def test_FinLiborFRAsOnly():
# 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 = FinLiborFRA(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 = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendarType)
fras.append(fra)
depos = []
swaps = []
liborCurve = FinLiborCurve(settlementDate,
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 buildLiborCurve(valuationDate):
settlementDate = valuationDate.addDays(2)
dcType = FinDayCountTypes.ACT_360
depos = []
fras = []
swaps = []
maturityDate = settlementDate.addMonths(6)
depo1 = FinLiborDeposit(settlementDate, maturityDate, -0.00251, dcType)
depos.append(depo1)
# Series of 1M futures
startDate = settlementDate.nextIMMDate()
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.0023, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00234, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00225, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00226, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00219, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00213, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00186, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00189, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00175, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00143, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00126, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00126, True, dcType)
fras.append(fra)
fixedFreq = FinFrequencyTypes.ANNUAL
dcType = FinDayCountTypes.THIRTY_360
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, -0.001506, fixedFreq,
dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, -0.000185, fixedFreq,
dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, 0.001358, fixedFreq,
dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, 0.0027652, fixedFreq,
dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(settlementDate, maturityDate, 0.0041539, fixedFreq,
dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(settlementDate, maturityDate, 0.0054604, fixedFreq,
dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(settlementDate, maturityDate, 0.006674, fixedFreq,
dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(settlementDate, maturityDate, 0.007826, fixedFreq,
dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(settlementDate, maturityDate, 0.008821, fixedFreq,
dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(132)
swap10 = FinLiborSwap(settlementDate, maturityDate, 0.0097379, fixedFreq,
dcType)
swaps.append(swap10)
maturityDate = settlementDate.addMonths(144)
swap11 = FinLiborSwap(settlementDate, maturityDate, 0.0105406, fixedFreq,
dcType)
swaps.append(swap11)
maturityDate = settlementDate.addMonths(180)
swap12 = FinLiborSwap(settlementDate, maturityDate, 0.0123927, fixedFreq,
dcType)
swaps.append(swap12)
maturityDate = settlementDate.addMonths(240)
swap13 = FinLiborSwap(settlementDate, maturityDate, 0.0139882, fixedFreq,
dcType)
swaps.append(swap13)
maturityDate = settlementDate.addMonths(300)
swap14 = FinLiborSwap(settlementDate, maturityDate, 0.0144972, fixedFreq,
dcType)
swaps.append(swap14)
maturityDate = settlementDate.addMonths(360)
swap15 = FinLiborSwap(settlementDate, maturityDate, 0.0146081, fixedFreq,
dcType)
swaps.append(swap15)
maturityDate = settlementDate.addMonths(420)
swap16 = FinLiborSwap(settlementDate, maturityDate, 0.01461897, fixedFreq,
dcType)
swaps.append(swap16)
maturityDate = settlementDate.addMonths(480)
swap17 = FinLiborSwap(settlementDate, maturityDate, 0.014567455, fixedFreq,
dcType)
swaps.append(swap17)
maturityDate = settlementDate.addMonths(540)
swap18 = FinLiborSwap(settlementDate, maturityDate, 0.0140826, fixedFreq,
dcType)
swaps.append(swap18)
maturityDate = settlementDate.addMonths(600)
swap19 = FinLiborSwap(settlementDate, maturityDate, 0.01436822, fixedFreq,
dcType)
swaps.append(swap19)
liborCurve = FinLiborCurve("USD", 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 test_FinLiborDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settlementDate = spotDate.addWorkDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
depo = FinLiborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depositRate = 0.027
depo = FinLiborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depos = []
depo = FinLiborDeposit(settlementDate, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "3M", 0.0240, depoDCCType)
depos.append(depo)
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
fraSettlementDate = spotDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
fraSettlementDate = fraSettlementDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
startDate = spotDate.addWorkDays(spotDays)
swaps = []
swapType = FinLiborSwapTypes.PAYER
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
swap = FinLiborSwap(startDate, "2Y", swapType, swapRate, fixedFreqType,
fixedDCCType, notional, floatSpread, floatFreqType,
floatDCCType, calendarType, busDayAdjustRule)
swaps.append(swap)
liborCurve = FinLiborCurve(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 test_FinLiborDepositsFRAsSwaps():
valuationDate = FinDate(2019, 9, 18)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(9)
fraMaturityDate = settlementDate.addMonths(13)
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlementDate.addMonths(13)
fraMaturityDate = settlementDate.addMonths(17)
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlementDate.addMonths(17)
fraMaturityDate = settlementDate.addMonths(21)
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settlementDate.addMonths(24)
# swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
swapType = FinLiborSwapTypes.PAYER
maturityDate = settlementDate.addMonths(36)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
liborCurve = FinLiborCurve(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)