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_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_FinIborFRAsOnly():
# TO DO FIX THIS
valuationDate = FinDate(2018, 2, 23)
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
payFixed = True
calendarType = FinCalendarTypes.TARGET
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(1)
fraMaturityDate = settlementDate.addMonths(4)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendarType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.08
fraSettlementDate = settlementDate.addMonths(4)
fraMaturityDate = settlementDate.addMonths(7)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendarType)
fras.append(fra)
depos = []
swaps = []
liborCurve = FinIborSingleCurve(valuationDate,
depos,
fras,
swaps)
testCases.header("DATE", "MATDATE", "VALUE")
''' Check calibration '''
for fra in fras:
v = fra.value(settlementDate, liborCurve)
testCases.print("FRA:", fra._maturityDate, v)
def buildIborCurve(tradeDate):
valuationDate = tradeDate.addDays(1)
dcType = FinDayCountTypes.ACT_360
depos = []
depos = []
fras = []
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
settlementDate = valuationDate
maturityDate = settlementDate.addMonths(12)
swap1 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAY, 0.0502,
fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(24)
swap2 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAY, 0.0502,
fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(36)
swap3 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAY, 0.0501,
fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(48)
swap4 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAY, 0.0502,
fixedFreq, dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(60)
swap5 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAY, 0.0501,
fixedFreq, dcType)
swaps.append(swap5)
liborCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps)
return liborCurve
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 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)
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 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
swapType = FinSwapTypes.PAYER
swaps = []
swap = FinIborSwap(settlementDate, "2Y", swapType,
(2.77417 + 2.77844) / 200, freq, accrual, notional)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "3Y", swapType,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "4Y", swapType,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "5Y", swapType,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "6Y", swapType,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "7Y", swapType,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "8Y", swapType,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "9Y", swapType,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "10Y", swapType,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "11Y", swapType,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "12Y", swapType,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "15Y", swapType,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "20Y", swapType,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "25Y", swapType,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "30Y", swapType,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "40Y", swapType,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwap(settlementDate, "50Y", swapType,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
liborCurve = FinIborSingleCurve(valuationDate, depos, fras, swaps,
FinInterpTypes.LINEAR_SWAP_RATES, True)
# print(liborCurve)
principal = 0.0
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION")
testCases.header("LABEL", "VALUE")
testCases.print(
"VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None,
principal))
testCases.print(
"FIXED:", swaps[0].fixedLegValue(valuationDate, liborCurve, principal))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, liborCurve, liborCurve,
None, principal))
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,
principal))
testCases.print(
"FIXED:", swaps[0].fixedLegValue(settlementDate, liborCurve,
principal))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(settlementDate, liborCurve,
liborCurve, None, principal))
testCases.banner("======================================================")
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
oisCurve = buildOIS(valuationDate)
# print(oisCurve)
liborDualCurve = FinIborDualCurve(valuationDate, oisCurve, depos, fras,
swaps, FinInterpTypes.LINEAR_SWAP_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,
principal))
testCases.print("FIXED:", swaps[0].fixedLegValue(valuationDate, oisCurve,
principal))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, oisCurve, liborCurve,
None, principal))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlementDate, oisCurve, liborDualCurve,
None, principal))
testCases.print(
"FIXED:", swaps[0].fixedLegValue(settlementDate, oisCurve, principal))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(settlementDate, oisCurve,
liborDualCurve, None, principal))
