def test_FinIborFRAsOnly():
# TO DO FIX THIS
valuation_date = Date(23, 2, 2018)
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
depoDCCType = DayCountTypes.ACT_360
notional = 100.0
payFixed = True
calendar_type = CalendarTypes.TARGET
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlement_date.add_months(1)
fraMaturityDate = settlement_date.add_months(4)
fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendar_type)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.08
fraSettlementDate = settlement_date.add_months(4)
fraMaturityDate = settlement_date.add_months(7)
fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate,
depoDCCType, notional, payFixed, calendar_type)
fras.append(fra)
depos = []
swaps = []
libor_curve = IborSingleCurve(valuation_date,
depos,
fras,
swaps)
testCases.header("DATE", "MATDATE", "VALUE")
""" Check calibration """
for fra in fras:
v = fra.value(settlement_date, libor_curve)
testCases.print("FRA:", fra._maturity_date, v)
def test_FinOISDepositsFRAsSwaps():
valuation_date = Date(18, 9, 2019)
dccType = DayCountTypes.THIRTY_E_360_ISDA
depos = []
spot_days = 0
settleDt = valuation_date.add_weekdays(spot_days)
depoDCCType = DayCountTypes.ACT_360
notional = 100.0
calendar_type = CalendarTypes.TARGET
depos = []
# 1 month
deposit_rate = 0.04
maturity_date = settleDt.add_months(1)
depo = IborDeposit(settleDt, maturity_date, deposit_rate, depoDCCType,
notional, calendar_type)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
frasettleDt = settleDt.add_months(9)
fraMaturityDate = settleDt.add_months(13)
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
frasettleDt = settleDt.add_months(13)
fraMaturityDate = settleDt.add_months(17)
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
frasettleDt = settleDt.add_months(17)
fraMaturityDate = settleDt.add_months(21)
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
swap_rate = 0.05
# maturity_date = settleDt.add_months(24)
# swap = IborSwap(settleDt, maturity_date, swap_rate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixed_leg_type = Finfixed_leg_types.PAY
maturity_date = settleDt.add_months(36)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(48)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(60)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(72)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(84)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(96)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(108)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(120)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(132)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(144)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(180)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(240)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(300)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settleDt.add_months(360)
swap = OIS(settleDt, maturity_date, fixed_leg_type, swap_rate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
libor_curve = OISCurve(valuation_date, depos, fras, swaps)
df = libor_curve.df(settleDt)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settleDt), 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_FinOISDepositsFuturesSwaps():
spot_date = Date(6, 6, 2018)
spot_days = 0
settleDt = spot_date.add_weekdays(spot_days)
depoDCCType = DayCountTypes.THIRTY_E_360_ISDA
depo = IborDeposit(settleDt, "1D", 1.712 / 100.0, depoDCCType)
depos = [depo]
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
frasettleDt = spot_date.next_imm_date()
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
frasettleDt = fraMaturityDate
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
frasettleDt = frasettleDt.next_imm_date()
fraMaturityDate = frasettleDt.next_imm_date()
fra = IborFRA(frasettleDt, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spot_days = 2
start_date = spot_date.add_weekdays(spot_days)
swaps = []
fixed_leg_type = SwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_E_360
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
floatFreqType = FrequencyTypes.QUARTERLY
notional = 1000000
float_spread = 0.0
floatDCCType = DayCountTypes.ACT_360
calendar_type = CalendarTypes.US
busDayAdjustRule = BusDayAdjustTypes.PRECEDING
swap_rate = 0.02776305
payment_lag = 1
swap = OIS(start_date, "2Y", fixed_leg_type, swap_rate, fixedFreqType,
fixedDCCType, notional, payment_lag, float_spread,
floatFreqType, floatDCCType, calendar_type, busDayAdjustRule)
swaps.append(swap)
libor_curve = OISCurve(spot_date, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spot_date.add_years(times)
zero_rates = libor_curve.zero_rate(dates)
fwd_rates = libor_curve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zero_rates * 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 = spot_date
df = libor_curve.df(end_date)
print(end_date, df)
end_date = settleDt
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 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.print_fixed_leg_pv(spot_date)
swap.print_float_leg_pv(spot_date)
def test_ibor_depositsFRAsSwaps():
valuation_date = Date(18, 9, 2019)
