def test_bermudan_option(self):
asof_date = '5/8/2015'
data = [{
'MaturityDate': '1/15/2016',
'ObjectId': 'BermudanOption',
'OptionType': 'Call',
'Strike': 130,
'PricingEngine': "->BermudanEngine",
"ListOfDate": ['11/15/2015', '12/15/2015', '1/15/2016'],
'Template': 'Instrument.Derivative.BermudanOption'
}, {
'AsOfDate': asof_date,
'Basis': 'ACTUAL/365Fixed',
'Calendar': 'UnitedStates',
'DiscountRate': 0.001,
'DividendRate': 0.0163,
'ObjectId': 'BSMProcess',
'Spot': 127.62,
'Template': 'Process.Equity.BlackScholesMerton',
'Volatility': 0.20
}, {
'GeneralBlackScholesProcess': '->BSMProcess',
'ObjectId': 'BermudanEngine',
'Template': 'Engine.Equity.FdBermudan'
}]
controller = Controller(data)
controller.process(asof_date)
option = controller.object("BermudanOption")
npv = option.NPV()
self.assertAlmostEqual(npv, 6.808761233089867)
def test_bermudan_option(self):
asof_date = '5/8/2015'
data = [
{'MaturityDate': '1/15/2016',
'ObjectId': 'BermudanOption',
'OptionType': 'Call',
'Strike': 130,
'PricingEngine': "->BermudanEngine",
"ListOfDate": ['11/15/2015','12/15/2015','1/15/2016'],
'Template': 'Instrument.Derivative.BermudanOption'},
{'AsOfDate': asof_date,
'Basis': 'ACTUAL/365Fixed',
'Calendar': 'UnitedStates',
'DiscountRate': 0.001,
'DividendRate': 0.0163,
'ObjectId': 'BSMProcess',
'Spot': 127.62,
'Template': 'Process.Equity.BlackScholesMerton',
'Volatility': 0.20},
{'GeneralBlackScholesProcess': '->BSMProcess',
'ObjectId': 'BermudanEngine',
'Template': 'Engine.Equity.FdBermudan'}
]
controller = Controller(data)
controller.process(asof_date)
option = controller.object("BermudanOption")
npv = option.NPV()
self.assertAlmostEqual(npv, 6.808761233089867)
def test_swaption_helpers(self):
asof_date = "7/5/2016"
data = [
{
F.FORWARD_RATE.id: 0.01,
F.ASOF_DATE.id: asof_date,
F.DISCOUNT_BASIS.id: "30/360",
F.CURRENCY.id: "USD",
F.OBJECT_ID.id: "USD.Flat.Curve",
F.TEMPLATE.id: T.TS_YIELD_FLAT
},
{
F.TEMPLATE.id: T.INDEX_IBOR_USDLIBOR.id,
F.TENOR.id: "3M",
F.OBJECT_ID.id: "USDLibor3M",
F.YIELD_CURVE.id: "->USD.Flat.Curve"
},
{
F.TEMPLATE.id: T.INSTRUMENT_DERIVATIVE_SWAPTION_HELPER.id,
F.MATURITY_TENOR.id: "1Y",
F.UNDERLYING_MATURITY_TENOR.id: "5Y",
F.DISCOUNT_CURVE.id: "->USD.Flat.Curve",
F.VOLATILITY.id: 0.15,
F.OBJECT_ID.id: "SWPN1",
F.CURRENCY.id: "USD",
F.INDEX.id: "->USDLibor3M"
}
]
res = Controller(data)
res.process(asof_date)
swpn = res.object("SWPN1")
self.assertIsInstance(swpn, ql.SwaptionHelper)
def test_us_bond_curve(self):
res = Controller([self._bond_data])
asof_date = qlc.to_date(self._bond_data[F.ASOF_DATE.id])
res.process(asof_date)
curve = res.object("Curve")
self.assertIsInstance(curve, ql.YieldTermStructure)
tenors = range(0,13,1) + [60, 90, 120, 240, 300, 359, 360]
# reference
vals = [1,0.999818753,0.999586047,0.999330996,0.998969924,0.998519955,0.998012046,
0.997480698,0.996973715,0.996446467,0.995819544,0.995147323,0.994527808,
0.94416047,0.895823056,0.848952274,0.654149304,0.553888921,0.459284189,
0.458072534]
# last observed
vals = [1.0, 0.9998187481880838, 0.9995860408491943, 0.9993309911166345, 0.998969919388518, 0.9985199520192828,
0.9980120452385237, 0.9974638785194306, 0.9969737149981466, 0.9964464679686021, 0.9957564702629885,
