def build_Ibor_Curve(tradeDate): valuation_date = tradeDate.add_days(1) dcType = DayCountTypes.ACT_360 depos = [] depos = [] fras = [] swaps = [] dcType = DayCountTypes.THIRTY_E_360_ISDA fixedFreq = FrequencyTypes.SEMI_ANNUAL settlement_date = valuation_date maturity_date = settlement_date.add_months(12) swap1 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, 0.0502, fixedFreq, dcType) swaps.append(swap1) maturity_date = settlement_date.add_months(24) swap2 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, 0.0502, fixedFreq, dcType) swaps.append(swap2) maturity_date = settlement_date.add_months(36) swap3 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, 0.0501, fixedFreq, dcType) swaps.append(swap3) maturity_date = settlement_date.add_months(48) swap4 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, 0.0502, fixedFreq, dcType) swaps.append(swap4) maturity_date = settlement_date.add_months(60) swap5 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, 0.0501, fixedFreq, dcType) swaps.append(swap5) libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps) return libor_curve
def test_LiborSwap(): # I have tried to reproduce the example from the blog by Ioannis Rigopoulos # https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve start_date = Date(27, 12, 2017) end_date = Date(27, 12, 2067) fixed_coupon = 0.015 fixedFreqType = FrequencyTypes.ANNUAL fixed_day_count_type = DayCountTypes.THIRTY_E_360 float_spread = 0.0 floatFreqType = FrequencyTypes.SEMI_ANNUAL float_day_count_type = DayCountTypes.ACT_360 firstFixing = -0.00268 swapCalendarType = CalendarTypes.WEEKEND bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING date_gen_rule_type = DateGenRuleTypes.BACKWARD fixed_leg_type = SwapTypes.RECEIVE notional = 10.0 * ONE_MILLION swap = IborSwap(start_date, end_date, fixed_leg_type, fixed_coupon, fixedFreqType, fixed_day_count_type, notional, float_spread, floatFreqType, float_day_count_type, swapCalendarType, bus_day_adjust_type, date_gen_rule_type) """ Now perform a valuation after the swap has seasoned but with the same curve being used for discounting and working out the implied future Libor rates. """ valuation_date = Date(30, 11, 2018) settlement_date = valuation_date.add_days(2) libor_curve = buildIborSingleCurve(valuation_date) v = swap.value(settlement_date, libor_curve, libor_curve, firstFixing) v_bbg = 388147.0 testCases.header("LABEL", "VALUE") testCases.print("SWAP_VALUE USING ONE_CURVE", v) testCases.print("BLOOMBERG VALUE", v_bbg) testCases.print("DIFFERENCE VALUE", v_bbg - v)
def test_ibor_depositsAndSwaps(valuation_date): depoBasis = DayCountTypes.THIRTY_E_360_ISDA depos = [] spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) deposit_rate = 0.05 depo1 = IborDeposit(settlement_date, "1M", deposit_rate, depoBasis) depo2 = IborDeposit(settlement_date, "3M", deposit_rate, depoBasis) depo3 = IborDeposit(settlement_date, "6M", deposit_rate, depoBasis) depos.append(depo1) depos.append(depo2) depos.append(depo3) fras = [] swaps = [] fixedBasis = DayCountTypes.ACT_365F fixedFreq = FrequencyTypes.SEMI_ANNUAL fixed_leg_type = SwapTypes.PAY swap_rate = 0.05 swap1 = IborSwap(settlement_date, "1Y", fixed_leg_type, swap_rate, fixedFreq, fixedBasis) swap2 = IborSwap(settlement_date, "3Y", fixed_leg_type, swap_rate, fixedFreq, fixedBasis) swap3 = IborSwap(settlement_date, "5Y", fixed_leg_type, swap_rate, fixedFreq, fixedBasis) swaps.append(swap1) swaps.append(swap2) swaps.append(swap3) libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps) return libor_curve
def test_IborBermudanSwaptionBKModel(): """ Replicate examples in paper by Leif Andersen which can be found at file:///C:/Users/Dominic/Downloads/SSRN-id155208.pdf """ valuation_date = Date(1, 1, 2011) settlement_date = valuation_date exercise_date = settlement_date.add_years(1) swapMaturityDate = settlement_date.add_years(4) swapFixedCoupon = 0.060 swapFixedFrequencyType = FrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = DayCountTypes.ACT_365F libor_curve = DiscountCurveFlat(valuation_date, 0.0625, FrequencyTypes.SEMI_ANNUAL, DayCountTypes.ACT_365F) fwdPAYSwap = IborSwap(exercise_date, swapMaturityDate, SwapTypes.PAY, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fwdSwapValue = fwdPAYSwap.value(settlement_date, libor_curve, libor_curve) testCases.header("LABEL", "VALUE") testCases.print("FWD SWAP VALUE", fwdSwapValue) # fwdPAYSwap.print_fixed_leg_pv() # Now we create the European swaptions fixed_leg_type = SwapTypes.PAY europeanSwaptionPay = IborSwaption(settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_leg_type = SwapTypes.RECEIVE europeanSwaptionRec = IborSwaption(settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) ########################################################################### ########################################################################### ########################################################################### # BLACK'S MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("======= ZERO VOLATILITY ========") model = Black(0.0000001) testCases.print("Black Model", model._volatility) valuePay = europeanSwaptionPay.value(settlement_date, libor_curve, model) testCases.print("EUROPEAN BLACK PAY VALUE ZERO VOL:", valuePay) valueRec = europeanSwaptionRec.value(settlement_date, libor_curve, model) testCases.print("EUROPEAN BLACK REC VALUE ZERO VOL:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("======= 20%% BLACK VOLATILITY ========") model = Black(0.20) testCases.print("Black Model", model._volatility) valuePay = europeanSwaptionPay.value(settlement_date, libor_curve, model) testCases.print("EUROPEAN BLACK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(settlement_date, libor_curve, model) testCases.print("EUROPEAN BLACK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BK MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("==================== BK MODEL =========================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======= 0% VOLATILITY EUROPEAN SWAPTION BK MODEL ======") # Used BK with constant short-rate volatility sigma = 0.000000001 a = 0.01 num_time_steps = 100 model = BKTree(sigma, a, num_time_steps) valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY EUROPEAN SWAPTION BK MODEL ========") # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = BKTree(sigma, a, num_time_steps) testCases.banner("BK MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BK PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixed_leg_type = SwapTypes.PAY exercise_type = FinExerciseTypes.EUROPEAN bermudan_swaption_pay = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_leg_type = SwapTypes.RECEIVE exercise_type = FinExerciseTypes.EUROPEAN bermudan_swaption_rec = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BK MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = BKTree(sigma, a, num_time_steps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BK MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.2 a = 0.01 model = BKTree(sigma, a, num_time_steps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixed_leg_type = SwapTypes.PAY exercise_type = FinExerciseTypes.BERMUDAN bermudan_swaption_pay = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_leg_type = SwapTypes.RECEIVE exercise_type = FinExerciseTypes.BERMUDAN bermudan_swaption_rec = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BK MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = BKTree(sigma, a, num_time_steps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BK MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = BKTree(sigma, a, num_time_steps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BK REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BDT MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======================= BDT MODEL =====================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("====== 0% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.00001 num_time_steps = 200 model = BDTTree(sigma, num_time_steps) valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BDT PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("===== 20% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = BDTTree(sigma, num_time_steps) testCases.banner("BDT MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BDT PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixed_leg_type = SwapTypes.PAY exercise_type = FinExerciseTypes.EUROPEAN bermudan_swaption_pay = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_leg_type = SwapTypes.RECEIVE bermudan_swaption_rec = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BDT MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 model = BDTTree(sigma, num_time_steps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE BDT MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.2 model = BDTTree(sigma, num_time_steps) testCases.banner("BDT MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixed_leg_type = SwapTypes.PAY exercise_type = FinExerciseTypes.BERMUDAN bermudan_swaption_pay = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_leg_type = SwapTypes.RECEIVE bermudan_swaption_rec = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BDT MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = BDTTree(sigma, num_time_steps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 20% VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE BDT MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.20 a = 0.01 model = BDTTree(sigma, num_time_steps) # print("BDT MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### ########################################################################### ########################################################################### # BDT MODEL ########################################################################### ########################################################################### ########################################################################### testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("======================= HW MODEL ======================") testCases.banner("=======================================================") testCases.banner("=======================================================") testCases.banner("====== 0% VOLATILITY EUROPEAN SWAPTION HW MODEL ======") sigma = 0.0000001 a = 0.1 num_time_steps = 200 model = HWTree(sigma, a, num_time_steps) valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN HW PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner("===== 20% VOLATILITY EUROPEAN SWAPTION BDT MODEL ======") # Used BK with constant short-rate volatility sigma = 0.01 a = 0.01 model = HWTree(sigma, a, num_time_steps) testCases.banner("HW MODEL SWAPTION CLASS EUROPEAN EXERCISE") valuePay = europeanSwaptionPay.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN HW PAY VALUE:", valuePay) valueRec = europeanSwaptionRec.value(valuation_date, libor_curve, model) testCases.print("EUROPEAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but only allow European exercise fixed_leg_type = SwapTypes.PAY exercise_type = FinExerciseTypes.EUROPEAN bermudan_swaption_pay = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_leg_type = SwapTypes.RECEIVE bermudan_swaption_rec = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= 0% VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE HW MODEL ========" ) sigma = 0.000001 model = HWTree(sigma, a, num_time_steps) testCases.banner("BK MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 100bp VOLATILITY BERMUDAN SWAPTION EUROPEAN EXERCISE HW MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.01 model = HWTree(sigma, a, num_time_steps) testCases.banner("BDT MODEL BERMUDAN SWAPTION CLASS EUROPEAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN BDT REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) ########################################################################### # Now we create the Bermudan swaptions but allow Bermudan exercise ########################################################################### fixed_leg_type = SwapTypes.PAY exercise_type = FinExerciseTypes.BERMUDAN bermudan_swaption_pay = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fixed_leg_type = SwapTypes.RECEIVE bermudan_swaption_rec = IborBermudanSwaption( settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, exercise_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) testCases.banner( "======= ZERO VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE HW MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.000001 a = 0.01 model = HWTree(sigma, a, num_time_steps) testCases.banner("HW MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN HW PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec) testCases.banner( "======= 100bps VOLATILITY BERMUDAN SWAPTION BERMUDAN EXERCISE HW MODEL ========" ) # Used BK with constant short-rate volatility sigma = 0.01 a = 0.01 model = HWTree(sigma, a, num_time_steps) testCases.banner("HW MODEL BERMUDAN SWAPTION CLASS BERMUDAN EXERCISE") valuePay = bermudan_swaption_pay.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN HW PAY VALUE:", valuePay) valueRec = bermudan_swaption_rec.value(valuation_date, libor_curve, model) testCases.print("BERMUDAN HW REC VALUE:", valueRec) payRec = valuePay - valueRec testCases.print("PAY MINUS RECEIVER :", payRec)
def test_BondEmbeddedOptionMATLAB(): # https://fr.mathworks.com/help/fininst/optembndbybk.html # I FIND THAT THE PRICE CONVERGES TO 102.365 WHICH IS CLOSE TO 102.382 # FOUND BY MATLAB ALTHOUGH THEY DO NOT EXAMINE THE ASYMPTOTIC PRICE # WHICH MIGHT BE A BETTER MATCH - ALSO THEY DO NOT USE A REALISTIC VOL valuation_date = Date(1, 1, 2007) settlement_date = valuation_date ########################################################################### fixed_leg_type = SwapTypes.PAY dcType = DayCountTypes.THIRTY_E_360 fixedFreq = FrequencyTypes.ANNUAL swap1 = IborSwap(settlement_date, "1Y", fixed_leg_type, 0.0350, fixedFreq, dcType) swap2 = IborSwap(settlement_date, "2Y", fixed_leg_type, 0.0400, fixedFreq, dcType) swap3 = IborSwap(settlement_date, "3Y", fixed_leg_type, 0.0450, fixedFreq, dcType) swaps = [swap1, swap2, swap3] discount_curve = IborSingleCurve(valuation_date, [], [], swaps) ########################################################################### issue_date = Date(1, 1, 2005) maturity_date = Date(1, 1, 2010) coupon = 0.0525 freq_type = FrequencyTypes.ANNUAL accrual_type = DayCountTypes.ACT_ACT_ICMA bond = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type) call_dates = [] call_prices = [] put_dates = [] put_prices = [] putDate = Date(1, 1, 2008) for _ in range(0, 24): put_dates.append(putDate) put_prices.append(100) putDate = putDate.add_months(1) testCases.header("BOND PRICE", "PRICE") v = bond.clean_price_from_discount_curve(settlement_date, discount_curve) testCases.print("Bond Pure Price:", v) sigma = 0.01 # This volatility is very small for a BK process a = 0.1 puttableBond = BondEmbeddedOption(issue_date, maturity_date, coupon, freq_type, accrual_type, call_dates, call_prices, put_dates, put_prices) testCases.header("TIME", "NumTimeSteps", "BondWithOption", "BondPure") timeSteps = range(100, 200, 10) # 1000, 10) values = [] for num_time_steps in timeSteps: model = BKTree(sigma, a, num_time_steps) start = time.time() v = puttableBond.value(settlement_date, discount_curve, model) end = time.time() period = end - start testCases.print(period, num_time_steps, v['bondwithoption'], v['bondpure']) values.append(v['bondwithoption']) if plotGraphs: plt.figure() plt.plot(timeSteps, values)
