def test_EURIBOR6M_initiation(initialize_test):
tts = ql.Period(2, ql.Days)
tte = ql.Period(10, ql.Years)
swap = IRS(100, tts, tte, SwapDirection.PAYER, InterestRateIndex.EURIBOR6M)
swap.get_price()
swap.get_fixed_rate()
swap.get_delta()
def test_get_bumped_copy():
bumpsize = 0.01
option = IRS(notional = 100000,
timeToSwapStart=ql.Period(1, ql.Years),
timeToSwapEnd=ql.Period(5, ql.Years),
swapDirection=SwapDirection.PAYER,
index=InterestRateIndex.EURIBOR6M,
fixed_rate=0.01)
option_copy = option.get_bumped_copy(bumpsize)
assert option_copy.notional == option.notional * (1 + bumpsize)
assert approx(option_copy.get_price(), abs=0.000001) == option.get_price() * (1 + bumpsize)
asdf = 1
for option_sensi, option_copy_sensi in zip(option.get_simm_sensis(), option_copy.get_simm_sensis()):
assert approx(float(option_sensi['amountUSD']) * (1 + bumpsize), abs=0.000001) == float(
option_copy_sensi['amountUSD'])
def test_syncing_and_desyncing():
ca = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.SIMM)
ca.link_sa_ccr_instance(SA_CCR(ca))
trade1 = EquityOption(maturity=ql.Period(1, ql.Years),
strike=EquitySpot.ADS.value.value() - 5)
trade2 = IRS(notional=100,
timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.EURIBOR6M,
fixed_rate=0.00)
trade3 = IRS(notional=100,
timeToSwapStart=ql.Period(2, ql.Days),
timeToSwapEnd=ql.Period(1, ql.Years),
swapDirection=SwapDirection.RECEIVER,
index=InterestRateIndex.USDLIBOR3M,
fixed_rate=0.01)
ca.add_trades(trade1)
ca.sync_im_model = False
assert ca.vm_model.trades == [trade1]
assert ca.im_model.trades == [trade1]
ca.add_trades(trade2)
assert ca.vm_model.trades == [trade1, trade2]
assert ca.im_model.trades == [trade1]
ca.sync_im_model = True
assert ca.im_model.trades == [trade1, trade2]
ca.add_trades(trade3)
assert ca.vm_model.trades == [trade1, trade2, trade3]
assert ca.im_model.trades == [trade1, trade2, trade3]
# now check if the calculations also add up at least for VM
ca = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.NO_IM)
ca.link_sa_ccr_instance(SA_CCR(ca))
npv_1 = fxConvert(trade1.currency, Currency.USD, trade1.get_price())
npv_2 = fxConvert(trade2.currency, Currency.USD, trade2.get_price())
npv_3 = fxConvert(trade3.currency, Currency.USD, trade3.get_price())
ca.add_trades(trade1)
ca.sync_vm_model = False
assert ca.get_C() == ca.get_vm_model().get_vm() == npv_1 != 0
ca.add_trades(trade2)
assert ca.get_C() == npv_1
ca.sync_vm_model = True
assert ca.get_C() == npv_1 + npv_2
ca.add_trades(trade3)
assert ca.get_C() == npv_1 + npv_2 + npv_3
# a few sanity checks for SA_CCR
ca = CollateralAgreement(margining=Margining.MARGINED,
initialMargining=InitialMargining.SIMM)
local_sa_ccr_model = SA_CCR(ca)
ca.link_sa_ccr_instance(local_sa_ccr_model)
assert local_sa_ccr_model.get_ead() == 0
ca.add_trades(trade1)
ca.sync_im_model = False
ca.sync_vm_model = False
test_value = local_sa_ccr_model.get_ead()
assert test_value > 0
assert local_sa_ccr_model.trades == [trade1]
ca.add_trades(trade2)
test_value_2 = local_sa_ccr_model.get_ead()
assert ca.vm_model.trades == [trade1]
assert ca.im_model.trades == [trade1]
ca.sync_vm_model = True
ca.sync_im_model = True
ca.sync_sa_ccr_model = True
test_value_3 = local_sa_ccr_model.get_ead()
assert test_value_2 != test_value_3
assert local_sa_ccr_model.trades == [trade1, trade2]
assert ca.vm_model.trades == [trade1, trade2]
assert ca.im_model.trades == [trade1, trade2]
ca.add_trades(trade3)
test_value_4 = local_sa_ccr_model.get_ead()
assert test_value_4 != test_value_3
assert local_sa_ccr_model.trades == [trade1, trade2, trade3]
assert ca.vm_model.trades == [trade1, trade2, trade3]
assert ca.im_model.trades == [trade1, trade2, trade3]