def test_FinFXVanillaOptionBloombergExample(): # Example Bloomberg Pricing at # https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg valueDate = FinDate(13, 2, 2018) expiryDate = FinDate(15, 2, 2019) # In BS the FX rate is the price in domestic of one unit of foreign # In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR # DOM = USD , FOR = EUR forName = "EUR" domName = "USD" forDepoRate = 0.05 # EUR domDepoRate = 0.02 # USD currencyPair = forName + domName # Always FORDOM spotFXRate = 1.30 strikeFXRate = 1.3650 volatility = 0.20 spotDays = 0 settlementDate = valueDate.addWorkDays(spotDays) maturityDate = settlementDate.addMonths(12) notional = 1000000.0 notionalCurrency = "EUR" calendarType = FinCalendarTypes.TARGET depos = [] fras = [] swaps = [] depo = FinLiborDeposit(settlementDate, maturityDate, domDepoRate, FinDayCountTypes.ACT_360, notional, calendarType) depos.append(depo) domDiscountCurve = FinLiborCurve(forName, settlementDate, depos, fras, swaps) depos = [] fras = [] swaps = [] depo = FinLiborDeposit(settlementDate, maturityDate, forDepoRate, FinDayCountTypes.ACT_360, notional, calendarType) depos.append(depo) forDiscountCurve = FinLiborCurve(domName, settlementDate, depos, fras, swaps) model = FinFXModelBlackScholes(volatility) callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair, FinOptionTypes.EUROPEAN_CALL, notional, notionalCurrency, 2) value = callOption.value(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model) delta = callOption.delta(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model) testCases.header("value", "delta") testCases.print(value, delta)
def test_FinFXVanillaOptionWystupExample1(): # Example from Book extract by Uwe Wystup with results in Table 1.2 # https://mathfinance.com/wp-content/uploads/2017/06/FXOptionsStructuredProducts2e-Extract.pdf # Not exactly T=1.0 but close so don't exact exact agreement # (in fact I do not get exact agreement even if I do set T=1.0) valueDate = FinDate(13, 2, 2018) expiryDate = FinDate(13, 2, 2019) # In BS the FX rate is the price in domestic of one unit of foreign # In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR # DOM = USD , FOR = EUR ccy1 = "EUR" ccy2 = "USD" ccy1CCRate = 0.030 # EUR ccy2CCRate = 0.025 # USD currencyPair = ccy1 + ccy2 # Always ccy1ccy2 spotFXRate = 1.20 strikeFXRate = 1.250 volatility = 0.10 spotDays = 0 settlementDate = valueDate.addWorkDays(spotDays) maturityDate = settlementDate.addMonths(12) notional = 1000000.0 notionalCurrency = "EUR" calendarType = FinCalendarTypes.TARGET domDiscountCurve = FinFlatCurve(valueDate, ccy2CCRate) forDiscountCurve = FinFlatCurve(valueDate, ccy1CCRate) model = FinFXModelBlackScholes(volatility) # Two examples to show that changing the notional currency and notional # keeps the value unchanged notional = 1000000.0 callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair, FinOptionTypes.EUROPEAN_CALL, notional, "EUR", 2) value = callOption.value(1.0, spotFXRate, domDiscountCurve, forDiscountCurve, model) notional = 1250000.0 callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair, FinOptionTypes.EUROPEAN_CALL, notional, "USD", 2) value = callOption.value(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model) delta = callOption.delta(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model) testCases.header("value", "delta") testCases.print(value, delta)
def test_FinFXForward(): # https://stackoverflow.com/questions/48778712 # /fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg valueDate = FinDate(13, 2, 2018) expiryDate = valueDate.addMonths(12) # Forward is on EURUSD which is expressed as number of USD per EUR # ccy1 = EUR and ccy2 = USD forName = "EUR" domName = "USD" currencyPair = forName + domName # Always ccy1ccy2 spotFXRate = 1.300 # USD per EUR strikeFXRate = 1.365 # USD per EUR ccy1InterestRate = 0.02 # USD Rates ccy2InterestRate = 0.05 # EUR rates ########################################################################### spotDays = 0 settlementDate = valueDate.addWorkDays(spotDays) maturityDate = settlementDate.addMonths(12) notional = 100.0 calendarType = FinCalendarTypes.TARGET depos = [] fras = [] swaps = [] depositRate = ccy1InterestRate depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, FinDayCountTypes.ACT_360, notional, calendarType) depos.append(depo) forDiscountCurve = FinLiborCurve(settlementDate, depos, fras, swaps) depos = [] fras = [] swaps = [] depositRate = ccy2InterestRate depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, FinDayCountTypes.ACT_360, notional, calendarType) depos.append(depo) domDiscountCurve = FinLiborCurve(settlementDate, depos, fras, swaps) notional = 100.0 notionalCurrency = forName fxForward = FinFXForward(expiryDate, strikeFXRate, currencyPair, notional, notionalCurrency) testCases.header("SPOT FX", "FX FWD", "VALUE_BS") fwdValue = fxForward.value(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve) fwdFXRate = fxForward.forward(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve) testCases.print(spotFXRate, fwdFXRate, fwdValue)