0.9951473260058783, 0.9945282870008731, 0.9440478657964286, 0.8958540539792529, 0.8489512443374962,
0.6541478087480587, 0.553887387818232, 0.45928271508412133, 0.45770699043771784]
calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
for i, t in enumerate(tenors):
p = ql.Period(t, ql.Months)
d = calendar.advance(asof_date, ql.Period(t, ql.Months),ql.ModifiedFollowing)
o = curve.discount(d)
v = vals[i]
self.assertAlmostEqual(o, v, 15, msg="("+str(t)+","+str(d)+","+str(o)+","+str(v)+")")
def test_graph_dependency(self):
res = Controller(self._bond_data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
curve = res.object("USD.Bond.Curve")
self.assertIsInstance(curve, ql.YieldTermStructure)
bond = res.object("Inst1")
price = bond.cleanPrice()
self.assertEqual(price, 99.98642361111114)
return
def test_duplicate_id_error(self):
data = self._bond_data + [self._bond_data[-1]]
error = ""
try:
res = Controller(data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
except ValueError as e:
error = e.message
self.assertEqual(error, 'Duplicate ObjectId BondEngine found')
return
def test_duplicate_id_error(self):
data = self._bond_data + [self._bond_data[-1]]
error = ""
try:
res = Controller(data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
except ValueError as e:
error = e.message
self.assertEqual(error, 'Duplicate ObjectId BondEngine found')
return
def test_dependency_cycles_err(self):
data = copy.deepcopy(self._bond_data)
data[-1]['DiscountCurve'] = "->Inst2"
error = ""
try:
res = Controller(data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
except ValueError as e:
error = e.message
self.assertEqual(error, "Found cycles in dependencies [['Inst2', 'BondEngine']]")
return
def test_datatype_check_err(self):
data = copy.deepcopy(self._bond_data)
data[-2]['PricingEngine'] = "->USD.Bond.Curve"
error = ""
try:
res = Controller(data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
except ValueError as e:
error = e.message
self.assertEqual(error, 'Incompatible data type for field PricingEngine in object Inst3')
return
def test_vol_curve(self):
asof_date = "8/15/2016"
data = [{
'AsOfDate': asof_date,
'Basis': "ACT/ACT",
'ListOfDate': ["8/15/2017", "8/15/2018", "8/15/2019"],
'ListOfVolatility': [0.45, 0.45, 0.45],
'ObjectId': "BlackVolCurve",
'Template': 'TermStructure.Volatility.BlackCurve'
}]
c = Controller(data)
c.process(asof_date)
obj = c.object("BlackVolCurve")
self.assertIsInstance(obj, ql.BlackVarianceCurve)
def test_dependency_cycles_err(self):
data = copy.deepcopy(self._bond_data)
data[-1]['DiscountCurve'] = "->Inst2"
error = ""
try:
res = Controller(data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
except ValueError as e:
error = e.message
self.assertEqual(
error, "Found cycles in dependencies [['Inst2', 'BondEngine']]")
return
def test_constant_vol(self):
asof_date = "8/15/2016"
data = [{
'AsOfDate': "8/15/2016",
'Basis': "ACT/ACT",
'Calendar': "UnitedStates",
'ObjectId': "BlackConstantVol",
'Template': "TermStructure.Volatility.BlackConstant",
'Volatility': 0.45
}]
c = Controller(data)
c.process(asof_date)
obj = c.object("BlackConstantVol")
self.assertIsInstance(obj, ql.BlackConstantVol)
def test_constant_vol(self):
asof_date = "8/15/2016"
data =[
{'AsOfDate': "8/15/2016",