dccType = DayCountTypes.THIRTY_E_360_ISDA
depos = []
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
deposit_rate = 0.050
maturity_date = settlement_date.add_months(1)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.add_months(2)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.add_months(3)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.add_months(6)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.add_months(9)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
maturity_date = settlement_date.add_months(12)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlement_date.add_months(9)
fraMaturityDate = settlement_date.add_months(13)
fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlement_date.add_months(13)
fraMaturityDate = settlement_date.add_months(17)
fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlement_date.add_months(17)
fraMaturityDate = settlement_date.add_months(21)
fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.SEMI_ANNUAL
swap_rate = 0.05
# maturity_date = settlement_date.add_months(24)
# swap = IborSwapOLD(settlement_date, maturity_date, swap_rate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
fixed_leg_type = SwapTypes.PAY
maturity_date = settlement_date.add_months(36)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(48)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(60)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(72)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(84)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(96)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(108)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(120)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(132)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(144)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(180)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(240)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(300)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreqType, fixedDCCType)
swaps.append(swap)
maturity_date = settlement_date.add_months(360)
swap = IborSwapOLD(settlement_date, maturity_date, fixed_leg_type,
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 buildIborSingleCurve(valuation_date):
settlement_date = valuation_date.add_days(2)
dcType = DayCountTypes.ACT_360
depos = []
fras = []
swaps = []
maturity_date = settlement_date.add_months(1)
depo1 = IborDeposit(valuation_date, maturity_date, -0.00251, dcType)
depos.append(depo1)
# Series of 1M futures
start_date = settlement_date.next_imm_date()
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.0023, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00234, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00225, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00226, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00219, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00213, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00186, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00189, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00175, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00143, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00126, dcType)
fras.append(fra)
start_date = start_date.add_months(1)
end_date = start_date.add_months(1)
fra = IborFRA(start_date, end_date, -0.00126, dcType)
fras.append(fra)
###########################################################################
###########################################################################
###########################################################################
###########################################################################
fixedFreq = FrequencyTypes.ANNUAL
dcType = DayCountTypes.THIRTY_E_360
fixed_leg_type = SwapTypes.PAY
#######################################
maturity_date = settlement_date.add_months(24)
swap_rate = -0.001506
swap1 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap1)
#######################################
maturity_date = settlement_date.add_months(36)
swap_rate = -0.000185
swap2 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap2)
#######################################
maturity_date = settlement_date.add_months(48)
swap_rate = 0.001358
swap3 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap3)
#######################################
maturity_date = settlement_date.add_months(60)
swap_rate = 0.0027652
swap4 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap4)
#######################################
maturity_date = settlement_date.add_months(72)
swap_rate = 0.0041539
swap5 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap5)
#######################################
maturity_date = settlement_date.add_months(84)
swap_rate = 0.0054604
swap6 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap6)
#######################################
maturity_date = settlement_date.add_months(96)
swap_rate = 0.006674
swap7 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap7)
#######################################
maturity_date = settlement_date.add_months(108)
swap_rate = 0.007826
swap8 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap8)
