def test_FinFXVanillaOptionBloombergExample():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valuationDate = FinDate(13, 2, 2018)
expiryDate = FinDate(15, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
forName = "EUR"
domName = "USD"
forDepoRate = 0.05 # EUR
domDepoRate = 0.02 # USD
currencyPair = forName + domName # Always FORDOM
spotFXRate = 1.30
strikeFXRate = 1.3650
volatility = 0.20
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 1000000.0
notionalCurrency = "EUR"
calendarType = FinCalendarTypes.TARGET
depos = []
fras = []
swaps = []
depo = FinIborDeposit(settlementDate, maturityDate, domDepoRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
domDiscountCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps)
depos = []
fras = []
swaps = []
depo = FinIborDeposit(settlementDate, maturityDate, forDepoRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
forDiscountCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps)
model = FinFXModelBlackScholes(volatility)
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair,
FinOptionTypes.EUROPEAN_CALL, notional,
notionalCurrency, 2)
value = callOption.value(valuationDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = callOption.delta(valuationDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinFXForward():
# https://stackoverflow.com/questions/48778712
# /fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valueDate = FinDate(13, 2, 2018)
expiryDate = valueDate.addMonths(12)
# Forward is on EURUSD which is expressed as number of USD per EUR
# ccy1 = EUR and ccy2 = USD
forName = "EUR"
domName = "USD"
currencyPair = forName + domName # Always ccy1ccy2
spotFXRate = 1.300 # USD per EUR
strikeFXRate = 1.365 # USD per EUR
ccy1InterestRate = 0.02 # USD Rates
ccy2InterestRate = 0.05 # EUR rates
###########################################################################
spotDays = 0
settlementDate = valueDate.addWeekDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
fras = []
swaps = []
depositRate = ccy1InterestRate
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
forDiscountCurve = FinIborCurve(settlementDate, depos, fras, swaps)
depos = []
fras = []
swaps = []
depositRate = ccy2InterestRate
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
domDiscountCurve = FinIborCurve(settlementDate, depos, fras, swaps)
notional = 100.0
notionalCurrency = forName
fxForward = FinFXForward(expiryDate, strikeFXRate, currencyPair, notional,
notionalCurrency)
testCases.header("SPOT FX", "FX FWD", "VALUE_BS")
fwdValue = fxForward.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve)
fwdFXRate = fxForward.forward(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve)
testCases.print(spotFXRate, fwdFXRate, fwdValue)
def test_FinIborDepositsOnly():
# I have used the following useful blog post by Ioannis Rigopoulos for this
# https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-deposit
valuationDate = FinDate(2018, 2, 23)
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
# 1 month
depositRate = 0.04
maturityDate = settlementDate.addMonths(1)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 2 months
depositRate = 0.04
maturityDate = settlementDate.addMonths(2)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 6 months
depositRate = 0.04
maturityDate = settlementDate.addMonths(6)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 1 year
depositRate = 0.04
maturityDate = settlementDate.addMonths(12)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
fras = []
swaps = []
liborCurve = FinIborSingleCurve(valuationDate,
depos,
fras,
swaps)
testCases.header("LABEL", "DATE", "VALUE")
''' Check calibration '''
for depo in depos:
v = depo.value(settlementDate, liborCurve)
testCases.print("DEPO", depo._maturityDate, v)
def test_FinIborDepositsAndSwaps(valuationDate):
depoBasis = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.05
depo1 = FinIborDeposit(settlementDate, "1M", depositRate, depoBasis)
depo2 = FinIborDeposit(settlementDate, "3M", depositRate, depoBasis)
depo3 = FinIborDeposit(settlementDate, "6M", depositRate, depoBasis)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
fras = []
swaps = []
fixedBasis = FinDayCountTypes.ACT_365F
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
fixedLegType = FinSwapTypes.PAY
swapRate = 0.05
swap1 = FinIborSwap(settlementDate, "1Y", fixedLegType, swapRate,
fixedFreq, fixedBasis)
swap2 = FinIborSwap(settlementDate, "3Y", fixedLegType, swapRate,
fixedFreq, fixedBasis)
swap3 = FinIborSwap(settlementDate, "5Y", fixedLegType, swapRate,
fixedFreq, fixedBasis)
swaps.append(swap1)
swaps.append(swap2)
swaps.append(swap3)
liborCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps)
return liborCurve
def test_FinOISDepositsFRAsSwaps():
valuationDate = FinDate(2019, 9, 18)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settleDt = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
# 1 month
depositRate = 0.04
maturityDate = settleDt.addMonths(1)
depo = FinIborDeposit(settleDt, maturityDate, depositRate, depoDCCType,
notional, calendarType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
frasettleDt = settleDt.addMonths(9)
fraMaturityDate = settleDt.addMonths(13)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
frasettleDt = settleDt.addMonths(13)
fraMaturityDate = settleDt.addMonths(17)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
frasettleDt = settleDt.addMonths(17)
fraMaturityDate = settleDt.addMonths(21)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settleDt.addMonths(24)
# swap = FinIborSwap(settleDt, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixedLegType = FinfixedLegTypes.PAY
maturityDate = settleDt.addMonths(36)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(48)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(60)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(72)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(84)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(96)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(108)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(120)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(132)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(144)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(180)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(240)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(300)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settleDt.addMonths(360)
