def test_FinIborDepositsOnly():
# I have used the following useful blog post by Ioannis Rigopoulos for this
# https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-deposit
valuationDate = FinDate(2018, 2, 23)
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
# 1 month
depositRate = 0.04
maturityDate = settlementDate.addMonths(1)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 2 months
depositRate = 0.04
maturityDate = settlementDate.addMonths(2)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 6 months
depositRate = 0.04
maturityDate = settlementDate.addMonths(6)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 1 year
depositRate = 0.04
maturityDate = settlementDate.addMonths(12)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
fras = []
swaps = []
liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps)
testCases.header("LABEL", "DATE", "VALUE")
''' Check calibration '''
for depo in depos:
v = depo.value(settlementDate, liborCurve)
testCases.print("DEPO", depo._maturityDate, v)
def test_FinIborFRAsOnly():
# TO DO FIX THIS
valuationDate = FinDate(2018, 2, 23)
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
payFixed = True
calendarType = FinCalendarTypes.TARGET
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(1)
fraMaturityDate = settlementDate.addMonths(4)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType,
notional, payFixed, calendarType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.08
fraSettlementDate = settlementDate.addMonths(4)
fraMaturityDate = settlementDate.addMonths(7)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType,
notional, payFixed, calendarType)
fras.append(fra)
depos = []
swaps = []
liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps)
testCases.header("DATE", "MATDATE", "VALUE")
''' Check calibration '''
for fra in fras:
v = fra.value(settlementDate, liborCurve)
testCases.print("FRA:", fra._maturityDate, v)
def test_bloombergPricingExample():
''' This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
'''
valuationDate = FinDate(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuationDate, 1)
futs.append(fut)
fut = FinIborFuture(valuationDate, 2)
futs.append(fut)
fut = FinIborFuture(valuationDate, 3)
futs.append(fut)
fut = FinIborFuture(valuationDate, 4)
futs.append(fut)
fut = FinIborFuture(valuationDate, 5)
futs.append(fut)
fut = FinIborFuture(valuationDate, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = FinDayCountTypes.THIRTY_E_360
freq = FinFrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
notional = ONE_MILLION
fixedLegType = FinSwapTypes.PAY
interpType = FinInterpTypes.FLAT_FWD_RATES
swaps = []
swap = FinIborSwapOLD(settlementDate, "2Y", fixedLegType,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "3Y", fixedLegType,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "4Y", fixedLegType,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "5Y", fixedLegType,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "6Y", fixedLegType,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "7Y", fixedLegType,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "8Y", fixedLegType,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "9Y", fixedLegType,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "10Y", fixedLegType,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "11Y", fixedLegType,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "12Y", fixedLegType,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "15Y", fixedLegType,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "20Y", fixedLegType,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "25Y", fixedLegType,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "30Y", fixedLegType,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "40Y", fixedLegType,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = FinIborSwapOLD(settlementDate, "50Y", fixedLegType,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps,
interpType, True)
principal = 0.0
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION")
testCases.header("LABEL", "VALUE")
testCases.print(
"VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", swaps[0].fixedLegValue(valuationDate,
liborCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, liborCurve, liborCurve,
None))
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION TO SWAP SETTLEMENT DATE")
testCases.header("LABEL", "VALUE")
testCases.print(
"VALUE:", swaps[0].value(settlementDate, liborCurve, liborCurve, None))
testCases.print("FIXED:", swaps[0].fixedLegValue(settlementDate,
liborCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(settlementDate, liborCurve,
liborCurve, None))
testCases.banner("======================================================")
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
oisCurve = buildOIS(valuationDate)
# print(oisCurve)
liborDualCurve = FinIborDualCurveOLD(valuationDate, oisCurve, depos, fras,
swaps, FinInterpTypes.FLAT_FWD_RATES,
True)
# print(liborDualCurve)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(valuationDate, oisCurve, liborDualCurve,
None))
