def test_CDSFastApproximation(): valueDate = FinDate(2018, 6, 20) # I build a discount curve that requires no bootstrap times = np.linspace(0, 10.0, 11) r = 0.05 discountFactors = np.power((1.0 + r), -times) dates = valueDate.addYears(times) liborCurve = FinDiscountCurve(valueDate, dates, discountFactors, FinInterpTypes.FLAT_FWD_RATES) ########################################################################## maturityDate = valueDate.nextCDSDate(120) t = (maturityDate - valueDate) / 365.242 z = liborCurve.df(maturityDate) r = -np.log(z) / t recoveryRate = 0.40 contractCoupon = 0.010 testCases.header("MKT_SPD", "EXACT_VALUE", "APPROX_VALUE", "DIFF(%NOT)") for mktCoupon in np.linspace(0.000, 0.05, 21): cdsContracts = [] cdsMkt = FinCDS(valueDate, maturityDate, mktCoupon, ONE_MILLION) cdsContracts.append(cdsMkt) issuerCurve = FinCDSCurve(valueDate, cdsContracts, liborCurve, recoveryRate) cdsContract = FinCDS(valueDate, maturityDate, contractCoupon) v_exact = cdsContract.value( valueDate, issuerCurve, recoveryRate)['full_pv'] v_approx = cdsContract.valueFastApprox( valueDate, r, mktCoupon, recoveryRate)[0] pctdiff = (v_exact - v_approx) / ONE_MILLION * 100.0 testCases.print(mktCoupon * 10000, v_exact, v_approx, pctdiff)
def test_fullPriceCDSModelCheck(): testCases.print("Example", "MARKIT CHECK 19 Aug 2020") liborCurve, issuerCurve = buildFullIssuerCurve2(0.0, 0.0) # This is the 10 year contract at an off market coupon maturityDate = FinDate(20, 6, 2025) cdsCoupon = 0.050 notional = ONE_MILLION longProtection = True tradeDate = FinDate(20, 8, 2020) effectiveDate = FinDate(21, 8, 2020) valuationDate = tradeDate cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional, longProtection) cdsRecovery = 0.40 testCases.header("LABEL", "VALUE") spd = cdsContract.parSpread(valuationDate, issuerCurve, cdsRecovery) * 10000.0 testCases.print("PAR_SPREAD", spd) v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery) testCases.print("FULL_VALUE", v['full_pv']) testCases.print("CLEAN_VALUE", v['clean_pv']) p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery) testCases.print("CLEAN_PRICE", p) accruedDays = cdsContract.accruedDays() testCases.print("ACCRUED_DAYS", accruedDays) accruedInterest = cdsContract.accruedInterest() testCases.print("ACCRUED_COUPON", accruedInterest) protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve, cdsRecovery) testCases.print("PROTECTION_PV", protPV) premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery) testCases.print("PREMIUM_PV", premPV) rpv01 = cdsContract.riskyPV01(valuationDate, issuerCurve) testCases.print("FULL_RPV01", rpv01['full_rpv01']) testCases.print("CLEAN_RPV01", rpv01['clean_rpv01']) creditDV01 = cdsContract.creditDV01(valuationDate, issuerCurve, cdsRecovery) testCases.print("CREDIT DV01", creditDV01) interestDV01 = cdsContract.interestDV01(valuationDate, issuerCurve, cdsRecovery) testCases.print("INTEREST DV01", interestDV01) # Consider fast approximation t = (maturityDate - valuationDate) / gDaysInYear z = liborCurve.df(maturityDate) r = -np.log(z) / t mktSpread = 0.01 v_approx = cdsContract.valueFastApprox(valuationDate, r, mktSpread, cdsRecovery) testCases.header("FAST VALUATIONS", "VALUE") testCases.print("FULL APPROX VALUE", v_approx[0]) testCases.print("CLEAN APPROX VALUE", v_approx[1]) testCases.print("APPROX CREDIT DV01", v_approx[2]) testCases.print("APPROX INTEREST DV01", v_approx[3])
def test_fullPriceCDS1(): mktSpread = 0.040 testCases.header("Example", "Markit 9 Aug 2019") liborCurve, issuerCurve = buildFullIssuerCurve1(0.0, 0.0) # This is the 10 year contract at an off market coupon maturityDate = FinDate(2029, 6, 20) cdsCoupon = 0.0150 notional = ONE_MILLION longProtection = False tradeDate = FinDate(2019, 8, 9) valuationDate = tradeDate.addDays(1) effectiveDate = valuationDate cdsContract = FinCDS(effectiveDate, maturityDate, cdsCoupon, notional, longProtection) cdsRecovery = 0.40 testCases.header("LABEL", "VALUE") spd = cdsContract.parSpread(valuationDate, issuerCurve, cdsRecovery) * 10000.0 testCases.print("PAR_SPREAD", spd) v = cdsContract.value(valuationDate, issuerCurve, cdsRecovery) testCases.print("FULL_VALUE", v['full_pv']) testCases.print("CLEAN_VALUE", v['clean_pv']) p = cdsContract.cleanPrice(valuationDate, issuerCurve, cdsRecovery) testCases.print("CLEAN_PRICE", p) accruedDays = cdsContract.accruedDays() testCases.print("ACCRUED_DAYS", accruedDays) accruedInterest = cdsContract.accruedInterest() testCases.print("ACCRUED_COUPON", accruedInterest) protPV = cdsContract.protectionLegPV(valuationDate, issuerCurve, cdsRecovery) testCases.print("PROTECTION_PV", protPV) premPV = cdsContract.premiumLegPV(valuationDate, issuerCurve, cdsRecovery) testCases.print("PREMIUM_PV", premPV) fullRPV01, cleanRPV01 = cdsContract.riskyPV01(valuationDate, issuerCurve) testCases.print("FULL_RPV01", fullRPV01) testCases.print("CLEAN_RPV01", cleanRPV01) # cdsContract.printFlows(issuerCurve) bump = 1.0 / 10000.0 # 1 bp liborCurve, issuerCurve = buildFullIssuerCurve1(bump, 0) v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery) dv = v_bump['full_pv'] - v['full_pv'] testCases.print("CREDIT_DV01", dv) # Interest Rate Bump liborCurve, issuerCurve = buildFullIssuerCurve1(0, bump) v_bump = cdsContract.value(valuationDate, issuerCurve, cdsRecovery) dv = v_bump['full_pv'] - v['full_pv'] testCases.print("INTEREST_DV01", dv) t = (maturityDate - valuationDate) / gDaysInYear z = liborCurve.df(maturityDate) r = -np.log(z) / t v_approx = cdsContract.valueFastApprox(valuationDate, r, mktSpread, cdsRecovery) testCases.print("FULL APPROX VALUE", v_approx[0]) testCases.print("CLEAN APPROX VALUE", v_approx[1]) testCases.print("APPROX CREDIT DV01", v_approx[2]) testCases.print("APPROX INTEREST DV01", v_approx[3])