def test_temporarily_disable_mta():
ca_with_mta = CollateralAgreement(mta=1000000, threshold=0)
ca_with_mta.link_sa_ccr_instance(SA_CCR(ca_with_mta))
ca_no_mta = CollateralAgreement(mta=0, threshold=0)
ca_no_mta.link_sa_ccr_instance(SA_CCR(ca_no_mta))
trade = IRS(notional=100000000)
ca_with_mta.add_trades(trade)
ca_no_mta.add_trades(trade)
allocator_with_mta = EulerAllocator(ca_with_mta)
allocator_no_mta = EulerAllocator(ca_no_mta)
with_mta = allocator_with_mta.allocate_ead()[trade]
no_mta = allocator_no_mta.allocate_ead()[trade]
assert pytest.approx(with_mta, rel=0.00001) == no_mta not in [None, 0]
def test_adding_and_removing_trades():
ca = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.SIMM)
ca.link_sa_ccr_instance(SA_CCR(collateralAgreement=ca))
im_model = ca.get_im_model()
vm_model = ca.get_vm_model()
sa_ccr_model = ca.get_sa_ccr_model()
assert isinstance(im_model, SIMM)
assert isinstance(vm_model, VariationMarginModel)
trade = IRS(notional=100,
timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M)
ca.add_trades(trade)
assert ca.trades == [trade]
assert im_model.trades == [trade]
assert vm_model.trades == [trade]
assert sa_ccr_model.trades == [trade]
trade2 = EquityOption(maturity=ql.Period(1, ql.Years))
trade3 = EquityOption(maturity=ql.Period(2, ql.Years))
ca.add_trades(trade2)
ca.add_trades(trade3)
ca.remove_trades(trades=trade)
assert ca.trades == [trade2, trade3]
assert im_model.trades == [trade2, trade3]
assert vm_model.trades == [trade2, trade3]
assert sa_ccr_model.trades == [trade2, trade3]
def test_c_calculation():
trade1 = EquityOption(maturity=ql.Period(1, ql.Years),
strike=EquitySpot.ADS.value.value() - 5)
trade = IRS(notional=100,
timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M,
fixed_rate=0.00)
ca_no_im = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.NO_IM)
ca_no_im.link_sa_ccr_instance(SA_CCR(collateralAgreement=ca_no_im))
ca_no_im.add_trades([trade1, trade])
assert ca_no_im.get_C() == ca_no_im.get_vm_model().get_vm() != 0
ca_simm = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.SIMM)
ca_simm.link_sa_ccr_instance(SA_CCR(collateralAgreement=ca_simm))
ca_simm.add_trades([trade1, trade])
assert 0 != ca_simm.get_C() != ca_simm.get_vm_model().get_vm() != 0
assert ca_simm.get_C() - ca_simm.get_im_model().get_im_receive(
) == ca_simm.get_vm_model().get_vm()
ca_ccp = CollateralAgreement(margining=Margining.MARGINED,
clearing=Clearing.CLEARED,
initialMargining=InitialMargining.CCPIMM)
ca_ccp.link_sa_ccr_instance(SA_CCR(collateralAgreement=ca_ccp))
ca_ccp.add_trades([trade1, trade])
assert ca_ccp.get_C() == ca_ccp.get_vm_model().get_vm() != 0
ead_no_im = ca_no_im.get_sa_ccr_model().get_ead()
ead_simm = ca_simm.get_sa_ccr_model().get_ead()
ead_ccp = ca_ccp.get_sa_ccr_model().get_ead()
assert ead_simm < ead_ccp < ead_no_im
asdf = 1
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_margining_switch():
ca = CollateralAgreement(clearing=Clearing.UNCLEARED,
margining=Margining.UNMARGINED,
initialMargining=InitialMargining.NO_IM)
ca.link_sa_ccr_instance(SA_CCR(ca))
dummy_trade = EquityOption()
ca.add_trades(dummy_trade)
assert ca.initialMargining == InitialMargining.NO_IM
assert ca.margining == Margining.UNMARGINED
assert ca.clearing == Clearing.UNCLEARED
assert ca.get_vm_model().__class__ == NoVariationMargin
assert ca.get_im_model().__class__ == NOIMM
with pytest.raises(Exception):
ca.initialMargining = InitialMargining.SIMM
with pytest.raises(Exception):
ca.clearing = Clearing.CLEARED
with pytest.raises(Exception):
ca.initialMargining = InitialMargining.CCPIMM
assert ca.get_vm_model().__class__ == NoVariationMargin
assert ca.get_im_model().__class__ == NOIMM
assert ca.get_C() == 0
assert ca.get_C() - ca.get_V() < 0
ca.margining = Margining.MARGINED
assert ca.margining == Margining.MARGINED
assert ca.initialMargining == InitialMargining.NO_IM
assert ca.get_vm_model().__class__ == VariationMarginModel
assert ca.get_C() > 0
assert ca.get_C() - ca.get_V() == 0
ca.initialMargining = InitialMargining.SIMM
assert ca.margining == Margining.MARGINED
assert ca.initialMargining == InitialMargining.SIMM
assert ca.get_C() > 0
assert ca.get_C() - ca.get_V() > 0
assert ca.get_im_model().__class__ == SIMM
with pytest.raises(Exception):
ca.margining = Margining.UNMARGINED
ca.initialMargining = InitialMargining.NO_IM