testCases.print("FIXED:", swaps[0].fixedLegValue(valuationDate, oisCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, oisCurve, liborCurve,
None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlementDate, oisCurve, liborDualCurve,
None))
testCases.print("FIXED:", swaps[0].fixedLegValue(settlementDate, oisCurve))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(
settlementDate,
oisCurve,
liborDualCurve,
None,
))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
PLOT = False
if PLOT is True:
years = np.linspace(0, 5, 21)
dates = settlementDate.addYears(years)
singleCurveFwds = liborCurve.fwd(dates)
plt.plot(years, singleCurveFwds, label="Single Libor Curve")
oisCurveFwds = oisCurve.fwd(dates)
plt.plot(years, oisCurveFwds, label="OIS Curve")
indexCurveFwds = liborDualCurve.fwd(dates)
plt.plot(years, indexCurveFwds, label="Libor Index Curve")
plt.legend()
def test_derivativePricingExample():
valuationDate = FinDate(10, 11, 2011)
dccType = FinDayCountTypes.ACT_360
depos = []
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001410
depo = FinIborDeposit(settlementDate, "ON", depositRate, dccType)
depos.append(depo)
spotDays = 1
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001410
depo = FinIborDeposit(settlementDate, "TN", depositRate, dccType)
depos.append(depo)
spotDays = 2
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.001910
depo = FinIborDeposit(settlementDate, "1W", depositRate, dccType)
depos.append(depo)
depositRate = 0.002090
depo = FinIborDeposit(settlementDate, "2W", depositRate, dccType)
depos.append(depo)
depositRate = 0.002490
depo = FinIborDeposit(settlementDate, "1M", depositRate, dccType)
depos.append(depo)
depositRate = 0.003450
depo = FinIborDeposit(settlementDate, "2M", depositRate, dccType)
depos.append(depo)
depositRate = 0.004570
depo = FinIborDeposit(settlementDate, "3M", depositRate, dccType)
depos.append(depo)
depositRate = 0.005230
depo = FinIborDeposit(settlementDate, "4M", depositRate, dccType)
depos.append(depo)
depositRate = 0.005860
depo = FinIborDeposit(settlementDate, "5M", depositRate, dccType)
depos.append(depo)
depositRate = 0.006540
depo = FinIborDeposit(settlementDate, "6M", depositRate, dccType)
depos.append(depo)
depositRate = 0.007080
depo = FinIborDeposit(settlementDate, "7M", depositRate, dccType)
depos.append(depo)
depositRate = 0.007540
depo = FinIborDeposit(settlementDate, "8M", depositRate, dccType)
depos.append(depo)
depositRate = 0.008080
depo = FinIborDeposit(settlementDate, "9M", depositRate, dccType)
depos.append(depo)
depositRate = 0.008570
depo = FinIborDeposit(settlementDate, "10M", depositRate, dccType)
depos.append(depo)
depositRate = 0.009130
depo = FinIborDeposit(settlementDate, "11M", depositRate, dccType)
depos.append(depo)
fras = []
swaps = []
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
# dayCountType = FinDayCountTypes.ACT_360
freqType = FinFrequencyTypes.SEMI_ANNUAL
fixedLegType = FinSwapTypes.PAY
swapRate = 0.0058
swap = FinIborSwapOLD(settlementDate, "1Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0060
swap = FinIborSwapOLD(settlementDate, "2Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0072
swap = FinIborSwapOLD(settlementDate, "3Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0096
swap = FinIborSwapOLD(settlementDate, "4Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0124
swap = FinIborSwapOLD(settlementDate, "5Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0173
swap = FinIborSwapOLD(settlementDate, "7Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0219
swap = FinIborSwapOLD(settlementDate, "10Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
swapRate = 0.0283
swap = FinIborSwapOLD(settlementDate, "30Y", fixedLegType, swapRate,
freqType, dayCountType)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed2 = end - start
testCases.header("METHOD", "TIME")
testCases.print("NON-LINEAR SOLVER BOOTSTRAP", elapsed1 / numRepeats)
testCases.print("LINEAR SWAP BOOTSTRAP", elapsed2 / numRepeats)
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)
def test_FinIborDepositsFRAsSwaps():
valuationDate = FinDate(2019, 9, 18)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(9)
fraMaturityDate = settlementDate.addMonths(13)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlementDate.addMonths(13)
fraMaturityDate = settlementDate.addMonths(17)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlementDate.addMonths(17)
fraMaturityDate = settlementDate.addMonths(21)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settlementDate.addMonths(24)
# swap = FinIborSwapOLD(settlementDate, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixedLegType = FinSwapTypes.PAY
maturityDate = settlementDate.addMonths(36)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinIborSwapOLD(settlementDate, maturityDate, fixedLegType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
liborCurve = FinIborSingleCurveOLD(valuationDate, depos, fras, swaps)
df = liborCurve.df(settlementDate)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settlementDate), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
for swap in swaps:
df = liborCurve.df(swap._maturityDate)
testCases.print(str(swap._maturityDate), df)