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