def test_FinFXMktVolSurface5(verboseCalibration):
###########################################################################
# Here I remove the 10D Vols
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
marketStrangle10DeltaVols = [2.433, 2.83, 3.228, 3.485, 3.806, 3.208]
riskReversal10DeltaVols = [-1.258, -
1.297, -1.332, -1.408, -1.359, -1.208]
marketStrangle10DeltaVols = None
riskReversal10DeltaVols = None
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
vol_functionType = VolFunctionTypes.CLARK
alpha = 0.50 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FXVolSurfacePlus(valuation_date,
spot_fx_rate,
currency_pair,
notional_currency,
dom_discount_curve,
for_discount_curve,
tenors,
atm_vols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
marketStrangle10DeltaVols,
riskReversal10DeltaVols,
alpha,
atmMethod,
deltaMethod,
vol_functionType)
fxMarketPlus.check_calibration(False)
def test_FinFXMktVolSurface2(verboseCalibration):
# print("==============================================================")
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURJPY EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "JPY"
forCCRate = 0.0294 # EUR
domCCRate = 0.0171 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 90.72
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.50, 20.50, 19.85, 18.00, 15.95, 14.009]
marketStrangle25DeltaVols = [0.35, 0.325, 0.300, 0.225, 0.175, 0.100]
riskReversal25DeltaVols = [-8.350, -8.650, -8.950, -9.250, -9.550, -9.500]
marketStrangle10DeltaVols = [3.704, 4.047, 4.396, 4.932, 5.726, 5.709]
riskReversal10DeltaVols = [
-15.855, -16.467, -17.114, -17.882, -18.855, -18.217
]
alpha = 0.50 # Equally fit 10 and 25 Delta
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL_PREM_ADJ
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
vol_functionType = VolFunctionTypes.CLARK5
fxMarketPlus = FXVolSurfacePlus(
valuation_date, spot_fx_rate, currency_pair, notional_currency,
dom_discount_curve, for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
marketStrangle10DeltaVols, riskReversal10DeltaVols, alpha, atmMethod,
deltaMethod, vol_functionType)
# fxMarketPlus.check_calibration(True)
if PLOT_GRAPHS:
fxMarketPlus.plot_vol_curves()
plt.figure()
dbns = fxMarketPlus.implied_dbns(30, 120, 1000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
plt.title(vol_functionType)
print("SUM:", dbns[i].sum())
def test_FinFXMktVolSurface1(verboseCalibration):
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
marketStrangle10DeltaVols = [2.433, 2.83, 3.228, 3.485, 3.806, 3.208]
riskReversal10DeltaVols = [
-1.258, -1.297, -1.332, -1.408, -1.359, -1.208
]
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
vol_functionType = VolFunctionTypes.CLARK5
alpha = 0.5 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FXVolSurfacePlus(
valuation_date, spot_fx_rate, currency_pair, notional_currency,
dom_discount_curve, for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
marketStrangle10DeltaVols, riskReversal10DeltaVols, alpha,
atmMethod, deltaMethod, vol_functionType)
fxMarketPlus.check_calibration(False)
if 1 == 0: # PLOT_GRAPHS:
fxMarketPlus.plot_vol_curves()
plt.figure()
dbns = fxMarketPlus.implied_dbns(0.5, 2.0, 1000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
plt.title(vol_functionType)
print("SUM:", dbns[i].sum())
def test_FinFXMktVolSurface2(capsys):
# Example from Book extract by Iain Clarke using Tables 3.3 and 3.4
# print("EURJPY EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "JPY"
forCCRate = 0.0294 # EUR