swap = FinOIS(settleDt, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
liborCurve = FinOISCurve(valuationDate, depos, fras, swaps)
df = liborCurve.df(settleDt)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settleDt), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
for swap in swaps:
df = liborCurve.df(swap._maturityDate)
testCases.print(str(swap._maturityDate), df)
def test_bloombergPricingExample():
''' This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
'''
valuationDate = FinDate(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settleDt = valuationDate.addWeekDays(spotDays)
accrual = FinDayCountTypes.THIRTY_E_360
depo = FinIborDeposit(settleDt, "1D", 1.712 / 100.0, accrual)
depos = [depo]
futs = []
fut = FinIborFuture(valuationDate, 1)
futs.append(fut)
fut = FinIborFuture(valuationDate, 2)
futs.append(fut)
fut = FinIborFuture(valuationDate, 3)
futs.append(fut)
fut = FinIborFuture(valuationDate, 4)
futs.append(fut)
fut = FinIborFuture(valuationDate, 5)
futs.append(fut)
fut = FinIborFuture(valuationDate, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = FinDayCountTypes.THIRTY_E_360
freq = FinFrequencyTypes.SEMI_ANNUAL
spotDays = 2
settleDt = valuationDate.addWeekDays(spotDays)
payRec = FinSwapTypes.PAY
lag = 1 # Not used
swaps = []
swap = FinOIS(settleDt, "2Y", payRec, (2.77417 + 2.77844) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "3Y", payRec, (2.86098 + 2.86582) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "4Y", payRec, (2.90240 + 2.90620) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "5Y", payRec, (2.92944 + 2.92906) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "6Y", payRec, (2.94001 + 2.94499) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "7Y", payRec, (2.95352 + 2.95998) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "8Y", payRec, (2.96830 + 2.97400) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "9Y", payRec, (2.98403 + 2.98817) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "10Y", payRec, (2.99716 + 3.00394) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "11Y", payRec, (3.01344 + 3.01596) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "12Y", payRec, (3.02276 + 3.02684) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "15Y", payRec, (3.04092 + 3.04508) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "20Y", payRec, (3.04417 + 3.05183) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "25Y", payRec, (3.03219 + 3.03621) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "30Y", payRec, (3.01030 + 3.01370) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "40Y", payRec, (2.96946 + 2.97354) / 200, freq,
accrual)
swaps.append(swap)
swap = FinOIS(settleDt, "50Y", payRec, (2.91552 + 2.93748) / 200, freq,
accrual)
swaps.append(swap)
oisCurve = FinOISCurve(valuationDate, depos, fras, swaps)
# swaps[0]._fixedLeg.printValuation()
# swaps[0]._floatLeg.printValuation()
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print("VALUE:", swaps[0].value(valuationDate, oisCurve, None))
testCases.print("FIXED:",
-swaps[0]._fixedLeg.value(valuationDate, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(valuationDate, oisCurve,
None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print("VALUE:", swaps[0].value(settleDt, oisCurve, None))
testCases.print("FIXED:", -swaps[0]._fixedLeg.value(settleDt, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(settleDt, oisCurve,
None))
def test_FinOISDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settleDt = spotDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depo = FinIborDeposit(settleDt, "1D", 1.712 / 100.0, depoDCCType)
depos = [depo]
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
frasettleDt = spotDate.nextIMMDate()
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
frasettleDt = frasettleDt.nextIMMDate()
fraMaturityDate = frasettleDt.nextIMMDate()
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
startDate = spotDate.addWeekDays(spotDays)
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.THIRTY_E_360
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
floatFreqType = FinFrequencyTypes.QUARTERLY
notional = 1000000
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
calendarType = FinCalendarTypes.US
busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING
swapRate = 0.02776305
paymentLag = 1
swap = FinOIS(startDate, "2Y", fixedLegType, swapRate, fixedFreqType,
fixedDCCType, notional, paymentLag, floatSpread,
floatFreqType, floatDCCType, calendarType, busDayAdjustRule)
swaps.append(swap)
liborCurve = FinOISCurve(spotDate, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spotDate.addYears(times)
zeroRates = liborCurve.zeroRate(dates)
fwdRates = liborCurve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zeroRates * 100, label="zero rates")
plt.plot(times, fwdRates * 100, label="fwd rates")
plt.xlabel("Times")
plt.ylabel("CC forward rates")
plt.legend()
print("==============================================================")
for fra in fras:
print(fra)
print("==============================================================")
endDate = spotDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = settleDt
df = liborCurve.df(endDate)
print(endDate, df)
endDate = FinDate(20, 6, 2018)
df = liborCurve.df(endDate)
print(endDate, df)
for fra in fras:
endDate = fra._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
for swap in swaps:
endDate = swap._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
swap.printFixedLegPV(spotDate)
swap.printFloatLegPV(spotDate)
def test_swapValuationExample():
# Example from
# https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve
vBloomberg = 388147
valuationDate = FinDate(30, 11, 2018)
startDate = FinDate(27, 12, 2017)
