def test_FinFXVanillaOptionBloombergExample():
# Example Bloomberg Pricing at
# https://stackoverflow.com/questions/48778712/fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valueDate = FinDate(13, 2, 2018)
expiryDate = FinDate(15, 2, 2019)
# In BS the FX rate is the price in domestic of one unit of foreign
# In case of EURUSD = 1.3 the domestic currency is USD and foreign is EUR
# DOM = USD , FOR = EUR
forName = "EUR"
domName = "USD"
forDepoRate = 0.05 # EUR
domDepoRate = 0.02 # USD
currencyPair = forName + domName # Always FORDOM
spotFXRate = 1.30
strikeFXRate = 1.3650
volatility = 0.20
spotDays = 0
settlementDate = valueDate.addWorkDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 1000000.0
notionalCurrency = "EUR"
calendarType = FinCalendarTypes.TARGET
depos = []
fras = []
swaps = []
depo = FinLiborDeposit(settlementDate, maturityDate, domDepoRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
domDiscountCurve = FinLiborCurve(forName, settlementDate, depos, fras,
swaps)
depos = []
fras = []
swaps = []
depo = FinLiborDeposit(settlementDate, maturityDate, forDepoRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
forDiscountCurve = FinLiborCurve(domName, settlementDate, depos, fras,
swaps)
model = FinFXModelBlackScholes(volatility)
callOption = FinFXVanillaOption(expiryDate, strikeFXRate, currencyPair,
FinOptionTypes.EUROPEAN_CALL, notional,
notionalCurrency, 2)
value = callOption.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
delta = callOption.delta(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve, model)
testCases.header("value", "delta")
testCases.print(value, delta)
def test_FinFXForward():
# https://stackoverflow.com/questions/48778712
# /fx-vanilla-call-price-in-quantlib-doesnt-match-bloomberg
valueDate = FinDate(13, 2, 2018)
expiryDate = valueDate.addMonths(12)
# Forward is on EURUSD which is expressed as number of USD per EUR
# ccy1 = EUR and ccy2 = USD
forName = "EUR"
domName = "USD"
currencyPair = forName + domName # Always ccy1ccy2
spotFXRate = 1.300 # USD per EUR
strikeFXRate = 1.365 # USD per EUR
ccy1InterestRate = 0.02 # USD Rates
ccy2InterestRate = 0.05 # EUR rates
###########################################################################
spotDays = 0
settlementDate = valueDate.addWorkDays(spotDays)
maturityDate = settlementDate.addMonths(12)
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
fras = []
swaps = []
depositRate = ccy1InterestRate
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
forDiscountCurve = FinLiborCurve(settlementDate, depos, fras, swaps)
depos = []
fras = []
swaps = []
depositRate = ccy2InterestRate
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
FinDayCountTypes.ACT_360, notional, calendarType)
depos.append(depo)
domDiscountCurve = FinLiborCurve(settlementDate, depos, fras, swaps)
notional = 100.0
notionalCurrency = forName
fxForward = FinFXForward(expiryDate, strikeFXRate, currencyPair, notional,
notionalCurrency)
testCases.header("SPOT FX", "FX FWD", "VALUE_BS")
fwdValue = fxForward.value(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve)
fwdFXRate = fxForward.forward(valueDate, spotFXRate, domDiscountCurve,
forDiscountCurve)
testCases.print(spotFXRate, fwdFXRate, fwdValue)
def test_FinLiborDepositsOnly():
# I have used the following useful blog post by Ioannis Rigopoulos for this
# https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-deposit
valuationDate = FinDate(2018, 2, 23)
spotDays = 0
settlementDate = valuationDate.addWeekDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
notional = 100.0
calendarType = FinCalendarTypes.TARGET
depos = []
# 1 month
depositRate = 0.04
maturityDate = settlementDate.addMonths(1)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 2 months
depositRate = 0.04
maturityDate = settlementDate.addMonths(2)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 6 months
depositRate = 0.04
maturityDate = settlementDate.addMonths(6)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
# 1 year
depositRate = 0.04
maturityDate = settlementDate.addMonths(12)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType, notional, calendarType)
depos.append(depo)
fras = []
swaps = []
liborCurve = FinLiborCurve(settlementDate,
depos,
fras,
swaps)
testCases.header("LABEL", "DATE", "VALUE")
''' Check calibration '''
