def test_bucket_analysis_option(self): settings = Settings() calendar = TARGET() todays_date = Date(15, May, 1998) settlement_date = Date(17, May, 1998) settings.evaluation_date = todays_date option_type = Put underlying = 40 strike = 40 dividend_yield = 0.00 risk_free_rate = 0.001 volatility = 0.20 maturity = Date(17, May, 1999) daycounter = Actual365Fixed() underlyingH = SimpleQuote(underlying) payoff = PlainVanillaPayoff(option_type, strike) flat_term_structure = FlatForward(reference_date=settlement_date, forward=risk_free_rate, daycounter=daycounter) flat_dividend_ts = FlatForward(reference_date=settlement_date, forward=dividend_yield, daycounter=daycounter) flat_vol_ts = BlackConstantVol(settlement_date, calendar, volatility, daycounter) black_scholes_merton_process = BlackScholesMertonProcess( underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts) european_exercise = EuropeanExercise(maturity) european_option = VanillaOption(payoff, european_exercise) analytic_european_engine = AnalyticEuropeanEngine( black_scholes_merton_process) european_option.set_pricing_engine(analytic_european_engine) ba_eo = bucket_analysis([[underlyingH]], [european_option], [1], 0.50, 1) self.assertTrue(2, ba_eo) self.assertTrue(type(tuple), ba_eo) self.assertEqual(1, len(ba_eo[0][0])) self.assertAlmostEqual(-0.4582666150152517, ba_eo[0][0][0])
def test_bucketanalysis_bond(self): face_amount = 100.0 redemption = 100.0 issue_date = Date(27, January, 2011) maturity_date = Date(1, January, 2021) coupon_rate = 0.055 fixed_bond_schedule = Schedule.from_rule( issue_date, maturity_date, Period(Semiannual), UnitedStates(market=GovernmentBond), Unadjusted, Unadjusted, Backward, False) bond = FixedRateBond( self.settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(Bond), Unadjusted, redemption, issue_date ) pricing_engine = DiscountingBondEngine(self.ts) bond.set_pricing_engine(pricing_engine) self.assertAlmostEqual(bond.npv, 100.82127876105724) quotes = [rh.quote for rh in self.rate_helpers] delta, gamma = bucket_analysis(quotes, [bond]) self.assertEqual(len(quotes), len(delta)) old_values = [q.value for q in quotes] delta_manual = [] gamma_manual = [] pv = bond.npv shift = 1e-4 for v, q in zip(old_values, quotes): q.value = v + shift pv_plus = bond.npv q.value = v - shift pv_minus = bond.npv delta_manual.append((pv_plus - pv_minus) * 0.5 / shift) gamma_manual.append((pv_plus - 2 * pv + pv_minus) / shift ** 2) q.value = v assert_allclose(delta, delta_manual) assert_allclose(gamma, gamma_manual, atol=1e-4)
def test_bucket_analysis_option(self): settings = Settings() calendar = TARGET() todays_date = Date(15, May, 1998) settlement_date = Date(17, May, 1998) settings.evaluation_date = todays_date option_type = Put underlying = 40 strike = 40 dividend_yield = 0.00 risk_free_rate = 0.001 volatility = SimpleQuote(0.20) maturity = Date(17, May, 1999) daycounter = Actual365Fixed() underlyingH = SimpleQuote(underlying) payoff = PlainVanillaPayoff(option_type, strike) flat_term_structure = FlatForward(reference_date=settlement_date, forward=risk_free_rate, daycounter=daycounter) flat_dividend_ts = FlatForward(reference_date=settlement_date, forward=dividend_yield, daycounter=daycounter) flat_vol_ts = BlackConstantVol(settlement_date, calendar, volatility, daycounter) black_scholes_merton_process = BlackScholesMertonProcess( underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts) european_exercise = EuropeanExercise(maturity) european_option = VanillaOption(payoff, european_exercise) analytic_european_engine = AnalyticEuropeanEngine( black_scholes_merton_process) european_option.set_pricing_engine(analytic_european_engine) delta, gamma = bucket_analysis([underlyingH, volatility], [european_option], shift=1e-4, type=Centered) self.assertAlmostEqual(delta[0], european_option.delta) self.assertAlmostEqual(delta[1], european_option.vega) self.assertAlmostEqual(gamma[0], european_option.gamma, 5)
