def test_FinIborCapFloor(): todayDate = FinDate(20, 6, 2019) valuationDate = todayDate startDate = todayDate.addWeekDays(2) maturityDate = startDate.addTenor("1Y") liborCurve = test_FinIborDepositsAndSwaps(todayDate) # The capfloor has begun # lastFixing = 0.028 ########################################################################## # COMPARISON OF MODELS ########################################################################## strikes = np.linspace(0.02, 0.08, 5) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BACH") model1 = FinModelBlack(0.20) model2 = FinModelBlackShifted(0.25, 0.0) model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5) model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008) model5 = FinModelRatesHW(0.30, 0.01) model6 = FinModelBachelier(0.01) for k in strikes: capFloorType = FinCapFloorTypes.CAP capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k) cvalue1 = capfloor.value(valuationDate, liborCurve, model1) cvalue2 = capfloor.value(valuationDate, liborCurve, model2) cvalue3 = capfloor.value(valuationDate, liborCurve, model3) cvalue4 = capfloor.value(valuationDate, liborCurve, model4) cvalue5 = capfloor.value(valuationDate, liborCurve, model5) cvalue6 = capfloor.value(valuationDate, liborCurve, model6) testCases.print("CAP", k, cvalue1, cvalue2, cvalue3, cvalue4, cvalue5, cvalue6) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BACH") for k in strikes: capFloorType = FinCapFloorTypes.FLOOR capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k) fvalue1 = capfloor.value(valuationDate, liborCurve, model1) fvalue2 = capfloor.value(valuationDate, liborCurve, model2) fvalue3 = capfloor.value(valuationDate, liborCurve, model3) fvalue4 = capfloor.value(valuationDate, liborCurve, model4) fvalue5 = capfloor.value(valuationDate, liborCurve, model5) fvalue6 = capfloor.value(valuationDate, liborCurve, model6) testCases.print("FLR", k, fvalue1, fvalue2, fvalue3, fvalue4, fvalue5, fvalue6) ############################################################################### # PUT CALL CHECK ############################################################################### testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR SHFTD", "HW", "BACH") for k in strikes: capFloorType = FinCapFloorTypes.CAP capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k) cvalue1 = capfloor.value(valuationDate, liborCurve, model1) cvalue2 = capfloor.value(valuationDate, liborCurve, model2) cvalue3 = capfloor.value(valuationDate, liborCurve, model3) cvalue4 = capfloor.value(valuationDate, liborCurve, model4) cvalue5 = capfloor.value(valuationDate, liborCurve, model5) cvalue6 = capfloor.value(valuationDate, liborCurve, model6) capFloorType = FinCapFloorTypes.FLOOR capfloor = FinIborCapFloor(startDate, maturityDate, capFloorType, k) fvalue1 = capfloor.value(valuationDate, liborCurve, model1) fvalue2 = capfloor.value(valuationDate, liborCurve, model2) fvalue3 = capfloor.value(valuationDate, liborCurve, model3) fvalue4 = capfloor.value(valuationDate, liborCurve, model4) fvalue5 = capfloor.value(valuationDate, liborCurve, model5) fvalue6 = capfloor.value(valuationDate, liborCurve, model6) pcvalue1 = cvalue1 - fvalue1 pcvalue2 = cvalue2 - fvalue2 pcvalue3 = cvalue3 - fvalue3 pcvalue4 = cvalue4 - fvalue4 pcvalue5 = cvalue5 - fvalue5 pcvalue6 = cvalue6 - fvalue6 testCases.print("PUT_CALL", k, pcvalue1, pcvalue2, pcvalue3, pcvalue4, pcvalue5, pcvalue6)
def testFinLiborSwaptionMatlabExamples(): # We value a European swaption using Black's model and try to replicate a # ML example at https://fr.mathworks.com/help/fininst/swaptionbyblk.html testCases.header("=======================================") testCases.header("MATLAB EXAMPLE WITH FLAT TERM STRUCTURE") testCases.header("=======================================") valuationDate = FinDate(1, 1, 2010) liborCurve = FinDiscountCurveFlat(valuationDate, 0.06, FinFrequencyTypes.CONTINUOUS, FinDayCountTypes.THIRTY_E_360) settlementDate = FinDate(1, 1, 2011) exerciseDate = FinDate(1, 1, 2016) maturityDate = FinDate(1, 1, 2019) fixedCoupon = 0.062 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 # Pricing a PAYER swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelBlack(0.20) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 2.071 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH TERM STRUCTURE") testCases.header("===================================") valuationDate = FinDate(1, 1, 2010) dates = [ FinDate(1, 1, 2011), FinDate(1, 1, 2012), FinDate(1, 1, 2013), FinDate(1, 1, 2014), FinDate(1, 1, 2015) ] zeroRates = [0.03, 0.034, 0.037, 0.039, 0.040] contFreq = FinFrequencyTypes.CONTINUOUS interpType = FinInterpTypes.LINEAR_ZERO_RATES dayCountType = FinDayCountTypes.THIRTY_E_360 liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = FinDate(1, 1, 2011) exerciseDate = FinDate(1, 1, 2012) maturityDate = FinDate(1, 1, 2017) fixedCoupon = 0.03 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360 floatFrequencyType = FinFrequencyTypes.SEMI_ANNUAL floatDayCountType = FinDayCountTypes.THIRTY_E_360 notional = 1000.0 # Pricing a put swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional, floatFrequencyType, floatDayCountType) model = FinModelBlack(0.21) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 0.5771 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH SHIFTED BLACK") testCases.header("===================================") valuationDate = FinDate(1, 1, 2016) dates = [ FinDate(1, 1, 2017), FinDate(1, 1, 2018), FinDate(1, 1, 2019), FinDate(1, 1, 2020), FinDate(1, 1, 2021) ] zeroRates = np.array([-0.02, 0.024, 0.047, 0.090, 0.12]) / 100.0 contFreq = FinFrequencyTypes.ANNUAL interpType = FinInterpTypes.LINEAR_ZERO_RATES dayCountType = FinDayCountTypes.THIRTY_E_360 liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = FinDate(1, 1, 2016) exerciseDate = FinDate(1, 1, 2017) maturityDate = FinDate(1, 1, 2020) fixedCoupon = -0.003 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA floatFrequencyType = FinFrequencyTypes.SEMI_ANNUAL floatDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 1000.0 # Pricing a PAYER swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional, floatFrequencyType, floatDayCountType) model = FinModelBlackShifted(0.31, 0.008) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 12.8301 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("===================================") testCases.header("MATLAB EXAMPLE WITH HULL WHITE") testCases.header("===================================") # https://fr.mathworks.com/help/fininst/swaptionbyhw.html valuationDate = FinDate(1, 1, 2007) dates = [ FinDate(1, 1, 2007), FinDate(1, 7, 2007), FinDate(1, 1, 2008), FinDate(1, 7, 2008), FinDate(1, 1, 2009), FinDate(1, 7, 2009), FinDate(1, 1, 2010), FinDate(1, 7, 2010), FinDate(1, 1, 2011), FinDate(1, 7, 2011), FinDate(1, 1, 2012) ] zeroRates = np.array([0.075] * 11) interpType = FinInterpTypes.FLAT_FORWARDS dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA contFreq = FinFrequencyTypes.SEMI_ANNUAL liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = valuationDate exerciseDate = FinDate(1, 1, 2010) maturityDate = FinDate(1, 1, 2012) fixedCoupon = 0.04 fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelRatesHW(0.05, 0.01) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 2.9201 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("====================================") testCases.header("MATLAB EXAMPLE WITH BLACK KARASINSKI") testCases.header("====================================") # https://fr.mathworks.com/help/fininst/swaptionbybk.html valuationDate = FinDate(1, 1, 2007) dates = [ FinDate(1, 1, 2007), FinDate(1, 7, 2007), FinDate(1, 1, 2008), FinDate(1, 7, 2008), FinDate(1, 1, 2009), FinDate(1, 7, 2009), FinDate(1, 1, 2010), FinDate(1, 7, 2010), FinDate(1, 1, 2011), FinDate(1, 7, 2011), FinDate(1, 1, 2012) ] zeroRates = np.array([0.07] * 11) interpType = FinInterpTypes.FLAT_FORWARDS dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA contFreq = FinFrequencyTypes.SEMI_ANNUAL liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = valuationDate exerciseDate = FinDate(1, 1, 2011) maturityDate = FinDate(1, 1, 2012) fixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 