'Basis': "ACT/ACT",
'Calendar': "UnitedStates",
'ObjectId': "BlackConstantVol",
'Template': "TermStructure.Volatility.BlackConstant",
'Volatility': 0.45}
]
c = Controller(data)
c.process(asof_date)
obj = c.object("BlackConstantVol")
self.assertIsInstance(obj, ql.BlackConstantVol)
def test_vol_curve(self):
asof_date = "8/15/2016"
data = [
{'AsOfDate': asof_date,
'Basis': "ACT/ACT",
'ListOfDate': ["8/15/2017", "8/15/2018","8/15/2019"],
'ListOfVolatility': [0.45, 0.45, 0.45],
'ObjectId': "BlackVolCurve",
'Template': 'TermStructure.Volatility.BlackCurve'}
]
c = Controller(data)
c.process(asof_date)
obj = c.object("BlackVolCurve")
self.assertIsInstance(obj, ql.BlackVarianceCurve)
def test_datatype_check_err(self):
data = copy.deepcopy(self._bond_data)
data[-2]['PricingEngine'] = "->USD.Bond.Curve"
error = ""
try:
res = Controller(data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
except ValueError as e:
error = e.message
self.assertEqual(
error,
'Incompatible data type for field PricingEngine in object Inst3')
return
def test_vol_surface(self):
asof_date = "8/15/2016"
data = [
{'Basis': 'ACT/ACT',
'Calendar': 'UnitedStates',
'ListOfDate': ["8/15/2017", "8/15/2018","8/15/2019"],
'ListOfListOfVolatility': [["0.45", "0.45"], ["0.45","0.45"], ["0.45", "0.45"]],
'ListOfStrike': ["100", "110"],
'ObjectId': 'BlackVolSurface',
'AsOfDate': asof_date,
'Template': 'TermStructure.Volatility.BlackSurface'}
]
c = Controller(data)
c.process(asof_date)
obj = c.object("BlackVolSurface")
self.assertIsInstance(obj, ql.BlackVarianceSurface)
def test_flat_forward(self):
asof_date = "7/22/2016"
data = [{
F.FORWARD_RATE.id: 0.01,
F.ASOF_DATE.id: asof_date,
F.DISCOUNT_BASIS.id: "30/360",
F.CURRENCY.id: "USD",
F.OBJECT_ID.id: "USD.Flat.Curve",
F.TEMPLATE.id: T.TS_YIELD_FLAT
}]
res = Controller(data)
res.process(asof_date)
curve = res.object("USD.Flat.Curve")
observed = [curve.discount(d) for d in [0.0, 0.25, 0.5, 1.0]]
expected = [1.0, 0.99750312239746, 0.9950124791926824, 0.9900498337491681]
self.assertListEqual(observed, expected)
def test_dependency_cycles_err(self):
data = copy.deepcopy(self._bond_data)
data[-1]['DiscountCurve'] = "->Inst2"
error = ""
try:
res = Controller(data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
except ValueError as e:
error = e.args[0]
# Error message is indeterministic could be either of the below
# [['Inst2', 'BondEngine']]
# [['BondEngine', 'BondEngine']]
self.assertTrue(error.startswith("Found cycles in dependencies "))
self.assertTrue("'Inst2'" in error)
self.assertTrue("'BondEngine'" in error)
def test_context(self):
curve_data = [self._bond_data[0]]
rest_data = self._bond_data[1:]
res = Controller(curve_data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
context = res.data
res = Controller(rest_data, context=context)
res.process(asof_date)
bond = res.object("Inst1")
price = bond.cleanPrice()
self.assertEqual(price, 99.98642361111114)
return
def test_us_bond_curve(self):
res = Controller([self._bond_data])
asof_date = qlc.to_date(self._bond_data[F.ASOF_DATE.id])
res.process(asof_date)
curve = res.object("Curve")
self.assertIsInstance(curve, ql.YieldTermStructure)
tenors = range(0,13,1) + [60, 90, 120, 240, 300, 359, 360]
