df = libor_curve.df(swap._maturity_date) testCases.print(str(swap._maturity_date), df)
def test_FinOISDepositsFuturesSwaps(): spotDate = Date(6, 6, 2018) spotDays = 0 settleDt = spotDate.addWeekDays(spotDays) depoDCCType = DayCountTypes.THIRTY_E_360_ISDA depo = FinIborDeposit(settleDt, "1D", 1.712/100.0, depoDCCType) depos = [depo] fras = [] fraRate = futureToFRARate(97.6675, -0.00005) frasettleDt = spotDate.nextIMMDate() fraMaturityDate = frasettleDt.nextIMMDate() fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.5200, -0.00060) frasettleDt = fraMaturityDate fraMaturityDate = frasettleDt.nextIMMDate() fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.3550, -0.00146) frasettleDt = fraMaturityDate fraMaturityDate = frasettleDt.nextIMMDate() fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.2450, -0.00263) frasettleDt = fraMaturityDate fraMaturityDate = frasettleDt.nextIMMDate() fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.1450, -0.00411) frasettleDt = fraMaturityDate fraMaturityDate = frasettleDt.nextIMMDate() fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.0750, -0.00589) frasettleDt = frasettleDt.nextIMMDate() fraMaturityDate = frasettleDt.nextIMMDate() fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) ########################################################################### spotDays = 2 start_date = spotDate.addWeekDays(spotDays) swaps = [] fixed_legType = FinSwapTypes.PAY fixedDCCType = DayCountTypes.THIRTY_E_360 fixedFreqType = FrequencyTypes.SEMI_ANNUAL floatFreqType = FrequencyTypes.QUARTERLY notional = 1000000 floatSpread = 0.0 floatDCCType = DayCountTypes.ACT_360 calendar_type = CalendarTypes.US busDayAdjustRule = BusDayAdjustTypes.PRECEDING swap_rate = 0.02776305 payment_lag = 1 swap = FinOIS(start_date, "2Y", fixed_legType, swap_rate, fixedFreqType, fixedDCCType, notional, payment_lag, floatSpread, floatFreqType, floatDCCType, calendar_type, busDayAdjustRule) swaps.append(swap) libor_curve = OISCurve(spotDate, depos, fras, swaps) times = np.linspace(0.0, 2.0, 25) dates = spotDate.addYears(times) zeroRates = libor_curve.zeroRate(dates) fwd_rates = libor_curve.fwd(dates) if PLOT_GRAPHS: plt.figure(figsize=(8, 6)) plt.plot(times, zeroRates*100, label="zero rates") plt.plot(times, fwd_rates*100, label="fwd rates") plt.xlabel("Times") plt.ylabel("CC forward rates") plt.legend() print("==============================================================") for fra in fras: print(fra) print("==============================================================") end_date = spotDate df = libor_curve.df(end_date) print(end_date, df) end_date = settleDt df = libor_curve.df(end_date) print(end_date, df) end_date = Date(20, 6, 2018) df = libor_curve.df(end_date) print(end_date, df) for fra in fras: end_date = fra._maturity_date df = libor_curve.df(end_date) print(end_date, df) for swap in swaps: end_date = swap._maturity_date df = libor_curve.df(end_date) print(end_date, df) swap.printFixedLegPV(spotDate) swap.printFloatLegPV(spotDate)
def test_FinIborDepositsFuturesSwaps(): spotDate = FinDate(6, 6, 2018) spotDays = 0 settlementDate = spotDate.addWeekDays(spotDays) depoDCCType = FinDayCountTypes.ACT_360 depos = [] depositRate = 0.0231381 depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType) depos.append(depo) depositRate = 0.027 depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType) depos.append(depo) depos = [] depo = FinIborDeposit(settlementDate, "1M", 0.0230, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlementDate, "2M", 0.0235, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlementDate, "3M", 0.0240, depoDCCType) depos.append(depo) fras = [] fraRate = futureToFRARate(97.6675, -0.00005) fraSettlementDate = spotDate.nextIMMDate() fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.5200, -0.00060) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.3550, -0.00146) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.2450, -0.00263) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.1450, -0.00411) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.0750, -0.00589) fraSettlementDate = fraSettlementDate.nextIMMDate() fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) ########################################################################### spotDays = 2 startDate = spotDate.addWeekDays(spotDays) swaps = [] fixedLegType = FinSwapTypes.PAY fixedDCCType = FinDayCountTypes.THIRTY_E_360 fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL floatFreqType = FinFrequencyTypes.QUARTERLY notional = 1000000 principal = 0.0 floatSpread = 0.0 floatDCCType = FinDayCountTypes.ACT_360 calendarType = FinCalendarTypes.US busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING swapRate = 0.02776305 swap = FinIborSwapOLD(startDate, "2Y", fixedLegType, swapRate, fixedFreqType, fixedDCCType, notional, floatSpread, floatFreqType, floatDCCType, calendarType, busDayAdjustRule) swaps.append(swap) liborCurve = FinIborSingleCurveOLD(spotDate, depos, fras, swaps) times = np.linspace(0.0, 2.0, 25) dates = spotDate.addYears(times) zeroRates = liborCurve.zeroRate(dates) fwdRates = liborCurve.fwd(dates) if PLOT_GRAPHS: plt.figure(figsize=(8, 6)) plt.plot(times, zeroRates * 100, label="zero rates") plt.plot(times, fwdRates * 100, label="fwd rates") plt.xlabel("Times") plt.ylabel("CC forward rates") plt.legend() print("==============================================================") for fra in fras: print(fra) print("==============================================================") endDate = spotDate df = liborCurve.df(endDate) print(endDate, df) endDate = settlementDate df = liborCurve.df(endDate) print(endDate, df) endDate = FinDate(20, 6, 2018) df = liborCurve.df(endDate) print(endDate, df) for depo in depos: endDate = depo._maturityDate df = liborCurve.df(endDate) print(endDate, df) for fra in fras: endDate = fra._maturityDate df = liborCurve.df(endDate) print(endDate, df) for swap in swaps: endDate = swap._maturityDate df = liborCurve.df(endDate) print(endDate, df) swap.printFixedLegPV(spotDate) swap.printFloatLegPV(spotDate)
