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)