def test_FinIborDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settlementDate = spotDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depositRate = 0.027
depo = FinIborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depos = []
depo = FinIborDeposit(settlementDate, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinIborDeposit(settlementDate, "3M", 0.0240, depoDCCType)
depos.append(depo)
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
fraSettlementDate = spotDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
fraSettlementDate = fraSettlementDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
startDate = spotDate.addWeekDays(spotDays)
swaps = []
swapType = FinSwapTypes.PAYER
fixedDCCType = FinDayCountTypes.THIRTY_E_360
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
floatFreqType = FinFrequencyTypes.QUARTERLY
notional = 1000000
floatSpread = 0.0
floatDCCType = FinDayCountTypes.ACT_360
calendarType = FinCalendarTypes.US
busDayAdjustRule = FinBusDayAdjustTypes.PRECEDING
swapRate = 0.02776305
swap = FinIborSwap(startDate, "2Y", swapType, swapRate, fixedFreqType,
fixedDCCType, notional, floatSpread, floatFreqType,
floatDCCType, calendarType, busDayAdjustRule)
swaps.append(swap)
liborCurve = FinIborCurve(spotDate, depos, fras, swaps)
times = np.linspace(0.0, 2.0, 25)
dates = spotDate.addYears(times)
zeroRates = liborCurve.zeroRate(dates)
fwdRates = liborCurve.fwd(dates)
if PLOT_GRAPHS:
plt.figure(figsize=(8, 6))
plt.plot(times, zeroRates * 100, label="zero rates")
plt.plot(times, fwdRates * 100, label="fwd rates")
plt.xlabel("Times")
plt.ylabel("CC forward rates")
plt.legend()
print("==============================================================")
for fra in fras:
print(fra)
print("==============================================================")
endDate = spotDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = settlementDate
df = liborCurve.df(endDate)
print(endDate, df)
endDate = FinDate(20, 6, 2018)
df = liborCurve.df(endDate)
print(endDate, df)
for depo in depos:
endDate = depo._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
for fra in fras:
endDate = fra._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
for swap in swaps:
endDate = swap._maturityDate
df = liborCurve.df(endDate)
print(endDate, df)
swap.printFixedLegPV(spotDate)
swap.printFloatLegPV(spotDate)
def buildIborCurve(valueDate):
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
payFixed = FinSwapTypes.PAYER
spotDays = 2
settlementDate = valueDate.addWeekDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo1 = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(3)
depo2 = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(6)
depo3 = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(9)
depo4 = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinIborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swaps = []
swapRate = 0.05
maturityDate = settlementDate.addMonths(24)
swap1 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinIborSwap(settlementDate, maturityDate, swapRate, payFixed,
fixedFreqType, fixedDCCType)
swaps.append(swap9)
liborCurve = FinIborCurve(settlementDate, depos, fras, swaps)
if 1 == 0:
import numpy as np
numSteps = 40
dt = 10 / numSteps
times = np.linspace(0.0, 10.0, numSteps + 1)
df0 = 1.0
for t in times[1:]:
df1 = liborCurve.df(t)
fwd = (df0 / df1 - 1.0) / dt
print(t, df1, fwd)
df0 = df1
return liborCurve
def test_FinIborDepositsFRAsSwaps():
valuationDate = FinDate(2019, 9, 18)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinIborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(9)
fraMaturityDate = settlementDate.addMonths(13)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlementDate.addMonths(13)
fraMaturityDate = settlementDate.addMonths(17)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlementDate.addMonths(17)
fraMaturityDate = settlementDate.addMonths(21)
fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settlementDate.addMonths(24)
# swap = FinIborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
swapType = FinSwapTypes.PAYER
maturityDate = settlementDate.addMonths(36)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinIborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
liborCurve = FinIborCurve(valuationDate, depos, fras, swaps)
df = liborCurve.df(settlementDate)
testCases.header("SETTLEMENT DATE", "DF")
testCases.print(str(settlementDate), df)
testCases.header("DATE", "DF")
for deposit in depos:
df = liborCurve.df(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
for swap in swaps:
df = liborCurve.df(swap._maturityDate)
testCases.print(str(swap._maturityDate), df)
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 = FinIborDeposit(settlementDate, maturityDate, m * 0.001709, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinIborDeposit(settlementDate, maturityDate, m * 0.002123, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinIborDeposit(settlementDate, maturityDate, m * 0.002469, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinIborDeposit(settlementDate, maturityDate, m * 0.003045, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinIborDeposit(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 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002155 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002305 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.002665 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinIborSwap(settlementDate, maturityDate, FinSwapTypes.PAYER,
m * 0.003290 + irBump, fixedFreq, dcType)
swaps.append(swap4)
liborCurve = FinIborCurve(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