def test_CDSFastApproximation():
valueDate = FinDate(2018, 6, 20)
# I build a discount curve that requires no bootstrap
times = np.linspace(0, 10.0, 11)
r = 0.05
discountFactors = np.power((1.0 + r), -times)
dates = valueDate.addYears(times)
liborCurve = FinDiscountCurve(valueDate,
dates,
discountFactors,
FinInterpTypes.FLAT_FWD_RATES)
##########################################################################
maturityDate = valueDate.nextCDSDate(120)
t = (maturityDate - valueDate) / 365.242
z = liborCurve.df(maturityDate)
r = -np.log(z) / t
recoveryRate = 0.40
contractCoupon = 0.010
testCases.header("MKT_SPD", "EXACT_VALUE", "APPROX_VALUE", "DIFF(%NOT)")
for mktCoupon in np.linspace(0.000, 0.05, 21):
cdsContracts = []
cdsMkt = FinCDS(valueDate, maturityDate, mktCoupon, ONE_MILLION)
cdsContracts.append(cdsMkt)
issuerCurve = FinCDSCurve(valueDate,
cdsContracts,
liborCurve,
recoveryRate)
cdsContract = FinCDS(valueDate, maturityDate, contractCoupon)
v_exact = cdsContract.value(
valueDate, issuerCurve, recoveryRate)['full_pv']
v_approx = cdsContract.valueFastApprox(
valueDate, r, mktCoupon, recoveryRate)[0]
pctdiff = (v_exact - v_approx) / ONE_MILLION * 100.0
testCases.print(mktCoupon * 10000, v_exact, v_approx, pctdiff)
def test_fullPriceCDSModelCheck():
testCases.print("Example", "MARKIT CHECK 19 Aug 2020")
liborCurve, issuerCurve = buildFullIssuerCurve2(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturityDate = FinDate(20, 6, 2025)
cdsCoupon = 0.050
notional = ONE_MILLION
longProtection = True
tradeDate = FinDate(20, 8, 2020)
effectiveDate = FinDate(21, 8, 2020)
valuationDate = tradeDate
cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional,
longProtection)
cdsRecovery = 0.40
testCases.header("LABEL", "VALUE")
spd = cdsContract.parSpread(valuationDate, issuerCurve,
cdsRecovery) * 10000.0
testCases.print("PAR_SPREAD", spd)
v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
testCases.print("FULL_VALUE", v['full_pv'])
testCases.print("CLEAN_VALUE", v['clean_pv'])
p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
testCases.print("CLEAN_PRICE", p)
accruedDays = cdsContract.accruedDays()
testCases.print("ACCRUED_DAYS", accruedDays)
accruedInterest = cdsContract.accruedInterest()
testCases.print("ACCRUED_COUPON", accruedInterest)
protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve,
cdsRecovery)
testCases.print("PROTECTION_PV", protPV)
premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
testCases.print("PREMIUM_PV", premPV)
rpv01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
testCases.print("FULL_RPV01", rpv01['full_rpv01'])
testCases.print("CLEAN_RPV01", rpv01['clean_rpv01'])
creditDV01 = cdsContract.creditDV01(valuationDate, issuerCurve,
cdsRecovery)
testCases.print("CREDIT DV01", creditDV01)
interestDV01 = cdsContract.interestDV01(valuationDate, issuerCurve,
cdsRecovery)
testCases.print("INTEREST DV01", interestDV01)
# Consider fast approximation
t = (maturityDate - valuationDate) / gDaysInYear
z = liborCurve.df(maturityDate)
r = -np.log(z) / t
mktSpread = 0.01
v_approx = cdsContract.valueFastApprox(valuationDate, r, mktSpread,
cdsRecovery)
testCases.header("FAST VALUATIONS", "VALUE")
testCases.print("FULL APPROX VALUE", v_approx[0])
testCases.print("CLEAN APPROX VALUE", v_approx[1])
testCases.print("APPROX CREDIT DV01", v_approx[2])
testCases.print("APPROX INTEREST DV01", v_approx[3])
def test_fullPriceCDS1():
mktSpread = 0.040
testCases.header("Example", "Markit 9 Aug 2019")
liborCurve, issuerCurve = buildFullIssuerCurve1(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturityDate = FinDate(2029, 6, 20)
cdsCoupon = 0.0150
notional = ONE_MILLION
longProtection = False
tradeDate = FinDate(2019, 8, 9)
valuationDate = tradeDate.addDays(1)
effectiveDate = valuationDate
cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional,
longProtection)
cdsRecovery = 0.40
testCases.header("LABEL", "VALUE")
spd = cdsContract.parSpread(valuationDate, issuerCurve,
cdsRecovery) * 10000.0
testCases.print("PAR_SPREAD", spd)
v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
testCases.print("FULL_VALUE", v['full_pv'])
testCases.print("CLEAN_VALUE", v['clean_pv'])
p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
testCases.print("CLEAN_PRICE", p)
accruedDays = cdsContract.accruedDays()
testCases.print("ACCRUED_DAYS", accruedDays)
accruedInterest = cdsContract.accruedInterest()
testCases.print("ACCRUED_COUPON", accruedInterest)
protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve,
cdsRecovery)
testCases.print("PROTECTION_PV", protPV)
premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
testCases.print("PREMIUM_PV", premPV)
fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
testCases.print("FULL_RPV01", fullRPV01)
testCases.print("CLEAN_RPV01", cleanRPV01)
# cdsContract.printFlows(issuerCurve)
bump = 1.0 / 10000.0 # 1 bp
liborCurve, issuerCurve = buildFullIssuerCurve1(bump, 0)
v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
dv = v_bump['full_pv'] - v['full_pv']
testCases.print("CREDIT_DV01", dv)
# Interest Rate Bump
liborCurve, issuerCurve = buildFullIssuerCurve1(0, bump)
v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
dv = v_bump['full_pv'] - v['full_pv']
testCases.print("INTEREST_DV01", dv)
t = (maturityDate - valuationDate) / gDaysInYear
z = liborCurve.df(maturityDate)
r = -np.log(z) / t
v_approx = cdsContract.valueFastApprox(valuationDate, r, mktSpread,
cdsRecovery)
testCases.print("FULL APPROX VALUE", v_approx[0])
testCases.print("CLEAN APPROX VALUE", v_approx[1])
testCases.print("APPROX CREDIT DV01", v_approx[2])
testCases.print("APPROX INTEREST DV01", v_approx[3])