def test_FinIborFRAsOnly():
# TO DO FIX THIS
valuation_date = Date(23, 2, 2018)
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
notional = 100.0
payFixed = True
calendar_type = CalendarTypes.TARGET
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlement_date.addMonths(1)
fraMaturityDate = settlement_date.addMonths(4)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendar_type)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.08
fraSettlementDate = settlement_date.addMonths(4)
fraMaturityDate = settlement_date.addMonths(7)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendar_type)
fras.append(fra)
depos = []
swaps = []
libor_curve = FinIborSingleCurveOLD(valuation_date,
depos,
fras,
swaps)
testCases.header("DATE", "MATDATE", "VALUE")
""" Check calibration """
for fra in fras:
v = fra.value(settlement_date, libor_curve)
testCases.print("FRA:", fra._maturity_date, v)
def test_FinOISFRAsOnly():
# TO DO FIX THIS
valuationDate = FinDate(23, 2, 2018)
spotDays = 0
settleDt = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
payFixed = True
calendarType = FinCalendarTypes.TARGET
fras = []
# 1 x 4 FRA
fraRate = 0.04
frasettleDt = settleDt.addMonths(1)
fraMaturityDate = settleDt.addMonths(4)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendarType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.08
frasettleDt = settleDt.addMonths(4)
fraMaturityDate = settleDt.addMonths(7)
fra = FinIborFRA(frasettleDt, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendarType)
fras.append(fra)
swaps = []
liborCurve = FinOISCurve(settleDt,
fras,
swaps)
testCases.header("DATE", "MATDATE", "VALUE")
''' Check calibration '''
for fra in fras:
v = fra.value(settleDt, liborCurve)
testCases.print("FRA:", fra._maturityDate, v)
def buildIborSingleCurve(valuationDate):
settlementDate = valuationDate.addDays(2)
dcType = FinDayCountTypes.ACT_360
depos = []
fras = []
swaps = []
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(valuationDate, 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
fixedLegType = FinSwapTypes.PAY
#######################################
maturityDate = settlementDate.addMonths(24)
swapRate = -0.001506
swap1 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap1)
#######################################
maturityDate = settlementDate.addMonths(36)
swapRate = -0.000185
swap2 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap2)
#######################################
maturityDate = settlementDate.addMonths(48)
swapRate = 0.001358
swap3 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap3)
#######################################
maturityDate = settlementDate.addMonths(60)
swapRate = 0.0027652
swap4 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap4)
#######################################
maturityDate = settlementDate.addMonths(72)
swapRate = 0.0041539
swap5 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap5)
#######################################
maturityDate = settlementDate.addMonths(84)
swapRate = 0.0054604
swap6 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap6)
#######################################
maturityDate = settlementDate.addMonths(96)
swapRate = 0.006674
swap7 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap7)
#######################################
maturityDate = settlementDate.addMonths(108)
swapRate = 0.007826
swap8 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap8)
#######################################
maturityDate = settlementDate.addMonths(120)
swapRate = 0.008821
swap9 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap9)
#######################################
maturityDate = settlementDate.addMonths(132)
swapRate = 0.0097379
swap10 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap10)
#######################################
maturityDate = settlementDate.addMonths(144)
swapRate = 0.0105406
swap11 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap11)
#######################################
maturityDate = settlementDate.addMonths(180)
swapRate = 0.0123927
swap12 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap12)
#######################################
maturityDate = settlementDate.addMonths(240)
swapRate = 0.0139882
swap13 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap13)
#######################################
maturityDate = settlementDate.addMonths(300)
swapRate = 0.0144972
swap14 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap14)
#######################################
maturityDate = settlementDate.addMonths(360)
swapRate = 0.0146081
swap15 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap15)
#######################################
maturityDate = settlementDate.addMonths(420)
swapRate = 0.01461897
swap16 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap16)
#######################################
maturityDate = settlementDate.addMonths(480)
swapRate = 0.014567455
swap17 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap17)
#######################################
maturityDate = settlementDate.addMonths(540)
swapRate = 0.0140826
swap18 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap18)
#######################################
maturityDate = settlementDate.addMonths(600)
swapRate = 0.01436822
swap19 = FinIborSwap(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreq, dcType)
swaps.append(swap19)
########################################
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 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