def test_FinIborDepositsFRAsSwaps(): valuationDate = FinDate(18, 9, 2019) dccType = FinDayCountTypes.THIRTY_E_360_ISDA depos = [] spotDays = 0 settlementDate = valuationDate.addWeekDays(spotDays) depositRate = 0.050 maturityDate = settlementDate.addMonths(1) depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(2) depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(3) depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(6) depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(9) depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(12) depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) fras = [] # 1 x 4 FRA fraRate = 0.04 fraSettlementDate = settlementDate.addMonths(9) fraMaturityDate = settlementDate.addMonths(13) fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.03 fraSettlementDate = settlementDate.addMonths(13) fraMaturityDate = settlementDate.addMonths(17) fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.07 fraSettlementDate = settlementDate.addMonths(17) fraMaturityDate = settlementDate.addMonths(21) fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) swaps = [] fixedDCCType = FinDayCountTypes.ACT_365F fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL swapRate = 0.05 # maturityDate = settlementDate.addMonths(24) # swap = FinIborSwapOLD(settlementDate, maturityDate, swapRate, fixedFreqType, # fixedDCCType) # swaps.append(swap) fixedLegType = FinSwapTypes.PAY maturityDate = settlementDate.addMonths(36) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(48) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(60) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(72) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(84) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(96) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(108) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(120) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(132) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(144) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(180) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(240) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(300) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(360) swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps) df = liborCurve.df(settlementDate) testCases.header("SETTLEMENT DATE", "DF") testCases.print(str(settlementDate), df) testCases.header("DATE", "DF") for deposit in depos: df = liborCurve.df(deposit._maturityDate) testCases.print(str(deposit._maturityDate), df) for swap in swaps: df = liborCurve.df(swap._maturityDate) testCases.print(str(swap._maturityDate), df)
def buildIborSingleCurve(valuationDate): settlementDate = valuationDate.addDays(2) dcType = FinDayCountTypes.ACT_360 depos = [] fras = [] swaps = [] maturityDate = settlementDate.addMonths(1) depo1 = FinIborDeposit(valuationDate, maturityDate, -0.00251, dcType) depos.append(depo1) # Series of 1M futures startDate = settlementDate.nextIMMDate() endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.0023, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00234, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00225, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00226, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00219, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00213, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00186, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00189, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00175, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00143, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00126, dcType) fras.append(fra) startDate = startDate.addMonths(1) endDate = startDate.addMonths(1) fra = FinIborFRA(startDate, endDate, -0.00126, dcType) fras.append(fra) ########################################################################### ########################################################################### ########################################################################### ########################################################################### fixedFreq = FinFrequencyTypes.ANNUAL dcType = FinDayCountTypes.THIRTY_E_360 fixedLegType = FinSwapTypes.PAY ####################################### maturityDate = settlementDate.addMonths(24) swapRate = -0.001506 swap1 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap1) ####################################### maturityDate = settlementDate.addMonths(36) swapRate = -0.000185 swap2 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap2) ####################################### maturityDate = settlementDate.addMonths(48) swapRate = 0.001358 swap3 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap3) ####################################### maturityDate = settlementDate.addMonths(60) swapRate = 0.0027652 