def test_FinLiborDepositsOnly(): # I have used the following useful blog post by Ioannis Rigopoulos for this # https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-deposit valuationDate = FinDate(2018, 2, 23) spotDays = 0 settlementDate = valuationDate.addWorkDays(spotDays) depoDCCType = FinDayCountTypes.ACT_360 notional = 100.0 calendarType = FinCalendarTypes.TARGET depos = [] # 1 month depositRate = 0.04 maturityDate = settlementDate.addMonths(1) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType, notional, calendarType) depos.append(depo) # 2 months depositRate = 0.04 maturityDate = settlementDate.addMonths(2) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType, notional, calendarType) depos.append(depo) # 6 months depositRate = 0.04 maturityDate = settlementDate.addMonths(6) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType, notional, calendarType) depos.append(depo) # 1 year depositRate = 0.04 maturityDate = settlementDate.addMonths(12) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType, notional, calendarType) depos.append(depo) fras = [] swaps = [] liborCurve = FinLiborCurve(settlementDate, depos, fras, swaps) testCases.header("LABEL", "DATE", "VALUE") ''' Check calibration ''' for depo in depos: v = depo.value(settlementDate, liborCurve) testCases.print("DEPO", depo._maturityDate, v)
def test_FinFXVanillaOptionWystupExample2(): # Example Bloomberg Pricing at # https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg valueDate = FinDate(13, 2, 2018) expiryDate = FinDate(13, 2, 2019) # In BS the FX rate is the price in domestic of one unit of foreign # In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR # DOM = USD , FOR = EUR ccy1 = "EUR" ccy2 = "USD" ccy1CCRate = 0.0396 # EUR ccy2CCRate = 0.0357 # USD currencyPair = ccy1 + ccy2 # Always ccy1ccy2 spotFXRate = 0.9090 strikeFXRate = 0.9090 volatility = 0.12 spotDays = 0 settlementDate = valueDate.addWorkDays(spotDays) maturityDate = settlementDate.addMonths(12) notional = 1000000.0 notionalCurrency = "EUR" calendarType = FinCalendarTypes.TARGET domDiscountCurve = FinFlatCurve(valueDate, ccy2CCRate) forDiscountCurve = FinFlatCurve(valueDate, ccy1CCRate) model = FinFXModelBlackScholes(volatility) # Two examples to show that changing the notional currency and notional # keeps the value unchanged notional = 1000000.0 callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair, FinOptionTypes.EUROPEAN_PUT, notional, "EUR", 2) value = callOption.value(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model) delta = callOption.delta(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model) testCases.header("value", "delta") testCases.print(value, delta)
def test_FinLiborFRAsOnly(): # TO DO FIX THIS valuationDate = FinDate(2018, 2, 23) spotDays = 0 settlementDate = valuationDate.addWorkDays(spotDays) depoDCCType = FinDayCountTypes.ACT_360 notional = 100.0 payFixed = True calendarType = FinCalendarTypes.TARGET fras = [] # 1 x 4 FRA fraRate = 0.04 fraSettlementDate = settlementDate.addMonths(1) fraMaturityDate = settlementDate.addMonths(4) fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType, notional, payFixed, calendarType) fras.append(fra) # 4 x 7 FRA fraRate = 0.08 fraSettlementDate = settlementDate.addMonths(4) fraMaturityDate = settlementDate.addMonths(7) fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType, notional, payFixed, calendarType) fras.append(fra) depos = [] swaps = [] liborCurve = FinLiborCurve(settlementDate, depos, fras, swaps) testCases.header("DATE", "MATDATE", "VALUE") ''' Check calibration ''' for fra in fras: v = fra.value(settlementDate, liborCurve) testCases.print("FRA:", fra._maturityDate, v)