maturityDate = FinDate(27, 12, 2067)
notional = 10 * ONE_MILLION
fixedLegType = FinSwapTypes.RECEIVE
fixedRate = 0.0150
fixedDCCType = FinDayCountTypes.THIRTY_360_BOND
fixedFreqType = FinFrequencyTypes.ANNUAL
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
floatFreqType = FinFrequencyTypes.SEMI_ANNUAL
offMarketSwap = FinIborSwapOLD(startDate, maturityDate, fixedLegType,
fixedRate, fixedFreqType, fixedDCCType,
notional, floatSpread, floatFreqType,
floatDCCType)
interpType = FinInterpTypes.LINEAR_ZERO_RATES
depoDCCType = FinDayCountTypes.ACT_360
depos = []
###########################################################################
# MARKET
###########################################################################
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depo = FinIborDeposit(settlementDate, "6M", -0.2510 / 100.0, depoDCCType)
depos.append(depo)
fras = []
fraDCCType = FinDayCountTypes.ACT_360
fra = FinIborFRA(settlementDate.addTenor("1M"), "6M", -0.2450 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("2M"), "6M", -0.2435 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("3M"), "6M", -0.2400 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("4M"), "6M", -0.2360 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("5M"), "6M", -0.2285 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("6M"), "6M", -0.2230 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("7M"), "6M", -0.2110 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("8M"), "6M", -0.1990 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("9M"), "6M", -0.1850 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("10M"), "6M", -0.1680 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("11M"), "6M", -0.1510 / 100.0,
fraDCCType)
fras.append(fra)
fra = FinIborFRA(settlementDate.addTenor("12M"), "6M", -0.1360 / 100.0,
fraDCCType)
fras.append(fra)
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.THIRTY_360_BOND
fixedFreqType = FinFrequencyTypes.ANNUAL
swap = FinIborSwapOLD(settlementDate, "2Y", fixedLegType, -0.1525 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "3Y", fixedLegType, -0.0185 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "4Y", fixedLegType, 0.1315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "5Y", fixedLegType, 0.2745 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "6Y", fixedLegType, 0.4135 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "7Y", fixedLegType, 0.5439 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "8Y", fixedLegType, 0.6652 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "9Y", fixedLegType, 0.7784 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "10Y", fixedLegType, 0.8799 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "11Y", fixedLegType, 0.9715 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "12Y", fixedLegType, 1.0517 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "15Y", fixedLegType, 1.2369 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "20Y", fixedLegType, 1.3965 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "25Y", fixedLegType, 1.4472 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "30Y", fixedLegType, 1.4585 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "35Y", fixedLegType, 1.4595 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "40Y", fixedLegType, 1.4535 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "45Y", fixedLegType, 1.4410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "50Y", fixedLegType, 1.4335 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
iborDepos = depos.copy()
iborFras = fras.copy()
iborSwaps = swaps.copy()
iborCurve = FinIborSingleCurve(valuationDate, iborDepos, iborFras,
iborSwaps, interpType)
v1 = offMarketSwap.value(valuationDate, iborCurve, iborCurve,
-0.268 / 100.0)
testCases.banner("DERISCOPE EXAMPLE REPLICATION")
testCases.header("LABEL", "VALUE")
testCases.print("BBG VALUE", vBloomberg)
testCases.print("FP ONE CURVE VALUE", v1)
###############################################################################
depoDCCType = FinDayCountTypes.ACT_360
depos = []
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depo = FinIborDeposit(settlementDate, "1D", -0.3490 / 100.0, depoDCCType)
depos.append(depo)
fras = []
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.ANNUAL
# Standard OIS with standard annual terms
swap = FinOIS(settlementDate, "2W", fixedLegType, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "1M", fixedLegType, -0.3560 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "2M", fixedLegType, -0.3570 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "3M", fixedLegType, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "4M", fixedLegType, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "5M", fixedLegType, -0.3578 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "6M", fixedLegType, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "7M", fixedLegType, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "8M", fixedLegType, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "9M", fixedLegType, -0.3569 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "10M", fixedLegType, -0.3553 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "11M", fixedLegType, -0.3534 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "12M", fixedLegType, -0.3496 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "18M", fixedLegType, -0.3173 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "2Y", fixedLegType, -0.2671 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "30M", fixedLegType, -0.2070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "3Y", fixedLegType, -0.1410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "4Y", fixedLegType, -0.0060 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "5Y", fixedLegType, 0.1285 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "6Y", fixedLegType, 0.2590 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "7Y", fixedLegType, 0.3830 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "8Y", fixedLegType, 0.5020 