def test_FinScheduleAlignmentLeapYearNotEOM():
""" Effective date on leap year. Not EOM. """
eomFlag = False
valuation_date = Date(26, 2, 2006)
effDate = valuation_date.add_tenor("2D")
freq_type = FrequencyTypes.SEMI_ANNUAL
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
calendar_type = CalendarTypes.UNITED_STATES
adjust_termination_date = True
matDate1 = effDate.add_tenor("4Y")
matDate2 = effDate.add_tenor("50Y")
# print(matDate1, matDate2)
sched1 = Schedule(effDate, matDate1, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type,
adjust_termination_date, eomFlag)
sched2 = Schedule(effDate, matDate2, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type,
adjust_termination_date, eomFlag)
# print(sched1._adjusted_dates)
# print(sched2._adjusted_dates[:len(sched1._adjusted_dates)])
compare = (sched1._adjusted_dates[-1] == sched2._adjusted_dates[
len(sched1._adjusted_dates) - 1])
assert (compare == True)
def test_FinScheduleAlignmentEff31():
""" EOM schedule so all unadjusted dates fall on month end."""
eomFlag = True
valuation_date = Date(29, 7, 2006)
effDate = valuation_date.add_tenor("2D")
freq_type = FrequencyTypes.SEMI_ANNUAL
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
calendar_type = CalendarTypes.UNITED_STATES
adjust_termination_date = True
matDate1 = effDate.add_tenor("4Y")
matDate2 = effDate.add_tenor("50Y")
# print(matDate1, matDate2)
sched1 = Schedule(effDate, matDate1, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type,
adjust_termination_date, eomFlag)
sched2 = Schedule(effDate, matDate2, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type,
adjust_termination_date, eomFlag)
# print(sched1._adjusted_dates)
# print(sched2._adjusted_dates[:len(sched1._adjusted_dates)])
compare = (sched1._adjusted_dates[-1] == sched2._adjusted_dates[
len(sched1._adjusted_dates) - 1])
assert (compare == True)
def test_backward_front_stub():
# BACKWARD SHORT STUB AT FRONT
d1 = Date(20, 8, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.QUARTERLY
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
adjusted_dates = schedule._adjusted_dates
assert len(adjusted_dates) == 9
check_frequency(schedule, start=1)
# BACKWARD SUPER SHORT STUB AT FRONT
d1 = Date(19, 9, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.QUARTERLY
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
adjusted_dates = schedule._adjusted_dates
assert len(adjusted_dates) == 9
check_frequency(schedule, start=1)
def test_forward_frequencies():
# FORWARD SCHEDULES TESTING DIFFERENT FREQUENCIES
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.FORWARD
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.ANNUAL
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
adjusted_dates = schedule._adjusted_dates
assert len(adjusted_dates) == 3
check_frequency(schedule)
freq_type = FrequencyTypes.SEMI_ANNUAL
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type)
adjusted_dates = schedule._adjusted_dates
assert len(adjusted_dates) == 5
check_frequency(schedule)
freq_type = FrequencyTypes.MONTHLY
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
adjusted_dates = schedule._adjusted_dates
assert len(adjusted_dates) == 25
check_frequency(schedule)
def test_FinDateAdjust():
start_date = Date(28, 2, 2008)
end_date = Date(28, 2, 2011)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.NONE
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
testCases.header("NO ADJUSTMENTS", "DATE")
schedule = Schedule(start_date, end_date, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type)
for dt in schedule._adjusted_dates:
testCases.print("Date:", dt)
testCases.banner("")
testCases.header("NO WEEKENDS AND FOLLOWING", "DATE")
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(start_date, end_date, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type)
for dt in schedule._adjusted_dates:
testCases.print("Date:", dt)
testCases.banner("")
testCases.header("NO WEEKENDS AND MODIFIED FOLLOWING", "DATE")
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(start_date, end_date, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type)
for dt in schedule._adjusted_dates:
testCases.print("Date:", dt)
testCases.banner("")
testCases.header("NO WEEKENDS AND US HOLIDAYS AND MODIFIED FOLLOWING",
"DATE")
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.UNITED_STATES
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
start_date = Date(4, 7, 2008)
end_date = Date(4, 7, 2011)
schedule = Schedule(start_date, end_date, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type)
