def test_valueCDSIndex():
# We treat an index as a CDS contract with a flat CDS curve
tradeDate = Date(7, 2, 2006)
libor_curve = buildIborCurve(tradeDate)
issuer_curve = buildIssuerCurve(tradeDate, libor_curve)
step_in_date = tradeDate.addDays(1)
valuation_date = step_in_date
maturity_date = Date(20, 6, 2010)
cdsRecovery = 0.40
notional = 10.0 * ONE_MILLION
long_protection = True
index_coupon = 0.004
cdsIndexContract = FinCDS(step_in_date, maturity_date, index_coupon,
notional, long_protection)
# cdsIndexContract.print(valuation_date)
testCases.header("LABEL", "VALUE")
spd = cdsIndexContract.parSpread(valuation_date, issuer_curve,
cdsRecovery) * 10000.0
testCases.print("PAR SPREAD", spd)
v = cdsIndexContract.value(valuation_date, issuer_curve, cdsRecovery)
testCases.print("FULL VALUE", v['full_pv'])
testCases.print("CLEAN VALUE", v['clean_pv'])
p = cdsIndexContract.clean_price(valuation_date, issuer_curve, cdsRecovery)
testCases.print("CLEAN PRICE", p)
accrued_days = cdsIndexContract.accrued_days()
testCases.print("ACCRUED DAYS", accrued_days)
accruedInterest = cdsIndexContract.accruedInterest()
testCases.print("ACCRUED COUPON", accruedInterest)
prot_pv = cdsIndexContract.protectionLegPV(valuation_date, issuer_curve,
cdsRecovery)
testCases.print("PROTECTION LEG PV", prot_pv)
premPV = cdsIndexContract.premiumLegPV(valuation_date, issuer_curve,
cdsRecovery)
testCases.print("PREMIUM LEG PV", premPV)
fullRPV01, cleanRPV01 = cdsIndexContract.riskyPV01(valuation_date,
issuer_curve)
testCases.print("FULL RPV01", fullRPV01)
testCases.print("CLEAN RPV01", cleanRPV01)
def test_CDSFastApproximation():
valuation_date = Date(20, 6, 2018)
# I build a discount curve that requires no bootstrap
times = np.linspace(0, 10.0, 11)
r = 0.05
discount_factors = np.power((1.0 + r), -times)
dates = valuation_date.addYears(times)
libor_curve = DiscountCurve(valuation_date, dates, discount_factors,
FinInterpTypes.FLAT_FWD_RATES)
##########################################################################
maturity_date = valuation_date.nextCDSDate(120)
t = (maturity_date - valuation_date) / 365.242
z = libor_curve.df(maturity_date)
r = -np.log(z) / t
recovery_rate = 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):
cds_contracts = []
cdsMkt = FinCDS(valuation_date, maturity_date, mktCoupon, ONE_MILLION)
cds_contracts.append(cdsMkt)
issuer_curve = FinCDSCurve(valuation_date, cds_contracts, libor_curve,
recovery_rate)
cds_contract = FinCDS(valuation_date, maturity_date, contractCoupon)
v_exact = cds_contract.value(valuation_date, issuer_curve,
recovery_rate)['full_pv']
v_approx = cds_contract.valueFastApprox(valuation_date, r, mktCoupon,
recovery_rate)[0]
pctdiff = (v_exact - v_approx) / ONE_MILLION * 100.0
testCases.print(mktCoupon * 10000, v_exact, v_approx, pctdiff)
def test_full_priceCDSConvergence():
_, issuer_curve = buildFullIssuerCurve1(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturity_date = Date(20, 6, 2029)
cdsCoupon = 0.0150
notional = ONE_MILLION
long_protection = False
tradeDate = Date(9, 8, 2019)
valuation_date = tradeDate.addDays(1)
cds_contract = FinCDS(valuation_date, maturity_date, cdsCoupon, notional,
long_protection)
cdsRecovery = 0.40
testCases.header("NumSteps", "Value")
for n in [10, 50, 100, 500, 1000]:
v_full = cds_contract.value(valuation_date, issuer_curve, cdsRecovery,
0, 1, n)['full_pv']
testCases.print(n, v_full)
def test_full_priceCDSwaption():
# This reproduces example on page 38 of Open Gamma note on CDS Option
tradeDate = Date(5, 2, 2014)
_, issuer_curve = buildFullIssuerCurve(tradeDate)
step_in_date = tradeDate.addDays(1)
valuation_date = step_in_date
expiry_date = Date(20, 3, 2014)
maturity_date = Date(20, 6, 2019)
cdsRecovery = 0.40
notional = 100.0
long_protection = False
cdsCoupon = 0.0 # NOT KNOWN
cds_contract = FinCDS(step_in_date,
maturity_date,
cdsCoupon,
notional,
long_protection)
testCases.banner(
"=============================== CDS ===============================")
# cds_contract.print(valuation_date)
testCases.header("LABEL", "VALUE")
spd = cds_contract.parSpread(
valuation_date,
