def test_FinIborFuture():
todayDate = Date(5, 5, 2020)
testCases.header("VALUES")
for i in range(1, 12):
fut = IborFuture(todayDate, i, "3M")
testCases.print(fut)
fra = fut.to_fra(0.020, 0.0)
testCases.print(fra)
def test_bloombergPricingExample():
""" 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
spot_days = 0
settleDt = valuation_date.add_weekdays(spot_days)
accrual = DayCountTypes.THIRTY_E_360
depo = IborDeposit(settleDt, "1D", 1.712 / 100.0, accrual)
depos = [depo]
futs = []
fut = IborFuture(valuation_date, 1)
futs.append(fut)
fut = IborFuture(valuation_date, 2)
futs.append(fut)
fut = IborFuture(valuation_date, 3)
futs.append(fut)
fut = IborFuture(valuation_date, 4)
futs.append(fut)
fut = IborFuture(valuation_date, 5)
futs.append(fut)
fut = IborFuture(valuation_date, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].to_fra(97.6675, -0.00005)
fras[1] = futs[1].to_fra(97.5200, -0.00060)
fras[2] = futs[2].to_fra(97.3550, -0.00146)
fras[3] = futs[3].to_fra(97.2450, -0.00263)
fras[4] = futs[4].to_fra(97.1450, -0.00411)
fras[5] = futs[5].to_fra(97.0750, -0.00589)
accrual = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spot_days = 2
settleDt = valuation_date.add_weekdays(spot_days)
payRec = SwapTypes.PAY
lag = 1 # Not used
swaps = []
swap = OIS(settleDt, "2Y", payRec, (2.77417 + 2.77844) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "3Y", payRec, (2.86098 + 2.86582) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "4Y", payRec, (2.90240 + 2.90620) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "5Y", payRec, (2.92944 + 2.92906) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "6Y", payRec, (2.94001 + 2.94499) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "7Y", payRec, (2.95352 + 2.95998) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "8Y", payRec, (2.96830 + 2.97400) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "9Y", payRec, (2.98403 + 2.98817) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "10Y", payRec, (2.99716 + 3.00394) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "11Y", payRec, (3.01344 + 3.01596) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "12Y", payRec, (3.02276 + 3.02684) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "15Y", payRec, (3.04092 + 3.04508) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "20Y", payRec, (3.04417 + 3.05183) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "25Y", payRec, (3.03219 + 3.03621) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "30Y", payRec, (3.01030 + 3.01370) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "40Y", payRec, (2.96946 + 2.97354) / 200, freq,
accrual)
swaps.append(swap)
swap = OIS(settleDt, "50Y", payRec, (2.91552 + 2.93748) / 200, freq,
accrual)
swaps.append(swap)
oisCurve = OISCurve(valuation_date, depos, fras, swaps)
# swaps[0]._fixed_leg.print_valuation()
# swaps[0]._floatLeg.print_valuation()
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print("VALUE:", swaps[0].value(valuation_date, oisCurve, None))
testCases.print("FIXED:",
-swaps[0]._fixed_leg.value(valuation_date, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(valuation_date,
oisCurve, None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print("VALUE:", swaps[0].value(settleDt, oisCurve, None))
testCases.print("FIXED:", -swaps[0]._fixed_leg.value(settleDt, oisCurve))
testCases.print("FLOAT:", swaps[0]._floatLeg.value(settleDt, oisCurve,
None))
def test_bloombergPricingExample():
""" 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
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
maturity_date = settlement_date.add_months(3)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate,
depoDCCType)
depos.append(depo)
futs = []
fut = IborFuture(valuation_date, 1)
futs.append(fut)
fut = IborFuture(valuation_date, 2)
futs.append(fut)
fut = IborFuture(valuation_date, 3)
futs.append(fut)
fut = IborFuture(valuation_date, 4)
futs.append(fut)
fut = IborFuture(valuation_date, 5)
