def buildFullIssuerCurve2(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 20 August 2020 SNAP AT 1600
m = 1.0
valuation_date = Date(24, 8, 2020)
settlement_date = Date(24, 8, 2020)
dcType = DayCountTypes.ACT_360
depos = []
maturity_date = settlement_date.add_months(1)
depo1 = IborDeposit(settlement_date, maturity_date, m * 0.001709, dcType)
maturity_date = settlement_date.add_months(2)
depo2 = IborDeposit(settlement_date, maturity_date, m * 0.002123, dcType)
maturity_date = settlement_date.add_months(3)
depo3 = IborDeposit(settlement_date, maturity_date, m * 0.002469, dcType)
maturity_date = settlement_date.add_months(6)
depo4 = IborDeposit(settlement_date, maturity_date, m * 0.003045, dcType)
maturity_date = settlement_date.add_months(12)
depo5 = IborDeposit(settlement_date, maturity_date, m * 0.004449, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
swaps = []
dcType = DayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FrequencyTypes.SEMI_ANNUAL
maturity_date = settlement_date.add_months(24)
swap1 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY,
m * 0.002155 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturity_date = settlement_date.add_months(36)
swap2 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY,
m * 0.002305 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturity_date = settlement_date.add_months(48)
swap3 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY,
m * 0.002665 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturity_date = settlement_date.add_months(60)
swap4 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY,
m * 0.003290 + irBump, fixedFreq, dcType)
swaps.append(swap4)
libor_curve = IborSingleCurve(valuation_date, depos, [], swaps)
cdsCoupon = 0.01 + mktSpreadBump
cdsMarketContracts = []
effective_date = Date(21, 8, 2020)
cds = CDS(effective_date, "6M", cdsCoupon)
cdsMarketContracts.append(cds)
cds = CDS(effective_date, "1Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = CDS(effective_date, "2Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = CDS(effective_date, "3Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = CDS(effective_date, "4Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = CDS(effective_date, "5Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = CDS(effective_date, "7Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = CDS(effective_date, "10Y", cdsCoupon)
cdsMarketContracts.append(cds)
recovery_rate = 0.40
issuer_curve = CDSCurve(settlement_date, cdsMarketContracts, libor_curve,
recovery_rate)
testCases.header("DATE", "DISCOUNT_FACTOR", "SURV_PROB")
years = np.linspace(0.0, 10.0, 20)
dates = settlement_date.add_years(years)
for dt in dates:
df = libor_curve.df(dt)
q = issuer_curve.survival_prob(dt)
testCases.print("%16s" % dt, "%12.8f" % df, "%12.8f" % q)
return libor_curve, issuer_curve
def test_FinCDSCurve():
curve_date = Date(20, 12, 2018)
swaps = []
depos = []
fras = []
fixedDCC = DayCountTypes.ACT_365F
fixedFreq = FrequencyTypes.SEMI_ANNUAL
fixed_coupon = 0.05
for i in range(1, 11):
maturity_date = curve_date.add_months(12 * i)
swap = IborSwap(curve_date, maturity_date, SwapTypes.PAY, fixed_coupon,
fixedFreq, fixedDCC)
swaps.append(swap)
libor_curve = IborSingleCurve(curve_date, depos, fras, swaps)
cds_contracts = []
for i in range(1, 11):
maturity_date = curve_date.add_months(12 * i)
cds = CDS(curve_date, maturity_date, 0.005 + 0.001 * (i - 1))
cds_contracts.append(cds)
issuer_curve = CDSCurve(curve_date,
cds_contracts,
libor_curve,
recovery_rate=0.40,
use_cache=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 = curve_date.add_months(12 * i)
cds = CDS(curve_date, maturity_date, 0.005 + 0.001 * (i - 1))
v = cds.value(curve_date, issuer_curve)
testCases.print(i, v)
if 1 == 0:
x = [0.0, 1.2, 1.6, 1.7, 10.0]
qs = issuer_curve.survival_prob(x)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
qs = issuer_curve.survival_prob(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)