#######################################
maturity_date = settlement_date.add_months(120)
swap_rate = 0.008821
swap9 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate,
fixedFreq, dcType)
swaps.append(swap9)
#######################################
maturity_date = settlement_date.add_months(132)
swap_rate = 0.0097379
swap10 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap10)
#######################################
maturity_date = settlement_date.add_months(144)
swap_rate = 0.0105406
swap11 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap11)
#######################################
maturity_date = settlement_date.add_months(180)
swap_rate = 0.0123927
swap12 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap12)
#######################################
maturity_date = settlement_date.add_months(240)
swap_rate = 0.0139882
swap13 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap13)
#######################################
maturity_date = settlement_date.add_months(300)
swap_rate = 0.0144972
swap14 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap14)
#######################################
maturity_date = settlement_date.add_months(360)
swap_rate = 0.0146081
swap15 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap15)
#######################################
maturity_date = settlement_date.add_months(420)
swap_rate = 0.01461897
swap16 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap16)
#######################################
maturity_date = settlement_date.add_months(480)
swap_rate = 0.014567455
swap17 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap17)
#######################################
maturity_date = settlement_date.add_months(540)
swap_rate = 0.0140826
swap18 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap18)
#######################################
maturity_date = settlement_date.add_months(600)
swap_rate = 0.01436822
swap19 = IborSwap(settlement_date, maturity_date, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap19)
########################################
libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps)
testCases.header("LABEL", "DATE", "VALUE")
""" Check calibration """
for depo in depos:
v = depo.value(settlement_date, libor_curve)
testCases.print("DEPO VALUE:", depo._maturity_date, v)
for fra in fras:
v = fra.value(settlement_date, libor_curve)
testCases.print("FRA VALUE:", fra._maturity_date, v)
for swap in swaps:
v = swap.value(settlement_date, libor_curve)
testCases.print("SWAP VALUE:", swap._maturity_date, v)
return libor_curve
def test_swapValuationExample():
# Example from
# https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve
vBloomberg = 388147
valuation_date = Date(30, 11, 2018)
start_date = Date(27, 12, 2017)
maturity_date = Date(27, 12, 2067)
notional = 10 * ONE_MILLION
fixed_leg_type = SwapTypes.RECEIVE
fixedRate = 0.0150
fixedDCCType = DayCountTypes.THIRTY_360_BOND
fixedFreqType = FrequencyTypes.ANNUAL
float_spread = 0.0
floatDCCType = DayCountTypes.ACT_360
floatFreqType = FrequencyTypes.SEMI_ANNUAL
offMarketSwap = IborSwap(start_date, maturity_date, fixed_leg_type,
fixedRate, fixedFreqType, fixedDCCType, notional,
float_spread, floatFreqType, floatDCCType)
interp_type = InterpTypes.LINEAR_ZERO_RATES
depoDCCType = DayCountTypes.ACT_360
depos = []
###########################################################################
# MARKET
###########################################################################
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
depo = IborDeposit(settlement_date, "6M", -0.2510 / 100.0, depoDCCType)
depos.append(depo)
fras = []
fraDCCType = DayCountTypes.ACT_360
fra = IborFRA(settlement_date.add_tenor("1M"), "6M", -0.2450 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("2M"), "6M", -0.2435 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("3M"), "6M", -0.2400 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("4M"), "6M", -0.2360 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("5M"), "6M", -0.2285 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("6M"), "6M", -0.2230 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("7M"), "6M", -0.2110 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("8M"), "6M", -0.1990 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("9M"), "6M", -0.1850 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("10M"), "6M", -0.1680 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("11M"), "6M", -0.1510 / 100.0,
fraDCCType)
fras.append(fra)
fra = IborFRA(settlement_date.add_tenor("12M"), "6M", -0.1360 / 100.0,
fraDCCType)
fras.append(fra)
swaps = []
fixed_leg_type = SwapTypes.PAY
fixedDCCType = DayCountTypes.THIRTY_360_BOND
fixedFreqType = FrequencyTypes.ANNUAL
