def testBlackModelCheck(): # Checking Andersen paper using Black's model # Used to check swaption price below - we have Ts = 1 and Te = 4 # Expect a price around 122 cents which is what I find. valuation_date = Date(1, 1, 2020) libor_curve = DiscountCurveFlat(valuation_date, 0.06, FrequencyTypes.SEMI_ANNUAL) settlement_date = Date(1, 1, 2020) exerciseDate = Date(1, 1, 2021) maturity_date = Date(1, 1, 2024) fixedCoupon = 0.06 fixedFrequencyType = FrequencyTypes.SEMI_ANNUAL fixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA notional = 100.0 # Pricing a PAY swaptionType = FinSwapTypes.PAY swaption = FinIborSwaption(settlement_date, exerciseDate, maturity_date, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelBlack(0.20) v = swaption.value(valuation_date, libor_curve, model) testCases.header("LABEL", "VALUE") testCases.print("BLACK'S MODEL PRICE:", v * 100)
def test_FinIborCapFloorQLExample(): valuation_date = Date(14, 6, 2016) dates = [Date(14, 6, 2016), Date(14, 9, 2016), Date(14, 12, 2016), Date(14, 6, 2017), Date(14, 6, 2019), Date(14, 6, 2021), Date(15, 6, 2026), Date(16, 6, 2031), Date(16, 6, 2036), Date(14, 6, 2046)] rates = [0.000000, 0.006616, 0.007049, 0.007795, 0.009599, 0.011203, 0.015068, 0.017583, 0.018998, 0.020080] freq_type = FrequencyTypes.ANNUAL day_count_type = DayCountTypes.ACT_ACT_ISDA discount_curve = DiscountCurveZeros(valuation_date, dates, rates, freq_type, day_count_type, FinInterpTypes.LINEAR_ZERO_RATES) start_date = Date(14, 6, 2016) end_date = Date(14, 6, 2026) calendar_type = CalendarTypes.UNITED_STATES bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING freq_type = FrequencyTypes.QUARTERLY date_gen_rule_type = DateGenRuleTypes.FORWARD lastFixing = 0.0065560 notional = 1000000 day_count_type = DayCountTypes.ACT_360 optionType = FinCapFloorTypes.CAP strikeRate = 0.02 cap = FinIborCapFloor(start_date, end_date, optionType, strikeRate, lastFixing, freq_type, day_count_type, notional, calendar_type, bus_day_adjust_type, date_gen_rule_type) blackVol = 0.547295 model = FinModelBlack(blackVol) start = time.time() numRepeats = 10 for i in range(0, numRepeats): v = cap.value(valuation_date, discount_curve, model) end = time.time() period = end - start
def test_FinIborCapletHull(): # Hull Page 703, example 29.3 todayDate = Date(20, 6, 2019) valuation_date = todayDate maturity_date = valuation_date.addTenor("2Y") libor_curve = DiscountCurveFlat(valuation_date, 0.070, FrequencyTypes.QUARTERLY, DayCountTypes.THIRTY_E_360) k = 0.08 capFloorType = FinCapFloorTypes.CAP capFloor = FinIborCapFloor(valuation_date, maturity_date, capFloorType, k, None, FrequencyTypes.QUARTERLY, DayCountTypes.THIRTY_E_360) # Value cap using a single flat cap volatility model = FinModelBlack(0.20) capFloor.value(valuation_date, libor_curve, model) # Value cap by breaking it down into caplets using caplet vols capletStartDate = valuation_date.addTenor("1Y") capletEndDate = capletStartDate.addTenor("3M") vCaplet = capFloor.valueCapletFloorLet(valuation_date, capletStartDate, capletEndDate, libor_curve, model) # Cannot match Hull due to dates being adjusted testCases.header("CORRECT PRICE", "MODEL_PRICE") testCases.print(517.29, vCaplet)
def test_FinIborBermudanSwaptionBKModel(): """ Replicate examples in paper by Leif Andersen which can be found at file:///C:/Users/Dominic/Downloads/SSRN-id155208.pdf """ valuation_date = Date(1, 1, 2011) settlement_date = valuation_date exerciseDate = settlement_date.addYears(1) swapMaturityDate = settlement_date.addYears(4) swapFixedCoupon = 0.060 swapFixedFrequencyType = FrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = DayCountTypes.ACT_365F libor_curve = DiscountCurveFlat(valuation_date, 0.0625, FrequencyTypes.SEMI_ANNUAL, DayCountTypes.ACT_365F) fwdPAYSwap = FinIborSwap(exerciseDate, swapMaturityDate, FinSwapTypes.PAY, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fwdSwapValue = fwdPAYSwap.value(settlement_date, libor_curve, libor_curve) testCases.header("LABEL", "VALUE") testCases.print("FWD SWAP VALUE", fwdSwapValue) # fwdPAYSwap.printFixedLegPV() # Now we create the European swaptions fixed_legType = FinSwapTypes.PAY europeanSwaptionPay = FinIborSwaption(settlement_date, exerciseDate, swapMaturityDate, fixed_legType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_legType = FinSwapTypes.RECEIVE europeanSwaptionRec = FinIborSwaption(settlement_date, exerciseDate, swapMaturityDate, fixed_legType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) ########################################################################### ########################################################################### ########################################################################### # BLACK'S MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("======= ZERO VOLATILITY ========") model = FinModelBlack(0.0000001) testCases.print("Black Model", model._volatility) valuePay = europeanSwaptionPay.value(settlement_date, libor_curve, model) testCases.print("EUROPEAN BLACK PAY VALUE ZERO VOL:", valuePay) valueRec = europeanSwaptionRec.value(settlement_date, libor_curve, model) testCases.print("EUROPEAN BLACK REC VALUE ZERO VOL:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 20%% BLACK VOLATILITY ========") model = FinModelBlack(0.20) testCases.print("Black Model", model._volatility) valuePay = europeanSwaptionPay.value(settlement_date, libor_curve, model) testCases.print("EUROPEAN BLACK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(settlement_date, libor_curve, model) testCases.print("EUROPEAN BLACK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BK MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("==================== BK MODEL =========================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======= 0% VOLATILITY EUROPEAN SWAPTION BK MODEL ======") # Used BK with constant short-rate volatility sigma = 0.000000001 a = 0.01 numTimeSteps = 100 model = FinModelRatesBK(sigma, a, numTimeSteps) valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY EUROPEAN SWAPTION BK MODEL ========") # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixed_legType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.EUROPEAN bermudanSwaptionPay = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_legType = FinSwapTypes.RECEIVE exerciseType = FinExerciseTypes.EUROPEAN bermudanSwaptionRec = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BK MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BK MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.2 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixed_legType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.BERMUDAN bermudanSwaptionPay = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_legType = FinSwapTypes.RECEIVE exerciseType = FinExerciseTypes.BERMUDAN bermudanSwaptionRec = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BK MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BK MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = FinModelRatesBK(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BDT MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======================= BDT MODEL =====================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("====== 0% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.00001 numTimeSteps = 200 model = FinModelRatesBDT(sigma, numTimeSteps) valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BDT PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("===== 20% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = FinModelRatesBDT(sigma, numTimeSteps) testCases.banner("BDT MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BDT PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixed_legType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.EUROPEAN bermudanSwaptionPay = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_legType = FinSwapTypes.RECEIVE bermudanSwaptionRec = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BDT MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 model = FinModelRatesBDT(sigma, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BDT MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.2 model = FinModelRatesBDT(sigma, numTimeSteps) testCases.banner("BDT MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixed_legType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.BERMUDAN bermudanSwaptionPay = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_legType = FinSwapTypes.RECEIVE bermudanSwaptionRec = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BDT MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = FinModelRatesBDT(sigma, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BDT MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = FinModelRatesBDT(sigma, numTimeSteps) # print("BDT MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BDT MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======================= HW MODEL ======================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("====== 0% VOLATILITY EUROPEAN SWAPTION HW MODEL ======") sigma = 0.0000001 a = 0.1 numTimeSteps = 200 model = FinModelRatesHW(sigma, a, numTimeSteps) valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN HW PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("===== 20% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.01 a = 0.01 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("HW MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN HW PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixed_legType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.EUROPEAN bermudanSwaptionPay = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_legType = FinSwapTypes.RECEIVE bermudanSwaptionRec = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE HW MODEL ========" ) sigma = 0.000001 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 100bp VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE HW MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.01 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("BDT MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixed_legType = FinSwapTypes.PAY exerciseType = FinExerciseTypes.BERMUDAN bermudanSwaptionPay = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_legType = FinSwapTypes.RECEIVE bermudanSwaptionRec = FinIborBermudanSwaption( settlement_date, exerciseDate, swapMaturityDate, fixed_legType, exerciseType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE HW MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("HW MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN HW PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 100bps VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE HW MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.01 a = 0.01 model = FinModelRatesHW(sigma, a, numTimeSteps) testCases.banner("HW MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN HW PAY VALUE:", valuePay) valueRec = bermudanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec)
def test_FinIborCapFloor(): todayDate = Date(20, 6, 2019) valuation_date = todayDate start_date = todayDate.addWeekDays(2) maturity_date = start_date.addTenor("1Y") libor_curve = test_FinIborDepositsAndSwaps(todayDate) # The capfloor has begun # lastFixing = 0.028 ########################################################################## # COMPARISON OF MODELS ########################################################################## strikes = np.linspace(0.02, 0.08, 5) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BACH") model1 = FinModelBlack(0.20) model2 = FinModelBlackShifted(0.25, 0.0) model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5) model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008) model5 = FinModelRatesHW(0.30, 0.01) model6 = FinModelBachelier(0.01) for k in strikes: capFloorType = FinCapFloorTypes.CAP capfloor = FinIborCapFloor(start_date, maturity_date, capFloorType, k) cvalue1 = capfloor.value(valuation_date, libor_curve, model1) cvalue2 = capfloor.value(valuation_date, libor_curve, model2) cvalue3 = capfloor.value(valuation_date, libor_curve, model3) cvalue4 = capfloor.value(valuation_date, libor_curve, model4) cvalue5 = capfloor.value(valuation_date, libor_curve, model5) cvalue6 = capfloor.value(valuation_date, libor_curve, model6) testCases.print("CAP", k, cvalue1, cvalue2, cvalue3, cvalue4, cvalue5, cvalue6) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BACH") for k in strikes: capFloorType = FinCapFloorTypes.FLOOR capfloor = FinIborCapFloor(start_date, maturity_date, capFloorType, k) fvalue1 = capfloor.value(valuation_date, libor_curve, model1) fvalue2 = capfloor.value(valuation_date, libor_curve, model2) fvalue3 = capfloor.value(valuation_date, libor_curve, model3) fvalue4 = capfloor.value(valuation_date, libor_curve, model4) fvalue5 = capfloor.value(valuation_date, libor_curve, model5) fvalue6 = capfloor.value(valuation_date, libor_curve, model6) testCases.print("FLR", k, fvalue1, fvalue2, fvalue3, fvalue4, fvalue5, fvalue6) ############################################################################### # PUT