# 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_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 = FinIborSwap(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 = FinIborSwap(settlementDate, "2Y", fixedLegType, -0.1525/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "3Y", fixedLegType, -0.0185/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "4Y", fixedLegType, 0.1315/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "5Y", fixedLegType, 0.2745/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "6Y", fixedLegType, 0.4135/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "7Y", fixedLegType, 0.5439/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "8Y", fixedLegType, 0.6652/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "9Y", fixedLegType, 0.7784/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "10Y", fixedLegType, 0.8799/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "11Y", fixedLegType, 0.9715/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "12Y", fixedLegType, 1.0517/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "15Y", fixedLegType, 1.2369/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "20Y", fixedLegType, 1.3965/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "25Y", fixedLegType, 1.4472/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "30Y", fixedLegType, 1.4585/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "35Y", fixedLegType, 1.4595/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "40Y", fixedLegType, 1.4535/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(settlementDate, "45Y", fixedLegType, 1.4410/100.0, fixedFreqType, fixedDCCType); swaps.append(swap)
swap = FinIborSwap(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 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 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 = FinIborSingleCurve(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 buildIborSingleCurve(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)
swapRate = -0.001506
swap1 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap1)
#######################################
maturityDate = settlementDate.addMonths(36)
swapRate = -0.000185
swap2 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap2)
#######################################
maturityDate = settlementDate.addMonths(48)
swapRate = 0.001358
swap3 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap3)
#######################################
maturityDate = settlementDate.addMonths(60)
swapRate = 0.0027652
swap4 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap4)
#######################################
maturityDate = settlementDate.addMonths(72)
swapRate = 0.0041539
swap5 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap5)
#######################################
maturityDate = settlementDate.addMonths(84)
swapRate = 0.0054604
swap6 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap6)
#######################################
maturityDate = settlementDate.addMonths(96)
swapRate = 0.006674
swap7 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap7)
#######################################
maturityDate = settlementDate.addMonths(108)
swapRate = 0.007826
swap8 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap8)
#######################################
maturityDate = settlementDate.addMonths(120)
swapRate = 0.008821
swap9 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap9)
#######################################
maturityDate = settlementDate.addMonths(132)
swapRate = 0.0097379
swap10 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap10)
#######################################
maturityDate = settlementDate.addMonths(144)
swapRate = 0.0105406
swap11 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap11)
#######################################
maturityDate = settlementDate.addMonths(180)
swapRate = 0.0123927
swap12 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap12)
#######################################
maturityDate = settlementDate.addMonths(240)
swapRate = 0.0139882
swap13 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap13)
#######################################
maturityDate = settlementDate.addMonths(300)
swapRate = 0.0144972
swap14 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap14)
#######################################
maturityDate = settlementDate.addMonths(360)
swapRate = 0.0146081
swap15 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap15)
#######################################
maturityDate = settlementDate.addMonths(420)
swapRate = 0.01461897
swap16 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap16)
#######################################
maturityDate = settlementDate.addMonths(480)
swapRate = 0.014567455
swap17 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap17)
#######################################
maturityDate = settlementDate.addMonths(540)
swapRate = 0.0140826
swap18 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap18)
#######################################
maturityDate = settlementDate.addMonths(600)
swapRate = 0.01436822
