def test_bloombergPricingExample(interp_type):
""" 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
"""
valuation_date = Date(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
maturity_date = settlement_date.addMonths(3)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinIborFuture(valuation_date, 1); futs.append(fut)
fut = FinIborFuture(valuation_date, 2); futs.append(fut)
fut = FinIborFuture(valuation_date, 3); futs.append(fut)
fut = FinIborFuture(valuation_date, 4); futs.append(fut)
fut = FinIborFuture(valuation_date, 5); futs.append(fut)
fut = FinIborFuture(valuation_date, 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 = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlement_date = valuation_date.addWeekDays(spotDays)
notional = ONE_MILLION
fixed_legType = FinSwapTypes.PAY
swaps = []
swap = FinIborSwapOLD(settlement_date, "2Y", fixed_legType, (2.77417+2.77844)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "3Y", fixed_legType, (2.86098+2.86582)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "4Y", fixed_legType, (2.90240+2.90620)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "5Y", fixed_legType, (2.92944+2.92906)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "6Y", fixed_legType, (2.94001+2.94499)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "7Y", fixed_legType, (2.95352+2.95998)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "8Y", fixed_legType, (2.96830+2.97400)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "9Y", fixed_legType, (2.98403+2.98817)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "10Y", fixed_legType, (2.99716+3.00394)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "11Y", fixed_legType, (3.01344+3.01596)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "12Y", fixed_legType, (3.02276+3.02684)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "15Y", fixed_legType, (3.04092+3.04508)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "20Y", fixed_legType, (3.04417+3.05183)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "25Y", fixed_legType, (3.03219+3.03621)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "30Y", fixed_legType, (3.01030+3.01370)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "40Y", fixed_legType, (2.96946+2.97354)/200, freq, accrual); swaps.append(swap)
swap = FinIborSwapOLD(settlement_date, "50Y", fixed_legType, (2.91552+2.93748)/200, freq, accrual); swaps.append(swap)
libor_curve = FinIborSingleCurveOLD(valuation_date, depos, fras, swaps, interp_type)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE"," PV")
testCases.print("VALUE:", swaps[0].value(valuation_date, libor_curve, libor_curve, None))
testCases.print("FIXED:", swaps[0].fixed_legValue(valuation_date, libor_curve))
testCases.print("FLOAT:", swaps[0].floatLegValue(valuation_date, libor_curve, libor_curve, None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE"," PV")
testCases.print("VALUE:", swaps[0].value(settlement_date, libor_curve, libor_curve, None))
testCases.print("FIXED:", swaps[0].fixed_legValue(settlement_date, libor_curve))
testCases.print("FLOAT:", swaps[0].floatLegValue(settlement_date, libor_curve, libor_curve, None))
# swaps[0].printFixedLegPV()
# swaps[0].printFloatLegPV()
if 1==0:
plt.figure()
years = np.linspace(0, 50, 500)
dates = settlement_date.addYears(years)
fwds = libor_curve.fwd(dates)
plt.plot(years, fwds, label = "Fwd Rate")
plt.title(interp_type)
plt.xlabel("Years")
plt.legend()
years = np.linspace(0, 50, 500)
dates = settlement_date.addYears(years)
fwds = libor_curve.zeroRate(dates)
plt.plot(years, fwds, label = "Zero Rate")
plt.title(interp_type)
plt.xlabel("Years")
plt.ylabel("Rate")
plt.legend()
def test_derivativePricingExample():
valuation_date = Date(10, 11, 2011)
dccType = DayCountTypes.ACT_360
depos = []
# We do the O/N rate which settles on trade date
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
deposit_rate = 0.001410
depo = FinIborDeposit(settlement_date, "ON", deposit_rate, dccType)
depos.append(depo)
spotDays = 1
settlement_date = valuation_date.addWeekDays(spotDays)
deposit_rate = 0.001410
depo = FinIborDeposit(settlement_date, "TN", deposit_rate, dccType)
depos.append(depo)
spotDays = 2
settlement_date = valuation_date.addWeekDays(spotDays)
deposit_rate = 0.001910
depo = FinIborDeposit(settlement_date, "1W", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.002090
depo = FinIborDeposit(settlement_date, "2W", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.002490
depo = FinIborDeposit(settlement_date, "1M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.003450
depo = FinIborDeposit(settlement_date, "2M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.004570
depo = FinIborDeposit(settlement_date, "3M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.005230
depo = FinIborDeposit(settlement_date, "4M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.005860
depo = FinIborDeposit(settlement_date, "5M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.006540
depo = FinIborDeposit(settlement_date, "6M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.007080
depo = FinIborDeposit(settlement_date, "7M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.007540
depo = FinIborDeposit(settlement_date, "8M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.008080
depo = FinIborDeposit(settlement_date, "9M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.008570
depo = FinIborDeposit(settlement_date, "10M", deposit_rate, dccType)
depos.append(depo)
deposit_rate = 0.009130
depo = FinIborDeposit(settlement_date, "11M", deposit_rate, dccType)
depos.append(depo)
fras = []
swaps = []
day_count_type = DayCountTypes.THIRTY_E_360_ISDA
# day_count_type = DayCountTypes.ACT_360
freq_type = FrequencyTypes.SEMI_ANNUAL
fixed_legType = FinSwapTypes.PAY
swap_rate = 0.0058
swap = FinIborSwapOLD(settlement_date, "1Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0060
