def test_adi_swaption():
swaption_expiry = 1
swaption_maturity = 2
freq = 0.5
coupon = 0.062
rate = 0.06
initial_curve = get_mock_yield_curve_const(rate=rate)
kappa = 0.3
swap_pricer = SwapPricer(initial_curve, kappa)
swap = Swap(swaption_expiry, swaption_maturity, freq)
swaption_pricer = SwaptionPricer(swap_pricer)
swaption = Swaption(swaption_expiry, coupon, swap)
x = np.arange(0, 31)
y = np.ones(31) * 0.1
lambda_t = interp1d(x, y, kind='previous')
alpha_t = interp1d(x, y, kind='previous')
b_t = interp1d(x, y * 0, kind='previous')
local_volatility = LinearLocalVolatility(lambda_t, alpha_t, b_t)
#local_volatility = LinearLocalVolatility.from_const(30, 0.1, 0.1, 0.1)
t_min = 0
t_max = swaption_expiry
t_grid_size = 100
x_grid_size = 401
y_grid_size = 20
x_min, x_max = calculate_x_boundaries2(t_max, local_volatility, alpha=3)
y_min, y_max = calculate_u_boundaries(t_max,
kappa,
local_volatility,
alpha=3)
mesher = Mesher2d()
mesher.create_mesher_2d(t_min, t_max, t_grid_size, x_min, x_max,
x_grid_size, y_min, y_max, y_grid_size)
theta = 0.5
adi_runner = AdiRunner(theta, kappa, initial_curve, local_volatility,
mesher)
swaption_value0 = adi_runner.run_adi(swaption, swaption_pricer)
x0 = extract_x0_result(swaption_value0, mesher.xgrid, mesher.ugrid)
print("Swaption value at 0: ", x0)
def test_adi_swaption2():
swaption_expiry = 5
swaption_maturity = 10
freq = 0.5
rate = 0.06
initial_curve = get_mock_yield_curve_const(rate=rate)
kappa = 0.3
swap_pricer = SwapPricer(initial_curve, kappa)
swap = Swap(swaption_expiry, swaption_maturity, freq)
swaption_pricer = SwaptionPricer(swap_pricer)
coupon = swap_pricer.price(swap, 0, 0, 0)
swaption = Swaption(swaption_expiry, coupon, swap)
local_volatility = LinearLocalVolatility.from_const(30, 0.5, 0.1, 0.2)
#local_volatility = LinearLocalVolatility.from_const(30, 0.1, 0.1, 0.1)
t_min = 0
t_max = swaption_expiry
t_grid_size = 100
x_grid_size = 401
y_grid_size = 20
x_min, x_max = calculate_x_boundaries2(t_max, local_volatility, alpha=3)
y_min, y_max = calculate_u_boundaries(t_max,
kappa,
local_volatility,
alpha=3)
mesher = Mesher2d()
mesher.create_mesher_2d(t_min, t_max, t_grid_size, x_min, x_max,
x_grid_size, y_min, y_max, y_grid_size)
theta = 0.5
adi_runner = AdiRunner(theta, kappa, initial_curve, local_volatility,
mesher)
swaption_value0 = adi_runner.run_adi(swaption, swaption_pricer)
x0 = extract_x0_result(swaption_value0, mesher.xgrid, mesher.ugrid)
implied_vola = find_implied_black_vola(x0, swaption, swap_pricer,
swap_pricer.bond_pricer)
print("Swaption value at 0: ", x0, implied_vola)
def test_adi_bond2():
swaption_expiry = 10
swaption_maturity = 15
freq = 0.5
logvola = 0.2
maturity = 10
initial_curve = get_mock_yield_curve_const(rate=0.06)
kappa = 0.5
swap_pricer = SwapPricer(initial_curve, kappa)
swap = Swap(swaption_expiry, swaption_maturity, freq)
local_volatility = BlackVolatilityModel(logvola, swap, swap_pricer)
t_min = 0