def test_FinBondEmbeddedOptionQUANTLIB(): # Based on example at the nice blog on Quantlib at # http://gouthamanbalaraman.com/blog/callable-bond-quantlib-python.html # I get a price of 68.97 for 1000 time steps which is higher than the # 68.38 found in blog article. But this is for 40 grid points. # Note also that a basis point vol of 0.120 is 12% which is VERY HIGH! valueDate = FinDate(16, 8, 2016) settlementDate = valueDate.addWorkDays(3) ########################################################################### discountCurve = FinDiscountCurveFlat(valueDate, 0.035, FinFrequencyTypes.SEMI_ANNUAL) ########################################################################### issueDate = FinDate(15, 9, 2010) maturityDate = FinDate(15, 9, 2022) coupon = 0.025 frequencyType = FinFrequencyTypes.QUARTERLY accrualType = FinDayCountTypes.ACT_ACT_ICMA bond = FinBond(issueDate, maturityDate, coupon, frequencyType, accrualType) ########################################################################### # Set up the call and put times and prices ########################################################################### nextCallDate = FinDate(15, 9, 2016) callDates = [nextCallDate] callPrices = [100.0] for _ in range(1, 24): nextCallDate = nextCallDate.addMonths(3) callDates.append(nextCallDate) callPrices.append(100.0) putDates = [] putPrices = [] # the value used in blog of 12% bp vol is unrealistic sigma = 0.12 / 0.035 # basis point volatility a = 0.03 puttableBond = FinBondEmbeddedOption(issueDate, maturityDate, coupon, frequencyType, accrualType, callDates, callPrices, putDates, putPrices) testCases.header("BOND PRICE", "PRICE") v = bond.cleanPriceFromDiscountCurve(settlementDate, discountCurve) testCases.print("Bond Pure Price:", v) testCases.header("PERIOD", "NumTimeSteps", "BondWithOption", "BondPure") timeSteps = range(100, 200, 10) # 1000, 10) values = [] for numTimeSteps in timeSteps: model = FinModelRatesBK(sigma, a, numTimeSteps) start = time.time() v = puttableBond.value(settlementDate, discountCurve, model) end = time.time() period = end - start testCases.print(period, numTimeSteps, v['bondwithoption'], v['bondpure']) values.append(v['bondwithoption']) if plotGraphs: plt.figure() plt.title("Puttable Bond Price Convergence") plt.plot(timeSteps, values)
def test_FinLiborCapFloor(): todayDate = FinDate(20, 6, 2019) valuationDate = todayDate startDate = todayDate.addWorkDays(2) maturityDate = startDate.addTenor("1Y") liborCurve = test_FinLiborDepositsAndSwaps(todayDate) # The capfloor has begun # lastFixing = 0.028 ########################################################################## # COMPARISON OF MODELS ########################################################################## strikes = np.linspace(0.02, 0.08, 10) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BACH") model1 = FinModelBlack(0.20) model2 = FinModelBlackShifted(0.25, 0.0) model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5) model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008) model5 = FinModelRatesHW(0.30, 0.01) model6 = FinModelBachelier(0.01) for k in strikes: capFloorType = FinLiborCapFloorTypes.CAP capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType, k) cvalue1 = capfloor.value(valuationDate, liborCurve, model1) cvalue2 = capfloor.value(valuationDate, liborCurve, model2) cvalue3 = capfloor.value(valuationDate, liborCurve, model3) cvalue4 = capfloor.value(valuationDate, liborCurve, model4) cvalue5 = capfloor.value(valuationDate, liborCurve, model5) cvalue6 = capfloor.value(valuationDate, liborCurve, model6) testCases.print("CAP", k, cvalue1, cvalue2, cvalue3, cvalue4, cvalue5, cvalue6) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BACH") for k in strikes: capFloorType = FinLiborCapFloorTypes.FLOOR capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType, k) fvalue1 = capfloor.value(valuationDate, liborCurve, model1) fvalue2 = capfloor.value(valuationDate, liborCurve, model2) fvalue3 = capfloor.value(valuationDate, liborCurve, model3) fvalue4 = capfloor.value(valuationDate, liborCurve, model4) fvalue5 = capfloor.value(valuationDate, liborCurve, model5) fvalue6 = capfloor.value(valuationDate, liborCurve, model6) testCases.print("FLR", k, fvalue1, fvalue2, fvalue3, fvalue4, fvalue5, fvalue6) ############################################################################### # PUT CALL CHECK ############################################################################### testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR SHFTD", "HW", "BACH") for k in strikes: capFloorType = FinLiborCapFloorTypes.CAP capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType, k) cvalue1 = capfloor.value(valuationDate, liborCurve, model1) cvalue2 = capfloor.value(valuationDate, liborCurve, model2) cvalue3 = capfloor.value(valuationDate, liborCurve, model3) cvalue4 = capfloor.value(valuationDate, liborCurve, model4) cvalue5 = capfloor.value(valuationDate, liborCurve, model5) cvalue6 = capfloor.value(valuationDate, liborCurve, model6) capFloorType = FinLiborCapFloorTypes.FLOOR capfloor = FinLiborCapFloor(startDate, maturityDate, capFloorType, k) fvalue1 = capfloor.value(valuationDate, liborCurve, model1) fvalue2 = capfloor.value(valuationDate, liborCurve, model2) fvalue3 = capfloor.value(valuationDate, liborCurve, model3) fvalue4 = capfloor.value(valuationDate, liborCurve, model4) fvalue5 = capfloor.value(valuationDate, liborCurve, model5) fvalue6 = capfloor.value(valuationDate, liborCurve, model6) pcvalue1 = cvalue1 - fvalue1 pcvalue2 = cvalue2 - fvalue2 pcvalue3 = cvalue3 - fvalue3 pcvalue4 = cvalue4 - fvalue4 pcvalue5 = cvalue5 - fvalue5 pcvalue6 = cvalue6 - fvalue6 testCases.print("PUT_CALL", k, pcvalue1, pcvalue2, pcvalue3, pcvalue4, pcvalue5, pcvalue6)