for depo in depos:
v = depo.value(settlementDate, liborCurve)
testCases.print("DEPO", depo._maturityDate, v)
def test_FinLiborDepositsAndSwaps(valuationDate):
depoBasis = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.05
depo1 = FinLiborDeposit(settlementDate, "1M", depositRate, depoBasis)
depo2 = FinLiborDeposit(settlementDate, "3M", depositRate, depoBasis)
depo3 = FinLiborDeposit(settlementDate, "6M", depositRate, depoBasis)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
fras = []
swaps = []
fixedBasis = FinDayCountTypes.ACT_365F
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
swapType = FinLiborSwapTypes.PAYER
swapRate = 0.05
swap1 = FinLiborSwap(settlementDate, "1Y", swapType, swapRate, fixedFreq,
fixedBasis)
swap2 = FinLiborSwap(settlementDate, "3Y", swapType, swapRate, fixedFreq,
fixedBasis)
swap3 = FinLiborSwap(settlementDate, "5Y", swapType, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap1)
swaps.append(swap2)
swaps.append(swap3)
liborCurve = FinLiborCurve(settlementDate, depos, fras, swaps)
return liborCurve
def testFinLiborCashSettledSwaption():
testCases.header("LABEL", "VALUE")
valuationDate = FinDate(1, 1, 2020)
settlementDate = FinDate(1, 1, 2020)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
depo = FinLiborDeposit(settlementDate, "1W", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "1M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "3M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "6M", 0.0023, depoDCCType)
depos.append(depo)
# No convexity correction provided so I omit interest rate futures
settlementDate = FinDate(2, 1, 2020)
swaps = []
accType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapType = FinLiborSwapTypes.PAYER
swap = FinLiborSwap(settlementDate, "3Y", swapType, 0.00790, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "4Y", swapType, 0.01200, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "5Y", swapType, 0.01570, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "6Y", swapType, 0.01865, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "7Y", swapType, 0.02160, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "8Y", swapType, 0.02350, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "9Y", swapType, 0.02540, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "10Y", swapType, 0.0273, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "15Y", swapType, 0.0297, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "20Y", swapType, 0.0316, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "25Y", swapType, 0.0335, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "30Y", swapType, 0.0354, fixedFreqType,
accType)
swaps.append(swap)
liborCurve = FinLiborCurve(valuationDate, depos, [], swaps,
FinInterpTypes.LINEAR_ZERO_RATES)
exerciseDate = settlementDate.addTenor("5Y")
swapMaturityDate = exerciseDate.addTenor("5Y")
swapFixedCoupon = 0.040852
swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
swapFixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
swapFloatFrequencyType = FinFrequencyTypes.QUARTERLY
swapFloatDayCountType = FinDayCountTypes.ACT_360
swapNotional = 1000000
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate,
swaptionType, swapFixedCoupon,
swapFixedFrequencyType, swapFixedDayCountType,
swapNotional, swapFloatFrequencyType,
swapFloatDayCountType)
model = FinModelBlack(0.1533)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print("Swaption No-Arb Value:", v)
fwdSwapRate = liborCurve.swapRate(valuationDate, swapMaturityDate,
swapFixedFrequencyType,
swapFixedDayCountType)
testCases.print("Fwd Swap Rate:", fwdSwapRate)
model = FinModelBlack(0.1533)
v = swaption.cashSettledValue(valuationDate, liborCurve, fwdSwapRate,
model)
testCases.print("Swaption Cash Settled Value:", v)
def test_FinLiborSwaptionQLExample():
# valuationDate = FinDate(28, 2, 2014)
settlementDate = FinDate(4, 3, 2014)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
depo = FinLiborDeposit(settlementDate, "1W", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "1M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "3M", 0.0023, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "6M", 0.0023, depoDCCType)
depos.append(depo)
# No convexity correction provided so I omit interest rate futures
swaps = []
accType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapType = FinLiborSwapTypes.PAYER
