def test_BDTExampleOne():
# HULL BOOK NOTES
# http://www-2.rotman.utoronto.ca/~hull/technicalnotes/TechnicalNote23.pdf
valuationDate = FinDate(1, 1, 2020)
years = [0.0, 1.0, 2.0, 3.0, 4.0, 5.0]
zeroDates = valuationDate.addYears(years)
zeroRates = [0.00, 0.10, 0.11, 0.12, 0.125, 0.13]
testCases.header("DATES")
testCases.print(zeroDates)
testCases.header("RATES")
testCases.print(zeroRates)
curve = FinDiscountCurveZeros(valuationDate, zeroDates, zeroRates,
FinFrequencyTypes.ANNUAL)
yieldVol = 0.16
numTimeSteps = 5
tmat = years[-1]
dfs = curve.df(zeroDates)
testCases.print("DFS")
testCases.print(dfs)
years = np.array(years)
dfs = np.array(dfs)
model = FinModelRatesBDT(yieldVol, numTimeSteps)
model.buildTree(tmat, years, dfs)
def test_FinDiscountCurveZeros():
startDate = FinDate(1, 1, 2018)
times = np.linspace(1.0, 10.0, 10)
dates = startDate.addYears(times)
zeroRates = np.linspace(5.0, 6.0, 10) / 100
freqType = FinFrequencyTypes.ANNUAL
dayCountType = FinDayCountTypes.ACT_ACT_ISDA
curve = FinDiscountCurveZeros(startDate, dates, zeroRates, freqType,
dayCountType, FinInterpTypes.FLAT_FWD_RATES)
testCases.header("T", "DF")
years = np.linspace(0, 10, 21)
dates = startDate.addYears(years)
for dt in dates:
df = curve.df(dt)
testCases.print(dt, df)
# print(curve)
###############################################################################
numRepeats = 100
start = time.time()
for i in range(0, numRepeats):
freqType = FinFrequencyTypes.ANNUAL
dayCountType = FinDayCountTypes.ACT_ACT_ISDA
dates = [
FinDate(14, 6, 2016),
FinDate(14, 9, 2016),
FinDate(14, 12, 2016),
FinDate(14, 6, 2017),
FinDate(14, 6, 2019),
FinDate(14, 6, 2021),
FinDate(15, 6, 2026),
FinDate(16, 6, 2031),
FinDate(16, 6, 2036),
FinDate(14, 6, 2046)
]
zeroRates = [
0.000000, 0.006616, 0.007049, 0.007795, 0.009599, 0.011203,
0.015068, 0.017583, 0.018998, 0.020080
]
startDate = dates[0]
curve = FinDiscountCurveZeros(startDate, dates, zeroRates, freqType,
dayCountType,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
period = end - start
def test_FinLiborCapFloorQLExample():
valuationDate = FinDate(14, 6, 2016)
dates = [
FinDate(14, 6, 2016),
FinDate(14, 9, 2016),
FinDate(14, 12, 2016),
FinDate(14, 6, 2017),
FinDate(14, 6, 2019),
FinDate(14, 6, 2021),
FinDate(15, 6, 2026),
FinDate(16, 6, 2031),
FinDate(16, 6, 2036),
FinDate(14, 6, 2046)
]
rates = [
0.000000, 0.006616, 0.007049, 0.007795, 0.009599, 0.011203, 0.015068,
0.017583, 0.018998, 0.020080
]
frequencyType = FinFrequencyTypes.ANNUAL
dayCountType = FinDayCountTypes.ACT_ACT_ISDA
discountCurve = FinDiscountCurveZeros(valuationDate, dates, rates,
frequencyType, dayCountType,
FinInterpTypes.LINEAR_ZERO_RATES)
startDate = FinDate(14, 6, 2016)
endDate = FinDate(14, 6, 2026)
calendarType = FinCalendarTypes.US
busDayAdjustType = FinBusDayAdjustTypes.MODIFIED_FOLLOWING
frequencyType = FinFrequencyTypes.QUARTERLY
dateGenRuleType = FinDateGenRuleTypes.FORWARD
lastFixing = 0.0065560
notional = 1000000
dayCountType = FinDayCountTypes.ACT_360
optionType = FinLiborCapFloorTypes.CAP
strikeRate = 0.02
cap = FinLiborCapFloor(startDate, endDate, optionType, strikeRate,
lastFixing, frequencyType, dayCountType, notional,
calendarType, busDayAdjustType, dateGenRuleType)
blackVol = 0.547295
model = FinModelBlack(blackVol)
start = time.time()
numRepeats = 10
for i in range(0, numRepeats):
v = cap.value(valuationDate, discountCurve, model)
end = time.time()
period = end - start
print(v, period / numRepeats)
def test_FinInflationBondStack():