futs.append(fut)
fut = IborFuture(valuation_date, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].to_fra(97.6675, -0.00005)
fras[1] = futs[1].to_fra(97.5200, -0.00060)
fras[2] = futs[2].to_fra(97.3550, -0.00146)
fras[3] = futs[3].to_fra(97.2450, -0.00263)
fras[4] = futs[4].to_fra(97.1450, -0.00411)
fras[5] = futs[5].to_fra(97.0750, -0.00589)
accrual = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spot_days = 2
settlement_date = valuation_date.add_weekdays(spot_days)
fixed_leg_type = SwapTypes.PAY
interp_type = InterpTypes.FLAT_FWD_RATES
swaps = []
swap = IborSwap(settlement_date, "2Y", fixed_leg_type,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "3Y", fixed_leg_type,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "4Y", fixed_leg_type,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "5Y", fixed_leg_type,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "6Y", fixed_leg_type,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "7Y", fixed_leg_type,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "8Y", fixed_leg_type,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "9Y", fixed_leg_type,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "10Y", fixed_leg_type,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "11Y", fixed_leg_type,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "12Y", fixed_leg_type,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "15Y", fixed_leg_type,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "20Y", fixed_leg_type,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "25Y", fixed_leg_type,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "30Y", fixed_leg_type,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "40Y", fixed_leg_type,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "50Y", fixed_leg_type,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps,
interp_type, True)
assert round(
swaps[0].value(valuation_date, libor_curve, libor_curve, None),
4) == 0.0
assert round(swaps[0]._fixed_leg.value(valuation_date, libor_curve),
4) == -53707.6667
assert round(
swaps[0]._float_leg.value(valuation_date, libor_curve, libor_curve,
None), 4) == 53707.6667
assert round(
swaps[0].value(settlement_date, libor_curve, libor_curve, None),
4) == 0.0
assert round(swaps[0]._fixed_leg.value(settlement_date, libor_curve),
4) == -53714.5507
assert round(
swaps[0]._float_leg.value(settlement_date, libor_curve, libor_curve,
None), 4) == 53714.5507
oisCurve = buildOIS(valuation_date)
liborDualCurve = IborDualCurve(valuation_date, oisCurve, depos, fras,
swaps, InterpTypes.FLAT_FWD_RATES, True)
assert round(
swaps[0].value(valuation_date, oisCurve, liborDualCurve, None),
4) == 0.0
assert round(swaps[0]._fixed_leg.value(valuation_date, oisCurve),
4) == -55524.5642
assert round(
swaps[0]._float_leg.value(valuation_date, oisCurve, liborDualCurve,
None), 4) == 55524.5642
assert round(
swaps[0].value(settlement_date, oisCurve, liborDualCurve, None),
4) == 0.0
assert round(swaps[0]._fixed_leg.value(settlement_date, oisCurve),
4) == -55524.5709
assert round(
swaps[0]._float_leg.value(settlement_date, oisCurve, liborDualCurve,
None), 4) == 55524.5709
def test_FinIborFuture():
todayDate = Date(5, 5, 2020)
i = 1
fut = IborFuture(todayDate, i, "3M")
fra = fut.to_fra(0.020, 0.0)
assert fut._delivery_date == Date(17, 6, 2020)
assert fra._start_date == Date(17, 6, 2020)
i = 4
fut = IborFuture(todayDate, i, "3M")
fra = fut.to_fra(0.020, 0.0)
assert fut._delivery_date == Date(17, 3, 2021)
assert fra._start_date == Date(17, 3, 2021)
i = 7
fut = IborFuture(todayDate, i, "3M")
fra = fut.to_fra(0.020, 0.0)
assert fut._delivery_date == Date(15, 12, 2021)
assert fra._start_date == Date(15, 12, 2021)
i = 10
fut = IborFuture(todayDate, i, "3M")
fra = fut.to_fra(0.020, 0.0)
assert fut._delivery_date == Date(21, 9, 2022)
assert fra._start_date == Date(21, 9, 2022)
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
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