swap = IborSwap(settlement_date, "2Y", fixed_leg_type, -0.1525 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "3Y", fixed_leg_type, -0.0185 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "4Y", fixed_leg_type, 0.1315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "5Y", fixed_leg_type, 0.2745 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "6Y", fixed_leg_type, 0.4135 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "7Y", fixed_leg_type, 0.5439 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "8Y", fixed_leg_type, 0.6652 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "9Y", fixed_leg_type, 0.7784 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "10Y", fixed_leg_type, 0.8799 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "11Y", fixed_leg_type, 0.9715 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "12Y", fixed_leg_type, 1.0517 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "15Y", fixed_leg_type, 1.2369 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "20Y", fixed_leg_type, 1.3965 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "25Y", fixed_leg_type, 1.4472 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "30Y", fixed_leg_type, 1.4585 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "35Y", fixed_leg_type, 1.4595 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "40Y", fixed_leg_type, 1.4535 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "45Y", fixed_leg_type, 1.4410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = IborSwap(settlement_date, "50Y", fixed_leg_type, 1.4335 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
iborDepos = depos.copy()
iborFras = fras.copy()
ibor_swaps = swaps.copy()
iborCurve = IborSingleCurve(valuation_date, iborDepos, iborFras,
ibor_swaps, interp_type)
v1 = offMarketSwap.value(valuation_date, iborCurve, iborCurve,
-0.268 / 100.0)
testCases.banner("DERISCOPE EXAMPLE REPLICATION")
testCases.header("LABEL", "VALUE")
testCases.print("BBG VALUE", vBloomberg)
testCases.print("FP ONE CURVE VALUE", v1)
###############################################################################
depoDCCType = DayCountTypes.ACT_360
depos = []
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
depo = IborDeposit(settlement_date, "1D", -0.3490 / 100.0, depoDCCType)
depos.append(depo)
fras = []
swaps = []
fixed_leg_type = SwapTypes.PAY
fixedDCCType = DayCountTypes.ACT_365F
fixedFreqType = FrequencyTypes.ANNUAL
# Standard OIS with standard annual terms
swap = OIS(settlement_date, "2W", fixed_leg_type, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "1M", fixed_leg_type, -0.3560 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "2M", fixed_leg_type, -0.3570 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "3M", fixed_leg_type, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "4M", fixed_leg_type, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "5M", fixed_leg_type, -0.3578 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "6M", fixed_leg_type, -0.3580 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "7M", fixed_leg_type, -0.3600 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "8M", fixed_leg_type, -0.3575 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "9M", fixed_leg_type, -0.3569 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "10M", fixed_leg_type, -0.3553 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "11M", fixed_leg_type, -0.3534 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "12M", fixed_leg_type, -0.3496 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "18M", fixed_leg_type, -0.3173 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "2Y", fixed_leg_type, -0.2671 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "30M", fixed_leg_type, -0.2070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "3Y", fixed_leg_type, -0.1410 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "4Y", fixed_leg_type, -0.0060 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "5Y", fixed_leg_type, 0.1285 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "6Y", fixed_leg_type, 0.2590 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "7Y", fixed_leg_type, 0.3830 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "8Y", fixed_leg_type, 0.5020 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "9Y", fixed_leg_type, 0.6140 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "10Y", fixed_leg_type, 0.7160 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "11Y", fixed_leg_type, 0.8070 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "12Y", fixed_leg_type, 0.8890 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "15Y", fixed_leg_type, 1.0790 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "20Y", fixed_leg_type, 1.2460 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "25Y", fixed_leg_type, 1.3055 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "30Y", fixed_leg_type, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "35Y", fixed_leg_type, 1.3315 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "40Y", fixed_leg_type, 1.3300 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
swap = OIS(settlement_date, "50Y", fixed_leg_type, 1.3270 / 100.0,
fixedFreqType, fixedDCCType)
swaps.append(swap)
oisDepos = depos.copy()
oisFras = fras.copy()
oisSwaps = swaps.copy()
# oisCurveFF = FinOISCurve(valuation_date, oisDepos, oisFras, oisSwaps, interp_type)
iborDualCurve = IborDualCurve(valuation_date, oisCurveFF, iborDepos,
iborFras, ibor_swaps, interp_type)