swap = FinLiborSwap(settlementDate, "3Y", swapType, 0.00790, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "4Y", swapType, 0.01200, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "5Y", swapType, 0.01570, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "6Y", swapType, 0.01865, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "7Y", swapType, 0.02160, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "8Y", swapType, 0.02350, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "9Y", swapType, 0.02540, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "10Y", swapType, 0.0273, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "15Y", swapType, 0.0297, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "20Y", swapType, 0.0316, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "25Y", swapType, 0.0335, fixedFreqType,
accType)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "30Y", swapType, 0.0354, fixedFreqType,
accType)
swaps.append(swap)
liborCurve = FinLiborCurve(settlementDate, depos, [], swaps,
FinInterpTypes.LINEAR_ZERO_RATES)
exerciseDate = settlementDate.addTenor("5Y")
swapMaturityDate = exerciseDate.addTenor("5Y")
swapFixedCoupon = 0.040852
swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL
swapFixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
swapFloatFrequencyType = FinFrequencyTypes.QUARTERLY
swapFloatDayCountType = FinDayCountTypes.ACT_360
swapNotional = 1000000
swaptionType = FinLiborSwapTypes.PAYER
swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate,
swaptionType, swapFixedCoupon,
swapFixedFrequencyType, swapFixedDayCountType,
swapNotional, swapFloatFrequencyType,
swapFloatDayCountType)
testCases.header("MODEL", "VALUE")
model = FinModelBlack(0.1533)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelBlackShifted(0.1533, -0.008)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelSABR(0.132, 0.5, 0.5, 0.5)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelSABRShifted(0.352, 0.5, 0.15, 0.15, -0.005)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
model = FinModelRatesHW(0.010000000, 0.00000000001)
v = swaption.value(settlementDate, liborCurve, model)
testCases.print(model.__class__, v)
def buildLiborCurve(valuationDate):
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(3)
depo2 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(6)
depo3 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(9)
depo4 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(
settlementDate,
maturityDate,
depositRate,
depoDCCType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
fixedDCCType = FinDayCountTypes.ACT_365_ISDA
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swaps = []
swapRate = 0.05
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(
settlementDate,
maturityDate,
swapRate,
fixedFreqType,
fixedDCCType)
swaps.append(swap9)
liborCurve = FinLiborCurve("USD_LIBOR",
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 buildFullIssuerCurve(mktSpreadBump, irBump):
# https://www.markit.com/markit.jsp?jsppage=pv.jsp
# YIELD CURVE 8-AUG-2019 SNAP AT 1600
tradeDate = FinDate(2019, 8, 9)
valuationDate = tradeDate.addDays(1)
dcType = FinDayCountTypes.ACT_360
depos = []
m = 1.0 # 0.00000000000
spotDays = 2
settlementDate = valuationDate.addDays(spotDays)
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, m * 0.022009, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, m * 0.022138, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, m * 0.021810, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, m * 0.020503, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(settlementDate, maturityDate, m * 0.019930, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, m * 0.015910 + irBump,
fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, m * 0.014990 + irBump,
fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, m * 0.014725 + irBump,
fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, m * 0.014640 + irBump,
fixedFreq, dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(settlementDate, maturityDate, m * 0.014800 + irBump,
fixedFreq, dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(settlementDate, maturityDate, m * 0.014995 + irBump,
fixedFreq, dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(settlementDate, maturityDate, m * 0.015180 + irBump,
