def test_create_libor_index(self):
settings = Settings.instance()
# Market information
calendar = UnitedStates(LiborImpact)
# must be a business day
eval_date = calendar.adjust(today())
settings.evaluation_date = eval_date
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
term_structure = YieldTermStructure(relinkable=True)
term_structure.link_to(
FlatForward(settlement_date, 0.05, Actual365Fixed()))
index = Libor('USDLibor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360(), term_structure)
default_libor = USDLibor(Period(6, Months))
for attribute in [
"business_day_convention", "end_of_month", "fixing_calendar",
"joint_calendar", "tenor", "fixing_days", "day_counter",
"family_name", "name"
]:
self.assertEqual(getattr(index, attribute),
getattr(default_libor, attribute))
def setUp(self):
Settings.instance().evaluation_date = Date(26, 5, 2021)
self.basis_point = 1.0e-4
self.settlement_days = 2
self.business_day_convention = Following
self.calendar = TARGET()
self.day_count = Actual365Fixed()
self.end_of_month = False
base_ccy_idx_handle = flat_rate(0.007)
quoted_ccy_idx_handle = flat_rate(0.015)
self.base_ccy_idx = Euribor3M(base_ccy_idx_handle)
self.quote_ccy_idx = USDLibor(
Period(3, Months), quoted_ccy_idx_handle)
self.collateral_ccy_handle = flat_rate(0.009)
# Cross currency basis swaps data source:
# N. Moreni, A. Pallavicini (2015)
# FX Modelling in Collateralized Markets: foreign measures, basis curves
# and pricing formulae.
# section 4.2.1, Table 2.
self.cross_currency_basis_quotes = ((Period(1, Years), -14.5),
(Period(18, Months), -18.5),
(Period(2, Years), -20.5),
(Period(3, Years), -23.75),
(Period(4, Years), -25.5),
(Period(5, Years), -26.5),
(Period(7, Years), -26.75),
(Period(10, Years), -26.25),
(Period(15, Years), -24.75),
(Period(20, Years), -23.25),
(Period(30, Years), -20.50))
def test_creation(self):
settlement_date = Date(1, January, 2014)
term_structure = YieldTermStructure()
term_structure.link_to(
FlatForward(settlement_date, 0.05, Actual365Fixed()))
index = USDLibor(Period(3, Months), term_structure)
self.assertEqual(index.name, 'USDLibor3M Actual/360')
def setUp(self):
self.mean_reversion = SimpleQuote(0.03)
self.volatility = SimpleQuote(0.00714)
self.index = USDLibor(Period(3, Months))
self.quote = SimpleQuote(99.375)
Settings().evaluation_date = Date(13, 10, 2021)
self.fut_quote = FuturesConvAdjustmentQuote(self.index, "Z2",
self.quote,
self.volatility,
self.mean_reversion)
class IndexManagerTestCase(unittest.TestCase):
settlement_date = Date(1, January, 2014)
term_structure = YieldTermStructure()
term_structure.link_to(FlatForward(settlement_date, 0.05,
Actual365Fixed()))
index = USDLibor(Period(3, Months), term_structure)
index.add_fixing(Date(5, 2, 2018), 1.79345)
index.add_fixing(Date(2, 2, 2018), 1.78902)
def test_index_manager_methods(self):
self.assertIn(self.index.name.upper(), IndexManager.histories())
ts = IndexManager.get_history(self.index.name.upper())
self.assertEqual(ts[Date(5, 2, 2018)], 1.79345)
self.assertEqual(ts[Date(2, 2, 2018)], 1.78902)
IndexManager.clear_histories()
self.assertFalse(IndexManager.get_history(self.index.name.upper()))
def test_create_swap_index(self):
term_structure = YieldTermStructure()
term_structure.link_to(
FlatForward(forward=0.05,
daycounter=Actual365Fixed(),
settlement_days=2,
calendar=UnitedStates()))
ibor_index = USDLibor(Period(3, Months), term_structure)
index = SwapIndex('UsdLiborSwapIsdaFixAm', Period(10, Years), 2,
USDCurrency(), UnitedStates(GovernmentBond),
Period(6, Months), ModifiedFollowing, Thirty360(),
ibor_index)
index2 = UsdLiborSwapIsdaFixAm(Period(10, Years), term_structure)
for attr in [
'name', 'family_name', 'fixing_calendar', 'tenor',
'day_counter', 'currency'
]:
self.assertEqual(getattr(index, attr), getattr(index2, attr))
def test_empty_constructor(self):
usdlibor_6m_index = USDLibor(Period(6, Months))
self.assertEqual(usdlibor_6m_index.name, 'USDLibor6M Actual/360')