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "9Y", fixedLegType, 0.6140 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "10Y", fixedLegType, 0.7160 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "11Y", fixedLegType, 0.8070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "12Y", fixedLegType, 0.8890 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "15Y", fixedLegType, 1.0790 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "20Y", fixedLegType, 1.2460 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "25Y", fixedLegType, 1.3055 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "30Y", fixedLegType, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "35Y", fixedLegType, 1.3315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "40Y", fixedLegType, 1.3300 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = FinOIS(settlementDate, "50Y", fixedLegType, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
oisDepos = depos.copy()
oisFras = fras.copy()
oisSwaps = swaps.copy()
# oisCurveFF = FinOISCurve(valuationDate, oisDepos, oisFras, oisSwaps, interpType)
iborDualCurve = FinIborDualCurve(valuationDate, oisCurveFF, iborDepos,
iborFras, iborSwaps, interpType)
def test_bloombergPricingExample():
''' This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
'''
valuationDate = FinDate(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuationDate, 1)
futs.append(fut)
fut = FinIborFuture(valuationDate, 2)
futs.append(fut)
fut = FinIborFuture(valuationDate, 3)
futs.append(fut)
fut = FinIborFuture(valuationDate, 4)
futs.append(fut)
fut = FinIborFuture(valuationDate, 5)
futs.append(fut)
fut = FinIborFuture(valuationDate, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = FinDayCountTypes.THIRTY_E_360
freq = FinFrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
notional = ONE_MILLION
fixedLegType = FinSwapTypes.PAY
interpType = FinInterpTypes.FLAT_FWD_RATES
swaps = []
swap = FinIborSwapOLD(settlementDate, "2Y", fixedLegType,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "3Y", fixedLegType,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "4Y", fixedLegType,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "5Y", fixedLegType,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "6Y", fixedLegType,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "7Y", fixedLegType,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "8Y", fixedLegType,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "9Y", fixedLegType,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "10Y", fixedLegType,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "11Y", fixedLegType,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "12Y", fixedLegType,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "15Y", fixedLegType,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "20Y", fixedLegType,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "25Y", fixedLegType,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "30Y", fixedLegType,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "40Y", fixedLegType,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "50Y", fixedLegType,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps,
interpType, True)
principal = 0.0
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION")
testCases.header("LABEL", "VALUE")
testCases.print(
"VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", swaps[0].fixedLegValue(valuationDate,
liborCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, liborCurve, liborCurve,
None))
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION TO SWAP SETTLEMENT DATE")
testCases.header("LABEL", "VALUE")
testCases.print(
"VALUE:", swaps[0].value(settlementDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", swaps[0].fixedLegValue(settlementDate,
liborCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(settlementDate, liborCurve,
liborCurve, None))
testCases.banner("======================================================")
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
oisCurve = buildOIS(valuationDate)
# print(oisCurve)
liborDualCurve = FinIborDualCurveOLD(valuationDate, oisCurve, depos, fras,
swaps, FinInterpTypes.FLAT_FWD_RATES,
True)
# print(liborDualCurve)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(valuationDate, oisCurve, liborDualCurve,
None))
testCases.print("FIXED:", swaps[0].fixedLegValue(valuationDate, oisCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, oisCurve, liborCurve,
None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlementDate, oisCurve, liborDualCurve,
None))
testCases.print("FIXED:", swaps[0].fixedLegValue(settlementDate, oisCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(
settlementDate,
oisCurve,
liborDualCurve,
None,
))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
PLOT = False
if PLOT is True:
years = np.linspace(0, 5, 21)
dates = settlementDate.addYears(years)
singleCurveFwds = liborCurve.fwd(dates)
plt.plot(years, singleCurveFwds, label="Single Libor Curve")
oisCurveFwds = oisCurve.fwd(dates)
plt.plot(years, oisCurveFwds, label="OIS Curve")
indexCurveFwds = liborDualCurve.fwd(dates)
plt.plot(years, indexCurveFwds, label="Libor Index Curve")
plt.legend()
def test_FinIborSwaptionQLExample():
valuationDate = FinDate(4, 3, 2014)
settlementDate = FinDate(4, 3, 2014)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
depo = FinIborDeposit(settlementDate, "1W", 0.0023, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "1M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "3M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "6M", 0.0023, depoDCCType)
depos.append(depo)
# No convexity correction provided so I omit interest rate futures
swaps = []
accType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
fixedLegType = FinSwapTypes.PAY
