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_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_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)