def get_vm(self):
vm = 0
for t in self.trades:
vm += fxConvert(fromCcy=t.currency,
toCcy=self.vm_currency,
amount=t.get_price())
return vm
def get_simm_sensis_equityvol(self):
sensis = []
volHandle = EquityVolatility[self.underlying.name].value
volQuotes = EquityVolatilityQuotes[self.underlying.name].value
p0 = self.get_price()
simmBase2 = self.simmBaseDict.copy()
simmBase2[CrifColumn.Qualifier.value] = EquityStaticData[
self.underlying.name].value[CrifColumn.Qualifier]
simmBase2[CrifColumn.Bucket.value] = EquityStaticData[
self.underlying.name].value[CrifColumn.Bucket]
simmBase2[CrifColumn.RiskType.value] = RiskType.Risk_EquityVol.value
for optionMaturity in volQuotes.optionMaturities:
sensiDict = simmBase2.copy()
volHandle.linkTo(
volQuotes.get_atm_shifted_surface_abs_one_pct(optionMaturity))
amount = self.get_price() - p0
sensiDict[CrifColumn.Label1.value] = periodToLabel1(optionMaturity)
sensiDict[CrifColumn.Amount.value] = '%.10f' % amount
sensiDict[CrifColumn.AmountUSD.value] = '%.10f' % fxConvert(
self.currency, Currency.USD, amount)
sensis.append(sensiDict)
volHandle.linkTo(volQuotes.ql_BlackVarianceSurface)
return sensis
def get_V(self):
if self.sync_sa_ccr_model == False:
raise (Exception(
'Dangerous to call get_V if SA_CCR and CA are not synced.'))
v = 0
for t in self.trades:
v += fxConvert(fromCcy=t.currency,
toCcy=self.margin_currency,
amount=t.get_price())
return v
def get_simm_sensis_fx(self) -> List[Dict]:
sensiList = []
sensiDict = self.simmBaseDict.copy()
sensiDict[CrifColumn.RiskType.value] = RiskType.Risk_FX.value
sensiDict[CrifColumn.Qualifier.value] = self.currency.value
# these are all single currency interest rate trades. Their fx sensi according to ISDA SIMM is 1 per cent of their NPV.
amount = self.get_price() * 0.01
sensiDict[CrifColumn.Amount.value] = '%.10f' % amount
sensiDict[CrifColumn.AmountUSD.value] = '%.10f' % fxConvert(
self.currency, Currency.USD, amount)
sensiList.append(sensiDict)
return sensiList
def get_simm_sensis_ircurve(self, curve: Union[LiborCurve, OisCurve]):
sensiList = []
quotes = InterestRateCurveQuotes[curve.name].value
for period, quote in quotes.items():
sensiDict = self.simmBaseDict.copy()
amount = utilities.sensiCalc.dv01_abs_one_bp([quote], self)
sensiDict[CrifColumn.Amount.value] = '%.10f' % amount
sensiDict[CrifColumn.RiskType.value] = RiskType.Risk_IRCurve.value
sensiDict[CrifColumn.Qualifier.value] = self.currency.name
sensiDict[CrifColumn.Label1.value] = periodToLabel1(period)
sensiDict[CrifColumn.Label2.value] = indexToLabel2[curve.name]
sensiDict[CrifColumn.AmountUSD.value] = '%.10f' % fxConvert(
self.currency, Currency.USD, amount)
sensiList.append(sensiDict)
return sensiList
def get_simm_sensis_equity(self) -> List[Dict]:
sensiList = []
sensiDict = self.simmBaseDict.copy()
sensiDict[CrifColumn.RiskType.value] = RiskType.Risk_Equity.value
sensiDict[CrifColumn.Qualifier.value] = EquityStaticData[
self.underlying.name].value[CrifColumn.Qualifier]
sensiDict[CrifColumn.Bucket.value] = EquityStaticData[
self.underlying.name].value[CrifColumn.Bucket]
quote = EquitySpotQuote[self.underlying.name].value
amount = dv01_rel_one_percent([quote], self)
sensiDict[CrifColumn.Amount.value] = '%.10f' % amount
sensiDict[CrifColumn.AmountUSD.value] = '%.10f' % fxConvert(
self.currency, Currency.USD, amount)
sensiList.append(sensiDict)
return sensiList
def get_simm_sensis_irvol(self):
sensiList = []
indexname = self.underlying_swap.index.name
currency = IRSConventions[indexname].value['Currency']
swvolquotes = SwaptionVolatilityQuotes[currency.name].value
for optionTenor in swvolquotes.optionTenors:
volQuotes = swvolquotes[optionTenor]
amount = 0
for volQuote in volQuotes:
amount += volQuote.value() * fd_simple_quotes([volQuote], self)
sensiDict = self.simmBaseDict.copy()
sensiDict[CrifColumn.Amount.value] = '%.10f' % amount
sensiDict[CrifColumn.RiskType.value] = RiskType.Risk_IRVol.value
sensiDict[CrifColumn.Qualifier.value] = self.currency.name
sensiDict[CrifColumn.Label1.value] = periodToLabel1(optionTenor)
sensiDict[CrifColumn.AmountUSD.value] = '%.10f' % fxConvert(
self.currency, Currency.USD, amount)
sensiList.append(sensiDict)
return sensiList
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]
def test_oneWay():
fxspot = FxSpot.EURUSD.value
eur = 10
usd = fxspot*eur
assert usd == fxConvert(Currency.EUR, Currency.USD, eur)