CALL CHECK ############################################################################### testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR SHFTD", "HW", "BACH") for k in strikes: capFloorType = FinCapFloorTypes.CAP capfloor = FinIborCapFloor(start_date, maturity_date, capFloorType, k) cvalue1 = capfloor.value(valuation_date, libor_curve, model1) cvalue2 = capfloor.value(valuation_date, libor_curve, model2) cvalue3 = capfloor.value(valuation_date, libor_curve, model3) cvalue4 = capfloor.value(valuation_date, libor_curve, model4) cvalue5 = capfloor.value(valuation_date, libor_curve, model5) cvalue6 = capfloor.value(valuation_date, libor_curve, model6) capFloorType = FinCapFloorTypes.FLOOR capfloor = FinIborCapFloor(start_date, maturity_date, capFloorType, k) fvalue1 = capfloor.value(valuation_date, libor_curve, model1) fvalue2 = capfloor.value(valuation_date, libor_curve, model2) fvalue3 = capfloor.value(valuation_date, libor_curve, model3) fvalue4 = capfloor.value(valuation_date, libor_curve, model4) fvalue5 = capfloor.value(valuation_date, libor_curve, model5) fvalue6 = capfloor.value(valuation_date, libor_curve, model6) pcvalue1 = cvalue1 - fvalue1 pcvalue2 = cvalue2 - fvalue2 pcvalue3 = cvalue3 - fvalue3 pcvalue4 = cvalue4 - fvalue4 pcvalue5 = cvalue5 - fvalue5 pcvalue6 = cvalue6 - fvalue6 testCases.print("PUT_CALL", k, pcvalue1, pcvalue2, pcvalue3, pcvalue4, pcvalue5, pcvalue6)
def test_FinIborCapFloorVolCurve(): """ Aim here is to price cap and caplets using cap and caplet vols and to demonstrate they are the same - NOT SURE THAT HULLS BOOKS FORMULA WORKS FOR OPTIONS. """ todayDate = Date(20, 6, 2019) valuation_date = todayDate maturity_date = valuation_date.addTenor("3Y") day_count_type = DayCountTypes.THIRTY_E_360 frequency = FrequencyTypes.ANNUAL k = 0.04 capFloorType = FinCapFloorTypes.CAP capFloor = FinIborCapFloor(valuation_date, maturity_date, capFloorType, k, None, frequency, day_count_type) capVolDates = Schedule(valuation_date, valuation_date.addTenor("10Y"), frequency)._generate() flatRate = 0.04 libor_curve = DiscountCurveFlat(valuation_date, flatRate, frequency, day_count_type) flat = False if flat is True: capVolatilities = [20.0] * 11 capVolatilities[0] = 0.0 else: capVolatilities = [0.00, 15.50, 18.25, 17.91, 17.74, 17.27, 16.79, 16.30, 16.01, 15.76, 15.54] capVolatilities = np.array(capVolatilities)/100.0 capVolatilities[0] = 0.0 volCurve = FinIborCapVolCurve(valuation_date, capVolDates, capVolatilities, day_count_type) # print(volCurve._capletGammas) # Value cap using a single flat cap volatility tcap = (maturity_date - valuation_date) / gDaysInYear vol = volCurve.capVol(maturity_date) model = FinModelBlack(vol) valueCap = capFloor.value(valuation_date, libor_curve, model) # print("CAP T", tcap, "VOL:", vol, "VALUE OF CAP:", valueCap) # Value cap by breaking it down into caplets using caplet vols vCaplets = 0.0 capletStartDate = capFloor._capFloorLetDates[1] testCases.header("START", "END", "VOL", "VALUE") for capletEndDate in capFloor._capFloorLetDates[2:]: vol = volCurve.capletVol(capletEndDate) modelCaplet = FinModelBlack(vol) vCaplet = capFloor.valueCapletFloorLet(valuation_date, capletStartDate, capletEndDate, libor_curve, modelCaplet) vCaplets += vCaplet testCases.print("%12s" % capletStartDate, "%s" % capletEndDate, "%9.5f" % (vol*100.0), "%9.5f" % vCaplet) capletStartDate = capletEndDate testCases.header("LABEL", "VALUE") testCases.print("CAPLETS->CAP: ", vCaplets)
def testFinIborSwaptionModels(): ########################################################################## # COMPARISON OF MODELS ########################################################################## valuation_date = Date(1, 1, 2011) libor_curve = test_FinIborDepositsAndSwaps(valuation_date) exerciseDate = Date(1, 1, 2012) swapMaturityDate = Date(1, 1, 2017) swapFixedFrequencyType = FrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = DayCountTypes.ACT_365F strikes = np.linspace(0.02, 0.08, 5) testCases.header("LAB", "STRIKE", "BLK", "BLK_SHFT", "SABR", "SABR_SHFT", "HW", "BK") model1 = FinModelBlack(0.00001) model2 = FinModelBlackShifted(0.00001, 0.0) model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5) model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008) model5 = FinModelRatesHW(0.00001, 