print("PRINT DATES") print(dt1) # To add two days we can do print("ADD CALENDAR DAYS") dt2 = dt1.addDays(2) print(dt2) # dt has not changed, we just created a new date # To add business days we do the following - note this does not know # about regional or religious holidays - just weekends print("ADD WORKDAYS") print(dt1, dt1.addWorkDays(2)) # The weekend has now been skipped # To add a month do print("ADD MONTHS") print(dt1, dt1.addMonths(2)) # An invalid date will throw an error # dt5 = FinDate(2019, 1, 31) # print(dt5) # You can use tenors - a number and a 'd', 'm' or 'y' in upper or lower case print("TENORS") print(dt1.addTenor("1d")) print(dt1.addTenor("2D"))
def test_bloombergPricingExample(): ''' This is an example of a replication of a BBG example from https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx ''' valuationDate = FinDate(6, 6, 2018) # We do the O/N rate which settles on trade date spotDays = 0 settlementDate = valuationDate.addWorkDays(spotDays) depoDCCType = FinDayCountTypes.ACT_360 depos = [] depositRate = 0.0231381 maturityDate = settlementDate.addMonths(3) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType) depos.append(depo) futs = [] fut = FinLiborFuture(valuationDate, 1) futs.append(fut) fut = FinLiborFuture(valuationDate, 2) futs.append(fut) fut = FinLiborFuture(valuationDate, 3) futs.append(fut) fut = FinLiborFuture(valuationDate, 4) futs.append(fut) fut = FinLiborFuture(valuationDate, 5) futs.append(fut) fut = FinLiborFuture(valuationDate, 6) futs.append(fut) fras = [None] * 6 fras[0] = futs[0].toFRA(97.6675, -0.00005) fras[1] = futs[1].toFRA(97.5200, -0.00060) fras[2] = futs[2].toFRA(97.3550, -0.00146) fras[3] = futs[3].toFRA(97.2450, -0.00263) fras[4] = futs[4].toFRA(97.1450, -0.00411) fras[5] = futs[5].toFRA(97.0750, -0.00589) accrual = FinDayCountTypes.THIRTY_E_360 freq = FinFrequencyTypes.SEMI_ANNUAL spotDays = 2 settlementDate = valuationDate.addWorkDays(spotDays) notional = ONE_MILLION swapType = FinLiborSwapTypes.PAYER swaps = [] swap = FinLiborSwap(settlementDate, "2Y", swapType, (2.77417 + 2.77844) / 200, freq, accrual, notional) swaps.append(swap) swap = FinLiborSwap(settlementDate, "3Y", swapType, (2.86098 + 2.86582) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "4Y", swapType, (2.90240 + 2.90620) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "5Y", swapType, (2.92944 + 2.92906) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "6Y", swapType, (2.94001 + 2.94499) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "7Y", swapType, (2.95352 + 2.95998) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "8Y", swapType, (2.96830 + 2.97400) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "9Y", swapType, (2.98403 + 2.98817) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "10Y", swapType, (2.99716 + 3.00394) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "11Y", swapType, (3.01344 + 3.01596) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "12Y", swapType, (3.02276 + 3.02684) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "15Y", swapType, (3.04092 + 3.04508) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "20Y", swapType, (3.04417 + 3.05183) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "25Y", swapType, (3.03219 + 3.03621) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "30Y", swapType, (3.01030 + 3.01370) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "40Y", swapType, (2.96946 + 2.97354) / 200, freq, accrual) swaps.append(swap) swap = FinLiborSwap(settlementDate, "50Y", swapType, (2.91552 + 2.93748) / 200, freq, accrual) swaps.append(swap) liborCurve = FinLiborCurve(valuationDate, depos, fras, swaps) # The valuation of 53714.55 is very close to the spreadsheet value 53713.96 principal = 0.0 testCases.header("VALUATION TO TODAY DATE", " PV") testCases.print( "VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None, principal)) testCases.print( "FIXED:", swaps[0].fixedLegValue(valuationDate, liborCurve, principal)) testCases.print( "FLOAT:", swaps[0].floatLegValue(valuationDate, liborCurve, liborCurve, None, principal)) testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV") testCases.print( "VALUE:", swaps[0].value(settlementDate, liborCurve, liborCurve, None, principal)) testCases.print( "FIXED:", swaps[0].fixedLegValue(settlementDate, liborCurve, principal)) testCases.print( "FLOAT:", swaps[0].floatLegValue(settlementDate, liborCurve, liborCurve, None, principal))