def test_bucketanalysis_bond(self): settings = Settings() calendar = TARGET() settlement_date = calendar.adjust(Date(28, January, 2011)) simple_quotes = [] fixing_days = 1 settlement_days = 1 todays_date = calendar.advance( settlement_date, -fixing_days, Days ) settings.evaluation_date = todays_date face_amount = 100.0 redemption = 100.0 issue_date = Date(27, January, 2011) maturity_date = Date(1, January, 2021) coupon_rate = 0.055 bond_yield = 0.034921 flat_discounting_term_structure = YieldTermStructure(relinkable=True) flat_term_structure = FlatForward( reference_date = settlement_date, forward = bond_yield, daycounter = Actual365Fixed(), compounding = Compounded, frequency = Semiannual) flat_discounting_term_structure.link_to(flat_term_structure) fixed_bond_schedule = Schedule( issue_date, maturity_date, Period(Semiannual), UnitedStates(market=GOVERNMENTBOND), Unadjusted, Unadjusted, Backward, False); bond = FixedRateBond( settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(Bond), Unadjusted, redemption, issue_date ) zspd=bf.zSpread(bond, 100.0, flat_term_structure, Actual365Fixed(), Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5) depositData = [[ 1, Months, 4.581 ], [ 2, Months, 4.573 ], [ 3, Months, 4.557 ], [ 6, Months, 4.496 ], [ 9, Months, 4.490 ]] swapData = [[ 1, Years, 4.54 ], [ 5, Years, 4.99 ], [ 10, Years, 5.47 ], [ 20, Years, 5.89 ], [ 30, Years, 5.96 ]] rate_helpers = [] end_of_month = True for m, period, rate in depositData: tenor = Period(m, Months) sq_rate = SimpleQuote(rate/100) helper = DepositRateHelper(sq_rate, tenor, settlement_days, calendar, ModifiedFollowing, end_of_month, Actual360()) simple_quotes.append(sq_rate) rate_helpers.append(helper) liborIndex = Libor('USD Libor', Period(6, Months), settlement_days, USDCurrency(), calendar, Actual360(), YieldTermStructure(relinkable=False)) spread = SimpleQuote(0) fwdStart = Period(0, Days) for m, period, rate in swapData: sq_rate = SimpleQuote(rate/100) helper = SwapRateHelper.from_tenor( sq_rate, Period(m, Years), calendar, Annual, Unadjusted, Thirty360(), liborIndex, spread, fwdStart ) simple_quotes.append(sq_rate) rate_helpers.append(helper) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve( 'discount', 'loglinear', settlement_date, rate_helpers, ts_day_counter, tolerance) discounting_term_structure = YieldTermStructure(relinkable=True) discounting_term_structure.link_to(ts) pricing_engine = DiscountingBondEngine(discounting_term_structure) bond.set_pricing_engine(pricing_engine) self.assertAlmostEqual(bond.npv, 100.83702940160767) ba = bucket_analysis([simple_quotes], [bond], [1], 0.0001, 1) self.assertTrue(2, ba) self.assertTrue(type(tuple), ba) self.assertEqual(len(simple_quotes), len(ba[0][0])) self.assertEqual(0, ba[0][0][8])
def test_bucket_analysis_option(self): settings = Settings() calendar = TARGET() todays_date = Date(15, May, 1998) settlement_date = Date(17, May, 1998) settings.evaluation_date = todays_date option_type = Put underlying = 40 strike = 40 dividend_yield = 0.00 risk_free_rate = 0.001 volatility = 0.20 maturity = Date(17, May, 1999) daycounter = Actual365Fixed() underlyingH = SimpleQuote(underlying) payoff = PlainVanillaPayoff(option_type, strike) flat_term_structure = FlatForward( reference_date = settlement_date, forward = risk_free_rate, daycounter = daycounter ) flat_dividend_ts = FlatForward( reference_date = settlement_date, forward = dividend_yield, daycounter = daycounter ) flat_vol_ts = BlackConstantVol( settlement_date, calendar, volatility, daycounter ) black_scholes_merton_process = BlackScholesMertonProcess( underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts ) european_exercise = EuropeanExercise(maturity) european_option = VanillaOption(payoff, european_exercise) analytic_european_engine = AnalyticEuropeanEngine( black_scholes_merton_process ) european_option.set_pricing_engine(analytic_european_engine) ba_eo= bucket_analysis( [[underlyingH]], [european_option], [1], 0.50, 1) self.assertTrue(2, ba_eo) self.assertTrue(type(tuple), ba_eo) self.assertEqual(1, len(ba_eo[0][0])) self.assertEqual(-0.4582666150152517, ba_eo[0][0][0])
