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)
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)
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)
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])
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])