def test(self):
from ppf.date_time import date
from ppf.date_time import months
from ppf.date_time import Feb, Apr, Jul, Oct, Jan
from numpy import zeros
expiries = [
date(2006, Feb, 11),
date(2006, Apr, 11),
date(2006, Jul, 11),
date(2006, Oct, 11),
date(2007, Jan, 11),
date(2008, Jan, 11),
date(2009, Jan, 11),
date(2010, Jan, 11),
date(2011, Jan, 11),
date(2012, Jan, 11),
date(2013, Jan, 11)
]
tenors = [months(12), months(24), months(36)]
vols = zeros((len(expiries), len(tenors)))
# expiry, tenor surface 1y 2y 3y
vols[0, 0], vols[0, 1], vols[0, 2] = 200.00, 76.25, 64.00 # 1m
vols[1, 0], vols[1, 1], vols[1, 2] = 98.50, 84.75, 69.00 # 3m
vols[2, 0], vols[2, 1], vols[2, 2] = 98.00, 81.75, 68.00 # 6m
vols[3, 0], vols[3, 1], vols[3, 2] = 101.25, 82.25, 69.25 # 9m
vols[4, 0], vols[4, 1], vols[4, 2] = 106.00, 82.00, 69.25 # 1y
vols[5, 0], vols[5, 1], vols[5, 2] = 78.75, 73.25, 61.25 # 2y
vols[6, 0], vols[6, 1], vols[6, 2] = 66.25, 59.00, 50.00 # 3y
vols[7, 0], vols[7, 1], vols[7, 2] = 55.25, 47.75, 41.75 # 4y
vols[8, 0], vols[8, 1], vols[8, 2] = 44.75, 40.25, 35.50 # 5y
vols[9, 0], vols[9, 1], vols[9, 2] = 32.00, 30.50, 28.25 # 6y
vols[10, 0], vols[10, 1], vols[10, 2] = 26.50, 24.25, 24.25 # 7y
base = date(2006, Jan, 11)
sig = ppf.market.surface(
[int(t - base) / 365.0 for t in expiries],
[m.number_of_months().as_number() for m in tenors], vols)
tol = 1.0e-8
for i in range(len(expiries)):
expiry = expiries[i]
t = int(expiry - base) / 365.0
for j in range(len(tenors)):
tenor = tenors[j]
T = tenor.number_of_months().as_number()
assert math.fabs(sig(t, T) - vols[i, j]) <= tol
def test(self):
from ppf.date_time import date
from ppf.date_time import months
from ppf.date_time import Feb, Apr, Jul, Oct, Jan
from numpy import zeros
expiries = [
date(2006, Feb, 11)
, date(2006, Apr, 11)
, date(2006, Jul, 11)
, date(2006, Oct, 11)
, date(2007, Jan, 11)
, date(2008, Jan, 11)
, date(2009, Jan, 11)
, date(2010, Jan, 11)
, date(2011, Jan, 11)
, date(2012, Jan, 11)
, date(2013, Jan, 11) ]
tenors = [ months(12), months(24), months(36) ]
vols = zeros((len(expiries), len(tenors)))
# expiry, tenor surface 1y 2y 3y
vols[ 0, 0], vols[ 0, 1], vols[ 0, 2] = 200.00, 76.25, 64.00 # 1m
vols[ 1, 0], vols[ 1, 1], vols[ 1, 2] = 98.50, 84.75, 69.00 # 3m
vols[ 2, 0], vols[ 2, 1], vols[ 2, 2] = 98.00, 81.75, 68.00 # 6m
vols[ 3, 0], vols[ 3, 1], vols[ 3, 2] = 101.25, 82.25, 69.25 # 9m
vols[ 4, 0], vols[ 4, 1], vols[ 4, 2] = 106.00, 82.00, 69.25 # 1y
vols[ 5, 0], vols[ 5, 1], vols[ 5, 2] = 78.75, 73.25, 61.25 # 2y
vols[ 6, 0], vols[ 6, 1], vols[ 6, 2] = 66.25, 59.00, 50.00 # 3y
vols[ 7, 0], vols[ 7, 1], vols[ 7, 2] = 55.25, 47.75, 41.75 # 4y
vols[ 8, 0], vols[ 8, 1], vols[ 8, 2] = 44.75, 40.25, 35.50 # 5y
vols[ 9, 0], vols[ 9, 1], vols[ 9, 2] = 32.00, 30.50, 28.25 # 6y
vols[10, 0], vols[10, 1], vols[10, 2] = 26.50, 24.25, 24.25 # 7y
base = date(2006, Jan, 11);
sig = ppf.market.surface(
[int(t - base)/365.0 for t in expiries]
, [m.number_of_months().as_number() for m in tenors]
, vols)
tol=1.0e-8
for i in range(len(expiries)):
expiry = expiries[i]
t = int(expiry - base)/365.0