##########################################################################
# https://stackoverflow.com/questions/57676724/failing-to-obtain-correct-accrued-interest-with-quantlib-inflation-bond-pricer-i
##########################################################################
testCases.banner("=============================")
testCases.banner("QUANT FINANCE US TIPS EXAMPLE")
testCases.banner("=============================")
settlementDate = FinDate(23, 8, 2019)
issueDate = FinDate(25, 9, 2013)
maturityDate = FinDate(22, 3, 2068)
coupon = 0.00125
freqType = FinFrequencyTypes.SEMI_ANNUAL
accrualType = FinDayCountTypes.ACT_ACT_ICMA
face = 100.0
baseCPIValue = 249.70
###########################################################################
# Discount curve
discountCurve = FinDiscountCurveFlat(settlementDate,
0.01033692,
FinFrequencyTypes.ANNUAL,
FinDayCountTypes.ACT_ACT_ISDA)
lag = 3
fixingCPI = 244.65884
fixingDate = settlementDate.addMonths(-lag)
###########################################################################
# Create Index Curve
months = range(0, 12, 1)
fixingDates = FinDate(31, 8, 2018).addMonths(months)
fixingRates = [284.2, 284.1, 284.5, 284.6, 285.6, 283.0, 285.0,
285.1, 288.2, 289.2, 289.6, 289.5]
inflationIndex = FinInflationIndexCurve(fixingDates, fixingRates, lag)
print(inflationIndex)
###########################################################################
zciisData = [(FinDate(31,7,2020), 3.1500000000137085),
(FinDate(31,7,2021), 3.547500000013759),
(FinDate(31,7,2022), 3.675000000013573),
(FinDate(31,7,2023), 3.7250000000134342),
(FinDate(31,7,2024), 3.750000000013265),
(FinDate(31,7,2025), 3.7430000000129526),
(FinDate(31,7,2026), 3.741200000012679),
(FinDate(31,7,2027), 3.7337000000123632),
(FinDate(31,7,2028), 3.725000000011902),
(FinDate(31,7,2029), 3.720000000011603),
(FinDate(31,7,2030), 3.712517289063011),
(FinDate(31,7,2031), 3.7013000000108764),
(FinDate(31,7,2032), 3.686986039205209),
(FinDate(31,7,2033), 3.671102614032895),
(FinDate(31,7,2034), 3.655000000009778),
(FinDate(31,7,2035), 3.6394715951305834),
(FinDate(31,7,2036), 3.624362044800966),
(FinDate(31,7,2037), 3.6093619727979087),
(FinDate(31,7,2038), 3.59421438364369),
(FinDate(31,7,2039), 3.5787000000081948),
(FinDate(31,7,2040), 3.5626192748395624),
(FinDate(31,7,2041), 3.545765016376823),
(FinDate(31,7,2042), 3.527943521613608),
(FinDate(31,7,2043), 3.508977137925462),
(FinDate(31,7,2044), 3.48870000000685),
(FinDate(31,7,2045), 3.467083068721011),
(FinDate(31,7,2046), 3.4445738220594935),
(FinDate(31,7,2047), 3.4216470902302065),
(FinDate(31,7,2048), 3.3986861494999188),
(FinDate(31,7,2049), 3.376000000005752),
(FinDate(31,7,2050), 3.3538412080641233),
(FinDate(31,7,2051), 3.3324275806807746),
(FinDate(31,7,2052), 3.311938788306623),
(FinDate(31,7,2053), 3.2925208131865835),
(FinDate(31,7,2054), 3.274293040759302),
(FinDate(31,7,2055), 3.2573541974782794),
(FinDate(31,7,2056), 3.241787355503245),
(FinDate(31,7,2057), 3.227664186159851),
(FinDate(31,7,2058), 3.2150486140060774),
(FinDate(31,7,2059), 3.204000000004159),
(FinDate(31,7,2060), 3.1945334946674064),
(FinDate(31,7,2061), 3.1865047145143377),
(FinDate(31,7,2062), 3.179753073456304),
(FinDate(31,7,2063), 3.1741427790361154),
(FinDate(31,7,2064), 3.1695593261025223),
(FinDate(31,7,2065), 3.1659065919088736),
(FinDate(31,7,2066), 3.163104428386987),
(FinDate(31,7,2067), 3.1610866681252903),
(FinDate(31,7,2068), 3.1597994770515836),
(FinDate(31,7,2069), 3.159200000003204),