0.00001) model6 = FinModelRatesBK(0.01, 0.01) settlement_date = valuation_date.addWeekDays(2) for k in strikes: swaptionType = FinSwapTypes.PAY swaption = FinIborSwaption(settlement_date, exerciseDate, swapMaturityDate, swaptionType, k, swapFixedFrequencyType, swapFixedDayCountType) swap1 = swaption.value(valuation_date, libor_curve, model1) swap2 = swaption.value(valuation_date, libor_curve, model2) swap3 = swaption.value(valuation_date, libor_curve, model3) swap4 = swaption.value(valuation_date, libor_curve, model4) swap5 = swaption.value(valuation_date, libor_curve, model5) swap6 = swaption.value(valuation_date, libor_curve, model6) testCases.print("PAY", k, swap1, swap2, swap3, swap4, swap5, swap6) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BK") for k in strikes: swaptionType = FinSwapTypes.RECEIVE swaption = FinIborSwaption(settlement_date, exerciseDate, swapMaturityDate, swaptionType, k, swapFixedFrequencyType, swapFixedDayCountType) swap1 = swaption.value(valuation_date, libor_curve, model1) swap2 = swaption.value(valuation_date, libor_curve, model2) swap3 = swaption.value(valuation_date, libor_curve, model3) swap4 = swaption.value(valuation_date, libor_curve, model4) swap5 = swaption.value(valuation_date, libor_curve, model5) swap6 = swaption.value(valuation_date, libor_curve, model6) testCases.print("REC", k, swap1, swap2, swap3, swap4, swap5, swap6)
def testFinIborSwaptionMatlabExamples(): # We value a European swaption using Black's model and try to replicate a # ML example at https://fr.mathworks.com/help/fininst/swaptionbyblk.html testCases.header("=======================================") testCases.header("MATLAB EXAMPLE WITH FLAT TERM STRUCTURE") testCases.header("=======================================") valuation_date = Date(1, 1, 2010) libor_curve = DiscountCurveFlat(valuation_date, 0.06, FrequencyTypes.CONTINUOUS, DayCountTypes.THIRTY_E_360) settlement_date = Date(1, 1, 2011) exerciseDate = Date(1, 1, 2016) maturity_date = Date(1, 1, 2019) fixedCoupon = 0.062 fixedFrequencyType = FrequencyTypes.SEMI_ANNUAL fixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA notional = 100.0 # Pricing a PAY swaptionType = FinSwapTypes.PAY swaption = FinIborSwaption(settlement_date, exerciseDate, maturity_date, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelBlack(0.20) v_finpy = swaption.value(valuation_date, libor_curve, model) v_matlab = 2.071 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH TERM STRUCTURE") testCases.header("===================================") valuation_date = Date(1, 1, 2010) dates = [ Date(1, 1, 2011), Date(1, 1, 2012), Date(1, 1, 2013), Date(1, 1, 2014), Date(1, 1, 2015) ] zeroRates = [0.03, 0.034, 0.037, 0.039, 0.040] contFreq = FrequencyTypes.CONTINUOUS interp_type = FinInterpTypes.LINEAR_ZERO_RATES day_count_type = DayCountTypes.THIRTY_E_360 libor_curve = DiscountCurveZeros(valuation_date, dates, zeroRates, contFreq, day_count_type, interp_type) settlement_date = Date(1, 1, 2011) exerciseDate = Date(1, 1, 2012) maturity_date = Date(1, 1, 2017) fixedCoupon = 0.03 fixedFrequencyType = FrequencyTypes.SEMI_ANNUAL fixedDayCountType = DayCountTypes.THIRTY_E_360 floatFrequencyType = FrequencyTypes.SEMI_ANNUAL floatDayCountType = DayCountTypes.THIRTY_E_360 notional = 1000.0 # Pricing a put swaptionType = FinSwapTypes.RECEIVE swaption = FinIborSwaption(settlement_date, exerciseDate, maturity_date, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional, floatFrequencyType, floatDayCountType) model = FinModelBlack(0.21) v_finpy = swaption.value(valuation_date, libor_curve, model) v_matlab = 0.5771 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH SHIFTED BLACK") testCases.header("===================================") valuation_date = Date(1, 1, 2016) dates = [ Date(1, 1, 2017), Date(1, 1, 2018), Date(1, 1, 2019), Date(1, 1, 2020), Date(1, 1, 2021) ] zeroRates = np.array([-0.02, 0.024, 0.047, 0.090, 0.12]) / 100.0 contFreq = FrequencyTypes.ANNUAL interp_type = FinInterpTypes.LINEAR_ZERO_RATES day_count_type = DayCountTypes.THIRTY_E_360 libor_curve = DiscountCurveZeros(valuation_date, dates, zeroRates, contFreq, day_count_type, interp_type) settlement_date = Date(1, 1, 2016) exerciseDate = Date(1, 1, 2017) maturity_date = Date(1, 1, 2020) fixedCoupon = -0.003 fixedFrequencyType = FrequencyTypes.SEMI_ANNUAL fixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA floatFrequencyType = FrequencyTypes.SEMI_ANNUAL floatDayCountType = DayCountTypes.THIRTY_E_360_ISDA notional = 1000.0 # Pricing a PAY swaptionType = FinSwapTypes.PAY swaption = FinIborSwaption(settlement_date, exerciseDate, maturity_date, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional, floatFrequencyType, floatDayCountType) model = FinModelBlackShifted(0.31, 0.008) v_finpy = swaption.value(valuation_date, libor_curve, model) v_matlab = 12.8301 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH HULL WHITE") testCases.header("===================================") # https://fr.mathworks.com/help/fininst/swaptionbyhw.html valuation_date = Date(1, 1, 2007) dates = [ Date(1, 1, 2007), Date(1, 7, 2007), Date(1, 1, 2008), Date(1, 7, 2008), Date(1, 1, 2009), Date(1, 7, 2009), Date(1, 1, 2010), Date(1, 7, 2010), Date(1, 1, 2011), Date(1, 7, 2011), Date(1, 1, 2012) ] zeroRates = np.array([0.075] * 11) interp_type = FinInterpTypes.FLAT_FWD_RATES day_count_type = DayCountTypes.THIRTY_E_360_ISDA contFreq = FrequencyTypes.SEMI_ANNUAL libor_curve = DiscountCurveZeros(valuation_date, dates, zeroRates, contFreq, day_count_type, interp_type) settlement_date = valuation_date exerciseDate = Date(1, 1, 2010) maturity_date = Date(1, 1, 2012) fixedCoupon = 0.04 fixedFrequencyType = FrequencyTypes.SEMI_ANNUAL fixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA notional = 100.0 swaptionType = FinSwapTypes.RECEIVE swaption = FinIborSwaption(settlement_date, exerciseDate, maturity_date, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelRatesHW(0.05, 0.01) v_finpy = swaption.value(valuation_date, libor_curve, model) v_matlab = 2.9201 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("====================================") testCases.header("MATLAB EXAMPLE WITH BLACK KARASINSKI") testCases.header("====================================") # https://fr.mathworks.com/help/fininst/swaptionbybk.html valuation_date = Date(1, 1, 2007) dates = [ Date(1, 1, 2007), Date(1, 7, 2007), Date(1, 1, 2008), Date(1, 7, 2008), Date(1, 1, 2009), Date(1, 7, 2009), Date(1, 1, 2010), Date(1, 7, 2010), Date(1, 1, 2011), Date(1, 7, 2011), Date(1, 1, 2012) ] zeroRates = np.array([0.07] * 11) interp_type = FinInterpTypes.FLAT_FWD_RATES day_count_type = DayCountTypes.THIRTY_E_360_ISDA contFreq = FrequencyTypes.SEMI_ANNUAL libor_curve = DiscountCurveZeros(valuation_date, dates, zeroRates, contFreq, day_count_type, interp_type) settlement_date = valuation_date exerciseDate = Date(1, 1, 2011) maturity_date = Date(1, 1, 2012) fixedFrequencyType = FrequencyTypes.SEMI_ANNUAL fixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA notional = 100.0 model = FinModelRatesBK(0.1, 0.05, 200) fixedCoupon = 0.07 swaptionType = FinSwapTypes.PAY swaption = FinIborSwaption(settlement_date, exerciseDate, maturity_date, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) v_finpy = swaption.value(valuation_date, libor_curve, model) v_matlab = 0.3634 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) fixedCoupon = 0.0725 swaptionType = FinSwapTypes.RECEIVE swaption = FinIborSwaption(settlement_date, exerciseDate, maturity_date, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) v_finpy = swaption.value(valuation_date, libor_curve, model) v_matlab = 0.4798 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("====================================") testCases.header("MATLAB EXAMPLE WITH BLACK-DERMAN-TOY") testCases.header("====================================") # https://fr.mathworks.com/help/fininst/swaptionbybdt.html valuation_date = Date(1, 1, 2007) dates = [ Date(1, 1, 2007), Date(1, 7, 2007), Date(1, 1, 2008), Date(1, 7, 2008), Date(1, 1, 2009), Date(1, 7, 2009), Date(1, 1, 2010), Date(1, 7, 2010), Date(1, 1, 2011), Date(1, 7, 2011), Date(1, 1, 2012) ] zeroRates = np.array([0.06] * 11) interp_type = FinInterpTypes.FLAT_FWD_RATES day_count_type = DayCountTypes.THIRTY_E_360_ISDA contFreq = FrequencyTypes.ANNUAL libor_curve = DiscountCurveZeros(valuation_date, dates, zeroRates, contFreq, day_count_type, interp_type) settlement_date = valuation_date exerciseDate = Date(1, 1, 2012) maturity_date = Date(1, 1, 2015) fixedFrequencyType = FrequencyTypes.ANNUAL fixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA notional = 100.0 fixedCoupon = 0.062 swaptionType = FinSwapTypes.PAY swaption = FinIborSwaption(settlement_date, exerciseDate, maturity_date, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelRatesBDT(0.20, 200) v_finpy = swaption.value(valuation_date, libor_curve, model) v_matlab = 2.0592 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab)