swap = FinIborSwap(settlementDate, "3Y", fixedLegType, 0.00790,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "4Y", fixedLegType, 0.01200,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "5Y", fixedLegType, 0.01570,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "6Y", fixedLegType, 0.01865,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "7Y", fixedLegType, 0.02160,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "8Y", fixedLegType, 0.02350,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "9Y", fixedLegType, 0.02540,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "10Y", fixedLegType, 0.0273,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "15Y", fixedLegType, 0.0297,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "20Y", fixedLegType, 0.0316,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "25Y", fixedLegType, 0.0335,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "30Y", fixedLegType, 0.0354,
fixedFreqType, accType)
swaps.append(swap)
liborCurve = FinIborSingleCurve(valuationDate, depos, [], swaps,
FinInterpTypes.LINEAR_ZERO_RATES)
exerciseDate = settlementDate.addTenor("5Y")
swapMaturityDate = exerciseDate.addTenor("5Y")
swapFixedCoupon = 0.040852
swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
swapFixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
swapFloatFrequencyType = FinFrequencyTypes.QUARTERLY
swapFloatDayCountType = FinDayCountTypes.ACT_360
swapNotional = 1000000
swaptionType = FinSwapTypes.PAY
swaption = FinIborSwaption(settlementDate, exerciseDate, swapMaturityDate,
swaptionType, swapFixedCoupon,
swapFixedFrequencyType, swapFixedDayCountType,
swapNotional, swapFloatFrequencyType,
swapFloatDayCountType)
testCases.header("MODEL", "VALUE")
model = FinModelBlack(0.1533)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelBlackShifted(0.1533, -0.008)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelSABR(0.132, 0.5, 0.5, 0.5)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelSABRShifted(0.352, 0.5, 0.15, 0.15, -0.005)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelRatesHW(0.010000000, 0.00000000001)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
def buildIborCurve(valuationDate):
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
payFixed = FinSwapTypes.PAY
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(3)
depo2 = FinIborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(6)
depo3 = FinIborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(9)
depo4 = FinIborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinIborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swaps = []
swapRate = 0.05
maturityDate = settlementDate.addMonths(24)
swap1 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinIborSwap(
settlementDate,
maturityDate,
swapRate,
payFixed,
fixedFreqType,
fixedDCCType)
swaps.append(swap9)
liborCurve = FinIborSingleCurve(valuationDate,
depos,
fras,
swaps)
if 1 == 0:
import numpy as np
numSteps = 40
dt = 10 / numSteps
times = np.linspace(0.0, 10.0, numSteps + 1)
df0 = 1.0
for t in times[1:]:
df1 = liborCurve.df(t)
fwd = (df0 / df1 - 1.0) / dt
print(t, df1, fwd)
df0 = df1
return liborCurve
def test_derivativePricingExample():
valuationDate = FinDate(10, 11, 2011)
dccType = FinDayCountTypes.ACT_360
depos = []
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001410
depo = FinIborDeposit(settlementDate, "ON", depositRate, dccType)
depos.append(depo)
spotDays = 1
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001410
depo = FinIborDeposit(settlementDate, "TN", depositRate, dccType)
depos.append(depo)
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001910
depo = FinIborDeposit(settlementDate, "1W", depositRate, dccType)
depos.append(depo)
depositRate = 0.002090
depo = FinIborDeposit(settlementDate, "2W", depositRate, dccType)
depos.append(depo)
depositRate = 0.002490
depo = FinIborDeposit(settlementDate, "1M", depositRate, dccType)
depos.append(depo)
depositRate = 0.003450
depo = FinIborDeposit(settlementDate, "2M", depositRate, dccType)
depos.append(depo)
depositRate = 0.004570
depo = FinIborDeposit(settlementDate, "3M", depositRate, dccType)
depos.append(depo)
depositRate = 0.005230
depo = FinIborDeposit(settlementDate, "4M", depositRate, dccType)
depos.append(depo)
depositRate = 0.005860
depo = FinIborDeposit(settlementDate, "5M", depositRate, dccType)
depos.append(depo)
depositRate = 0.006540
depo = FinIborDeposit(settlementDate, "6M", depositRate, dccType)
depos.append(depo)
depositRate = 0.007080
depo = FinIborDeposit(settlementDate, "7M", depositRate, dccType)
depos.append(depo)
depositRate = 0.007540
depo = FinIborDeposit(settlementDate, "8M", depositRate, dccType)
depos.append(depo)
depositRate = 0.008080
depo = FinIborDeposit(settlementDate, "9M", depositRate, dccType)
depos.append(depo)
depositRate = 0.008570
depo = FinIborDeposit(settlementDate, "10M", depositRate, dccType)
depos.append(depo)
depositRate = 0.009130
depo = FinIborDeposit(settlementDate, "11M", depositRate, dccType)
depos.append(depo)
fras = []
swaps = []
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
# dayCountType = FinDayCountTypes.ACT_360
freqType = FinFrequencyTypes.SEMI_ANNUAL
swapType = FinSwapTypes.PAYER
swapRate = 0.0058
swap = FinIborSwap(settlementDate, "1Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0060
swap = FinIborSwap(settlementDate, "2Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0072
swap = FinIborSwap(settlementDate, "3Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0096
swap = FinIborSwap(settlementDate, "4Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0124
swap = FinIborSwap(settlementDate, "5Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0173
swap = FinIborSwap(settlementDate, "7Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0219
swap = FinIborSwap(settlementDate, "10Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0283
swap = FinIborSwap(settlementDate, "30Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborCurve(valuationDate, depos, fras, swaps,
FinInterpTypes.FLAT_FORWARDS)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborCurve(valuationDate, depos, fras, swaps,
FinInterpTypes.LINEAR_SWAP_RATES)
end = time.time()
elapsed2 = end - start
testCases.header("METHOD", "TIME")
testCases.print("NON-LINEAR SOLVER BOOTSTRAP", elapsed1 / numRepeats)
testCases.print("LINEAR SWAP BOOTSTRAP", elapsed2 / numRepeats)
