Пример #1
0
def test_fullPriceCDS():

    liborCurve, issuerCurve = buildFullIssuerCurve(0.0, 0.0)

    # This is the 10 year contract at an off market coupon
    maturityDate = FinDate(2029, 6, 20)
    cdsCoupon = 0.0150
    notional = ONE_MILLION
    longProtection = False
    tradeDate = FinDate(2019, 8, 9)
    valuationDate = tradeDate.addDays(1)
    effectiveDate = valuationDate

    cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional,
                         longProtection)

    cdsRecovery = 0.40

    print("LABEL", "VALUE")
    spd = cdsContract.parSpread(valuationDate, issuerCurve,
                                cdsRecovery) * 10000.0
    print("PAR_SPREAD", spd)

    v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    print("FULL_VALUE", v[0])
    print("CLEAN_VALUE", v[1])

    p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
    print("CLEAN_PRICE", p)

    accruedDays = cdsContract.accruedDays()
    print("ACCRUED_DAYS", accruedDays)

    accruedInterest = cdsContract.accruedInterest()
    print("ACCRUED_COUPON", accruedInterest)

    protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve,
                                         cdsRecovery)
    print("PROTECTION_PV", protPV)

    premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
    print("PREMIUM_PV", premPV)

    fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
    print("FULL_RPV01", fullRPV01)
    print("CLEAN_RPV01", cleanRPV01)

    bump = 1.0 / 10000.0  # 1 bp

    liborCurve, issuerCurve = buildFullIssuerCurve(bump, 0)
    v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    dv = v_bump[0] - v[0]
    print("CREDIT_DV01", dv)

    # Interest Rate Bump
    liborCurve, issuerCurve = buildFullIssuerCurve(0, bump)
    v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    dv = v_bump[0] - v[0]
    print("INTEREST_DV01", dv)
Пример #2
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def test_valueCDSIndex():

    # We treat an index as a CDS contract with a flat CDS curve
    tradeDate = FinDate(2006, 2, 7)
    liborCurve = buildIborCurve(tradeDate)
    issuerCurve = buildIssuerCurve(tradeDate, liborCurve)
    stepInDate = tradeDate.addDays(1)
    valuationDate = stepInDate
    maturityDate = FinDate(2010, 6, 20)

    cdsRecovery = 0.40
    notional = 10.0 * ONE_MILLION
    longProtection = True
    indexCoupon = 0.004

    cdsIndexContract = FinCDS(stepInDate,
                              maturityDate,
                              indexCoupon,
                              notional,
                              longProtection)

#    cdsIndexContract.print(valuationDate)

    testCases.header("LABEL", "VALUE")

    spd = cdsIndexContract.parSpread(
        valuationDate, issuerCurve, cdsRecovery) * 10000.0
    testCases.print("PAR SPREAD", spd)

    v = cdsIndexContract.value(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("FULL VALUE", v['full_pv'])
    testCases.print("CLEAN VALUE", v['clean_pv'])

    p = cdsIndexContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("CLEAN PRICE", p)

    accruedDays = cdsIndexContract.accruedDays()
    testCases.print("ACCRUED DAYS", accruedDays)

    accruedInterest = cdsIndexContract.accruedInterest()
    testCases.print("ACCRUED COUPON", accruedInterest)

    protPV = cdsIndexContract.protectionLegPV(
        valuationDate, issuerCurve, cdsRecovery)
    testCases.print("PROTECTION LEG PV", protPV)

    premPV = cdsIndexContract.premiumLegPV(
        valuationDate, issuerCurve, cdsRecovery)
    testCases.print("PREMIUM LEG PV", premPV)

    fullRPV01, cleanRPV01 = cdsIndexContract.riskyPV01(
        valuationDate, issuerCurve)
    testCases.print("FULL  RPV01", fullRPV01)
    testCases.print("CLEAN RPV01", cleanRPV01)
Пример #3
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def test_fullPriceCDSwaption():