issuer_curve,
cdsRecovery) * 10000.0
testCases.print("PAR SPREAD:", spd)
v = cds_contract.value(valuation_date, issuer_curve, cdsRecovery)
testCases.print("FULL VALUE", v['full_pv'])
testCases.print("CLEAN VALUE", v['clean_pv'])
p = cds_contract.clean_price(valuation_date, issuer_curve, cdsRecovery)
testCases.print("CLEAN PRICE", p)
accrued_days = cds_contract.accrued_days()
testCases.print("ACCRUED DAYS", accrued_days)
accruedInterest = cds_contract.accruedInterest()
testCases.print("ACCRUED COUPON", accruedInterest)
prot_pv = cds_contract.protectionLegPV(
valuation_date, issuer_curve, cdsRecovery)
testCases.print("PROTECTION LEG PV", prot_pv)
premPV = cds_contract.premiumLegPV(valuation_date, issuer_curve, cdsRecovery)
testCases.print("PREMIUM LEG PV", premPV)
fullRPV01, cleanRPV01 = cds_contract.riskyPV01(valuation_date, issuer_curve)
testCases.print("FULL RPV01", fullRPV01)
testCases.print("CLEAN RPV01", cleanRPV01)
# cds_contract.printFlows(issuer_curve)
testCases.banner(
"=========================== FORWARD CDS ===========================")
cds_contract = FinCDS(expiry_date,
maturity_date,
cdsCoupon,
notional,
long_protection)
# cds_contract.print(valuation_date)
spd = cds_contract.parSpread(
valuation_date,
issuer_curve,
cdsRecovery) * 10000.0
testCases.print("PAR SPREAD", spd)
v = cds_contract.value(valuation_date, issuer_curve, cdsRecovery)
testCases.print("FULL VALUE", v['full_pv'])
testCases.print("CLEAN VALUE", v['clean_pv'])
prot_pv = cds_contract.protectionLegPV(
valuation_date, issuer_curve, cdsRecovery)
testCases.print("PROTECTION LEG PV", prot_pv)
premPV = cds_contract.premiumLegPV(valuation_date, issuer_curve, cdsRecovery)
testCases.print("PREMIUM LEG PV", premPV)
fullRPV01, cleanRPV01 = cds_contract.riskyPV01(valuation_date, issuer_curve)
testCases.print("FULL RPV01", fullRPV01)
testCases.print("CLEAN RPV01", cleanRPV01)
# cds_contract.printFlows(issuer_curve)
testCases.banner(
"========================== CDS OPTIONS ============================")
cdsCoupon = 0.01
volatility = 0.3
testCases.print("Expiry Date:", str(expiry_date))
testCases.print("Maturity Date:", str(maturity_date))
testCases.print("CDS Coupon:", cdsCoupon)
testCases.header("STRIKE", "FULL VALUE", "IMPLIED VOL")
for strike in np.linspace(100, 300, 41):
cdsOption = FinCDSOption(expiry_date,
maturity_date,
strike / 10000.0,
notional)
v = cdsOption.value(valuation_date,
issuer_curve,
volatility)
vol = cdsOption.impliedVolatility(valuation_date,
issuer_curve,
v)
testCases.print(strike, v, vol)
def test_full_priceCDSModelCheck():
testCases.print("Example", "MARKIT CHECK 19 Aug 2020")
libor_curve, issuer_curve = buildFullIssuerCurve2(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturity_date = Date(20, 6, 2025)
cdsCoupon = 0.050
notional = ONE_MILLION
long_protection = True
tradeDate = Date(20, 8, 2020)
effective_date = Date(21, 8, 2020)
valuation_date = tradeDate
cds_contract = FinCDS(effective_date, maturity_date, cdsCoupon, notional,
long_protection)
cdsRecovery = 0.40
testCases.header("LABEL", "VALUE")
spd = cds_contract.parSpread(valuation_date, issuer_curve,
cdsRecovery) * 10000.0
testCases.print("PAR_SPREAD", spd)
v = cds_contract.value(valuation_date, issuer_curve, cdsRecovery)
testCases.print("FULL_VALUE", v['full_pv'])
testCases.print("CLEAN_VALUE", v['clean_pv'])
p = cds_contract.clean_price(valuation_date, issuer_curve, cdsRecovery)
testCases.print("CLEAN_PRICE", p)
accrued_days = cds_contract.accrued_days()
testCases.print("ACCRUED_DAYS", accrued_days)
accruedInterest = cds_contract.accruedInterest()
testCases.print("ACCRUED_COUPON", accruedInterest)
prot_pv = cds_contract.protectionLegPV(valuation_date, issuer_curve,
cdsRecovery)
testCases.print("PROTECTION_PV", prot_pv)
premPV = cds_contract.premiumLegPV(valuation_date, issuer_curve,
cdsRecovery)
testCases.print("PREMIUM_PV", premPV)
rpv01 = cds_contract.riskyPV01(valuation_date, issuer_curve)
testCases.print("FULL_RPV01", rpv01['full_rpv01'])
testCases.print("CLEAN_RPV01", rpv01['clean_rpv01'])
creditDV01 = cds_contract.creditDV01(valuation_date, issuer_curve,
