def test_discount_curve(self): settings = Settings() settings.evaluation_date = Date(6, 10, 2016) # Market information calendar = TARGET() quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)] tenors = [3, 6, 12] deposit_day_counter = Actual365Fixed() convention = ModifiedFollowing end_of_month = True fixing_days = 3 rate_helpers = [DepositRateHelper( quote, Period(month, Months), fixing_days, calendar, convention, end_of_month, deposit_day_counter) for quote, month in zip(quotes, tenors)] ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve( BootstrapTrait.ForwardRate, Interpolator.BackwardFlat, 2, calendar, rate_helpers, ts_day_counter, tolerance ) dates = [rh.latest_date for rh in rate_helpers] dfs = [ts.discount(d) for d in dates] dates.insert(0, ts.reference_date) dfs.insert(0, 1) ts_discount = DiscountCurve(dates, dfs, ts_day_counter, calendar) self.assertTrue(ts.discount(0.75), ts_discount.discount(0.75))
def test_bump_yieldcurve(self): settings = Settings() settings.evaluation_date = Date(6, 10, 2016) # Market information calendar = TARGET() quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)] tenors = [3, 6, 12] deposit_day_counter = Actual365Fixed() convention = ModifiedFollowing end_of_month = True fixing_days = 3 rate_helpers = [DepositRateHelper( quote, Period(month, Months), fixing_days, calendar, convention, end_of_month, deposit_day_counter) for quote, month in zip(quotes, tenors)] ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve( BootstrapTrait.Discount, Interpolator.LogLinear, 2, calendar, rate_helpers, ts_day_counter, tolerance ) old_discount = ts.discount(ts.max_date) # parallel shift of 1 bps for rh in rate_helpers: rh.quote.value += 1e-4 self.assertEqual([q.value for q in quotes], [rh.quote.value for rh in rate_helpers]) new_discount = ts.discount(ts.max_date) self.assertTrue(new_discount < old_discount)
def test_creation(self): settings = Settings() # Market information calendar = TARGET() # must be a business day settings.evaluation_date = calendar.adjust(today()) settlement_date = Date(18, September, 2008) # must be a business day settlement_date = calendar.adjust(settlement_date); quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)] tenors = [3, 6, 12] rate_helpers = [] calendar = TARGET() deposit_day_counter = Actual365Fixed() convention = ModifiedFollowing end_of_month = True for quote, month in zip(quotes, tenors): tenor = Period(month, Months) fixing_days = 3 helper = DepositRateHelper( quote, tenor, fixing_days, calendar, convention, end_of_month, deposit_day_counter ) rate_helpers.append(helper) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve( 'discount', 'loglinear', settlement_date, rate_helpers, ts_day_counter, tolerance ) self.assertIsNotNone(ts) self.assertEqual( Date(18, September, 2008), ts.reference_date) # this is not a real test ... self.assertAlmostEqual(0.9975, ts.discount(Date(21, 12, 2008)), 4) self.assertAlmostEqual(0.9944, ts.discount(Date(21, 4, 2009)), 4) self.assertAlmostEqual(0.9904, ts.discount(Date(21, 9, 2009)), 4)
def test_creation(self): settings = Settings() # Market information calendar = TARGET() # must be a business day settings.evaluation_date = calendar.adjust(today()) settlement_date = Date(18, September, 2008) # must be a business day settlement_date = calendar.adjust(settlement_date) quotes = [ SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194) ] tenors = [3, 6, 12] rate_helpers = [] calendar = TARGET() deposit_day_counter = Actual365Fixed() convention = ModifiedFollowing end_of_month = True for quote, month in zip(quotes, tenors): tenor = Period(month, Months) fixing_days = 3 helper = DepositRateHelper(quote, tenor, fixing_days, calendar, convention, end_of_month, deposit_day_counter) rate_helpers.append(helper) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve('discount', 'loglinear', settlement_date, rate_helpers, ts_day_counter, tolerance) self.assertIsNotNone(ts) self.assertEquals(Date(18, September, 2008), ts.reference_date) # this is not a real test ... self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4) self.assertAlmostEquals(0.9944, ts.discount(Date(21, 4, 2009)), 4) self.assertAlmostEquals(0.9904, ts.discount(Date(21, 9, 2009)), 4)