swap4 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap4) ####################################### maturityDate = settlementDate.addMonths(72) swapRate = 0.0041539 swap5 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap5) ####################################### maturityDate = settlementDate.addMonths(84) swapRate = 0.0054604 swap6 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap6) ####################################### maturityDate = settlementDate.addMonths(96) swapRate = 0.006674 swap7 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap7) ####################################### maturityDate = settlementDate.addMonths(108) swapRate = 0.007826 swap8 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap8) ####################################### maturityDate = settlementDate.addMonths(120) swapRate = 0.008821 swap9 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap9) ####################################### maturityDate = settlementDate.addMonths(132) swapRate = 0.0097379 swap10 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap10) ####################################### maturityDate = settlementDate.addMonths(144) swapRate = 0.0105406 swap11 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap11) ####################################### maturityDate = settlementDate.addMonths(180) swapRate = 0.0123927 swap12 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap12) ####################################### maturityDate = settlementDate.addMonths(240) swapRate = 0.0139882 swap13 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap13) ####################################### maturityDate = settlementDate.addMonths(300) swapRate = 0.0144972 swap14 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap14) ####################################### maturityDate = settlementDate.addMonths(360) swapRate = 0.0146081 swap15 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap15) ####################################### maturityDate = settlementDate.addMonths(420) swapRate = 0.01461897 swap16 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap16) ####################################### maturityDate = settlementDate.addMonths(480) swapRate = 0.014567455 swap17 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap17) ####################################### maturityDate = settlementDate.addMonths(540) swapRate = 0.0140826 swap18 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap18) ####################################### maturityDate = settlementDate.addMonths(600) swapRate = 0.01436822 swap19 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate, fixedFreq, dcType) swaps.append(swap19) ######################################## liborCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps) testCases.header("LABEL", "DATE", "VALUE") ''' Check calibration ''' for depo in depos: v = depo.value(settlementDate, liborCurve) testCases.print("DEPO VALUE:", depo._maturityDate, v) for fra in fras: v = fra.value(settlementDate, liborCurve) testCases.print("FRA VALUE:", fra._maturityDate, v) for swap in swaps: v = swap.value(settlementDate, liborCurve) testCases.print("SWAP VALUE:", swap._maturityDate, v) return liborCurve
def test_swapValuationExample(): # Example from # https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve vBloomberg = 388147 valuation_date = Date(30, 11, 2018) start_date = Date(27, 12, 2017) maturity_date = Date(27, 12, 2067) notional = 10 * ONE_MILLION fixed_legType = FinSwapTypes.RECEIVE fixedRate = 0.0150 fixedDCCType = DayCountTypes.THIRTY_360_BOND fixedFreqType = FrequencyTypes.ANNUAL floatSpread = 0.0 floatDCCType = DayCountTypes.ACT_360 floatFreqType = FrequencyTypes.SEMI_ANNUAL offMarketSwap = FinIborSwap(start_date, maturity_date, fixed_legType, fixedRate, fixedFreqType, fixedDCCType, notional, floatSpread, floatFreqType, floatDCCType) interp_type = FinInterpTypes.LINEAR_ZERO_RATES depoDCCType = DayCountTypes.ACT_360 depos = [] ########################################################################### # MARKET ########################################################################### spotDays = 0 settlement_date = valuation_date.addWeekDays(spotDays) depo = FinIborDeposit(settlement_date, "6M", -0.2510 / 100.0, depoDCCType) depos.append(depo) fras = [] fraDCCType = DayCountTypes.ACT_360 fra = FinIborFRA(settlement_date.addTenor("1M"), "6M", -0.2450 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("2M"), "6M", -0.2435 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("3M"), "6M", -0.2400 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("4M"), "6M", -0.2360 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("5M"), "6M", -0.2285 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("6M"), "6M", -0.2230 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("7M"), "6M", -0.2110 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("8M"), "6M", -0.1990 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("9M"), "6M", -0.1850 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("10M"), "6M", -0.1680 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("11M"), "6M", -0.1510 / 100.0, fraDCCType) fras.append(fra) fra = FinIborFRA(settlement_date.addTenor("12M"), "6M", -0.1360 / 100.0, fraDCCType) fras.append(fra) swaps = [] fixed_legType = FinSwapTypes.PAY fixedDCCType = DayCountTypes.THIRTY_360_BOND fixedFreqType = FrequencyTypes.ANNUAL swap = FinIborSwap(settlement_date, "2Y", fixed_legType, -0.1525 