maturity_date = settlement_date.add_months(3)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate,
depoDCCType)
depos.append(depo)
futs = []
fut = IborFuture(valuation_date, 1)
futs.append(fut)
fut = IborFuture(valuation_date, 2)
futs.append(fut)
fut = IborFuture(valuation_date, 3)
futs.append(fut)
fut = IborFuture(valuation_date, 4)
futs.append(fut)
fut = IborFuture(valuation_date, 5)
futs.append(fut)
fut = IborFuture(valuation_date, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].to_fra(97.6675, -0.00005)
fras[1] = futs[1].to_fra(97.5200, -0.00060)
fras[2] = futs[2].to_fra(97.3550, -0.00146)
fras[3] = futs[3].to_fra(97.2450, -0.00263)
fras[4] = futs[4].to_fra(97.1450, -0.00411)
fras[5] = futs[5].to_fra(97.0750, -0.00589)
accrual = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spot_days = 2
settlement_date = valuation_date.add_weekdays(spot_days)
notional = ONE_MILLION
fixed_leg_type = SwapTypes.PAY
swaps = []
swap = IborSwapOLD(settlement_date, "2Y", fixed_leg_type,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "3Y", fixed_leg_type,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "4Y", fixed_leg_type,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "5Y", fixed_leg_type,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "6Y", fixed_leg_type,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "7Y", fixed_leg_type,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "8Y", fixed_leg_type,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "9Y", fixed_leg_type,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "10Y", fixed_leg_type,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "11Y", fixed_leg_type,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "12Y", fixed_leg_type,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "15Y", fixed_leg_type,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "20Y", fixed_leg_type,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "25Y", fixed_leg_type,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "30Y", fixed_leg_type,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "40Y", fixed_leg_type,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwapOLD(settlement_date, "50Y", fixed_leg_type,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
libor_curve = FinIborSingleCurveOLD(valuation_date, depos, fras, swaps,
interp_type)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
principal = 0.0
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].float_leg_value(valuation_date, libor_curve,
libor_curve, None))
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].float_leg_value(settlement_date, libor_curve,
libor_curve, None))
# swaps[0].print_fixed_leg_pv()
# swaps[0].print_float_leg_pv()
if 1 == 0:
plt.figure()
years = np.linspace(0, 50, 500)
dates = settlement_date.add_years(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.add_years(years)
fwds = libor_curve.zero_rate(dates)
plt.plot(years, fwds, label="Zero Rate")
plt.title(interp_type)
plt.xlabel("Years")
plt.ylabel("Rate")
plt.legend()
def test_bloombergPricingExample():
""" 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
spot_days = 0
settlement_date = valuation_date.add_weekdays(spot_days)
depoDCCType = DayCountTypes.ACT_360
depos = []
deposit_rate = 0.0231381
maturity_date = settlement_date.add_months(3)
depo = IborDeposit(settlement_date, maturity_date, deposit_rate,
depoDCCType)
depos.append(depo)
futs = []
fut = IborFuture(valuation_date, 1)
futs.append(fut)
fut = IborFuture(valuation_date, 2)
futs.append(fut)
fut = IborFuture(valuation_date, 3)
futs.append(fut)
fut = IborFuture(valuation_date, 4)
futs.append(fut)
fut = IborFuture(valuation_date, 5)
futs.append(fut)
fut = IborFuture(valuation_date, 6)
futs.append(fut)
fras = [None] * 6
fras[0] = futs[0].to_fra(97.6675, -0.00005)
fras[1] = futs[1].to_fra(97.5200, -0.00060)
fras[2] = futs[2].to_fra(97.3550, -0.00146)
fras[3] = futs[3].to_fra(97.2450, -0.00263)