    # This reproduces example on page 38 of Open Gamma note on CDS Option
    tradeDate = FinDate(2014, 2, 5)
    _, issuerCurve = buildFullIssuerCurve(tradeDate)
    stepInDate = tradeDate.addDays(1)
    valuationDate = stepInDate
    expiryDate = FinDate(2014, 3, 20)
    maturityDate = FinDate(2019, 6, 20)

    cdsRecovery = 0.40
    notional = 100.0
    longProtection = False
    cdsCoupon = 0.0  # NOT KNOWN

    cdsContract = FinCDS(stepInDate,
                         maturityDate,
                         cdsCoupon,
                         notional,
                         longProtection)

    testCases.banner(
        "=============================== CDS ===============================")
#    cdsContract.print(valuationDate)

    testCases.header("LABEL", "VALUE")
    spd = cdsContract.parSpread(
        valuationDate,
        issuerCurve,
        cdsRecovery) * 10000.0
    testCases.print("PAR SPREAD:", spd)

    v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("FULL VALUE", v['full_pv'])
    testCases.print("CLEAN VALUE", v['clean_pv'])

    p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("CLEAN PRICE", p)

    accruedDays = cdsContract.accruedDays()
    testCases.print("ACCRUED DAYS", accruedDays)

    accruedInterest = cdsContract.accruedInterest()
    testCases.print("ACCRUED COUPON", accruedInterest)

    protPV = cdsContract.protectionLegPV(
        valuationDate, issuerCurve, cdsRecovery)
    testCases.print("PROTECTION LEG PV", protPV)

    premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("PREMIUM LEG PV", premPV)

    fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
    testCases.print("FULL  RPV01", fullRPV01)
    testCases.print("CLEAN RPV01", cleanRPV01)

#    cdsContract.printFlows(issuerCurve)

    testCases.banner(
        "=========================== FORWARD CDS ===========================")

    cdsContract = FinCDS(expiryDate,
                         maturityDate,
                         cdsCoupon,
                         notional,
                         longProtection)

#    cdsContract.print(valuationDate)

    spd = cdsContract.parSpread(
        valuationDate,
        issuerCurve,
        cdsRecovery) * 10000.0
    testCases.print("PAR SPREAD", spd)

    v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("FULL VALUE", v['full_pv'])
    testCases.print("CLEAN VALUE", v['clean_pv'])

    protPV = cdsContract.protectionLegPV(
        valuationDate, issuerCurve, cdsRecovery)
    testCases.print("PROTECTION LEG PV", protPV)

    premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("PREMIUM LEG PV", premPV)

    fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
    testCases.print("FULL  RPV01", fullRPV01)
    testCases.print("CLEAN RPV01", cleanRPV01)

#    cdsContract.printFlows(issuerCurve)

    testCases.banner(
        "========================== CDS OPTIONS ============================")

    cdsCoupon = 0.01
    volatility = 0.3
    testCases.print("Expiry Date:", str(expiryDate))
    testCases.print("Maturity Date:", str(maturityDate))
    testCases.print("CDS Coupon:", cdsCoupon)

    testCases.header("STRIKE", "FULL VALUE", "IMPLIED VOL")

    for strike in np.linspace(100, 300, 41):

        cdsOption = FinCDSOption(expiryDate,
                                 maturityDate,
                                 strike / 10000.0,
                                 notional)

        v = cdsOption.value(valuationDate,
                            issuerCurve,
                            volatility)

        vol = cdsOption.impliedVolatility(valuationDate,
                                          issuerCurve,
                                          v)

        testCases.print(strike, v, vol)
Пример #4
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def test_fullPriceCDSModelCheck():

    testCases.print("Example", "MARKIT CHECK 19 Aug 2020")

    liborCurve, issuerCurve = buildFullIssuerCurve2(0.0, 0.0)

    # This is the 10 year contract at an off market coupon
    maturityDate = FinDate(20, 6, 2025)
    cdsCoupon = 0.050
    notional = ONE_MILLION
    longProtection = True
    tradeDate = FinDate(20, 8, 2020)
    effectiveDate = FinDate(21, 8, 2020)
    valuationDate = tradeDate

    cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional,
                         longProtection)

    cdsRecovery = 0.40

    testCases.header("LABEL", "VALUE")
    spd = cdsContract.parSpread(valuationDate, issuerCurve,
                                cdsRecovery) * 10000.0
    testCases.print("PAR_SPREAD", spd)

    v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("FULL_VALUE", v['full_pv'])
    testCases.print("CLEAN_VALUE", v['clean_pv'])

    p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("CLEAN_PRICE", p)