t_max = swaption_expiry
t_grid_size = 100
x_grid_size = 401
y_grid_size = 40
x_min, x_max = calculate_x_boundaries2(t_max, local_volatility, alpha=2)
y_min, y_max = calculate_u_boundaries(t_max,
kappa,
local_volatility,
alpha=2)
x_min, x_max = -0.05, +0.05
mesher = Mesher2d()
mesher.create_mesher_2d(t_min, t_max, t_grid_size, x_min, x_max,
x_grid_size, y_min, y_max, y_grid_size)
theta = 0.5
adi_runner = AdiRunner(theta, kappa, initial_curve, local_volatility,
mesher)
bond = Bond(maturity)
bond_pricer = BondPricer(initial_curve, kappa)
bond_value0 = adi_runner.run_adi(bond, bond_pricer)
print("pause")
def test_adi_bond():
maturity = 10
linear_local_volatility = LinearLocalVolatility.from_const(
30, 0.1, 0.1, 0.1)
#linear_local_volatility = LinearLocalVolatility.from_const(30, 0.1, 0.1, 0)
theta = 0.5
kappa = 0.3
initial_curve = get_mock_yield_curve_const(rate=0.06)
t_min = 0
t_max = maturity
t_grid_size = 200
x_grid_size = 201
y_grid_size = 20
x_min, x_max = calculate_x_boundaries2(t_max,
linear_local_volatility,
alpha=2.5)
y_min, y_max = calculate_u_boundaries(t_max,
kappa,
linear_local_volatility,
alpha=2.5)
mesher = Mesher2d()
mesher.create_mesher_2d(t_min, t_max, t_grid_size, x_min, x_max,
x_grid_size, y_min, y_max, y_grid_size)
adi_runner = AdiRunner(theta, kappa, initial_curve,
linear_local_volatility, mesher)
bond = Bond(maturity)
bond_pricer = BondPricer(initial_curve, kappa)
bond_t0 = adi_runner.run_adi(bond, bond_pricer)
bond_xyt0 = extract_x0_result(bond_t0, adi_runner.mesher.xgrid,
adi_runner.mesher.ugrid)
actual = bond_pricer.price(bond, 0, 0, 0)
np.testing.assert_approx_equal(bond_xyt0, actual)
def adi_bond_report():
output_path = os.path.join(output_data_raw_finite_difference,
date_timestamp)
curve_rate = 0.01
maturity_grid = [30]
kappa_grid = [0.03]
theta = 1 / 2
initial_curve = get_mock_yield_curve_const(rate=curve_rate)
vola_parameters = [(i, curve_rate, j) for i in [0.05, 0.1, 0.2, 0.4]
for j in [0.1, 0.3, 0.5, 0.7, 0.9]]
vola_grid_df = pd.DataFrame(vola_parameters,
columns=["lambda", "alpha", "beta"])
finite_difference_parameter = [(100, 150, 20), (300, 400, 80)]
#finite_difference_parameter = [(100, 150, 20)]
finite_difference_grid_df = pd.DataFrame(
finite_difference_parameter,
columns=["t_grid_size", "x_grid_size", "y_grid_size"])
output_path = get_nonexistant_path(output_path)
vola_grid_df = vola_grid_df.loc[(vola_grid_df["lambda"] == 0.4)
& (vola_grid_df["beta"] == 0.35)]
for maturity in maturity_grid:
for kappa in kappa_grid:
bond = Bond(maturity)
bond_pricer = BondPricer(initial_curve, kappa)
for index, vola_grid_row in vola_grid_df.iterrows():
loca_vola = LinearLocalVolatility.from_const(
maturity, vola_grid_row["lambda"], vola_grid_row["alpha"],
vola_grid_row["beta"])
for index, finite_difference_grid_row in finite_difference_grid_df.iterrows(
):
x_grid_size = finite_difference_grid_row["x_grid_size"]
y_grid_size = finite_difference_grid_row["y_grid_size"]