ca.margining = Margining.UNMARGINED
assert ca.margining == Margining.UNMARGINED
assert ca.initialMargining == InitialMargining.NO_IM
def test_adding_and_removing_trades_error_handling():
trade = IRS(notional=100,
timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M)
trade2 = EquityOption(maturity=ql.Period(1, ql.Years))
trade3 = EquityOption(maturity=ql.Period(2, ql.Years))
ca = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.SIMM)
ca.link_sa_ccr_instance(SA_CCR(collateralAgreement=ca))
ca.add_trades(trade)
with pytest.raises(Exception):
ca.add_trades(trade)
ca.add_trades(trade2)
with pytest.raises(Exception):
ca.add_trades([trade3, trade3])
ca.remove_trades(trade2)
with pytest.raises(Exception):
ca.add_trades([trade2, trade3, trade2])
ca.add_trades(trade2)
assert [trade, trade2] == ca.trades
def test_central_forward_backward_difference():
IRS1 = IRS(swapDirection=SwapDirection.PAYER)
IRS2 = IRS(swapDirection=SwapDirection.RECEIVER)
ca = CollateralAgreement()
ca.link_sa_ccr_instance(SA_CCR(ca))
ca.add_trades([IRS1, IRS2])
allocator = EulerAllocator(ca)
forward = allocator.allocate_im()
allocator.fdApproach2 = FdApproach2.Forward
forward2 = allocator.allocate_im()
assert forward == forward2
allocator.fdApproach2 = FdApproach2.Central
central = allocator.allocate_im()
allocator.fdApproach2 = FdApproach2.Backward
backward = allocator.allocate_im()
assert approx(central[IRS1], abs=0.01) == 0
assert approx(central[IRS2], abs=0.01) == 0
assert approx(forward[IRS1], abs=0.1) != 0
assert approx(backward[IRS2], abs=0.1) != 0
assert approx(forward[IRS1], rel=0.01) == -backward[IRS1]
assert approx(forward[IRS2], rel=0.01) == -backward[IRS2]
asdf = 1
def test_syncing_and_desyncing():
ca = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.SIMM)
ca.link_sa_ccr_instance(SA_CCR(ca))
trade1 = EquityOption(maturity=ql.Period(1, ql.Years),
strike=EquitySpot.ADS.value.value() - 5)
trade2 = IRS(notional=100,
timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M,
fixed_rate=0.00)
trade3 = IRS(notional=100,
timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.USDLIBOR3M,
fixed_rate=0.01)
ca.add_trades(trade1)
ca.sync_im_model = False
assert ca.vm_model.trades == [trade1]
assert ca.im_model.trades == [trade1]
ca.add_trades(trade2)
assert ca.vm_model.trades == [trade1, trade2]
assert ca.im_model.trades == [trade1]
ca.sync_im_model = True
assert ca.im_model.trades == [trade1, trade2]
ca.add_trades(trade3)
assert ca.vm_model.trades == [trade1, trade2, trade3]
assert ca.im_model.trades == [trade1, trade2, trade3]
# now check if the calculations also add up at least for VM
ca = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.NO_IM)
ca.link_sa_ccr_instance(SA_CCR(ca))
npv_1 = fxConvert(trade1.currency, Currency.USD, trade1.get_price())
npv_2 = fxConvert(trade2.currency, Currency.USD, trade2.get_price())
npv_3 = fxConvert(trade3.currency, Currency.USD, trade3.get_price())
ca.add_trades(trade1)
ca.sync_vm_model = False
assert ca.get_C() == ca.get_vm_model().get_vm() == npv_1 != 0
ca.add_trades(trade2)
assert ca.get_C() == npv_1
ca.sync_vm_model = True
assert ca.get_C() == npv_1 + npv_2
ca.add_trades(trade3)
assert ca.get_C() == npv_1 + npv_2 + npv_3
# a few sanity checks for SA_CCR
ca = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.SIMM)
local_sa_ccr_model = SA_CCR(ca)
ca.link_sa_ccr_instance(local_sa_ccr_model)
assert local_sa_ccr_model.get_ead() == 0
ca.add_trades(trade1)
ca.sync_im_model = False
ca.sync_vm_model = False
test_value = local_sa_ccr_model.get_ead()
assert test_value > 0
assert local_sa_ccr_model.trades == [trade1]
ca.add_trades(trade2)
test_value_2 = local_sa_ccr_model.get_ead()
assert ca.vm_model.trades == [trade1]
assert ca.im_model.trades == [trade1]
ca.sync_vm_model = True
ca.sync_im_model = True
ca.sync_sa_ccr_model = True
test_value_3 = local_sa_ccr_model.get_ead()
assert test_value_2 != test_value_3
assert local_sa_ccr_model.trades == [trade1, trade2]
assert ca.vm_model.trades == [trade1, trade2]
assert ca.im_model.trades == [trade1, trade2]
ca.add_trades(trade3)
test_value_4 = local_sa_ccr_model.get_ead()
assert test_value_4 != test_value_3
assert local_sa_ccr_model.trades == [trade1, trade2, trade3]
assert ca.vm_model.trades == [trade1, trade2, trade3]
assert ca.im_model.trades == [trade1, trade2, trade3]