def create_fixed_float_swap(self, settlement_date, length, fixed_rate,
floating_spread, **kwargs):
"""
Create a fixed-for-float swap given:
- settlement date
- length in years
- additional arguments to modify market default parameters
"""
_params = self._params._replace(**kwargs)
index = IborIndex.from_name(self._market,
self._forecast_term_structure, **kwargs)
swap_type = Payer
nominal = 100.0
fixed_convention = \
BusinessDayConvention.from_name(_params.fixed_leg_convention)
floating_convention = \
BusinessDayConvention.from_name(_params.floating_leg_convention)
fixed_frequency = \
Period(_params.fixed_leg_period)
floating_frequency = Period(_params.floating_leg_period)
fixed_daycount = DayCounter.from_name(_params.fixed_leg_daycount)
float_daycount = DayCounter.from_name(_params.floating_leg_daycount)
calendar = calendar_from_name(_params.calendar)
maturity = calendar.advance(settlement_date,
length,
Years,
convention=floating_convention)
fixed_schedule = Schedule.from_rule(settlement_date, maturity,
fixed_frequency, calendar,
fixed_convention, fixed_convention,
Rule.Forward, False)
float_schedule = Schedule.from_rule(settlement_date, maturity,
floating_frequency, calendar,
floating_convention,
floating_convention, Rule.Forward,
False)
swap = VanillaSwap(swap_type, nominal, fixed_schedule, fixed_rate,
fixed_daycount, float_schedule, index,
floating_spread, float_daycount, fixed_convention)
engine = DiscountingSwapEngine(self._discount_term_structure,
False,
settlement_date=settlement_date,
npv_date=settlement_date)
swap.set_pricing_engine(engine)
return swap
def test_swap_QL(self):
"""
Test that a swap with fixed coupon = fair rate has an NPV=0
Create from QL objects
"""
nominal = 100.0
fixedConvention = Unadjusted
floatingConvention = ModifiedFollowing
fixedFrequency = Annual
floatingFrequency = Semiannual
fixedDayCount = Thirty360()
floatDayCount = Thirty360()
calendar = TARGET()
settlement_days = 2
eval_date = Date(2, January, 2014)
settings = Settings()
settings.evaluation_date = eval_date
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
termStructure = YieldTermStructure(relinkable=True)
termStructure.link_to(
FlatForward(settlement_date, 0.05, Actual365Fixed()))
index = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360(), termStructure)
length = 5
fixedRate = .05
floatingSpread = 0.0
maturity = calendar.advance(settlement_date,
length,
Years,
convention=floatingConvention)
fixedSchedule = Schedule(settlement_date, maturity,
Period(fixedFrequency), calendar,
fixedConvention, fixedConvention,
Rule.Forward, False)
floatSchedule = Schedule(settlement_date, maturity,
Period(floatingFrequency), calendar,
floatingConvention, floatingConvention,
Rule.Forward, False)
engine = DiscountingSwapEngine(termStructure, False, settlement_date,
settlement_date)
for swap_type in [Payer, Receiver]:
swap = VanillaSwap(swap_type, nominal, fixedSchedule, fixedRate,
fixedDayCount, floatSchedule, index,
floatingSpread, floatDayCount, fixedConvention)
swap.set_pricing_engine(engine)
fixed_leg = swap.fixed_leg
floating_leg = swap.floating_leg
f = swap.fair_rate
print('fair rate: %f' % f)
p = swap.net_present_value
print('NPV: %f' % p)
swap = VanillaSwap(swap_type, nominal, fixedSchedule, f,
fixedDayCount, floatSchedule, index,
floatingSpread, floatDayCount, fixedConvention)
swap.set_pricing_engine(engine)
p = swap.net_present_value
print('NPV: %f' % p)
self.assertAlmostEqual(p, 0)
fixedLegConvention, fixedLegConvention,
Forward, False)
fwdFloatSchedule = Schedule.from_rule(fwdStart, fwdMaturity,
Period(floatingLegFrequency), calendar,
floatingLegConvention,
floatingLegConvention, Forward, False)
oneYearForward5YearSwap = VanillaSwap(swapType, nominal, fwdFixedSchedule,
fixedRate, fixedLegDayCounter,
fwdFloatSchedule, euriborIndex, spread,
floatingLegDayCounter)
# /***************
# * SWAP PRICING *
# ****************/
swapEngine = DiscountingSwapEngine(discountingTermStructure)
spot5YearSwap.set_pricing_engine(swapEngine)
oneYearForward5YearSwap.set_pricing_engine(swapEngine)
headers = ["", "net present value", "fair spread", "fair fixed rate"]
s5yRate = swap_quotes[5 * Years]
NPV = spot5YearSwap.npv
fairSpread = spot5YearSwap.fair_spread
fairRate = spot5YearSwap.fair_rate
vals1 = [f"5-years swap paying {fixedRate:.2%}", NPV, fairSpread, fairRate]
# now let's price the 1Y forward 5Y swap
NPV = oneYearForward5YearSwap.npv