t_grid_size = finite_difference_grid_row["t_grid_size"]
t_min = 0
t_max = maturity
x_min, x_max = calculate_x_boundaries2(t_max,
loca_vola,
alpha=3)
x_min, x_max = calculate_x_boundaries3(t_max,
kappa,
loca_vola,
alpha=3)
u_min, u_max = calculate_u_boundaries(t_max,
kappa,
loca_vola,
alpha=4)
mesher = Mesher2d()
mesher.create_mesher_2d(t_min, t_max, t_grid_size, x_min,
x_max, x_grid_size, u_min, u_max,
y_grid_size)
adi_runner = AdiRunner(theta, kappa, initial_curve,
loca_vola, mesher)
bond_t0 = pd.DataFrame(
adi_runner.run_adi(bond, bond_pricer))
output_file = os.path.join(output_path,
"bond_price_fd.hdf")
file_path = get_nonexistant_path(output_file)
meta_data = {
"x_grid_size": int(x_grid_size),
"y_grid_size": int(y_grid_size),
"maturity": maturity,
"t_grid_size": int(t_grid_size),
"vola_lambda": vola_grid_row["lambda"],
"vola_alpha": vola_grid_row["alpha"],
"vola_beta": vola_grid_row["beta"],
"curve_rate": curve_rate,
"kappa": kappa
}
meta_data = pd.DataFrame(meta_data, index=[0])
bond_t0.to_hdf(file_path, key="data", complevel=5)
meta_data.to_hdf(file_path, key="metadata", complevel=5)
pd.DataFrame(mesher.xmesh).to_hdf(file_path,
key='xmesh',
complevel=5)
pd.DataFrame(mesher.umesh).to_hdf(file_path,
key='ymesh',
complevel=5)
pd.DataFrame(mesher.xgrid).to_hdf(file_path,
key='xgrid',
complevel=5)
pd.DataFrame(mesher.ugrid).to_hdf(file_path,
key='ygrid',
complevel=5)
def adi_swaption_report():
output_path = os.path.join(output_data_raw_finite_difference, date_timestamp)
curve_rate = 0.06
kappa_grid = [0.03]
theta = 1/2
initial_curve = get_mock_yield_curve_const(rate=curve_rate)
finite_difference_parameter = [(100, 150, 10), (400, 800, 60)]
finite_difference_parameter = [(150, 200, 80)]
#finite_difference_parameter = [(400, 800, 60)]
#finite_difference_parameter = [(800, 1000, 100)]
finite_difference_parameter = [(50, 100, 10), (100, 150, 20), (150, 200, 40), (200, 300, 60), (300, 400, 80)]
finite_difference_parameter = [(400, 600, 100)]
#finite_difference_parameter = [(600, 800, 120)]
#finite_difference_parameter = [(100, 150, 20), (150, 200, 40), (300, 400, 80), (400, 600, 100)]
#finite_difference_parameter = [ (400, 600, 100)]
finite_difference_parameter = [(100, 150, 20), (150, 200, 40), (300, 400, 80), (400, 600, 100)]
#finite_difference_parameter = [ (400, 600, 100)]
finite_difference_parameter = [(300, 400, 80)]
#finite_difference_parameter = [(150, 200, 40)]
finite_difference_grid_df = pd.DataFrame(finite_difference_parameter, columns=["t_grid_size", "x_grid_size", "y_grid_size"])
output_path = get_nonexistant_path(output_path)
vola_parameters = [(i, curve_rate, j) for i in [0.6, 0.8] for j in [0.05, 0.2]]
vola_grid_df = pd.DataFrame(vola_parameters, columns=["lambda", "alpha", "beta"])
#coupon_grid = [0, +0.0025, -0.0025, +0.005, -0.005, +0.01, -0.01, 0.015, -0.015, 0.02, -0.02, 0.025, -0.025]
#swap_ls = [(1, 6), (5, 10), (10, 20), (20, 30), (25, 30)]