def test_bloombergPricingExample(interpType):
''' This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
'''
valuationDate = FinDate(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuationDate, 1); futs.append(fut)
fut = FinIborFuture(valuationDate, 2); futs.append(fut)
fut = FinIborFuture(valuationDate, 3); futs.append(fut)
fut = FinIborFuture(valuationDate, 4); futs.append(fut)
fut = FinIborFuture(valuationDate, 5); futs.append(fut)
fut = FinIborFuture(valuationDate, 6); futs.append(fut)
fras = [None]*6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = FinDayCountTypes.THIRTY_E_360
freq = FinFrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
notional = ONE_MILLION
fixedLegType = FinSwapTypes.PAY
swaps = []
swap = FinIborSwap(settlementDate, "2Y", fixedLegType, (2.77417+2.77844)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "3Y", fixedLegType, (2.86098+2.86582)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "4Y", fixedLegType, (2.90240+2.90620)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "5Y", fixedLegType, (2.92944+2.92906)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "6Y", fixedLegType, (2.94001+2.94499)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "7Y", fixedLegType, (2.95352+2.95998)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "8Y", fixedLegType, (2.96830+2.97400)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "9Y", fixedLegType, (2.98403+2.98817)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "10Y", fixedLegType, (2.99716+3.00394)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "11Y", fixedLegType, (3.01344+3.01596)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "12Y", fixedLegType, (3.02276+3.02684)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "15Y", fixedLegType, (3.04092+3.04508)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "20Y", fixedLegType, (3.04417+3.05183)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "25Y", fixedLegType, (3.03219+3.03621)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "30Y", fixedLegType, (3.01030+3.01370)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "40Y", fixedLegType, (2.96946+2.97354)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwap(settlementDate, "50Y", fixedLegType, (2.91552+2.93748)/200, freq, accrual); swaps.append(swap)
liborCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps, interpType)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
# Pay fixed so make fixed leg value negative
testCases.header("VALUATION TO TODAY DATE"," PV")
testCases.print("VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", -swaps[0]._fixedLeg.value(valuationDate, liborCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(valuationDate, liborCurve, liborCurve, None))
# Pay fixed so make fixed leg value negative
testCases.header("VALUATION TO SWAP SETTLEMENT DATE"," PV")
testCases.print("VALUE:", swaps[0].value(settlementDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", -swaps[0]._fixedLeg.value(settlementDate, liborCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(settlementDate, liborCurve, liborCurve, None))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
if 1==0:
plt.figure()
years = np.linspace(0, 50, 500)
dates = settlementDate.addYears(years)
fwds = liborCurve.fwd(dates)
plt.plot(years, fwds, label = "Fwd Rate")
plt.title(interpType)
plt.xlabel("Years")
plt.legend()
years = np.linspace(0, 50, 500)
dates = settlementDate.addYears(years)
fwds = liborCurve.zeroRate(dates)
plt.plot(years, fwds, label = "Zero Rate")
plt.title(interpType)
plt.xlabel("Years")
plt.ylabel("Rate")
plt.legend()
def buildFullIssuerCurve2(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 20 August 2020 SNAP AT 1600
m = 1.0
settlementDate = FinDate(24, 8, 2020)
dcType = FinDayCountTypes.ACT_360
depos = []
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(settlementDate, maturityDate, m * 0.001709, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinIborDeposit(settlementDate, maturityDate, m * 0.002123, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinIborDeposit(settlementDate, maturityDate, m * 0.002469, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinIborDeposit(settlementDate, maturityDate, m * 0.003045, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinIborDeposit(settlementDate, maturityDate, m * 0.004449, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002155 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002305 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002665 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.003290 + irBump, fixedFreq, dcType)
swaps.append(swap4)
liborCurve = FinIborCurve(settlementDate, depos, [], swaps)
cdsCoupon = 0.01 + mktSpreadBump
cdsMarketContracts = []
effectiveDate = FinDate(21, 8, 2020)
cds = FinCDS(effectiveDate, "6M", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "1Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "2Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "3Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "4Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "5Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "7Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "10Y", cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(settlementDate, cdsMarketContracts, liborCurve,
recoveryRate)
testCases.header("DATE", "DISCOUNT_FACTOR", "SURV_PROB")
years = np.linspace(0.0, 10.0, 20)
dates = settlementDate.addYears(years)
for dt in dates:
df = liborCurve.df(dt)
q = issuerCurve.survProb(dt)
testCases.print("%16s" % dt, "%12.8f" % df, "%12.8f" % q)
return liborCurve, issuerCurve
def buildFullIssuerCurve1(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 8-AUG-2019 SNAP AT 1600
tradeDate = FinDate(2019, 8, 9)
valuationDate = tradeDate.addDays(1)
dcType = FinDayCountTypes.ACT_360
depos = []
m = 1.0 # 0.00000000000
spotDays = 2
settlementDate = valuationDate.addDays(spotDays)