for dt in schedule._adjusted_dates:
testCases.print("Date:", dt)
def test_FinScheduleAlignment(eomFlag):
valuation_date = Date(29, 3, 2005)
effDate = valuation_date.add_tenor("2d")
freq_type = FrequencyTypes.SEMI_ANNUAL
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
calendar_type = CalendarTypes.UNITED_STATES
adjust_termination_date = False
matDate1 = effDate.add_tenor("4Y")
matDate2 = effDate.add_tenor("50Y")
# print(matDate1)
# print(matDate2)
myCal = Calendar(calendar_type)
adjustedMatDate1 = myCal.adjust(matDate1, bus_day_adjust_type)
adjustedMatDate2 = myCal.adjust(matDate2, bus_day_adjust_type)
# print(adjustedMatDate1)
# print(adjustedMatDate2)
sched1 = Schedule(effDate,
adjustedMatDate1,
freq_type,
calendar_type,
bus_day_adjust_type,
date_gen_rule_type,
adjust_termination_date,
eomFlag)
# print(sched1)
sched2 = Schedule(effDate,
adjustedMatDate2,
freq_type,
calendar_type,
bus_day_adjust_type,
date_gen_rule_type,
adjust_termination_date,
eomFlag)
compare = (
sched1._adjusted_dates[-1] == sched2._adjusted_dates[len(sched1._adjusted_dates)-1])
assert(compare == eomFlag)
def test_forward_end_stub():
# FORWARD SHORT STUB AT END
termination_dateAdjust = True
d1 = Date(20, 8, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.FORWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
adjusted_dates = schedule._adjusted_dates
assert len(adjusted_dates) == 5
check_frequency(schedule)
d1 = Date(19, 9, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.QUARTERLY
calendar_type = CalendarTypes.TARGET
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.FORWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type)
adjusted_dates = schedule._adjusted_dates
assert len(adjusted_dates) == 9
check_frequency(schedule)
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
termination_dateAdjust = True
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
adjusted_dates = schedule._adjusted_dates
assert len(adjusted_dates) == 5
check_frequency(schedule)
def test_date_adjust_noweekend_usholidays_modfollowing():
start_date = Date(4, 7, 2008)
end_date = Date(4, 7, 2011)
calendar_type = CalendarTypes.UNITED_STATES
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
schedule = Schedule(start_date, end_date, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type)
assert schedule._adjusted_dates == [
Date(4, 7, 2008),
Date(5, 1, 2009),
Date(6, 7, 2009),
Date(4, 1, 2010),
Date(6, 7, 2010),
Date(4, 1, 2011),
Date(5, 7, 2011)
]
def test_date_adjust_noweekend_modfollowing():
start_date = Date(28, 2, 2008)
end_date = Date(28, 2, 2011)
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
schedule = Schedule(start_date, end_date, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type)
assert schedule._adjusted_dates == [
Date(28, 2, 2008),
Date(28, 8, 2008),
Date(27, 2, 2009),
Date(28, 8, 2009),
Date(26, 2, 2010),
Date(30, 8, 2010),
Date(28, 2, 2011)
]
def test_date_adjust_no_adj():
start_date = Date(28, 2, 2008)
end_date = Date(28, 2, 2011)
calendar_type = CalendarTypes.NONE
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
schedule = Schedule(start_date, end_date, freq_type, calendar_type,
bus_day_adjust_type, date_gen_rule_type)
assert schedule._adjusted_dates == [
Date(28, 2, 2008),
Date(28, 8, 2008),
Date(28, 2, 2009),
Date(28, 8, 2009),
Date(28, 2, 2010),
Date(28, 8, 2010),
Date(28, 2, 2011)
]
def test_FinSchedule():
###########################################################################
# BACKWARD SCHEDULES TESTING DIFFERENT FREQUENCIES
###########################################################################
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
termination_dateAdjust = True
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("BACKWARD SEMI-ANNUAL FREQUENCY", schedule)
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.QUARTERLY
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("BACKWARD QUARTERLY FREQUENCY", schedule)
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.MONTHLY
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("BACKWARD MONTHLY FREQUENCY", schedule)
###########################################################################
# FORWARD SCHEDULES TESTING DIFFERENT FREQUENCIES
###########################################################################
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.FORWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("FORWARD ANNUAL", schedule)
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type)
dumpSchedule("FORWARD SEMI-ANNUAL", schedule)