def testFinIborCashSettledSwaption(): testCases.header("LABEL", "VALUE") valuation_date = Date(1, 1, 2020) settlement_date = Date(1, 1, 2020) depoDCCType = DayCountTypes.THIRTY_E_360_ISDA depos = [] depo = FinIborDeposit(settlement_date, "1W", 0.0023, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlement_date, "1M", 0.0023, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlement_date, "3M", 0.0023, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlement_date, "6M", 0.0023, depoDCCType) depos.append(depo) # No convexity correction provided so I omit interest rate futures settlement_date = Date(2, 1, 2020) swaps = [] accType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL fixed_legType = FinSwapTypes.PAY swap = FinIborSwap(settlement_date, "3Y", fixed_legType, 0.00790, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "4Y", fixed_legType, 0.01200, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "5Y", fixed_legType, 0.01570, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "6Y", fixed_legType, 0.01865, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "7Y", fixed_legType, 0.02160, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "8Y", fixed_legType, 0.02350, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "9Y", fixed_legType, 0.02540, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "10Y", fixed_legType, 0.0273, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "15Y", fixed_legType, 0.0297, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "20Y", fixed_legType, 0.0316, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "25Y", fixed_legType, 0.0335, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "30Y", fixed_legType, 0.0354, fixedFreqType, accType) swaps.append(swap) libor_curve = IborSingleCurve(valuation_date, depos, [], swaps, FinInterpTypes.LINEAR_ZERO_RATES) exerciseDate = settlement_date.addTenor("5Y") swapMaturityDate = exerciseDate.addTenor("5Y") swapFixedCoupon = 0.040852 swapFixedFrequencyType = FrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA swapFloatFrequencyType = FrequencyTypes.QUARTERLY swapFloatDayCountType = DayCountTypes.ACT_360 swapNotional = 1000000 fixed_legType = FinSwapTypes.PAY swaption = FinIborSwaption(settlement_date, exerciseDate, swapMaturityDate, fixed_legType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType, swapNotional, swapFloatFrequencyType, swapFloatDayCountType) model = FinModelBlack(0.1533) v = swaption.value(settlement_date, libor_curve, model) testCases.print("Swaption No-Arb Value:", v) fwdSwapRate1 = libor_curve.swap_rate(exerciseDate, swapMaturityDate, swapFixedFrequencyType, swapFixedDayCountType) testCases.print("Curve Fwd Swap Rate:", fwdSwapRate1) fwdSwap = FinIborSwap(exerciseDate, swapMaturityDate, fixed_legType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fwdSwapRate2 = fwdSwap.swap_rate(settlement_date, libor_curve) testCases.print("Fwd Swap Swap Rate:", fwdSwapRate2) model = FinModelBlack(0.1533) v = swaption.cashSettledValue(valuation_date, libor_curve, fwdSwapRate2, model) testCases.print("Swaption Cash Settled Value:", v)
def test_FinIborSwaptionQLExample(): valuation_date = Date(4, 3, 2014) settlement_date = Date(4, 3, 2014) depoDCCType = DayCountTypes.THIRTY_E_360_ISDA depos = [] depo = FinIborDeposit(settlement_date, "1W", 0.0023, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlement_date, "1M", 0.0023, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlement_date, "3M", 0.0023, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlement_date, "6M", 0.0023, depoDCCType) depos.append(depo) # No convexity correction provided so I omit interest rate futures swaps = [] accType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL fixed_legType = FinSwapTypes.PAY swap = FinIborSwap(settlement_date, "3Y", fixed_legType, 0.00790, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "4Y", fixed_legType, 0.01200, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "5Y", fixed_legType, 0.01570, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "6Y", fixed_legType, 