def test_FinIborFRAsOnly(): # TO DO FIX THIS valuation_date = Date(23, 2, 2018) spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) depoDCCType = DayCountTypes.ACT_360 notional = 100.0 payFixed = True calendar_type = CalendarTypes.TARGET fras = [] # 1 x 4 FRA fraRate = 0.04 fraSettlementDate = settlement_date.add_months(1) fraMaturityDate = settlement_date.add_months(4) fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType, notional, payFixed, calendar_type) fras.append(fra) # 4 x 7 FRA fraRate = 0.08 fraSettlementDate = settlement_date.add_months(4) fraMaturityDate = settlement_date.add_months(7) fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType, notional, payFixed, calendar_type) fras.append(fra) depos = [] swaps = [] libor_curve = IborSingleCurve(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_FinOISDepositsFRAsSwaps(): valuation_date = Date(18, 9, 2019) dccType = DayCountTypes.THIRTY_E_360_ISDA depos = [] spot_days = 0 settleDt = valuation_date.add_weekdays(spot_days) depoDCCType = DayCountTypes.ACT_360 notional = 100.0 calendar_type = CalendarTypes.TARGET depos = [] # 1 month deposit_rate = 0.04 maturity_date = settleDt.add_months(1) depo = IborDeposit(settleDt, maturity_date, deposit_rate, depoDCCType, notional, calendar_type) depos.append(depo) fras = [] # 1 x 4 FRA fraRate = 0.04 frasettleDt = settleDt.add_months(9) fraMaturityDate = settleDt.add_months(13) fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.03 frasettleDt = settleDt.add_months(13) fraMaturityDate = settleDt.add_months(17) fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.07 frasettleDt = settleDt.add_months(17) fraMaturityDate = settleDt.add_months(21) fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType) fras.append(fra) swaps = [] fixedDCCType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL swap_rate = 0.05 # maturity_date = settleDt.add_months(24) # swap = IborSwap(settleDt, maturity_date, swap_rate, fixedFreqType, # fixedDCCType) # swaps.append(swap) fixed_leg_type = Finfixed_leg_types.PAY maturity_date = settleDt.add_months(36) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(48) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(60) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(72) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(84) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(96) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(108) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(120) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(132) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(144) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(180) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(240) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(300) swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settleDt.add_months(360) swap = OIS(settleDt, maturity_date, fixed_leg_type, 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(): spot_date = Date(6, 6, 2018) spot_days = 0 settleDt = spot_date.add_weekdays(spot_days) depoDCCType = DayCountTypes.THIRTY_E_360_ISDA depo = IborDeposit(settleDt, "1D", 1.712 / 100.0, depoDCCType) depos = [depo] fras = [] fraRate = futureToFRARate(97.6675, -0.00005) frasettleDt = spot_date.next_imm_date() fraMaturityDate = frasettleDt.next_imm_date() fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.5200, -0.00060) frasettleDt = fraMaturityDate fraMaturityDate = frasettleDt.next_imm_date() fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.3550, -0.00146) frasettleDt = fraMaturityDate fraMaturityDate = frasettleDt.next_imm_date() fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.2450, -0.00263) frasettleDt = fraMaturityDate fraMaturityDate = frasettleDt.next_imm_date() fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.1450, -0.00411) frasettleDt = fraMaturityDate fraMaturityDate = frasettleDt.next_imm_date() fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.0750, -0.00589) frasettleDt = frasettleDt.next_imm_date() fraMaturityDate = frasettleDt.next_imm_date() fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) ########################################################################### spot_days = 2 start_date = spot_date.add_weekdays(spot_days) swaps = [] fixed_leg_type = SwapTypes.PAY fixedDCCType = DayCountTypes.THIRTY_E_360 fixedFreqType = FrequencyTypes.SEMI_ANNUAL floatFreqType = FrequencyTypes.QUARTERLY notional = 1000000 float_spread = 0.0 floatDCCType = DayCountTypes.ACT_360 calendar_type = CalendarTypes.US busDayAdjustRule = BusDayAdjustTypes.PRECEDING swap_rate = 0.02776305 payment_lag = 1 swap = OIS(start_date, "2Y", fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType, notional, payment_lag, float_spread, floatFreqType, floatDCCType, calendar_type, busDayAdjustRule) swaps.append(swap) libor_curve = OISCurve(spot_date, depos, fras, swaps) times = np.linspace(0.0, 2.0, 25) dates = spot_date.add_years(times) zero_rates = libor_curve.zero_rate(dates) fwd_rates = libor_curve.fwd(dates) if PLOT_GRAPHS: plt.figure(figsize=(8, 6)) plt.plot(times, zero_rates * 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 = spot_date 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.print_fixed_leg_pv(spot_date) swap.print_float_leg_pv(spot_date)
def test_ibor_depositsFRAsSwaps(): valuation_date = Date(18, 9, 2019) dccType = DayCountTypes.THIRTY_E_360_ISDA depos = [] spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) deposit_rate = 0.050 maturity_date = settlement_date.add_months(1) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(2) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(3) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(6) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(9) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(12) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) fras = [] # 1 x 4 FRA fraRate = 0.04 fraSettlementDate = settlement_date.add_months(9) fraMaturityDate = settlement_date.add_months(13) fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.03 fraSettlementDate = settlement_date.add_months(13) fraMaturityDate = settlement_date.add_months(17) fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.07 fraSettlementDate = settlement_date.add_months(17) fraMaturityDate = settlement_date.add_months(21) fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) swaps = [] fixedDCCType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL swap_rate = 0.05 # maturity_date = settlement_date.add_months(24) # swap = IborSwapOLD(settlement_date, maturity_date, swap_rate, fixedFreqType, # fixedDCCType) # swaps.append(swap) fixed_leg_type = SwapTypes.PAY maturity_date = settlement_date.add_months(36) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(48) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(60) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(72) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(84) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(96) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(108) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(120) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(132) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(144) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(180) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(240) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(300) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(360) swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) libor_curve = FinIborSingleCurveOLD(valuation_date, depos, fras, swaps) df = libor_curve.df(settlement_date) testCases.header("SETTLEMENT DATE", "DF") testCases.print(str(settlement_date), 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 buildIborSingleCurve(valuation_date): settlement_date = valuation_date.add_days(2) dcType = DayCountTypes.ACT_360 depos = [] fras = [] swaps = [] maturity_date = settlement_date.add_months(1) depo1 = IborDeposit(valuation_date, maturity_date, -0.00251, dcType) depos.append(depo1) # Series of 1M futures start_date = settlement_date.next_imm_date() end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.0023, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00234, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00225, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00226, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00219, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00213, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00186, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00189, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00175, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00143, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00126, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00126, dcType) fras.append(fra) ########################################################################### ########################################################################### ########################################################################### ########################################################################### fixedFreq = FrequencyTypes.ANNUAL dcType = DayCountTypes.THIRTY_E_360 fixed_leg_type = SwapTypes.PAY ####################################### maturity_date = settlement_date.add_months(24) swap_rate = -0.001506 swap1 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap1) ####################################### maturity_date = settlement_date.add_months(36) swap_rate = -0.000185 swap2 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap2) ####################################### maturity_date = settlement_date.add_months(48) swap_rate = 0.001358 swap3 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap3) ####################################### maturity_date = settlement_date.add_months(60) swap_rate = 0.0027652 swap4 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap4) ####################################### maturity_date = settlement_date.add_months(72) swap_rate = 0.0041539 swap5 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap5) ####################################### maturity_date = settlement_date.add_months(84) swap_rate = 0.0054604 swap6 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap6) ####################################### maturity_date = settlement_date.add_months(96) swap_rate = 0.006674 swap7 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap7) ####################################### maturity_date = settlement_date.add_months(108) swap_rate = 0.007826 swap8 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap8) ####################################### maturity_date = settlement_date.add_months(120) swap_rate = 0.008821 swap9 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap9) ####################################### maturity_date = settlement_date.add_months(132) swap_rate = 0.0097379 swap10 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap10) ####################################### maturity_date = settlement_date.add_months(144) swap_rate = 0.0105406 swap11 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap11) ####################################### maturity_date = settlement_date.add_months(180) swap_rate = 0.0123927 swap12 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap12) ####################################### maturity_date = settlement_date.add_months(240) swap_rate = 0.0139882 swap13 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap13) ####################################### maturity_date = settlement_date.add_months(300) swap_rate = 0.0144972 swap14 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap14) ####################################### maturity_date = settlement_date.add_months(360) swap_rate = 0.0146081 swap15 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap15) ####################################### maturity_date = settlement_date.add_months(420) swap_rate = 0.01461897 swap16 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap16) ####################################### maturity_date = settlement_date.add_months(480) swap_rate = 0.014567455 swap17 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap17) ####################################### maturity_date = settlement_date.add_months(540) swap_rate = 0.0140826 swap18 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap18) ####################################### maturity_date = settlement_date.add_months(600) swap_rate = 0.01436822 swap19 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap19) ######################################## libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps) testCases.header("LABEL", "DATE", "VALUE") """ Check calibration """ for depo in depos: v = depo.value(settlement_date, libor_curve) testCases.print("DEPO VALUE:", depo._maturity_date, v) for fra in fras: v = fra.value(settlement_date, libor_curve) testCases.print("FRA VALUE:", fra._maturity_date, v) for swap in swaps: v = swap.value(settlement_date, libor_curve) testCases.print("SWAP VALUE:", swap._maturity_date, v) return libor_curve
