def zbt_libor_yield(instruments, yields, pricing_date, basis='Actual/Actual (Bond)', compounding_freq='Continuous', maturity_dates=None): """ Bootstrap a zero-coupon curve from libor rates and swap yields Args: instruments: list of instruments, of the form Libor?M for Libor rates and Swap?Y for swap rates yields: market rates pricing_date: the date where market data is observed. Settlement is by default 2 days after pricing_date Optional: compounding_frequency: ... of zero-coupon rates. By default: 'Continuous' Returns: zero_rate: zero-coupon rate maturity_date: ... of corresponding rate """ calendar = TARGET() settings = Settings() # must be a business day eval_date = calendar.adjust(pydate_to_qldate(pricing_date)) settings.evaluation_date = eval_date rates = dict(zip(instruments, yields)) ts = make_term_structure(rates, pricing_date) cnt = DayCounter.from_name(basis) if maturity_dates is None: # schedule of maturity dates from settlement date to last date on # the term structure s = Schedule(effective_date=ts.reference_date, termination_date=ts.max_date, tenor=Period(1, Months), calendar=TARGET()) maturity_dates = [qldate_to_pydate(dt) for dt in s.dates()] cp_freq = Compounding[compounding_freq] zc = [ ts.zero_rate(pydate_to_qldate(dt), day_counter=cnt, compounding=cp_freq).rate for dt in maturity_dates ] return (maturity_dates, zc)
def zero_rate(term_structure, days, dt_settlement, calendar=TARGET()): """ Compute zero-coupon rate, continuous ACT/365 from settlement date to given maturity expressed in calendar days Return - array of maturity dates - array of zero-coupon rates """ dtMat = [calendar.advance(pydate_to_qldate(dt_settlement), d, Days) for d in days] df = np.array([term_structure.discount(dt) for dt in dtMat]) dtMat = [qldate_to_pydate(dt) for dt in dtMat] dtToday = qldate_to_pydate(dt_settlement) dt = np.array([(d - dtToday).days / 365.0 for d in dtMat]) zc = -np.log(df) / dt return (dtMat, zc)
def zbt_libor_yield(instruments, yields, pricing_date, basis='Actual/Actual (Bond)', compounding_freq='Continuous', maturity_dates=None): """ Bootstrap a zero-coupon curve from libor rates and swap yields Args: insruments: list of instruments, of the form Libor?M for Libor rates and Swap?Y for swap rates yields: market rates pricing_date: the date where market data is observed. Settlement is by default 2 days after pricing_date Optional: compounding_frequency: ... of zero-coupon rates. By default: 'Continuous' Returns: zero_rate: zero-coupon rate maturity_date: ... of corresponding rate """ calendar = TARGET() settings = Settings() # must be a business day eval_date = calendar.adjust(pydate_to_qldate(pricing_date)) settings.evaluation_date = eval_date rates = dict(zip(instruments, yields)) ts = make_term_structure(rates, pricing_date) cnt = DayCounter.from_name(basis) if maturity_dates is None: # schedule of maturity dates from settlement date to last date on # the term structure s = Schedule(effective_date=ts.reference_date, termination_date=ts.max_date, tenor=Period(1, Months), calendar=TARGET()) maturity_dates = [qldate_to_pydate(dt) for dt in s.dates()] cp_freq = compounding_from_name(compounding_freq) zc = [ts.zero_rate(date=pydate_to_qldate(dt), day_counter=cnt, compounding=cp_freq).rate for dt in maturity_dates] return (maturity_dates, zc)