def test_derivativePricingExample(): valuationDate = FinDate(10, 11, 2011) dccType = FinDayCountTypes.ACT_360 depos = [] # We do the O/N rate which settles on trade date spotDays = 0 settlementDate = valuationDate.addWorkDays(spotDays) depositRate = 0.001410 depo = FinLiborDeposit(settlementDate, "ON", depositRate, dccType) depos.append(depo) spotDays = 1 settlementDate = valuationDate.addWorkDays(spotDays) depositRate = 0.001410 depo = FinLiborDeposit(settlementDate, "TN", depositRate, dccType) depos.append(depo) spotDays = 2 settlementDate = valuationDate.addWorkDays(spotDays) depositRate = 0.001910 depo = FinLiborDeposit(settlementDate, "1W", depositRate, dccType) depos.append(depo) depositRate = 0.002090 depo = FinLiborDeposit(settlementDate, "2W", depositRate, dccType) depos.append(depo) depositRate = 0.002490 depo = FinLiborDeposit(settlementDate, "1M", depositRate, dccType) depos.append(depo) depositRate = 0.003450 depo = FinLiborDeposit(settlementDate, "2M", depositRate, dccType) depos.append(depo) depositRate = 0.004570 depo = FinLiborDeposit(settlementDate, "3M", depositRate, dccType) depos.append(depo) depositRate = 0.005230 depo = FinLiborDeposit(settlementDate, "4M", depositRate, dccType) depos.append(depo) depositRate = 0.005860 depo = FinLiborDeposit(settlementDate, "5M", depositRate, dccType) depos.append(depo) depositRate = 0.006540 depo = FinLiborDeposit(settlementDate, "6M", depositRate, dccType) depos.append(depo) depositRate = 0.007080 depo = FinLiborDeposit(settlementDate, "7M", depositRate, dccType) depos.append(depo) depositRate = 0.007540 depo = FinLiborDeposit(settlementDate, "8M", depositRate, dccType) depos.append(depo) depositRate = 0.008080 depo = FinLiborDeposit(settlementDate, "9M", depositRate, dccType) depos.append(depo) depositRate = 0.008570 depo = FinLiborDeposit(settlementDate, "10M", depositRate, dccType) depos.append(depo) depositRate = 0.009130 depo = FinLiborDeposit(settlementDate, "11M", depositRate, dccType) depos.append(depo) fras = [] swaps = [] dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA # dayCountType = FinDayCountTypes.ACT_360 freqType = FinFrequencyTypes.SEMI_ANNUAL swapType = FinLiborSwapTypes.PAYER swapRate = 0.0058 swap = FinLiborSwap(settlementDate, "1Y", swapType, swapRate, freqType, dayCountType) swaps.append(swap) swapRate = 0.0060 swap = FinLiborSwap(settlementDate, "2Y", swapType, swapRate, freqType, dayCountType) swaps.append(swap) swapRate = 0.0072 swap = FinLiborSwap(settlementDate, "3Y", swapType, swapRate, freqType, dayCountType) swaps.append(swap) swapRate = 0.0096 swap = FinLiborSwap(settlementDate, "4Y", swapType, swapRate, freqType, dayCountType) swaps.append(swap) swapRate = 0.0124 swap = FinLiborSwap(settlementDate, "5Y", swapType, swapRate, freqType, dayCountType) swaps.append(swap) swapRate = 0.0173 swap = FinLiborSwap(settlementDate, "7Y", swapType, swapRate, freqType, dayCountType) swaps.append(swap) swapRate = 0.0219 swap = FinLiborSwap(settlementDate, "10Y", swapType, swapRate, freqType, dayCountType) swaps.append(swap) swapRate = 0.0283 swap = FinLiborSwap(settlementDate, "30Y", swapType, swapRate, freqType, dayCountType) swaps.append(swap) numRepeats = 10 start = time.time() for _ in range(0, numRepeats): _ = FinLiborCurve(valuationDate, depos, fras, swaps, FinInterpTypes.FLAT_FORWARDS) end = time.time() elapsed1 = end - start start = time.time() for _ in range(0, numRepeats): _ = FinLiborCurve(valuationDate, depos, fras, swaps, FinInterpTypes.LINEAR_SWAP_RATES) end = time.time() elapsed2 = end - start testCases.header("METHOD", "TIME") testCases.print("NON-LINEAR SOLVER BOOTSTRAP", elapsed1 / numRepeats) testCases.print("LINEAR SWAP BOOTSTRAP", elapsed2 / numRepeats)
def test_FinLiborDepositsFuturesSwaps(): spotDate = FinDate(6, 6, 2018) spotDays = 0 settlementDate = spotDate.addWorkDays(spotDays) depoDCCType = FinDayCountTypes.ACT_360 depos = [] depositRate = 0.0231381 depo = FinLiborDeposit(settlementDate, "3M", depositRate, depoDCCType) depos.append(depo) depositRate = 0.027 depo = FinLiborDeposit(settlementDate, "3M", depositRate, depoDCCType) depos.append(depo) depos = [] depo = FinLiborDeposit(settlementDate, "1M", 0.0230, depoDCCType) depos.append(depo) depo = FinLiborDeposit(settlementDate, "2M", 0.0235, depoDCCType) depos.append(depo) depo = FinLiborDeposit(settlementDate, "3M", 0.0240, depoDCCType) depos.append(depo) fras = [] fraRate = futureToFRARate(97.6675, -0.00005) fraSettlementDate = spotDate.nextIMMDate() fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.5200, -0.00060) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.3550, -0.00146) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.2450, -0.00263) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.1450, -0.00411) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.0750, -0.00589) fraSettlementDate = fraSettlementDate.nextIMMDate() fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) ########################################################################### spotDays = 2 startDate = spotDate.addWorkDays(spotDays) swaps = [] swapType = FinLiborSwapTypes.PAYER fixedDCCType = FinDayCountTypes.THIRTY_E_360 fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL floatFreqType = FinFrequencyTypes.QUARTERLY notional = 1000000 floatSpread = 0.0 floatDCCType = FinDayCountTypes.ACT_360 calendarType = FinCalendarTypes.US busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING swapRate = 0.02776305 swap = FinLiborSwap(startDate, "2Y", swapType, swapRate, fixedFreqType, fixedDCCType, notional, floatSpread, floatFreqType, floatDCCType, calendarType, busDayAdjustRule) swaps.append(swap) liborCurve = FinLiborCurve(spotDate, depos, fras, swaps) times = np.linspace(0.0, 2.0, 25) dates = spotDate.addYears(times) zeroRates = liborCurve.zeroRate(dates) fwdRates = liborCurve.fwd(dates) if PLOT_GRAPHS: plt.figure(figsize=(8, 6)) plt.plot(times, zeroRates * 100, label="zero rates") plt.plot(times, fwdRates * 100, label="fwd rates") plt.xlabel("Times") plt.ylabel("CC forward rates") plt.legend() print("==============================================================") for fra in fras: print(fra) print("==============================================================") endDate = spotDate df = liborCurve.df(endDate) print(endDate, df) endDate = settlementDate df = liborCurve.df(endDate) print(endDate, df) endDate = FinDate(20, 6, 2018) df = liborCurve.df(endDate) print(endDate, df) for depo in depos: endDate = depo._maturityDate df = liborCurve.df(endDate) print(endDate, df) for fra in fras: endDate = fra._maturityDate df = liborCurve.df(endDate) print(endDate, df) for swap in swaps: endDate = swap._maturityDate df = liborCurve.df(endDate) print(endDate, df) swap.printFixedLegPV(spotDate) swap.printFloatLegPV(spotDate)
def test_FinLiborDepositsFRAsSwaps(): valuationDate = FinDate(2019, 9, 18) dccType = FinDayCountTypes.THIRTY_E_360_ISDA depos = [] spotDays = 0 settlementDate = valuationDate.addWorkDays(spotDays) depositRate = 0.050 maturityDate = settlementDate.addMonths(1) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(2) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(3) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(6) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(9) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) maturityDate = settlementDate.addMonths(12) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType) depos.append(depo) fras = [] # 1 x 4 FRA fraRate = 0.04 fraSettlementDate = settlementDate.addMonths(9) fraMaturityDate = settlementDate.addMonths(13) fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.03 fraSettlementDate = settlementDate.addMonths(13) fraMaturityDate = settlementDate.addMonths(17) fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.07 fraSettlementDate = settlementDate.addMonths(17) fraMaturityDate = settlementDate.addMonths(21) fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) swaps = [] fixedDCCType = FinDayCountTypes.ACT_365F fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL swapRate = 0.05 # maturityDate = settlementDate.addMonths(24) # swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, # fixedDCCType) # swaps.append(swap) swapType = FinLiborSwapTypes.PAYER maturityDate = settlementDate.addMonths(36) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(48) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(60) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(72) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(84) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(96) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(108) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(120) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(132) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(144) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(180) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(240) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(300) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(360) swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) liborCurve = FinLiborCurve(valuationDate, depos, fras, swaps) df = liborCurve.df(settlementDate) testCases.header("SETTLEMENT DATE", "DF") testCases.print(str(settlementDate), df) testCases.header("DATE", "DF") for deposit in depos: df = liborCurve.df(deposit._maturityDate) testCases.print(str(deposit._maturityDate), df) for swap in swaps: df = liborCurve.df(swap._maturityDate) testCases.print(str(swap._maturityDate), df)
