class SofrFuture(unittest.TestCase):
def setUp(self):
self.today = Date(26, October, 2018)
self.settings = Settings().__enter__()
self.settings.evaluation_date = self.today
def test_bootstrap(self):
""" testing bootstrap over SOFR futures..."""
sofr_quotes = [
[Monthly, Oct, 2018, 97.8175, RateAveraging.Simple],
[Monthly, Nov, 2018, 97.770, RateAveraging.Simple],
[Monthly, Dec, 2018, 97.685, RateAveraging.Simple],
[Monthly, Jan, 2019, 97.595, RateAveraging.Simple],
[Monthly, Feb, 2019, 97.590, RateAveraging.Simple],
[Monthly, Mar, 2019, 97.525, RateAveraging.Simple],
[Quarterly, Mar, 2019, 97.440, RateAveraging.Compound],
[Quarterly, Jun, 2019, 97.295, RateAveraging.Compound],
[Quarterly, Sep, 2019, 97.220, RateAveraging.Compound],
[Quarterly, Dec, 2019, 97.170, RateAveraging.Compound],
[Quarterly, Mar, 2020, 97.160, RateAveraging.Compound],
[Quarterly, Jun, 2020, 97.165, RateAveraging.Compound],
[Quarterly, Sep, 2020, 97.175, RateAveraging.Compound],
]
index = Sofr()
index.add_fixing(Date(1, October, 2018), 0.0222)
index.add_fixing(Date(2, October, 2018), 0.022)
index.add_fixing(Date(3, October, 2018), 0.022)
index.add_fixing(Date(4, October, 2018), 0.0218)
index.add_fixing(Date(5, October, 2018), 0.0216)
index.add_fixing(Date(9, October, 2018), 0.0215)
index.add_fixing(Date(10, October, 2018), 0.0215)
index.add_fixing(Date(11, October, 2018), 0.0217)
index.add_fixing(Date(12, October, 2018), 0.0218)
index.add_fixing(Date(15, October, 2018), 0.0221)
index.add_fixing(Date(16, October, 2018), 0.0218)
index.add_fixing(Date(17, October, 2018), 0.0218)
index.add_fixing(Date(18, October, 2018), 0.0219)
index.add_fixing(Date(19, October, 2018), 0.0219)
index.add_fixing(Date(22, October, 2018), 0.0218)
index.add_fixing(Date(23, October, 2018), 0.0217)
index.add_fixing(Date(24, October, 2018), 0.0218)
index.add_fixing(Date(25, October, 2018), 0.0219)
helpers = []
for freq, month, year, price, compounding in sofr_quotes:
helpers.append(
SofrFutureRateHelper(price, month, year, freq, index, 0.0, compounding)
)
curve = PiecewiseYieldCurve[BootstrapTrait.Discount, Linear].from_reference_date(self.today, helpers, Actual365Fixed())
sofr = Sofr(curve)
sf = OvernightIndexFuture(sofr, Date(20, Mar, 2019), Date(19, Jun, 2019))
expected_price = 97.44
tolerance = 1e-9
self.assertAlmostEqual(sf.npv, expected_price, 9)
def tearDown(self):
self.settings.__exit__(None, None, None)
class TestOvernightIndexedSwap(unittest.TestCase):
def setUp(self):
self.today = Date(5, 2, 2009)
self.settlement_days = 2
self.nominal = 100
self.settings = Settings().__enter__()
self.settings.evaluation_date = self.today
self.eonia_term_structure = YieldTermStructure()
self.eonia_index = Eonia(self.eonia_term_structure)
self.calendar = self.eonia_index.fixing_calendar
self.settlement = self.calendar.advance(self.today,
self.settlement_days,
Following)
self.eonia_term_structure.link_to(flat_rate(0.05))
def make_swap(self,
length,
fixed_rate,
spread,
telescopic_value_dates,
effective_date=None,
payment_lag=0,
averaging_method=RateAveraging.Compound):
return (MakeOIS(
length, self.eonia_index, fixed_rate,
0 * Days).with_effective_date(
self.settlement if effective_date is None else effective_date
).with_overnight_leg_spread(spread).with_nominal(
self.nominal).with_payment_lag(
payment_lag).with_discounting_term_structure(
self.eonia_term_structure).with_telescopic_value_dates(
telescopic_value_dates).with_averaging_method(
averaging_method))()
def test_fair_rate(self):
lengths = [1 * Years, 2 * Years, 5 * Years, 10 * Years, 20 * Years]
spreads = [-0.001, -.01, 0.0, 0.01, 0.001]
for length, spread in product(lengths, spreads):
with self.subTest(length=length, spread=spread):
swap = self.make_swap(length, 0.0, spread, False)
swap2 = self.make_swap(length, 0.0, spread, True)
self.assertAlmostEqual(swap.fair_rate, swap2.fair_rate)
swap = self.make_swap(length, swap.fair_rate, spread, False)
self.assertAlmostEqual(swap.npv, 0.0)
swap = self.make_swap(length, swap.fair_rate, spread, True)
self.assertAlmostEqual(swap.npv, 0.0)
def test_fair_spread(self):
lengths = [1 * Years, 2 * Years, 5 * Years, 10 * Years, 20 * Years]
rates = [0.04, 0.05, 0.06, 0.07]
for length, rate in product(lengths, rates):
with self.subTest(length=length, rate=rate):
swap = self.make_swap(length, rate, 0.0, False)
swap2 = self.make_swap(length, rate, 0.0, True)
fair_spread = swap.fair_spread
fair_spread2 = swap.fair_spread
self.assertAlmostEqual(swap.fair_spread, swap2.fair_spread)
swap = self.make_swap(length, rate, fair_spread, False)
self.assertAlmostEqual(swap.npv, 0.0)
swap = self.make_swap(length, rate, fair_spread, True)
self.assertAlmostEqual(swap.npv, 0.0)
def test_cached_value(self):
flat = 0.05
self.eonia_term_structure.link_to(
flat_rate(flat, Actual360(), reference_date=self.settlement))
fixed_rate = math.exp(flat) - 1
swap = self.make_swap(1 * Years, fixed_rate, 0.0, False)
swap2 = self.make_swap(1 * Years, fixed_rate, 0.0, True)
cached_npv = 0.001730450147
self.assertAlmostEqual(swap.npv, cached_npv)
self.assertAlmostEqual(swap2.npv, cached_npv)
def tearUp(self):
self.settings.__exit__(None, None, None)
