def test_EURIBOR6MSwaption(initialize_test):
fw_swap = IRS(notional=1000000,
timeToSwapStart=ql.Period(1, ql.Years),
timeToSwapEnd=ql.Period(20, ql.Years),
swapDirection=SwapDirection.PAYER,
index=InterestRateIndex.EURIBOR6M)
swaption = Swaption(underlyingSwap=fw_swap,
optionMaturity=ql.Period(1, ql.Years),
tradeDirection=TradeDirection.SHORT)
print(swaption.get_price())
print(swaption.get_delta())
def test_equality_with_simm_for_irs():
irs = IRS(notional=100, timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M)
ois = OIS(notional=100, timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.FEDFUNDS)
ul_swap = IRS(notional=100, timeToSwapStart=ql.Period(1, ql.Years),
timeToSwapEnd=ql.Period(2, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.USDLIBOR3M)
swaption = Swaption(underlyingSwap=ul_swap, optionMaturity=ql.Period(1, ql.Years))
simm = SIMM()
simm.add_trades([irs, ois, ul_swap, swaption])
ccpimm = CCPIMM()
ccpimm.add_trades([irs, ois, ul_swap, swaption])
assert simm.get_im_post() != 0
assert ccpimm.get_im_post() != 0
assert approx(simm.get_im_post(), rel=0.00001) == ccpimm.get_im_post() * sqrt(10 / 5)
def test_im_post_vs_receive_option():
# When setting up at the money options that expire soon enough the long side of the option should bear significant less IM than the short side
swap = IRS(notional=100,
timeToSwapStart=ql.Period(6, ql.Months),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M)
options = []
swaption = Swaption(underlyingSwap=swap,
optionMaturity=ql.Period(6, ql.Months),
tradeDirection=TradeDirection.LONG)
options.append(swaption)
eqOpt1 = EquityOption(maturity=ql.Period(2, ql.Months),
tradeType=TradeType.CALL,
tradeDirection=TradeDirection.LONG)
options.append(eqOpt1)
for option in options:
simm = SIMM()
simm.add_trades(option)
im_receive = simm.get_im_receive()
im_post = -1 * simm.get_im_post()
assert im_post * 1.1 < im_receive
eqOpt2 = EquityOption(maturity=ql.Period(2, ql.Months),
tradeType=TradeType.PUT,
tradeDirection=TradeDirection.SHORT)
simm = SIMM()
simm.add_trades(eqOpt2)
im_receive = simm.get_im_receive()
im_post = -1 * simm.get_im_post()
assert im_receive * 1.1 < im_post
def test_get_bumped_copy():
bumpsize = 0.01
swap = IRS(notional=100000,
timeToSwapStart=ql.Period(1, ql.Years),
timeToSwapEnd=ql.Period(5, ql.Years),
swapDirection=SwapDirection.PAYER,
index=InterestRateIndex.EURIBOR6M,
fixed_rate=0.01)
option = Swaption(underlyingSwap=swap,
optionMaturity=ql.Period(1, ql.Years))
option_copy = option.get_bumped_copy(bumpsize)
assert option_copy.notional == option.notional * (1 + bumpsize)
assert approx(option_copy.get_price(),
abs=0.000001) == option.get_price() * (1 + bumpsize)
asdf = 1
for option_sensi, option_copy_sensi in zip(option.get_simm_sensis(),
option_copy.get_simm_sensis()):
assert approx(float(option_sensi['amountUSD']) * (1 + bumpsize),
abs=0.000001) == float(option_copy_sensi['amountUSD'])
def test_get_im_swaption():
tts = ql.Period(2, ql.Years)
tte = ql.Period(10, ql.Years)
swap1 = IRS(600, tts, tte, SwapDirection.RECEIVER,
InterestRateIndex.USDLIBOR3M)
swaption1 = Swaption(swap1, ql.Period(2, ql.Years))
simm = SIMM()
simm.add_trades(swaption1)
im = simm.get_im_receive()
swap2 = IRS(600, tts, tte, SwapDirection.RECEIVER,
InterestRateIndex.EURIBOR6M)
simm.add_trades(swap2)
im = simm.get_im_receive()
def init_ca():
from instruments.interestRateInstrument.ois import OIS
from instruments.interestRateInstrument.irs import IRS
from instruments.equity_instruments.equityOption import EquityOption
from collateralAgreement.collateralAgreement import CollateralAgreement
from sa_ccr.sa_ccr import SA_CCR
trade1 = OIS(fixed_rate=0.01)
trade2 = IRS(fixed_rate=0.01)
trade3 = Swaption()
trade4 = EquityOption()
# trade4 = EquityOption()
ca = CollateralAgreement()
ca.link_sa_ccr_instance(SA_CCR(ca))
ca.add_trades([trade1, trade2, trade3, trade4])
yield ca
def test_EUR_irvol_sensi(initialize_test):
tts = ql.Period(2, ql.Years)
tte = ql.Period(10, ql.Years)
swap1 = IRS(600, tts, tte, SwapDirection.RECEIVER,
InterestRateIndex.EURIBOR6M)
swaption1 = Swaption(swap1, ql.Period(2, ql.Years))
sensis1 = swaption1.get_simm_sensis_irvol()
tts = ql.Period(6, ql.Months)
swap2 = IRS(600, tts, tte, SwapDirection.RECEIVER,
InterestRateIndex.EURIBOR6M)
swaption2 = Swaption(swap2, ql.Period(6, ql.Months))
sensis2 = swaption2.get_simm_sensis_irvol()
asdf = 1
def standard_swaption(standard_swap):
swaption = Swaption(underlyingSwap=standard_swap, optionMaturity=360, tradeDirection=TradeDirection.LONG)
return swaption