def test_FinFlatCurve():
curveDate = FinDate(1, 1, 2019)
months = range(1, 60, 3)
dates = curveDate.addMonths(months)
testCases.header("COMPOUNDING", "DFS")
compounding = FinFrequencyTypes.CONTINUOUS
flatCurve = FinDiscountCurveFlat(curveDate, 0.05, compounding)
dfs = flatCurve.df(dates)
testCases.print(compounding, dfs)
compounding = FinFrequencyTypes.ANNUAL
flatCurve = FinDiscountCurveFlat(curveDate, 0.05, compounding)
dfs = flatCurve.df(dates)
testCases.print(compounding, dfs)
compounding = FinFrequencyTypes.SEMI_ANNUAL
flatCurve = FinDiscountCurveFlat(curveDate, 0.05, compounding)
dfs = flatCurve.df(dates)
testCases.print(compounding, dfs)
compounding = FinFrequencyTypes.QUARTERLY
flatCurve = FinDiscountCurveFlat(curveDate, 0.05, compounding)
dfs = flatCurve.df(dates)
testCases.print(compounding, dfs)
compounding = FinFrequencyTypes.MONTHLY
flatCurve = FinDiscountCurveFlat(curveDate, 0.05, compounding)
dfs = flatCurve.df(dates)
testCases.print(compounding, dfs)
def test_FinBondOptionZEROVOLConvergence():
# Build discount curve
settlementDate = FinDate(1, 12, 2019) # CHANGED
rate = 0.05
discountCurve = FinDiscountCurveFlat(settlementDate, rate,
FinFrequencyTypes.ANNUAL)
# Bond details
issueDate = FinDate(1, 9, 2015)
maturityDate = FinDate(1, 9, 2025)
coupon = 0.06
freqType = FinFrequencyTypes.ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, freqType, accrualType)
# Option Details
expiryDate = settlementDate.addTenor("18m") # FinDate(1, 12, 2021)
# print("EXPIRY:", expiryDate)
face = 100.0
dfExpiry = discountCurve.df(expiryDate)
spotCleanValue = bond.cleanPriceFromDiscountCurve(settlementDate,
discountCurve)
fwdCleanValue = bond.cleanPriceFromDiscountCurve(expiryDate, discountCurve)
# print("BOND SpotCleanBondPx", spotCleanValue)
# print("BOND FwdCleanBondPx", fwdCleanValue)
# print("BOND Accrued:", bond._accruedInterest)
spotCleanValue = bond.cleanPriceFromDiscountCurve(settlementDate,
discountCurve)
testCases.header("STRIKE", "STEPS", "CALL_INT", "CALL_INT_PV", "CALL_EUR",
"CALL_AMER", "PUT_INT", "PUT_INT_PV", "PUT_EUR",
"PUT_AMER")
numTimeSteps = range(100, 1000, 200)
strikePrices = [90, 100, 110, 120]
for strikePrice in strikePrices:
callIntrinsic = max(spotCleanValue - strikePrice, 0)
putIntrinsic = max(strikePrice - spotCleanValue, 0)
callIntrinsicPV = max(fwdCleanValue - strikePrice, 0) * dfExpiry
putIntrinsicPV = max(strikePrice - fwdCleanValue, 0) * dfExpiry
for numSteps in numTimeSteps:
sigma = 0.0000001
model = FinModelRatesBDT(sigma, numSteps)
optionType = FinOptionTypes.EUROPEAN_CALL
bondOption1 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
v1 = bondOption1.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.AMERICAN_CALL
bondOption2 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
v2 = bondOption2.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.EUROPEAN_PUT
bondOption3 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
v3 = bondOption3.value(settlementDate, discountCurve, model)
optionType = FinOptionTypes.AMERICAN_PUT
bondOption4 = FinBondOption(bond, expiryDate, strikePrice, face,
optionType)
v4 = bondOption4.value(settlementDate, discountCurve, model)
testCases.print(strikePrice, numSteps, callIntrinsic,
callIntrinsicPV, v1, v2, putIntrinsic,
putIntrinsicPV, v3, v4)