fixedFreq, dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(settlementDate, maturityDate, m * 0.015610 + irBump,
fixedFreq, dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(settlementDate, maturityDate, m * 0.015880 + irBump,
fixedFreq, dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(144)
swap10 = FinLiborSwap(settlementDate, maturityDate, m * 0.016430 + irBump,
fixedFreq, dcType)
swaps.append(swap10)
liborCurve = FinLiborOneCurve("USD_LIBOR", settlementDate, depos, fras,
swaps)
cdsMarketContracts = []
cdsCoupon = 0.04 + mktSpreadBump
# maturityDate = valuationDate.nextCDSDate(6)
# cds = FinCDS(valuationDate,maturityDate, cdsCoupon)
# cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(48)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
maturityDate = valuationDate.nextCDSDate(180)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
# for cds in cdsMarketContracts:
# print("CDS Maturity Date",cds._maturityDate)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(valuationDate, cdsMarketContracts, liborCurve,
recoveryRate)
return liborCurve, issuerCurve
def test_FinLiborDepositsAndSwaps():
valuationDate = FinDate(2019, 9, 18)
depoDCCType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
fras = []
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365_ISDA
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
maturityDate = settlementDate.addMonths(24)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(36)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
fixedDCCType)
swaps.append(swap)
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, 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(deposit._maturityDate)
testCases.print(str(deposit._maturityDate), df)
def test_bloombergPricingExample():
''' This is an example of a replication of a BBG example from
https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx
'''
valuationDate = FinDate(6, 6, 2018)
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWorkDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
maturityDate = settlementDate.addMonths(3)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoDCCType)
depos.append(depo)
futs = []
fut = FinLiborFuture(valuationDate, 1)
futs.append(fut)
fut = FinLiborFuture(valuationDate, 2)
futs.append(fut)
fut = FinLiborFuture(valuationDate, 3)
futs.append(fut)
fut = FinLiborFuture(valuationDate, 4)
futs.append(fut)
fut = FinLiborFuture(valuationDate, 5)
futs.append(fut)
fut = FinLiborFuture(valuationDate, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].toFRA(97.6675, -0.00005)
fras[1] = futs[1].toFRA(97.5200, -0.00060)
fras[2] = futs[2].toFRA(97.3550, -0.00146)
fras[3] = futs[3].toFRA(97.2450, -0.00263)
fras[4] = futs[4].toFRA(97.1450, -0.00411)
fras[5] = futs[5].toFRA(97.0750, -0.00589)
accrual = FinDayCountTypes.THIRTY_E_360
freq = FinFrequencyTypes.SEMI_ANNUAL
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
notional = ONE_MILLION
swapType = FinLiborSwapTypes.PAYER
swaps = []
swap = FinLiborSwap(settlementDate, "2Y", swapType,
(2.77417 + 2.77844) / 200, freq, accrual, notional)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "3Y", swapType,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "4Y", swapType,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "5Y", swapType,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "6Y", swapType,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "7Y", swapType,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "8Y", swapType,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "9Y", swapType,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "10Y", swapType,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "11Y", swapType,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "12Y", swapType,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "15Y", swapType,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "20Y", swapType,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "25Y", swapType,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "30Y", swapType,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "40Y", swapType,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = FinLiborSwap(settlementDate, "50Y", swapType,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