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_derivativePricingExample(): valuation_date = Date(10, 11, 2011) dccType = DayCountTypes.ACT_360 depos = [] # We do the O/N rate which settles on trade date spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) deposit_rate = 0.001410 depo = IborDeposit(settlement_date, "ON", deposit_rate, dccType) depos.append(depo) spot_days = 1 settlement_date = valuation_date.add_weekdays(spot_days) deposit_rate = 0.001410 depo = IborDeposit(settlement_date, "TN", deposit_rate, dccType) depos.append(depo) spot_days = 2 settlement_date = valuation_date.add_weekdays(spot_days) deposit_rate = 0.001910 depo = IborDeposit(settlement_date, "1W", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.002090 depo = IborDeposit(settlement_date, "2W", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.002490 depo = IborDeposit(settlement_date, "1M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.003450 depo = IborDeposit(settlement_date, "2M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.004570 depo = IborDeposit(settlement_date, "3M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.005230 depo = IborDeposit(settlement_date, "4M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.005860 depo = IborDeposit(settlement_date, "5M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.006540 depo = IborDeposit(settlement_date, "6M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.007080 depo = IborDeposit(settlement_date, "7M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.007540 depo = IborDeposit(settlement_date, "8M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.008080 depo = IborDeposit(settlement_date, "9M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.008570 depo = IborDeposit(settlement_date, "10M", deposit_rate, dccType) depos.append(depo) deposit_rate = 0.009130 depo = IborDeposit(settlement_date, "11M", deposit_rate, dccType) depos.append(depo) fras = [] swaps = [] day_count_type = DayCountTypes.THIRTY_E_360_ISDA # day_count_type = DayCountTypes.ACT_360 freq_type = FrequencyTypes.SEMI_ANNUAL fixed_leg_type = SwapTypes.PAY swap_rate = 0.0058 swap = IborSwap(settlement_date, "1Y", fixed_leg_type, swap_rate, freq_type, day_count_type) swaps.append(swap) swap_rate = 0.0060 swap = IborSwap(settlement_date, "2Y", fixed_leg_type, swap_rate, freq_type, day_count_type) swaps.append(swap) swap_rate = 0.0072 swap = IborSwap(settlement_date, "3Y", fixed_leg_type, swap_rate, freq_type, day_count_type) swaps.append(swap) swap_rate = 0.0096 swap = IborSwap(settlement_date, "4Y", fixed_leg_type, swap_rate, freq_type, day_count_type) swaps.append(swap) swap_rate = 0.0124 swap = IborSwap(settlement_date, "5Y", fixed_leg_type, swap_rate, freq_type, day_count_type) swaps.append(swap) swap_rate = 0.0173 swap = IborSwap(settlement_date, "7Y", fixed_leg_type, swap_rate, freq_type, day_count_type) swaps.append(swap) swap_rate = 0.0219 swap = IborSwap(settlement_date, "10Y", fixed_leg_type, swap_rate, freq_type, day_count_type) swaps.append(swap) swap_rate = 0.0283 swap = IborSwap(settlement_date, "30Y", fixed_leg_type, swap_rate, freq_type, day_count_type) swaps.append(swap) numRepeats = 10 start = time.time() for _ in range(0, numRepeats): _ = IborSingleCurve(valuation_date, depos, fras, swaps, InterpTypes.FLAT_FWD_RATES) end = time.time() elapsed1 = end - start start = time.time() for _ in range(0, numRepeats): _ = IborSingleCurve(valuation_date, depos, fras, swaps, InterpTypes.FLAT_FWD_RATES) end = time.time() elapsed2 = end - start testCases.header("METHOD", "TIME") testCases.print("NON-LINEAR SOLVER BOOTSTRAP", elapsed1 / numRepeats) testCases.print("LINEAR SWAP BOOTSTRAP", elapsed2 / numRepeats)
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 = 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) # 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].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 testFinIborCashSettledSwaption(): testCases.header("LABEL", "VALUE") valuation_date = Date(1, 1, 2020) settlement_date = Date(1, 1, 2020) depoDCCType = DayCountTypes.THIRTY_E_360_ISDA depos = [] depo = IborDeposit(settlement_date, "1W", 0.0023, depoDCCType) depos.append(depo) depo = IborDeposit(settlement_date, "1M", 0.0023, depoDCCType) depos.append(depo) depo = IborDeposit(settlement_date, "3M", 0.0023, depoDCCType) depos.append(depo) depo = IborDeposit(settlement_date, "6M", 0.0023, depoDCCType) depos.append(depo) # No convexity correction provided so I omit interest rate futures settlement_date = Date(2, 1, 2020) swaps = [] accType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL fixed_leg_type = SwapTypes.PAY swap = IborSwap(settlement_date, "3Y", fixed_leg_type, 0.00790, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "4Y", fixed_leg_type, 0.01200, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "5Y", fixed_leg_type, 0.01570, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "6Y", fixed_leg_type, 0.01865, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "7Y", fixed_leg_type, 0.02160, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "8Y", fixed_leg_type, 0.02350, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "9Y", fixed_leg_type, 0.02540, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "10Y", fixed_leg_type, 0.0273, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "15Y", fixed_leg_type, 0.0297, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "20Y", fixed_leg_type, 0.0316, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "25Y", fixed_leg_type, 0.0335, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "30Y", fixed_leg_type, 0.0354, fixedFreqType, accType) swaps.append(swap) libor_curve = IborSingleCurve(valuation_date, depos, [], swaps, InterpTypes.LINEAR_ZERO_RATES) exercise_date = settlement_date.add_tenor("5Y") swapMaturityDate = exercise_date.add_tenor("5Y") swapFixedCoupon = 0.040852 swapFixedFrequencyType = FrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA swapFloatFrequencyType = FrequencyTypes.QUARTERLY swapFloatDayCountType = DayCountTypes.ACT_360 swapNotional = 1000000 fixed_leg_type = SwapTypes.PAY swaption = IborSwaption(settlement_date, exercise_date, swapMaturityDate, fixed_leg_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType, swapNotional, swapFloatFrequencyType, swapFloatDayCountType) model = Black(0.1533) v = swaption.value(settlement_date, libor_curve, model) testCases.print("Swaption No-Arb Value:", v) fwdSwapRate1 = libor_curve.swap_rate(exercise_date, swapMaturityDate, swapFixedFrequencyType, swapFixedDayCountType) testCases.print("Curve Fwd Swap Rate:", fwdSwapRate1) fwdSwap = IborSwap(exercise_date, swapMaturityDate, fixed_leg_type, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType) fwdSwapRate2 = fwdSwap.swap_rate(settlement_date, libor_curve) testCases.print("Fwd Swap Swap Rate:", fwdSwapRate2) model = Black(0.1533) v = swaption.cash_settled_value(valuation_date, libor_curve, fwdSwapRate2, model) testCases.print("Swaption Cash Settled Value:", v)
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()