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(settlementDate, maturityDate, m * 0.022009, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinIborDeposit(settlementDate, maturityDate, m * 0.022138, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinIborDeposit(settlementDate, maturityDate, m * 0.021810, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinIborDeposit(settlementDate, maturityDate, m * 0.020503, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinIborDeposit(settlementDate, maturityDate, m * 0.019930, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.015910 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014990 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014725 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014640 + irBump, fixedFreq, dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014800 + irBump, fixedFreq, dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.014995 + irBump, fixedFreq, dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.015180 + irBump, fixedFreq, dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.015610 + irBump, fixedFreq, dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.015880 + irBump, fixedFreq, dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(144)
swap10 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.016430 + irBump, fixedFreq, dcType)
swaps.append(swap10)
liborCurve = FinIborCurve(settlementDate, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.04 + mktSpreadBump
maturityDate = valuationDate.nextCDSDate(6)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(48)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(180)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(settlementDate, cdsMarketContracts, liborCurve,
recoveryRate)
return liborCurve, issuerCurve
def buildFullIssuerCurve(valuationDate):
dcType = FinDayCountTypes.ACT_360
depos = []
irBump = 0.0
m = 1.0 # 0.00000000000
spotDays = 0
settlementDate = valuationDate.addDays(spotDays)
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(settlementDate, maturityDate, m * 0.0016, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinIborDeposit(settlementDate, maturityDate, m * 0.0020, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinIborDeposit(settlementDate, maturityDate, m * 0.0024, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinIborDeposit(settlementDate, maturityDate, m * 0.0033, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinIborDeposit(settlementDate, maturityDate, m * 0.0056, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
spotDays = 2
settlementDate = valuationDate.addDays(spotDays)
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0044 + irBump,
fixedFreq,
dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0078 + irBump,
fixedFreq,
dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0119 + irBump,
fixedFreq,
dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0158 + irBump,
fixedFreq,
dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0192 + irBump,
fixedFreq,
dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0219 + irBump,
fixedFreq,
dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0242 + irBump,
fixedFreq,
dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0261 + irBump,
fixedFreq,
dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAYER,
m * 0.0276 + irBump,
fixedFreq,
dcType)
swaps.append(swap9)
liborCurve = FinIborCurve(valuationDate, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.005743
maturityDate = valuationDate.nextCDSDate(6)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.007497
maturityDate = valuationDate.nextCDSDate(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.011132
maturityDate = valuationDate.nextCDSDate(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.013932
maturityDate = valuationDate.nextCDSDate(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.015764
maturityDate = valuationDate.nextCDSDate(48)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.017366
maturityDate = valuationDate.nextCDSDate(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.020928
maturityDate = valuationDate.nextCDSDate(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.022835
maturityDate = valuationDate.nextCDSDate(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(valuationDate,
cdsMarketContracts,
liborCurve,
recoveryRate)
return liborCurve, issuerCurve
def buildIborCurve(valuationDate):
settlementDate = valuationDate.addDays(2)
dcType = FinDayCountTypes.ACT_360
depos = []
fras = []
swaps = []
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(settlementDate, maturityDate, -0.00251, dcType)
depos.append(depo1)
# Series of 1M futures
startDate = settlementDate.nextIMMDate()
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.0023, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00234, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00225, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00226, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00219, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00213, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00186, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00189, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00175, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00143, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00126, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinIborFRA(startDate, endDate, -0.00126, dcType)
fras.append(fra)
###########################################################################
###########################################################################
###########################################################################
###########################################################################
fixedFreq = FinFrequencyTypes.ANNUAL
dcType = FinDayCountTypes.THIRTY_E_360
swapType = FinSwapTypes.PAYER
#####################################################
maturityDate = settlementDate.addMonths(24)
swap1 = FinIborSwap(settlementDate, maturityDate, swapType, -0.001506,
fixedFreq, dcType)
swaps.append(swap1)
#####################################################
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(settlementDate, maturityDate, swapType, -0.000185,