liborCurve = FinLiborCurve(valuationDate, depos, fras, swaps)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(valuationDate, liborCurve, liborCurve, None,
principal))
testCases.print(
"FIXED:", swaps[0].fixedLegValue(valuationDate, liborCurve, principal))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(valuationDate, liborCurve, liborCurve,
None, principal))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlementDate, liborCurve, liborCurve, None,
principal))
testCases.print(
"FIXED:", swaps[0].fixedLegValue(settlementDate, liborCurve,
principal))
testCases.print(
"FLOAT:", swaps[0].floatLegValue(settlementDate, liborCurve,
liborCurve, None, principal))
def test_derivativePricingExample():
valuationDate = FinDate(10, 11, 2011)
dccType = FinDayCountTypes.ACT_360
depos = []
# We do the O/N rate which settles on trade date
spotDays = 0
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.001410
depo = FinLiborDeposit(settlementDate, "ON", depositRate, dccType)
depos.append(depo)
spotDays = 1
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.001410
depo = FinLiborDeposit(settlementDate, "TN", depositRate, dccType)
depos.append(depo)
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.001910
depo = FinLiborDeposit(settlementDate, "1W", depositRate, dccType)
depos.append(depo)
depositRate = 0.002090
depo = FinLiborDeposit(settlementDate, "2W", depositRate, dccType)
depos.append(depo)
depositRate = 0.002490
depo = FinLiborDeposit(settlementDate, "1M", depositRate, dccType)
depos.append(depo)
depositRate = 0.003450
depo = FinLiborDeposit(settlementDate, "2M", depositRate, dccType)
depos.append(depo)
depositRate = 0.004570
depo = FinLiborDeposit(settlementDate, "3M", depositRate, dccType)
depos.append(depo)
depositRate = 0.005230
depo = FinLiborDeposit(settlementDate, "4M", depositRate, dccType)
depos.append(depo)
depositRate = 0.005860
depo = FinLiborDeposit(settlementDate, "5M", depositRate, dccType)
depos.append(depo)
depositRate = 0.006540
depo = FinLiborDeposit(settlementDate, "6M", depositRate, dccType)
depos.append(depo)
depositRate = 0.007080
depo = FinLiborDeposit(settlementDate, "7M", depositRate, dccType)
depos.append(depo)
depositRate = 0.007540
depo = FinLiborDeposit(settlementDate, "8M", depositRate, dccType)
depos.append(depo)
depositRate = 0.008080
depo = FinLiborDeposit(settlementDate, "9M", depositRate, dccType)
depos.append(depo)
depositRate = 0.008570
depo = FinLiborDeposit(settlementDate, "10M", depositRate, dccType)
depos.append(depo)
depositRate = 0.009130
depo = FinLiborDeposit(settlementDate, "11M", depositRate, dccType)
depos.append(depo)
fras = []
swaps = []
dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA
# dayCountType = FinDayCountTypes.ACT_360
freqType = FinFrequencyTypes.SEMI_ANNUAL
swapType = FinLiborSwapTypes.PAYER
swapRate = 0.0058
swap = FinLiborSwap(settlementDate, "1Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0060
swap = FinLiborSwap(settlementDate, "2Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0072
swap = FinLiborSwap(settlementDate, "3Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0096
swap = FinLiborSwap(settlementDate, "4Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0124
swap = FinLiborSwap(settlementDate, "5Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0173
swap = FinLiborSwap(settlementDate, "7Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0219
swap = FinLiborSwap(settlementDate, "10Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
swapRate = 0.0283
swap = FinLiborSwap(settlementDate, "30Y", swapType, swapRate, freqType,
dayCountType)
swaps.append(swap)
numRepeats = 10
start = time.time()
for _ in range(0, numRepeats):
_ = FinLiborCurve(valuationDate, depos, fras, swaps,
FinInterpTypes.FLAT_FORWARDS)
end = time.time()
elapsed1 = end - start
start = time.time()
for _ in range(0, numRepeats):
_ = FinLiborCurve(valuationDate, depos, fras, swaps,
FinInterpTypes.LINEAR_SWAP_RATES)
end = time.time()
elapsed2 = end - start
testCases.header("METHOD", "TIME")
testCases.print("NON-LINEAR SOLVER BOOTSTRAP", elapsed1 / numRepeats)
testCases.print("LINEAR SWAP BOOTSTRAP", elapsed2 / numRepeats)
def test_FinLiborDepositsFuturesSwaps():
spotDate = FinDate(6, 6, 2018)
spotDays = 0
settlementDate = spotDate.addWorkDays(spotDays)
depoDCCType = FinDayCountTypes.ACT_360
