def test_fair_upfront(self): fixed_rate = 0.05 upfront = 0.001 day_count = Actual360() notional = 10000 cds = CreditDefaultSwap.from_upfront(SELLER, notional, upfront, fixed_rate, self.schedule, self.convention, day_count, True, True) cds.set_pricing_engine(self.engine) fair_upfront = cds.fair_upfront fair_cds = CreditDefaultSwap.from_upfront(SELLER, notional, fair_upfront, fixed_rate, self.schedule, self.convention, day_count, True, True) fair_cds.set_pricing_engine(self.engine) self.assertAlmostEqual(fair_cds.npv, 0.) # same with null upfront upfront = 0. cds2 = CreditDefaultSwap.from_upfront(SELLER, notional, upfront, fixed_rate, self.schedule, self.convention, day_count, True, True) cds2.set_pricing_engine(self.engine) fair_upfront2 = cds.fair_upfront fair_cds2 = CreditDefaultSwap.from_upfront(SELLER, notional, fair_upfront, fixed_rate, self.schedule, self.convention, day_count, True, True) fair_cds2.set_pricing_engine(self.engine) self.assertAlmostEqual(fair_cds2.npv, 0.)
def example02(): print("example 2:\n") todays_date = Date(25, 9, 2014) Settings.instance().evaluation_date = todays_date calendar = TARGET() term_date = calendar.adjust(todays_date + Period(2, Years), Following) cds_schedule = Schedule(todays_date, term_date, Period(Quarterly), WeekendsOnly(), ModifiedFollowing, ModifiedFollowing, date_generation_rule=Rule.CDS) for date in cds_schedule: print(date) print() todays_date = Date(21, 10, 2014) Settings.instance().evaluation_date = todays_date quotes = [0.00006, 0.00045, 0.00081, 0.001840, 0.00256, 0.00337] tenors = [1, 2, 3, 6, 9, 12] deps = [DepositRateHelper(q, Period(t, Months), 2, calendar, ModifiedFollowing, False, Actual360()) for q, t in zip(quotes, tenors)] tenors = [2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30] quotes = [0.00223, 0.002760, 0.003530, 0.004520, 0.005720, 0.007050, 0.008420, 0.009720, 0.010900, 0.012870, 0.014970, 0.017, 0.01821] swaps = [SwapRateHelper.from_tenor(q, Period(t, Years), calendar, Annual, ModifiedFollowing, Thirty360(), Euribor6M(), SimpleQuote(0)) for q, t in zip(quotes, tenors)] helpers = deps + swaps YC = PiecewiseYieldCurve.from_reference_date(BootstrapTrait.Discount, Interpolator.LogLinear, todays_date, helpers, Actual365Fixed()) YC.extrapolation = True print("ISDA rate curve:") for h in helpers: print("{0}: {1:.6f}\t{2:.6f}".format(h.latest_date, YC.zero_rate(h.latest_date, Actual365Fixed(), 2).rate, YC.discount(h.latest_date))) defaultTs0 = FlatHazardRate(0, WeekendsOnly(), 0.016739207493630, Actual365Fixed()) cds_schedule = Schedule.from_rule(Date(22, 9, 2014), Date(20, 12, 2019), Period(3, Months), WeekendsOnly(), Following, Unadjusted, Rule.CDS, False) nominal = 100000000 trade = CreditDefaultSwap(Side.Buyer, nominal, 0.01, cds_schedule, Following, Actual360(), True, True, Date(22, 10, 2014), Actual360(True), True) engine = IsdaCdsEngine(defaultTs0, 0.4, YC, False) trade.set_pricing_engine(engine) print("reference trade NPV = {0}\n".format(trade.npv))
def test_fair_spread(self): fixed_rate = 0.001 day_count = Actual360() notional = 10000 cds = CreditDefaultSwap(SELLER, notional, fixed_rate, self.schedule, self.convention, day_count, True, True) cds.set_pricing_engine(self.engine) fair_rate = cds.fair_spread fair_cds = CreditDefaultSwap(SELLER, notional, fair_rate, self.schedule, self.convention, day_count, True, True) fair_cds.set_pricing_engine(self.engine) self.assertAlmostEqual(fair_cds.npv, 0.)