    accruedDays = cdsContract.accruedDays()
    testCases.print("ACCRUED_DAYS", accruedDays)

    accruedInterest = cdsContract.accruedInterest()
    testCases.print("ACCRUED_COUPON", accruedInterest)

    protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve,
                                         cdsRecovery)
    testCases.print("PROTECTION_PV", protPV)

    premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("PREMIUM_PV", premPV)

    rpv01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
    testCases.print("FULL_RPV01", rpv01['full_rpv01'])
    testCases.print("CLEAN_RPV01", rpv01['clean_rpv01'])

    creditDV01 = cdsContract.creditDV01(valuationDate, issuerCurve,
                                        cdsRecovery)
    testCases.print("CREDIT DV01", creditDV01)

    interestDV01 = cdsContract.interestDV01(valuationDate, issuerCurve,
                                            cdsRecovery)
    testCases.print("INTEREST DV01", interestDV01)

    # Consider fast approximation
    t = (maturityDate - valuationDate) / gDaysInYear
    z = liborCurve.df(maturityDate)
    r = -np.log(z) / t

    mktSpread = 0.01
    v_approx = cdsContract.valueFastApprox(valuationDate, r, mktSpread,
                                           cdsRecovery)

    testCases.header("FAST VALUATIONS", "VALUE")

    testCases.print("FULL APPROX VALUE", v_approx[0])
    testCases.print("CLEAN APPROX VALUE", v_approx[1])
    testCases.print("APPROX CREDIT DV01", v_approx[2])
    testCases.print("APPROX INTEREST DV01", v_approx[3])
Пример #5
0
def test_fullPriceCDS1():

    mktSpread = 0.040

    testCases.header("Example", "Markit 9 Aug 2019")

    liborCurve, issuerCurve = buildFullIssuerCurve1(0.0, 0.0)

    # This is the 10 year contract at an off market coupon
    maturityDate = FinDate(2029, 6, 20)
    cdsCoupon = 0.0150
    notional = ONE_MILLION
    longProtection = False
    tradeDate = FinDate(2019, 8, 9)
    valuationDate = tradeDate.addDays(1)
    effectiveDate = valuationDate

    cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional,
                         longProtection)

    cdsRecovery = 0.40

    testCases.header("LABEL", "VALUE")
    spd = cdsContract.parSpread(valuationDate, issuerCurve,
                                cdsRecovery) * 10000.0
    testCases.print("PAR_SPREAD", spd)

    v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("FULL_VALUE", v['full_pv'])
    testCases.print("CLEAN_VALUE", v['clean_pv'])

    p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("CLEAN_PRICE", p)

    accruedDays = cdsContract.accruedDays()
    testCases.print("ACCRUED_DAYS", accruedDays)

    accruedInterest = cdsContract.accruedInterest()
    testCases.print("ACCRUED_COUPON", accruedInterest)

    protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve,
                                         cdsRecovery)
    testCases.print("PROTECTION_PV", protPV)

    premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery)
    testCases.print("PREMIUM_PV", premPV)

    fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve)
    testCases.print("FULL_RPV01", fullRPV01)
    testCases.print("CLEAN_RPV01", cleanRPV01)

    # cdsContract.printFlows(issuerCurve)

    bump = 1.0 / 10000.0  # 1 bp

    liborCurve, issuerCurve = buildFullIssuerCurve1(bump, 0)
    v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    dv = v_bump['full_pv'] - v['full_pv']
    testCases.print("CREDIT_DV01", dv)

    # Interest Rate Bump
    liborCurve, issuerCurve = buildFullIssuerCurve1(0, bump)
    v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery)
    dv = v_bump['full_pv'] - v['full_pv']
    testCases.print("INTEREST_DV01", dv)

    t = (maturityDate - valuationDate) / gDaysInYear
    z = liborCurve.df(maturityDate)
    r = -np.log(z) / t

    v_approx = cdsContract.valueFastApprox(valuationDate, r, mktSpread,
                                           cdsRecovery)

    testCases.print("FULL APPROX VALUE", v_approx[0])
    testCases.print("CLEAN APPROX VALUE", v_approx[1])
    testCases.print("APPROX CREDIT DV01", v_approx[2])
    testCases.print("APPROX INTEREST DV01", v_approx[3])