def test_FinLiborSwaption(): import time valuationDate = FinDate(2011, 1, 1) exerciseDate = FinDate(2012, 1, 1) swapMaturityDate = FinDate(2017, 1, 1) swapFixedCoupon = 0.030 swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = FinDayCountTypes.ACT_365_ISDA liborCurve = test_FinLiborDepositsAndSwaps(valuationDate) start = time.time() swaptionType = FinLiborSwaptionType.PAYER swaption = FinLiborSwaption(exerciseDate, swapMaturityDate, swaptionType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) model = FinLiborModelBlack(0.25) settlementDate = valuationDate.addWorkDays(2) value = swaption.value(settlementDate, liborCurve, model) # swaption.print() testCases.header("LABEL", "VALUE") testCases.print("PAYER Swaption Value", value) swaptionType = FinLiborSwaptionType.RECEIVER swaption = FinLiborSwaption(exerciseDate, swapMaturityDate, swaptionType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) model = FinLiborModelBlack(0.25) settlementDate = valuationDate.addWorkDays(2) value = swaption.value(settlementDate, liborCurve, model) # swaption.print() testCases.print("RECEIVER Swaption Value", value) end = time.time() testCases.header("TIME") testCases.print(end - start) ########################################################################## ########################################################################## start = time.time() swaptionType = FinLiborSwaptionType.PAYER testCases.banner( "===================================================================") swaption = FinLiborSwaption(exerciseDate, swapMaturityDate, swaptionType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) model = FinLiborModelSABR(0.28, 1.0, -0.09, 0.21) value = swaption.value(settlementDate, liborCurve, model) # swaption.print() testCases.header("LABEL", "VALUE") testCases.print("PAYER Swaption Value", value) swaptionType = FinLiborSwaptionType.RECEIVER swaption = FinLiborSwaption(exerciseDate, swapMaturityDate, swaptionType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) model = FinLiborModelSABR(0.28, 1.0, -0.09, 0.21) value = swaption.value(settlementDate, liborCurve, model) # swaption.print() testCases.print("RECEIVER Swaption Value", value) end = time.time() testCases.header("TIME") testCases.print(end - start)
def testFinLiborSwaptionModels(): ########################################################################## # COMPARISON OF MODELS ########################################################################## valuationDate = FinDate(2011, 1, 1) liborCurve = test_FinLiborDepositsAndSwaps(valuationDate) exerciseDate = FinDate(2012, 1, 1) swapMaturityDate = FinDate(2017, 1, 1) swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = FinDayCountTypes.ACT_365F strikes = np.linspace(0.02, 0.08, 10) testCases.header("LAB", "STRIKE", "BLK", "BLK_SHFT", "SABR", "SABR_SHFT", "HW", "BK") model1 = FinModelBlack(0.00001) model2 = FinModelBlackShifted(0.00001, 0.0) model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5) model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008) model5 = FinModelRatesHW(0.00001, 0.00001) model6 = FinModelRatesBK(0.01, 0.01) settlementDate = valuationDate.addWorkDays(2) for k in strikes: swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate, swaptionType, k, swapFixedFrequencyType, swapFixedDayCountType) swap1 = swaption.value(valuationDate, liborCurve, model1) swap2 = swaption.value(valuationDate, liborCurve, model2) swap3 = swaption.value(valuationDate, liborCurve, model3) swap4 = swaption.value(valuationDate, liborCurve, model4) swap5 = swaption.value(valuationDate, liborCurve, model5) swap6 = swaption.value(valuationDate, liborCurve, model6) testCases.print("PAY", k, swap1, swap2, swap3, swap4, swap5, swap6) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BK") for k in strikes: swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate, swaptionType, k, swapFixedFrequencyType, swapFixedDayCountType) swap1 = swaption.value(valuationDate, liborCurve, model1) swap2 = swaption.value(valuationDate, liborCurve, model2) swap3 = swaption.value(valuationDate, liborCurve, model3) swap4 = swaption.value(valuationDate, liborCurve, model4) swap5 = swaption.value(valuationDate, liborCurve, model5) swap6 = swaption.value(valuationDate, liborCurve, model6) testCases.print("REC", k, swap1, swap2, swap3, swap4, swap5, swap6)