vals = [1.0, 0.995463027383, 0.944034654878, 0.895839444646, 0.848938836737, 0.654147091,
0.553886881, 0.459282459, 0.458070805]
calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
for t in tenors:
p = ql.Period(t, ql.Months)
d = calendar.advance(asof_date, ql.Period(t, ql.Months),ql.ModifiedFollowing)
o = curve.discount(d)
#self.assertAlmostEqual(o, v, 10, msg="("+str(t)+","+str(d)+","+str(o)+","+str(v)+")")
print t, d, o
def test_us_bond_curve(self):
res = Controller([self._bond_data])
asof_date = qlc.to_date(self._bond_data[F.ASOF_DATE.id])
res.process(asof_date)
curve = res.object("Curve")
self.assertIsInstance(curve, ql.YieldTermStructure)
tenors = list(range(0,13,1)) + [60, 90, 120, 240, 300, 359, 360]
vals = [1.0, 0.995463027383, 0.944034654878, 0.895839444646, 0.848938836737, 0.654147091,
0.553886881, 0.459282459, 0.458070805]
calendar = ql.UnitedStates(ql.UnitedStates.GovernmentBond)
for t in tenors:
p = ql.Period(t, ql.Months)
d = calendar.advance(asof_date, ql.Period(t, ql.Months),ql.ModifiedFollowing)
o = curve.discount(d)
#self.assertAlmostEqual(o, v, 10, msg="("+str(t)+","+str(d)+","+str(o)+","+str(v)+")")
print(t, d, o)
def test_eur_libor(self):
asof_date = "8/15/2016"
data = [{
F.FORWARD_RATE.id: 0.01,
F.ASOF_DATE.id: asof_date,
F.DISCOUNT_BASIS.id: "30/360",
F.CURRENCY.id: "EUR",
F.OBJECT_ID.id: "EUR.Flat.Curve",
F.TEMPLATE.id: T.TS_YIELD_FLAT
}, {
F.TEMPLATE.id: T.INDEX_IBOR_EURLIBOR.id,
F.TENOR.id: "3M",
F.OBJECT_ID.id: "EURLibor3M",
F.YIELD_CURVE.id: "->EUR.Flat.Curve"
}]
res = Controller(data)
res.process(asof_date)
index = res.object("EURLibor3M")
self.assertIsInstance(index, ql.EURLibor)
def test_discount_curve(self):
data = {
"ListOfDate": ["7/5/2016", "8/1/2016", "9/1/2016", "10/1/2016"],
"ListOfDiscountFactor": [1.0, 0.99, 0.98, 0.97],
"DiscountBasis": "30/360",
'Template': 'TermStructure.Yield.DiscountCurve',
"Currency": "USD",
"ObjectId": "Curve",
"DiscountCalendar": "UnitedStates.GovernmentBond"
}
res = Controller([data])
asof_date = qlc.to_date("7/5/2016")
res.process(asof_date)
dcurve = res.object("Curve")
data2 = res.object_data("Curve")
observed = [dcurve.discount(d) for d in data2["ListOfDate"]]
expected = data["ListOfDiscountFactor"]
self.assertListEqual(observed, expected)
def test_zero_curve(self):
data = {
"ListOfDate": ["7/5/2016", "8/1/2016", "9/1/2016", "10/1/2016"],
"ListOfZeroRate": [0.0, 0.001,0.002, 0.003],
"DiscountBasis": "30/360",
'Template': 'TermStructure.Yield.ZeroCurve',
"Currency": "USD",
"ObjectId": "Curve",
"DiscountCalendar": "UnitedStates.GovernmentBond"
}
res = Controller([data])
asof_date = qlc.to_date("7/5/2016")
ret = res.process(asof_date)
zcurve = res.object("Curve")
data2 = res.object_data("Curve")
observed = [zcurve.discount(d) for d in data2["ListOfDate"]]
expected = [1.0, 0.9999277803857397, 0.9996889372789323, 0.9992835900775519]
self.assertListEqual(observed, expected)
def test_zero_curve(self):
data = {
"ListOfDate": ["7/5/2016", "8/1/2016", "9/1/2016", "10/1/2016"],
"ListOfZeroRate": [0.0, 0.001,0.002, 0.003],
"DiscountBasis": "30/360",
'Template': 'TermStructure.Yield.ZeroCurve',
"Currency": "USD",
"ObjectId": "Curve",
"DiscountCalendar": "UnitedStates.GovernmentBond"
}
res = Controller([data])