def build_Ibor_Curve(valuation_date): depoDCCType = DayCountTypes.THIRTY_E_360_ISDA depos = [] payFixed = SwapTypes.PAY spot_days = 2 settlement_date = valuation_date.add_weekdays(spot_days) deposit_rate = 0.050 maturity_date = settlement_date.add_months(1) depo1 = IborDeposit( settlement_date, maturity_date, deposit_rate, depoDCCType) maturity_date = settlement_date.add_months(3) depo2 = IborDeposit( settlement_date, maturity_date, deposit_rate, depoDCCType) maturity_date = settlement_date.add_months(6) depo3 = IborDeposit( settlement_date, maturity_date, deposit_rate, depoDCCType) maturity_date = settlement_date.add_months(9) depo4 = IborDeposit( settlement_date, maturity_date, deposit_rate, depoDCCType) maturity_date = settlement_date.add_months(12) depo5 = IborDeposit( settlement_date, maturity_date, deposit_rate, depoDCCType) depos.append(depo1) depos.append(depo2) depos.append(depo3) depos.append(depo4) depos.append(depo5) fras = [] fixedDCCType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL swaps = [] swap_rate = 0.05 maturity_date = settlement_date.add_months(24) swap1 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap1) maturity_date = settlement_date.add_months(36) swap2 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap2) maturity_date = settlement_date.add_months(48) swap3 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap3) maturity_date = settlement_date.add_months(60) swap4 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap4) maturity_date = settlement_date.add_months(72) swap5 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap5) maturity_date = settlement_date.add_months(84) swap6 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap6) maturity_date = settlement_date.add_months(96) swap7 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap7) maturity_date = settlement_date.add_months(108) swap8 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap8) maturity_date = settlement_date.add_months(120) swap9 = IborSwap( settlement_date, maturity_date, swap_rate, payFixed, fixedFreqType, fixedDCCType) swaps.append(swap9) libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps) if 1 == 0: import numpy as np num_steps = 40 dt = 10 / num_steps times = np.linspace(0.0, 10.0, num_steps + 1) df0 = 1.0 for t in times[1:]: df1 = libor_curve.df(t) fwd = (df0 / df1 - 1.0) / dt print(t, df1, fwd) df0 = df1 return libor_curve
def buildFullIssuerCurve2(mktSpreadBump, irBump): # https://www.markit.com/markit.jsp?jsppage=pv.jsp # YIELD CURVE 20 August 2020 SNAP AT 1600 m = 1.0 valuation_date = Date(24, 8, 2020) settlement_date = Date(24, 8, 2020) dcType = DayCountTypes.ACT_360 depos = [] maturity_date = settlement_date.add_months(1) depo1 = IborDeposit(settlement_date, maturity_date, m * 0.001709, dcType) maturity_date = settlement_date.add_months(2) depo2 = IborDeposit(settlement_date, maturity_date, m * 0.002123, dcType) maturity_date = settlement_date.add_months(3) depo3 = IborDeposit(settlement_date, maturity_date, m * 0.002469, dcType) maturity_date = settlement_date.add_months(6) depo4 = IborDeposit(settlement_date, maturity_date, m * 0.003045, dcType) maturity_date = settlement_date.add_months(12) depo5 = IborDeposit(settlement_date, maturity_date, m * 0.004449, dcType) depos.append(depo1) depos.append(depo2) depos.append(depo3) depos.append(depo4) depos.append(depo5) swaps = [] dcType = DayCountTypes.THIRTY_E_360_ISDA fixedFreq = FrequencyTypes.SEMI_ANNUAL maturity_date = settlement_date.add_months(24) swap1 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.002155 + irBump, fixedFreq, dcType) swaps.append(swap1) maturity_date = settlement_date.add_months(36) swap2 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.002305 + irBump, fixedFreq, dcType) swaps.append(swap2) maturity_date = settlement_date.add_months(48) swap3 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.002665 + irBump, fixedFreq, dcType) swaps.append(swap3) maturity_date = settlement_date.add_months(60) swap4 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.003290 + irBump, fixedFreq, dcType) swaps.append(swap4) libor_curve = IborSingleCurve(valuation_date, depos, [], swaps) cdsCoupon = 0.01 + mktSpreadBump cdsMarketContracts = [] effective_date = Date(21, 8, 2020) cds = CDS(effective_date, "6M", cdsCoupon) cdsMarketContracts.append(cds) cds = CDS(effective_date, "1Y", cdsCoupon) cdsMarketContracts.append(cds) cds = CDS(effective_date, "2Y", cdsCoupon) cdsMarketContracts.append(cds) cds = CDS(effective_date, "3Y", cdsCoupon) cdsMarketContracts.append(cds) cds = CDS(effective_date, "4Y", cdsCoupon) cdsMarketContracts.append(cds) cds = CDS(effective_date, "5Y", cdsCoupon) cdsMarketContracts.append(cds) cds = CDS(effective_date, "7Y", cdsCoupon) cdsMarketContracts.append(cds) cds = CDS(effective_date, "10Y", cdsCoupon) cdsMarketContracts.append(cds) recovery_rate = 0.40 issuer_curve = CDSCurve(settlement_date, cdsMarketContracts, libor_curve, recovery_rate) testCases.header("DATE", "DISCOUNT_FACTOR", "SURV_PROB") years = np.linspace(0.0, 10.0, 20) dates = settlement_date.add_years(years) for dt in dates: df = libor_curve.df(dt) q = issuer_curve.survival_prob(dt) testCases.print("%16s" % dt, "%12.8f" % df, "%12.8f" % q) return libor_curve, issuer_curve
def test_FinCDSCurve(): curve_date = Date(20, 12, 2018) swaps = [] depos = [] fras = [] fixedDCC = DayCountTypes.ACT_365F fixedFreq = FrequencyTypes.SEMI_ANNUAL fixed_coupon = 0.05 for i in range(1, 11): maturity_date = curve_date.add_months(12 * i) swap = IborSwap(curve_date, maturity_date, SwapTypes.PAY, fixed_coupon, fixedFreq, fixedDCC) swaps.append(swap) libor_curve = IborSingleCurve(curve_date, depos, fras, swaps) cds_contracts = [] for i in range(1, 11): maturity_date = curve_date.add_months(12 * i) cds = CDS(curve_date, maturity_date, 0.005 + 0.001 * (i - 1)) cds_contracts.append(cds) issuer_curve = CDSCurve(curve_date, cds_contracts, libor_curve, recovery_rate=0.40, use_cache=False) testCases.header("T", "Q") n = len(issuer_curve._times) for i in range(0, n): testCases.print(issuer_curve._times[i], issuer_curve._values[i]) testCases.header("CONTRACT", "VALUE") for i in range(1, 11): maturity_date = curve_date.add_months(12 * i) cds = CDS(curve_date, maturity_date, 0.005 + 0.001 * (i - 1)) v = cds.value(curve_date, issuer_curve) testCases.print(i, v) if 1 == 0: x = [0.0, 1.2, 1.6, 1.7, 10.0] qs = issuer_curve.survival_prob(x) print("===>", qs) x = [0.3, 1.2, 1.6, 1.7, 10.0] xx = np.array(x) qs = issuer_curve.survival_prob(xx) print("===>", qs) x = [0.3, 1.2, 1.6, 1.7, 10.0] dfs = issuer_curve.df(x) print("===>", dfs) x = [0.3, 1.2, 1.6, 1.7, 10.0] xx = np.array(x) dfs = issuer_curve.df(xx) print("===>", dfs)
# MATLAB EXAMPLE # https://fr.mathworks.com/help/fininst/optembndbybk.html issue_date = Date(1, 1, 2005) maturity_date = Date(1, 1, 2010) coupon = 0.0525 freq_type = FrequencyTypes.ANNUAL accrual_type = DayCountTypes.ACT_ACT_ICMA valuation_date = Date(1, 1, 2007) settlement_date_matlab = valuation_date fixed_leg_type = SwapTypes.PAY dcType = DayCountTypes.THIRTY_E_360 fixedFreq = FrequencyTypes.ANNUAL swap1 = IborSwap(settlement_date_matlab, "1Y", fixed_leg_type, 0.0350, fixedFreq, dcType) swap2 = IborSwap(settlement_date_matlab, "2Y", fixed_leg_type, 0.0400, fixedFreq, dcType) swap3 = IborSwap(settlement_date_matlab, "3Y", fixed_leg_type, 0.0450, fixedFreq, dcType) swaps = [swap1, swap2, swap3] discount_curve_matlab = IborSingleCurve(valuation_date, [], [], swaps) bond_matlab = Bond(issue_date, maturity_date, coupon, freq_type, accrual_type) call_dates = [] call_prices = [] put_dates = [] put_prices = [] putDate = Date(1, 1, 2008)
def test_dp_example(): # http://www.derivativepricing.com/blogpage.asp?id=8 start_date = Date(14, 11, 2011) end_date = Date(14, 11, 2016) fixedFreqType = FrequencyTypes.SEMI_ANNUAL swapCalendarType = CalendarTypes.TARGET bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING date_gen_rule_type = DateGenRuleTypes.BACKWARD fixed_day_count_type = DayCountTypes.THIRTY_E_360_ISDA fixed_leg_type = SwapTypes.PAY fixed_coupon = 0.0124 notional = ONE_MILLION swap = IborSwap(start_date, end_date, fixed_leg_type, fixed_coupon=fixed_coupon, fixed_freq_type=fixedFreqType, fixed_day_count_type=fixed_day_count_type, float_freq_type=FrequencyTypes.SEMI_ANNUAL, float_day_count_type=DayCountTypes.ACT_360, notional=notional, calendar_type=swapCalendarType, bus_day_adjust_type=bus_day_adjust_type, date_gen_rule_type=date_gen_rule_type) # swap.printFixedLegFlows() dts = [ Date(14, 11, 2011), Date(14, 5, 2012), Date(14, 11, 2012), Date(14, 5, 2013), Date(14, 11, 2013), Date(14, 5, 2014), Date(14, 11, 2014), Date(14, 5, 2015), Date(16, 11, 2015), Date(16, 5, 2016), Date(14, 11, 2016) ] dfs = [ 0.9999843, 0.9966889, 0.9942107, 0.9911884, 0.9880738, 0.9836490, 0.9786276, 0.9710461, 0.9621778, 0.9514315, 0.9394919 ] valuation_date = start_date curve = DiscountCurve(valuation_date, dts, np.array(dfs), InterpTypes.FLAT_FWD_RATES) v = swap.value(valuation_date, curve, curve) # swap.print_fixed_leg_pv() # swap.print_float_leg_pv() # This is essentially zero testCases.header("LABEL", "VALUE") testCases.print("Swap Value on a Notional of $1M:", v)