swap = FinIborSwapOLD(settlement_date, "2Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0072
swap = FinIborSwapOLD(settlement_date, "3Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0096
swap = FinIborSwapOLD(settlement_date, "4Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0124
swap = FinIborSwapOLD(settlement_date, "5Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0173
swap = FinIborSwapOLD(settlement_date, "7Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0219
swap = FinIborSwapOLD(settlement_date, "10Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
swap_rate = 0.0283
swap = FinIborSwapOLD(settlement_date, "30Y", fixed_legType, swap_rate, freq_type, day_count_type)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborSingleCurveOLD(valuation_date, depos, fras, swaps,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = FinIborSingleCurveOLD(valuation_date, 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_FinIborDepositsFRAsSwaps():
valuation_date = Date(18, 9, 2019)
dccType = DayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlement_date = valuation_date.addWeekDays(spotDays)
deposit_rate = 0.050
maturity_date = settlement_date.addMonths(1)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(2)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(3)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(6)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(9)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.addMonths(12)
depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlement_date.addMonths(9)
fraMaturityDate = settlement_date.addMonths(13)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlement_date.addMonths(13)
fraMaturityDate = settlement_date.addMonths(17)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlement_date.addMonths(17)
fraMaturityDate = settlement_date.addMonths(21)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
swap_rate = 0.05
# maturity_date = settlement_date.addMonths(24)
# swap = FinIborSwapOLD(settlement_date, maturity_date, swap_rate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixed_legType = FinSwapTypes.PAY
maturity_date = settlement_date.addMonths(36)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(48)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(60)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(72)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(84)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(96)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(108)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(120)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(132)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(144)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(180)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(240)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(300)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.addMonths(360)
swap = FinIborSwapOLD(settlement_date, maturity_date, fixed_legType, swap_rate,
fixedFreqType,
fixedDCCType)
swaps.append(swap)
libor_curve = FinIborSingleCurveOLD(valuation_date,
depos,
fras,
swaps)
df = libor_curve.df(settlement_date)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settlement_date), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = libor_curve.df(deposit._maturity_date)
testCases.print(str(deposit._maturity_date), df)
for swap in swaps:
df = libor_curve.df(swap._maturity_date)
testCases.print(str(swap._maturity_date), df)
def test_FinIborDepositsFuturesSwaps():
spotDate = Date(6, 6, 2018)
spotDays = 0
settlement_date = spotDate.addWeekDays(spotDays)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
depo = FinIborDeposit(settlement_date, "3M", deposit_rate, depoDCCType)
depos.append(depo)
deposit_rate = 0.027
depo = FinIborDeposit(settlement_date, "3M", deposit_rate, depoDCCType)
depos.append(depo)
depos = []
depo = FinIborDeposit(settlement_date, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlement_date, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlement_date, "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
start_date = spotDate.addWeekDays(spotDays)
swaps = []
fixed_legType = FinSwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_E_360
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
floatFreqType = FrequencyTypes.QUARTERLY
notional = 1000000
principal = 0.0
floatSpread = 0.0
floatDCCType = DayCountTypes.ACT_360
calendar_type = CalendarTypes.US
busDayAdjustRule = BusDayAdjustTypes.PRECEDING
swap_rate = 0.02776305
swap = FinIborSwapOLD(start_date, "2Y", fixed_legType, swap_rate,
fixedFreqType, fixedDCCType, notional,
floatSpread, floatFreqType, floatDCCType,
calendar_type, busDayAdjustRule)
swaps.append(swap)
libor_curve = FinIborSingleCurveOLD(spotDate, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spotDate.addYears(times)
zeroRates = libor_curve.zeroRate(dates)
fwd_rates = libor_curve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zeroRates*100, label="zero rates")
plt.plot(times, fwd_rates*100, label="fwd rates")
plt.xlabel("Times")
plt.ylabel("CC forward rates")
plt.legend()
print("==============================================================")
for fra in fras:
print(fra)
print("==============================================================")
end_date = spotDate
df = libor_curve.df(end_date)
print(end_date, df)
end_date = settlement_date
df = libor_curve.df(end_date)
print(end_date, df)
end_date = Date(20, 6, 2018)
df = libor_curve.df(end_date)
print(end_date, df)
for depo in depos:
end_date = depo._maturity_date
df = libor_curve.df(end_date)
print(end_date, df)
for fra in fras:
end_date = fra._maturity_date
df = libor_curve.df(end_date)
print(end_date, df)
for swap in swaps:
end_date = swap._maturity_date
df = libor_curve.df(end_date)
print(end_date, df)
swap.printFixedLegPV(spotDate)
swap.printFloatLegPV(spotDate)
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()