depos = []
depositRate = 0.0231381
depo = FinLiborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depositRate = 0.027
depo = FinLiborDeposit(settlementDate, "3M", depositRate, depoDCCType)
depos.append(depo)
depos = []
depo = FinLiborDeposit(settlementDate, "1M", 0.0230, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "2M", 0.0235, depoDCCType)
depos.append(depo)
depo = FinLiborDeposit(settlementDate, "3M", 0.0240, depoDCCType)
depos.append(depo)
fras = []
fraRate = futureToFRARate(97.6675, -0.00005)
fraSettlementDate = spotDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.5200, -0.00060)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.3550, -0.00146)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.2450, -0.00263)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.1450, -0.00411)
fraSettlementDate = fraMaturityDate
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
fraRate = futureToFRARate(97.0750, -0.00589)
fraSettlementDate = fraSettlementDate.nextIMMDate()
fraMaturityDate = fraSettlementDate.nextIMMDate()
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType)
fras.append(fra)
###########################################################################
spotDays = 2
startDate = spotDate.addWorkDays(spotDays)
swaps = []
swapType = FinLiborSwapTypes.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 = FinLiborSwap(startDate, "2Y", swapType, swapRate, fixedFreqType,
fixedDCCType, notional, floatSpread, floatFreqType,
floatDCCType, calendarType, busDayAdjustRule)
swaps.append(swap)
liborCurve = FinLiborCurve(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 test_FinLiborDepositsFRAsSwaps():
valuationDate = FinDate(2019, 9, 18)
dccType = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 0
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.050
maturityDate = settlementDate.addMonths(1)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(2)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(3)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(6)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(9)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
maturityDate = settlementDate.addMonths(12)
depo = FinLiborDeposit(settlementDate, maturityDate, depositRate, dccType)
depos.append(depo)
fras = []
# 1 x 4 FRA
fraRate = 0.04
fraSettlementDate = settlementDate.addMonths(9)
fraMaturityDate = settlementDate.addMonths(13)
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.03
fraSettlementDate = settlementDate.addMonths(13)
fraMaturityDate = settlementDate.addMonths(17)
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
# 4 x 7 FRA
fraRate = 0.07
fraSettlementDate = settlementDate.addMonths(17)
fraMaturityDate = settlementDate.addMonths(21)
fra = FinLiborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType)
fras.append(fra)
swaps = []
fixedDCCType = FinDayCountTypes.ACT_365F
fixedFreqType = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.05
# maturityDate = settlementDate.addMonths(24)
# swap = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreqType,
# fixedDCCType)
# swaps.append(swap)
swapType = FinLiborSwapTypes.PAYER
maturityDate = settlementDate.addMonths(36)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(48)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(60)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(72)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(84)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(96)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(108)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(120)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(132)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(144)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(180)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(240)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(300)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
maturityDate = settlementDate.addMonths(360)
swap = FinLiborSwap(settlementDate, maturityDate, swapType, swapRate,
fixedFreqType, fixedDCCType)
swaps.append(swap)
liborCurve = FinLiborCurve(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 test_FinLiborDepositsAndSwaps(valuationDate):
depoBasis = FinDayCountTypes.THIRTY_E_360_ISDA
depos = []
spotDays = 2
settlementDate = valuationDate.addWorkDays(spotDays)
