def test_FinCDSCurve():
curveDate = FinDate(2018, 12, 20)
swaps = []
depos = []
fras = []
fixedDCC = FinDayCountTypes.ACT_365F
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
fixedCoupon = 0.05
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
swap = FinIborSwap(curveDate, maturityDate, FinSwapTypes.PAYER,
fixedCoupon, fixedFreq, fixedDCC)
swaps.append(swap)
libor_curve = FinIborCurve(curveDate, depos, fras, swaps)
cdsContracts = []
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturityDate, 0.005 + 0.001 * (i - 1))
cdsContracts.append(cds)
issuerCurve = FinCDSCurve(curveDate,
cdsContracts,
libor_curve,
recoveryRate=0.40,
useCache=False)
testCases.header("T", "Q")
n = len(issuerCurve._times)
for i in range(0, n):
testCases.print(issuerCurve._times[i], issuerCurve._values[i])
testCases.header("CONTRACT", "VALUE")
for i in range(1, 11):
maturityDate = curveDate.addMonths(12 * i)
cds = FinCDS(curveDate, maturityDate, 0.005 + 0.001 * (i - 1))
v = cds.value(curveDate, issuerCurve)
testCases.print(i, v)
if 1 == 0:
x = [0.0, 1.2, 1.6, 1.7, 10.0]
qs = issuerCurve.survProb(x)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
qs = issuerCurve.survProb(xx)
print("===>", qs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
dfs = issuerCurve.df(x)
print("===>", dfs)
x = [0.3, 1.2, 1.6, 1.7, 10.0]
xx = np.array(x)
dfs = issuerCurve.df(xx)
print("===>", dfs)
def buildFullIssuerCurve2(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 20 August 2020 SNAP AT 1600
m = 1.0
settlementDate = FinDate(24, 8, 2020)
dcType = FinDayCountTypes.ACT_360
depos = []
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, m * 0.001709, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, m * 0.002123, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, m * 0.002469, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, m * 0.003045, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(settlementDate, maturityDate, m * 0.004449, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002155 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002305 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002665 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.003290 + irBump, fixedFreq, dcType)
swaps.append(swap4)
liborCurve = FinLiborCurve(settlementDate, depos, [], swaps)
cdsCoupon = 0.01 + mktSpreadBump
cdsMarketContracts = []
effectiveDate = FinDate(21, 8, 2020)
cds = FinCDS(effectiveDate, "6M", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "1Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "2Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "3Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "4Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "5Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "7Y", cdsCoupon)
cdsMarketContracts.append(cds)
cds = FinCDS(effectiveDate, "10Y", cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(settlementDate, cdsMarketContracts, liborCurve,
recoveryRate)
testCases.header("DATE", "DISCOUNT_FACTOR", "SURV_PROB")
years = np.linspace(0.0, 10.0, 20)
dates = settlementDate.addYears(years)
for dt in dates:
df = liborCurve.df(dt)
q = issuerCurve.survProb(dt)
testCases.print("%16s" % dt, "%12.8f" % df, "%12.8f" % q)
return liborCurve, issuerCurve