domCCRate = 0.0171 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 90.72
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.50, 20.50, 19.85, 18.00, 15.95, 14.009]
marketStrangle25DeltaVols = [0.35, 0.325, 0.300, 0.225, 0.175, 0.100]
riskReversal25DeltaVols = [-8.350, -8.650, -8.950, -9.250, -9.550, -9.500]
marketStrangle10DeltaVols = [3.704, 4.047, 4.396, 4.932, 5.726, 5.709]
riskReversal10DeltaVols = [
-15.855, -16.467, -17.114, -17.882, -18.855, -18.217
]
alpha = 0.50 # Equally fit 10 and 25 Delta
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL_PREM_ADJ
deltaMethod = FinFXDeltaMethod.SPOT_DELTA_PREM_ADJ
vol_functionType = VolFunctionTypes.CLARK5
fxMarketPlus = FXVolSurfacePlus(
valuation_date, spot_fx_rate, currency_pair, notional_currency,
dom_discount_curve, for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
marketStrangle10DeltaVols, riskReversal10DeltaVols, alpha, atmMethod,
deltaMethod, vol_functionType)
# Fails with default stricter tolerance
fxMarketPlus.check_calibration(verboseCalibration, tol=0.2)
captured = capsys.readouterr()
assert captured.out == ""
def test_FinFXMktVolSurface3(capsys):
# Example from Book extract by Iain Clark using Tables 4.4 and 4.5
# where we examine the calibration to a full surface in Chapter 4
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3465
tenors = ['1Y', '2Y']
atm_vols = [18.250, 17.677]
marketStrangle25DeltaVols = [0.95, 0.85]
riskReversal25DeltaVols = [-0.60, -0.562]
marketStrangle10DeltaVols = [3.806, 3.208]
riskReversal10DeltaVols = [-1.359, -1.208]
notional_currency = forName
# I HAVE NO YET MADE DELTA METHOD A VECTOR FOR EACH TERM AS I WOULD
# NEED TO DO AS DESCRIBED IN CLARK PAGE 70
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.FORWARD_DELTA # THIS IS DIFFERENT
vol_functionType = VolFunctionTypes.CLARK5
alpha = 0.5 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FXVolSurfacePlus(
valuation_date, spot_fx_rate, currency_pair, notional_currency,
dom_discount_curve, for_discount_curve, tenors, atm_vols,
marketStrangle25DeltaVols, riskReversal25DeltaVols,
marketStrangle10DeltaVols, riskReversal10DeltaVols, alpha, atmMethod,
deltaMethod, vol_functionType)
fxMarketPlus.check_calibration(verboseCalibration)
captured = capsys.readouterr()
assert captured.out == ""
def test_FinFXMktVolSurface4(verboseCalibration):
###########################################################################
# Here I remove the 25D Vols
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 3.3 and 3.4
# print("EURUSD EXAMPLE CLARK")
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3465
tenors = ['1M', '2M', '3M', '6M', '1Y', '2Y']
atm_vols = [21.00, 21.00, 20.750, 19.400, 18.250, 17.677]
marketStrangle25DeltaVols = [0.65, 0.75, 0.85, 0.90, 0.95, 0.85]
riskReversal25DeltaVols = [-0.20, -0.25, -0.30, -0.50, -0.60, -0.562]
marketStrangle10DeltaVols = [2.433, 2.83, 3.228, 3.485, 3.806, 3.208]
riskReversal10DeltaVols = [-1.258, -
1.297, -1.332, -1.408, -1.359, -1.208]
marketStrangle25DeltaVols = None
riskReversal25DeltaVols = None
notional_currency = forName
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.SPOT_DELTA
vol_functionType = VolFunctionTypes.CLARK
alpha = 0.50 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FXVolSurfacePlus(valuation_date,
spot_fx_rate,
currency_pair,
notional_currency,
dom_discount_curve,
for_discount_curve,
tenors,
atm_vols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
marketStrangle10DeltaVols,
riskReversal10DeltaVols,
alpha,
atmMethod,
deltaMethod,
vol_functionType)
fxMarketPlus.check_calibration(False)