(FinDate(31,7,2070), 3.159242349440139),
(FinDate(31,7,2071), 3.1598400898057433),
(FinDate(31,7,2072), 3.16090721831932),
(FinDate(31,7,2073), 3.162369676612098),
(FinDate(31,7,2074), 3.1641636543027207)]
zcDates = []
zcRates = []
for i in range(0, len(zciisData)):
zcDates.append(zciisData[i][0])
zcRates.append(zciisData[i][1]/100.0)
inflationZeroCurve = FinDiscountCurveZeros(settlementDate,
zcDates,
zcRates,
FinFrequencyTypes.ANNUAL,
FinDayCountTypes.ACT_ACT_ISDA)
print(inflationZeroCurve)
###########################################################################
bond = FinInflationBond(issueDate,
maturityDate,
coupon,
freqType,
accrualType,
face,
baseCPIValue)
testCases.header("FIELD", "VALUE")
cleanPrice = 104.03502
yld = bond.currentYield(cleanPrice)
testCases.print("Current Yield = ", yld)
###########################################################################
# Inherited functions that just calculate real yield without CPI adjustments
###########################################################################
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.UK_DMO)
testCases.print("UK DMO REAL Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.US_STREET)
testCases.print("US STREET REAL Yield To Maturity = ", ytm)
ytm = bond.yieldToMaturity(settlementDate,
cleanPrice,
FinYTMCalcType.US_TREASURY)
testCases.print("US TREASURY REAL Yield To Maturity = ", ytm)
fullPrice = bond.fullPriceFromYTM(settlementDate, ytm)
testCases.print("Full Price from REAL YTM = ", fullPrice)
cleanPrice = bond.cleanPriceFromYTM(settlementDate, ytm)
testCases.print("Clean Price from Real YTM = ", cleanPrice)
accddays = bond._accruedDays
testCases.print("Accrued Days = ", accddays)
accd = bond._accruedInterest
testCases.print("REAL Accrued Interest = ", accd)
###########################################################################
# Inflation functions that calculate nominal yield with CPI adjustment
###########################################################################
###########################################################################
cleanPrice = bond.cleanPriceFromYTM(settlementDate, ytm)
testCases.print("Clean Price from Real YTM = ", cleanPrice)
inflationAccd = bond.calcInflationAccruedInterest(settlementDate,
refCPIValue)
testCases.print("Inflation Accrued = ", inflationAccd)
lastCpnCPIValue = 244.61839
cleanPrice = bond.flatPriceFromYieldToMaturity(settlementDate, ytm,
lastCpnCPIValue,
FinYTMCalcType.US_TREASURY)
testCases.print("Flat Price from Real YTM = ", cleanPrice)
principal = bond.inflationPrincipal(settlementDate,
ytm,
refCPIValue,
FinYTMCalcType.US_TREASURY)
testCases.print("Inflation Principal = ", principal)
###########################################################################
duration = bond.dollarDuration(settlementDate, ytm)
testCases.print("Dollar Duration = ", duration)
modifiedDuration = bond.modifiedDuration(settlementDate, ytm)
testCases.print("Modified Duration = ", modifiedDuration)
macauleyDuration = bond.macauleyDuration(settlementDate, ytm)
testCases.print("Macauley Duration = ", macauleyDuration)
conv = bond.convexityFromYTM(settlementDate, ytm)
testCases.print("Convexity = ", conv)
def testFinLiborSwaptionMatlabExamples():
# We value a European swaption using Black's model and try to replicate a
# ML example at https://fr.mathworks.com/help/fininst/swaptionbyblk.html
testCases.header("=======================================")
testCases.header("MATLAB EXAMPLE WITH FLAT TERM STRUCTURE")