#swap_ls = [(1,6), (5, 10), (10,20)]
swap_ls = [(20, 21)]
coupon_grid = [0, +0.005, -0.005, +0.01, -0.01, 0.015, -0.015]
#coupon_grid = [0]
#coupon_grid = [0]
#swap_ls = [(5, 10)]
#finite_difference_grid_df = finite_difference_grid_df[:-1]
vola_grid_df = vola_grid_df.iloc[[0, 3]]
for swap_exp_mat in swap_ls:
expiry, maturity = swap_exp_mat
for kappa in kappa_grid:
swap_pricer = SwapPricer(initial_curve, kappa)
swaption_pricer = SwaptionPricer(swap_pricer)
swap = Swap(expiry, maturity, 0.5)
atm_swap_price = swap_pricer.price(swap, 0, 0, 0)
strike_grid = [atm_swap_price+coupon for coupon in coupon_grid]
#strike_grid = [0.01, 0.015, 0.02, 0.025, 0.03]
for strike in strike_grid:
swaption = Swaption(expiry, strike, swap)
for index, vola_grid_row in vola_grid_df.iterrows():
loca_vola = LinearLocalVolatility.from_const(maturity, vola_grid_row["lambda"], vola_grid_row["alpha"], vola_grid_row["beta"])
for index, finite_difference_grid_row in finite_difference_grid_df.iterrows():
x_grid_size = finite_difference_grid_row["x_grid_size"]
y_grid_size = finite_difference_grid_row["y_grid_size"]
t_grid_size = finite_difference_grid_row["t_grid_size"]
t_min = 0
t_max = expiry
x_min, x_max = calculate_x_boundaries2(t_max, loca_vola, alpha=3)
x_min, x_max = calculate_x_boundaries3(expiry, kappa, loca_vola, alpha=4)
y_min, y_max = calculate_u_boundaries(t_max, kappa, loca_vola, alpha=4)
mesher = Mesher2d()
mesher.create_mesher_2d(t_min, t_max, t_grid_size, x_min, x_max, x_grid_size, y_min, y_max,
y_grid_size)
adi_runner = AdiRunner(theta, kappa, initial_curve, loca_vola, mesher)
swaption_t0 = pd.DataFrame(adi_runner.run_adi(swaption, swaption_pricer))
output_file = os.path.join(output_path, "swaption_price_fd.hdf")
file_path = get_nonexistant_path(output_file)
swaption_t0_x0_y0 = extract_x0_result(swaption_t0.values, mesher.xgrid, mesher.ugrid)
implied_black_vola = find_implied_black_vola(swaption_t0_x0_y0, swaption, swap_pricer, swap_pricer.bond_pricer)
meta_data = {"expiry": expiry, "maturity": maturity, "strike": strike,
"atm strike": atm_swap_price, "moneyness": strike - atm_swap_price,
"x_grid_size": int(x_grid_size), "y_grid_size": int(y_grid_size),
"t_grid_size": int(t_grid_size),
"vola_lambda": vola_grid_row["lambda"], "vola_alpha": vola_grid_row["alpha"],
"vola_beta": vola_grid_row["beta"], "curve_rate": curve_rate, "kappa": kappa,
"swaption_value": swaption_t0_x0_y0, "implied_black_vola": implied_black_vola}
meta_data = pd.DataFrame(meta_data, index=[0])
swaption_t0.to_hdf(file_path, key="data", complevel=5)
meta_data.to_hdf(file_path, key="metadata", complevel=5)
print(meta_data)
pd.DataFrame(mesher.xmesh).to_hdf(file_path, key='xmesh', complevel=5)
pd.DataFrame(mesher.umesh).to_hdf(file_path, key='ymesh', complevel=5)
pd.DataFrame(mesher.xgrid).to_hdf(file_path, key='xgrid', complevel=5)
pd.DataFrame(mesher.ugrid).to_hdf(file_path, key='ygrid', complevel=5)