years = [1.0/12.0, 2./12., 0.25, 0.5, 1.0, 2.0]
dates = valuation_date.add_years(years)
deltas = np.linspace(0.10, 0.90, 17)
if 1 == 1:
volSurface = []
for delta in deltas:
volSmile = []
for dt in dates:
(vol, k) = fxMarketPlus.volatility_from_delta_date(delta, dt)
volSmile.append(vol*100.0)
print(delta, k, dt, vol*100.0)
volSurface.append(volSmile)
fig = plt.figure()
ax = fig.add_subplot(111, projection='3d')
X, Y = np.meshgrid(years, deltas)
zs = np.array(volSurface)
Z = zs.reshape(X.shape)
ax.plot_surface(X, Y, Z)
ax.set_xlabel('Years')
ax.set_ylabel('Delta')
ax.set_zlabel('Volatility')
plt.title("EURUSD Volatility Surface")
plt.show()
def test_FinFXMktVolSurface3(verboseCalibration):
###########################################################################
if 1 == 1:
# Example from Book extract by Iain Clark using Tables 4.4 and 4.5
# where we examine the calibration to a full surface in Chapter 4
valuation_date = Date(10, 4, 2020)
forName = "EUR"
domName = "USD"
forCCRate = 0.03460 # EUR
domCCRate = 0.02940 # USD
dom_discount_curve = DiscountCurveFlat(valuation_date, domCCRate)
for_discount_curve = DiscountCurveFlat(valuation_date, forCCRate)
currency_pair = forName + domName
spot_fx_rate = 1.3465
tenors = ['1Y', '2Y']
atm_vols = [18.250, 17.677]
marketStrangle25DeltaVols = [0.95, 0.85]
riskReversal25DeltaVols = [-0.60, -0.562]
marketStrangle10DeltaVols = [3.806, 3.208]
riskReversal10DeltaVols = [-1.359, -1.208]
notional_currency = forName
# I HAVE NO YET MADE DELTA METHOD A VECTOR FOR EACH TERM AS I WOULD
# NEED TO DO AS DESCRIBED IN CLARK PAGE 70
atmMethod = FinFXATMMethod.FWD_DELTA_NEUTRAL
deltaMethod = FinFXDeltaMethod.FORWARD_DELTA # THIS IS DIFFERENT
vol_functionType = VolFunctionTypes.CLARK5
alpha = 0.5 # FIT WINGS AT 10D if ALPHA = 1.0
fxMarketPlus = FXVolSurfacePlus(valuation_date,
spot_fx_rate,
currency_pair,
notional_currency,
dom_discount_curve,
for_discount_curve,
tenors,
atm_vols,
marketStrangle25DeltaVols,
riskReversal25DeltaVols,
marketStrangle10DeltaVols,
riskReversal10DeltaVols,
alpha,
atmMethod,
deltaMethod,
vol_functionType)
fxMarketPlus.check_calibration(False)
if 1 == 0: # PLOT_GRAPHS:
fxMarketPlus.plot_vol_curves()
plt.figure()
dbns = fxMarketPlus.implied_dbns(0.5, 2.0, 1000)
for i in range(0, len(dbns)):
plt.plot(dbns[i]._x, dbns[i]._densitydx)
plt.title(vol_functionType)
print("SUM:", dbns[i].sum())
# Test interpolation
years = [1.0, 1.5, 2.0]
dates = valuation_date.add_years(years)
strikes = np.linspace(1.0, 2.0, 20)
if 1 == 1:
volSurface = []
for k in strikes:
volSmile = []
for dt in dates:
vol = fxMarketPlus.volatility_from_strike_date(k, dt)
volSmile.append(vol*100.0)
print(k, dt, vol*100.0)
volSurface.append(volSmile)
fig = plt.figure()
ax = fig.add_subplot(111, projection='3d')
X, Y = np.meshgrid(years, strikes)
zs = np.array(volSurface)
Z = zs.reshape(X.shape)
ax.plot_surface(X, Y, Z)
ax.set_xlabel('Years')
ax.set_ylabel('Strikes')
ax.set_zlabel('Volatility')
plt.show()
#######################################################################
deltas = np.linspace(0.10, 0.90, 17)
if 1 == 1:
volSurface = []
for delta in deltas:
volSmile = []
for dt in dates:
(vol, k) = fxMarketPlus.volatility_from_delta_date(delta, dt)
volSmile.append(vol*100.0)
print(delta, k, dt, vol*100.0)
volSurface.append(volSmile)
fig = plt.figure()
ax = fig.add_subplot(111, projection='3d')
X, Y = np.meshgrid(years, deltas)
zs = np.array(volSurface)
Z = zs.reshape(X.shape)
ax.plot_surface(X, Y, Z)
ax.set_xlabel('Years')
ax.set_ylabel('Delta')
ax.set_zlabel('Volatility')
plt.title("EURUSD Volatility Surface")
plt.show()