testCases.header("=======================================")
valuationDate = FinDate(1, 1, 2010)
liborCurve = FinDiscountCurveFlat(valuationDate, 0.06,
FinFrequencyTypes.CONTINUOUS,
FinDayCountTypes.THIRTY_E_360)
settlementDate = FinDate(1, 1, 2011)
exerciseDate = FinDate(1, 1, 2016)
maturityDate = FinDate(1, 1, 2019)
fixedCoupon = 0.062
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
# Pricing a PAYER
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
model = FinModelBlack(0.20)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 2.071
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("===================================")
testCases.header("MATLAB EXAMPLE WITH TERM STRUCTURE")
testCases.header("===================================")
valuationDate = FinDate(1, 1, 2010)
dates = [
FinDate(1, 1, 2011),
FinDate(1, 1, 2012),
FinDate(1, 1, 2013),
FinDate(1, 1, 2014),
FinDate(1, 1, 2015)
]
zeroRates = [0.03, 0.034, 0.037, 0.039, 0.040]
contFreq = FinFrequencyTypes.CONTINUOUS
interpType = FinInterpTypes.LINEAR_ZERO_RATES
dayCountType = FinDayCountTypes.THIRTY_E_360
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = FinDate(1, 1, 2011)
exerciseDate = FinDate(1, 1, 2012)
maturityDate = FinDate(1, 1, 2017)
fixedCoupon = 0.03
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360
floatFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
floatDayCountType = FinDayCountTypes.THIRTY_E_360
notional = 1000.0
# Pricing a put
swaptionType = FinLiborSwapTypes.RECEIVER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional,
floatFrequencyType, floatDayCountType)
model = FinModelBlack(0.21)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 0.5771
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("===================================")
testCases.header("MATLAB EXAMPLE WITH SHIFTED BLACK")
testCases.header("===================================")
valuationDate = FinDate(1, 1, 2016)
dates = [
FinDate(1, 1, 2017),
FinDate(1, 1, 2018),
FinDate(1, 1, 2019),
FinDate(1, 1, 2020),
FinDate(1, 1, 2021)
]
zeroRates = np.array([-0.02, 0.024, 0.047, 0.090, 0.12]) / 100.0
contFreq = FinFrequencyTypes.ANNUAL
interpType = FinInterpTypes.LINEAR_ZERO_RATES
dayCountType = FinDayCountTypes.THIRTY_E_360
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = FinDate(1, 1, 2016)
exerciseDate = FinDate(1, 1, 2017)
maturityDate = FinDate(1, 1, 2020)
fixedCoupon = -0.003
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
floatFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
floatDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 1000.0
# Pricing a PAYER
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional,
floatFrequencyType, floatDayCountType)
model = FinModelBlackShifted(0.31, 0.008)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 12.8301
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("===================================")
testCases.header("MATLAB EXAMPLE WITH HULL WHITE")
testCases.header("===================================")
# https://fr.mathworks.com/help/fininst/swaptionbyhw.html
valuationDate = FinDate(1, 1, 2007)
dates = [
FinDate(1, 1, 2007),
FinDate(1, 7, 2007),
FinDate(1, 1, 2008),
FinDate(1, 7, 2008),
FinDate(1, 1, 2009),
FinDate(1, 7, 2009),
FinDate(1, 1, 2010),
FinDate(1, 7, 2010),
FinDate(1, 1, 2011),
FinDate(1, 7, 2011),
FinDate(1, 1, 2012)
]
zeroRates = np.array([0.075] * 11)
interpType = FinInterpTypes.FLAT_FORWARDS
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
contFreq = FinFrequencyTypes.SEMI_ANNUAL
