def test_BDTExampleOne():
# HULL BOOK NOTES
# http://www-2.rotman.utoronto.ca/~hull/technicalnotes/TechnicalNote23.pdf
valuationDate = FinDate(1, 1, 2020)
years = [0.0, 1.0, 2.0, 3.0, 4.0, 5.0]
zeroDates = valuationDate.addYears(years)
zeroRates = [0.00, 0.10, 0.11, 0.12, 0.125, 0.13]
testCases.header("DATES")
testCases.print(zeroDates)
testCases.header("RATES")
testCases.print(zeroRates)
curve = FinDiscountCurveZeros(valuationDate, zeroDates, zeroRates,
FinFrequencyTypes.ANNUAL)
yieldVol = 0.16
numTimeSteps = 5
tmat = years[-1]
dfs = curve.df(zeroDates)
testCases.print("DFS")
testCases.print(dfs)
years = np.array(years)
dfs = np.array(dfs)
model = FinModelRatesBDT(yieldVol, numTimeSteps)
model.buildTree(tmat, years, dfs)
def test_FinDiscountCurveZeros():
startDate = FinDate(1, 1, 2018)
times = np.linspace(1.0, 10.0, 10)
dates = startDate.addYears(times)
zeroRates = np.linspace(5.0, 6.0, 10) / 100
freqType = FinFrequencyTypes.ANNUAL
dayCountType = FinDayCountTypes.ACT_ACT_ISDA
curve = FinDiscountCurveZeros(startDate, dates, zeroRates, freqType,
dayCountType, FinInterpTypes.FLAT_FWD_RATES)
testCases.header("T", "DF")
years = np.linspace(0, 10, 21)
dates = startDate.addYears(years)
for dt in dates:
df = curve.df(dt)
testCases.print(dt, df)
# print(curve)
###############################################################################
numRepeats = 100
start = time.time()
for i in range(0, numRepeats):
freqType = FinFrequencyTypes.ANNUAL
dayCountType = FinDayCountTypes.ACT_ACT_ISDA
dates = [
FinDate(14, 6, 2016),
FinDate(14, 9, 2016),
FinDate(14, 12, 2016),
FinDate(14, 6, 2017),
FinDate(14, 6, 2019),
FinDate(14, 6, 2021),
FinDate(15, 6, 2026),
FinDate(16, 6, 2031),
FinDate(16, 6, 2036),
FinDate(14, 6, 2046)
]
zeroRates = [
0.000000, 0.006616, 0.007049, 0.007795, 0.009599, 0.011203,
0.015068, 0.017583, 0.018998, 0.020080
]
startDate = dates[0]
curve = FinDiscountCurveZeros(startDate, dates, zeroRates, freqType,
dayCountType,
FinInterpTypes.FLAT_FWD_RATES)
end = time.time()
period = end - start