model = FinModelRatesBK(0.1, 0.05, 200) fixedCoupon = 0.07 swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 0.3634 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) fixedCoupon = 0.0725 swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 0.4798 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab) ############################################################################### testCases.header("====================================") testCases.header("MATLAB EXAMPLE WITH BLACK-DERMAN-TOY") testCases.header("====================================") # https://fr.mathworks.com/help/fininst/swaptionbybdt.html valuationDate = FinDate(1, 1, 2007) dates = [ FinDate(1, 1, 2007), FinDate(1, 7, 2007), FinDate(1, 1, 2008), FinDate(1, 7, 2008), FinDate(1, 1, 2009), FinDate(1, 7, 2009), FinDate(1, 1, 2010), FinDate(1, 7, 2010), FinDate(1, 1, 2011), FinDate(1, 7, 2011), FinDate(1, 1, 2012) ] zeroRates = np.array([0.06] * 11) interpType = FinInterpTypes.FLAT_FORWARDS dayCountType = FinDayCountTypes.THIRTY_E_360_ISDA contFreq = FinFrequencyTypes.ANNUAL liborCurve = FinDiscountCurveZeros(valuationDate, dates, zeroRates, contFreq, dayCountType, interpType) settlementDate = valuationDate exerciseDate = FinDate(1, 1, 2012) maturityDate = FinDate(1, 1, 2015) fixedFrequencyType = FinFrequencyTypes.ANNUAL fixedDayCountType = FinDayCountTypes.THIRTY_E_360_ISDA notional = 100.0 fixedCoupon = 0.062 swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, maturityDate, swaptionType, fixedCoupon, fixedFrequencyType, fixedDayCountType, notional) model = FinModelRatesBDT(0.20, 200) v_finpy = swaption.value(valuationDate, liborCurve, model) v_matlab = 2.0592 testCases.header("LABEL", "VALUE") testCases.print("FP Price:", v_finpy) testCases.print("MATLAB Prix:", v_matlab) testCases.print("DIFF:", v_finpy - v_matlab)
def testFinLiborSwaptionModels(): ########################################################################## # COMPARISON OF MODELS ########################################################################## valuationDate = FinDate(2011, 1, 1) liborCurve = test_FinLiborDepositsAndSwaps(valuationDate) exerciseDate = FinDate(2012, 1, 1) swapMaturityDate = FinDate(2017, 1, 1) swapFixedFrequencyType = FinFrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = FinDayCountTypes.ACT_365F strikes = np.linspace(0.02, 0.08, 10) testCases.header("LAB", "STRIKE", "BLK", "BLK_SHFT", "SABR", "SABR_SHFT", "HW", "BK") model1 = FinModelBlack(0.00001) model2 = FinModelBlackShifted(0.00001, 0.0) model3 = FinModelSABR(0.013, 0.5, 0.5, 0.5) model4 = FinModelSABRShifted(0.013, 0.5, 0.5, 0.5, -0.008) model5 = FinModelRatesHW(0.00001, 0.00001) model6 = FinModelRatesBK(0.01, 0.01) settlementDate = valuationDate.addWorkDays(2) for k in strikes: swaptionType = FinLiborSwapTypes.PAYER swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate, swaptionType, k, swapFixedFrequencyType, swapFixedDayCountType) swap1 = swaption.value(valuationDate, liborCurve, model1) swap2 = swaption.value(valuationDate, liborCurve, model2) swap3 = swaption.value(valuationDate, liborCurve, model3) swap4 = swaption.value(valuationDate, liborCurve, model4) swap5 = swaption.value(valuationDate, liborCurve, model5) swap6 = swaption.value(valuationDate, liborCurve, model6) testCases.print("PAY", k, swap1, swap2, swap3, swap4, swap5, swap6) testCases.header("LABEL", "STRIKE", "BLK", "BLK_SHFTD", "SABR", "SABR_SHFTD", "HW", "BK") for k in strikes: swaptionType = FinLiborSwapTypes.RECEIVER swaption = FinLiborSwaption(settlementDate, exerciseDate, swapMaturityDate, swaptionType, k, swapFixedFrequencyType, swapFixedDayCountType) swap1 = swaption.value(valuationDate, liborCurve, model1) swap2 = swaption.value(valuationDate, liborCurve, model2) swap3 = swaption.value(valuationDate, liborCurve, model3) swap4 = swaption.value(valuationDate, liborCurve, model4) swap5 = swaption.value(valuationDate, liborCurve, model5) swap6 = swaption.value(valuationDate, liborCurve, model6) testCases.print("REC", k, swap1, swap2, swap3, swap4, swap5, swap6)
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)