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_display(self): settings = Settings() # Date setup calendar = TARGET() # Settlement date settlement_date = calendar.adjust(Date(28, January, 2011)) # Evaluation date fixing_days = 1 settlement_days = 1 todays_date = calendar.advance( settlement_date, -fixing_days, Days ) settings.evaluation_date = todays_date # Bound attributes face_amount = 100.0 redemption = 100.0 issue_date = Date(27, January, 2011) maturity_date = Date(31, August, 2020) coupon_rate = 0.03625 bond_yield = 0.034921 flat_discounting_term_structure = YieldTermStructure() flat_term_structure = FlatForward( reference_date = settlement_date, forward = bond_yield, daycounter = Actual365Fixed(), #actual_actual.ActualActual(actual_actual.Bond), compounding = Compounded, frequency = Semiannual) # have a look at the FixedRateBondHelper to simplify this # construction flat_discounting_term_structure.link_to(flat_term_structure) #Rate 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 ) d=bf.startDate(bond) zspd=bf.zSpread(bond, 100.0, flat_term_structure, Actual365Fixed(), Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5) #Also need a test case for a PiecewiseTermStructure... 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) helper = DepositRateHelper(SimpleQuote(rate/100), tenor, settlement_days, calendar, ModifiedFollowing, end_of_month, Actual360()) 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: helper = SwapRateHelper.from_tenor( SimpleQuote(rate/100), Period(m, Years), calendar, Annual, Unadjusted, Thirty360(), liborIndex, spread, fwdStart ) 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) pyc_zspd=bf.zSpread(bond, 102.0, ts, ActualActual(ISDA), Compounded, Semiannual, Date(1, April, 2015), 1e-6, 100, 0.5) pyc_zspd_disco=bf.zSpread(bond, 95.0, ts, ActualActual(ISDA), Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5) yld = bf.yld(bond, 102.0, ActualActual(ISDA), Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5) dur = bf.duration(bond, yld, ActualActual(ISDA), Compounded, Semiannual, 2, settlement_date) yld_disco = bf.yld(bond, 95.0, ActualActual(ISDA), Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5) dur_disco = bf.duration(bond, yld_disco, ActualActual(ISDA), Compounded, Semiannual, 2, settlement_date) self.assertEqual(round(zspd, 6), 0.001281) self.assertEqual(round(pyc_zspd, 4), -0.0264) self.assertEqual(round(pyc_zspd_disco, 4), -0.0114) self.assertEqual(round(yld, 4), 0.0338) self.assertEqual(round(yld_disco, 4), 0.0426) self.assertEqual(round(dur, 4), 8.0655) self.assertEqual(round(dur_disco, 4), 7.9702)
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])