def example01(): #********************* #*** MARKET DATA *** #********************* calendar = TARGET() todays_date = Date(15, May, 2007) # must be a business day todays_date = calendar.adjust(todays_date) Settings.instance().evaluation_date = todays_date # dummy curve ts_curve = FlatForward( reference_date=todays_date, forward=0.01, daycounter=Actual365Fixed() ) # In Lehmans Brothers "guide to exotic credit derivatives" # p. 32 there's a simple case, zero flat curve with a flat CDS # curve with constant market spreads of 150 bp and RR = 50% # corresponds to a flat 3% hazard rate. The implied 1-year # survival probability is 97.04% and the 2-years is 94.18% # market recovery_rate = 0.5 quoted_spreads = [0.0150, 0.0150, 0.0150, 0.0150 ] tenors = [Period(i, Months) for i in [3, 6, 12, 24]] maturities = [ calendar.adjust(todays_date + tenors[i], Following) for i in range(4) ] instruments = [] for i in range(4): helper = SpreadCdsHelper( quoted_spreads[i], tenors[i], 0, calendar, Quarterly, Following, Rule.TwentiethIMM, Actual365Fixed(), recovery_rate, ts_curve ) instruments.append(helper) # Bootstrap hazard rates hazard_rate_structure = PiecewiseDefaultCurve.from_reference_date( ProbabilityTrait.HazardRate, Interpolator.BackwardFlat, todays_date, instruments, Actual365Fixed() ) #vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes(); #cout << "Calibrated hazard rate values: " << endl ; #for (Size i=0; i<hr_curve_data.size(); i++) { # cout << "hazard rate on " << hr_curve_data[i].first << " is " # << hr_curve_data[i].second << endl; #} #cout << endl; target = todays_date + Period(1, Years) print(target) print("Some survival probability values: ") print("1Y survival probability: {:%}".format( hazard_rate_structure.survival_probability(target) )) print(" expected: {:%}".format(0.9704)) print("2Y survival probability: {:%}".format( hazard_rate_structure.survival_probability(todays_date + Period(2, Years)) )) print(" expected: {:%}".format(0.9418)) # reprice instruments nominal = 1000000.0; #Handle<DefaultProbabilityTermStructure> probability(hazardRateStructure); engine = MidPointCdsEngine(hazard_rate_structure, recovery_rate, ts_curve) cds_schedule = Schedule.from_rule( todays_date, maturities[0], Period(Quarterly), calendar, termination_date_convention=Unadjusted, date_generation_rule=Rule.TwentiethIMM ) cds_3m = CreditDefaultSwap( Side.Seller, nominal, quoted_spreads[0], cds_schedule, Following, Actual365Fixed() ) cds_schedule = Schedule.from_rule( todays_date, maturities[1], Period(Quarterly), calendar, termination_date_convention=Unadjusted, date_generation_rule=Rule.TwentiethIMM ) cds_6m = CreditDefaultSwap( Side.Seller, nominal, quoted_spreads[1], cds_schedule, Following, Actual365Fixed() ) cds_schedule = Schedule.from_rule( todays_date, maturities[2], Period(Quarterly), calendar, termination_date_convention=Unadjusted, date_generation_rule=Rule.TwentiethIMM ) cds_1y = CreditDefaultSwap( Side.Seller, nominal, quoted_spreads[2], cds_schedule, Following, Actual365Fixed() ) cds_schedule = Schedule.from_rule( todays_date, maturities[3], Period(Quarterly), calendar, termination_date_convention=Unadjusted, date_generation_rule=Rule.TwentiethIMM ) cds_2y = CreditDefaultSwap( Side.Seller, nominal, quoted_spreads[3], cds_schedule, Following, Actual365Fixed() ) cds_3m.set_pricing_engine(engine); cds_6m.set_pricing_engine(engine); cds_1y.set_pricing_engine(engine); cds_2y.set_pricing_engine(engine); print("Repricing of quoted CDSs employed for calibration: ") print("3M fair spread: {}".format(cds_3m.fair_spread)) print(" NPV: ", cds_3m.net_present_value) print(" default leg: ", cds_3m.default_leg_npv) print(" coupon leg: ", cds_3m.coupon_leg_npv) print("6M fair spread: {}".format(cds_6m.fair_spread)) print(" NPV: ", cds_6m.net_present_value) print(" default leg: ", cds_6m.default_leg_npv) print(" coupon leg: ", cds_6m.coupon_leg_npv) print("1Y fair spread: {}".format(cds_1y.fair_spread)) print(" NPV: ", cds_1y.net_present_value) print(" default leg: ", cds_1y.default_leg_npv) print(" coupon leg: ", cds_1y.coupon_leg_npv) print("2Y fair spread: {}".format(cds_2y.fair_spread)) print(" NPV: ", cds_2y.net_present_value) print(" default leg: ", cds_2y.default_leg_npv) print(" coupon leg: ", cds_2y.coupon_leg_npv) print()