def buildIborSingleCurve(valuation_date): settlement_date = valuation_date.add_days(2) dcType = DayCountTypes.ACT_360 depos = [] fras = [] swaps = [] maturity_date = settlement_date.add_months(1) depo1 = IborDeposit(valuation_date, maturity_date, -0.00251, dcType) depos.append(depo1) # Series of 1M futures start_date = settlement_date.next_imm_date() end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.0023, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00234, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00225, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00226, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00219, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00213, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00186, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00189, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00175, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00143, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00126, dcType) fras.append(fra) start_date = start_date.add_months(1) end_date = start_date.add_months(1) fra = IborFRA(start_date, end_date, -0.00126, dcType) fras.append(fra) ########################################################################### ########################################################################### ########################################################################### ########################################################################### fixedFreq = FrequencyTypes.ANNUAL dcType = DayCountTypes.THIRTY_E_360 fixed_leg_type = SwapTypes.PAY ####################################### maturity_date = settlement_date.add_months(24) swap_rate = -0.001506 swap1 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap1) ####################################### maturity_date = settlement_date.add_months(36) swap_rate = -0.000185 swap2 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap2) ####################################### maturity_date = settlement_date.add_months(48) swap_rate = 0.001358 swap3 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap3) ####################################### maturity_date = settlement_date.add_months(60) swap_rate = 0.0027652 swap4 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap4) ####################################### maturity_date = settlement_date.add_months(72) swap_rate = 0.0041539 swap5 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap5) ####################################### maturity_date = settlement_date.add_months(84) swap_rate = 0.0054604 swap6 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap6) ####################################### maturity_date = settlement_date.add_months(96) swap_rate = 0.006674 swap7 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap7) ####################################### maturity_date = settlement_date.add_months(108) swap_rate = 0.007826 swap8 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap8) ####################################### maturity_date = settlement_date.add_months(120) swap_rate = 0.008821 swap9 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap9) ####################################### maturity_date = settlement_date.add_months(132) swap_rate = 0.0097379 swap10 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap10) ####################################### maturity_date = settlement_date.add_months(144) swap_rate = 0.0105406 swap11 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap11) ####################################### maturity_date = settlement_date.add_months(180) swap_rate = 0.0123927 swap12 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap12) ####################################### maturity_date = settlement_date.add_months(240) swap_rate = 0.0139882 swap13 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap13) ####################################### maturity_date = settlement_date.add_months(300) swap_rate = 0.0144972 swap14 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap14) ####################################### maturity_date = settlement_date.add_months(360) swap_rate = 0.0146081 swap15 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap15) ####################################### maturity_date = settlement_date.add_months(420) swap_rate = 0.01461897 swap16 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap16) ####################################### maturity_date = settlement_date.add_months(480) swap_rate = 0.014567455 swap17 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap17) ####################################### maturity_date = settlement_date.add_months(540) swap_rate = 0.0140826 swap18 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap18) ####################################### maturity_date = settlement_date.add_months(600) swap_rate = 0.01436822 swap19 = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreq, dcType) swaps.append(swap19) ######################################## libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps) testCases.header("LABEL", "DATE", "VALUE") """ Check calibration """ for depo in depos: v = depo.value(settlement_date, libor_curve) testCases.print("DEPO VALUE:", depo._maturity_date, v) for fra in fras: v = fra.value(settlement_date, libor_curve) testCases.print("FRA VALUE:", fra._maturity_date, v) for swap in swaps: v = swap.value(settlement_date, libor_curve) testCases.print("SWAP VALUE:", swap._maturity_date, v) return libor_curve
def test_swapValuationExample(): # Example from # https://blog.deriscope.com/index.php/en/excel-interest-rate-swap-price-dual-bootstrapping-curve vBloomberg = 388147 valuation_date = Date(30, 11, 2018) start_date = Date(27, 12, 2017) maturity_date = Date(27, 12, 2067) notional = 10 * ONE_MILLION fixed_leg_type = SwapTypes.RECEIVE fixedRate = 0.0150 fixedDCCType = DayCountTypes.THIRTY_360_BOND fixedFreqType = FrequencyTypes.ANNUAL float_spread = 0.0 floatDCCType = DayCountTypes.ACT_360 floatFreqType = FrequencyTypes.SEMI_ANNUAL offMarketSwap = IborSwap(start_date, maturity_date, fixed_leg_type, fixedRate, fixedFreqType, fixedDCCType, notional, float_spread, floatFreqType, floatDCCType) interp_type = InterpTypes.LINEAR_ZERO_RATES depoDCCType = DayCountTypes.ACT_360 depos = [] ########################################################################### # MARKET ########################################################################### spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) depo = IborDeposit(settlement_date, "6M", -0.2510 / 100.0, depoDCCType) depos.append(depo) fras = [] fraDCCType = DayCountTypes.ACT_360 fra = IborFRA(settlement_date.add_tenor("1M"), "6M", -0.2450 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("2M"), "6M", -0.2435 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("3M"), "6M", -0.2400 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("4M"), "6M", -0.2360 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("5M"), "6M", -0.2285 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("6M"), "6M", -0.2230 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("7M"), "6M", -0.2110 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("8M"), "6M", -0.1990 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("9M"), "6M", -0.1850 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("10M"), "6M", -0.1680 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("11M"), "6M", -0.1510 / 100.0, fraDCCType) fras.append(fra) fra = IborFRA(settlement_date.add_tenor("12M"), "6M", -0.1360 / 100.0, fraDCCType) fras.append(fra) swaps = [] fixed_leg_type = SwapTypes.PAY fixedDCCType = DayCountTypes.THIRTY_360_BOND fixedFreqType = FrequencyTypes.ANNUAL swap = IborSwap(settlement_date, "2Y", fixed_leg_type, -0.1525 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "3Y", fixed_leg_type, -0.0185 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "4Y", fixed_leg_type, 0.1315 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "5Y", fixed_leg_type, 0.2745 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "6Y", fixed_leg_type, 0.4135 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "7Y", fixed_leg_type, 0.5439 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "8Y", fixed_leg_type, 0.6652 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "9Y", fixed_leg_type, 0.7784 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "10Y", fixed_leg_type, 0.8799 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "11Y", fixed_leg_type, 0.9715 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "12Y", fixed_leg_type, 1.0517 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "15Y", fixed_leg_type, 1.2369 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "20Y", fixed_leg_type, 1.3965 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "25Y", fixed_leg_type, 1.4472 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "30Y", fixed_leg_type, 1.4585 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "35Y", fixed_leg_type, 1.4595 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "40Y", fixed_leg_type, 1.4535 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "45Y", fixed_leg_type, 1.4410 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = IborSwap(settlement_date, "50Y", fixed_leg_type, 1.4335 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) iborDepos = depos.copy() iborFras = fras.copy() ibor_swaps = swaps.copy() iborCurve = IborSingleCurve(valuation_date, iborDepos, iborFras, ibor_swaps, interp_type) v1 = offMarketSwap.value(valuation_date, iborCurve, iborCurve, -0.268 / 100.0) testCases.banner("DERISCOPE EXAMPLE REPLICATION") testCases.header("LABEL", "VALUE") testCases.print("BBG VALUE", vBloomberg) testCases.print("FP ONE CURVE VALUE", v1) ############################################################################### depoDCCType = DayCountTypes.ACT_360 depos = [] spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) depo = IborDeposit(settlement_date, "1D", -0.3490 / 100.0, depoDCCType) depos.append(depo) fras = [] swaps = [] fixed_leg_type = SwapTypes.PAY fixedDCCType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.ANNUAL # Standard OIS with standard annual terms swap = OIS(settlement_date, "2W", fixed_leg_type, -0.3600 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "1M", fixed_leg_type, -0.3560 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "2M", fixed_leg_type, -0.3570 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "3M", fixed_leg_type, -0.3580 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "4M", fixed_leg_type, -0.3575 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "5M", fixed_leg_type, -0.3578 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "6M", fixed_leg_type, -0.3580 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "7M", fixed_leg_type, -0.3600 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "8M", fixed_leg_type, -0.3575 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "9M", fixed_leg_type, -0.3569 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "10M", fixed_leg_type, -0.3553 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "11M", fixed_leg_type, -0.3534 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "12M", fixed_leg_type, -0.3496 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "18M", fixed_leg_type, -0.3173 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "2Y", fixed_leg_type, -0.2671 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "30M", fixed_leg_type, -0.2070 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "3Y", fixed_leg_type, -0.1410 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "4Y", fixed_leg_type, -0.0060 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "5Y", fixed_leg_type, 0.1285 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "6Y", fixed_leg_type, 0.2590 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "7Y", fixed_leg_type, 0.3830 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "8Y", fixed_leg_type, 0.5020 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "9Y", fixed_leg_type, 0.6140 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "10Y", fixed_leg_type, 0.7160 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "11Y", fixed_leg_type, 0.8070 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "12Y", fixed_leg_type, 0.8890 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "15Y", fixed_leg_type, 1.0790 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "20Y", fixed_leg_type, 1.2460 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "25Y", fixed_leg_type, 1.3055 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "30Y", fixed_leg_type, 1.3270 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "35Y", fixed_leg_type, 1.3315 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "40Y", fixed_leg_type, 1.3300 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) swap = OIS(settlement_date, "50Y", fixed_leg_type, 1.3270 / 100.0, fixedFreqType, fixedDCCType) swaps.append(swap) oisDepos = depos.copy() oisFras = fras.copy() oisSwaps = swaps.copy() # oisCurveFF = FinOISCurve(valuation_date, oisDepos, oisFras, oisSwaps, interp_type) iborDualCurve = IborDualCurve(valuation_date, oisCurveFF, iborDepos, iborFras, ibor_swaps, interp_type)
def buildFullIssuerCurve1(mktSpreadBump, irBump): # https://www.markit.com/markit.jsp?jsppage=pv.jsp # YIELD CURVE 8-AUG-2019 SNAP AT 1600 tradeDate = Date(9, 8, 2019) valuation_date = tradeDate.add_days(1) m = 1.0 # 0.00000000000 dcType = DayCountTypes.ACT_360 depos = [] depo1 = IborDeposit(valuation_date, "1D", m * 0.0220, dcType) depos.append(depo1) spot_days = 2 settlement_date = valuation_date.add_days(spot_days) maturity_date = settlement_date.add_months(1) depo1 = IborDeposit(settlement_date, maturity_date, m * 0.022009, dcType) maturity_date = settlement_date.add_months(2) depo2 = IborDeposit(settlement_date, maturity_date, m * 0.022138, dcType) maturity_date = settlement_date.add_months(3) depo3 = IborDeposit(settlement_date, maturity_date, m * 0.021810, dcType) maturity_date = settlement_date.add_months(6) depo4 = IborDeposit(settlement_date, maturity_date, m * 0.020503, dcType) maturity_date = settlement_date.add_months(12) depo5 = IborDeposit(settlement_date, maturity_date, m * 0.019930, dcType) depos.append(depo1) depos.append(depo2) depos.append(depo3) depos.append(depo4) depos.append(depo5) fras = [] swaps = [] dcType = DayCountTypes.THIRTY_E_360_ISDA fixedFreq = FrequencyTypes.SEMI_ANNUAL maturity_date = settlement_date.add_months(24) swap1 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.015910 + irBump, fixedFreq, dcType) swaps.append(swap1) maturity_date = settlement_date.add_months(36) swap2 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.014990 + irBump, fixedFreq, dcType) swaps.append(swap2) maturity_date = settlement_date.add_months(48) swap3 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.014725 + irBump, fixedFreq, dcType) swaps.append(swap3) maturity_date = settlement_date.add_months(60) swap4 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.014640 + irBump, fixedFreq, dcType) swaps.append(swap4) maturity_date = settlement_date.add_months(72) swap5 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.014800 + irBump, fixedFreq, dcType) swaps.append(swap5) maturity_date = settlement_date.add_months(84) swap6 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.014995 + irBump, fixedFreq, dcType) swaps.append(swap6) maturity_date = settlement_date.add_months(96) swap7 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.015180 + irBump, fixedFreq, dcType) swaps.append(swap7) maturity_date = settlement_date.add_months(108) swap8 