swap19 = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreq, dcType)
swaps.append(swap19)
########################################
liborCurve = FinIborSingleCurve(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)
testCases.print("SWAP VALUE:", swap._maturityDate, v)
return liborCurve
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)
m = 1.0 # 0.00000000000
dcType = FinDayCountTypes.ACT_360
depos = []
depo1 = FinIborDeposit(valuationDate, "1D", m * 0.0220, dcType)
depos.append(depo1)
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.PAY,
m * 0.015910 + irBump,
fixedFreq,
dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.014990 + irBump,
fixedFreq,
dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.014725 + irBump,
fixedFreq,
dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.014640 + irBump,
fixedFreq,
dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.014800 + irBump,
fixedFreq,
dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.014995 + irBump,
fixedFreq,
dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.015180 + irBump,
fixedFreq,
dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.015610 + irBump,
fixedFreq,
dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.015880 + irBump,
fixedFreq,
dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(144)
swap10 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.016430 + irBump,
fixedFreq,
dcType)
swaps.append(swap10)
liborCurve = FinIborSingleCurve(valuationDate, 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(valuationDate,
cdsMarketContracts,
liborCurve,
recoveryRate)
return liborCurve, issuerCurve
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 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
fixedLegType = FinSwapTypes.PAY
swapRate = 0.0058
swap = FinIborSwap(settlementDate, "1Y", fixedLegType, swapRate, freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0060
swap = FinIborSwap(settlementDate, "2Y", fixedLegType, swapRate, freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0072
swap = FinIborSwap(settlementDate, "3Y", fixedLegType, swapRate, freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0096
swap = FinIborSwap(settlementDate, "4Y", fixedLegType, swapRate, freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0124
swap = FinIborSwap(settlementDate, "5Y", fixedLegType, swapRate, freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0173
swap = FinIborSwap(settlementDate, "7Y", fixedLegType, swapRate, freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0219
swap = FinIborSwap(settlementDate, "10Y", fixedLegType, swapRate, freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0283
swap = FinIborSwap(settlementDate, "30Y", fixedLegType, swapRate, freqType, dayCountType)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborSingleCurve(valuationDate, depos, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborSingleCurve(valuationDate, depos, fras, swaps,
FinInterpTypes.FLAT_FWD_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_FinIborDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settlementDate = spotDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depositRate = 0.027
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depos = []
depo = FinIborDeposit(settlementDate, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "3M", 0.0240, depoDCCType)
depos.append(depo)
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
fraSettlementDate = spotDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
fraSettlementDate = fraSettlementDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, 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
principal = 0.0
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
calendarType = FinCalendarTypes.US
busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING
swapRate = 0.02776305
swap = FinIborSwap(startDate, "2Y", fixedLegType, swapRate,
fixedFreqType, fixedDCCType, notional,
floatSpread, floatFreqType, floatDCCType,
calendarType, busDayAdjustRule)
swaps.append(swap)
liborCurve = FinIborSingleCurve(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 = settlementDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = FinDate(20, 6, 2018)
df = liborCurve.df(endDate)
print(endDate, df)
for depo in depos:
endDate = depo._maturityDate
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 buildFullIssuerCurve2(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 20 August 2020 SNAP AT 1600
m = 1.0
valuationDate = FinDate(24, 8, 2020)
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.PAY,
m * 0.002155 + irBump,
fixedFreq,
dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.002305 + irBump,
fixedFreq,
dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.002665 + irBump,
fixedFreq,
dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(
settlementDate,
maturityDate,
FinSwapTypes.PAY,
m * 0.003290 + irBump,
fixedFreq,
dcType)
swaps.append(swap4)
liborCurve = FinIborSingleCurve(valuationDate, 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 test_FinIborDepositsFRAsSwaps():