def test_bucketanalysis_bond(self): settings = Settings() calendar = TARGET() settlement_date = calendar.adjust(Date(28, January, 2011)) simple_quotes = [] fixing_days = 1 settlement_days = 1 todays_date = calendar.advance(settlement_date, -fixing_days, Days) settings.evaluation_date = todays_date face_amount = 100.0 redemption = 100.0 issue_date = Date(27, January, 2011) maturity_date = Date(1, January, 2021) coupon_rate = 0.055 bond_yield = 0.034921 flat_discounting_term_structure = YieldTermStructure() flat_term_structure = FlatForward(reference_date=settlement_date, forward=bond_yield, daycounter=Actual365Fixed(), compounding=Compounded, frequency=Semiannual) flat_discounting_term_structure.link_to(flat_term_structure) fixed_bond_schedule = Schedule.from_rule( issue_date, maturity_date, Period(Semiannual), UnitedStates(market=GovernmentBond), Unadjusted, Unadjusted, Backward, False) bond = FixedRateBond(settlement_days, face_amount, fixed_bond_schedule, [coupon_rate], ActualActual(Bond), Unadjusted, redemption, issue_date) zspd = bf.zSpread(bond, 100.0, flat_term_structure, Actual365Fixed(), Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5) depositData = [[1, Months, 4.581], [2, Months, 4.573], [3, Months, 4.557], [6, Months, 4.496], [9, Months, 4.490]] swapData = [[1, Years, 4.54], [5, Years, 4.99], [10, Years, 5.47], [20, Years, 5.89], [30, Years, 5.96]] rate_helpers = [] end_of_month = True for m, period, rate in depositData: tenor = Period(m, Months) sq_rate = SimpleQuote(rate / 100) helper = DepositRateHelper(sq_rate, tenor, settlement_days, calendar, ModifiedFollowing, end_of_month, Actual360()) simple_quotes.append(sq_rate) rate_helpers.append(helper) liborIndex = Libor('USD Libor', Period(6, Months), settlement_days, USDCurrency(), calendar, Actual360()) spread = SimpleQuote(0) fwdStart = Period(0, Days) for m, period, rate in swapData: sq_rate = SimpleQuote(rate / 100) helper = SwapRateHelper.from_tenor(sq_rate, Period(m, Years), calendar, Annual, Unadjusted, Thirty360(), liborIndex, spread, fwdStart) simple_quotes.append(sq_rate) rate_helpers.append(helper) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve.from_reference_date(BootstrapTrait.Discount, Interpolator.LogLinear, settlement_date, rate_helpers, ts_day_counter, tolerance) discounting_term_structure = YieldTermStructure() discounting_term_structure.link_to(ts) pricing_engine = DiscountingBondEngine(discounting_term_structure) bond.set_pricing_engine(pricing_engine) self.assertAlmostEqual(bond.npv, 100.83702940160767) ba = bucket_analysis([simple_quotes], [bond], [1], 0.0001, 1) self.assertTrue(2, ba) self.assertTrue(type(tuple), ba) self.assertEqual(len(simple_quotes), len(ba[0][0])) self.assertEqual(0, ba[0][0][8])
def test_bucket_analysis_option(self): settings = Settings() calendar = TARGET() todays_date = Date(15, May, 1998) settlement_date = Date(17, May, 1998) settings.evaluation_date = todays_date option_type = Put underlying = 40 strike = 40 dividend_yield = 0.00 risk_free_rate = 0.001 volatility = SimpleQuote(0.20) maturity = Date(17, May, 1999) daycounter = Actual365Fixed() underlyingH = SimpleQuote(underlying) payoff = PlainVanillaPayoff(option_type, strike) flat_term_structure = FlatForward( reference_date = settlement_date, forward = risk_free_rate, daycounter = daycounter ) flat_dividend_ts = FlatForward( reference_date = settlement_date, forward = dividend_yield, daycounter = daycounter ) flat_vol_ts = BlackConstantVol( settlement_date, calendar, volatility, daycounter ) black_scholes_merton_process = BlackScholesMertonProcess( underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts ) european_exercise = EuropeanExercise(maturity) european_option = VanillaOption(payoff, european_exercise) analytic_european_engine = AnalyticEuropeanEngine( black_scholes_merton_process ) european_option.set_pricing_engine(analytic_european_engine) delta, gamma = bucket_analysis( [underlyingH, volatility], [european_option], shift=1e-4, type=Centered) self.assertAlmostEqual(delta[0], european_option.delta) self.assertAlmostEqual(delta[1], european_option.vega) self.assertAlmostEqual(gamma[0], european_option.gamma, 5)