fras[4] = futs[4].to_fra(97.1450, -0.00411)
fras[5] = futs[5].to_fra(97.0750, -0.00589)
accrual = DayCountTypes.THIRTY_E_360
freq = FrequencyTypes.SEMI_ANNUAL
spot_days = 2
settlement_date = valuation_date.add_weekdays(spot_days)
fixed_leg_type = SwapTypes.PAY
interp_type = InterpTypes.FLAT_FWD_RATES
swaps = []
swap = IborSwap(settlement_date, "2Y", fixed_leg_type,
(2.77417 + 2.77844) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "3Y", fixed_leg_type,
(2.86098 + 2.86582) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "4Y", fixed_leg_type,
(2.90240 + 2.90620) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "5Y", fixed_leg_type,
(2.92944 + 2.92906) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "6Y", fixed_leg_type,
(2.94001 + 2.94499) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "7Y", fixed_leg_type,
(2.95352 + 2.95998) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "8Y", fixed_leg_type,
(2.96830 + 2.97400) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "9Y", fixed_leg_type,
(2.98403 + 2.98817) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "10Y", fixed_leg_type,
(2.99716 + 3.00394) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "11Y", fixed_leg_type,
(3.01344 + 3.01596) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "12Y", fixed_leg_type,
(3.02276 + 3.02684) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "15Y", fixed_leg_type,
(3.04092 + 3.04508) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "20Y", fixed_leg_type,
(3.04417 + 3.05183) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "25Y", fixed_leg_type,
(3.03219 + 3.03621) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "30Y", fixed_leg_type,
(3.01030 + 3.01370) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "40Y", fixed_leg_type,
(2.96946 + 2.97354) / 200, freq, accrual)
swaps.append(swap)
swap = IborSwap(settlement_date, "50Y", fixed_leg_type,
(2.91552 + 2.93748) / 200, freq, accrual)
swaps.append(swap)
libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps,
interp_type, True)
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION")
testCases.header("LABEL", "VALUE")
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))
testCases.banner("======================================================")
testCases.banner("SINGLE CURVE VALUATION TO SWAP SETTLEMENT DATE")
testCases.header("LABEL", "VALUE")
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))
testCases.banner("======================================================")
# swaps[0].print_fixed_leg_pv()
# swaps[0].print_float_leg_pv()
oisCurve = buildOIS(valuation_date)
# print(oisCurve)
liborDualCurve = IborDualCurve(valuation_date, oisCurve, depos, fras,
swaps, InterpTypes.FLAT_FWD_RATES, True)
# print(liborDualCurve)
# The valuation of 53714.55 is very close to the spreadsheet value 53713.96
testCases.header("VALUATION TO TODAY DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(valuation_date, oisCurve, liborDualCurve,
None))
testCases.print("FIXED:",
swaps[0]._fixed_leg.value(valuation_date, oisCurve))
testCases.print(
"FLOAT:", swaps[0]._floatLeg.value(valuation_date, oisCurve,
libor_curve, None))
testCases.header("VALUATION TO SWAP SETTLEMENT DATE", " PV")
testCases.print(
"VALUE:", swaps[0].value(settlement_date, oisCurve, liborDualCurve,
None))
testCases.print("FIXED:",
swaps[0]._fixed_leg.value(settlement_date, oisCurve))
testCases.print(
"FLOAT:", swaps[0]._floatLeg.value(
settlement_date,
oisCurve,
liborDualCurve,
None,
))
# swaps[0].print_fixed_leg_pv()
# swaps[0].print_float_leg_pv()
PLOT = False
if PLOT is True:
years = np.linspace(0, 5, 21)
dates = settlement_date.add_years(years)
singleCurveFwds = libor_curve.fwd(dates)
plt.plot(years, singleCurveFwds, label="Single Libor Curve")
oisCurveFwds = oisCurve.fwd(dates)
plt.plot(years, oisCurveFwds, label="OIS Curve")
index_curveFwds = liborDualCurve.fwd(dates)
plt.plot(years, index_curveFwds, label="Libor Index Curve")
plt.legend()