depositRate = 0.030
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
maturityDate = settlementDate.addMonths(9)
depo5 = FinLiborDeposit(settlementDate, maturityDate, depositRate,
depoBasis)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
swaps = []
fixedBasis = FinDayCountTypes.ACT_365_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
swapRate = 0.03
maturityDate = settlementDate.addMonths(12)
swap1 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap1)
swapRate = 0.034
maturityDate = settlementDate.addMonths(24)
swap2 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap2)
swapRate = 0.037
maturityDate = settlementDate.addMonths(36)
swap3 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap3)
swapRate = 0.039
maturityDate = settlementDate.addMonths(48)
swap4 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap4)
swapRate = 0.040
maturityDate = settlementDate.addMonths(60)
swap5 = FinLiborSwap(settlementDate, maturityDate, swapRate, fixedFreq,
fixedBasis)
swaps.append(swap5)
liborCurve = FinLiborCurve("USD_LIBOR", settlementDate, depos, fras, swaps)
return liborCurve
def buildFullIssuerCurve(valuationDate):
dcType = FinDayCountTypes.ACT_360
depos = []
irBump = 0.0
m = 1.0 # 0.00000000000
spotDays = 0
settlementDate = valuationDate.addDays(spotDays)
maturityDate = settlementDate.addMonths(1)
depo1 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0016, dcType)
maturityDate = settlementDate.addMonths(2)
depo2 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0020, dcType)
maturityDate = settlementDate.addMonths(3)
depo3 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0024, dcType)
maturityDate = settlementDate.addMonths(6)
depo4 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0033, dcType)
maturityDate = settlementDate.addMonths(12)
depo5 = FinLiborDeposit(settlementDate, maturityDate, m * 0.0056, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
spotDays = 2
settlementDate = valuationDate.addDays(spotDays)
swaps = []
dcType = FinDayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FinFrequencyTypes.SEMI_ANNUAL
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0044 + irBump, fixedFreq, dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0078 + irBump, fixedFreq, dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0119 + irBump, fixedFreq, dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0158 + irBump, fixedFreq, dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0192 + irBump, fixedFreq, dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0219 + irBump, fixedFreq, dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0242 + irBump, fixedFreq, dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0261 + irBump, fixedFreq, dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(settlementDate, maturityDate, FinLiborSwapTypes.PAYER,
m * 0.0276 + irBump, fixedFreq, dcType)
swaps.append(swap9)
liborCurve = FinLiborCurve(valuationDate, depos, fras, swaps)
cdsMarketContracts = []
cdsCoupon = 0.005743
maturityDate = valuationDate.nextCDSDate(6)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.007497
maturityDate = valuationDate.nextCDSDate(12)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.011132
maturityDate = valuationDate.nextCDSDate(24)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.013932
maturityDate = valuationDate.nextCDSDate(36)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.015764
maturityDate = valuationDate.nextCDSDate(48)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.017366
maturityDate = valuationDate.nextCDSDate(60)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.020928
maturityDate = valuationDate.nextCDSDate(84)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
cdsCoupon = 0.022835
maturityDate = valuationDate.nextCDSDate(120)
cds = FinCDS(valuationDate, maturityDate, cdsCoupon)
cdsMarketContracts.append(cds)
recoveryRate = 0.40
issuerCurve = FinCDSCurve(valuationDate, cdsMarketContracts, liborCurve,
recoveryRate)
return liborCurve, issuerCurve
def buildLiborCurve(valuationDate):
settlementDate = valuationDate.addDays(2)
dcType = FinDayCountTypes.ACT_360
depos = []
fras = []
swaps = []
maturityDate = settlementDate.addMonths(6)
depo1 = FinLiborDeposit(settlementDate, maturityDate, -0.00251, dcType)
depos.append(depo1)
