def test_FinDiscountCurvePolynomial():
times = np.linspace(0.00, 10.0, 21)
curveDate = FinDate(2019, 2, 2)
dates = curveDate.addYears(times)
coeffs = [0.0004, -0.0001, 0.00000010]
curve1 = FinDiscountCurvePoly(curveDate, coeffs)
zeros = curve1.zeroRate(dates)
fwds = curve1.fwd(dates)
if PLOT_GRAPHS:
import matplotlib.pyplot as plt
plt.figure(figsize=(6, 4))
plt.plot(times, zeros, label="Zeros")
plt.plot(times, fwds, label="Forwards")
plt.xlabel('Time (years)')
plt.ylabel('Zero Rate')
plt.legend(loc='best')
def test_FinDiscountCurves():
# Create a curve from times and discount factors
valuationDate = FinDate(1, 1, 2018)
years = [1.0, 2.0, 3.0, 4.0, 5.0]
dates = valuationDate.addYears(years)
years2 = []
for dt in dates:
y = (dt - valuationDate) / gDaysInYear
years2.append(y)
rates = np.array([0.05, 0.06, 0.065, 0.07, 0.075])
discountFactors = np.exp(-np.array(rates) * np.array(years2))
curvesList = []
finDiscountCurve = FinDiscountCurve(valuationDate, dates, discountFactors,
FinInterpTypes.FLAT_FORWARDS)
curvesList.append(finDiscountCurve)
finDiscountCurveFlat = FinDiscountCurveFlat(valuationDate, 0.05)
curvesList.append(finDiscountCurveFlat)
finDiscountCurveNS = FinDiscountCurveNS(valuationDate, 0.0305, -0.01, 0.08,
10.0)
curvesList.append(finDiscountCurveNS)
finDiscountCurveNSS = FinDiscountCurveNSS(valuationDate, 0.035, -0.02,
0.09, 0.1, 1.0, 2.0)
curvesList.append(finDiscountCurveNSS)
finDiscountCurvePoly = FinDiscountCurvePoly(valuationDate,
[0.05, 0.002, -0.00005])
curvesList.append(finDiscountCurvePoly)
finDiscountCurvePWF = FinDiscountCurvePWF(valuationDate, dates, rates)
curvesList.append(finDiscountCurvePWF)
finDiscountCurvePWL = FinDiscountCurvePWL(valuationDate, dates, rates)
curvesList.append(finDiscountCurvePWL)
finDiscountCurveZeros = FinDiscountCurveZeros(valuationDate, dates, rates)
curvesList.append(finDiscountCurveZeros)
curveNames = []
for curve in curvesList:
curveNames.append(type(curve).__name__)
testCases.banner("SINGLE CALLS NO VECTORS")
testCases.header("CURVE", "DATE", "ZERO", "DF", "CCFWD", "MMFWD", "SWAP")
years = np.linspace(1, 10, 10)
fwdMaturityDates = valuationDate.addYears(years)
testCases.banner("######################################################")
testCases.banner("SINGLE CALLS")
testCases.banner("######################################################")
for name, curve in zip(curveNames, curvesList):
for fwdMaturityDate in fwdMaturityDates:
tenor = "3M"
zeroRate = curve.zeroRate(fwdMaturityDate)
fwd = curve.fwd(fwdMaturityDate)
fwdRate = curve.fwdRate(fwdMaturityDate, tenor)
swapRate = curve.swapRate(valuationDate, fwdMaturityDate)
df = curve.df(fwdMaturityDate)
testCases.print("%-20s" % name, "%-12s" % fwdMaturityDate,
"%7.6f" % (zeroRate), "%8.7f" % (df),
"%7.6f" % (fwd), "%7.6f" % (fwdRate),
"%7.6f" % (swapRate))
# Examine vectorisation
testCases.banner("######################################################")
testCases.banner("VECTORISATIONS")
testCases.banner("######################################################")
for name, curve in zip(curveNames, curvesList):
tenor = "3M"
zeroRate = curve.zeroRate(fwdMaturityDates)
fwd = curve.fwd(fwdMaturityDates)
fwdRate = curve.fwdRate(fwdMaturityDates, tenor)
swapRate = curve.swapRate(valuationDate, fwdMaturityDates)
df = curve.df(fwdMaturityDates)
for i in range(0, len(fwdMaturityDates)):
testCases.print("%-20s" % name, "%-12s" % fwdMaturityDate,
"%7.6f" % (zeroRate[i]), "%8.7f" % (df[i]),
"%7.6f" % (fwd[i]), "%7.6f" % (fwdRate[i]),
"%7.6f" % (swapRate[i]))
if PLOT_GRAPHS:
years = np.linspace(0, 10, 121)
years2 = years + 1.0
fwdDates = valuationDate.addYears(years)
fwdDates2 = valuationDate.addYears(years2)
plt.figure()
for name, curve in zip(curveNames, curvesList):
zeroRates = curve.zeroRate(fwdDates)
plt.plot(years, zeroRates, label=name)
plt.legend()
plt.title("Zero Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
fwdRates = curve.fwd(fwdDates)
plt.plot(years, fwdRates, label=name)
plt.legend()
plt.title("CC Fwd Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
fwdRates = curve.fwdRate(fwdDates, fwdDates2)
plt.plot(years, fwdRates, label=name)
plt.legend()
plt.title("CC Fwd Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
dfs = curve.df(fwdDates)
plt.plot(years, dfs, label=name)
plt.legend()
plt.title("Discount Factors")