def test_FinFXAmericanOption(): # There is no FXAmericanOption class. It is embedded in the FXVanillaOption # class. This test just compares it to the European valueDate = FinDate(13, 2, 2018) expiryDate = FinDate(13, 2, 2019) # In BS the FX rate is the price in domestic of one unit of foreign # In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR # DOM = USD , FOR = EUR ccy1 = "EUR" ccy2 = "USD" ccy1CCRate = 0.030 # EUR ccy2CCRate = 0.025 # USD currencyPair = ccy1 + ccy2 # Always ccy1ccy2 spotFXRate = 1.20 strikeFXRate = 1.250 volatility = 0.10 spotDays = 0 settlementDate = valueDate.addWorkDays(spotDays) maturityDate = settlementDate.addMonths(12) notional = 1000000.0 notionalCurrency = "EUR" calendarType = FinCalendarTypes.TARGET domDiscountCurve = FinFlatCurve(valueDate, ccy2CCRate) forDiscountCurve = FinFlatCurve(valueDate, ccy1CCRate) model = FinFXModelBlackScholes(volatility) # Two examples to show that changing the notional currency and notional # keeps the value unchanged notional = 1000000.0 testCases.header("SPOT FX RATE", "VALUE_BS", "VOL_IN", "IMPLD_VOL") spotFXRates = np.arange(50, 200, 10) / 100.0 for spotFXRate in spotFXRates: callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD", FinOptionTypes.EUROPEAN_CALL, 1000000, "USD") valueEuropean = callOption.value(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model)['v'] callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD", FinOptionTypes.AMERICAN_CALL, 1000000, "USD") valueAmerican = callOption.value(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model)['v'] diff = (valueAmerican - valueEuropean) print("CALL %9.6f %9.6f %9.7f %10.8f" % (spotFXRate, valueEuropean, valueAmerican, diff)) for spotFXRate in spotFXRates: callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD", FinOptionTypes.EUROPEAN_PUT, 1000000, "USD") valueEuropean = callOption.value(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model)['v'] callOption = FinFXVanillaOption(expiryDate, strikeFXRate, "EURUSD", FinOptionTypes.AMERICAN_PUT, 1000000, "USD") valueAmerican = callOption.value(valueDate, spotFXRate, domDiscountCurve, forDiscountCurve, model)['v'] diff = (valueAmerican - valueEuropean) print("PUT %9.6f %9.6f %9.7f %10.8f" % (spotFXRate, valueEuropean, valueAmerican, diff))
def test_FinLiborDepositsAndSwaps(): valuationDate = FinDate(2019, 9, 18) depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA depos = [] spotDays = 2 settlementDate = valuationDate.addWorkDays(spotDays) depositRate = 0.050 maturityDate = settlementDate.addMonths(1) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType) depos.append(depo) maturityDate = settlementDate.addMonths(2) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType) depos.append(depo) maturityDate = settlementDate.addMonths(3) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType) depos.append(depo) maturityDate = settlementDate.addMonths(6) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType) depos.append(depo) maturityDate = settlementDate.addMonths(9) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType) depos.append(depo) maturityDate = settlementDate.addMonths(12) depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, depoDCCType) depos.append(depo) fras = [] swaps = [] fixedDCCType = FinDayCountTypes.ACT_365_ISDA fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL swapRate = 0.05 maturityDate = settlementDate.addMonths(24) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(36) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(48) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(60) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(72) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(84) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(96) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(108) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(120) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(132) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(144) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(180) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(240) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(300) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) maturityDate = settlementDate.addMonths(360) swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType, fixedDCCType) swaps.append(swap) liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps) df = liborCurve.df(settlementDate) testCases.header("SETTLEMENT DATE", "DF") testCases.print(str(settlementDate), df) testCases.header("DATE", "DF") for deposit in depos: df = liborCurve.df(deposit._maturityDate) testCases.print(str(deposit._maturityDate), df) for swap in swaps: df = liborCurve.df(deposit._maturityDate) testCases.print(str(deposit._maturityDate), df)