def test_FinDiscountCurves():
# Create a curve from times and discount factors
valuationDate = FinDate(1, 1, 2018)
years = [1.0, 2.0, 3.0, 4.0, 5.0]
dates = valuationDate.addYears(years)
years2 = []
for dt in dates:
y = (dt - valuationDate) / gDaysInYear
years2.append(y)
rates = np.array([0.05, 0.06, 0.065, 0.07, 0.075])
discountFactors = np.exp(-np.array(rates) * np.array(years2))
curvesList = []
finDiscountCurve = FinDiscountCurve(valuationDate, dates, discountFactors,
FinInterpTypes.FLAT_FORWARDS)
curvesList.append(finDiscountCurve)
finDiscountCurveFlat = FinDiscountCurveFlat(valuationDate, 0.05)
curvesList.append(finDiscountCurveFlat)
finDiscountCurveNS = FinDiscountCurveNS(valuationDate, 0.0305, -0.01, 0.08,
10.0)
curvesList.append(finDiscountCurveNS)
finDiscountCurveNSS = FinDiscountCurveNSS(valuationDate, 0.035, -0.02,
0.09, 0.1, 1.0, 2.0)
curvesList.append(finDiscountCurveNSS)
finDiscountCurvePoly = FinDiscountCurvePoly(valuationDate,
[0.05, 0.002, -0.00005])
curvesList.append(finDiscountCurvePoly)
finDiscountCurvePWF = FinDiscountCurvePWF(valuationDate, dates, rates)
curvesList.append(finDiscountCurvePWF)
finDiscountCurvePWL = FinDiscountCurvePWL(valuationDate, dates, rates)
curvesList.append(finDiscountCurvePWL)
finDiscountCurveZeros = FinDiscountCurveZeros(valuationDate, dates, rates)
curvesList.append(finDiscountCurveZeros)
curveNames = []
for curve in curvesList:
curveNames.append(type(curve).__name__)
testCases.banner("SINGLE CALLS NO VECTORS")
testCases.header("CURVE", "DATE", "ZERO", "DF", "CCFWD", "MMFWD", "SWAP")
years = np.linspace(1, 10, 10)
fwdMaturityDates = valuationDate.addYears(years)
testCases.banner("######################################################")
testCases.banner("SINGLE CALLS")
testCases.banner("######################################################")
for name, curve in zip(curveNames, curvesList):
for fwdMaturityDate in fwdMaturityDates:
tenor = "3M"
zeroRate = curve.zeroRate(fwdMaturityDate)
fwd = curve.fwd(fwdMaturityDate)
fwdRate = curve.fwdRate(fwdMaturityDate, tenor)
swapRate = curve.swapRate(valuationDate, fwdMaturityDate)
df = curve.df(fwdMaturityDate)
testCases.print("%-20s" % name, "%-12s" % fwdMaturityDate,
"%7.6f" % (zeroRate), "%8.7f" % (df),
"%7.6f" % (fwd), "%7.6f" % (fwdRate),
"%7.6f" % (swapRate))
# Examine vectorisation
testCases.banner("######################################################")
testCases.banner("VECTORISATIONS")
testCases.banner("######################################################")
for name, curve in zip(curveNames, curvesList):
tenor = "3M"
zeroRate = curve.zeroRate(fwdMaturityDates)
fwd = curve.fwd(fwdMaturityDates)
fwdRate = curve.fwdRate(fwdMaturityDates, tenor)
swapRate = curve.swapRate(valuationDate, fwdMaturityDates)
df = curve.df(fwdMaturityDates)
for i in range(0, len(fwdMaturityDates)):
testCases.print("%-20s" % name, "%-12s" % fwdMaturityDate,
"%7.6f" % (zeroRate[i]), "%8.7f" % (df[i]),
"%7.6f" % (fwd[i]), "%7.6f" % (fwdRate[i]),
"%7.6f" % (swapRate[i]))
if PLOT_GRAPHS:
years = np.linspace(0, 10, 121)
years2 = years + 1.0
fwdDates = valuationDate.addYears(years)
fwdDates2 = valuationDate.addYears(years2)
plt.figure()
for name, curve in zip(curveNames, curvesList):
zeroRates = curve.zeroRate(fwdDates)
plt.plot(years, zeroRates, label=name)
plt.legend()
plt.title("Zero Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
fwdRates = curve.fwd(fwdDates)
plt.plot(years, fwdRates, label=name)
plt.legend()
plt.title("CC Fwd Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
fwdRates = curve.fwdRate(fwdDates, fwdDates2)
plt.plot(years, fwdRates, label=name)
plt.legend()
plt.title("CC Fwd Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
dfs = curve.df(fwdDates)
plt.plot(years, dfs, label=name)
plt.legend()
plt.title("Discount Factors")
def test_FinNelsonSiegelCurve():
tau = 2.0
times = np.linspace(0.0, 10.0, 5)
curveDate = FinDate(2019, 6, 6)
dates = curveDate.addYears(times)
curve1 = FinDiscountCurveNS(curveDate, 1, 0, 0, tau)
factor1loading = curve1.zeroRate(dates)
curve2 = FinDiscountCurveNS(curveDate, 0, 1, 0, tau)
factor2loading = curve2.zeroRate(dates)
curve3 = FinDiscountCurveNS(curveDate, 0, 0, 1, tau)
factor3loading = curve3.zeroRate(dates)
testCases.header("FACTOR LOADING ON ZERO RATES")
testCases.print(factor1loading)
testCases.print(factor2loading)
testCases.print(factor3loading)
if PLOT_GRAPHS:
plt.figure(figsize=(6, 4))
plt.plot(times, scale(factor1loading, 1), label='beta1')
plt.plot(times, scale(factor2loading, 1), label='beta2')
