def test_FinDate():
startDate = FinDate(1, 1, 2018)
testCases.header("DATE", "MONTHS", "CDS DATE")
for numMonths in range(0, 120):
nextCDSDate = startDate.nextCDSDate(numMonths)
testCases.print(str(startDate), numMonths, str(nextCDSDate))
startDate = FinDate(1, 1, 2018)
testCases.header("STARTDATE", "MONTHS", "CDS DATE")
for numMonths in range(0, 365):
startDate = startDate.addDays(1)
nextIMMDate = startDate.nextIMMDate()
testCases.print(numMonths, str(startDate), str(nextIMMDate))
def test_FinIborDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settlementDate = spotDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depositRate = 0.027
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depos = []
depo = FinIborDeposit(settlementDate, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "3M", 0.0240, depoDCCType)
depos.append(depo)
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
fraSettlementDate = spotDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
fraSettlementDate = fraSettlementDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
startDate = spotDate.addWeekDays(spotDays)
swaps = []
fixedLegType = FinSwapTypes.PAY
fixedDCCType = FinDayCountTypes.THIRTY_E_360
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
floatFreqType = FinFrequencyTypes.QUARTERLY
notional = 1000000
principal = 0.0
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
calendarType = FinCalendarTypes.US
busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING
swapRate = 0.02776305
swap = FinIborSwapOLD(startDate, "2Y", fixedLegType, swapRate,
fixedFreqType, fixedDCCType, notional, floatSpread,
floatFreqType, floatDCCType, calendarType,
busDayAdjustRule)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(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)
# 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"))
print(dt1.addTenor("3M"))
print(dt1.addTenor("4m"))
print(dt1.addTenor("5Y"))
print(dt1.addTenor("6y"))
# You can subtract dates
print("SUBTRACT DATES")
dt6 = dt1.addTenor("5Y")
dt7 = dt1.addTenor("10Y")
dd = dt7 - dt6
print(dt6, dt7, dd)
# check if a date is on a weekend
print("WEEKEND TEST")
print(dt1, dt1.isWeekend())
print(dt2, dt2.isWeekend())
# You can get CDS dates now or in the future
print("CDS Date")
print(dt1, dt1.nextCDSDate())
# You can get the next IMM dates now
print("IMM Date")
print(dt1, dt1.nextIMMDate())