# Series of 1M futures
startDate = settlementDate.nextIMMDate()
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.0023, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00234, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00225, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00226, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00219, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00213, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00186, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00189, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00175, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00143, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00126, True, dcType)
fras.append(fra)
startDate = startDate.addMonths(1)
endDate = startDate.addMonths(1)
fra = FinLiborFRA(startDate, endDate, -0.00126, True, dcType)
fras.append(fra)
fixedFreq = FinFrequencyTypes.ANNUAL
dcType = FinDayCountTypes.THIRTY_360
maturityDate = settlementDate.addMonths(24)
swap1 = FinLiborSwap(settlementDate, maturityDate, -0.001506, fixedFreq,
dcType)
swaps.append(swap1)
maturityDate = settlementDate.addMonths(36)
swap2 = FinLiborSwap(settlementDate, maturityDate, -0.000185, fixedFreq,
dcType)
swaps.append(swap2)
maturityDate = settlementDate.addMonths(48)
swap3 = FinLiborSwap(settlementDate, maturityDate, 0.001358, fixedFreq,
dcType)
swaps.append(swap3)
maturityDate = settlementDate.addMonths(60)
swap4 = FinLiborSwap(settlementDate, maturityDate, 0.0027652, fixedFreq,
dcType)
swaps.append(swap4)
maturityDate = settlementDate.addMonths(72)
swap5 = FinLiborSwap(settlementDate, maturityDate, 0.0041539, fixedFreq,
dcType)
swaps.append(swap5)
maturityDate = settlementDate.addMonths(84)
swap6 = FinLiborSwap(settlementDate, maturityDate, 0.0054604, fixedFreq,
dcType)
swaps.append(swap6)
maturityDate = settlementDate.addMonths(96)
swap7 = FinLiborSwap(settlementDate, maturityDate, 0.006674, fixedFreq,
dcType)
swaps.append(swap7)
maturityDate = settlementDate.addMonths(108)
swap8 = FinLiborSwap(settlementDate, maturityDate, 0.007826, fixedFreq,
dcType)
swaps.append(swap8)
maturityDate = settlementDate.addMonths(120)
swap9 = FinLiborSwap(settlementDate, maturityDate, 0.008821, fixedFreq,
dcType)
swaps.append(swap9)
maturityDate = settlementDate.addMonths(132)
swap10 = FinLiborSwap(settlementDate, maturityDate, 0.0097379, fixedFreq,
dcType)
swaps.append(swap10)
maturityDate = settlementDate.addMonths(144)
swap11 = FinLiborSwap(settlementDate, maturityDate, 0.0105406, fixedFreq,
dcType)
swaps.append(swap11)
maturityDate = settlementDate.addMonths(180)
swap12 = FinLiborSwap(settlementDate, maturityDate, 0.0123927, fixedFreq,
dcType)
swaps.append(swap12)
maturityDate = settlementDate.addMonths(240)
swap13 = FinLiborSwap(settlementDate, maturityDate, 0.0139882, fixedFreq,
dcType)
swaps.append(swap13)
maturityDate = settlementDate.addMonths(300)
swap14 = FinLiborSwap(settlementDate, maturityDate, 0.0144972, fixedFreq,
dcType)
swaps.append(swap14)
maturityDate = settlementDate.addMonths(360)
swap15 = FinLiborSwap(settlementDate, maturityDate, 0.0146081, fixedFreq,
dcType)
swaps.append(swap15)
maturityDate = settlementDate.addMonths(420)
swap16 = FinLiborSwap(settlementDate, maturityDate, 0.01461897, fixedFreq,
dcType)
swaps.append(swap16)
maturityDate = settlementDate.addMonths(480)
swap17 = FinLiborSwap(settlementDate, maturityDate, 0.014567455, fixedFreq,
dcType)
swaps.append(swap17)
maturityDate = settlementDate.addMonths(540)
swap18 = FinLiborSwap(settlementDate, maturityDate, 0.0140826, fixedFreq,
dcType)
swaps.append(swap18)
maturityDate = settlementDate.addMonths(600)
swap19 = FinLiborSwap(settlementDate, maturityDate, 0.01436822, fixedFreq,
dcType)
swaps.append(swap19)
liborCurve = FinLiborCurve("USD", settlementDate, depos, fras, swaps)
testCases.header("LABEL", "DATE", "VALUE")
''' Check calibration '''
for depo in depos:
v = depo.value(settlementDate, liborCurve)
testCases.print("DEPO VALUE:", depo._maturityDate, v)
for fra in fras:
v = fra.value(settlementDate, liborCurve)
testCases.print("FRA VALUE:", fra._maturityDate, v)
for swap in swaps:
v = swap.value(settlementDate, liborCurve, liborCurve, None)
testCases.print("SWAP VALUE:", swap._maturityDate, v)
return liborCurve
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