plt.plot(times, scale(factor3loading, 1), label='beta3')
plt.ylim((0, 1.05))
plt.title('Factor Loadings in Nelson-Siegel Model')
plt.xlabel('Time (years)')
plt.ylabel('Loading')
plt.legend(loc='best')
###########################################################################
testCases.header("BETA1", "BETA2", "BETA3", "ZEROS")
beta1 = 0.03
beta2 = -0.02
beta3 = 0.02
curve1 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates1 = curve1.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates1)
beta1 = 0.04
beta2 = -0.02
beta3 = 0.02
curve2 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates2 = curve2.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates2)
beta1 = 0.05
beta2 = -0.02
beta3 = 0.02
curve3 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates3 = curve3.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates3)
beta1 = 0.06
beta2 = -0.02
beta3 = 0.02
curve4 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates4 = curve4.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates4)
beta1 = 0.07
beta2 = -0.02
beta3 = 0.02
curve5 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates5 = curve5.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates5)
if PLOT_GRAPHS:
plt.figure(figsize=(6, 4))
plt.plot(times, scale(zeroRates1, 100), label='beta1=3%')
plt.plot(times, scale(zeroRates2, 100), label='beta1=4%')
plt.plot(times, scale(zeroRates3, 100), label='beta1=5%')
plt.plot(times, scale(zeroRates4, 100), label='beta1=6%')
plt.plot(times, scale(zeroRates5, 100), label='beta1=7%')
plt.ylim((0, 7.5))
plt.title('Nelson-Siegel Zero Rate Curves')
plt.xlabel('Time (years)')
plt.ylabel('Zero Rate (%)')
plt.legend(loc='lower right', frameon=False)
###########################################################################
beta1 = 0.06
beta2 = -0.04
beta3 = 0.02
curve1 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates1 = curve1.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates1)
beta1 = 0.06
beta2 = -0.02
beta3 = 0.02
curve2 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates2 = curve2.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates2)
beta1 = 0.06
beta2 = 0.00
beta3 = 0.02
curve3 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates3 = curve3.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates3)
beta1 = 0.06
beta2 = 0.02
beta3 = 0.02
curve4 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates4 = curve4.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates4)
beta1 = 0.06
beta2 = 0.04
beta3 = 0.02
curve5 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates5 = curve5.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates5)
if PLOT_GRAPHS:
plt.figure(figsize=(6, 4))
plt.plot(times, scale(zeroRates1, 100), label='beta2=-4%')
plt.plot(times, scale(zeroRates2, 100), label='beta2=-2%')
plt.plot(times, scale(zeroRates3, 100), label='beta2=0%')
plt.plot(times, scale(zeroRates4, 100), label='beta2=2%')
plt.plot(times, scale(zeroRates5, 100), label='beta2=4%')
plt.ylim((0, 10))
plt.title('Nelson-Siegel Zero Rate Curves: Varying beta2')
plt.xlabel('Time (years)')
plt.ylabel('Zero Rate (%)')
plt.legend(loc='lower right', frameon=False)
beta1 = 0.06
beta2 = -0.02
beta3 = -0.02
curve1 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates1 = curve1.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates1)
beta1 = 0.06
beta2 = -0.02
beta3 = 0.00
curve2 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates2 = curve2.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates2)
beta1 = 0.06
beta2 = -0.02
beta3 = 0.02
curve3 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates3 = curve3.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates3)
beta1 = 0.06
beta2 = -0.02
beta3 = 0.04
curve4 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates4 = curve4.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates4)
beta1 = 0.06
beta2 = -0.02
beta3 = 0.06
curve5 = FinDiscountCurveNS(curveDate, beta1, beta2, beta3, tau)
zeroRates5 = curve5.zeroRate(dates)
testCases.print(beta1, beta2, beta3, zeroRates5)
if PLOT_GRAPHS:
plt.figure(figsize=(6, 4))
plt.plot(times, scale(zeroRates1, 100), label='beta3=-2%')
plt.plot(times, scale(zeroRates2, 100), label='beta3=0%')
plt.plot(times, scale(zeroRates3, 100), label='beta3=2%')
plt.plot(times, scale(zeroRates4, 100), label='beta3=4%')
plt.plot(times, scale(zeroRates5, 100), label='beta3=6%')
plt.ylim((3.5, 7.5))
plt.title('Nelson-Siegel Zero Rate Curves: Varying beta3')
plt.xlabel('Time (years)')
plt.ylabel('Zero Rate (%)')
plt.legend(loc='lower right', frameon=False)