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.015610 + irBump, fixedFreq, dcType) swaps.append(swap8) maturity_date = settlement_date.add_months(120) swap9 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.015880 + irBump, fixedFreq, dcType) swaps.append(swap9) maturity_date = settlement_date.add_months(144) swap10 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.016430 + irBump, fixedFreq, dcType) swaps.append(swap10) libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps) cdsMarketContracts = [] cdsCoupon = 0.04 + mktSpreadBump maturity_date = valuation_date.next_cds_date(6) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) maturity_date = valuation_date.next_cds_date(12) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) maturity_date = valuation_date.next_cds_date(24) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) maturity_date = valuation_date.next_cds_date(36) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) maturity_date = valuation_date.next_cds_date(48) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) maturity_date = valuation_date.next_cds_date(60) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) maturity_date = valuation_date.next_cds_date(84) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) maturity_date = valuation_date.next_cds_date(120) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) maturity_date = valuation_date.next_cds_date(180) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) recovery_rate = 0.40 issuer_curve = CDSCurve(valuation_date, cdsMarketContracts, libor_curve, recovery_rate) return libor_curve, issuer_curve
def buildFullIssuerCurve(valuation_date): dcType = DayCountTypes.ACT_360 depos = [] irBump = 0.0 m = 1.0 # 0.00000000000 spot_days = 0 settlement_date = valuation_date.add_days(spot_days) maturity_date = settlement_date.add_months(1) depo1 = IborDeposit(settlement_date, maturity_date, m * 0.0016, dcType) maturity_date = settlement_date.add_months(2) depo2 = IborDeposit(settlement_date, maturity_date, m * 0.0020, dcType) maturity_date = settlement_date.add_months(3) depo3 = IborDeposit(settlement_date, maturity_date, m * 0.0024, dcType) maturity_date = settlement_date.add_months(6) depo4 = IborDeposit(settlement_date, maturity_date, m * 0.0033, dcType) maturity_date = settlement_date.add_months(12) depo5 = IborDeposit(settlement_date, maturity_date, m * 0.0056, dcType) depos.append(depo1) depos.append(depo2) depos.append(depo3) depos.append(depo4) depos.append(depo5) fras = [] spot_days = 2 settlement_date = valuation_date.add_days(spot_days) swaps = [] dcType = DayCountTypes.THIRTY_E_360_ISDA fixedFreq = FrequencyTypes.SEMI_ANNUAL maturity_date = settlement_date.add_months(24) swap1 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0044 + irBump, fixedFreq, dcType) swaps.append(swap1) maturity_date = settlement_date.add_months(36) swap2 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0078 + irBump, fixedFreq, dcType) swaps.append(swap2) maturity_date = settlement_date.add_months(48) swap3 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0119 + irBump, fixedFreq, dcType) swaps.append(swap3) maturity_date = settlement_date.add_months(60) swap4 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0158 + irBump, fixedFreq, dcType) swaps.append(swap4) maturity_date = settlement_date.add_months(72) swap5 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0192 + irBump, fixedFreq, dcType) swaps.append(swap5) maturity_date = settlement_date.add_months(84) swap6 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0219 + irBump, fixedFreq, dcType) swaps.append(swap6) maturity_date = settlement_date.add_months(96) swap7 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0242 + irBump, fixedFreq, dcType) swaps.append(swap7) maturity_date = settlement_date.add_months(108) swap8 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0261 + irBump, fixedFreq, dcType) swaps.append(swap8) maturity_date = settlement_date.add_months(120) swap9 = IborSwap(settlement_date, maturity_date, SwapTypes.PAY, m * 0.0276 + irBump, fixedFreq, dcType) swaps.append(swap9) libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps) cdsMarketContracts = [] cdsCoupon = 0.005743 maturity_date = valuation_date.next_cds_date(6) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) cdsCoupon = 0.007497 maturity_date = valuation_date.next_cds_date(12) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) cdsCoupon = 0.011132 maturity_date = valuation_date.next_cds_date(24) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) cdsCoupon = 0.013932 maturity_date = valuation_date.next_cds_date(36) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) cdsCoupon = 0.015764 maturity_date = valuation_date.next_cds_date(48) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) cdsCoupon = 0.017366 maturity_date = valuation_date.next_cds_date(60) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) cdsCoupon = 0.020928 maturity_date = valuation_date.next_cds_date(84) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) cdsCoupon = 0.022835 maturity_date = valuation_date.next_cds_date(120) cds = CDS(valuation_date, maturity_date, cdsCoupon) cdsMarketContracts.append(cds) recovery_rate = 0.40 issuer_curve = CDSCurve(valuation_date, cdsMarketContracts, libor_curve, recovery_rate) return libor_curve, issuer_curve
def test_IborSwaptionQLExample(): valuation_date = Date(4, 3, 2014) settlement_date = Date(4, 3, 2014) depoDCCType = DayCountTypes.THIRTY_E_360_ISDA depos = [] depo = IborDeposit(settlement_date, "1W", 0.0023, depoDCCType) depos.append(depo) depo = IborDeposit(settlement_date, "1M", 0.0023, depoDCCType) depos.append(depo) depo = IborDeposit(settlement_date, "3M", 0.0023, depoDCCType) depos.append(depo) depo = IborDeposit(settlement_date, "6M", 0.0023, depoDCCType) depos.append(depo) # No convexity correction provided so I omit interest rate futures swaps = [] accType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL fixed_leg_type = SwapTypes.PAY swap = IborSwap(settlement_date, "3Y", fixed_leg_type, 0.00790, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "4Y", fixed_leg_type, 0.01200, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "5Y", fixed_leg_type, 0.01570, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "6Y", fixed_leg_type, 0.01865, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "7Y", fixed_leg_type, 0.02160, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "8Y", fixed_leg_type, 0.02350, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "9Y", fixed_leg_type, 0.02540, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "10Y", fixed_leg_type, 0.0273, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "15Y", fixed_leg_type, 0.0297, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "20Y", fixed_leg_type, 0.0316, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "25Y", fixed_leg_type, 0.0335, fixedFreqType, accType) swaps.append(swap) swap = IborSwap(settlement_date, "30Y", fixed_leg_type, 0.0354, fixedFreqType, accType) swaps.append(swap) libor_curve = IborSingleCurve(valuation_date, depos, [], swaps, InterpTypes.LINEAR_ZERO_RATES) exercise_date = settlement_date.add_tenor("5Y") swapMaturityDate = exercise_date.add_tenor("5Y") swapFixedCoupon = 0.040852 swapFixedFrequencyType = FrequencyTypes.SEMI_ANNUAL swapFixedDayCountType = DayCountTypes.THIRTY_E_360_ISDA swapFloatFrequencyType = FrequencyTypes.QUARTERLY swapFloatDayCountType = DayCountTypes.ACT_360 swapNotional = 1000000 swaptionType = SwapTypes.PAY swaption = IborSwaption(settlement_date, exercise_date, swapMaturityDate, swaptionType, swapFixedCoupon, swapFixedFrequencyType, swapFixedDayCountType, swapNotional, swapFloatFrequencyType, swapFloatDayCountType) testCases.header("MODEL", "VALUE") model = Black(0.1533) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v) model = BlackShifted(0.1533, -0.008) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v) model = SABR(0.132, 0.5, 0.5, 0.5) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v) model = SABRShifted(0.352, 0.5, 0.15, 0.15, -0.005) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v) model = HWTree(0.010000000, 0.00000000001) v = swaption.value(settlement_date, libor_curve, model) testCases.print(model.__class__, v)