for j in range(len(tenors)):
tenor = tenors[j]
T = tenor.number_of_months().as_number()
assert math.fabs(sig(t, T) - vols[i, j]) <= tol
def test_libor(self):
from ppf.date_time \
import date, shift, modified_following, basis_act_360, months
pd = date(2008, 01, 01)
env = ppf.market.environment(pd)
times = numpy.linspace(0, 2, 5)
factors = numpy.array([math.exp(-0.05*t) for t in times])
env.add_curve("zc.disc.eur"
, ppf.market.curve(times, factors, ppf.math.interpolation.loglinear))
expiries, tenors = [0.1, 0.5, 1.0, 1.5, 2.0, 3.0, 4.0, 5.0], [0, 90]
env.add_surface("ve.term.eur.hw"
, ppf.market.surface(expiries, tenors, numpy.zeros((8, 2))))
env.add_constant("cv.mr.eur.hw", 0.0)
rd = date(2008, 07, 01)
libor_obs = \
ppf.core.libor_rate( \
None #attributes
, 0 #flow-id
, 0 #reset-id
, rd #reset-date
, "eur"#reset-currency
, rd #projection-start-date
, shift(rd + months(6), modified_following)#projection-end-date
, basis_act_360#projection-basis
, ppf.core.fixing(False))# fixing (and no spread)
r = ppf.model.hull_white.requestor()
s = ppf.model.hull_white.lattice.state("eur", 11, 3.5)
sx = s.fill(0.25, r, env)
f = ppf.model.hull_white.fill(2.0)
libortT = f.libor(0.25, libor_obs, env, r, sx)
exp = \
[0.0499418283138
,0.0499418283138
,0.0499418283138
,0.0499418283138
,0.0499418283138
,0.0499418283138
,0.0499418283138
,0.0499418283138
,0.0499418283138
,0.0499418283138
,0.0499418283138
]
_assert_seq_close(exp, libortT)
def test_discounted_libor_rollback(self):
from ppf.date_time \
import date, shift, modified_following, basis_act_360, months
pd = date(2008, 01, 01)
env = ppf.market.environment(pd)
times = numpy.linspace(0, 6, 10)
factors = numpy.array([math.exp(-0.05*t) for t in times])
env.add_curve("zc.disc.eur"
, ppf.market.curve(times, factors, ppf.math.interpolation.loglinear))
expiries, tenors = [0.0, 0.5, 1.0, 1.5, 2.0, 3.0, 4.0, 5.0, 6.0], [0, 90]
values = numpy.zeros((9, 2))
values.fill(0.001)
env.add_surface("ve.term.eur.hw"
, ppf.market.surface(expiries, tenors, values))
env.add_constant("cv.mr.eur.hw", 0.01)
r = ppf.model.hull_white.requestor()
s = ppf.model.hull_white.lattice.state("eur", 41, 4.5)
f = ppf.model.hull_white.fill(5.0)
rd = date(2011, 01, 01)
libor_obs = \
ppf.core.libor_rate( \
None #attributes
, 0 #flow-id
, 0 #reset-id
, rd #reset-date
, "eur"#reset-currency
, rd #projection-start-date
, shift(rd + months(6), modified_following)#projection-end-date
, basis_act_360#projection-basis
, ppf.core.fixing(False))# fixing (and no spread)
t = env.relative_date(libor_obs.proj_start_date())/365.0
T = env.relative_date(libor_obs.proj_end_date())/365.0
sx = s.fill(t, r, env)
libort = f.libor(t, libor_obs, env, r, sx)
ptT = f.numeraire_rebased_bond(t, T, "eur", env, r, sx)
pv = libort*ptT*libor_obs.year_fraction()
roll = ppf.model.hull_white.lattice.rollback("eur")
intermediate_pv = roll.rollback(0.5*t, t, s, r, env, pv)
actual = roll.rollback(0.0, 0.5*t, s, r, env, intermediate_pv).mean()
expected = r.discount_factor(t, "eur", env)-r.discount_factor(T, "eur", env)
_assert_seq_close([expected],[actual],1.0e-6)