asof_date = qlc.to_date("7/5/2016")
ret = res.process(asof_date)
zcurve = res.object("Curve")
data2 = res.object_data("Curve")
observed = [zcurve.discount(d) for d in data2["ListOfDate"]]
expected = [1.0, 0.9999277803857397, 0.9996889372789323, 0.9992835900775519]
self.assertListEqual(observed, expected)
def test_vol_surface(self):
asof_date = "8/15/2016"
data = [{
'Basis':
'ACT/ACT',
'Calendar':
'UnitedStates',
'ListOfDate': ["8/15/2017", "8/15/2018", "8/15/2019"],
'ListOfListOfVolatility': [["0.45", "0.45"], ["0.45", "0.45"],
["0.45", "0.45"]],
'ListOfStrike': ["100", "110"],
'ObjectId':
'BlackVolSurface',
'AsOfDate':
asof_date,
'Template':
'TermStructure.Volatility.BlackSurface'
}]
c = Controller(data)
c.process(asof_date)
obj = c.object("BlackVolSurface")
self.assertIsInstance(obj, ql.BlackVarianceSurface)
def test_hw1f_model(self):
asof_date = "7/5/2016"
data = [
{
F.FORWARD_RATE.id: 0.01,
F.ASOF_DATE.id: asof_date,
F.DISCOUNT_BASIS.id: "30/360",
F.CURRENCY.id: "USD",
F.OBJECT_ID.id: "USD.Flat.Curve",
F.TEMPLATE.id: T.TS_YIELD_FLAT
},
{
F.TEMPLATE.id: T.MODEL_YIELD_HW1F,
F.ALPHA.id: 0.1,
F.SIGMA1.id: 0.05,
F.OBJECT_ID.id: "HW1FModel",
F.YIELD_CURVE.id: "->USD.Flat.Curve",
F.CURRENCY.id: "USD"
}]
res = Controller(data)
res.process(asof_date)
model = res.object("HW1FModel")
params = list(model.params())
self.assertListEqual(params, [0.1, 0.05])
def test_context(self):
curve_data = [self._bond_data[0]]
rest_data = self._bond_data[1:]
res = Controller(curve_data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
context = res.data
res = Controller(rest_data, context=context)
res.process(asof_date)
bond = res.object("Inst1")
price = bond.cleanPrice()
self.assertEqual(price, 99.98642361111114)
return
def test_graph_dependency(self):
res = Controller(self._bond_data)
asof_date = qlc.to_date(self._bond_data[0][Field.ASOF_DATE.id])
res.process(asof_date)
curve = res.object("USD.Bond.Curve")
self.assertIsInstance(curve, ql.YieldTermStructure)
bond = res.object("Inst1")
price = bond.cleanPrice()
self.assertEqual(price, 99.98642361111114)
return
def test_discount_curve(self):
data = {
"ListOfDate": ["7/5/2016", "8/1/2016", "9/1/2016", "10/1/2016"],
"ListOfDiscountFactor": [1.0, 0.99, 0.98, 0.97],
"DiscountBasis": "30/360",
'Template': 'TermStructure.Yield.DiscountCurve',
"Currency": "USD",
"ObjectId": "Curve",
"DiscountCalendar": "UnitedStates.GovernmentBond"
}
res = Controller([data])
asof_date = qlc.to_date("7/5/2016")
res.process(asof_date)
dcurve = res.object("Curve")
data2 = res.object_data("Curve")
observed = [dcurve.discount(d) for d in data2["ListOfDate"]]
expected = data["ListOfDiscountFactor"]
self.assertListEqual(observed, expected)
F.CURRENCY.id: "USD",
F.TEMPLATE.id: T.TS_YIELD_ZERO,
F.OBJECT_ID.id: "USD.Zero.Curve"},
{
F.OBJECT_ID.id: "BondEngine",
F.DISCOUNT_CURVE.id: "->USD.Zero.Curve",
F.TEMPLATE.id: T.ENG_BOND_DISCOUNTING.id},
{
F.ASOF_DATE.id: '2016-01-15',
F.COUPON.id: 0.06,
F.COUPON_FREQ.id: "Semiannual",
F.CURRENCY.id: 'USD',
F.PAYMENT_BASIS.id: '30/360',
F.ISSUE_DATE.id: '2015-01-15',
F.MATURITY_DATE.id: '2016-01-15',
F.ACCRUAL_CALENDAR.id: "UnitedStates",
F.ACCRUAL_DAY_CONVENTION.id: "Unadjusted",
F.DATE_GENERATION.id: "Backward",
F.END_OF_MONTH.id: False,