0.01865, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "7Y", fixed_legType, 0.02160, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "8Y", fixed_legType, 0.02350, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "9Y", fixed_legType, 0.02540, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "10Y", fixed_legType, 0.0273, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "15Y", fixed_legType, 0.0297, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "20Y", fixed_legType, 0.0316, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "25Y", fixed_legType, 0.0335, fixedFreqType, accType) swaps.append(swap) swap = FinIborSwap(settlement_date, "30Y", fixed_legType, 0.0354, fixedFreqType, accType) swaps.append(swap) libor_curve = IborSingleCurve(valuation_date, depos, [], swaps, FinInterpTypes.LINEAR_ZERO_RATES) exerciseDate = settlement_date.addTenor("5Y") swapMaturityDate = exerciseDate.addTenor("5Y") swapFixedCoupon = 0.040852 swapFixedFrequencyType = FrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA swapFloatFrequencyType = FrequencyTypes.QUARTERLY swapFloatDayCountType = DayCountTypes.ACT_360 swapNotional = 1000000 swaptionType = FinSwapTypes.PAY swaption = FinIborSwaption(settlement_date, exerciseDate, swapMaturityDate, swaptionType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType, swapNotional, swapFloatFrequencyType, swapFloatDayCountType) testCases.header("MODEL", "VALUE") model = FinModelBlack(0.1533) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v) model = FinModelBlackShifted(0.1533, -0.008) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v) model = FinModelSABR(0.132, 0.5, 0.5, 0.5) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v) model = FinModelSABRShifted(0.352, 0.5, 0.15, 0.15, -0.005) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v) model = FinModelRatesHW(0.010000000, 0.00000000001) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v)
def test_Black(): forward = 0.034 strike = 0.050 riskFreeIR = 0.00 timeToExpiry = 2.0 volatility = 0.20 testCases.header("ITEM", "CALL", "PUT") callOptionType = FinOptionTypes.EUROPEAN_CALL putOptionType = FinOptionTypes.EUROPEAN_PUT df = np.exp(-riskFreeIR * timeToExpiry) model = FinModelBlack(volatility) dp = 12 # Precision try: ####################################################################### valueCall = model.value(forward, strike, timeToExpiry, df, callOptionType) valuePut = model.value(forward, strike, timeToExpiry, df, putOptionType) assert round((valueCall - valuePut), dp) == round(df*(forward - strike), dp), \ "The method called 'value()' doesn't comply with Call-Put parity" testCases.print("VALUE", valueCall, valuePut) ####################################################################### deltaCall = model.delta(forward, strike, timeToExpiry, df, callOptionType) deltaPut = model.delta(forward, strike, timeToExpiry, df, putOptionType) assert round((1/df) * (deltaCall - deltaPut), dp) == 1.0, \ "The method called 'delta()' doesn't comply with Call-put parity" testCases.print("DELTA", deltaCall, deltaPut) ####################################################################### gammaCall = model.gamma(forward, strike, timeToExpiry, df, callOptionType) gammaPut = model.gamma(forward, strike, timeToExpiry, df, putOptionType) assert round(gammaCall - gammaPut, dp) == 0.0, \ "The method called 'gamma()' doesn't comply with Call-Put parity" testCases.print("GAMMA", gammaCall, gammaPut) ####################################################################### thetaCall = model.theta(forward, strike, timeToExpiry, df, callOptionType) thetaPut = model.theta(forward, strike, timeToExpiry, df, putOptionType) assert round((thetaCall - thetaPut), dp) == round((riskFreeIR * timeToExpiry) * (forward - strike) * df, dp), \ "The method called 'theta()' doesn't comply with Call-Put parity" testCases.print("THETA", thetaCall, thetaPut) ####################################################################### vegaCall = model.vega(forward, strike, timeToExpiry, df, callOptionType) vegaPut = model.vega(forward, strike, timeToExpiry, df, putOptionType) assert round(vegaCall - vegaPut, dp) == 0.0, \ "The method called 'vega()' doesn't comply with Call-Put parity" testCases.print("VEGA", vegaCall, vegaPut) ####################################################################### except AssertionError as err: raise err