cdsRecovery)
testCases.print("CREDIT DV01", creditDV01)
interestDV01 = cds_contract.interestDV01(valuation_date, issuer_curve,
cdsRecovery)
testCases.print("INTEREST DV01", interestDV01)
# Consider fast approximation
t = (maturity_date - valuation_date) / gDaysInYear
z = libor_curve.df(maturity_date)
r = -np.log(z) / t
mktSpread = 0.01
v_approx = cds_contract.valueFastApprox(valuation_date, 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_full_priceCDS1():
mktSpread = 0.040
testCases.header("Example", "Markit 9 Aug 2019")
libor_curve, issuer_curve = buildFullIssuerCurve1(0.0, 0.0)
# This is the 10 year contract at an off market coupon
maturity_date = Date(20, 6, 2029)
cdsCoupon = 0.0150
notional = ONE_MILLION
long_protection = True
tradeDate = Date(9, 8, 2019)
valuation_date = tradeDate.addDays(1)
effective_date = valuation_date
cds_contract = FinCDS(effective_date, maturity_date, cdsCoupon, notional,
long_protection)
cdsRecovery = 0.40
testCases.header("LABEL", "VALUE")
spd = cds_contract.parSpread(valuation_date, issuer_curve,
cdsRecovery) * 10000.0
testCases.print("PAR_SPREAD", spd)
v = cds_contract.value(valuation_date, issuer_curve, cdsRecovery)
testCases.print("FULL_VALUE", v['full_pv'])
testCases.print("CLEAN_VALUE", v['clean_pv'])
p = cds_contract.clean_price(valuation_date, issuer_curve, cdsRecovery)
testCases.print("CLEAN_PRICE", p)
# MARKIT PRICE IS 168517
accrued_days = cds_contract.accrued_days()
testCases.print("ACCRUED_DAYS", accrued_days)
accruedInterest = cds_contract.accruedInterest()
testCases.print("ACCRUED_COUPON", accruedInterest)
prot_pv = cds_contract.protectionLegPV(valuation_date, issuer_curve,
cdsRecovery)
testCases.print("PROTECTION_PV", prot_pv)
premPV = cds_contract.premiumLegPV(valuation_date, issuer_curve,
cdsRecovery)
testCases.print("PREMIUM_PV", premPV)
fullRPV01, cleanRPV01 = cds_contract.riskyPV01(valuation_date,
issuer_curve)
testCases.print("FULL_RPV01", fullRPV01)
testCases.print("CLEAN_RPV01", cleanRPV01)
# cds_contract.printFlows(issuer_curve)
bump = 1.0 / 10000.0 # 1 bp
libor_curve, issuer_curve = buildFullIssuerCurve1(bump, 0)
v_bump = cds_contract.value(valuation_date, issuer_curve, cdsRecovery)
dv = v_bump['full_pv'] - v['full_pv']
testCases.print("CREDIT_DV01", dv)
# Interest Rate Bump
libor_curve, issuer_curve = buildFullIssuerCurve1(0, bump)
v_bump = cds_contract.value(valuation_date, issuer_curve, cdsRecovery)
dv = v_bump['full_pv'] - v['full_pv']
testCases.print("INTEREST_DV01", dv)
t = (maturity_date - valuation_date) / gDaysInYear
z = libor_curve.df(maturity_date)
r = -np.log(z) / t
v_approx = cds_contract.valueFastApprox(valuation_date, 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])
def test_FinCDSCurve():
curveDate = Date(20, 12, 2018)
swaps = []
depos = []
fras = []
fixedDCC = DayCountTypes.ACT_365F
fixedFreq = FrequencyTypes.SEMI_ANNUAL
fixedCoupon = 0.05
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
swap = FinIborSwap(curveDate, maturity_date, FinSwapTypes.PAY,
fixedCoupon, fixedFreq, fixedDCC)
swaps.append(swap)
libor_curve = IborSingleCurve(curveDate, depos, fras, swaps)
cds_contracts = []
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturity_date, 0.005 + 0.001 * (i - 1))
cds_contracts.append(cds)
issuer_curve = FinCDSCurve(curveDate,
cds_contracts,
libor_curve,
recovery_rate=0.40,
useCache=False)
testCases.header("T", "Q")
n = len(issuer_curve._times)
for i in range(0, n):
testCases.print(issuer_curve._times[i], issuer_curve._values[i])
testCases.header("CONTRACT", "VALUE")
for i in range(1, 11):
maturity_date = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturity_date, 0.005 + 0.001 * (i - 1))
v = cds.value(curveDate, issuer_curve)
testCases.print(i, v)
if 1 == 0:
x = [0.0, 1.2, 1.6, 1.7, 10.0]
qs = issuer_curve.survProb(x)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
qs = issuer_curve.survProb(xx)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
dfs = issuer_curve.df(x)
print("===>", dfs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
dfs = issuer_curve.df(xx)
print("===>", dfs)