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = valuationDate
exerciseDate = FinDate(1, 1, 2010)
maturityDate = FinDate(1, 1, 2012)
fixedCoupon = 0.04
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
swaptionType = FinLiborSwapTypes.RECEIVER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
model = FinModelRatesHW(0.05, 0.01)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 2.9201
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("====================================")
testCases.header("MATLAB EXAMPLE WITH BLACK KARASINSKI")
testCases.header("====================================")
# https://fr.mathworks.com/help/fininst/swaptionbybk.html
valuationDate = FinDate(1, 1, 2007)
dates = [
FinDate(1, 1, 2007),
FinDate(1, 7, 2007),
FinDate(1, 1, 2008),
FinDate(1, 7, 2008),
FinDate(1, 1, 2009),
FinDate(1, 7, 2009),
FinDate(1, 1, 2010),
FinDate(1, 7, 2010),
FinDate(1, 1, 2011),
FinDate(1, 7, 2011),
FinDate(1, 1, 2012)
]
zeroRates = np.array([0.07] * 11)
interpType = FinInterpTypes.FLAT_FORWARDS
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
contFreq = FinFrequencyTypes.SEMI_ANNUAL
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = valuationDate
exerciseDate = FinDate(1, 1, 2011)
maturityDate = FinDate(1, 1, 2012)
fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
model = FinModelRatesBK(0.1, 0.05, 200)
fixedCoupon = 0.07
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 0.3634
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
fixedCoupon = 0.0725
swaptionType = FinLiborSwapTypes.RECEIVER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 0.4798
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
###############################################################################
testCases.header("====================================")
testCases.header("MATLAB EXAMPLE WITH BLACK-DERMAN-TOY")
testCases.header("====================================")
# https://fr.mathworks.com/help/fininst/swaptionbybdt.html
valuationDate = FinDate(1, 1, 2007)
dates = [
FinDate(1, 1, 2007),
FinDate(1, 7, 2007),
FinDate(1, 1, 2008),
FinDate(1, 7, 2008),
FinDate(1, 1, 2009),
FinDate(1, 7, 2009),
FinDate(1, 1, 2010),
FinDate(1, 7, 2010),
FinDate(1, 1, 2011),
FinDate(1, 7, 2011),
FinDate(1, 1, 2012)
]
zeroRates = np.array([0.06] * 11)
interpType = FinInterpTypes.FLAT_FORWARDS
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
contFreq = FinFrequencyTypes.ANNUAL
liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates,
contFreq, dayCountType, interpType)
settlementDate = valuationDate
exerciseDate = FinDate(1, 1, 2012)
maturityDate = FinDate(1, 1, 2015)
fixedFrequencyType = FinFrequencyTypes.ANNUAL
fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
notional = 100.0
fixedCoupon = 0.062
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate,
swaptionType, fixedCoupon, fixedFrequencyType,
fixedDayCountType, notional)
model = FinModelRatesBDT(0.20, 200)
v_finpy = swaption.value(valuationDate, liborCurve, model)
v_matlab = 2.0592
testCases.header("LABEL", "VALUE")
testCases.print("FP Price:", v_finpy)
testCases.print("MATLAB Prix:", v_matlab)
testCases.print("DIFF:", v_finpy - v_matlab)
def test_FinDiscountCurves():
# Create a curve from times and discount factors
valuationDate = FinDate(1, 1, 2018)
years = [1.0, 2.0, 3.0, 4.0, 5.0]
dates = valuationDate.addYears(years)
years2 = []
for dt in dates:
y = (dt - valuationDate) / gDaysInYear
years2.append(y)
rates = np.array([0.05, 0.06, 0.065, 0.07, 0.075])