F.OBJECT_ID.id: "USD.TBond",
F.PRICING_ENGINE.id: "->BondEngine",
F.TEMPLATE.id: T.INST_BOND_TBOND.id}
]
res = Controller(data)
asof_date = "1/15/2015"
ret = res.process(asof_date)
tbond = res.object("USD.TBond")
print tbond.NPV()
def test_swaption_hw1f_calibration(self):
asof_date = "7/5/2016"
data = [
{
F.FORWARD_RATE.id: 0.01,
F.ASOF_DATE.id: asof_date,
F.DISCOUNT_BASIS.id: "30/360",
F.CURRENCY.id: "USD",
F.OBJECT_ID.id: "USD.Flat.Curve",
F.TEMPLATE.id: T.TS_YIELD_FLAT
},
{
F.TEMPLATE.id: T.INDEX_IBOR_USDLIBOR.id,
F.TENOR.id: "3M",
F.OBJECT_ID.id: "USDLibor3M",
F.YIELD_CURVE.id: "->USD.Flat.Curve"
},
{
F.TEMPLATE.id: T.MODEL_YIELD_HW1F,
F.OBJECT_ID.id: "HW1FModel",
F.YIELD_CURVE.id: "->USD.Flat.Curve",
F.CURRENCY.id: "USD",
F.SOLVER.id: "LEASTSQUARES",
F.CALIBRATE.id: "True",
F.INSTRUMENT_COLLECTION.id: [
{
F.TEMPLATE.id: T.INSTRUMENT_DERIVATIVE_SWAPTION_HELPER.id,
F.MATURITY_TENOR.id: "1Y",
F.UNDERLYING_MATURITY_TENOR.id: "5Y",
F.DISCOUNT_CURVE.id: "->USD.Flat.Curve",
F.VOLATILITY.id: 0.15,
F.OBJECT_ID.id: "SWPN1",
F.CURRENCY.id: "USD",
F.INDEX.id: "->USDLibor3M"
},
{
F.TEMPLATE.id: T.INSTRUMENT_DERIVATIVE_SWAPTION_HELPER.id,
F.MATURITY_TENOR.id: "2Y",
F.UNDERLYING_MATURITY_TENOR.id: "4Y",
F.DISCOUNT_CURVE.id: "->USD.Flat.Curve",
F.VOLATILITY.id: 0.16,
F.OBJECT_ID.id: "SWPN2",
F.CURRENCY.id: "USD",
F.INDEX.id: "->USDLibor3M"
},
{
F.TEMPLATE.id: T.INSTRUMENT_DERIVATIVE_SWAPTION_HELPER.id,
F.MATURITY_TENOR.id: "3Y",
F.UNDERLYING_MATURITY_TENOR.id: "3Y",
F.DISCOUNT_CURVE.id: "->USD.Flat.Curve",
F.VOLATILITY.id: 0.17,
F.OBJECT_ID.id: "SWPN3",
F.CURRENCY.id: "USD",
F.INDEX.id: "->USDLibor3M"
},
{
F.TEMPLATE.id: T.INSTRUMENT_DERIVATIVE_SWAPTION_HELPER.id,
F.MATURITY_TENOR.id: "4Y",
F.UNDERLYING_MATURITY_TENOR.id: "1Y",
F.DISCOUNT_CURVE.id: "->USD.Flat.Curve",
F.VOLATILITY.id: 0.1432,
F.OBJECT_ID.id: "SWPN4",
F.CURRENCY.id: "USD",
F.INDEX.id: "->USDLibor3M"
}
]
}
]
methods = ["LM", "LeastSquares", "DifferentialEvolution"]
for m in methods:
data[-1][F.SOLVER.id] = m
res = Controller(data)
res.process(asof_date)
model = res.object("HW1FModel")
#print model.params()
self.assertIsInstance(model, ql.HullWhite)
# check constraints
data[-1][F.ALPHA.id] = 0.001
for m in methods[1:]:
data[-1][F.SOLVER.id] = m
res = Controller(data)
res.process(asof_date)
model = res.object("HW1FModel")
alpha, sigma1 = model.params()
self.assertAlmostEqual(alpha, 0.001, 10)
self.assertIsInstance(model, ql.HullWhite)
F.CURRENCY.id: "USD",
F.TEMPLATE.id: T.TS_YIELD_ZERO,
F.OBJECT_ID.id: "USD.Zero.Curve"
}, {
F.OBJECT_ID.id: "BondEngine",
F.DISCOUNT_CURVE.id: "->USD.Zero.Curve",
F.TEMPLATE.id: T.ENGINE_BOND_DISCOUNTING.id
}, {
F.ASOF_DATE.id: '2016-01-15',
F.COUPON.id: 0.06,
F.COUPON_FREQ.id: "Semiannual",
F.CURRENCY.id: 'USD',
F.PAYMENT_BASIS.id: '30/360',
F.ISSUE_DATE.id: '2015-01-15',
F.MATURITY_DATE.id: '2016-01-15',
F.ACCRUAL_CALENDAR.id: "UnitedStates",
F.ACCRUAL_DAY_CONVENTION.id: "Unadjusted",
F.DATE_GENERATION.id: "Backward",
F.END_OF_MONTH.id: False,
F.OBJECT_ID.id: "USD.TBond",
F.PRICING_ENGINE.id: "->BondEngine",
F.TEMPLATE.id: T.INSTRUMENT_BOND_TBOND.id
}]
res = Controller(data)
asof_date = "1/15/2015"
ret = res.process(asof_date)
tbond = res.object("USD.TBond")
print tbond.NPV()
