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 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