def test_bloombergPricingExample(interp_type): """ This is an example of a replication of a BBG example from https://github.com/vilen22/curve-building/blob/master/Bloomberg%20Curve%20Building%20Replication.xlsx """ valuation_date = Date(6, 6, 2018) # We do the O/N rate which settles on trade date spotDays = 0 settlement_date = valuation_date.addWeekDays(spotDays) depoDCCType = DayCountTypes.ACT_360 depos = [] deposit_rate = 0.0231381 maturity_date = settlement_date.addMonths(3) depo = FinIborDeposit(settlement_date, maturity_date, deposit_rate, depoDCCType) depos.append(depo) futs = [] fut = FinIborFuture(valuation_date, 1) futs.append(fut) fut = FinIborFuture(valuation_date, 2) futs.append(fut) fut = FinIborFuture(valuation_date, 3) futs.append(fut) fut = FinIborFuture(valuation_date, 4) futs.append(fut) fut = FinIborFuture(valuation_date, 5) futs.append(fut) fut = FinIborFuture(valuation_date, 6) futs.append(fut) fras = [None] * 6 fras[0] = futs[0].toFRA(97.6675, -0.00005) fras[1] = futs[1].toFRA(97.5200, -0.00060) fras[2] = futs[2].toFRA(97.3550, -0.00146) fras[3] = futs[3].toFRA(97.2450, -0.00263) fras[4] = futs[4].toFRA(97.1450, -0.00411) fras[5] = futs[5].toFRA(97.0750, -0.00589) accrual = DayCountTypes.THIRTY_E_360 freq = FrequencyTypes.SEMI_ANNUAL spotDays = 2 settlement_date = valuation_date.addWeekDays(spotDays) notional = ONE_MILLION fixed_legType = FinSwapTypes.PAY swaps = [] swap = FinIborSwap(settlement_date, "2Y", fixed_legType, (2.77417 + 2.77844) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "3Y", fixed_legType, (2.86098 + 2.86582) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "4Y", fixed_legType, (2.90240 + 2.90620) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "5Y", fixed_legType, (2.92944 + 2.92906) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "6Y", fixed_legType, (2.94001 + 2.94499) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "7Y", fixed_legType, (2.95352 + 2.95998) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "8Y", fixed_legType, (2.96830 + 2.97400) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "9Y", fixed_legType, (2.98403 + 2.98817) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "10Y", fixed_legType, (2.99716 + 3.00394) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "11Y", fixed_legType, (3.01344 + 3.01596) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "12Y", fixed_legType, (3.02276 + 3.02684) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "15Y", fixed_legType, (3.04092 + 3.04508) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "20Y", fixed_legType, (3.04417 + 3.05183) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "25Y", fixed_legType, (3.03219 + 3.03621) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "30Y", fixed_legType, (3.01030 + 3.01370) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "40Y", fixed_legType, (2.96946 + 2.97354) / 200, freq, accrual) swaps.append(swap) swap = FinIborSwap(settlement_date, "50Y", fixed_legType, (2.91552 + 2.93748) / 200, freq, accrual) swaps.append(swap) libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps, interp_type) # The valuation of 53714.55 is very close to the spreadsheet value 53713.96 principal = 0.0 # Pay fixed so make fixed leg value negative testCases.header("VALUATION TO TODAY DATE", " PV") testCases.print( "VALUE:", swaps[0].value(valuation_date, libor_curve, libor_curve, None)) testCases.print("FIXED:", -swaps[0]._fixed_leg.value(valuation_date, libor_curve)) testCases.print( "FLOAT:", swaps[0]._floatLeg.value(valuation_date, libor_curve, libor_curve, None)) # Pay fixed so make fixed leg value negative testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV") testCases.print( "VALUE:", swaps[0].value(settlement_date, libor_curve, libor_curve, None)) testCases.print("FIXED:", -swaps[0]._fixed_leg.value(settlement_date, libor_curve)) testCases.print( "FLOAT:", swaps[0]._floatLeg.value(settlement_date, libor_curve, libor_curve, None)) # swaps[0].printFixedLegPV() # swaps[0].printFloatLegPV() if 1 == 0: plt.figure() years = np.linspace(0, 50, 500) dates = settlement_date.addYears(years) fwds = libor_curve.fwd(dates) plt.plot(years, fwds, label="Fwd Rate") plt.title(interp_type) plt.xlabel("Years") plt.legend() years = np.linspace(0, 50, 500) dates = settlement_date.addYears(years) fwds = libor_curve.zeroRate(dates) plt.plot(years, fwds, label="Zero Rate") plt.title(interp_type) plt.xlabel("Years") plt.ylabel("Rate") plt.legend()
def test_FinIborDepositsFuturesSwaps(): spotDate = Date(6, 6, 2018) spotDays = 0 settlement_date = spotDate.addWeekDays(spotDays) depoDCCType = DayCountTypes.ACT_360 depos = [] deposit_rate = 0.0231381 depo = FinIborDeposit(settlement_date, "3M", deposit_rate, depoDCCType) depos.append(depo) deposit_rate = 0.027 depo = FinIborDeposit(settlement_date, "3M", deposit_rate, depoDCCType) depos.append(depo) depos = [] depo = FinIborDeposit(settlement_date, "1M", 0.0230, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlement_date, "2M", 0.0235, depoDCCType) depos.append(depo) depo = FinIborDeposit(settlement_date, "3M", 0.0240, depoDCCType) depos.append(depo) fras = [] fraRate = futureToFRARate(97.6675, -0.00005) fraSettlementDate = spotDate.nextIMMDate() fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.5200, -0.00060) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.3550, -0.00146) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.2450, -0.00263) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.1450, -0.00411) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.0750, -0.00589) fraSettlementDate = fraSettlementDate.nextIMMDate() fraMaturityDate = fraSettlementDate.nextIMMDate() fra = FinIborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) ########################################################################### spotDays = 2 start_date = spotDate.addWeekDays(spotDays) swaps = [] fixed_legType = FinSwapTypes.PAY fixedDCCType = DayCountTypes.THIRTY_E_360 fixedFreqType = FrequencyTypes.SEMI_ANNUAL floatFreqType = FrequencyTypes.QUARTERLY notional = 1000000 principal = 0.0 floatSpread = 0.0 floatDCCType = DayCountTypes.ACT_360 calendar_type = CalendarTypes.UNITED_STATES busDayAdjustRule = BusDayAdjustTypes.PRECEDING swap_rate = 0.02776305 swap = FinIborSwap(start_date, "2Y", fixed_legType, swap_rate, fixedFreqType, fixedDCCType, notional, floatSpread, floatFreqType, floatDCCType, calendar_type, busDayAdjustRule) swaps.append(swap) libor_curve = IborSingleCurve(spotDate, depos, fras, swaps) times = np.linspace(0.0, 2.0, 25) dates = spotDate.addYears(times) zeroRates = libor_curve.zeroRate(dates) fwd_rates = libor_curve.fwd(dates) if PLOT_GRAPHS: plt.figure(figsize=(8, 6)) plt.plot(times, zeroRates * 100, label="zero rates") plt.plot(times, fwd_rates * 100, label="fwd rates") plt.xlabel("Times") plt.ylabel("CC forward rates") plt.legend() print("==============================================================") for fra in fras: print(fra) print("==============================================================") end_date = spotDate df = libor_curve.df(end_date) print(end_date, df) end_date = settlement_date df = libor_curve.df(end_date) print(end_date, df) end_date = Date(20, 6, 2018) df = libor_curve.df(end_date) print(end_date, df) for depo in depos: end_date = depo._maturity_date df = libor_curve.df(end_date) print(end_date, df) for fra in fras: end_date = fra._maturity_date df = libor_curve.df(end_date) print(end_date, df) for swap in swaps: end_date = swap._maturity_date df = libor_curve.df(end_date) print(end_date, df) swap.printFixedLegPV(spotDate) swap.printFloatLegPV(spotDate)