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_leg_type = SwapTypes.RECEIVE fixedRate = 0.0150 fixedDCCType = DayCountTypes.THIRTY_360_BOND fixedFreqType = FrequencyTypes.ANNUAL float_spread = 0.0 floatDCCType = DayCountTypes.ACT_360 floatFreqType = FrequencyTypes.SEMI_ANNUAL offMarketSwap = IborSwap(start_date, maturity_date, fixed_leg_type, fixedRate, fixedFreqType, fixedDCCType, notional, float_spread, floatFreqType, floatDCCType) interp_type = InterpTypes.LINEAR_ZERO_RATES depoDCCType = DayCountTypes.ACT_360 depos = [] ########################################################################### # MARKET ########################################################################### spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) depo = IborDeposit(settlement_date, "6M", -0.2510 / 100.0, depoDCCType) depos.append(depo) fras = [] fraDCCType = DayCountTypes.ACT_360 fra = IborFRA(settlement_date.add_tenor("1M"), "6M", -0.2450 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("2M"), "6M", -0.2435 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("3M"), "6M", -0.2400 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("4M"), "6M", -0.2360 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("5M"), "6M", -0.2285 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("6M"), "6M", -0.2230 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("7M"), "6M", -0.2110 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("8M"), "6M", -0.1990 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("9M"), "6M", -0.1850 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("10M"), "6M", -0.1680 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("11M"), "6M", -0.1510 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("12M"), "6M", -0.1360 / 100.0, fraDCCType) fras.append(fra) swaps = [] fixed_leg_type = SwapTypes.PAY fixedDCCType = DayCountTypes.THIRTY_360_BOND fixedFreqType = FrequencyTypes.ANNUAL swap = IborSwap(settlement_date, "2Y", fixed_leg_type, -0.1525 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "3Y", fixed_leg_type, -0.0185 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "4Y", fixed_leg_type, 0.1315 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "5Y", fixed_leg_type, 0.2745 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "6Y", fixed_leg_type, 0.4135 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "7Y", fixed_leg_type, 0.5439 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "8Y", fixed_leg_type, 0.6652 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "9Y", fixed_leg_type, 0.7784 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "10Y", fixed_leg_type, 0.8799 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "11Y", fixed_leg_type, 0.9715 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "12Y", fixed_leg_type, 1.0517 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "15Y", fixed_leg_type, 1.2369 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "20Y", fixed_leg_type, 1.3965 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "25Y", fixed_leg_type, 1.4472 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "30Y", fixed_leg_type, 1.4585 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "35Y", fixed_leg_type, 1.4595 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "40Y", fixed_leg_type, 1.4535 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "45Y", fixed_leg_type, 1.4410 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "50Y", fixed_leg_type, 1.4335 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) iborDepos = depos.copy() iborFras = fras.copy() ibor_swaps = swaps.copy() iborCurve = IborSingleCurve(valuation_date, iborDepos, iborFras, ibor_swaps, 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 = [] spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) depo = IborDeposit(settlement_date, "1D", -0.3490 / 100.0, depoDCCType) depos.append(depo) fras = [] swaps = [] fixed_leg_type = SwapTypes.PAY fixedDCCType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.ANNUAL # Standard OIS with standard annual terms swap = OIS(settlement_date, "2W", fixed_leg_type, -0.3600 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "1M", fixed_leg_type, -0.3560 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "2M", fixed_leg_type, -0.3570 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "3M", fixed_leg_type, -0.3580 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "4M", fixed_leg_type, -0.3575 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "5M", fixed_leg_type, -0.3578 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "6M", fixed_leg_type, -0.3580 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "7M", fixed_leg_type, -0.3600 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "8M", fixed_leg_type, -0.3575 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "9M", fixed_leg_type, -0.3569 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "10M", fixed_leg_type, -0.3553 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "11M", fixed_leg_type, -0.3534 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "12M", fixed_leg_type, -0.3496 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "18M", fixed_leg_type, -0.3173 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "2Y", fixed_leg_type, -0.2671 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "30M", fixed_leg_type, -0.2070 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "3Y", fixed_leg_type, -0.1410 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "4Y", fixed_leg_type, -0.0060 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "5Y", fixed_leg_type, 0.1285 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "6Y", fixed_leg_type, 0.2590 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "7Y", fixed_leg_type, 0.3830 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "8Y", fixed_leg_type, 0.5020 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "9Y", fixed_leg_type, 0.6140 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "10Y", fixed_leg_type, 0.7160 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "11Y", fixed_leg_type, 0.8070 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "12Y", fixed_leg_type, 0.8890 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "15Y", fixed_leg_type, 1.0790 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "20Y", fixed_leg_type, 1.2460 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "25Y", fixed_leg_type, 1.3055 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "30Y", fixed_leg_type, 1.3270 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "35Y", fixed_leg_type, 1.3315 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "40Y", fixed_leg_type, 1.3300 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "50Y", fixed_leg_type, 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, ibor_swaps, interp_type)