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.MONTHLY
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("FORWARD MONTHLY", schedule)
###########################################################################
# BACKWARD SHORT STUB AT FRONT
###########################################################################
d1 = Date(20, 8, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.QUARTERLY
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("BACKWARD GEN WITH SHORT END STUB", schedule)
###########################################################################
# BACKWARD SUPER SHORT STUB AT FRONT
###########################################################################
d1 = Date(19, 9, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.QUARTERLY
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("BACKWARD GEN WITH VERY SHORT END STUB", schedule)
###########################################################################
# FORWARD SHORT STUB AT END
###########################################################################
d1 = Date(20, 8, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.FORWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("FORWARD GEN WITH END STUB", schedule)
d1 = Date(19, 9, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.QUARTERLY
calendar_type = CalendarTypes.TARGET
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.FORWARD
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type)
dumpSchedule("FORWARD GEN WITH VERY SHORT END STUB", schedule)
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
termination_dateAdjust = True
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust)
dumpSchedule("TERMINATION DATE ADJUSTED", schedule)
d1 = Date(20, 6, 2018)
d2 = Date(20, 6, 2020)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
termination_dateAdjust = True
eomFlag = True
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust, eomFlag)
dumpSchedule("END OF MONTH - NOT EOM TERM DATE - USING MOD FOLL", schedule)
d1 = Date(30, 6, 2018)
d2 = Date(30, 6, 2020)
freq_type = FrequencyTypes.SEMI_ANNUAL
calendar_type = CalendarTypes.WEEKEND
bus_day_adjust_type = BusDayAdjustTypes.MODIFIED_FOLLOWING
date_gen_rule_type = DateGenRuleTypes.BACKWARD
termination_dateAdjust = True
eomFlag = True
schedule = Schedule(d1, d2, freq_type, calendar_type, bus_day_adjust_type,
date_gen_rule_type, termination_dateAdjust, eomFlag)
dumpSchedule("END OF MONTH - EOM TERM DATE - USING MOD FOLL", schedule)
def test_FinIborCapFloorVolCurve():
""" Aim here is to price cap and caplets using cap and caplet vols and to
demonstrate they are the same - NOT SURE THAT HULLS BOOKS FORMULA WORKS FOR
OPTIONS. """
todayDate = Date(20, 6, 2019)
valuation_date = todayDate
maturity_date = valuation_date.add_tenor("3Y")
day_count_type = DayCountTypes.THIRTY_E_360
frequency = FrequencyTypes.ANNUAL
k = 0.04
capFloorType = FinCapFloorTypes.CAP
capFloor = IborCapFloor(valuation_date,
maturity_date,
capFloorType,
k,
None,
frequency,
day_count_type)
capVolDates = Schedule(valuation_date,
valuation_date.add_tenor("10Y"),
frequency)._generate()
flat_rate = 0.04
libor_curve = DiscountCurveFlat(valuation_date,
flat_rate,
frequency,
day_count_type)
flat = False
if flat is True:
capVolatilities = [20.0] * 11
capVolatilities[0] = 0.0
else:
capVolatilities = [0.00, 15.50, 18.25, 17.91, 17.74, 17.27,
16.79, 16.30, 16.01, 15.76, 15.54]
capVolatilities = np.array(capVolatilities)/100.0
capVolatilities[0] = 0.0
volCurve = IborCapVolCurve(valuation_date,
capVolDates,
capVolatilities,
day_count_type)
# print(volCurve._capletGammas)
# Value cap using a single flat cap volatility
tcap = (maturity_date - valuation_date) / gDaysInYear
vol = volCurve.cap_vol(maturity_date)
model = Black(vol)
valueCap = capFloor.value(valuation_date, libor_curve, model)
# print("CAP T", tcap, "VOL:", vol, "VALUE OF CAP:", valueCap)
# Value cap by breaking it down into caplets using caplet vols
vCaplets = 0.0
capletStartDate = capFloor._capFloorLetDates[1]
testCases.header("START", "END", "VOL", "VALUE")
for capletEndDate in capFloor._capFloorLetDates[2:]:
vol = volCurve.caplet_vol(capletEndDate)
modelCaplet = Black(vol)
vCaplet = capFloor.value_caplet_floor_let(valuation_date,
capletStartDate,
capletEndDate,
libor_curve,
modelCaplet)
vCaplets += vCaplet
testCases.print("%12s" % capletStartDate,
"%s" % capletEndDate,
"%9.5f" % (vol*100.0),
"%9.5f" % vCaplet)
capletStartDate = capletEndDate
testCases.header("LABEL", "VALUE")
testCases.print("CAPLETS->CAP: ", vCaplets)