def test_HullWhiteCallableBond():
# Valuation of a European option on a coupon bearing bond
settlementDate = FinDate(1, 12, 2019)
issueDate = FinDate(1, 12, 2018)
maturityDate = settlementDate.addTenor("10Y")
coupon = 0.05
frequencyType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
bond = FinBond(issueDate, maturityDate, coupon, frequencyType, accrualType)
couponTimes = []
couponFlows = []
cpn = bond._coupon / bond._frequency
for flowDate in bond._flowDates[1:]:
if flowDate > settlementDate:
flowTime = (flowDate - settlementDate) / gDaysInYear
couponTimes.append(flowTime)
couponFlows.append(cpn)
couponTimes = np.array(couponTimes)
couponFlows = np.array(couponFlows)
###########################################################################
# Set up the call and put times and prices
###########################################################################
callDates = []
callPrices = []
callPx = 120.0
callDates.append(settlementDate.addTenor("2Y"))
callPrices.append(callPx)
callDates.append(settlementDate.addTenor("3Y"))
callPrices.append(callPx)
callDates.append(settlementDate.addTenor("4Y"))
callPrices.append(callPx)
callDates.append(settlementDate.addTenor("5Y"))
callPrices.append(callPx)
callDates.append(settlementDate.addTenor("6Y"))
callPrices.append(callPx)
callDates.append(settlementDate.addTenor("7Y"))
callPrices.append(callPx)
callDates.append(settlementDate.addTenor("8Y"))
callPrices.append(callPx)
callTimes = []
for dt in callDates:
t = (dt - settlementDate) / gDaysInYear
callTimes.append(t)
putDates = []
putPrices = []
putPx = 98.0
putDates.append(settlementDate.addTenor("2Y"))
putPrices.append(putPx)
putDates.append(settlementDate.addTenor("3Y"))
putPrices.append(putPx)
putDates.append(settlementDate.addTenor("4Y"))
putPrices.append(putPx)
putDates.append(settlementDate.addTenor("5Y"))
putPrices.append(putPx)
putDates.append(settlementDate.addTenor("6Y"))
putPrices.append(putPx)
putDates.append(settlementDate.addTenor("7Y"))
putPrices.append(putPx)
putDates.append(settlementDate.addTenor("8Y"))
putPrices.append(putPx)
putTimes = []
for dt in putDates:
t = (dt - settlementDate) / gDaysInYear
putTimes.append(t)
###########################################################################
tmat = (maturityDate - settlementDate) / gDaysInYear
curve = FinDiscountCurveFlat(settlementDate, 0.05,
FinFrequencyTypes.CONTINUOUS)
dfs = []
times = []
for dt in bond._flowDates:
if dt > settlementDate:
t = (dt - settlementDate) / gDaysInYear
df = curve.df(dt)
times.append(t)
dfs.append(df)
dfs = np.array(dfs)
times = np.array(times)
###########################################################################
v1 = bond.cleanPriceFromDiscountCurve(settlementDate, curve)
sigma = 0.02 # basis point volatility
a = 0.01
# Test convergence
numStepsList = [100, 200, 300, 400, 500, 600, 700, 800, 900, 1000]
tmat = (maturityDate - settlementDate) / gDaysInYear
testCases.header("NUMSTEPS", "BOND_ONLY", "CALLABLE_BOND", "TIME")
for numTimeSteps in numStepsList:
start = time.time()
model = FinModelRatesHW(sigma, a, numTimeSteps)
model.buildTree(tmat, times, dfs)
v2 = model.callablePuttableBond_Tree(couponTimes, couponFlows,
callTimes, callPrices, putTimes,
putPrices, 100.0)
end = time.time()
period = end - start
testCases.print(numTimeSteps, v1, v2, period)