def test_ibor_depositsFRAsSwaps(): valuation_date = Date(18, 9, 2019) dccType = DayCountTypes.THIRTY_E_360_ISDA depos = [] spot_days = 0 settlement_date = valuation_date.add_weekdays(spot_days) deposit_rate = 0.050 maturity_date = settlement_date.add_months(1) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(2) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(3) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(6) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(9) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) maturity_date = settlement_date.add_months(12) depo = IborDeposit(settlement_date, maturity_date, deposit_rate, dccType) depos.append(depo) fras = [] # 1 x 4 FRA fraRate = 0.04 fraSettlementDate = settlement_date.add_months(9) fraMaturityDate = settlement_date.add_months(13) fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.03 fraSettlementDate = settlement_date.add_months(13) fraMaturityDate = settlement_date.add_months(17) fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) # 4 x 7 FRA fraRate = 0.07 fraSettlementDate = settlement_date.add_months(17) fraMaturityDate = settlement_date.add_months(21) fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, dccType) fras.append(fra) swaps = [] fixedDCCType = DayCountTypes.ACT_365F fixedFreqType = FrequencyTypes.SEMI_ANNUAL swap_rate = 0.05 # maturity_date = settlement_date.add_months(24) # swap = IborSwap(settlement_date, maturity_date, swap_rate, fixedFreqType, # fixedDCCType) # swaps.append(swap) fixed_leg_type = SwapTypes.PAY maturity_date = settlement_date.add_months(36) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(48) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(60) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(72) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(84) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(96) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(108) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(120) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(132) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(144) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(180) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(240) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(300) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) maturity_date = settlement_date.add_months(360) swap = IborSwap(settlement_date, maturity_date, fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType) swaps.append(swap) libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps) df = libor_curve.df(settlement_date) testCases.header("SETTLEMENT DATE", "DF") testCases.print(str(settlement_date), df) testCases.header("DATE", "DF") for deposit in depos: df = libor_curve.df(deposit._maturity_date) testCases.print(str(deposit._maturity_date), df) for swap in swaps: df = libor_curve.df(swap._maturity_date) testCases.print(str(swap._maturity_date), df)
def test_ibor_depositsFuturesSwaps(): spot_date = Date(6, 6, 2018) spot_days = 0 settlement_date = spot_date.add_weekdays(spot_days) depoDCCType = DayCountTypes.ACT_360 depos = [] deposit_rate = 0.0231381 depo = IborDeposit(settlement_date, "3M", deposit_rate, depoDCCType) depos.append(depo) deposit_rate = 0.027 depo = IborDeposit(settlement_date, "3M", deposit_rate, depoDCCType) depos.append(depo) depos = [] depo = IborDeposit(settlement_date, "1M", 0.0230, depoDCCType) depos.append(depo) depo = IborDeposit(settlement_date, "2M", 0.0235, depoDCCType) depos.append(depo) depo = IborDeposit(settlement_date, "3M", 0.0240, depoDCCType) depos.append(depo) fras = [] fraRate = futureToFRARate(97.6675, -0.00005) fraSettlementDate = spot_date.next_imm_date() fraMaturityDate = fraSettlementDate.next_imm_date() fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.5200, -0.00060) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.next_imm_date() fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.3550, -0.00146) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.next_imm_date() fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.2450, -0.00263) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.next_imm_date() fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.1450, -0.00411) fraSettlementDate = fraMaturityDate fraMaturityDate = fraSettlementDate.next_imm_date() fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) fraRate = futureToFRARate(97.0750, -0.00589) fraSettlementDate = fraSettlementDate.next_imm_date() fraMaturityDate = fraSettlementDate.next_imm_date() fra = IborFRA(fraSettlementDate, fraMaturityDate, fraRate, depoDCCType) fras.append(fra) ########################################################################### spot_days = 2 start_date = spot_date.add_weekdays(spot_days) swaps = [] fixed_leg_type = SwapTypes.PAY fixedDCCType = DayCountTypes.THIRTY_E_360 fixedFreqType = FrequencyTypes.SEMI_ANNUAL floatFreqType = FrequencyTypes.QUARTERLY notional = 1000000 principal = 0.0 float_spread = 0.0 floatDCCType = DayCountTypes.ACT_360 calendar_type = CalendarTypes.UNITED_STATES busDayAdjustRule = BusDayAdjustTypes.PRECEDING swap_rate = 0.02776305 swap = IborSwap(start_date, "2Y", fixed_leg_type, swap_rate, fixedFreqType, fixedDCCType, notional, float_spread, floatFreqType, floatDCCType, calendar_type, busDayAdjustRule) swaps.append(swap) libor_curve = IborSingleCurve(spot_date, depos, fras, swaps) times = np.linspace(0.0, 2.0, 25) dates = spot_date.add_years(times) zero_rates = libor_curve.zero_rate(dates) fwd_rates = libor_curve.fwd(dates) if PLOT_GRAPHS: plt.figure(figsize=(8, 6)) plt.plot(times, zero_rates * 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 = spot_date 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.print_fixed_leg_pv(spot_date) swap.print_float_leg_pv(spot_date)
def test_FinCDSCurve(): curve_date = Date(20, 12, 2018) swaps = [] depos = [] fras = [] fixedDCC = DayCountTypes.ACT_365F fixedFreq = FrequencyTypes.SEMI_ANNUAL fixed_coupon = 0.05 for i in range(1, 11): maturity_date = curve_date.add_months(12 * i) swap = IborSwap(curve_date, maturity_date, SwapTypes.PAY, fixed_coupon, fixedFreq, fixedDCC) swaps.append(swap) libor_curve = IborSingleCurve(curve_date, depos, fras, swaps) cds_contracts = [] for i in range(1, 11): maturity_date = curve_date.add_months(12 * i) cds = CDS(curve_date, maturity_date, 0.005 + 0.001 * (i - 1)) cds_contracts.append(cds) issuer_curve = CDSCurve(curve_date, cds_contracts, libor_curve, recovery_rate=0.40, use_cache=False) assert round(issuer_curve._times[0], 4) == 0.0 assert round(issuer_curve._times[5], 4) == 5.0027 assert round(issuer_curve._times[9], 4) == 9.0055 assert round(issuer_curve._values[0], 4) == 1.0 assert round(issuer_curve._values[5], 4) == 0.9249 assert round(issuer_curve._values[9], 4) == 0.8072 i = 1 maturity_date = curve_date.add_months(12 * i) cds = CDS(curve_date, maturity_date, 0.005 + 0.001 * (i - 1)) v = cds.value(curve_date, issuer_curve) assert round(v['full_pv'] * 1000, 4) == 5.6028 assert round(v['clean_pv'] * 1000, 4) == 5.6028 i = 5 maturity_date = curve_date.add_months(12 * i) cds = CDS(curve_date, maturity_date, 0.005 + 0.001 * (i - 1)) v = cds.value(curve_date, issuer_curve) assert round(v['full_pv'] * 1000, 4) == 8.3480 assert round(v['clean_pv'] * 1000, 4) == 8.3480 i = 10 maturity_date = curve_date.add_months(12 * i) cds = CDS(curve_date, maturity_date, 0.005 + 0.001 * (i - 1)) v = cds.value(curve_date, issuer_curve) assert round(v['full_pv'] * 1000, 4) == -1.3178 assert round(v['clean_pv'] * 1000, 4) == -1.3178