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "3Y", fixed_legType, -0.0185 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "4Y", fixed_legType, 0.1315 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "5Y", fixed_legType, 0.2745 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "6Y", fixed_legType, 0.4135 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "7Y", fixed_legType, 0.5439 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "8Y", fixed_legType, 0.6652 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "9Y", fixed_legType, 0.7784 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "10Y", fixed_legType, 0.8799 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "11Y", fixed_legType, 0.9715 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "12Y", fixed_legType, 1.0517 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "15Y", fixed_legType, 1.2369 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "20Y", fixed_legType, 1.3965 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "25Y", fixed_legType, 1.4472 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "30Y", fixed_legType, 1.4585 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "35Y", fixed_legType, 1.4595 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "40Y", fixed_legType, 1.4535 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "45Y", fixed_legType, 1.4410 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinIborSwap(settlement_date, "50Y", fixed_legType, 1.4335 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) iborDepos = depos.copy() iborFras = fras.copy() iborSwaps = swaps.copy() iborCurve = IborSingleCurve(valuation_date, iborDepos, iborFras, iborSwaps, interp_type) v1 = offMarketSwap.value(valuation_date, iborCurve, iborCurve, -0.268 / 100.0) testCases.banner("DERISCOPE EXAMPLE REPLICATION") testCases.header("LABEL", "VALUE") testCases.print("BBG VALUE", vBloomberg) testCases.print("FP ONE CURVE VALUE", v1) ############################################################################### depoDCCType = DayCountTypes.ACT_360 depos = [] spotDays = 0 settlement_date = valuation_date.addWeekDays(spotDays) depo = FinIborDeposit(settlement_date, "1D", -0.3490 / 100.0, depoDCCType) depos.append(depo) fras = [] swaps = [] fixed_legType = FinSwapTypes.PAY fixedDCCType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.ANNUAL # Standard OIS with standard annual terms swap = FinOIS(settlement_date, "2W", fixed_legType, -0.3600 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "1M", fixed_legType, -0.3560 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "2M", fixed_legType, -0.3570 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "3M", fixed_legType, -0.3580 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "4M", fixed_legType, -0.3575 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "5M", fixed_legType, -0.3578 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "6M", fixed_legType, -0.3580 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "7M", fixed_legType, -0.3600 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "8M", fixed_legType, -0.3575 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "9M", fixed_legType, -0.3569 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "10M", fixed_legType, -0.3553 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "11M", fixed_legType, -0.3534 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "12M", fixed_legType, -0.3496 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "18M", fixed_legType, -0.3173 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "2Y", fixed_legType, -0.2671 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "30M", fixed_legType, -0.2070 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "3Y", fixed_legType, -0.1410 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "4Y", fixed_legType, -0.0060 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "5Y", fixed_legType, 0.1285 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "6Y", fixed_legType, 0.2590 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "7Y", fixed_legType, 0.3830 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "8Y", fixed_legType, 0.5020 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "9Y", fixed_legType, 0.6140 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "10Y", fixed_legType, 0.7160 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "11Y", fixed_legType, 0.8070 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "12Y", fixed_legType, 0.8890 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "15Y", fixed_legType, 1.0790 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "20Y", fixed_legType, 1.2460 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "25Y", fixed_legType, 1.3055 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "30Y", fixed_legType, 1.3270 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "35Y", fixed_legType, 1.3315 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "40Y", fixed_legType, 1.3300 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = FinOIS(settlement_date, "50Y", fixed_legType, 1.3270 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) oisDepos = depos.copy() oisFras = fras.copy() oisSwaps = swaps.copy() # oisCurveFF = FinOISCurve(valuation_date, oisDepos, oisFras, oisSwaps, interp_type) iborDualCurve = IborDualCurve(valuation_date, oisCurveFF, iborDepos, iborFras, iborSwaps, interp_type)