def test_deposit_swap(self): settings = Settings() # Market information calendar = TARGET() todays_date = Date(1, Mar, 2012) # must be a business day eval_date = calendar.adjust(todays_date) settings.evaluation_date = eval_date settlement_days = 2 settlement_date = calendar.advance(eval_date, settlement_days, Days) # must be a business day settlement_date = calendar.adjust(settlement_date); depositData = [[ 1, Months, 4.581 ], [ 2, Months, 4.573 ], [ 3, Months, 4.557 ], [ 6, Months, 4.496 ], [ 9, Months, 4.490 ]] swapData = [[ 1, Years, 4.54 ], [ 5, Years, 4.99 ], [ 10, Years, 5.47 ], [ 20, Years, 5.89 ], [ 30, Years, 5.96 ]] rate_helpers = [] end_of_month = True for m, period, rate in depositData: tenor = Period(m, Months) helper = DepositRateHelper(SimpleQuote(rate/100), tenor, settlement_days, calendar, ModifiedFollowing, end_of_month, Actual360()) rate_helpers.append(helper) liborIndex = Libor( 'USD Libor', Period(6, Months), settlement_days, USDCurrency(), calendar, Actual360() ) spread = SimpleQuote(0) fwdStart = Period(0, Days) for m, period, rate in swapData: helper = SwapRateHelper.from_tenor( SimpleQuote(rate/100), Period(m, Years), calendar, Annual, Unadjusted, Thirty360(), liborIndex, spread, fwdStart ) rate_helpers.append(helper) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve( 'discount', 'loglinear', settlement_date, rate_helpers, ts_day_counter, tolerance ) self.assertEqual(settlement_date, ts.reference_date) # this is not a real test ... self.assertAlmostEqual(0.9103, ts.discount(calendar.advance(todays_date, 2, Years)),3) self.assertAlmostEqual(0.7836, ts.discount(calendar.advance(todays_date, 5, Years)),3) self.assertAlmostEqual(0.5827, ts.discount(calendar.advance(todays_date, 10, Years)),3) self.assertAlmostEqual(0.4223, ts.discount(calendar.advance(todays_date, 15, Years)),3)
def test_deposit_swap(self): settings = Settings() # Market information calendar = TARGET() todays_date = Date(1, Mar, 2012) # must be a business day eval_date = calendar.adjust(todays_date) settings.evaluation_date = eval_date settlement_days = 2 settlement_date = calendar.advance(eval_date, settlement_days, Days) # must be a business day settlement_date = calendar.adjust(settlement_date) depositData = [[1, Months, 4.581], [2, Months, 4.573], [3, Months, 4.557], [6, Months, 4.496], [9, Months, 4.490]] swapData = [[1, Years, 4.54], [5, Years, 4.99], [10, Years, 5.47], [20, Years, 5.89], [30, Years, 5.96]] rate_helpers = [] end_of_month = True for m, period, rate in depositData: tenor = Period(m, Months) helper = DepositRateHelper(rate / 100, tenor, settlement_days, calendar, ModifiedFollowing, end_of_month, Actual360()) rate_helpers.append(helper) liborIndex = Libor('USD Libor', Period(6, Months), settlement_days, USDCurrency(), calendar, Actual360(), YieldTermStructure(relinkable=False)) spread = SimpleQuote(0) fwdStart = Period(0, Days) for m, period, rate in swapData: helper = SwapRateHelper.from_tenor(rate / 100, Period(m, Years), calendar, Annual, Unadjusted, Thirty360(), liborIndex, spread, fwdStart) rate_helpers.append(helper) ts_day_counter = ActualActual(ISDA) tolerance = 1.0e-15 ts = PiecewiseYieldCurve('discount', 'loglinear', settlement_date, rate_helpers, ts_day_counter, tolerance) self.assertEquals(settlement_date, ts.reference_date) # this is not a real test ... self.assertAlmostEquals( 0.9103, ts.discount(calendar.advance(todays_date, 2, Years)), 3) self.assertAlmostEquals( 0.7836, ts.discount(calendar.advance(todays_date, 5, Years)), 3) self.assertAlmostEquals( 0.5827, ts.discount(calendar.advance(todays_date, 10, Years)), 3) self.assertAlmostEquals( 0.4223, ts.discount(calendar.advance(todays_date, 15, Years)), 3)