valuationDate = FinDate(2019, 9, 18)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(9)
fraMaturityDate = settlementDate.addMonths(13)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlementDate.addMonths(13)
fraMaturityDate = settlementDate.addMonths(17)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlementDate.addMonths(17)
fraMaturityDate = settlementDate.addMonths(21)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settlementDate.addMonths(24)
# swap = FinIborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixedLegType = FinSwapTypes.PAY
maturityDate = settlementDate.addMonths(36)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
liborCurve = FinIborSingleCurve(valuationDate,
depos,
fras,
swaps)
df = liborCurve.df(settlementDate)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settlementDate), 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_FinCDSCurve():
curveDate = FinDate(2018, 12, 20)
swaps = []
depos = []
fras = []
fixedDCC = FinDayCountTypes.ACT_365F
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
fixedCoupon = 0.05
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
swap = FinIborSwap(curveDate, maturityDate, FinSwapTypes.PAYER,
fixedCoupon, fixedFreq, fixedDCC)
swaps.append(swap)
libor_curve = FinIborSingleCurve(curveDate, depos, fras, swaps)
cdsContracts = []
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturityDate, 0.005 + 0.001 * (i - 1))
cdsContracts.append(cds)
issuerCurve = FinCDSCurve(curveDate,
cdsContracts,
libor_curve,
recoveryRate=0.40,
useCache=False)
testCases.header("T", "Q")
n = len(issuerCurve._times)
for i in range(0, n):
testCases.print(issuerCurve._times[i], issuerCurve._values[i])
testCases.header("CONTRACT", "VALUE")
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturityDate, 0.005 + 0.001 * (i - 1))
v = cds.value(curveDate, issuerCurve)
testCases.print(i, v)
if 1 == 0:
x = [0.0, 1.2, 1.6, 1.7, 10.0]
qs = issuerCurve.survProb(x)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
qs = issuerCurve.survProb(xx)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
dfs = issuerCurve.df(x)
print("===>", dfs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
dfs = issuerCurve.df(xx)
print("===>", dfs)
def test_FinBondEmbeddedOptionMATLAB():
# https://fr.mathworks.com/help/fininst/optembndbyhw.html
# I FIND THAT THE PRICE CONVERGES TO 102.88 WHICH IS CLOSE TO 102.9127
# FOUND BY MATLAB ALTHOUGH THEY DO NOT EXAMINE THE ASYMPTOTIC PRICE
# WHICH MIGHT BE A BETTER MATCH
settlementDate = FinDate(1, 1, 2007)
valuationDate = settlementDate
###########################################################################
dcType = FinDayCountTypes.THIRTY_E_360
fixedFreq = FinFrequencyTypes.ANNUAL
fixedLegType = FinSwapTypes.PAY
swap1 = FinIborSwap(settlementDate, "1Y", fixedLegType, 0.0350, fixedFreq,
dcType)
swap2 = FinIborSwap(settlementDate, "2Y", fixedLegType, 0.0400, fixedFreq,
dcType)
swap3 = FinIborSwap(settlementDate, "3Y", fixedLegType, 0.0450, fixedFreq,
dcType)
swaps = [swap1, swap2, swap3]
discountCurve = FinIborSingleCurve(valuationDate, [], [], swaps)
###########################################################################
issueDate = FinDate(1, 1, 2004)
maturityDate = FinDate(1, 1, 2010)
coupon = 0.0525
freqType = FinFrequencyTypes.ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
callDates = []
callPrices = []
putDates = []
putPrices = []
putDate = FinDate(1, 1, 2008)
for i in range(0, 24):
putDates.append(putDate)
putPrices.append(100)
putDate = putDate.addMonths(1)
testCases.header("BOND PRICE", "PRICE")
v = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve)
testCases.print("Bond Pure Price:", v)
sigma = 0.01 # basis point volatility
a = 0.1
puttableBond = FinBondEmbeddedOption(issueDate, maturityDate, coupon,
freqType, accrualType, callDates,
callPrices, putDates, putPrices)
testCases.header("TIME", "NumTimeSteps", "BondWithOption", "BondPure")
timeSteps = range(50, 1000, 10)
values = []
for numTimeSteps in timeSteps:
model = FinModelRatesHW(sigma, a, numTimeSteps)
start = time.time()
v = puttableBond.value(settlementDate, discountCurve, model)
end = time.time()
period = end - start
testCases.print(period, numTimeSteps, v['bondwithoption'],
v['bondpure'])
values.append(v['bondwithoption'])
if plotGraphs:
plt.figure()
plt.plot(timeSteps, values)
def test_FinFXForward():
# https://stackoverflow.com/questions/48778712
# /fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valuationDate = FinDate(13, 2, 2018)
expiryDate = valuationDate.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 = valuationDate.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 = FinIborSingleCurve(valuationDate, depos, fras, swaps)
depos = []
fras = []
swaps = []
depositRate = ccy2InterestRate
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
domDiscountCurve = FinIborSingleCurve(valuationDate, 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(valuationDate, spotFXRate,
domDiscountCurve, forDiscountCurve)
fwdFXRate = fxForward.forward(valuationDate, spotFXRate,
domDiscountCurve,
forDiscountCurve)
testCases.print(spotFXRate, fwdFXRate, fwdValue)