discountFactors = np.exp(-np.array(rates) * np.array(years2))
curvesList = []
finDiscountCurve = FinDiscountCurve(valuationDate, dates, discountFactors,
FinInterpTypes.FLAT_FORWARDS)
curvesList.append(finDiscountCurve)
finDiscountCurveFlat = FinDiscountCurveFlat(valuationDate, 0.05)
curvesList.append(finDiscountCurveFlat)
finDiscountCurveNS = FinDiscountCurveNS(valuationDate, 0.0305, -0.01, 0.08,
10.0)
curvesList.append(finDiscountCurveNS)
finDiscountCurveNSS = FinDiscountCurveNSS(valuationDate, 0.035, -0.02,
0.09, 0.1, 1.0, 2.0)
curvesList.append(finDiscountCurveNSS)
finDiscountCurvePoly = FinDiscountCurvePoly(valuationDate,
[0.05, 0.002, -0.00005])
curvesList.append(finDiscountCurvePoly)
finDiscountCurvePWF = FinDiscountCurvePWF(valuationDate, dates, rates)
curvesList.append(finDiscountCurvePWF)
finDiscountCurvePWL = FinDiscountCurvePWL(valuationDate, dates, rates)
curvesList.append(finDiscountCurvePWL)
finDiscountCurveZeros = FinDiscountCurveZeros(valuationDate, dates, rates)
curvesList.append(finDiscountCurveZeros)
curveNames = []
for curve in curvesList:
curveNames.append(type(curve).__name__)
testCases.banner("SINGLE CALLS NO VECTORS")
testCases.header("CURVE", "DATE", "ZERO", "DF", "CCFWD", "MMFWD", "SWAP")
years = np.linspace(1, 10, 10)
fwdMaturityDates = valuationDate.addYears(years)
testCases.banner("######################################################")
testCases.banner("SINGLE CALLS")
testCases.banner("######################################################")
for name, curve in zip(curveNames, curvesList):
for fwdMaturityDate in fwdMaturityDates:
tenor = "3M"
zeroRate = curve.zeroRate(fwdMaturityDate)
fwd = curve.fwd(fwdMaturityDate)
fwdRate = curve.fwdRate(fwdMaturityDate, tenor)
swapRate = curve.swapRate(valuationDate, fwdMaturityDate)
df = curve.df(fwdMaturityDate)
testCases.print("%-20s" % name, "%-12s" % fwdMaturityDate,
"%7.6f" % (zeroRate), "%8.7f" % (df),
"%7.6f" % (fwd), "%7.6f" % (fwdRate),
"%7.6f" % (swapRate))
# Examine vectorisation
testCases.banner("######################################################")
testCases.banner("VECTORISATIONS")
testCases.banner("######################################################")
for name, curve in zip(curveNames, curvesList):
tenor = "3M"
zeroRate = curve.zeroRate(fwdMaturityDates)
fwd = curve.fwd(fwdMaturityDates)
fwdRate = curve.fwdRate(fwdMaturityDates, tenor)
swapRate = curve.swapRate(valuationDate, fwdMaturityDates)
df = curve.df(fwdMaturityDates)
for i in range(0, len(fwdMaturityDates)):
testCases.print("%-20s" % name, "%-12s" % fwdMaturityDate,
"%7.6f" % (zeroRate[i]), "%8.7f" % (df[i]),
"%7.6f" % (fwd[i]), "%7.6f" % (fwdRate[i]),
"%7.6f" % (swapRate[i]))
if PLOT_GRAPHS:
years = np.linspace(0, 10, 121)
years2 = years + 1.0
fwdDates = valuationDate.addYears(years)
fwdDates2 = valuationDate.addYears(years2)
plt.figure()
for name, curve in zip(curveNames, curvesList):
zeroRates = curve.zeroRate(fwdDates)
plt.plot(years, zeroRates, label=name)
plt.legend()
plt.title("Zero Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
fwdRates = curve.fwd(fwdDates)
plt.plot(years, fwdRates, label=name)
plt.legend()
plt.title("CC Fwd Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
fwdRates = curve.fwdRate(fwdDates, fwdDates2)
plt.plot(years, fwdRates, label=name)
plt.legend()
plt.title("CC Fwd Rates")
plt.figure()
for name, curve in zip(curveNames, curvesList):
dfs = curve.df(fwdDates)
plt.plot(years, dfs, label=name)
plt.legend()
plt.title("Discount Factors")