fixedFreq, dcType)
swaps.append(swap2)
#####################################################
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(settlementDate, maturityDate, swapType, 0.001358,
fixedFreq, dcType)
swaps.append(swap3)
#####################################################
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0027652,
fixedFreq, dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0041539,
fixedFreq, dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0054604,
fixedFreq, dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinIborSwap(settlementDate, maturityDate, swapType, 0.006674,
fixedFreq, dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinIborSwap(settlementDate, maturityDate, swapType, 0.007826,
fixedFreq, dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinIborSwap(settlementDate, maturityDate, swapType, 0.008821,
fixedFreq, dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(132)
swap10 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0097379,
fixedFreq, dcType)
swaps.append(swap10)
maturityDate = settlementDate.addMonths(144)
swap11 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0105406,
fixedFreq, dcType)
swaps.append(swap11)
maturityDate = settlementDate.addMonths(180)
swap12 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0123927,
fixedFreq, dcType)
swaps.append(swap12)
maturityDate = settlementDate.addMonths(240)
swap13 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0139882,
fixedFreq, dcType)
swaps.append(swap13)
maturityDate = settlementDate.addMonths(300)
swap14 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0144972,
fixedFreq, dcType)
swaps.append(swap14)
maturityDate = settlementDate.addMonths(360)
swap15 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0146081,
fixedFreq, dcType)
swaps.append(swap15)
maturityDate = settlementDate.addMonths(420)
swap16 = FinIborSwap(settlementDate, maturityDate, swapType, 0.01461897,
fixedFreq, dcType)
swaps.append(swap16)
maturityDate = settlementDate.addMonths(480)
swap17 = FinIborSwap(settlementDate, maturityDate, swapType, 0.014567455,
fixedFreq, dcType)
swaps.append(swap17)
maturityDate = settlementDate.addMonths(540)
swap18 = FinIborSwap(settlementDate, maturityDate, swapType, 0.0140826,
fixedFreq, dcType)
swaps.append(swap18)
maturityDate = settlementDate.addMonths(600)
swap19 = FinIborSwap(settlementDate, maturityDate, swapType, 0.01436822,
fixedFreq, dcType)
swaps.append(swap19)
liborCurve = FinIborCurve(settlementDate, depos, fras, swaps)
testCases.header("LABEL", "DATE", "VALUE")
''' Check calibration '''
for depo in depos:
v = depo.value(settlementDate, liborCurve)
testCases.print("DEPO VALUE:", depo._maturityDate, v)
for fra in fras:
v = fra.value(settlementDate, liborCurve)
testCases.print("FRA VALUE:", fra._maturityDate, v)
for swap in swaps:
v = swap.value(settlementDate, liborCurve, liborCurve, None)
testCases.print("SWAP VALUE:", swap._maturityDate, v)
return liborCurve
def testFinIborCashSettledSwaption():
testCases.header("LABEL", "VALUE")
valuationDate = FinDate(1, 1, 2020)
settlementDate = FinDate(1, 1, 2020)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
depo = FinIborDeposit(settlementDate, "1W", 0.0023, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "1M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "3M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "6M", 0.0023, depoDCCType)
depos.append(depo)
# No convexity correction provided so I omit interest rate futures
settlementDate = FinDate(2, 1, 2020)
swaps = []
accType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
fixedLegType = FinSwapTypes.PAY
swap = FinIborSwap(settlementDate, "3Y", fixedLegType, 0.00790,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "4Y", fixedLegType, 0.01200,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "5Y", fixedLegType, 0.01570,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "6Y", fixedLegType, 0.01865,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "7Y", fixedLegType, 0.02160,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "8Y", fixedLegType, 0.02350,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "9Y", fixedLegType, 0.02540,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "10Y", fixedLegType, 0.0273,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "15Y", fixedLegType, 0.0297,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "20Y", fixedLegType, 0.0316,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "25Y", fixedLegType, 0.0335,
fixedFreqType, accType)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "30Y", fixedLegType, 0.0354,
fixedFreqType, accType)
swaps.append(swap)
liborCurve = FinIborSingleCurve(valuationDate, depos, [], swaps,
FinInterpTypes.LINEAR_ZERO_RATES)
exerciseDate = settlementDate.addTenor("5Y")
swapMaturityDate = exerciseDate.addTenor("5Y")
swapFixedCoupon = 0.040852
swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
swapFixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
swapFloatFrequencyType = FinFrequencyTypes.QUARTERLY
swapFloatDayCountType = FinDayCountTypes.ACT_360
swapNotional = 1000000
fixedLegType = FinSwapTypes.PAY
swaption = FinIborSwaption(settlementDate, exerciseDate, swapMaturityDate,
fixedLegType, swapFixedCoupon,
swapFixedFrequencyType, swapFixedDayCountType,
swapNotional, swapFloatFrequencyType,
swapFloatDayCountType)
model = FinModelBlack(0.1533)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print("Swaption No-Arb Value:", v)
fwdSwapRate1 = liborCurve.swapRate(exerciseDate, swapMaturityDate,
swapFixedFrequencyType,
swapFixedDayCountType)
testCases.print("Curve Fwd Swap Rate:", fwdSwapRate1)
fwdSwap = FinIborSwap(exerciseDate, swapMaturityDate, fixedLegType,
swapFixedCoupon, swapFixedFrequencyType,
swapFixedDayCountType)
fwdSwapRate2 = fwdSwap.swapRate(settlementDate, liborCurve)
testCases.print("Fwd Swap Swap Rate:", fwdSwapRate2)
model = FinModelBlack(0.1533)
v = swaption.cashSettledValue(valuationDate, liborCurve, fwdSwapRate2,
model)
testCases.print("Swaption Cash Settled Value:", v)